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Share Name | Share Symbol | Market | Type |
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Calpine Corp. | NYSE:CPN | NYSE | Ordinary Share |
Price Change | % Change | Share Price | High Price | Low Price | Open Price | Shares Traded | Last Trade | |
---|---|---|---|---|---|---|---|---|
0.00 | 0.00% | 15.25 | 0.00 | 01:00:00 |
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[X]
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QUARTERLY REPORT PURSUANT TO SECTION 13 OR 15(d)
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OF THE SECURITIES EXCHANGE ACT OF 1934
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For the quarterly period ended March 31, 2020
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Or
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[ ]
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TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d)
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OF THE SECURITIES EXCHANGE ACT OF 1934
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Large accelerated filer
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Accelerated filer
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Non-accelerated filer
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[X]
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Smaller reporting company
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[ ]
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Emerging growth company
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[ ]
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Page
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ABBREVIATION
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DEFINITION
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2019 Form 10-K
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Calpine Corporation’s Annual Report on Form 10-K for the year ended December 31, 2019, filed with the SEC on February 25, 2020
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2022 First Lien Notes
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The $750 million aggregate principal amount of 6.0% senior secured notes due 2022, issued October 31, 2013, repaid on December 20, 2019 and January 21, 2020
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2023 Senior Unsecured Notes
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The $1.25 billion aggregate principal amount of 5.375% senior unsecured notes due 2023, issued July 22, 2014, repaid on December 27, 2019 and January 21, 2020
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2024 First Lien Notes
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The $490 million aggregate principal amount of 5.875% senior secured notes due 2024, issued October 31, 2013, repaid on December 20, 2019 and January 21, 2020
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2024 First Lien Term Loan
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The $1.6 billion first lien senior secured term loan, dated May 28, 2015 (as amended December 21, 2016), among Calpine Corporation, as borrower, the lenders party thereto, Morgan Stanley Senior Funding, Inc., as administrative agent and Goldman Sachs Credit Partners L.P., as collateral agent
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2024 Senior Unsecured Notes
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The $650 million aggregate principal amount of 5.5% senior unsecured notes due 2024, issued February 3, 2015
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2025 Senior Unsecured Notes
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The $1.55 billion aggregate principal amount of 5.75% senior unsecured notes due 2025, issued July 22, 2014
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2026 First Lien Notes
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Collectively, the $625 million aggregate principal amount of 5.25% senior secured notes due 2026, issued May 31, 2016, and the $560 million aggregate principal amount of 5.25% senior secured notes due 2026, issued on December 15, 2017
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2026 First Lien Term Loans
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Collectively, the $950 million first lien senior secured term loan, dated April 5, 2019, among Calpine Corporation, as borrower, the lenders party thereto, Morgan Stanley Senior Funding, Inc., as administrative agent and MUFG Union Bank, N.A., as collateral agent and the $750 million first lien senior secured term loan, dated August 12, 2019, among Calpine Corporation, as borrower, the lending party thereto, Credit Suisse AG, Cayman Islands Branch, as administrative agent and MUFG Union Bank, N.A., as collateral agent
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2028 First Lien Notes
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The $1.25 billion aggregate principal amount of 4.5% senior secured notes due 2028, issued December 20, 2019
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2028 Senior Unsecured Notes
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The $1.4 billion aggregate principal amount of 5.125% senior unsecured notes due 2028, issued December 27, 2019
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Accounts Receivable Sales Program
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Receivables purchase agreement between Calpine Solutions and Calpine Receivables and the purchase and sale agreement between Calpine Receivables and an unaffiliated financial institution, both which allows for the revolving sale of up to $250 million in certain trade accounts receivables to third parties
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AOCI
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Accumulated Other Comprehensive Income
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Average availability
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Represents the total hours during the period that our plants were in-service or available for service as a percentage of the total hours in the period
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ABBREVIATION
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DEFINITION
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Average capacity factor, excluding peakers
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A measure of total actual power generation as a percent of total potential power generation. It is calculated by dividing (a) total MWh generated by our power plants, excluding peakers, by (b) the product of multiplying (i) the average total MW in operation, excluding peakers, during the period by (ii) the total hours in the period
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Btu
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British thermal unit(s), a measure of heat content
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CAISO
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California Independent System Operator which is an entity that manages the power grid and operates the competitive power market in California
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Calpine Receivables
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Calpine Receivables, LLC, an indirect, wholly owned subsidiary of Calpine, which was established as a bankruptcy remote, special purpose subsidiary and is responsible for administering the Accounts Receivable Sales Program
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Calpine Solutions
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Calpine Energy Solutions, LLC, an indirect, wholly owned subsidiary of Calpine, which is a supplier of power to commercial and industrial retail customers in the United States with customers in 20 states, including presence in California, Texas, the mid-Atlantic and the Northeast
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CCA
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Community Choice Aggregators which are local governments that procure power on behalf of their residents, businesses and municipal accounts from an alternative supplier while still receiving transmission and distribution service from their existing utility
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CCFC
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Calpine Construction Finance Company, L.P., an indirect, wholly owned subsidiary of Calpine
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CCFC Term Loan
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The $1.0 billion first lien senior secured term loan entered into on December 15, 2017 among CCFC as borrower, the lenders party thereto, and Credit Suisse AG, Cayman Islands Branch, as administrative agent and collateral agent
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CDHI
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Calpine Development Holdings, Inc., an indirect, wholly owned subsidiary of Calpine
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Champion Energy
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Champion Energy Marketing, LLC, an indirect, wholly owned subsidiary of Calpine, which owns a retail electric provider that serves residential, governmental, commercial and industrial customers in deregulated electricity markets in 13 states and the District of Columbia, including presence in Texas, the mid-Atlantic and Northeast
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Chapter 11
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Chapter 11 of the U.S. Bankruptcy Code
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Cogeneration
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Using a portion or all of the steam generated in the power generating process to supply a customer with steam for use in the customer’s operations
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Commodity expense
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The sum of our expenses from fuel and purchased energy expense, commodity transmission and transportation expense, environmental compliance expenses, ancillary retail expense and realized settlements from our marketing, hedging and optimization activities including natural gas and fuel oil transactions hedging future power sales
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Commodity Margin
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Measure of profit that includes revenue recognized on our wholesale and retail power sales activity, electric capacity sales, REC sales, steam sales, realized settlements associated with our marketing, hedging, optimization and trading activities, fuel and purchased energy expenses, commodity transmission and transportation expenses, environmental compliance expenses and ancillary retail expense. Commodity Margin is a measure of segment profit or loss under FASB Accounting Standards Codification 280 used by our chief operating decision maker to make decisions about allocating resources to the relevant segments and assessing their performance
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Commodity revenue
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The sum of our revenues recognized on our wholesale and retail power sales activity, electric capacity sales, REC sales, steam sales and realized settlements from our marketing, hedging, optimization and trading activities
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Company
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Calpine Corporation, a Delaware corporation, and its subsidiaries
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ABBREVIATION
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DEFINITION
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Corporate Revolving Facility
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The approximately $2.0 billion aggregate amount revolving credit facility credit agreement, dated as of December 10, 2010, as amended on June 27, 2013, July 30, 2014, February 8, 2016, December 1, 2016, September 15, 2017, October 20, 2017, March 8, 2018, May 18, 2018, April 5, 2019 and August 12, 2019 among Calpine Corporation, the Bank of Tokyo-Mitsubishi UFJ, Ltd., as successor administrative agent, MUFG Union Bank, N.A., as successor collateral agent, the lenders party thereto and the other parties thereto
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CPUC
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California Public Utilities Commission
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ERCOT
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Electric Reliability Council of Texas which is an entity that manages the flow of electric power to Texas customers representing approximately 90 percent of the state's electric load
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Exchange Act
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U.S. Securities Exchange Act of 1934, as amended
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FASB
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Financial Accounting Standards Board
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FDIC
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U.S. Federal Deposit Insurance Corporation
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FERC
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U.S. Federal Energy Regulatory Commission
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First Lien Notes
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Collectively, the 2022 First Lien Notes, the 2024 First Lien Notes, the 2026 First Lien Notes and the 2028 First Lien Notes
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First Lien Term Loans
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Collectively, the 2024 First Lien Term Loan and the 2026 First Lien Term Loans
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Geysers Assets
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Our geothermal power plant assets, including our steam extraction and gathering assets, located in northern California consisting of 13 operating power plants
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Greenfield LP
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Greenfield Energy Centre LP, a 50% partnership interest between certain of our subsidiaries and a third party which operates the Greenfield Energy Centre, a 1,038 MW natural gas-fired, combined-cycle power plant in Ontario, Canada
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Heat Rate(s)
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A measure of the amount of fuel required to produce a unit of power
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IRS
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U.S. Internal Revenue Service
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ISO(s)
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Independent System Operator(s), which is an entity that coordinates, controls and monitors the operation of an electric power system
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ISO-NE
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ISO New England Inc., an independent nonprofit RTO serving states in the New England area, including Connecticut, Maine, Massachusetts, New Hampshire, Rhode Island and Vermont
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KWh
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Kilowatt hour(s), a measure of power produced, purchased or sold
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LIBOR
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London Inter-Bank Offered Rate
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Lyondell
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LyondellBasell Industries N.V.
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Market Heat Rate(s)
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The regional power price divided by the corresponding regional natural gas price
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MMBtu
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Million Btu
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MW
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Megawatt(s), a measure of plant capacity
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MWh
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Megawatt hour(s), a measure of power produced, purchased or sold
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NOL(s)
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Net operating loss(es)
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NYMEX
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New York Mercantile Exchange
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OCI
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Other Comprehensive Income
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ABBREVIATION
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DEFINITION
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OTC
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Over-the-Counter
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PG&E
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Pacific Gas and Electric Company
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PJM
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PJM Interconnection is a RTO that coordinates the movement of wholesale electricity in all or parts of Delaware, Illinois, Indiana, Kentucky, Maryland, Michigan, New Jersey, North Carolina, Ohio, Pennsylvania, Tennessee, Virginia, West Virginia and the District of Columbia
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PPA(s)
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Any term power purchase agreement or other contract for a physically settled sale (as distinguished from a financially settled future, option or other derivative or hedge transaction) of any power product, including power, capacity and/or ancillary services, in the form of a bilateral agreement or a written or oral confirmation of a transaction between two parties to a master agreement, including sales related to a tolling transaction in which the purchaser provides the fuel required by us to generate such power and we receive a variable payment to convert the fuel into power and steam
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REC(s)
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Renewable energy credit(s)
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Risk Management Policy
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Calpine’s policy applicable to all employees, contractors, representatives and agents, which defines the risk management framework and corporate governance structure for commodity risk, interest rate risk, currency risk and other risks
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RMR Contract(s)
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Reliability Must Run contract(s)
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RTO(s)
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Regional Transmission Organization(s), which is an entity that coordinates, controls and monitors the operation of an electric power system and administers the transmission grid on a regional basis
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SEC
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U.S. Securities and Exchange Commission
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Securities Act
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U.S. Securities Act of 1933, as amended
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Senior Unsecured Notes
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Collectively, the 2023 Senior Unsecured Notes, the 2024 Senior Unsecured Notes, the 2025 Senior Unsecured Notes and the 2028 Senior Unsecured Notes
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Spark Spread(s)
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The difference between the sales price of power per MWh and the cost of natural gas to produce it
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Steam Adjusted Heat Rate
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The adjusted Heat Rate for our natural gas-fired power plants, excluding peakers, calculated by dividing (a) the fuel consumed in Btu reduced by the net equivalent Btu in steam exported to a third party by (b) the KWh generated. Steam Adjusted Heat Rate is a measure of fuel efficiency, so the lower our Steam Adjusted Heat Rate, the lower our cost of generation
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U.S. GAAP
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Generally accepted accounting principles in the U.S.
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VAR
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Value-at-risk
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VIE(s)
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Variable interest entity(ies)
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Whitby
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Whitby Cogeneration Limited Partnership, a 50% partnership interest, which we sold on November 20, 2019, between certain of our subsidiaries and a third party, which operates Whitby, a 50 MW natural gas-fired, simple-cycle cogeneration power plant located in Ontario, Canada
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•
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Public health threats or outbreaks of communicable diseases, such as the ongoing COVID-19 pandemic and its impact on our business, suppliers, customers, employees and supply chains;
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•
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Financial results that may be volatile and may not reflect historical trends due to, among other things, seasonality of demand, fluctuations in prices for commodities such as natural gas and power, changes in U.S. macroeconomic conditions, fluctuations in liquidity and volatility in the energy commodities markets and our ability and the extent to which we hedge risks;
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Laws, regulations and market rules in the wholesale and retail markets in which we participate and our ability to effectively respond to changes in laws, regulations or market rules or the interpretation thereof including those related to the environment, derivative transactions and market design in the regions in which we operate;
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Our ability to manage our liquidity needs, access the capital markets when necessary and comply with covenants under our Senior Unsecured Notes, First Lien Term Loans, First Lien Notes, Corporate Revolving Facility, CCFC Term Loan and other existing financing obligations;
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•
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Risks associated with the operation, construction and development of power plants, including unscheduled outages or delays and plant efficiencies;
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Risks related to our geothermal resources, including the adequacy of our steam reserves, unusual or unexpected steam field well and pipeline maintenance requirements, variables associated with the injection of water to the steam reservoir and potential regulations or other requirements related to seismicity concerns that may delay or increase the cost of developing or operating geothermal resources;
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Extensive competition in our wholesale and retail businesses, including from renewable sources of power, interference by states in competitive power markets through subsidies or similar support for new or existing power plants, lower prices and other incentives offered by retail competitors, and other risks associated with marketing and selling power in the evolving energy markets;
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Structural changes in the supply and demand of power, resulting from the development of new fuels or technologies and demand-side management tools (such as distributed generation, power storage and other technologies);
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The expiration or early termination of our PPAs and the related results on revenues;
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Future capacity revenue may not occur at expected levels;
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•
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Natural disasters, such as hurricanes, earthquakes, droughts and floods, acts of terrorism, cyber attacks or wildfires that may affect our power plants or the markets our power plants or retail operations serve and our corporate offices;
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•
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Disruptions in or limitations on the transportation of natural gas or fuel oil and the transmission of power;
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•
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Our ability to manage our counterparty and customer exposure and credit risk, including our commodity positions or if a significant customer were to seek bankruptcy protection under Chapter 11;
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•
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Our ability to attract, motivate and retain key employees;
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Present and possible future claims, litigation and enforcement actions that may arise from noncompliance with market rules promulgated by the SEC, Commodity Futures Trading Commission, FERC and other regulatory bodies; and
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•
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Other risks identified in this Report, in our 2019 Form 10-K and in other reports filed by us with the SEC.
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Item 1.
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Financial Statements
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Three Months Ended March 31,
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2020
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2019
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(in millions)
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Operating revenues:
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Commodity revenue
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$
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1,943
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$
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2,538
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Mark-to-market gain
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345
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56
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Other revenue
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4
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5
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Operating revenues
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2,292
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2,599
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Operating expenses:
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Fuel and purchased energy expense:
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Commodity expense
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1,347
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1,758
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Mark-to-market loss
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144
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10
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Fuel and purchased energy expense
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1,491
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1,768
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Operating and maintenance expense
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240
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239
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Depreciation and amortization expense
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164
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174
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General and other administrative expense
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31
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32
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Other operating expenses
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17
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34
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Total operating expenses
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1,943
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2,247
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(Income) from unconsolidated subsidiaries
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—
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(6
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)
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Income from operations
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349
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358
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Interest expense
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169
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149
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Gain on extinguishment of debt
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—
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(4
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)
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Other (income) expense, net
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4
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23
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Income before income taxes
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176
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190
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Income tax expense
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46
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10
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Net income
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130
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|
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180
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Net income attributable to the noncontrolling interest
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(2
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)
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(5
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)
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Net income attributable to Calpine
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$
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128
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$
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175
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Three Months Ended March 31,
|
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2020
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2019
|
||||
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(in millions)
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Net income
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$
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130
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|
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$
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180
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Cash flow hedging activities:
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Loss on cash flow hedges before reclassification adjustment for cash flow hedges realized in net income
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(110
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)
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(23
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)
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Reclassification adjustment for (gain) loss on cash flow hedges realized in net income
|
6
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(2
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)
|
||
Foreign currency translation gain (loss)
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(7
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)
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|
2
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Income tax benefit
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3
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|
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—
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Other comprehensive loss
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(108
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)
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(23
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)
|
||
Comprehensive income
|
22
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|
|
157
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Comprehensive (income) attributable to the noncontrolling interest
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(2
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)
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(5
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)
|
||
Comprehensive income attributable to Calpine
|
$
|
20
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|
$
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152
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|
|
|
March 31,
|
|
December 31,
|
||||
|
|
2020
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|
2019
|
||||
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|
(in millions, except share and per share amounts)
|
||||||
ASSETS
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|
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|
||||
Current assets:
|
|
|
|
|
||||
Cash and cash equivalents
|
|
$
|
531
|
|
|
$
|
1,131
|
|
Accounts receivable, net of allowance of $9 and $9
|
|
598
|
|
|
757
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|
||
Inventories
|
|
543
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|
|
543
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|
||
Margin deposits and other prepaid expense
|
|
337
|
|
|
367
|
|
||
Restricted cash, current
|
|
260
|
|
|
299
|
|
||
Derivative assets, current
|
|
226
|
|
|
156
|
|
||
Other current assets
|
|
44
|
|
|
49
|
|
||
Total current assets
|
|
2,539
|
|
|
3,302
|
|
||
Property, plant and equipment, net
|
|
11,959
|
|
|
11,963
|
|
||
Restricted cash, net of current portion
|
|
46
|
|
|
46
|
|
||
Investments in unconsolidated subsidiaries
|
|
63
|
|
|
70
|
|
||
Long-term derivative assets
|
|
263
|
|
|
246
|
|
||
Goodwill
|
|
242
|
|
|
242
|
|
||
Intangible assets, net
|
|
323
|
|
|
340
|
|
||
Other assets
|
|
438
|
|
|
440
|
|
||
Total assets
|
|
$
|
15,873
|
|
|
$
|
16,649
|
|
LIABILITIES & STOCKHOLDER’S EQUITY
|
|
|
|
|
||||
Current liabilities:
|
|
|
|
|
||||
Accounts payable
|
|
$
|
584
|
|
|
$
|
714
|
|
Accrued interest payable
|
|
102
|
|
|
61
|
|
||
Debt, current portion
|
|
217
|
|
|
1,268
|
|
||
Derivative liabilities, current
|
|
194
|
|
|
225
|
|
||
Other current liabilities
|
|
503
|
|
|
657
|
|
||
Total current liabilities
|
|
1,600
|
|
|
2,925
|
|
||
Debt, net of current portion
|
|
10,836
|
|
|
10,438
|
|
||
Long-term derivative liabilities
|
|
184
|
|
|
63
|
|
||
Other long-term liabilities
|
|
622
|
|
|
565
|
|
||
Total liabilities
|
|
13,242
|
|
|
13,991
|
|
||
|
|
|
|
|
||||
Commitments and contingencies (see Note 9)
|
|
|
|
|
||||
Stockholder’s equity:
|
|
|
|
|
||||
Common stock, $0.001 par value per share; authorized 5,000 shares, 105.2 shares issued and outstanding
|
|
—
|
|
|
—
|
|
||
Additional paid-in capital
|
|
9,651
|
|
|
9,584
|
|
||
Accumulated deficit
|
|
(6,795
|
)
|
|
(6,923
|
)
|
||
Accumulated other comprehensive loss
|
|
(225
|
)
|
|
(114
|
)
|
||
Total Calpine stockholder’s equity
|
|
2,631
|
|
|
2,547
|
|
||
Noncontrolling interest
|
|
—
|
|
|
111
|
|
||
Total stockholder’s equity
|
|
2,631
|
|
|
2,658
|
|
||
Total liabilities and stockholder’s equity
|
|
$
|
15,873
|
|
|
$
|
16,649
|
|
|
Common
Stock
|
|
Additional
Paid-In
Capital
|
|
Accumulated
Deficit
|
|
Accumulated
Other
Comprehensive
Loss
|
|
Noncontrolling
Interest
|
|
Total
Stockholder’s
Equity
|
||||||||||||
Balance, December 31, 2019
|
$
|
—
|
|
|
$
|
9,584
|
|
|
$
|
(6,923
|
)
|
|
$
|
(114
|
)
|
|
$
|
111
|
|
|
$
|
2,658
|
|
Net income
|
—
|
|
|
—
|
|
|
128
|
|
|
—
|
|
|
2
|
|
|
130
|
|
||||||
Other comprehensive loss
|
—
|
|
|
—
|
|
|
—
|
|
|
(108
|
)
|
|
—
|
|
|
(108
|
)
|
||||||
Acquisition of noncontrolling interest (Note 3)
|
—
|
|
|
67
|
|
|
—
|
|
|
(3
|
)
|
|
(113
|
)
|
|
(49
|
)
|
||||||
Balance, March 31, 2020
|
$
|
—
|
|
|
$
|
9,651
|
|
|
$
|
(6,795
|
)
|
|
$
|
(225
|
)
|
|
$
|
—
|
|
|
$
|
2,631
|
|
|
Common
Stock |
|
Additional
Paid-In Capital |
|
Accumulated
Deficit |
|
Accumulated
Other Comprehensive Loss |
|
Noncontrolling
Interest |
|
Total
Stockholder’s Equity |
||||||||||||
Balance, December 31, 2018
|
$
|
—
|
|
|
$
|
9,582
|
|
|
$
|
(6,542
|
)
|
|
$
|
(77
|
)
|
|
$
|
93
|
|
|
$
|
3,056
|
|
Net income
|
—
|
|
|
—
|
|
|
175
|
|
|
—
|
|
|
5
|
|
|
180
|
|
||||||
Other comprehensive income
|
—
|
|
|
—
|
|
|
—
|
|
|
(23
|
)
|
|
—
|
|
|
(23
|
)
|
||||||
Other
|
—
|
|
|
2
|
|
|
—
|
|
|
—
|
|
|
(2
|
)
|
|
—
|
|
||||||
Balance, March 31, 2019
|
$
|
—
|
|
|
$
|
9,584
|
|
|
$
|
(6,367
|
)
|
|
$
|
(100
|
)
|
|
$
|
96
|
|
|
$
|
3,213
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
|
|
(in millions)
|
||||||
Cash flows from operating activities:
|
|
|
|
|
||||
Net income
|
|
$
|
130
|
|
|
$
|
180
|
|
Adjustments to reconcile net income to net cash provided by operating activities:
|
|
|
|
|
||||
Depreciation and amortization(1)
|
|
184
|
|
|
199
|
|
||
Gain on extinguishment of debt
|
|
—
|
|
|
(4
|
)
|
||
Deferred income taxes
|
|
44
|
|
|
7
|
|
||
Mark-to-market activity, net
|
|
(177
|
)
|
|
(45
|
)
|
||
(Income) from unconsolidated subsidiaries
|
|
—
|
|
|
(6
|
)
|
||
Return on investments from unconsolidated subsidiaries
|
|
—
|
|
|
11
|
|
||
Other
|
|
4
|
|
|
19
|
|
||
Change in operating assets and liabilities:
|
|
|
|
|
||||
Accounts receivable
|
|
158
|
|
|
228
|
|
||
Accounts payable
|
|
(139
|
)
|
|
(229
|
)
|
||
Margin deposits and other prepaid expense
|
|
30
|
|
|
(65
|
)
|
||
Other assets and liabilities, net
|
|
(97
|
)
|
|
27
|
|
||
Derivative instruments, net
|
|
76
|
|
|
(81
|
)
|
||
Net cash provided by operating activities
|
|
213
|
|
|
241
|
|
||
Cash flows from investing activities:
|
|
|
|
|
||||
Purchases of property, plant and equipment
|
|
(135
|
)
|
|
(143
|
)
|
||
Other
|
|
9
|
|
|
(9
|
)
|
||
Net cash used in investing activities
|
|
(126
|
)
|
|
(152
|
)
|
||
Cash flows from financing activities:
|
|
|
|
|
||||
Repayment of CCFC Term Loan and First Lien Term Loans
|
|
(11
|
)
|
|
(10
|
)
|
||
Repayments of First Lien Notes
|
|
(429
|
)
|
|
—
|
|
||
Repayments of Senior Unsecured Notes
|
|
(623
|
)
|
|
(44
|
)
|
||
Borrowings under revolving facilities
|
|
450
|
|
|
170
|
|
||
Repayments of revolving facilities
|
|
—
|
|
|
(50
|
)
|
||
Repayments of project financing, notes payable and other
|
|
(45
|
)
|
|
(43
|
)
|
||
Financing costs
|
|
(17
|
)
|
|
—
|
|
||
Acquisition of noncontrolling interest(2) (Note 3)
|
|
(49
|
)
|
|
—
|
|
||
Other
|
|
(2
|
)
|
|
—
|
|
||
Net cash provided by (used in) financing activities
|
|
(726
|
)
|
|
23
|
|
||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
|
(639
|
)
|
|
112
|
|
||
Cash, cash equivalents and restricted cash, beginning of period
|
|
1,476
|
|
|
406
|
|
||
Cash, cash equivalents and restricted cash, end of period(3)
|
|
$
|
837
|
|
|
$
|
518
|
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
|
|
(in millions)
|
||||||
Cash paid during the period for:
|
|
|
|
|
||||
Interest, net of amounts capitalized
|
|
$
|
89
|
|
|
$
|
115
|
|
Income taxes
|
|
$
|
1
|
|
|
$
|
—
|
|
|
|
|
|
|
||||
Supplemental disclosure of non-cash investing and financing activities:
|
|
|
|
|
||||
Change in capital expenditures included in accounts payable and other current liabilities
|
|
$
|
16
|
|
|
$
|
13
|
|
Plant tax settlement offset in prepaid assets
|
|
$
|
—
|
|
|
$
|
(4
|
)
|
Asset retirement obligation adjustment offset in operating activities
|
|
$
|
—
|
|
|
$
|
(13
|
)
|
Garrison Energy Center and RockGen Energy Center property, plant and equipment, net, classified as current assets held for sale
|
|
$
|
—
|
|
|
$
|
(363
|
)
|
Garrison Energy Center capital lease liability classified as current liabilities held for sale
|
|
$
|
—
|
|
|
$
|
22
|
|
(1)
|
Includes amortization recorded in Commodity revenue and Commodity expense associated with intangible assets and amortization recorded in interest expense associated with debt issuance costs and discounts.
|
(2)
|
On January 28, 2020, we completed the acquisition of the 25% noncontrolling interest of Russell City Energy Company, LLC for approximately $49 million.
|
(3)
|
Our cash and cash equivalents, restricted cash, current and restricted cash, net of current portion are stated as separate line items on our Consolidated Condensed Balance Sheets.
|
1.
|
Basis of Presentation and Summary of Significant Accounting Policies
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||||||||||
|
Current
|
|
Non-Current
|
|
Total
|
|
Current
|
|
Non-Current
|
|
Total
|
||||||||||||
Debt service
|
$
|
53
|
|
|
$
|
7
|
|
|
$
|
60
|
|
|
$
|
58
|
|
|
$
|
8
|
|
|
$
|
66
|
|
Construction/major maintenance
|
37
|
|
|
6
|
|
|
43
|
|
|
28
|
|
|
6
|
|
|
34
|
|
||||||
Security/project/insurance
|
166
|
|
|
31
|
|
|
197
|
|
|
209
|
|
|
31
|
|
|
240
|
|
||||||
Other
|
4
|
|
|
2
|
|
|
6
|
|
|
4
|
|
|
1
|
|
|
5
|
|
||||||
Total
|
$
|
260
|
|
|
$
|
46
|
|
|
$
|
306
|
|
|
$
|
299
|
|
|
$
|
46
|
|
|
$
|
345
|
|
|
March 31, 2020
|
|
December 31, 2019
|
|
Depreciable Lives
|
|||||||
Buildings, machinery and equipment
|
$
|
16,560
|
|
|
$
|
16,510
|
|
|
1.5
|
–
|
50
|
Years
|
Geothermal properties
|
1,561
|
|
|
1,553
|
|
|
13
|
–
|
58
|
Years
|
||
Other
|
287
|
|
|
291
|
|
|
3
|
–
|
50
|
Years
|
||
|
18,408
|
|
|
18,354
|
|
|
|
|
|
|
||
Less: Accumulated depreciation
|
6,955
|
|
|
6,851
|
|
|
|
|
|
|
||
|
11,453
|
|
|
11,503
|
|
|
|
|
|
|
||
Land
|
128
|
|
|
128
|
|
|
|
|
|
|
||
Construction in progress
|
378
|
|
|
332
|
|
|
|
|
|
|
||
Property, plant and equipment, net
|
$
|
11,959
|
|
|
$
|
11,963
|
|
|
|
|
|
|
|
|
Location on Consolidated Condensed Balance Sheet
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Right-of-use assets – operating leases
|
|
Other assets
|
|
$
|
173
|
|
|
$
|
171
|
|
|
|
|
|
|
|
|
||||
Right-of-use assets – finance leases
|
|
Property, plant and equipment, net
|
|
$
|
104
|
|
|
$
|
107
|
|
|
|
|
|
|
|
|
||||
Operating lease obligation, current
|
|
Other current liabilities
|
|
$
|
19
|
|
|
$
|
12
|
|
Operating lease obligation, long-term
|
|
Other long-term liabilities
|
|
$
|
167
|
|
|
$
|
170
|
|
|
|
|
|
|
|
|
||||
Finance lease obligation, current
|
|
Debt, current portion
|
|
$
|
10
|
|
|
$
|
10
|
|
Finance lease obligation, long-term
|
|
Debt, net of current portion
|
|
$
|
58
|
|
|
$
|
63
|
|
2.
|
Revenue from Contracts with Customers
|
|
Three Months Ended March 31, 2020
|
||||||||||||||||||||||
|
Wholesale
|
|
|
|
|
|
|
||||||||||||||||
|
West
|
|
Texas
|
|
East
|
|
Retail
|
|
Elimination
|
|
Total
|
||||||||||||
Third Party:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Energy & other products
|
$
|
201
|
|
|
$
|
219
|
|
|
$
|
106
|
|
|
$
|
324
|
|
|
$
|
—
|
|
|
$
|
850
|
|
Capacity
|
62
|
|
|
28
|
|
|
105
|
|
|
—
|
|
|
—
|
|
|
195
|
|
||||||
Revenues relating to physical or executory contracts – third party
|
$
|
263
|
|
|
$
|
247
|
|
|
$
|
211
|
|
|
$
|
324
|
|
|
$
|
—
|
|
|
$
|
1,045
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Affiliate(1):
|
$
|
17
|
|
|
$
|
10
|
|
|
$
|
19
|
|
|
$
|
1
|
|
|
$
|
(47
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Revenues relating to leases and derivative instruments(2)
|
|
|
|
|
|
|
|
|
|
|
$
|
1,246
|
|
||||||||||
Other
|
|
|
|
|
|
|
|
|
|
|
1
|
|
|||||||||||
Total operating revenues
|
|
|
|
|
|
|
|
|
|
|
$
|
2,292
|
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||||||
|
Wholesale
|
|
|
|
|
|
|
||||||||||||||||
|
West
|
|
Texas
|
|
East
|
|
Retail
|
|
Elimination
|
|
Total
|
||||||||||||
Third Party:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Energy & other products
|
$
|
292
|
|
|
$
|
302
|
|
|
$
|
203
|
|
|
$
|
412
|
|
|
$
|
—
|
|
|
$
|
1,209
|
|
Capacity
|
35
|
|
|
32
|
|
|
177
|
|
|
—
|
|
|
—
|
|
|
244
|
|
||||||
Revenues relating to physical or executory contracts – third party
|
$
|
327
|
|
|
$
|
334
|
|
|
$
|
380
|
|
|
$
|
412
|
|
|
$
|
—
|
|
|
$
|
1,453
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Affiliate(1):
|
$
|
11
|
|
|
$
|
14
|
|
|
$
|
27
|
|
|
$
|
3
|
|
|
$
|
(55
|
)
|
|
$
|
—
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Revenues relating to leases and derivative instruments(2)
|
|
|
|
|
|
|
|
|
|
|
$
|
1,146
|
|
||||||||||
Total operating revenues
|
|
|
|
|
|
|
|
|
|
|
$
|
2,599
|
|
(1)
|
Affiliate energy, other and capacity revenues reflect revenues on transactions between wholesale and retail affiliates excluding affiliate activity related to leases and derivative instruments. All such activity supports retail supply needs from the wholesale business and/or allows for collateral margin netting efficiencies at Calpine.
|
(2)
|
Revenues relating to contracts accounted for as leases and derivatives include energy and capacity revenues relating to PPAs that we are required to account for as operating leases and physical and financial commodity derivative contracts, primarily relating to power, natural gas and environmental products. Revenue related to derivative instruments includes revenue recorded in Commodity revenue and mark-to-market gain (loss) within our operating revenues on our Consolidated Condensed Statements of Operations.
|
3.
|
Variable Interest Entities and Unconsolidated Investments
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Assets:
|
|
|
|
||||
Current assets
|
$
|
309
|
|
|
$
|
371
|
|
Property, plant and equipment, net
|
3,431
|
|
|
3,454
|
|
||
Restricted cash, net of current portion
|
14
|
|
|
15
|
|
||
Other assets
|
47
|
|
|
53
|
|
||
Total assets
|
$
|
3,801
|
|
|
$
|
3,893
|
|
Liabilities:
|
|
|
|
||||
Current liabilities
|
$
|
244
|
|
|
$
|
303
|
|
Debt, net of current portion
|
1,588
|
|
|
1,635
|
|
||
Long-term derivative liabilities
|
19
|
|
|
8
|
|
||
Other long-term liabilities
|
36
|
|
|
53
|
|
||
Total liabilities
|
$
|
1,887
|
|
|
$
|
1,999
|
|
|
Ownership Interest as of
March 31, 2020
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Greenfield LP(1)
|
50%
|
|
$
|
60
|
|
|
$
|
66
|
|
Calpine Receivables
|
100%
|
|
3
|
|
|
4
|
|
||
Total investments in unconsolidated subsidiaries
|
|
|
$
|
63
|
|
|
$
|
70
|
|
(1)
|
Includes our share of AOCI related to interest rate hedging instruments associated with our unconsolidated subsidiary Greenfield LP’s debt.
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Greenfield LP
|
|
$
|
(1
|
)
|
|
$
|
(2
|
)
|
Whitby(1)
|
|
—
|
|
|
(4
|
)
|
||
Calpine Receivables
|
|
1
|
|
|
—
|
|
||
Total
|
|
$
|
—
|
|
|
$
|
(6
|
)
|
(1)
|
On November 20, 2019, we sold our 50% interest in Whitby to a third party.
|
4.
|
Debt
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
First Lien Term Loans
|
$
|
3,161
|
|
|
$
|
3,167
|
|
Senior Unsecured Notes
|
3,041
|
|
|
3,663
|
|
||
First Lien Notes
|
2,407
|
|
|
2,835
|
|
||
Project financing, notes payable and other
|
840
|
|
|
879
|
|
||
CCFC Term Loan
|
964
|
|
|
967
|
|
||
Finance lease obligations
|
68
|
|
|
73
|
|
||
Revolving facilities
|
572
|
|
|
122
|
|
||
Subtotal
|
11,053
|
|
|
11,706
|
|
||
Less: Current maturities
|
217
|
|
|
1,268
|
|
||
Total long-term debt
|
$
|
10,836
|
|
|
$
|
10,438
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
2024 First Lien Term Loan
|
$
|
1,511
|
|
|
$
|
1,514
|
|
2026 First Lien Term Loans
|
1,650
|
|
|
1,653
|
|
||
Total First Lien Term Loans
|
$
|
3,161
|
|
|
$
|
3,167
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
2023 Senior Unsecured Notes(1)
|
$
|
—
|
|
|
$
|
623
|
|
2024 Senior Unsecured Notes
|
479
|
|
|
479
|
|
||
2025 Senior Unsecured Notes
|
1,174
|
|
|
1,174
|
|
||
2028 Senior Unsecured Notes(1)
|
1,388
|
|
|
1,387
|
|
||
Total Senior Unsecured Notes
|
$
|
3,041
|
|
|
$
|
3,663
|
|
(1)
|
On January 21, 2020, we redeemed the outstanding $623 million in aggregate principal amount of our 2023 Senior Unsecured Notes, which was included in debt, current portion on our Consolidated Condensed Balance Sheet at December 31, 2019, with the proceeds from the 2028 Senior Unsecured Notes, which was included in cash and cash equivalents on our Consolidated Condensed Balance Sheet at December 31, 2019.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
2022 First Lien Notes(1)
|
$
|
—
|
|
|
$
|
245
|
|
2024 First Lien Notes(2)
|
—
|
|
|
184
|
|
||
2026 First Lien Notes
|
1,173
|
|
|
1,172
|
|
||
2028 First Lien Notes
|
1,234
|
|
|
1,234
|
|
||
Total First Lien Notes
|
$
|
2,407
|
|
|
$
|
2,835
|
|
(1)
|
On January 21, 2020, we redeemed the outstanding $245 million in aggregate principal amount of our 2022 First Lien Notes, which was included in debt, current portion on our Consolidated Condensed Balance Sheet at December 31, 2019, with the proceeds from the 2028 First Lien Notes, which was included in cash and cash equivalents on our Consolidated Condensed Balance Sheet at December 31, 2019.
|
(2)
|
On January 21, 2020, we redeemed the outstanding $184 million in aggregate principal amount of our 2024 First Lien Notes, which was included in debt, current portion on our Consolidated Condensed Balance Sheet at December 31, 2019, with the proceeds from the 2028 First Lien Notes which was included in cash and cash equivalents on our Consolidated Condensed Balance Sheet at December 31, 2019.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Corporate Revolving Facility(1)
|
$
|
636
|
|
|
$
|
604
|
|
CDHI
|
3
|
|
|
3
|
|
||
Various project financing facilities
|
185
|
|
|
184
|
|
||
Other corporate facilities(2)
|
295
|
|
|
294
|
|
||
Total
|
$
|
1,119
|
|
|
$
|
1,085
|
|
(1)
|
The Corporate Revolving Facility represents our primary revolving facility and matures on March 8, 2023.
|
(2)
|
On April 9, 2020, we amended one of our unsecured letter of credit facilities to partially extend the maturity of $100 million in commitments from June 20, 2020 to June 20, 2022.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||
|
Fair Value
|
|
Carrying Value
|
|
Fair Value
|
|
Carrying Value
|
||||||||
First Lien Term Loans
|
$
|
2,920
|
|
|
$
|
3,161
|
|
|
$
|
3,238
|
|
|
$
|
3,167
|
|
Senior Unsecured Notes
|
2,827
|
|
|
3,041
|
|
|
3,764
|
|
|
3,663
|
|
||||
First Lien Notes
|
2,313
|
|
|
2,407
|
|
|
2,929
|
|
|
2,835
|
|
||||
Project financing, notes payable and other(1)
|
777
|
|
|
778
|
|
|
822
|
|
|
817
|
|
||||
CCFC Term Loan
|
850
|
|
|
964
|
|
|
982
|
|
|
967
|
|
||||
Revolving facilities
|
572
|
|
|
572
|
|
|
122
|
|
|
122
|
|
||||
Total
|
$
|
10,259
|
|
|
$
|
10,923
|
|
|
$
|
11,857
|
|
|
$
|
11,571
|
|
(1)
|
Excludes an agreement that is accounted for as a failed sale-leaseback transaction under U.S. GAAP.
|
5.
|
Assets and Liabilities with Recurring Fair Value Measurements
|
|
Assets and Liabilities with Recurring Fair Value Measures as of March 31, 2020
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||
Cash equivalents(1)
|
$
|
444
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
444
|
|
Commodity instruments:
|
|
|
|
|
|
|
|
||||||||
Commodity exchange traded derivatives contracts
|
1,198
|
|
|
—
|
|
|
—
|
|
|
1,198
|
|
||||
Commodity forward contracts(2)
|
—
|
|
|
383
|
|
|
366
|
|
|
749
|
|
||||
Interest rate hedging instruments
|
—
|
|
|
—
|
|
|
—
|
|
|
—
|
|
||||
Effect of netting and allocation of collateral(3)(4)
|
(1,198
|
)
|
|
(235
|
)
|
|
(25
|
)
|
|
(1,458
|
)
|
||||
Total assets
|
$
|
444
|
|
|
$
|
148
|
|
|
$
|
341
|
|
|
$
|
933
|
|
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Commodity instruments:
|
|
|
|
|
|
|
|
||||||||
Commodity exchange traded derivatives contracts
|
$
|
1,233
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
1,233
|
|
Commodity forward contracts(2)
|
—
|
|
|
379
|
|
|
117
|
|
|
496
|
|
||||
Interest rate hedging instruments
|
—
|
|
|
150
|
|
|
—
|
|
|
150
|
|
||||
Effect of netting and allocation of collateral(3)(4)
|
(1,233
|
)
|
|
(243
|
)
|
|
(25
|
)
|
|
(1,501
|
)
|
||||
Total liabilities
|
$
|
—
|
|
|
$
|
286
|
|
|
$
|
92
|
|
|
$
|
378
|
|
|
Assets and Liabilities with Recurring Fair Value Measures as of December 31, 2019
|
||||||||||||||
|
Level 1
|
|
Level 2
|
|
Level 3
|
|
Total
|
||||||||
|
(in millions)
|
||||||||||||||
Assets:
|
|
|
|
|
|
|
|
||||||||
Cash equivalents(1)
|
$
|
784
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
784
|
|
Commodity instruments:
|
|
|
|
|
|
|
|
||||||||
Commodity exchange traded derivatives contracts
|
872
|
|
|
—
|
|
|
—
|
|
|
872
|
|
||||
Commodity forward contracts(2)
|
—
|
|
|
245
|
|
|
294
|
|
|
539
|
|
||||
Interest rate hedging instruments
|
—
|
|
|
12
|
|
|
—
|
|
|
12
|
|
||||
Effect of netting and allocation of collateral(3)(4)
|
(872
|
)
|
|
(131
|
)
|
|
(18
|
)
|
|
(1,021
|
)
|
||||
Total assets
|
$
|
784
|
|
|
$
|
126
|
|
|
$
|
276
|
|
|
$
|
1,186
|
|
Liabilities:
|
|
|
|
|
|
|
|
||||||||
Commodity instruments:
|
|
|
|
|
|
|
|
||||||||
Commodity exchange traded derivatives contracts
|
$
|
984
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
984
|
|
Commodity forward contracts(2)
|
—
|
|
|
285
|
|
|
123
|
|
|
408
|
|
||||
Interest rate hedging instruments
|
—
|
|
|
31
|
|
|
—
|
|
|
31
|
|
||||
Effect of netting and allocation of collateral(3)(4)
|
(984
|
)
|
|
(133
|
)
|
|
(18
|
)
|
|
(1,135
|
)
|
||||
Total liabilities
|
$
|
—
|
|
|
$
|
183
|
|
|
$
|
105
|
|
|
$
|
288
|
|
(1)
|
At March 31, 2020 and December 31, 2019, we had cash equivalents of $222 million and $573 million included in cash and cash equivalents and $222 million and $211 million included in restricted cash, respectively.
|
(2)
|
Includes OTC swaps and options.
|
(3)
|
We offset fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement for financial statement presentation; therefore, amounts recognized for the right to reclaim, or the obligation to return, cash collateral are presented net with the corresponding derivative instrument fair values. See Note 6 for further discussion of our derivative instruments subject to master netting arrangements.
|
(4)
|
Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $35 million, $8 million and nil, respectively, at March 31, 2020. Cash collateral posted with (received from) counterparties allocated to level 1, level 2 and level 3 derivative instruments totaled $112 million, $2 million and nil, respectively, at December 31, 2019.
|
|
|
Quantitative Information about Level 3 Fair Value Measurements
|
|||||||||||||||||
|
|
March 31, 2020
|
|||||||||||||||||
|
|
Fair Value, Net Asset
|
|
|
|
Significant Unobservable
|
|
|
|
|
|
|
|
||||||
|
|
(Liability)
|
|
Valuation Technique
|
|
Input
|
|
Range
|
|
Average(2)
|
|||||||||
|
|
(in millions)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Power Contracts(1)
|
|
$
|
211
|
|
|
Discounted cash flow
|
|
Market price (per MWh)
|
|
$
|
3.47
|
|
—
|
$159.64
|
/MWh
|
|
$
|
27.96
|
|
Power Congestion Products
|
|
$
|
11
|
|
|
Discounted cash flow
|
|
Market price (per MWh)
|
|
$
|
(6.48
|
)
|
—
|
$42.00
|
/MWh
|
|
$
|
3.48
|
|
Natural Gas Contracts
|
|
$
|
10
|
|
|
Discounted cash flow
|
|
Market price (per MMBtu)
|
|
$
|
1.13
|
|
—
|
$4.77
|
/MMBtu
|
|
$
|
2.60
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||
|
|
December 31, 2019
|
|||||||||||||||||
|
|
Fair Value, Net Asset
|
|
|
|
Significant Unobservable
|
|
|
|
|
|
|
|
||||||
|
|
(Liability)
|
|
Valuation Technique
|
|
Input
|
|
Range
|
|
|
|||||||||
|
|
(in millions)
|
|
|
|
|
|
|
|
|
|
|
|
||||||
Power Contracts(1)
|
|
$
|
158
|
|
|
Discounted cash flow
|
|
Market price (per MWh)
|
|
$
|
4.85
|
|
—
|
$184.15
|
/MWh
|
|
|
||
Power Congestion Products
|
|
$
|
17
|
|
|
Discounted cash flow
|
|
Market price (per MWh)
|
|
$
|
(10.32
|
)
|
—
|
$20
|
/MWh
|
|
|
||
Natural Gas Contracts
|
|
$
|
(20
|
)
|
|
Discounted cash flow
|
|
Market price (per MMBtu)
|
|
$
|
1.73
|
|
—
|
$6.45
|
/MMBtu
|
|
|
(1)
|
Power contracts include power and heat rate instruments classified as level 3 in the fair value hierarchy.
|
(2)
|
Amount represents the arithmetic average of the significant unobservable input based on the range disclosed.
|
|
|
Three Months Ended March 31,
|
||||||
|
|
2020
|
|
2019
|
||||
Balance, beginning of period
|
|
$
|
171
|
|
|
$
|
(8
|
)
|
Realized and mark-to-market gains (losses):
|
|
|
|
|
||||
Included in net income:
|
|
|
|
|
||||
Included in operating revenues(1)
|
|
81
|
|
|
50
|
|
||
Included in fuel and purchased energy expense(2)
|
|
(4
|
)
|
|
2
|
|
||
Change in collateral
|
|
—
|
|
|
2
|
|
||
Purchases, Issuances and settlements:
|
|
|
|
|
||||
Purchases
|
|
—
|
|
|
2
|
|
||
Settlements
|
|
—
|
|
|
58
|
|
||
Transfers in and/or out of level 3:
|
|
|
|
|
||||
Transfers into level 3(3)
|
|
3
|
|
|
(1
|
)
|
||
Transfers out of level 3(4)
|
|
(2
|
)
|
|
—
|
|
||
Balance, end of period
|
|
$
|
249
|
|
|
$
|
105
|
|
Change in unrealized gains (losses) included in net income relating to instruments still held at end of period
|
|
$
|
77
|
|
|
$
|
52
|
|
(1)
|
For power contracts and other power-related products, included on our Consolidated Condensed Statements of Operations.
|
(2)
|
For natural gas and power contracts, swaps and options, included on our Consolidated Condensed Statements of Operations.
|
(3)
|
We had $3 million in gains and $(1) million in losses transferred out of level 2 into level 3 for the three months ended March 31, 2020 and 2019, respectively, due to changes in market liquidity in various power markets.
|
(4)
|
We had $2 million in gains and nil transferred out of level 3 into level 2 for the three months ended March 31, 2020 and 2019, respectively, due to changes in market liquidity in various power markets.
|
6.
|
Derivative Instruments
|
Derivative Instruments
|
|
Notional Amounts
|
|
|
||||||
|
March 31, 2020
|
|
December 31, 2019
|
|
Unit of Measure
|
|||||
Power
|
|
(190
|
)
|
|
(184
|
)
|
|
Million MWh
|
||
Natural gas
|
|
913
|
|
|
1,063
|
|
|
Million MMBtu
|
||
Environmental credits
|
|
37
|
|
|
26
|
|
|
Million Tonnes
|
||
Interest rate hedging instruments(1)
|
|
$
|
6.6
|
|
|
$
|
4.8
|
|
|
Billion U.S. dollars
|
(1)
|
During the first quarter of 2020, we entered into interest rate hedging instruments to hedge approximately $1.6 billion of variable rate debt.
|
|
|
March 31, 2020
|
||||||||||
|
|
Gross Amounts of Assets and (Liabilities)
|
|
Gross Amounts Offset on the Consolidated Condensed Balance Sheets
|
|
Net Amount Presented on the Consolidated Condensed Balance Sheets(1)
|
||||||
Derivative assets:
|
|
|
|
|
|
|
||||||
Commodity exchange traded derivatives contracts
|
|
$
|
920
|
|
|
$
|
(920
|
)
|
|
$
|
—
|
|
Commodity forward contracts
|
|
402
|
|
|
(176
|
)
|
|
226
|
|
|||
Interest rate hedging instruments
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total current derivative assets(2)
|
|
$
|
1,322
|
|
|
$
|
(1,096
|
)
|
|
$
|
226
|
|
Commodity exchange traded derivatives contracts
|
|
278
|
|
|
(278
|
)
|
|
—
|
|
|||
Commodity forward contracts
|
|
347
|
|
|
(84
|
)
|
|
263
|
|
|||
Interest rate hedging instruments
|
|
—
|
|
|
—
|
|
|
—
|
|
|||
Total long-term derivative assets(2)
|
|
$
|
625
|
|
|
$
|
(362
|
)
|
|
$
|
263
|
|
Total derivative assets
|
|
$
|
1,947
|
|
|
$
|
(1,458
|
)
|
|
$
|
489
|
|
|
|
|
|
|
|
|
||||||
Derivative (liabilities):
|
|
|
|
|
|
|
||||||
Commodity exchange traded derivatives contracts
|
|
$
|
(921
|
)
|
|
$
|
921
|
|
|
$
|
—
|
|
Commodity forward contracts
|
|
(332
|
)
|
|
183
|
|
|
(149
|
)
|
|||
Interest rate hedging instruments
|
|
(45
|
)
|
|
—
|
|
|
(45
|
)
|
|||
Total current derivative (liabilities)(2)
|
|
$
|
(1,298
|
)
|
|
$
|
1,104
|
|
|
$
|
(194
|
)
|
Commodity exchange traded derivatives contracts
|
|
(312
|
)
|
|
312
|
|
|
—
|
|
|||
Commodity forward contracts
|
|
(164
|
)
|
|
85
|
|
|
(79
|
)
|
|||
Interest rate hedging instruments
|
|
(105
|
)
|
|
—
|
|
|
(105
|
)
|
|||
Total long-term derivative (liabilities)(2)
|
|
$
|
(581
|
)
|
|
$
|
397
|
|
|
$
|
(184
|
)
|
Total derivative liabilities
|
|
$
|
(1,879
|
)
|
|
$
|
1,501
|
|
|
$
|
(378
|
)
|
Net derivative assets (liabilities)
|
|
$
|
68
|
|
|
$
|
43
|
|
|
$
|
111
|
|
|
|
December 31, 2019
|
||||||||||
|
|
Gross Amounts of Assets and (Liabilities)
|
|
Gross Amounts Offset on the Consolidated Condensed Balance Sheets
|
|
Net Amount Presented on the Consolidated Condensed Balance Sheets(1)
|
||||||
Derivative assets:
|
|
|
|
|
|
|
||||||
Commodity exchange traded derivatives contracts
|
|
$
|
727
|
|
|
$
|
(727
|
)
|
|
$
|
—
|
|
Commodity forward contracts
|
|
262
|
|
|
(108
|
)
|
|
154
|
|
|||
Interest rate hedging instruments
|
|
2
|
|
|
—
|
|
|
2
|
|
|||
Total current derivative assets(3)
|
|
$
|
991
|
|
|
$
|
(835
|
)
|
|
$
|
156
|
|
Commodity exchange traded derivatives contracts
|
|
145
|
|
|
(145
|
)
|
|
—
|
|
|||
Commodity forward contracts
|
|
277
|
|
|
(41
|
)
|
|
236
|
|
|||
Interest rate hedging instruments
|
|
10
|
|
|
—
|
|
|
10
|
|
|||
Total long-term derivative assets(3)
|
|
$
|
432
|
|
|
$
|
(186
|
)
|
|
$
|
246
|
|
Total derivative assets
|
|
$
|
1,423
|
|
|
$
|
(1,021
|
)
|
|
$
|
402
|
|
|
|
|
|
|
|
|
||||||
Derivative (liabilities):
|
|
|
|
|
|
|
||||||
Commodity exchange traded derivatives contracts
|
|
$
|
(830
|
)
|
|
$
|
830
|
|
|
$
|
—
|
|
Commodity forward contracts
|
|
(321
|
)
|
|
109
|
|
|
(212
|
)
|
|||
Interest rate hedging instruments
|
|
(13
|
)
|
|
—
|
|
|
(13
|
)
|
|||
Total current derivative (liabilities)(3)
|
|
$
|
(1,164
|
)
|
|
$
|
939
|
|
|
$
|
(225
|
)
|
Commodity exchange traded derivatives contracts
|
|
(154
|
)
|
|
154
|
|
|
—
|
|
|||
Commodity forward contracts
|
|
(87
|
)
|
|
42
|
|
|
(45
|
)
|
|||
Interest rate hedging instruments
|
|
(18
|
)
|
|
—
|
|
|
(18
|
)
|
|||
Total long-term derivative (liabilities)(3)
|
|
$
|
(259
|
)
|
|
$
|
196
|
|
|
$
|
(63
|
)
|
Total derivative liabilities
|
|
$
|
(1,423
|
)
|
|
$
|
1,135
|
|
|
$
|
(288
|
)
|
Net derivative assets (liabilities)
|
|
$
|
—
|
|
|
$
|
114
|
|
|
$
|
114
|
|
(1)
|
At March 31, 2020 and December 31, 2019, we had $191 million and $191 million, respectively, of collateral under master netting arrangements that were not offset against our derivative instruments on the Consolidated Condensed Balance Sheets primarily related to initial margin requirements.
|
(2)
|
At March 31, 2020, current and long-term derivative assets are shown net of collateral of $(14) million and $(13) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $22 million and $48 million, respectively.
|
(3)
|
At December 31, 2019, current and long-term derivative assets are shown net of collateral of $(4) million and $(4) million, respectively, and current and long-term derivative liabilities are shown net of collateral of $108 million and $14 million, respectively.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||||||||||
|
Fair Value
of Derivative
Assets
|
|
Fair Value
of Derivative
Liabilities
|
|
Fair Value
of Derivative
Assets
|
|
Fair Value
of Derivative
Liabilities
|
||||||||
Derivatives designated as cash flow hedging instruments:
|
|
|
|
|
|
|
|
||||||||
Interest rate hedging instruments
|
$
|
—
|
|
|
$
|
123
|
|
|
$
|
12
|
|
|
$
|
29
|
|
Total derivatives designated as cash flow hedging instruments
|
$
|
—
|
|
|
$
|
123
|
|
|
$
|
12
|
|
|
$
|
29
|
|
|
|
|
|
|
|
|
|
||||||||
Derivatives not designated as hedging instruments:
|
|
|
|
|
|
|
|
||||||||
Commodity instruments
|
$
|
489
|
|
|
$
|
228
|
|
|
$
|
390
|
|
|
$
|
257
|
|
Interest rate hedging instruments
|
—
|
|
|
27
|
|
|
—
|
|
|
2
|
|
||||
Total derivatives not designated as hedging instruments
|
$
|
489
|
|
|
$
|
255
|
|
|
$
|
390
|
|
|
$
|
259
|
|
Total derivatives
|
$
|
489
|
|
|
$
|
378
|
|
|
$
|
402
|
|
|
$
|
288
|
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Realized gain (loss)(1)(2)
|
|
|
|
||||
Commodity derivative instruments
|
$
|
(3
|
)
|
|
$
|
111
|
|
Total realized gain (loss)
|
$
|
(3
|
)
|
|
$
|
111
|
|
|
|
|
|
||||
Mark-to-market gain (loss)(3)
|
|
|
|
||||
Commodity derivative instruments
|
$
|
201
|
|
|
$
|
46
|
|
Interest rate hedging instruments
|
(24
|
)
|
|
(1
|
)
|
||
Total mark-to-market gain (loss)
|
$
|
177
|
|
|
$
|
45
|
|
Total activity, net
|
$
|
174
|
|
|
$
|
156
|
|
(1)
|
Does not include the realized value associated with derivative instruments that settle through physical delivery.
|
(2)
|
Includes amortization of acquisition date fair value of financial derivative activity related to the acquisition of Champion Energy and Calpine Solutions.
|
(3)
|
In addition to changes in market value on derivatives not designated as hedges, changes in mark-to-market gain (loss) also includes adjustments to reflect changes in credit default risk exposure.
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Realized and mark-to-market gain (loss)(1)
|
|
|
|
||||
Derivatives contracts included in operating revenues(2)(3)
|
$
|
507
|
|
|
$
|
37
|
|
Derivatives contracts included in fuel and purchased energy expense(2)(3)
|
(309
|
)
|
|
120
|
|
||
Interest rate hedging instruments included in interest expense
|
(24
|
)
|
|
(1
|
)
|
||
Total activity, net
|
$
|
174
|
|
|
$
|
156
|
|
(1)
|
In addition to changes in market value on derivatives not designated as hedges, changes in mark-to-market gain (loss) also includes adjustments to reflect changes in credit default risk exposure.
|
(2)
|
Does not include the realized value associated with derivative instruments that settle through physical delivery.
|
(3)
|
Includes amortization of acquisition date fair value of financial derivative activity related to the acquisition of Champion Energy and Calpine Solutions.
|
|
Three Months Ended March 31,
|
|
Three Months Ended March 31,
|
||||||||||||||
|
Gain (Loss) Recognized in OCI
|
|
Gain (Loss) Reclassified from AOCI into Income(2)(3)
|
||||||||||||||
|
2020
|
|
2019
|
|
2020
|
|
2019
|
|
Affected Line Item on the Consolidated Condensed Statements of Operations
|
||||||||
Interest rate hedging instruments(1)
|
$
|
(104
|
)
|
|
$
|
(25
|
)
|
|
$
|
(6
|
)
|
|
$
|
2
|
|
|
Interest expense
|
(1)
|
We recorded an income tax benefit of $3 million and nil for the three months ended March 31, 2020 and 2019, respectively, in AOCI related to our cash flow hedging activities.
|
(2)
|
Cumulative cash flow hedge losses attributable to Calpine, net of tax, remaining in AOCI were $176 million and $72 million at March 31, 2020 and December 31, 2019, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were nil and $3 million at March 31, 2020 and December 31, 2019, respectively.
|
(3)
|
Includes losses of nil and $1 million that were reclassified from AOCI to interest expense for the three months ended March 31, 2020 and 2019, respectively, where the hedged transactions became probable of not occurring.
|
7.
|
Use of Collateral
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Margin deposits(1)
|
$
|
327
|
|
|
$
|
432
|
|
Natural gas and power prepayments
|
32
|
|
|
29
|
|
||
Total margin deposits and natural gas and power prepayments with our counterparties(2)
|
$
|
359
|
|
|
$
|
461
|
|
|
|
|
|
||||
Letters of credit issued
|
$
|
949
|
|
|
$
|
906
|
|
First priority liens under power and natural gas agreements
|
29
|
|
|
42
|
|
||
First priority liens under interest rate hedging instruments
|
156
|
|
|
31
|
|
||
Total letters of credit and first priority liens with our counterparties
|
$
|
1,134
|
|
|
$
|
979
|
|
|
|
|
|
||||
Margin deposits posted with us by our counterparties(1)(3)
|
$
|
93
|
|
|
$
|
127
|
|
Letters of credit posted with us by our counterparties
|
87
|
|
|
25
|
|
||
Total margin deposits and letters of credit posted with us by our counterparties
|
$
|
180
|
|
|
$
|
152
|
|
(1)
|
We offset fair value amounts recognized for derivative instruments executed with the same counterparty under a master netting arrangement for financial statement presentation; therefore, amounts recognized for the right to reclaim, or the obligation to return, cash collateral are presented net with the corresponding derivative instrument fair values. See Note 6 for further discussion of our derivative instruments subject to master netting arrangements.
|
(2)
|
At March 31, 2020 and December 31, 2019, $59 million and $117 million, respectively, were included in current and long-term derivative assets and liabilities, $292 million and $336 million, respectively, were included in margin deposits and other prepaid expense and $8 million and $8 million, respectively, were included in other assets on our Consolidated Condensed Balance Sheets.
|
(3)
|
At March 31, 2020 and December 31, 2019, $16 million and $3 million, respectively, were included in current and long-term derivative assets and liabilities, $46 million and $93 million, respectively, were included in other current liabilities and $31 million and $31 million, respectively, were included in other long-term liabilities on our Consolidated Condensed Balance Sheets.
|
8.
|
Income Taxes
|
|
Three Months Ended March 31,
|
||||||
|
2020
|
|
2019
|
||||
Income tax expense
|
$
|
46
|
|
|
$
|
10
|
|
Effective tax rate
|
26
|
%
|
|
5
|
%
|
9.
|
Commitments and Contingencies
|
10.
|
Related Party Transactions
|
11.
|
Segment Information
|
|
Three Months Ended March 31, 2020
|
||||||||||||||||||||||
|
Wholesale
|
|
|
|
Consolidation
|
|
|
||||||||||||||||
|
West
|
|
Texas
|
|
East
|
|
Retail
|
|
Elimination
|
|
Total
|
||||||||||||
Total operating revenues(1)
|
$
|
705
|
|
|
$
|
650
|
|
|
$
|
542
|
|
|
$
|
908
|
|
|
$
|
(513
|
)
|
|
$
|
2,292
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Commodity Margin
|
$
|
234
|
|
|
$
|
113
|
|
|
$
|
150
|
|
|
$
|
91
|
|
|
$
|
—
|
|
|
$
|
588
|
|
Add: Mark-to-market commodity activity, net and other(2)
|
54
|
|
|
101
|
|
|
82
|
|
|
(16
|
)
|
|
(8
|
)
|
|
213
|
|
||||||
Less:
|
|
|
|
|
|
|
|
|
|
|
|
|
|||||||||||
Operating and maintenance expense
|
86
|
|
|
66
|
|
|
63
|
|
|
33
|
|
|
(8
|
)
|
|
240
|
|
||||||
Depreciation and amortization expense
|
56
|
|
|
50
|
|
|
46
|
|
|
12
|
|
|
—
|
|
|
164
|
|
||||||
General and other administrative expense
|
8
|
|
|
11
|
|
|
8
|
|
|
4
|
|
|
—
|
|
|
31
|
|
||||||
Other operating expenses
|
8
|
|
|
2
|
|
|
7
|
|
|
—
|
|
|
—
|
|
|
17
|
|
||||||
Income from operations
|
130
|
|
|
85
|
|
|
108
|
|
|
26
|
|
|
—
|
|
|
349
|
|
||||||
Interest expense
|
|
|
|
|
|
|
|
|
|
|
169
|
|
|||||||||||
Other (income) expense, net
|
|
|
|
|
|
|
|
|
|
|
4
|
|
|||||||||||
Income before income taxes
|
|
|
|
|
|
|
|
|
|
|
$
|
176
|
|
|
Three Months Ended March 31, 2019
|
||||||||||||||||||||||
|
Wholesale
|
|
|
|
Consolidation
|
|
|
||||||||||||||||
|
West
|
|
Texas
|
|
East
|
|
Retail
|
|
Elimination
|
|
Total
|
||||||||||||
Total operating revenues(1)
|
$
|
682
|
|
|
$
|
743
|
|
|
$
|
689
|
|
|
$
|
998
|
|
|
$
|
(513
|
)
|
|
$
|
2,599
|
|
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Commodity Margin
|
$
|
264
|
|
|
$
|
162
|
|
|
$
|
265
|
|
|
$
|
88
|
|
|
$
|
—
|
|
|
$
|
779
|
|
Add: Mark-to-market commodity activity, net and other(2)
|
56
|
|
|
44
|
|
|
13
|
|
|
(53
|
)
|
|
(8
|
)
|
|
52
|
|
||||||
Less:
|
|
|
|
|
|
|
|
|
|
|
|
||||||||||||
Operating and maintenance expense
|
81
|
|
|
65
|
|
|
67
|
|
|
34
|
|
|
(8
|
)
|
|
239
|
|
||||||
Depreciation and amortization expense
|
73
|
|
|
45
|
|
|
43
|
|
|
13
|
|
|
—
|
|
|
174
|
|
||||||
General and other administrative expense
|
7
|
|
|
12
|
|
|
9
|
|
|
4
|
|
|
—
|
|
|
32
|
|
||||||
Other operating expenses
|
9
|
|
|
2
|
|
|
23
|
|
|
—
|
|
|
—
|
|
|
34
|
|
||||||
(Income) from unconsolidated subsidiaries
|
—
|
|
|
—
|
|
|
(6
|
)
|
|
—
|
|
|
—
|
|
|
(6
|
)
|
||||||
Income (loss) from operations
|
150
|
|
|
82
|
|
|
142
|
|
|
(16
|
)
|
|
—
|
|
|
358
|
|
||||||
Interest expense
|
|
|
|
|
|
|
|
|
|
|
149
|
|
|||||||||||
Gain on extinguishment of debt and other (income) expense, net
|
|
|
|
|
|
|
|
|
|
|
19
|
|
|||||||||||
Income before income taxes
|
|
|
|
|
|
|
|
|
|
|
$
|
190
|
|
(1)
|
Includes intersegment revenues of $119 million and $162 million in the West, $218 million and $211 million in Texas, $175 million and $137 million in the East and $1 million and $3 million in Retail for the three months ended March 31, 2020 and 2019, respectively.
|
(2)
|
Includes $(18) million and $(16) million of lease levelization and $16 million and $21 million of amortization expense for the three months ended March 31, 2020 and 2019, respectively.
|
Item 2.
|
Management’s Discussion and Analysis of Financial Condition and Results of Operations
|
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
|||||||
Operating revenues:
|
|
|
|
|
|
|
|
|||||||
Commodity revenue
|
$
|
1,943
|
|
|
$
|
2,538
|
|
|
$
|
(595
|
)
|
|
(23
|
)
|
Mark-to-market gain
|
345
|
|
|
56
|
|
|
289
|
|
|
#
|
|
|||
Other revenue
|
4
|
|
|
5
|
|
|
(1
|
)
|
|
(20
|
)
|
|||
Operating revenues
|
2,292
|
|
|
2,599
|
|
|
(307
|
)
|
|
(12
|
)
|
|||
Operating expenses:
|
|
|
|
|
|
|
|
|||||||
Fuel and purchased energy expense:
|
|
|
|
|
|
|
|
|||||||
Commodity expense
|
1,347
|
|
|
1,758
|
|
|
411
|
|
|
23
|
|
|||
Mark-to-market loss
|
144
|
|
|
10
|
|
|
(134
|
)
|
|
#
|
|
|||
Fuel and purchased energy expense
|
1,491
|
|
|
1,768
|
|
|
277
|
|
|
16
|
|
|||
Operating and maintenance expense
|
240
|
|
|
239
|
|
|
(1
|
)
|
|
—
|
|
|||
Depreciation and amortization expense
|
164
|
|
|
174
|
|
|
10
|
|
|
6
|
|
|||
General and other administrative expense
|
31
|
|
|
32
|
|
|
1
|
|
|
3
|
|
|||
Other operating expenses
|
17
|
|
|
34
|
|
|
17
|
|
|
50
|
|
|||
Total operating expenses
|
1,943
|
|
|
2,247
|
|
|
304
|
|
|
14
|
|
|||
(Income) from unconsolidated subsidiaries
|
—
|
|
|
(6
|
)
|
|
(6
|
)
|
|
#
|
|
|||
Income from operations
|
349
|
|
|
358
|
|
|
(9
|
)
|
|
(3
|
)
|
|||
Interest expense
|
169
|
|
|
149
|
|
|
(20
|
)
|
|
(13
|
)
|
|||
Gain on extinguishment of debt
|
—
|
|
|
(4
|
)
|
|
(4
|
)
|
|
#
|
|
|||
Other (income) expense, net
|
4
|
|
|
23
|
|
|
19
|
|
|
83
|
|
|||
Income before income taxes
|
176
|
|
|
190
|
|
|
(14
|
)
|
|
(7
|
)
|
|||
Income tax expense
|
46
|
|
|
10
|
|
|
(36
|
)
|
|
#
|
|
|||
Net income
|
130
|
|
|
180
|
|
|
(50
|
)
|
|
(28
|
)
|
|||
Net income attributable to the noncontrolling interest
|
(2
|
)
|
|
(5
|
)
|
|
3
|
|
|
60
|
|
|||
Net income attributable to Calpine
|
$
|
128
|
|
|
$
|
175
|
|
|
$
|
(47
|
)
|
|
(27
|
)
|
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
||||
Operating Performance Metrics:
|
|
|
|
|
|
|
|
||||
MWh generated (in thousands)(1)(2)
|
24,912
|
|
|
22,101
|
|
|
2,811
|
|
|
13
|
|
Average availability(2)
|
86.5
|
%
|
|
88.1
|
%
|
|
(1.6
|
)%
|
|
(2
|
)
|
Average total MW in operation(1)
|
25,232
|
|
|
25,208
|
|
|
24
|
|
|
—
|
|
Average capacity factor, excluding peakers
|
49.6
|
%
|
|
45.8
|
%
|
|
3.8
|
%
|
|
8
|
|
Steam Adjusted Heat Rate(2)
|
7,295
|
|
|
7,274
|
|
|
(21
|
)
|
|
—
|
|
#
|
Variance of 100% or greater
|
(1)
|
Represents generation and capacity from power plants that we both consolidate and operate and excludes Greenfield LP, Freeport Energy Center, 21.5% of Hidalgo Energy Center and 25% of Freestone Energy Center.
|
(2)
|
Generation, average availability and Steam Adjusted Heat Rate exclude power plants and units that are inactive.
|
(1)
|
Commodity Margin excludes amortization expense related to contracts recorded at fair value, non-cash GAAP-related adjustments to levelize revenues from tolling agreements, Commodity revenue and Commodity expense attributable to the noncontrolling interest and other unusual items or non-recurring items.
|
West:
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
|||||||
Commodity Margin (in millions)
|
$
|
234
|
|
|
$
|
264
|
|
|
$
|
(30
|
)
|
|
(11
|
)
|
Commodity Margin per MWh generated
|
$
|
33.48
|
|
|
$
|
39.00
|
|
|
$
|
(5.52
|
)
|
|
(14
|
)
|
|
|
|
|
|
|
|
|
|||||||
MWh generated (in thousands)
|
6,990
|
|
|
6,769
|
|
|
221
|
|
|
3
|
|
|||
Average availability
|
89.0
|
%
|
|
91.1
|
%
|
|
(2.1
|
)%
|
|
(2
|
)
|
|||
Average total MW in operation
|
7,542
|
|
|
7,425
|
|
|
117
|
|
|
2
|
|
|||
Average capacity factor, excluding peakers
|
45.5
|
%
|
|
45.4
|
%
|
|
0.1
|
%
|
|
—
|
|
|||
Steam Adjusted Heat Rate
|
7,389
|
|
|
7,325
|
|
|
(64
|
)
|
|
(1
|
)
|
Texas:
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
|||||||
Commodity Margin (in millions)
|
$
|
113
|
|
|
$
|
162
|
|
|
$
|
(49
|
)
|
|
(30
|
)
|
Commodity Margin per MWh generated
|
$
|
10.35
|
|
|
$
|
15.86
|
|
|
$
|
(5.51
|
)
|
|
(35
|
)
|
|
|
|
|
|
|
|
|
|||||||
MWh generated (in thousands)
|
10,918
|
|
|
10,216
|
|
|
702
|
|
|
7
|
|
|||
Average availability
|
80.7
|
%
|
|
82.6
|
%
|
|
(1.9
|
)%
|
|
(2
|
)
|
|||
Average total MW in operation
|
8,879
|
|
|
8,850
|
|
|
29
|
|
|
—
|
|
|||
Average capacity factor, excluding peakers
|
56.3
|
%
|
|
53.4
|
%
|
|
2.9
|
%
|
|
5
|
|
|||
Steam Adjusted Heat Rate
|
7,071
|
|
|
7,071
|
|
|
—
|
|
|
—
|
|
East:
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
|||||||
Commodity Margin (in millions)
|
$
|
150
|
|
|
$
|
265
|
|
|
$
|
(115
|
)
|
|
(43
|
)
|
Commodity Margin per MWh generated
|
$
|
21.42
|
|
|
$
|
51.80
|
|
|
$
|
(30.38
|
)
|
|
(59
|
)
|
|
|
|
|
|
|
|
|
|||||||
MWh generated (in thousands)
|
7,004
|
|
|
5,116
|
|
|
1,888
|
|
|
37
|
|
|||
Average availability
|
90.3
|
%
|
|
91.5
|
%
|
|
(1.2
|
)%
|
|
(1
|
)
|
|||
Average total MW in operation
|
8,811
|
|
|
8,933
|
|
|
(122
|
)
|
|
(1
|
)
|
|||
Average capacity factor, excluding peakers
|
45.2
|
%
|
|
36.0
|
%
|
|
9.2
|
%
|
|
26
|
|
|||
Steam Adjusted Heat Rate
|
7,571
|
|
|
7,629
|
|
|
58
|
|
|
1
|
|
Retail:
|
2020
|
|
2019
|
|
Change
|
|
% Change
|
|||||||
Commodity Margin (in millions)
|
$
|
91
|
|
|
$
|
88
|
|
|
$
|
3
|
|
|
3
|
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Cash and cash equivalents, corporate(1)
|
$
|
469
|
|
|
$
|
1,072
|
|
Cash and cash equivalents, non-corporate(2)
|
62
|
|
|
59
|
|
||
Total cash and cash equivalents
|
531
|
|
|
1,131
|
|
||
Restricted cash(2)
|
306
|
|
|
345
|
|
||
Corporate Revolving Facility availability(3)
|
910
|
|
|
1,392
|
|
||
CDHI revolving facility availability(4)
|
1
|
|
|
1
|
|
||
Other facilities availability(5)
|
3
|
|
|
3
|
|
||
Total current liquidity availability(6)
|
$
|
1,751
|
|
|
$
|
2,872
|
|
(1)
|
Our ability to use corporate cash and cash equivalents is unrestricted. On January 21, 2020, we used the remaining cash on hand from the issuance of our 2028 First Lien Notes and 2028 Senior Unsecured Notes to redeem the outstanding approximately $1,052 million aggregate principal amount of our 2022 and 2024 First Lien Notes and 2023 Senior Unsecured Notes. See Note 4 of the Notes to Consolidated Condensed Financial Statements for further information related to the redemption of our 2022 and 2024 First Lien Notes and 2023 Senior Unsecured Notes.
|
(2)
|
See Note 1 of the Notes to Consolidated Condensed Financial Statements for a description of the restrictions on our use of non-corporate cash and cash equivalents and restricted cash.
|
(3)
|
Our ability to use availability under our Corporate Revolving Facility is unrestricted. At March 31, 2020, the approximately $2.0 billion in total capacity under our Corporate Revolving Facility is comprised of $450 million in borrowings outstanding, $636 million in letters of credit outstanding and $910 million in remaining available capacity. In April 2020, we repaid $200 million in borrowings on our Corporate Revolving Facility. See “Letter of Credit Facilities” below for amounts issued under letters of credit at March 31, 2020 associated with our Corporate Revolving Facility.
|
(4)
|
Our CDHI revolving facility is restricted to support certain obligations under PPAs and power transmission and natural gas transportation agreements as well as fund the construction of our Washington Parish Energy Center.
|
(5)
|
On April 9, 2020, we amended one of our unsecured letter of credit facilities to partially extend the maturity of $100 million in commitments from June 20, 2020 to June 20, 2022.
|
(6)
|
Includes $93 million and $127 million of margin deposits posted with us by our counterparties at March 31, 2020 and December 31, 2019, respectively. See Note 7 of the Notes to Consolidated Condensed Financial Statements for further information related to our collateral.
|
•
|
the level of Market Heat Rates;
|
•
|
our continued ability to successfully hedge our Commodity Margin;
|
•
|
changes in U.S. macroeconomic conditions;
|
•
|
maintaining acceptable availability levels for our fleet;
|
•
|
the effect of current and pending environmental regulations in the markets in which we participate;
|
•
|
improving the efficiency and profitability of our operations;
|
•
|
increasing future contractual cash flows; and
|
•
|
our significant counterparties performing under their contracts with us.
|
|
March 31, 2020
|
|
December 31, 2019
|
||||
Corporate Revolving Facility(1)
|
$
|
636
|
|
|
$
|
604
|
|
CDHI
|
3
|
|
|
3
|
|
||
Various project financing facilities
|
185
|
|
|
184
|
|
||
Other corporate facilities(2)
|
295
|
|
|
294
|
|
||
Total
|
$
|
1,119
|
|
|
$
|
1,085
|
|
(1)
|
The Corporate Revolving Facility represents our primary revolving facility and matures on March 8, 2023.
|
(2)
|
On April 9, 2020, we amended one of our unsecured letter of credit facilities to partially extend the maturity of $100 million in commitments from June 20, 2020 to June 20, 2022.
|
|
2020
|
|
2019
|
||||
Beginning cash, cash equivalents and restricted cash
|
$
|
1,476
|
|
|
$
|
406
|
|
Net cash provided by (used in):
|
|
|
|
||||
Operating activities
|
213
|
|
|
241
|
|
||
Investing activities
|
(126
|
)
|
|
(152
|
)
|
||
Financing activities
|
(726
|
)
|
|
23
|
|
||
Net increase (decrease) in cash, cash equivalents and restricted cash
|
(639
|
)
|
|
112
|
|
||
Ending cash, cash equivalents and restricted cash
|
$
|
837
|
|
|
$
|
518
|
|
•
|
Income from operations — Income from operations, adjusted for non-cash items primarily including depreciation and amortization and mark-to-market activity decreased by $189 million for the three months ended March 31, 2020, compared to 2019. The decrease in income from operations, adjusted for non-cash items, was primarily driven by a $184 million decrease in Commodity revenue, net of Commodity expense. See “Results of Operations for the Three Months Ended March 31, 2020 and 2019” above for further discussion of these changes.
|
•
|
Working capital employed — Working capital employed decreased by $148 million for the three months ended March 31, 2020, compared to the same period in 2019. This decrease was primarily due to a reduction in cash margin postings on our commodity hedging activities.
|
•
|
Capital expenditures — During the three months ended March 31, 2020, we incurred lower capital expenditures on construction and growth projects as compared to the same period in 2019 due to the completion of construction of our York 2 Energy Center in March 2019 as well as normal timing differences in capital expenditures associated with planned maintenance projects.
|
•
|
Debt transactions — During the three months ended March 31, 2020, we redeemed the aggregate principal outstanding of $623 million of the 2023 Senior Unsecured Notes, $245 million of the 2022 First Lien Notes and $184 million of the 2024 First Lien Notes utilizing proceeds received from the issuance of our 2028 First Lien Notes and 2028 Senior Unsecured Notes during December of 2019. This variance was partially reduced by the repurchase of $48 million in aggregate principal of Senior Unsecured Notes for $44 million during the three months ended March 31, 2019, where no similar repurchases were noted during the same period in 2020.
|
•
|
Corporate Revolving Facility — During the three months ended March 31, 2020, out of an abundance of caution to ensure sufficient liquidity in response to the COVID-19 pandemic, we borrowed a net $450 million under our Corporate Revolving Facility, compared to net borrowings of $120 million during the same period in 2019.
|
•
|
Acquisition — During the three months ended March 31, 2020, we completed our acquisition of the 25% noncontrolling interest of Russell City Energy Company, LLC for $49 million.
|
|
Commodity Instruments
|
|
Interest Rate Hedging Instruments
|
|
Total
|
||||||
Fair value of contracts outstanding at January 1, 2020
|
$
|
133
|
|
|
$
|
(19
|
)
|
|
$
|
114
|
|
Items recognized or otherwise settled during the period(1)(2)
|
30
|
|
|
2
|
|
|
32
|
|
|||
Fair value attributable to new contracts
|
36
|
|
|
(61
|
)
|
|
(25
|
)
|
|||
Changes in fair value attributable to price movements
|
62
|
|
|
(72
|
)
|
|
(10
|
)
|
|||
Fair value of contracts outstanding at March 31, 2020(3)
|
$
|
261
|
|
|
$
|
(150
|
)
|
|
$
|
111
|
|
(1)
|
Commodity contract settlements consist of the realization of previously recognized losses on contracts not designated as hedging instruments of $(32) million (represents a portion of Commodity revenue and Commodity expense as reported on our Consolidated Condensed Statements of Operations) and $(2) million related to current period losses from other changes in derivative assets and liabilities not reflected in OCI or earnings.
|
(2)
|
Interest rate settlements consist of $2 million related to realized losses from settlements of designated cash flow hedges and nil related to roll-off from settlements of undesignated interest rate hedging instruments (represents a portion of interest expense as reported on our Consolidated Condensed Statements of Operations).
|
(3)
|
We netted all amounts allowed under the derivative accounting guidance on our Consolidated Condensed Balance Sheet, which includes derivative transactions under enforceable master netting arrangements and related cash collateral. Net commodity and interest rate derivative assets and liabilities reported in Notes 5 and 6 of the Notes to Consolidated Condensed Financial Statements are shown net of collateral paid to and received from counterparties under legally enforceable master netting arrangements.
|
Fair Value Source
|
|
2020
|
|
2021-2022
|
|
2023-2024
|
|
After 2024
|
|
Total
|
||||||||||
Prices actively quoted
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
|
$
|
—
|
|
Prices provided by other external sources
|
|
(35
|
)
|
|
40
|
|
|
5
|
|
|
1
|
|
|
11
|
|
|||||
Prices based on models and other valuation methods
|
|
72
|
|
|
79
|
|
|
58
|
|
|
41
|
|
|
250
|
|
|||||
Total fair value
|
|
$
|
37
|
|
|
$
|
119
|
|
|
$
|
63
|
|
|
$
|
42
|
|
|
$
|
261
|
|
•
|
credit approvals;
|
•
|
routine monitoring of counterparties’ and customer’s credit limits and their overall credit ratings;
|
•
|
limiting our marketing, hedging and optimization activities with high risk counterparties;
|
•
|
margin, collateral, or prepayment arrangements; and
|
•
|
payment netting arrangements, or master netting arrangements that allow for the netting of positive and negative exposures of various contracts associated with a single counterparty.
|
Credit Quality
(Based on Credit Ratings as of March 31, 2020) |
|
2020
|
|
2021-2022
|
|
2023-2024
|
|
After 2024
|
|
Total
|
||||||||||
Investment grade
|
|
$
|
(54
|
)
|
|
$
|
40
|
|
|
$
|
19
|
|
|
$
|
13
|
|
|
$
|
18
|
|
Non-investment grade
|
|
6
|
|
|
2
|
|
|
8
|
|
|
8
|
|
|
24
|
|
|||||
No external ratings(1)
|
|
85
|
|
|
77
|
|
|
36
|
|
|
21
|
|
|
219
|
|
|||||
Total fair value
|
|
$
|
37
|
|
|
$
|
119
|
|
|
$
|
63
|
|
|
$
|
42
|
|
|
$
|
261
|
|
(1)
|
Primarily comprised of the fair value of derivative instruments held with customers that are not rated by third-party credit agencies due to the nature and size of the customers.
|
Item 3.
|
Quantitative and Qualitative Disclosures About Market Risk
|
Item 4.
|
Controls and Procedures
|
Item 1.
|
Legal Proceedings
|
Item 1A.
|
Risk Factors
|
•
|
reduce the availability and productivity and impact the health and well-being of our employees, customers and business partners;
|
•
|
impact our liquidity position and cost of and ability to access funds from financial institutions and capital markets;
|
•
|
reduce electricity and steam demand in some or all of the regions in which we operate for a prolonged period, impacting our revenue;
|
•
|
cause delays and disruptions in the availability of and timely delivery of materials and components used in our operations and development activities; and
|
•
|
cause other unpredictable events.
|
Item 2.
|
Unregistered Sales of Equity Securities and Use of Proceeds
|
Item 3.
|
Defaults Upon Senior Securities
|
Item 4.
|
Mine Safety Disclosures
|
Item 5.
|
Other Information
|
Item 6.
|
Exhibits
|
Exhibit
Number
|
|
Description
|
|
|
|
|
Certification of the Chief Executive Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Financial Officer Pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.
|
|
|
|
|
|
Certification of the Chief Executive Officer and the Chief Financial Officer Pursuant to 18 U.S.C. Section 1350, as Adopted Pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. *
|
|
|
|
|
101.INS
|
|
XBRL Instance Document.
|
|
|
|
101.SCH
|
|
XBRL Taxonomy Extension Schema.
|
|
|
|
101.CAL
|
|
XBRL Taxonomy Extension Calculation Linkbase.
|
|
|
|
101.DEF
|
|
XBRL Taxonomy Extension Definition Linkbase.
|
|
|
|
101.LAB
|
|
XBRL Taxonomy Extension Label Linkbase.
|
|
|
|
101.PRE
|
|
XBRL Taxonomy Extension Presentation Linkbase.
|
*
|
Furnished herewith.
|
CALPINE CORPORATION
|
||
(Registrant)
|
||
|
|
|
By:
|
|
/s/ ZAMIR RAUF
|
|
|
Zamir Rauf
Executive Vice President and Chief Financial Officer
(Principal Financial Officer)
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1 Year Calpine Chart |
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