XML 51 R36.htm IDEA: XBRL DOCUMENT

Fair Value Accounting (Tables)

9 Months Ended

Sep. 30, 2020

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

The following tables summarize the carrying value and estimated market value of Cleco and Cleco Power’s financial instruments not measured at fair value on Cleco and Cleco Power’s Condensed Consolidated Balance Sheets:


Cleco
	AT SEPT. 30, 2020				AT DEC. 31, 2019
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	3,296,274	$	3,775,943	$	3,188,664	$	3,371,915

* The carrying value of long-term debt does not include deferred issuance costs of $14.0 million at September 30, 2020, and $13.7 million at December 31, 2019.

Fair Value of Financial Assets and Liabilities Measured On A Recurring Basis

The following tables disclose for Cleco and Cleco Power the fair value of financial assets and liabilities measured on a recurring basis:


Cleco
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT SEPT. 30, 2020		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2019		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset description
Institutional money market funds	$	530,475	$	—	$	530,475	$	—	$	129,643	$	—	$	129,643	$	—
FTRs	7,907		—		—		7,907		6,822		—		—		6,822
Other commodity derivatives	17,343		—		17,343		—		201		—		201		—
Total assets	$	555,725	$	—	$	547,818	$	7,907	$	136,666	$	—	$	129,844	$	6,822
Liability description
FTRs	$	2,580	$	—	$	—	$	2,580	$	1,044	$	—	$	—	$	1,044
Other commodity derivatives	—		—		—		—		5,373		—		5,373		—
Total liabilities	$	2,580	$	—	$	—	$	2,580	$	6,417	$	—	$	5,373	$	1,044

Net Changes in Net Fair Value of FTR Assets and Liabilities Classified as Level 3

The following tables summarize the changes in the net fair value of FTR assets and liabilities classified as Level 3 in the fair value hierarchy for Cleco and Cleco Power:


Cleco
	FOR THE THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	2020		2019		2020		2019
Beginning balance	$	8,040	$	14,665	$	5,778	$	22,887
Unrealized losses*	4		(1,234)		(736)		(4,488)
Purchases	443		557		10,175		26,401
Settlements	(3,160)		(5,319)		(9,890)		(36,131)
Ending balance	$	5,327	$	8,669	$	5,327	$	8,669
* Cleco Power’s unrealized losses are reported through Accumulated deferred fuel on Cleco’s Condensed Consolidated Balance Sheet. Cleco Cajun’s unrealized (losses) gains are reported through Purchased power on Cleco’s Condensed Consolidated Income Statement.

Significant Unobservable Inputs Used in Developing Fair Value of Level 3 Positions

The following tables quantify the significant unobservable inputs used in developing the fair value of Level 3 positions for Cleco and Cleco Power as of September 30, 2020, and December 31, 2019:


Cleco
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW		HIGH
FTRs at Sept. 30, 2020	$	7,907	$	2,580	RTO auction pricing	FTR price - per MWh	$	(4.01)	$	4.62
FTRs at Dec. 31, 2019	$	6,822	$	1,044	RTO auction pricing	FTR price - per MWh	$	(2.57)	$	2.86

Institutional Money Market Funds

The following tables present the institutional money market funds in cash and cash equivalents and restricted cash and cash equivalents as recorded on Cleco and Cleco Power’s Condensed Consolidated Balance Sheets at September 30, 2020, and December 31, 2019:


Cleco
(THOUSANDS)	AT SEPT. 30, 2020		AT DEC. 31, 2019
Cash and cash equivalents	$	525,112	$	103,409
Current restricted cash and cash equivalents	$	4,619	$	11,100
Non-current restricted cash and cash equivalents	$	744	$	15,134

Fair Value of Derivative Instruments as Recorded in Condensed Consolidated Balance Sheets

The following tables present the fair values of derivative instruments and their respective line items as recorded on Cleco and Cleco Power’s Condensed Consolidated Balance Sheets at September 30, 2020, and December 31, 2019:


Cleco
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
(THOUSANDS)	BALANCE SHEET LINE ITEM	AT SEPT. 30, 2020		AT DEC. 31, 2019
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	7,907	$	6,822
Current	Energy risk management liabilities	(2,580)		(1,044)
Other commodity derivatives
Current	Energy risk management assets	12,067		201
Non-current	Other deferred charges	5,276		—
Current	Energy risk management liabilities	—		(3,069)
Non-current	Other deferred credits	—		(2,304)
Commodity-related contracts, net		$	22,670	$	606

Amount of Gain (Loss) Recognized in Income on Derivatives

The following tables present the effect of derivatives not designated as hedging instruments on Cleco and Cleco Power’s Condensed Consolidated Statements of Income for the three and nine months ended September 30, 2020, and 2019:


Cleco
	AMOUNT OF GAIN(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2020		2019		2020		2019
Commodity-related contracts
FTRs(1)	Electric operations	$	3,013	$	1,997	$	6,262	$	12,396
FTRs(1)	Purchased power	(763)		(2,648)		(1,053)		(12,985)
Other commodity derivatives	Fuel used for electric generation	20,307		3,474		22,515		704
Total		$	22,557	$	2,823	$	27,724	$	115

(1) For the three and nine months ended September 30, 2020, unrealized gains associated with FTRs for Cleco Power of $0.4 million and $1.4 million, respectively, were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2019, unrealized losses associated with FTRs for Cleco Power of $1.7 million and $3.6 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

CLECO POWER

Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items]

Carrying Value and Estimated Fair Value


Cleco Power
	AT SEPT. 30, 2020				AT DEC. 31, 2019
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	1,494,870	$	1,934,186	$	1,380,688	$	1,601,865

* The carrying value of long-term debt does not include deferred issuance costs of $7.2 million at September 30, 2020, and $7.4 million at December 31, 2019.

Fair Value of Financial Assets and Liabilities Measured On A Recurring Basis


Cleco Power
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT SEPT. 30, 2020		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2019		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset description
Institutional money market funds	$	326,731	$	—	$	326,731	$	—	$	74,903	$	—	$	74,903	$	—
FTRs	7,177		—		—		7,177		6,311		—		—		6,311
Total assets	$	333,908	$	—	$	326,731	$	7,177	$	81,214	$	—	$	74,903	$	6,311
Liability description
FTRs	$	1,765	$	—	$	—	$	1,765	$	586	$	—	$	—	$	586
Total liabilities	$	1,765	$	—	$	—	$	1,765	$	586	$	—	$	—	$	586

Net Changes in Net Fair Value of FTR Assets and Liabilities Classified as Level 3


Cleco Power
	FOR THE THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	2020		2019		2020		2019
Beginning balance	$	7,511	$	13,910	$	5,725	$	22,887
Unrealized gains (losses)*	426		(1,700)		1,355		(3,644)
Purchases	443		1,133		8,219		20,961
Settlements	(2,968)		(5,319)		(9,887)		(32,180)
Ending balance	$	5,412	$	8,024	$	5,412	$	8,024
* Unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco Power’s Condensed Consolidated Balance Sheet.

Significant Unobservable Inputs Used in Developing Fair Value of Level 3 Positions


Cleco Power
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW		HIGH
FTRs at Sept. 30, 2020	$	7,177	$	1,765	RTO auction pricing	FTR price - per MWh	$	(2.41)	$	4.62
FTRs at Dec. 31, 2019	$	6,311	$	586	RTO auction pricing	FTR price - per MWh	$	(2.04)	$	2.86

Institutional Money Market Funds


Cleco Power
(THOUSANDS)	AT SEPT. 30, 2020		AT DEC. 31, 2019
Cash and cash equivalents	$	322,112	$	49,509
Current restricted cash and cash equivalents	$	4,619	$	11,100
Non-current restricted cash and cash equivalents	$	—	$	14,294

Fair Value of Derivative Instruments as Recorded in Condensed Consolidated Balance Sheets


Cleco Power
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
(THOUSANDS)	BALANCE SHEET LINE ITEM	AT SEPT. 30, 2020		AT DEC. 31, 2019
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	7,177	$	6,311
Current	Energy risk management liabilities	(1,765)		(586)
Commodity-related contracts, net		$	5,412	$	5,725

Amount of Gain (Loss) Recognized in Income on Derivatives


Cleco Power
	AMOUNT OF GAIN(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2020		2019		2020		2019
Commodity-related contracts
FTRs(1)	Electric operations	$	3,013	$	1,997	$	6,262	$	12,400
FTRs(1)	Purchased power	(2,326)		(1,828)		(4,397)		(4,800)
Total		$	687	$	169	$	1,865	$	7,600

(1) For the three and nine months ended September 30, 2020, unrealized gains associated with FTRs of $0.4 million and $1.4 million, respectively. were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2019, unrealized losses associated with FTRs of $1.7 million and $3.6 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

- Definition

Tabular disclosure of all significant concentrations of risk, including credit risk and market risk, arising from all financial instruments (as defined), whether from an individual counterparty or groups of counterparties. The disclosure concerning concentrations of risk may consist of the following information: (1) for concentrations of credit risk disclosure may include: (a) information about the (shared) activity, region, or economic characteristic that identifies the concentration, (b) the maximum amount of loss due to credit risk that, based on the gross fair value of the financial instrument, the entity would incur if parties to the financial instruments that make up the concentration failed completely to perform according to the terms of the contracts and the collateral or other security, if any, for the amount due proved to be of no value to the entity, (c) the policy of requiring collateral or other security to support financial instruments subject to credit risk, information about the entity's access to that collateral or other security, and the nature and a brief description of the collateral or other security supporting those financial instruments, and (d) the policy of entering into master netting arrangements to mitigate the credit risk of financial instruments, information about the arrangements for which the entity is a party, and a brief description of the terms of those arrangements, including the extent to which they would reduce the entity's maximum amount of loss due to credit risk and (2) for disclosure of quantitative information about the market risks of financial instruments that is consistent with the way the company manages or adjusts those risks, disclosure may include: (a) more details about current positions and perhaps activity during the period, (b) the hypothetical effects on comprehensive income (or net assets), or annual income, of several possible changes in market prices, (c) a gap analysis of interest rate re-pricing or maturity dates, (d) the duration of the financial instruments, (e) the entity's value at risk from derivatives and from other positions at the end of the reporting period and the average value at risk during the year, or (f) other ways of reporting quantitative information as internally developed.

+ References + Details