SEC Filings

10-K
NRG ENERGY, INC. filed this Form 10-K on 02/29/2016
Entire Document
 
                

Fair Value Accounting under ASC 820
ASC 820 establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value into three levels as follows:
Level 1 — quoted prices (unadjusted) in active markets for identical assets or liabilities that the Company has the ability to access as of the measurement date. NRG's financial assets and liabilities utilizing Level 1 inputs include active exchange-traded securities, energy derivatives, and trust fund investments.
Level 2 — inputs other than quoted prices included within Level 1 that are directly observable for the asset or liability or indirectly observable through corroboration with observable market data. NRG's financial assets and liabilities utilizing Level 2 inputs include fixed income securities, exchange-based derivatives, and over the counter derivatives such as swaps, options and forward contracts.
Level 3 — unobservable inputs for the asset or liability only used when there is little, if any, market activity for the asset or liability at the measurement date. NRG's financial assets and liabilities utilizing Level 3 inputs include infrequently-traded, non-exchange-based derivatives and commingled investment funds, and are measured using present value pricing models.
In accordance with ASC 820, the Company determines the level in the fair value hierarchy within which each fair value measurement in its entirety falls, based on the lowest level input that is significant to the fair value measurement in its entirety.
Recurring Fair Value Measurements
Debt securities, equity securities, and trust fund investments, which are comprised of various U.S. debt and equity securities, and derivative assets and liabilities, are carried at fair market value.
The following tables present assets and liabilities measured and recorded at fair value on the Company's consolidated balance sheets on a recurring basis and their level within the fair value hierarchy:
 
As of December 31, 2015
 
Fair Value
 
Level 1
 
Level 2
 
Level 3
 
Total
 
(In millions)
Investment in available-for-sale securities (classified within other non-current assets):
 
 
 
 
 
 
 
Debt securities
$

 
$

 
$
17

 
$
17

Available-for-sale securities
9

 

 

 
9

Other (a)
14

 

 

 
14

Nuclear trust fund investments:
 
 
 
 
 
 
 
Cash and cash equivalents
6

 

 

 
6

U.S. government and federal agency obligations
54

 
1

 

 
55

Federal agency mortgage-backed securities

 
59

 

 
59

Commercial mortgage-backed securities

 
25

 

 
25

Corporate debt securities

 
81

 

 
81

Equity securities
280

 

 
54

 
334

Foreign government fixed income securities

 
1

 

 
1

Other trust fund investments:
 
 
 
 
 
 
 
U.S. government and federal agency obligations
1

 

 

 
1

Derivative assets:
 
 
 
 
 
 
 
Commodity contracts
622

 
1,449

 
149

 
2,220

Total assets
$
986

 
$
1,616

 
$
220

 
$
2,822

Derivative liabilities:
 
 
 
 
 
 
 
Commodity contracts
$
868

 
$
1,036

 
$
182

 
$
2,086

Interest rate contracts

 
128

 

 
128

Total liabilities
$
868

 
$
1,164

 
$
182

 
$
2,214

(a)
Consists primarily of mutual funds held in a rabbi trust for non-qualified deferred compensation plans for some key and highly compensated employees and a total return swap that does not meet the definition of a derivative.

148