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Accounting for Derivative Instruments and Hedging Activities (Tables)
9 Months Ended
Sep. 30, 2011
Accounting for Derivative Instruments and Hedging Activities Disclosure [Abstract] 
Disclosure of net notional volume buy/(sell) of entity derivative transactions
The following table summarizes the net notional volume buy/(sell) of NRG's open derivative transactions broken out by commodity, excluding those derivatives that qualified for the NPNS exception as of September 30, 2011, and December 31, 2010. Option contracts are reflected using delta volume. Delta volume equals the notional volume of an option adjusted for the probability that the option will be in-the-money at its expiration date.

 
 
Total Volume
 
 
September 30, 2011
December 31, 2010
Commodity
Units
(In millions)
Emissions
Short Ton
(3
)
—

Coal
Short Ton
40

34

Natural Gas
MMBtu
(8
)
(175
)
Oil
Barrel
—

1

Power
MWh
14

5

Capacity
MW/Day
—

(1
)
Interest
Dollars
$
1,265

$
2,782

Schedule of derivative instruments in Statement of Financial Position, fair value
The following table summarizes the fair value within the derivative instrument valuation on the balance sheet:
 
Fair Value
 
Derivative Assets
 
Derivative Liabilities
(In millions)
September 30, 2011
 
December 31, 2010
 
September 30, 2011
 
December 31,
2010
Derivatives Designated as Cash Flow or Fair Value Hedges:
 
 
 
 
 
 
 
Interest rate contracts current
$
—

 
$
—

 
$
—

 
$
17

Interest rate contracts long-term
—

 
—

 
81

 
71

Commodity contracts current
203

 
392

 
—

 
2

Commodity contracts long-term
63

 
217

 
—

 
—

Total Derivatives Designated as Cash Flow or Fair Value Hedges
266

 
609

 
81

 
90

Derivatives Not Designated as Cash Flow or Fair Value Hedges:
 
 
 
 
 
 
 
Commodity contracts current
$
2,385

 
$
1,572

 
$
2,089

 
$
1,666

Commodity contracts long-term
470

 
541

 
326

 
294

Interest rate contracts long-term
—

 
—

 
1

 
—

Total Derivatives Not Designated as Cash Flow or
Fair Value Hedges
2,855

 
2,113

 
2,416

 
1,960

Total Derivatives
$
3,121

 
$
2,722

 
$
2,497

 
$
2,050


Schedule of cash flow hedge OCI activity
The following table summarizes the effects of ASC 815 Derivatives and Hedging, or ASC 815, on NRG’s accumulated OCI balance attributable to cash flow hedge derivatives, net of tax:
 
Three months ended September 30, 2011
 
Nine months ended September 30, 2011
(In millions)
Energy Commodities
 
Interest Rate
 
Total
 
Energy Commodities
 
Interest Rate
 
Total
Accumulated OCI beginning balance
$
332

 
$
(40
)
 
$
292

 
$
488

 
$
(47
)
 
$
441

Reclassified from accumulated OCI to income:
 
 
 
 
 
 
 
 
 
 
 
- Due to realization of previously deferred amounts
(91
)
 
—

 
(91
)
 
(281
)
 
11

 
(270
)
Mark-to-market of cash flow hedge accounting contracts
19

 
(4
)
 
15

 
53

 
(8
)
 
45

Accumulated OCI ending balance, net of $136 tax
$
260

 
$
(44
)
 
$
216

 
$
260

 
$
(44
)
 
$
216

Gains/(losses) expected to be realized from OCI during the next 12 months, net of $107 tax
$
186

 
$
(2
)
 
$
184

 
$
186

 
$
(2
)
 
$
184

Gains recognized in income from the ineffective portion of cash flow hedges
$
9

 
$
—

 
$
9

 
$
8

 
$
3

 
$
11


 
Three months ended September 30, 2010
 
Nine months ended September 30, 2010
(In millions)
Energy Commodities
 
Interest Rate
 
Total
 
Energy Commodities
 
Interest Rate
 
Total
Accumulated OCI beginning balance
$
575

 
$
(66
)
 
$
509

 
$
461

 
$
(55
)
 
$
406

Reclassified from accumulated OCI to income:
 
 
 
 
 
 
 
 
 
 
 
- Due to realization of previously deferred amounts
(110
)
 
—

 
(110
)
 
(344
)
 
—

 
(344
)
Mark-to-market of cash flow hedge accounting contracts
173

 
(4
)
 
169

 
521

 
(15
)
 
506

Accumulated OCI ending balance, net of $342 tax
$
638

 
$
(70
)
 
$
568

 
$
638

 
$
(70
)
 
$
568

Gains/(losses) expected to be realized from OCI during the next 12 months, net of $224 tax
$
407

 
$
(24
)
 
$
383

 
$
407

 
$
(24
)
 
$
383

Gains recognized in income from the ineffective portion of cash flow hedges
$
14

 
$
—

 
$
14

 
$
—

 
$
2

 
$
2

Schedule of derivative instruments, gain (loss) in interest income/(expense)

Accounting guidelines require a high degree of correlation between the derivative and the hedged item throughout the period in order to qualify as a cash flow hedge. As of July 31, 2011, the Company's regression analysis for natural gas prices to ERCOT power prices, while positively correlated, did not meet the required threshold for cash flow hedge accounting for calendar year 2011. As a result, the Company de-designated its 2011 ERCOT cash flow hedges as of July 31, 2011 and prospectively marked these derivatives to market through the income statement.
The following table summarizes the amount of gain/(loss) resulting from fair value hedges reflected in interest income/(expense) for interest rate contracts:
 
Three months ended September 30,
 
Nine months ended September 30,
(In millions)
2011
 
2010
 
2011
 
2010
Derivative
$
—

 
$
(3
)
 
$
—

 
$
—

Senior Notes (hedged item)
—

 
3

 
—

 
—

Disclosure of pre-tax effects of economic hedges included in operating revenues and cost of operations
.
The following table summarizes the pre-tax effects of economic hedges that did not qualify for cash flow hedge accounting, ineffectiveness on cash flow hedges, and trading activity on NRG's statement of operations. These gains are included within operating revenues and cost of operations.
 
Three months ended September 30,
 
Nine months ended September 30,
(In millions)
2011
 
2010
 
2011
 
2010
Unrealized mark-to-market results
 
 
 
 
 
 
 
Reversal of previously recognized unrealized losses/(gains) on settled positions related to economic hedges
$
50

 
$
(25
)
 
$
72

 
$
(116
)
Reversal of (gain)/loss positions acquired as part of the Reliant Energy acquisition as of May 1, 2009
(15
)
 
7

 
32

 
157

Reversal of loss positions acquired as part of the Green Mountain Energy acquisition as of November 5, 2010
4

 
 
 
28

 
—

Net unrealized (losses)/gains on open positions related to economic hedges
(7
)
 
(60
)
 
77

 
(129
)
Gains on ineffectiveness associated with open positions treated as
    cash flow hedges
9

 
14

 
8

 
—

Total unrealized mark-to-market gains/(losses) for economic hedging activities
41

 
(64
)
 
217

 
(88
)
Reversal of previously recognized unrealized losses on settled positions related to trading activity
8

 
20

 
22

 
46

Net unrealized gains on open positions related to trading activity
—

 
9

 
22

 
32

Total unrealized mark-to-market gains for trading activity
8

 
29

 
44

 
78

Total unrealized gains/(losses)
$
49

 
$
(35
)
 
$
261

 
$
(10
)