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Fair Value Accounting Instruments (Tables)

3 Months Ended

Mar. 31, 2023

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

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

The following tables disclose the fair value of financial assets and liabilities measured on a recurring basis on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheets. These amounts are presented on a gross basis.


Cleco
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT MAR. 31, 2023		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2022		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	$	208,771	$	208,771	$	—	$	—	$	172,741	$	172,741	$	—	$	—
FTRs	837		—		—		837		2,570		—		—		2,570
Natural gas derivatives	223		—		223		—		—		—		—		—
Total assets	$	209,831	$	208,771	$	223	$	837	$	175,311	$	172,741	$	—	$	2,570
Liability description
FTRs	$	204	$	—	$	—	$	204	$	294	$	—	$	—	$	294
Natural gas derivatives	9,295		—		9,295		—		4,570		—		4,570		—
Total liabilities	$	9,499	$	—	$	9,295	$	204	$	4,864	$	—	$	4,570	$	294

Schedule of Money Market Funds

The following tables present the money market funds as recorded on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheets at March 31, 2023, and December 31, 2022:


Cleco
(THOUSANDS)	AT MAR. 31, 2023		AT DEC. 31, 2022
Cash and cash equivalents	$	82,690	$	39,779
Current restricted cash and cash equivalents	$	15,578	$	23,548
Non-current restricted cash and cash equivalents	$	110,503	$	109,414

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

The following table summarizes 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:


	FOR THE THREE MONTHS ENDED MAR. 31,
(THOUSANDS)	2023		2022
Beginning balance	$	2,276	$	4,918
Unrealized (losses) gains*	(24)		(263)
Purchases	(64)		292
Settlements	(1,555)		(4,380)
Ending balance	$	633	$	567
* Unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheet.

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

The following table quantifies the significant unobservable inputs used in developing the fair value of Level 3 positions for Cleco and Cleco Power as of March 31, 2023, and December 31, 2022:


	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW		HIGH
FTRs at Mar. 31, 2023	$	837	$	204	RTO auction pricing	FTR price - per MWh	$	(1.84)	$	10.03
FTRs at Dec. 31, 2022	$	2,570	$	294	RTO auction pricing	FTR price - per MWh	$	(5.11)	$	13.65

Carrying Value and Estimated Fair Value

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 MAR. 31, 2023				AT DEC. 31, 2022
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	3,477,581	$	3,254,766	$	3,482,556	$	3,180,208

* The carrying value of long-term debt does not include deferred issuance costs of $15.5 million at March 31, 2023, and $16.2 million at December 31, 2022.

CLECO POWER

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

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


Cleco Power
	FAIR VALUE MEASUREMENTS AT REPORTING DATE
(THOUSANDS)	AT MAR. 31, 2023		QUOTED PRICES IN ACTIVE MARKETS FOR IDENTICAL ASSETS (LEVEL 1)		SIGNIFICANT OTHER OBSERVABLE INPUTS (LEVEL 2)		SIGNIFICANT UNOBSERVABLE INPUTS (LEVEL 3)		AT DEC. 31, 2022		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	$	172,982	$	172,982	$	—	$	—	$	139,752	$	139,752	$	—	$	—
FTRs	837		—		—		837		2,570		—		—		2,570
Natural gas derivatives	223		—		223		—		—		—		—		—
Total assets	$	174,042	$	172,982	$	223	$	837	$	142,322	$	139,752	$	—	$	2,570
Liability description
FTRs	$	204	$	—	$	—	$	204	$	294	$	—	$	—	$	294
Natural gas derivatives	9,295		—		9,295		—		4,570		—		4,570		—
Total liabilities	$	9,499	$	—	$	9,295	$	204	$	4,864	$	—	$	4,570	$	294

Schedule of Money Market Funds


Cleco Power
(THOUSANDS)	AT MAR. 31, 2023		AT DEC. 31, 2022
Cash and cash equivalents	$	46,923	$	6,813
Current restricted cash and cash equivalents	$	15,578	$	23,548
Non-current restricted cash and cash equivalents	$	110,481	$	109,391

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

The following table summarizes 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:


	FOR THE THREE MONTHS ENDED MAR. 31,
(THOUSANDS)	2023		2022
Beginning balance	$	2,276	$	4,918
Unrealized (losses) gains*	(24)		(263)
Purchases	(64)		292
Settlements	(1,555)		(4,380)
Ending balance	$	633	$	567
* Unrealized gains (losses) are reported through Accumulated deferred fuel on Cleco’s and Cleco Power’s Condensed Consolidated Balance Sheet.

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

The following table quantifies the significant unobservable inputs used in developing the fair value of Level 3 positions for Cleco and Cleco Power as of March 31, 2023, and December 31, 2022:


	FAIR VALUE				VALUATION TECHNIQUE	SIGNIFICANT UNOBSERVABLE INPUTS	FORWARD PRICE RANGE
(THOUSANDS, EXCEPT FORWARD PRICE RANGE)	ASSETS		LIABILITIES				LOW		HIGH
FTRs at Mar. 31, 2023	$	837	$	204	RTO auction pricing	FTR price - per MWh	$	(1.84)	$	10.03
FTRs at Dec. 31, 2022	$	2,570	$	294	RTO auction pricing	FTR price - per MWh	$	(5.11)	$	13.65

Carrying Value and Estimated Fair Value


Cleco Power
	AT MAR. 31, 2023				AT DEC. 31, 2022
(THOUSANDS)	CARRYING VALUE*		FAIR VALUE		CARRYING VALUE*		FAIR VALUE
Long-term debt	$	1,892,384	$	1,877,170	$	1,895,508	$	1,825,192

* The carrying value of long-term debt does not include deferred issuance costs of $11.9 million at March 31, 2023, and $12.3 million at December 31, 2022.

- 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