XML 54 R40.htm IDEA: XBRL DOCUMENT

Fair Value Accounting and Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2022

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’s and Cleco Power’s financial instruments not measured at fair value on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheets:


Cleco
	AT SEPT. 30, 2022				AT DEC. 31, 2021
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	3,577,030	$	3,284,781	$	3,482,405	$	3,752,220

* The carrying value of long-term debt does not include deferred issuance costs of $16.9 million at
September 30, 2022, and $13.2 million at December 31, 2021.

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. 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 SEPT. 30, 2022		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		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)
Asset description
Money market funds	$	218,259	$	218,259	$	—	$	—	$	145,033	$	145,033	$	—	$	—
FTRs	5,977		—		—		5,977		6,977		—		—		6,977
Natural gas derivatives*	166,226		—		166,226		—		87,464		—		87,464		—
Total assets	$	390,462	$	218,259	$	166,226	$	5,977	$	239,474	$	145,033	$	87,464	$	6,977
Liability description
FTRs	$	3,982	$	—	$	—	$	3,982	$	834	$	—	$	—	$	834
Natural gas derivatives*	977		—		977		—		—		—		—		—
Total liabilities	$	4,959	$	—	$	977	$	3,982	$	834	$	—	$	—	$	834

* Natural gas derivatives include fixed price physical forwards and swap transactions.

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

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 THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	2022		2021		2022		2021
Beginning balance	$	4,682	$	7,501	$	6,143	$	3,180
Unrealized gains (losses)*	1,821		3,955		(1,920)		18,861
Purchases	168		619		7,234		11,426
Settlements	(4,676)		(4,326)		(9,462)		(25,718)
Ending balance	$	1,995	$	7,749	$	1,995	$	7,749
* Cleco Power’s unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco’s Condensed Consolidated Balance Sheet. Cleco Cajun’s unrealized gains (losses) 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, 2022, and December 31, 2021:


Cleco
	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW		HIGH
FTRs at Sept. 30, 2022	$	5,977	$	3,982	RTO auction pricing	FTR price - per MWh	$	(14.33)	$	18.50
FTRs at Dec. 31, 2021	$	6,977	$	834	RTO auction pricing	FTR price - per MWh	$	(3.94)	$	9.25

Institutional Money Market Funds

The following tables present the money market funds in cash and cash equivalents and restricted cash and cash equivalents as recorded on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheets at September 30, 2022, and December 31, 2021:


Cleco
(THOUSANDS)	AT SEPT. 30, 2022		AT DEC. 31, 2021
Cash and cash equivalents	$	94,713	$	145,011
Current restricted cash and cash equivalents	$	14,902	$	—
Non-current restricted cash and cash equivalents	$	108,644	$	22

Offsetting Assets

The following tables present the fair values of derivative instruments and their respective line items as recorded on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheets at September 30, 2022, and December 31, 2021:


Cleco
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
		AT SEPT. 30, 2022
				GROSS AMOUNTS OFFSET ON THE BALANCE SHEET				GROSS AMOUNTS NOT OFFSET ON THE BALANCE SHEET (1)
(THOUSANDS)	BALANCE SHEET LINE ITEM	GROSS ASSET (LIABILITY)		CASH COLLATERAL		NET ASSET (LIABILITY) ON THE BALANCE SHEET		COLLATERAL		NET AMOUNT
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	5,977	$	—	$	5,977	$	—	$	5,977
Current	Energy risk management liabilities	(3,982)		—		(3,982)		—		(3,982)
Natural gas derivatives
Current	Energy risk management assets	105,206		(30,271)		74,935		(73,669)		1,266
Non-current	Energy risk management assets	97,982		(6,129)		91,853		(34,338)		57,515
Current	Energy risk management liabilities	(1,539)		—		(1,539)		—		(1,539)

Commodity-related contracts, net		$	203,644	$	(36,400)	$	167,244	$	(108,007)	$	59,237

(1) Represents letters of credit by counterparties.



	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
		AT DEC. 31, 2021
				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
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	6,977	$	—	$	6,977	$	—	$	6,977
Current	Energy risk management liabilities	(834)		—		(834)		—		(834)
Natural gas derivatives
Current	Energy risk management assets	37,061		(559)		36,502		(15,000)		21,502
Non-current	Energy risk management assets	50,962		—		50,962		—		50,962
Current	Energy risk management liabilities	(559)		559		—		—		—

Commodity-related contracts, net		$	93,607	$	—	$	93,607	$	(15,000)	$	78,607

(1) Represents letters of credit by counterparties.

Offsetting Liabilities


Cleco
	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
		AT SEPT. 30, 2022
				GROSS AMOUNTS OFFSET ON THE BALANCE SHEET				GROSS AMOUNTS NOT OFFSET ON THE BALANCE SHEET (1)
(THOUSANDS)	BALANCE SHEET LINE ITEM	GROSS ASSET (LIABILITY)		CASH COLLATERAL		NET ASSET (LIABILITY) ON THE BALANCE SHEET		COLLATERAL		NET AMOUNT
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	5,977	$	—	$	5,977	$	—	$	5,977
Current	Energy risk management liabilities	(3,982)		—		(3,982)		—		(3,982)
Natural gas derivatives
Current	Energy risk management assets	105,206		(30,271)		74,935		(73,669)		1,266
Non-current	Energy risk management assets	97,982		(6,129)		91,853		(34,338)		57,515
Current	Energy risk management liabilities	(1,539)		—		(1,539)		—		(1,539)

Commodity-related contracts, net		$	203,644	$	(36,400)	$	167,244	$	(108,007)	$	59,237

(1) Represents letters of credit by counterparties.



	DERIVATIVES NOT DESIGNATED AS HEDGING INSTRUMENTS
		AT DEC. 31, 2021
				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
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	6,977	$	—	$	6,977	$	—	$	6,977
Current	Energy risk management liabilities	(834)		—		(834)		—		(834)
Natural gas derivatives
Current	Energy risk management assets	37,061		(559)		36,502		(15,000)		21,502
Non-current	Energy risk management assets	50,962		—		50,962		—		50,962
Current	Energy risk management liabilities	(559)		559		—		—		—

Commodity-related contracts, net		$	93,607	$	—	$	93,607	$	(15,000)	$	78,607

(1) Represents letters of credit by counterparties.

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

The following tables present the volume of commodity-related derivative contracts outstanding at September 30, 2022, and December 31, 2021, for Cleco and Cleco Power:

Cleco

TOTAL VOLUME OUTSTANDING

(THOUSAND)

UNIT OF MEASURE

AT SEPT. 30, 2022

AT DEC. 31, 2021

Commodity-related contracts

FTRs

MWh

23,678

14,055

Natural gas derivatives

MMBtus

91,710

109,306

Amount of Gain (Loss) Recognized in Income on Derivatives

The following tables present the effect of derivatives not designated as hedging instruments on Cleco’s and Cleco Power’s Condensed Consolidated Statements of Income for the three and nine months ended September 30, 2022, and 2021:


Cleco
	AMOUNT OF GAIN(LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
		FOR THE THREE MONTHS ENDED SEPT. 30,					FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2022		2021			2022		2021
Commodity-related contracts
FTRs(1)	Electric operations	$	5,297	$	1,959		$	12,960	$	11,167
FTRs(1)	Purchased power	2,137		(770)		(2)	(7,829)		(9,742)		(2)
Natural gas derivatives	Fuel used for electric generation	84,377		107,687			250,264		165,584
Total(3)		$	91,811	$	108,876		$	255,395	$	167,009

(1) For the three and nine months ended September 30, 2022, unrealized (losses) gains associated with FTRs for Cleco Power of $(1.4) million and $0.2 million, respectively, were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2021, unrealized gains associated with FTRs for Cleco Power of $1.2 million and $0.5 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

(2) Prior year balance has been revised to correct errors that were immaterial, both quantitatively and qualitatively, for the three and nine months ended September 30, 2021.

(3) Cleco Power entered into natural gas derivatives during the three months ended September 30, 2022, and unrealized losses associated with natural gas derivatives of less than $0.1 million 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, 2022				AT DEC. 31, 2021
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	1,920,431	$	1,864,342	$	1,820,254	$	2,085,944

* The carrying value of long-term debt does not include deferred issuance costs of $12.6 million at
September 30, 2022, and $7.9 million at December 31, 2021.

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


Cleco Power
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT SEPT. 30, 2022		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		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)
Asset description
Money market funds	$	151,637	$	151,637	$	—	$	—	$	82,411	$	82,411	$	—	$	—
FTRs	5,195		—		—		5,195		5,515		—		—		5,515

Total assets	$	156,832	$	151,637	$	—	$	5,195	$	87,926	$	82,411	$	—	$	5,515
Liability description
FTRs	$	457	$	—	$	—	$	457	$	597	$	—	$	—	$	597

Total liabilities*	$	457	$	—	$	—	$	457	$	597	$	—	$	—	$	597

* Cleco Power entered into natural gas derivatives during the three months ended September 30, 2022. Natural gas derivatives include swap transactions. Cleco Power had a current liability for natural gas derivatives at September 30, 2022, of less than $0.1 million.

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)	2022		2021		2022		2021
Beginning balance	$	10,138	$	5,990	$	4,918	$	3,216
Unrealized (losses) gains*	(1,363)		1,196		189		545
Purchases	168		619		7,037		9,236
Settlements	(4,205)		(3,107)		(7,406)		(8,299)
Ending balance	$	4,738	$	4,698	$	4,738	$	4,698
* 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, 2022	$	5,195	$	457	RTO auction pricing	FTR price - per MWh	$	(6.64)	$	18.50
FTRs at Dec. 31, 2021	$	5,515	$	597	RTO auction pricing	FTR price - per MWh	$	(4.91)	$	9.25

Institutional Money Market Funds


Cleco Power
(THOUSANDS)	AT SEPT. 30, 2022		AT DEC. 31, 2021
Cash and cash equivalents	$	28,113	$	82,411
Current restricted cash and cash equivalents	$	14,902	$	—
Non-current restricted cash and cash equivalents	$	108,622	$	—

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, 2022		AT DEC. 31, 2021
Commodity-related contracts
FTRs
Current	Energy risk management assets	$	5,195	$	5,515
Current	Energy risk management liabilities	(457)		(597)


Commodity-related contracts, net*		$	4,738	$	4,918

* Cleco Power entered into natural gas derivatives during the three months ended September 30, 2022. Cleco Power had a current liability for natural gas derivatives at September 30, 2022, of less than $0.1 million.

Cleco Power

TOTAL VOLUME OUTSTANDING

(THOUSAND)

UNIT OF MEASURE

AT SEPT. 30, 2022

AT DEC. 31, 2021

Commodity-related contracts

FTRs

MWh

14,642

8,899

Natural gas derivatives

MMBtus

1,860

—

Amount of Gain (Loss) Recognized in Income on Derivatives


Cleco Power
	AMOUNT OF GAIN(LOSS) ON DERIVATIVES RECOGNIZED IN INCOME
		FOR THE THREE MONTHS ENDED SEPT. 30,				FOR THE NINE MONTHS ENDED SEPT. 30,
(THOUSANDS)	INCOME STATEMENT LINE ITEM	2022		2021		2022		2021
Commodity-related contracts
FTRs(1)	Electric operations	$	5,297	$	1,959	$	12,960	$	11,167
FTRs(1)	Purchased power	$	(2,575)	$	(822)	$	(5,658)	$	(9,236)

Total (2)		$	2,722	$	1,137	$	7,302	$	1,931

(1) For the three and nine months ended September 30, 2022, unrealized (losses) gains associated with FTRs of $(1.4) million and $0.2 million, respectively, were reported through Accumulated deferred fuel on the balance sheet. For the three and nine months ended September 30, 2021, unrealized gains associated with FTRs of $1.2 million and $0.5 million, respectively, were reported through Accumulated deferred fuel on the balance sheet.

(2) Cleco Power entered into natural gas derivatives during the three months ended September 30, 2022, and unrealized losses associated with natural gas derivatives of less than $0.1 million were reported through Accumulated deferred fuel on the balance sheet.