NRG · 10-Q · 2026Q2 · Full report
Derivative Exposure and Valuation
NRG ENERGY, INC. · 2026-08-04 · Importance 41 · Surprise 22 · In source text
NRG uses power, fuel, and energy-related derivatives to hedge exposure to spot-market prices, fuel requirements, and retail load obligations. As of June 30, 2026, NRG reported a net derivative asset of $358 million, down $39 million from December 31, 2025, primarily due to fair-value losses and LSP Portfolio contracts acquired, partly offset by settled trades. A $0.50 per MMBtu change in natural-gas prices would change the net derivative value by approximately $879 million as of June 30, 2026. NRG also uses interest-rate derivatives for debt-related rate risk and foreign-exchange contracts primarily for U.S.-dollar-denominated natural-gas purchases supporting its Canadian business.
Key facts
- As of June 30, 2026, NRG had energy-related derivative instruments extending through 2036 and energy-related contracts that qualified for NPNS extending through 2037. source
- As of December 31, 2025 and June 30, 2026, respectively, includes $484 million and $471 million of derivative contracts that were elected as NPNS on October 1, 2024 and are no longer valued at fair value on a recurring basis. source
- Total long-term debt classified by fair value hierarchy as of June 30, 2026: Level 2 = $21,087 million; Level 3 = $1,933 million. source
- Investments and derivative assets total fair value as of June 30, 2026: total assets $4,293 million and derivative assets (commodity) $4,230 million (with Level 2 $3,645 million). source
- Derivative liabilities (commodity) fair value as of June 30, 2026: $4,094 million with Level 2 $3,364 million; total liabilities $4,365 million. source
- As of June 30, 2026, derivative assets - commodity contracts current: $2,982 million and derivative liabilities - commodity contracts current: $2,917 million. source
- Total Derivatives Not Designated as Cash Flow or Fair Value Hedges as of June 30, 2026: derivative assets $4,252 million and derivative liabilities $4,365 million. source
- Total Derivatives Not Designated as Cash Flow or Fair Value Hedges including NPNS deferred gains/losses as of June 30, 2026: assets $4,805 million and liabilities $4,447 million. source
Impact estimates
| metric | direction | stage | expected | basis |
|---|---|---|---|---|
| operating_income | positive | realized | +3.7% | For the three months ended June 30, 2026, there was a $271 million gain in operating costs and expenses from economic hedge positions |
| operating_income | positive | realized | +1.5% | Mark-to-market revenues loss for the six months ended June 30, 2026: total $24 million loss in revenues from economic hedge positions and… |
| revenue | negative | realized | -0.3% | Mark-to-market revenues loss for the six months ended June 30, 2026: total $24 million loss in revenues from economic hedge positions and… |
| assets | negative | realized | -0.1% | NRG's net derivative asset was $358 million as of June 30, 2026, a decrease to total fair value of $39 million as compared to December 31,… |
| assets | unclear | realized | — | As of December 31, 2025 and June 30, 2026, respectively, includes $484 million and $471 million of derivative contracts that were elected… |