designate derivatives as cash flow or fair value hedges, as allowed by accounting guidance. Cleco utilizes a mark-to-market approach recognizing changes in the fair value of FTRs and commodity derivatives at Cleco Cajun in earnings and changes in the fair value of FTRs at Cleco Power as a component of deferred fuel assets and liabilities. Cleco utilizes different valuation techniques for fair value measurements under a fair value hierarchy. Assets and liabilities classified as Level 1 under the hierarchy utilize observable inputs that reflect quotable prices in active markets. Assets and liabilities classified as Level 2 are measured through proxy inputs of similar index or composite pricing. Assets and liabilities classified as Level 3 under the hierarchy are valued based on unobservable inputs, such as internally generated valuation models or valuations obtained in inactive markets where there is no readily available information. Cleco has consistently

applied the Level 2 and Level 3 fair value techniques from fiscal period to fiscal period. Significant increases or decreases in any of those inputs in isolation would result in a significantly different fair value measurement. The assets and liabilities reported at fair value are grouped into classes based on the underlying nature and risks associated with the individual asset or liability. During the years ended December 31, 2021, and 2020, Cleco did not experience any transfers into or out of Level 3 of the fair value hierarchy.

The following tables disclose for Cleco and Cleco Power the fair value of financial assets and liabilities measured on a recurring basis. These amounts are presented on a gross basis before consideration of amounts netted under master netting agreements and the application of collateral received or paid:


Cleco
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT DEC. 31, 2021		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2020		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset Description
Money market funds	$	145,033	$	145,033	$	—	$	—	$	86,001	$	—	$	86,001	$	—
FTRs	6,977		—		—		6,977		4,805		—		—		4,805
Natural gas derivatives	87,464		—		87,464		—		8,599		—		8,599		—
Total assets	$	239,474	$	145,033	$	87,464	$	6,977	$	99,405	$	—	$	94,600	$	4,805
Liability Description

FTRs	$	834	$	—	$	—	$	834	$	1,625	$	—	$	—	$	1,625
Natural gas derivatives	—		—		—		—		1,612		—		1,612		—
Total liabilities	$	834	$	—	$	—	$	834	$	3,237	$	—	$	1,612	$	1,625


Cleco Power
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT DEC. 31, 2021		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2020		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)
Asset Description
Money market funds	$	82,411	$	82,411	$	—	$	—	$	25,357	$	—	$	25,357	$	—
FTRs	5,515		—		—		5,515		4,337		—		—		4,337
Total assets	$	87,926	$	82,411	$	—	$	5,515	$	29,694	$	—	$	25,357	$	4,337
Liability Description

FTRs	$	597	$	—	$	—	$	597	$	1,121	$	—	$	—	$	1,121
Total liabilities	$	597	$	—	$	—	$	597	$	1,121	$	—	$	—	$	1,121

The following tables summarize the net 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 YEAR ENDED DEC. 31,
(THOUSANDS)	2021		2020
Beginning balance	$	3,180	$	5,778
Unrealized gains *	2,567		187
Purchases	12,061		11,333
Settlements	(11,665)		(14,118)
Ending balance	$	6,143	$	3,180
* Cleco Power’s unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco’s Consolidated Balance Sheet. Cleco Cajun’s unrealized gains (losses) are reported through Purchased power on Cleco’s Consolidated Statement of Income.


Cleco Power
	FOR THE YEAR ENDED DEC. 31,
(THOUSANDS)	2021		2020
Beginning balance	$	3,216	$	5,725
Unrealized gains *	2,828		450
Purchases	9,871		9,378
Settlements	(10,997)		(12,337)
Ending balance	$	4,918	$	3,216
* Unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco Power's Consolidated Balance Sheets.

Cleco Power and Cleco Cajun’s FTRs are valued using MISO’s monthly auction prices. Forward seasonal periods are not included in every monthly auction; therefore, the average of the most recent seasonal auction prices is used for monthly valuation. FTRs are categorized as Level 3 fair value measurements because the only relevant value available comes from MISO auctions, which occur monthly in the Multi-Period Monthly Auction.

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 December 31, 2021:


Cleco
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT DOLLAR PER MWh)	Assets		Liabilities				Low		High
FTRs at December 31, 2021	$	6,977	$	834	RTO auction pricing	FTR price - per MWh	$	(3.94)	$	9.25
FTRs at December 31, 2020	$	4,805	$	1,625	RTO auction pricing	FTR price - per MWh	$	(3.49)	$	4.36


Cleco Power
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT DOLLAR PER MWh)	Assets		Liabilities				Low		High
FTRs at December 31, 2021	$	5,515	$	597	RTO auction pricing	FTR price - per MWh	$	(4.91)	$	9.25
FTRs at December 31, 2020	$	4,337	$	1,121	RTO auction pricing	FTR price - per MWh	$	(3.34)	$	4.36

As a result of the 2016 Merger, fair value adjustments were recorded on Cleco’s Consolidated Balance Sheet for the valuation of a finite intangible asset relating to the Cleco Power trade name. In August 2021, a wholesale customer that is currently under contract with Cleco Power through March 31, 2024, informed Cleco Power that it was not selected through its request for proposal process as a provider of load after the first quarter of 2024. Cleco considered this to be a triggering event and determined that the carrying value of the trade name intangible asset may not be recoverable. Therefore, a valuation of the Cleco Power trade name was conducted to test for impairment. A discounted cash flow model utilizing the significant unobservable input of estimated weighted average cost of capital of 8% was used to determine the fair value of the Cleco Power trade name. As a result, Cleco determined that the fair value of the Cleco Power trade name was less than its carrying value and an impairment of $3.8 million was recognized reducing the carrying value to zero. The fair value measurement of the intangible asset is classified as Level 3 in the fair value hierarchy. For more information on the Cleco

Power trade name intangible asset, see Note 17 — “Intangible Assets, Intangible Liabilities, and Goodwill.”

Concentrations of Credit Risk

At December 31, 2021, Cleco and Cleco Power were exposed to concentrations of credit risk through their short-term investments classified as cash equivalents and restricted cash equivalents. The following tables present the money market funds in cash and cash equivalents and restricted cash and cash equivalents as recorded on Cleco and Cleco Power’s Consolidated Balance Sheets at December 31, 2021, and 2020:


Cleco
	FOR THE YEAR ENDED DEC. 31,
(THOUSANDS)	2021		2020
Cash and cash equivalents	$	145,011	$	80,712
Current restricted cash and cash equivalents	$	—	$	4,545
Non-current restricted cash and cash equivalents	$	22	$	744


Cleco Power
	FOR THE YEAR ENDED DEC. 31,
(THOUSANDS)	2021		2020
Cash and cash equivalents	$	82,411	$	20,812
Current restricted cash and cash equivalents	$	—	$	4,545

Money market fund assets are discounted to the current period using a published U.S. Treasury interest rate as a proxy for a risk-free rate of return. If the money market funds failed to perform under the terms of the investments, Cleco and Cleco Power would be exposed to a loss of the invested amounts. Collateral on these types of investments is not required by either Cleco or Cleco Power. The Level 1 money market funds asset consists of two classes. In order to capture interest income and minimize risk, cash is invested in money market

funds that invest primarily in short-term securities issued by the U. S. government to maintain liquidity and achieve the goal of a net asset value of a dollar. The risks associated with this class are counterparty risk of the fund manager and risk of price volatility associated with the underlying securities of the fund.

Cleco may be required to provide credit support or pay liquidated damages with respect to any open trading contracts that Cleco has entered into or may enter into in the future. The amount of credit support that Cleco may be required to provide at any point in the future is dependent on the amount of the initial contract, changes in the market price, changes in open contracts, and changes in the amounts counterparties owe to Cleco. Changes in any of these factors could cause the amount of requested credit support to increase or decrease.

Commodity Contracts

On Cleco’s Consolidated Balance Sheets, the fair value of amounts associated with Cleco Cajun’s derivative instruments are offset with related cash collateral balances with the same counterparty. There were no offsetting amounts at December 31, 2020. The following tables present the fair values of derivative instruments and their respective line items as recorded on Cleco and Cleco Power’s Consolidated Balance Sheets at December 31, 2021, and 2020:


Cleco
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
		AT DEC. 31, 2021								AT DEC. 31, 2020
				GROSS AMOUNTS OFFSET ON THE BALANCE SHEET				GROSS AMOUNTS NOT OFFSET ON THE BALANCE SHEET (1)
(THOUSANDS)	BALANCE SHEET LINE ITEM	GROSS ASSET (LIABILITY)		CONTRACT NETTING		NET ASSET (LIABILITY) ON THE BALANCE SHEET		COLLATERAL		NET AMOUNT		NET ASSET (LIABILITY) ON THE BALANCE SHEET (2)
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	6,977	$	—	$	6,977	$	—	$	6,977	$	4,805
Current	Energy risk management liabilities	(834)		—		(834)		—		(834)		(1,625)
Natural gas derivatives
Current	Energy risk management assets	37,061		(559)		36,502		(15,000)		21,502		8,276
Non-current	Energy risk management assets	50,962		—		50,962		—		50,962		323
Current	Energy risk management liabilities	(559)		559		—		—		—		(828)
Non-current	Other deferred credits	—		—		—		—		—		(784)
Commodity-related contracts, net		$	93,607	$	—	$	93,607	$	(15,000)	$	78,607	$	10,167

(1) Represents letters of credit by counterparties.

(2) There were no offsetting amounts on or off Cleco’s Consolidated Balance Sheet at December 31, 2020.


Cleco Power
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
(THOUSANDS)	BALANCE SHEET LINE ITEM	AT DEC. 31, 2021		AT DEC. 31, 2020
Commodity-related contracts
FTRs:
Current	Energy risk management assets	$	5,515	$	4,337
Current	Energy risk management liabilities	(597)		(1,121)
Commodity-related contracts, net		$	4,918	$	3,216

At December 31, 2021, and 2020, there was no cash collateral posted with or received from counterparties that was netted on Cleco’s Consolidated Balance Sheet.

The following tables present the effect of derivatives not designated as hedging instruments on Cleco and Cleco Power’s Consolidated Statements of Income for the years December 31, 2021, 2020, and 2019:


Cleco
	AMOUNT OF GAIN/(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE YEAR ENDED DEC. 31,
(THOUSANDS)	DERIVATIVES LINE ITEM	2021		2020		2019
Commodity contracts
FTRs(1)	Electric operations	$	12,797	$	9,213	$	13,043
FTRs(1)	Purchased power	(6,237)		(3,467)		(15,685)
Natural gas derivatives	Fuel used for electric generation	134,144		(12,159)		(5,172)
Total		$	140,704	$	(6,413)	$	(7,814)

(1) For the years ended December 31, 2021, 2020, and 2019, unrealized gains (losses) associated with FTRs for Cleco Power of $2.8 million, $0.5 million and $(1.7) million, respectively, were reported through Accumulated deferred fuel on the balance sheet.


Cleco Power
		AMOUNT OF GAIN/(LOSS) RECOGNIZED IN INCOME ON DERIVATIVES
		FOR THE YEAR ENDED DEC. 31,
(THOUSANDS)	DERIVATIVES LINE ITEM	2021		2020		2019
Commodity contracts
FTRs(1)	Electric operations	$	12,797	$	9,213	$	13,047
FTRs(1)	Purchased power	(10,360)		(6,803)		(6,066)
Total		$	2,437	$	2,410	$	6,981

(1) For the years ended December 31, 2021, 2020, and 2019, unrealized gains (losses) associated with FTRs of $2.8 million, $0.5 million, and $(0.9) million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

The following tables present the volume of commodity-related derivative contracts outstanding at December 31, 2021, and December 31, 2020, for Cleco and Cleco Power:

Cleco

TOTAL VOLUME OUTSTANDING

(THOUSAND)

UNIT OF MEASURE

AT DEC. 31, 2021

AT DEC. 31, 2020

Commodity-related contracts

FTRs

MWh

14,055

15,269

Natural gas derivatives

MMBtus

109,306

73,000

Cleco Power