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Fair Value of Financial Instruments (Tables)
9 Months Ended
Sep. 30, 2019
Fair Value Disclosures [Abstract]  
Estimated carrying amounts and fair values of NRG's recorded financial instruments not carried at fair market value
The estimated carrying amounts and fair values of NRG's recorded financial instruments not carried at fair market value are as follows:
September 30, 2019December 31, 2018
Carrying AmountFair ValueCarrying AmountFair Value
 (In millions)
Assets:    
Notes receivable
$11  $ $17  $14  
Liabilities:
Long-term debt, including current portion (a)
6,168  6,706  6,591  6,697  
(a) Excludes deferred financing costs, which are recorded as a reduction to long-term debt in the Company's consolidated balance sheets
Fair Value, Hierarchy for Long-term Debt The following table presents the level within the fair value hierarchy for long-term debt, including current portion, as of September 30, 2019 and December 31, 2018:
September 30, 2019December 31, 2018
Level 2Level 3Level 2Level 3
 (In millions)
Long-term debt, including current portion$6,375  $331  $6,528  $169  
Assets and liabilities measured and recorded at fair value on the consolidated balance sheets on a recurring basis
The following tables present assets and liabilities measured and recorded at fair value on the Company's condensed consolidated balance sheets on a recurring basis and their level within the fair value hierarchy:
September 30, 2019
(In millions)TotalLevel 1Level 2Level 3
Investments in securities (classified within other current and non-current assets)
$24  $—  $19  $ 
Nuclear trust fund investments: 
Cash and cash equivalents20  20  —  —  
U.S. government and federal agency obligations51  51  —  —  
Federal agency mortgage-backed securities97  —  97  —  
Commercial mortgage-backed securities27  —  27  —  
Corporate debt securities112  —  112  —  
Equity securities372  372  —  —  
Foreign government fixed income securities —   —  
Other trust fund investments:
U.S. government and federal agency obligations  —  —  
Derivative assets: 
Commodity contracts1,093  92  878  123  
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments72  
       Equity securities 
Total assets$1,881  $536  $1,138  $128  
Derivative liabilities: 
Commodity contracts$1,032  $151  $771  $110  
Total liabilities$1,032  $151  $771  $110  
December 31, 2018
(In millions)TotalLevel 1Level 2Level 3
Investments in securities (classified within other current and non-current assets)$39  $ $18  $19  
Nuclear trust fund investments:
Cash and cash equivalents19  19  —  —  
U.S. government and federal agency obligations46  46  —  —  
Federal agency mortgage-backed securities100  —  100  —  
Commercial mortgage-backed securities22  —  22  —  
Corporate debt securities96  —  96  —  
Equity securities312  312  —  —  
Foreign government fixed income securities —   —  
Other trust fund investments:
U.S. government and federal agency obligations  —  —  
Derivative assets: 
Commodity contracts1,042  137  796  109  
Interest rate contracts39  —  39  —  
Measured using net asset value practical expedient:
Equity securities — nuclear trust fund investments64  
       Equity securities 
Total assets$1,792  $517  $1,075  $128  
Derivative liabilities: 
Commodity contracts$977  $224  $664  $89  
Total liabilities$977  $224  $664  $89  
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
There were no transfers during the three and nine months ended September 30, 2019 and 2018 between Levels 1 and 2. The following tables reconcile, for the three and nine months ended September 30, 2019 and 2018, the beginning and ending balances for financial instruments that are recognized at fair value in the condensed consolidated financial statements, at least annually, using significant unobservable inputs:
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
Three months ended September 30, 2019Nine months ended September 30, 2019
(In millions)Debt Securities
Derivatives(a)
TotalDebt Securities
Derivatives(a)
Total
Beginning balance $19  $97  $116  $19  $20  $39  
Contracts added from acquisitions
—  (2) (2) —  (3) (3) 
Total (losses)/gains — realized/unrealized:
Included in earnings—  (18) (18)  (45) (44) 
Included in OCI(14) —  (14) (14) —  (14) 
Cash received—  —  —  (1) —  (1) 
Purchases—  38  38  —  26  26  
Transfers into Level 3(b)
—  (126) (126) —    
Transfers out of Level 3(b)
—  24  24  —  11  11  
Ending balance as of September 30, 2019$ $13  $18  $ $13  $18  
Gains for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held as of September 30, 2019
$—  $44  $44  $ $13  $14  
(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 in/out are with Level 2
Fair Value Measurement Using Significant Unobservable Inputs (Level 3)
Three months ended September 30, 2018Nine months ended September 30, 2018
(In millions)Debt Securities
Derivatives(a)
TotalDebt Securities
Derivatives(a)
Total
Beginning balance $19  $174  $193  $19  $(15) $ 
Contracts added in XOOM acquisition—  —  —  —  12  12  
Total (losses) — realized/unrealized
included in earnings
—  —  —  —  (15) (15) 
Purchases—  12  12  —    
Transfers into Level 3(b)
—  (201) (201) —  (4) (4) 
Transfers out of Level 3(b)
—    —  —  —  
Ending balance as of September 30, 2018$19  $(13) $ $19  $(13) $ 
(Losses) for the period included in earnings attributable to the change in unrealized gains or losses relating to assets or liabilities still held as of September 30, 2018
$—  $(3) $(3) $—  $(18) $(18) 
(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 in/out are with Level 2
Significant unobservable inputs used developing fair values, Quantitative Information
The following tables quantify the significant unobservable inputs used in developing the fair value of the Company's Level 3 positions as of September 30, 2019 and December 31, 2018:
September 30, 2019
Fair ValueInput/Range
AssetsLiabilitiesValuation TechniqueSignificant Unobservable InputLowHighWeighted Average
(In millions)
Power Contracts$89  $98  Discounted Cash FlowForward Market Price (per MWh)$ $217  $22  
FTRs34  12  Discounted Cash FlowAuction Prices (per MWh)(134) 60  0
$123  $110  
December 31, 2018
Fair ValueInput/Range
AssetsLiabilitiesValuation TechniqueSignificant Unobservable InputLowHighWeighted Average
(In millions)
Power Contracts$89  $75  Discounted Cash FlowForward Market Price (per MWh)$ $214  $31  
FTRs20  14  Discounted Cash FlowAuction Prices (per MWh)(90) 34  0
$109  $89  
Fair value inputs, sensitivity analysis The following table provides sensitivity of fair value measurements to increases/(decreases) in significant unobservable inputs as of September 30, 2019 and December 31, 2018:
Significant Unobservable InputPositionChange In InputImpact on Fair Value Measurement
Forward Market Price PowerBuy  Increase/(Decrease)Higher/(Lower) 
Forward Market Price PowerSell  Increase/(Decrease) Lower/(Higher) 
FTR PricesBuy  Increase/(Decrease) Higher/(Lower) 
FTR PricesSell  Increase/(Decrease) Lower/(Higher) 
Net counterparty credit exposure by industry sector and by counterparty credit quality The following tables highlight net counterparty credit exposure by industry sector and by counterparty credit quality. 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 NPNS, and non-derivative transactions. The exposure is shown net of collateral held and includes amounts net of receivables or payables.
 
Net Exposure(a)(b)
Category by Industry Sector(% of Total)
Utilities, energy merchants, marketers and other84 %
Financial institutions16  
Total as of September 30, 2019100 %
 
Net Exposure (a) (b)
Category by Counterparty Credit Quality(% of Total)
Investment grade54 %
Non-investment grade/non-rated46  
Total as of September 30, 2019100 %
(a)Counterparty credit exposure excludes uranium and coal transportation contracts because of the unavailability of market prices
(b)The figures in the tables above exclude potential counterparty credit exposure related to RTOs, ISOs, registered commodity exchanges and certain long-term contracts