Fair Value of Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2011

Fair Value of Financial Instruments Disclosure [Abstract]

Estimated carrying values and fair values of NRG's recorded financial instruments

The estimated carrying values and fair values of NRG's recorded financial instruments are as follows:

	Carrying Amount				Fair Value
	September 30, 2011		December 31, 2010		September 30, 2011		December 31, 2010
	(In millions)
Assets:
Cash and cash equivalents	$	1,127	$	2,951	$	1,127	$	2,951
Funds deposited by counterparties	259		408		259		408
Restricted cash	441		8		441		8
Cash collateral paid in support of energy     risk management activities	316		323		316		323
Investment in available-for-sale securities (classified within other non-current assets):
Debt securities	8		8		8		8
Marketable equity securities	1		3		1		3
Trust fund investments	401		414		401		414
Notes receivable	131		177		136		190
Derivative assets	3,121		2,722		3,121		2,722
Restricted cash supporting funded letter of credit facility	—		1,300		—		1,300
Liabilities:
Long-term debt, including current portion	9,185		9,104		8,830		9,236
Funded letter of credit	—		1,300		—		1,295
Cash collateral received in support of energy    risk management activities	259		408		259		408
Derivative liabilities	$	2,497	$	2,050	$	2,497	$	2,050

Assets and liabilities measured and recorded at fair value on the consolidated balance sheet on a recurring basis

The following table presents assets and liabilities measured and recorded at fair value on the Company's condensed consolidated balance sheet on a recurring basis and their level within the fair value hierarchy:

(In millions)	Fair Value
As of September 30, 2011	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	1,127	$	—	$	—	$	1,127
Funds deposited by counterparties	259		—		—		259
Restricted cash	441		—		—		441
Cash collateral paid in support of energy risk management activities	316		—		—		316
Investment in available-for-sale securities (classified within other     non-current assets):
Debt securities	—		—		8		8
Marketable equity securities	1		—		—		1
Trust fund investments:
Cash and cash equivalents	1		—		—		1
U.S. government and federal agency obligations	45		—		—		45
Federal agency mortgage-backed securities	—		66		—		66
Commercial mortgage-backed securities	—		7		—		7
Corporate debt securities	—		52		—		52
Marketable equity securities	193		—		33		226
Foreign government fixed income securities	—		4		—		4
Derivative assets:
Commodity contracts	1,513		1,569		39		3,121
Total assets	$	3,896	$	1,698	$	80	$	5,674
Cash collateral received in support of energy risk management activities	$	259	$	—	$	—	$	259
Derivative liabilities:
Commodity contracts	1,564		805		46		2,415
Interest rate contracts	—		82		—		82
Total liabilities	$	1,823	$	887	$	46	$	2,756

(In millions)	Fair Value
As of December 31, 2010	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	2,951	$	—	$	—	$	2,951
Funds deposited by counterparties	408		—		—		408
Restricted cash	8		—		—		8
Cash collateral paid in support of energy risk management activities	323		—		—		323
Investment in available-for-sale securities (classified within other non-current assets):
Debt securities	—		—		8		8
Marketable equity securities	3		—		—		3
Trust fund investments:
Cash and cash equivalents	9		—		—		9
U.S. government and federal agency obligations	27		—		—		27
Federal agency mortgage-backed securities	—		57		—		57
Commercial mortgage-backed securities	—		11		—		11
Corporate debt securities	—		56		—		56
Marketable equity securities	213		—		39		252
Foreign government fixed income securities	—		2		—		2
Derivative assets:
Commodity contracts	652		2,046		24		2,722
Restricted cash supporting funded letter of credit facility	1,300		—		—		1,300
Total assets	$	5,894	$	2,172	$	71	$	8,137
Cash collateral received in support of energy risk management activities	$	408	$	—	$	—	$	408
Derivative liabilities:
Commodity contracts	660		1,251		51		1,962
Interest rate contracts	—		88		—		88
Total liabilities	$	1,068	$	1,339	$	51	$	2,458

Reconciliation of beginning and ending balances for financial instruments that are recognized at fair value in the consolidated financial statements at least annually using significant unobservable inputs

The following tables reconcile, for the three months and nine months ended September 30, 2011, and 2010, the beginning and ending balances for financial instruments that are recognized at fair value in the consolidated financial statements at least annually using significant unobservable inputs:

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2011												Nine months ended September 30, 2011
	Debt Securities			Trust Fund Investments									Debt Securities		Trust Fund Investments
(In millions)							Derivatives(a)			Total								Derivatives(a)			Total
Beginning Balance	$	9		$	41		$	(26	)	$	24		$	8	$	39		$	(27	)	$	20
Total gains/(losses) - realized/unrealized:
Included in earnings	—			—			—			—			—		—			19			19
Included in OCI	(1		)	—			—			(1		)	—		—			—			—
Included in nuclear decommissioning obligations	—			(8		)	—			(8		)	—		(7		)	—			(7		)
Purchases	—			—			(2		)	(2		)	—		1			6			7
Transfers into Level 3 (b)	—			—			13			13			—		—			(17		)	(17		)
Transfers out of Level 3 (b)	—			—			8			8			—		—			12			12
Ending balance as of September 30, 2011	$	8		$	33		$	(7	)	$	34		$	8	$	33		$	(7	)	$	34
The amount of the total gains for the period included in earnings attributable to the change in unrealized gains relating to assets still held as of September 30, 2011	$	—		$	—		$	(1	)	$	(1	)	$	—	$	—		$	6		$	6

	Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
	Three months ended September 30, 2010											Nine months ended September 30, 2010
	Debt Securities			Trust Fund Investments								Debt Securities			Trust Fund Investments
(In millions)						Derivatives(a)			Total								Derivatives(a)			Total
Beginning Balance	$	10		$	32	$	(76	)	$	(34	)	$	9		$	37	$	(13	)	$	33
Total gains/(losses) - realized/unrealized:
Included in earnings	3			—		18			21			3			—		(13		)	(10		)
Included in OCI	(1		)	—		—			(1		)	—			—		—			—
Included in nuclear decommissioning obligations	—			5		—			5			—			—		—			—
Purchases	—			—		(10		)	(10		)	—			—		(1		)	(1		)
Sales	(5		)	—		—			(5		)	(5		)	—		—			(5		)
Transfers into Level 3 (b)	—			—		31			31			—			—		(16		)	(16		)
Transfers out of Level 3 (b)	—			—		(8		)	(8		)	—			—		(2		)	(2		)
Ending balance as of September 30, 2010	$	7		$	37	$	(45	)	$	(1	)	$	7		$	37	$	(45	)	$	(1	)
The amount of the total gains for the period included in earnings attributable to the change in unrealized gains relating to assets still held as of September 30, 2010	$	—		$	—	$	12		$	12		$	—		$	—	$	(24	)	$	(24	)

(a) Consists of derivative assets and liabilities, net.

(b) Transfers into/out of Level 3 are related to the availability of external broker quotes, and are valued as of the end of the reporting period. All transfers into/out are with Level 2.

Schedule of credit risk

The following tables highlight the counterparty credit quality and the net counterparty credit exposure by industry sector. Net counterparty credit exposure is defined as the aggregate net asset position for NRG with counterparties where netting is permitted under the enabling agreement and includes all cash flow, mark-to-market and Normal Purchase Normal Sale, or NPNS, and non-derivative transactions. The exposure is shown net of collateral held, and includes amounts net of receivables or payables.

	Net Exposure (a)
Category	(% of Total)
Financial institutions	55	%
Utilities, energy merchants, marketers and other	37
Coal and emissions	5
ISOs	3
Total as of September 30, 2011	100	%

	Net Exposure (a)
Category	(% of Total)
Investment grade	75	%
Non-Investment grade	1
Non-rated (b)	24
Total as of September 30, 2011	100	%

(a) Counterparty credit exposure excludes uranium and coal transportation contracts because of the unavailability of market prices.

(b) For non-rated counterparties, the majority are related to ISO and municipal public power entities, which are considered investment grade equivalent ratings based on NRG's internal credit ratings.