Investor Meetings May 2017 Calpine Corporation Safe Harbor - - PowerPoint PPT Presentation

Investor Meetings

Calpine Corporation

May 2017

Forward-Looking Statements The information contained in this presentation includes certain estimates, projections and other forward-looking information that reflect Calpine’s current views with respect to future events and financial performance. These estimates, projections and

• ther forward-looking information are based on assumptions that Calpine believes, as of the date hereof, are reasonable.

Inevitably, there will be differences between such estimates and actual results, and those differences may be material. There can be no assurance that any estimates, projections or forward-looking information will be realized. All such estimates, projections and forward-looking information speak only as of the date hereof. Calpine undertakes no duty to update or revise the information contained herein other than as required by law. You are cautioned not to place undue reliance on the estimates, projections and other forward-looking information in this presentation as they are based on current expectations and general assumptions and are subject to various risks, uncertainties and other factors, including those set forth in Calpine’s Quarterly Report on Form 10-Q for the three months ended March 31, 2017, its Annual Report on Form 10-K for the year ended December 31, 2016 and in other documents that Calpine files with the SEC. Many of these risks, uncertainties and other factors are beyond Calpine’s control and may cause actual results to differ materially from the views, beliefs and estimates expressed herein. Calpine’s reports and other information filed with the SEC, including the risk factors identified in its Annual Report on Form 10-K for the year ended December 31, 2016, can be found on the SEC’s website at www.sec.gov and on Calpine’s website at www.calpine.com. Reconciliation to U.S. GAAP Financial Information The following presentation includes certain “non-GAAP financial measures” as defined in Regulation G under the Securities Exchange Act of 1934, as amended. Schedules are included herein that reconcile the non-GAAP financial measures included in the following presentation to the most directly comparable financial measures calculated and presented in accordance with U.S. GAAP.

Safe Harbor Statement

Calpine Corporation 1

Strategically positioned within U.S. power industry value chain

Calpine Generating Power

Fuel Supply Transportation Power Generation Transmission & Distribution Retail

Calpine (NYSE: CPN)

• ~2,400 employees
• Approx. 26,000 MW

generation capacity

• 80 power plants1

Calpine (NYSE: CPN)

• ~2,400 employees
• Approx. 26,000 MW

generation capacity

• 80 power plants1

1 Includes one plant under construction.

2 Calpine Corporation

3

National Portfolio of Approximately 26,000 MW

Geographic Diversity

Dispatch Technology

As of 4/28/2017

• Geographically diversified portfolio: Scale in America’s most competitive power markets
• Featuring one of smallest environmental footprints in America’s power generation sector
• Largest operator of combined heat and power (cogeneration) technology in America
• Largest geothermal power producer in America

Calpine Corporation

4

Nation’s Largest Baseload Renewable, Natural Gas and Cogeneration Power Provider

Source: Calpine, Energy Velocity (2016). CPN steam-adjusted heat rate excludes peakers.

Clean Modern Efficient

Our 2016 steam-adjusted heat rate was 7,386

Calpine Corporation

Calpine Investment Thesis

Calpine Corporation 5

• Experienced leadership bench
• Best-in-class operations and unparalleled asset quality
• Geographic diversity across competitive wholesale power markets
• Wholesale business complemented by expanded retail customer base

Premier competitive power company Secular trends favor natural gas- fired generation

• Abundant, affordable natural gas
• Implementation of stringent environmental regulations
• Focus on grid reliability: pay-for-performance initiatives
• Need for flexible capacity to integrate intermittent renewables

Cash-based capital allocation philosophy

• Reducing leverage through accelerated debt paydown
• Strong liquidity and minimal near-term debt maturities
• Monetizing assets through sale or contracts
• Committed to returning capital to stakeholders

Calpine represents an attractive opportunity to gain exposure to the combined-cycle gas turbine recovery at a substantial discount to replacement cost

VALUE PROPOSITION

Calpine Corporation 6

2017 Objectives

Calpine Corporation 7

DELIVER SOLID, STABLE CASH FLOWS DELIVER SOLID, STABLE CASH FLOWS DELIVER SOLID, STABLE CASH FLOWS

Maintain excellent safety performance Achieve FOF <2.5% Complete York 2 by early 2018 Pay off ~$850M1 of debt Complete annual portfolio review Deliver on Adj. EBITDA guidance2 of $1,800 - $1,950 M

SUCCESSFULLY INTEGRATE EXPANDED RETAIL PLATFORM SUCCESSFULLY INTEGRATE EXPANDED RETAIL PLATFORM SUCCESSFULLY INTEGRATE EXPANDED RETAIL PLATFORM EXECUTE ON DELEVERING PLAN

• Commitment to delever
• Accelerate debt paydown: $2.7B committed or planned over next

three years

• Reduce leverage by ~1.5x by FYE 20193
• Philosophy: Delevering creates equity value

1 Includes repayment of Solutions bridge loan, scheduled amortization, repurchase of lessor interest in Pasadena lease and call of remaining 2023 notes (funded by ~$53 million in cash on hand and a $400 million term

loan due 2019). Amount excludes call premium of ~$18 million. 2 Guidance range as of 4/28/2017. 3 At midpoint of 2017 Adjusted EBITDA guidance range.

Wholesale Fleet Wholesale Origination Enterprise + Hedging Systems Solutions Management

Direct C&I

Champion Management

Broker C&I NE Residential (NAP) TX Residential TX GLO

Enduring Business Model: Best-in-Class Fleet + Steady Cash Flows

Calpine Corporation 8

• Adj. EBITDA1 ($ millions)

Durable Fleet

Modern, flexible & efficient Environmentally responsible Critical for reliability Geographically diverse Complementary retail platform

Steady Financial Performance

• $1.75B - $2.0B of Adj. EBITDA1 annually
• 75% Unlevered Free Cash Flow conversion2
• $6.7B of unrestricted federal NOLs
• $2.7B planned debt paydown (2017 – 2019)

1 A non-GAAP financial measure. Reconciliations of Adj. EBITDA to Net Income (Loss), the most comparable U.S. GAAP measure, are included in the appendix and on our website. 2017E as of 4/28/17. 2 Based upon midpoint of 2017 Adjusted FCF and Adjusted EBITDA guidance.

Ability to maintain steady results while shrinking balance sheet

$200 $200 $200 $53 $46 $550 $280 $750 $400 ~$850 $600 $1,230 2017 2018 2019 Amortization 2023 Notes Pasadena Solutions Bridge OMEC 2022 Notes 2019 Term Loan

Long-Term Value Proposition

Calpine Corporation 9

Near-term catalysts represent upside opportunity…

• Fundamental reform in PJM / ISO-NE with

strong FERC leadership

• PJM capacity auction:

Potential for EMAAC to separate

• Retirement announcements in Texas

…while we continue to manage the business for long-term value Relentless Portfolio Management Prudent Balance Sheet / Cost Management Evolution into Integrated Platform

1Q: ~27% complete

$2.7B

paydown

• ver next

three years

~75%

current market cap2 Planned Debt Paydown ($M):

What We’ve Done Recently What’s New / To Come

• Discontinued operations at

uneconomic plants ‒ Sutter ‒ Clear Lake ‒ South Point

• Divested non-core assets

‒ Osprey ‒ Mankato

• Managing CA peaker portfolio

‒ Negotiating RMR for Yuba City, Feather River ‒ King City, Wolfskill status pending

• Complete York 2 by early 2018
• Washington Parish construction and

sale1 to Entergy Louisiana by 2021

• Guadalupe Peaker canceled;

PPA with Guadalupe Valley

Retail integration underway:

• Aligning systems /

processes across retail

• rganization:

$15M run-rate synergies captured in 2017

• Leveraging wholesale fleet

to create innovative asset- backed retail products Rapid and Effective Expansion

• f Retail Platform

Retail Load Served as % of Wholesale Generation

1 Subject to regulatory approval and other conditions. 2 Based upon closing stock price as of 4/27/17.

REGIONAL OBSERVATIONS

Calpine Corporation 10

Local National Residential C&I Broker C&I Direct C&I Consultative Small Businesses

Champion Champion S

• lut ions

Product Customization High Low Geographic Scope

Nort h American Power

West 7,910 MW 32% Texas 7,392 MW 30% Southeast 6,083 MW 24% North 3,417 MW 14%

West 6,317 MW 25% Texas 9,027 MW 35% North 9,145 MW 36%

78 plants 25.6 GW + Retail

Southeast 1,139 MW 4%

East

As Markets Continue to Evolve, So Does Calpine

Historically, Calpine evolution has been geographically focused…

* Shown proforma for mothball of Sutter and South Point (West), and inclusive of York 2 expansion.

2010: Today*:

Market Calpine Rank (MW Gas-Fired Capacity) Texas #1 California #2 Mid-Atlantic #3 New England #3 Geographic diversity and market scale objectives have been successfully achieved

…with recent expansion into complementary retail businesses

77 plants 24.8 GW

Strategically Expanded Retail Customer Base 11 Calpine Corporation

Advocating for Free Markets

12 Calpine Corporation

 Further state intervention not a foregone conclusion ‒ OH, PA, NJ and CT nuclear bailouts will be tougher to pass; most plants would continue

• perating without subsidies

‒ Significantly above market prices expected from

• Mass. RFP; DPU will consider costs prior to

contract approval  ISO-NE and PJM actively pursuing solutions that protect integrity of wholesale markets while accommodating state policies ‒ Continued grid reliability and new generation require committed stable, wholesale markets ‒ In addition, states do not want responsibility of reliability and resource planning ‒ New England effort underway: ISO-NE pro-market tariff proposal issued  New FERC Commissioners expected to be pro-market and anti-subsidy Issue Status

Attempt to bail out old coal generation in OH Efforts defeated Nuclear bailouts in NY and IL Litigation underway Efforts underway for nuclear bailouts in OH, PA, NJ, CT State battles with broad opposition Large renewable efforts in New England Draft ISO-NE capacity market reform

1

State by state on-the-ground political effort

2

Litigation using arguments around federal preemption and the Commerce Clause

3

Tariff restructuring to allow coexistence of state mandates and wholesale markets

States Continue Attempts to Choose Out-of-Market Winners 3 Lines of Defense Our View

• $15
• $10
• $5

$0 $5 $10 $15 $20 $25 1 3 5 7 9 11 13 15 17 19 21 23

• Avg. Hourly Spark Spread ($/MWh)

Hour 1Q16 1Q17

Regional Power Market Trends

13 Calpine Corporation

1 Based upon market heat rate of 7,000 btu/kWh. 2 Based upon market heat rate of 8,000 btu/kWh.

Despite Lower 1Q On-Peak Spark Spreads, Realized Spark Spreads Were Stable Despite Drop in North Hub Spark Spreads, Houston Spark Spreads Were Higher

• Lower on-peak spark spreads (YoY)

driven by depressed mid-day lows – during hours when our fleet is not running

• Quick ramping resources able to capture

economic hours only

• State relied upon our combined cycle

merchant plants most days in 1Q

California Texas PJM

• Recent Houston zone premium driven by

transmission outages

• Possible future impacts to premium:

 Houston Import Project  Continued discount for Waha gas  Further wind development in West/North  Houston zone load growth (including Freeport LNG)  Potential implementation of marginal loss construct

• Most of our fleet located in Houston zone
• Flat YoY realized spark spreads drove flat

YoY generation volumes for our Eastern- concentrated fleet

• Eastern zones expected to continue

clearing closer to West hub due to: – Ongoing transmission upgrades – Stronger Marcellus gas prices

• PJM story less about energy, more about

capacity, including potential for EMAAC to clear at premium

• Most of our fleet located near PECO

Despite Drop in West Hub Spark Spreads, Eastern PJM Spark Spreads Were Flattish

1

1 2

CPN fleet primarily concentrated in Eastern PJM, pricing closer to PECO

FINANCIAL OVERVIEW & CAPITAL ALLOCATION

Calpine Corporation 14

Delivering Strong Financial Performance

15 Calpine Corporation

($ in millions)

1 A non-GAAP financial measure. Reconciliations of Adjusted EBITDA and Adjusted Recurring Free Cash Flow to Net Income, the most comparable U.S. GAAP measure, are included in the appendix and on our website. 2017E as of 4/28/17.

Stable Adjusted EBITDA1 Solid Adjusted FCF1 Strong Adjusted FCF1 Per Share Ample Liquidity

Strategic Balance Sheet Management Activities Benefiting Capital Structure

16 Calpine Corporation

Aggressively Paying Down $2.7B of Debt by 2019

($ in millions)

Recent and Future Balance Sheet Activities Have Allowed Us To… Increase revolver capacity to ~$1.8B Decrease interest expense Extend maturities Increase secured debt capacity Increase financial flexibility Reduce leverage by ~1.5x by 20191

Pro Forma YE2019 Debt Maturities2 & Planned Actions

$400M Solutions bridge loan remaining Plan to paydown $400M 2019 TL in late ‘18 Plan to call $750M in late ‘19 $280M OMEC project debt to be repaid after put/call exercise

1 At midpoint of 2017 Adjusted EBITDA guidance range. 2 The proforma debt maturity schedule shown here is projected for year end 2019 and is not prepared on a U.S. GAAP basis and does not conform to the debt maturity schedule presented in Calpine’s Form 10-K. (Refer to the

Form 10-K for further information regarding U.S. GAAP-basis debt maturities). Assumptions used in debt maturity charts shown here are as follows: (i) excludes letter of credit facilities; (ii) maturity balances assume cash sweeps; and (iii) all other debt maturities are paid from operating cash flows at the project level. Assumes paydown of remaining $400M of Solutions bridge loan in 2017 and $400M 2019 Term Loan in 2018, the planned call of the $750M 2022 Senior Secured Notes in 2019, and the retirement of the OMEC project debt in 2019 with the proceeds from the put/call option at the end of the PPA. Put price in the OMEC PPA approximates the projected debt balance. Remaining project debt in 2025 is the balance of Steamboat ($133M).

Actively Strengthening our Balance Sheet

17 Calpine Corporation

1 Represents gross repayments and excludes $25M draw on Corporate Revolving Facility. 2 At midpoint of 2017 Adjusted EBITDA guidance range as of 4/28/17. 3 All savings from execution of deleveraging plan reflect

LIBOR curve as of 4/10/17. 4 Includes CDHI.

Debt Paydown in Progress: $850 Million Will be Paid in 2017 Hedging Interest Rates: Minimal Floating Rate Exposure

Repaid 1Q171

($ in millions)

Utilizing steady cash flows to strengthen balance sheet and create long-term value

• $2.7B debt paydown plan de-levers by ~1.5x by YE20192
• No corporate maturities until 2023 beyond paydown plan
• ~$300M of cumulative interest savings3 through 2020
• Decreasing growth capex
• $2.1B4 of liquidity facilities

Hedging Instrument Related Debt Amount Hedged Caps Floating corporate debt

• $2.5B from 2017 - 2020
• $1.25B in 2021

Swaps CCFC term loans

• $1.0B from 2018 - 2020
• $0.5B from 2021 - 2022

APPENDIX

Calpine Corporation 18

Focused on Best-in-Class Operations

19 Calpine Corporation

1 As compared to our SEC filings, generation shown here includes net interest in generation from our unconsolidated power plants and plants owned but not operated by us.

Generation in Key Markets (000 MWh)1 Employee Total Reportable Incident Rate

Key YoY Drivers:  Near-record hydro  Delta  Reversal of coal/gas switching  Mild winter  Osprey, Mankato

Retail Sales (TWh) Forced Outage Factor (FOF, %)

Geysers wildfire Geysers wildfire Two single plant

• utages
• ~80% Retention Rate
• Average contract term:

~2 years

• Average customer duration:

>5 years Strong Retail Platform

Single plant

• utage

1.9 Single plant

• utage

0.1 2.5 1.6 2.6

1Q17 1Q16 1Q17 1Q16 Total MWh Generated (in thousands) 1, 2 21,281 24,544 Average Capacity Factor, excl. Peakers 42.8% 47.4% West 5,449 6,418 West 36.3% 42.9% Texas 9,710 11,476 Texas 48.8% 56.0% East 6,122 6,650 East 41.5% 40.6% Average Availability 2 87.3% 89.9% Steam Adjusted Heat Rate (Btu/KWh) 2 7,346 7,264 West 86.3% 90.3% West 7,336 7,329 Texas 86.9% 86.6% Texas 7,121 7,049 East 88.5% 92.8% East 7,718 7,597

Selected Operating Statistics

20

1 Generation has been adjusted to include net interest in generation from our unconsolidated power plants and plants owned but not operated by us. 2 Generation, average availability and steam adjusted heat rate excludes power plants and units that are inactive.

Calpine Corporation

Reaffirming Full Year Guidance

21 Calpine Corporation

…Guidance On Track

Full Year Adjusted EBITDA1 Drivers (YoY)

Despite Challenging First Quarter…

First Quarter Adjusted EBITDA1 Drivers (YoY)

1 A non-GAAP financial measure. Reconciliations of Adj. EBITDA to Net Income (Loss), the most comparable U.S. GAAP measure, are included in the appendix. 2 Values for 2016 bridge to 2017E are as of 4/28/2017

($ in millions)

Bal-2017 (YoY)2

Delivering on our financial commitments

Generation2

Regional Adjusted EBITDA1: 2017 vs. 2016

22

($ millions, 000 MWh)

West Region Texas Region East Region

Adjusted EBITDA1,3 Adjusted EBITDA1 Adjusted EBITDA1 Generation2 Generation2

• Higher Commodity Margin1

 Higher contribution from retail hedging activity (Solutions)  Higher resource adequacy payments  Higher generation from fully recovered Geysers — Lower contribution from wholesale hedging activity — Lower spark spreads driven by higher hydro generation

1 A non-GAAP financial measure. Reconciliations of Income (Loss) from Operations to Commodity Margin and of Adj. EBITDA to Net Income (Loss), the most comparable U.S. GAAP measure, are included in the

appendix.

2 As compared to our SEC filings, generation shown here includes net interest in generation from unconsolidated projects and plants owned but not operated by us. 3 South Point excluded from all results.

• Lower Commodity Margin1

— Lower contribution from hedges — Lower generation volumes due to reversal of coal-to-gas switching and mild winter

• Lower Commodity Margin1

— Lower regulatory capacity revenue in PJM — Lower contribution from wholesale hedges and lower realized spark spreads, particularly in New England — Sales of Mankato (Oct 2016) and Osprey (Jan 2017)  Higher contribution from retail hedging activity (Solutions and NAP)  Morgan PPA (Feb 2016)

Calpine Corporation

Wholesale Energy Margin + Wholesale Regulatory & Other Margin Wholesale Margin + Retail Margin (2017E: $375M - $425M) Total Commodity Margin

Wholesale Hedge and Retail Margin Disclosure

23

Use in conjunction with modeling tips in appendix

3 3

Change to Commodity Margin ($M)

Natural Gas Price Sensitivity2

(assuming no change in heat rate)

Market Heat Rate Sensitivity2

(assuming no change in gas price)

Change to Commodity Margin ($M)

On Peak Spark Spread5 Sensitivities are assumed to occur across the portfolio and the sensitivities on strategic options only capture intrinsic value.

3 Volumes are on a delta hedge basis. Delta volumes are the expected volume based on the probability of economic dispatch at a future date based on current market prices for that future date. This is lower than the notional

volume, which is plant capacity, less known performance and operating constraints. In addition to planned upgrades, volumes assume addition of York 2 in 2018.

4 Represents Calpine’s forecasted average annual capacity of net ownership interest with peaking capacity, excluding equity plants. Capacity additions/deletions are reflected in anticipated month of completion. 5 Spark spread in NP-15, ERCOT and NEPOOL based upon 7,000 btu/kWh production heat rate and in PJM-W based upon 8,000 btu/kWh production heat rate. NP-15 adjusted to deduct cost of carbon cap-and-trade,

without which, spark spreads would have been $9.29, $10.73 and $11.33, respectively. NEPOOL adjusted to deduct cost of RGGI, without which, sparks spreads would have been $12.07, $13.85 and $15.26, respectively.

1 Wholesale Energy Margin + Wholesale Regulatory & Other Margin =

Wholesale Margin + Retail Margin = Total Commodity Margin.

2 Estimated as of 4/13/17. Excludes immaterial proprietary positions.

Hedged margin excludes unconsolidated projects and includes the current mark-to-market adjustments of all executed transactions. Changing market heat rates will change delta volumes and gas price exposures.

2017 2018 2019

Hedged Wholesale Margin ($/MWh)2 $19 $23 $32

• Avg. MW in

Operation2,4

(excl. unconsol.)

25,410 26,267 26,267 $ Wholesale Energy Margin1,2 as % of Wholesale Margin (by year):

71% 67% 69%

Comparable hedge level, 4Q16 Call

Volume estimates (MM MWh): ~90 ~95

Standalone Treatment of Retail Margin1: Key Messages: 1) Volumes in line with expectations 2) Highly hedged in 2017 3) Positioned for upside in 2018 and 2019 4) Retail platform adding stability

Calpine Corporation

2017 2018 2019 NP-15 $4.02 $5.31 $5.75 ERCOT $14.55 $14.20 $13.91 PJM-W $13.15 $12.78 $12.94 NEPOOL $10.74 $12.53 $13.91 Nat Gas (HH) $3.28 $3.11 $2.87

Although Calpine’s fleet can be difficult to model, simplifying techniques may help

Calpine Corporation 24

• 1. Estimate annual generation (MWh) based on market outlook relative to disclosed

historical generation with adjustments for asset acquisitions, asset divestitures and plants reaching commercial operations as well as changes in gas and coal price environments.

• Note: Estimated generation in this step should exclude volumes from

unconsolidated investments (Greenfield, Whitby). Margin from these plants is captured in step 7 below.

• 2. Estimate hedged wholesale energy margin based on disclosed % hedged (blue

bars) and disclosed hedge margin ($/MWh).

• Note: 2017 hedged wholesale margin ($/MWh) is full year average including

YTD settlements. 2017 hedge profile is for balance of year only (applicable for steps 3 and 4 as well).

• 3. Estimate Geysers unhedged wholesale energy margin using MWh estimate

(historically, ~6 million MWh), assuming that the Geysers unhedged % is the same as the entire portfolio in 2017 and ~50% in 2018 - 2019. Apply NP-15 ATC prices.

• 4. Estimate gas fleet unhedged wholesale energy margin based on rough assumptions:
• Dispatched generation tends to capture a premium to the block on-peak spark

spread for open volume. This premium varies significantly with, and is inversely related to, dispatch volumes. For 2017, this relationship is captured within our

• guidance. For years past 2017, depending upon your volume assumption in

step 1 above, use the following rules of thumb for applying the premium:

• For this exercise, hedge profile is assumed to be relatively flat across all

regions, and disclosed regional steam adjusted plant heat rates should be considered when calculating spark spreads.

• 5. Adjust wholesale energy margin to capture items such as ancillary services and

storage positions (benefit of small tens of millions), as well as environmental allowance costs in California (AB32) and in states that participate in RGGI.

• To consider Calpine's AB32 costs, apply our combined-cycle average

emissions rate of 860 lb/MWh for the California combined-cycle plants and assume that ~25% of those costs are passed on to our customers per contractual arrangements. Note: This step is only required if the on-peak spark spread used in step 4 has not been adjusted to capture carbon cost in California.

• To consider Calpine’s RGGI costs, apply our combined-cycle average

emissions rate of 860 lb/MWh for our power plants in ME, MA, NH, NY, and DE and assume that we retain 100% of these costs. Note: This step is only required if the on-peak spark spread used in step 4 has not been adjusted to capture RGGI credit cost for affected plants. 6. The sum of steps 2 through 5 above will provide you with an estimate of our Wholesale Energy Margin. To estimate the contribution of Wholesale Reliability and Other Margin (regulatory capacity and REC revenue) and arrive at an estimate of total Wholesale Margin, simply divide the Wholesale Energy Margin by the disclosed percentages of Wholesale Energy Margin as a % of total Wholesale Margin. 7. Add estimated Retail Margin for all periods to arrive at total Commodity Margin. (For 2017, Retail Margin is estimated at $375 million - $425 million.) 8. Add estimated margin from unconsolidated investments (Greenfield, Whitby) by multiplying Calpine capacity (net interest) by $110/kw-yr in all periods shown.

• Since these margins from unconsolidated investments are not included in

Commodity Margin, but are included in Adjusted EBITDA, it is necessary to additionally estimate expenses related to unconsolidated investments for purposes of calculating Adjusted EBITDA. 9. When modeling operating costs for the consolidated power plants and retail entities, use 2016 reported plant operating expense1 and sales, general and administrative expense2 and other operating expense and apply an inflationary factor for 2017 and subsequent periods, with adjustments for asset/retail acquisitions, asset divestitures and plants reaching commercial operations.

• To capture the impact of net portfolio changes on total costs from 2016 to

2017, add ~$130 million to total costs1,2 in 2017 as compared to 2016, primarily to account for Solutions and NAP retail acquisitions. Volume Projection (excl. unconsolidated) (MM MWh) Recommended Premium to On-Peak Spark Spread <90 10% - 20% 90 – 100 0% - 10% 100 – 110… (10)% - 0%

Not e: Tips are provided t o help invest ors consider simplifying t echniques t o apply t he informat ion disclosed t o dat e in t heir modeling effort s. These t ips are nat urally less precise t han models based on det ailed operat ional, cont ract , and hedge posit ion dat a might be.

1 Excluding maj or maint enance expense, non-cash loss on disposal of asset s, and st ock-based compensat ion. 2 Excluding st ock-based compensat ion.

Capital Structure Chart

Calpine Corporation 25

Total Debt: $ 11,952 Add: Net Debt from Unconsolidated Projects3 112 Add: Debt Issuance Costs4 148 Net Debt $ 11,681 $8,684

Corporate Revolver First Lien Term Loans Senior Secured Notes

Total Corporate Debt Corporate Debt

$1,841 $3,405

• Steamboat

− Freeport − Morgan

• Bethpage
• Otay Mesa
• Pasadena1
• Russell City
• Los Esteros

Projects

• Hidalgo
• King City
• Stony Brook
• Other

Projects

• Brazos Valley
• Magic Valley
• Bosque
• Fore River
• Westbrook
• Guadalupe

Projects Project Debt $1,547 CCFC $1,550 Capital Lease Obligations & Other $171

Less: 25% Russell City Debt2 (111)

Unsecured Notes $3,413

Less: Cash, Cash Equivalents & Restr. Cash (420)

All balances as of 3/31/17.

1 In 4Q15, we entered into an agreement with one of the two lessors of our Pasadena Power Plant to purchase their 50% interest. The transaction is expected to close during 2Q17. 2 Equal to minority interest in debt associated with Russell City Energy Center, excluding debt issuance costs. 3 Equal to our net interest in total debt, less cash and cash equivalents and restricted cash from unconsolidated subsidiaries as disclosed in 10-K. 4 Reported as a component of Other Assets prior to 1/1/16.

($ in millions)

$ 25

No Current Operations 15% West 45% East 40%

Calpine1 Continues to Benefit from Federal NOL Position

Calpine Corporation 26

• Federal NOLs at Dec. 31, 2016: $6.7 billion

 All are unrestricted

NOL Summary Managing NOL Expiration

1 Includes CCFC.

Calpine Operating Power Plants

As of April 28, 2017

Calpine Corporation 27

Technology Load Type Location COD With Peaking Capacity CPN Interest With Peaking Capacity, Net West Region Agnews Power Plant Natural Gas Intermediate CA 1990 28 100% 28 Creed Energy Center Natural Gas Peaking CA 2003 47 100% 47 Delta Energy Center Natural Gas Intermediate CA 2002 857 100% 857 Feather River Energy Center Natural Gas Peaking CA 2002 47 100% 47 Geysers (13 plants) Geothermal Baseload CA 1971 - 1989 725 100% 725 Gilroy Cogeneration Plant* Natural Gas Intermediate CA 1988 130 100% 130 Gilroy Energy Center Natural Gas Peaking CA 2002 141 100% 141 Goose Haven Energy Center Natural Gas Peaking CA 2003 47 100% 47 Hermiston Power Project Natural Gas Intermediate OR 2002 635 100% 635 King City Cogeneration Plant* Natural Gas Intermediate CA 1989 120 100% 120 King City Peaking Energy Center (1) Natural Gas Peaking CA 2002 44 100% 44 Lambie Energy Center Natural Gas Peaking CA 2003 47 100% 47 Los Esteros Critical Energy Facility Natural Gas Intermediate CA 2013 309 100% 309 Los Medanos Energy Center* Natural Gas Intermediate CA 2001 572 100% 572 Metcalf Energy Center Natural Gas Intermediate CA 2005 605 100% 605 Otay Mesa Energy Center Natural Gas Intermediate CA 2009 608 100% 608 Pastoria Energy Center Natural Gas Intermediate CA 2005 749 100% 749 Riverview Energy Center Natural Gas Peaking CA 2003 47 100% 47 Russell City Energy Center Natural Gas Intermediate CA 2013 619 75% 464 South Point Energy Center (2) Natural Gas Intermediate AZ 2001 530 100% 530 Sutter Energy Center (2) Natural Gas Intermediate CA 2001 578 100% 578 Wolfskill Energy Center (1) Natural Gas Peaking CA 2003 48 100% 48 Yuba City Energy Center Natural Gas Peaking CA 2002 47 100% 47 Total - West Region 7,425 Texas Region Baytown Energy Center* Natural Gas Intermediate TX 2002 842 100% 842 Bosque Energy Center Natural Gas Intermediate TX 2000/2011 762 100% 762 Brazos Valley Power Plant Natural Gas Intermediate TX 2003 609 100% 609 Channel Energy Center* Natural Gas Intermediate TX 2001 808 100% 808 Corpus Christi Energy Center* Natural Gas Intermediate TX 2002 500 100% 500 Deer Park Energy Center* Natural Gas Intermediate TX 2003 1,204 100% 1,204 Freeport Energy Center* Natural Gas Intermediate TX 2007 236 100% 236 Freestone Energy Center Natural Gas Intermediate TX 2002 994 75% 746 Guadalupe Energy Center Natural Gas Intermediate TX 2001/2011 1,000 100% 1,000 Hidalgo Energy Center Natural Gas Intermediate TX 2000 476 79% 374 Magic Valley Generation Station Natural Gas Intermediate TX 2002 712 100% 712 Pasadena Power Plant* Natural Gas Intermediate TX 1998 781 100% 781 Texas City Power Plant* Natural Gas Intermediate TX 1987 453 100% 453 Total - Texas Region 9,027

Technology Load Type Location COD With Peaking Capacity CPN Interest With Peaking Capacity, Net East Region Auburndale Peaking Energy Center Natural Gas Peaking FL 2002 117 100% 117 Bayview Oil Peaking VA 1963 12 100% 12 Bethlehem Natural Gas / Oil Intermediate PA 2003 1,130 100% 1,130 Bethpage Energy Center 3 Natural Gas Intermediate NY 2005 80 100% 80 Bethpage Peaker Natural Gas Peaking NY 2002 48 100% 48 Bethpage Power Plant Natural Gas Intermediate NY 1989 56 100% 56 Cumberland Natural Gas / Oil Peaking NJ 1990/2009 191 100% 191 Edge Moor* Natural Gas / Oil Peaking DE 1965 725 100% 725 Fore River Energy Center Natural Gas / Oil Intermediate MA 2003 731 100% 731 Garrison Energy Center Natural Gas Intermediate DE 2015 309 100% 309 Granite Ridge Energy Center Natural Gas Intermediate NH 2003 695 100% 695 Greenfield Energy Centre Natural Gas Intermediate Ontario, CA 2008 1,038 50% 519 Hay Road Natural Gas / Oil Intermediate DE 1989 1,130 100% 1,130 Kennedy Int'l Airport Power Plant* Natural Gas Intermediate NY 1995 121 100% 121 Mid-Atlantic Peakers** Natural Gas / Oil Peaking NJ/DE/MD/VA 1965-1991 371 100% 371 Morgan Energy Center* Natural Gas Intermediate AL 2003 807 100% 807 Pine Bluff Energy Center* Natural Gas Intermediate AR 2001 215 100% 215 RockGen Energy Center Natural Gas Peaking WI 2001 503 100% 503 Stony Brook Power Plant* Natural Gas Intermediate NY 1995 47 100% 47 Vineland Solar Solar Peaking NJ 2009 4 100% 4 Westbrook Energy Center Natural Gas Intermediate ME 2001 552 100% 552 Whitby Cogen* Natural Gas Intermediate Ontario, CA 1998 50 50% 25 York Energy Center Natural Gas Intermediate PA 2011 565 100% 565 Zion Energy Center Natural Gas Peaking IL 2002 503 100% 503 Total - East Region 9,456 TOTAL - CALPINE 25,908 Projects Under Construction York 2 Energy Center Natural Gas Intermediate PA 2018 (est) 828 100% 828 Projects Under Advanced Development Washington Parish Energy Center(3) Natural Gas Peaking LA 2021 (est) 361 100% 361 * Indicates cogeneration plant ** Includes Carll's Corner, Christiana, Crisfield, Delaware City, Mickleton, Sherman Avenue, Tasley, West.

(1) Upon expiration of the tolling agreements on December 31, 2017, we will assess the future of these facilities. (2) We suspended operations to assess the future of these facilities. (3) A third party will purchase a 100% ownership interest in this power plant upon achieving commercial operation.

Calpine Operating Power Plants (cont’d)

As of April 28, 2017

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Reg G Reconciliation: Commodity Margin

Calpine Corporation 29

Commodity Margin includes our power and steam revenues, sales of purchased power and physical natural gas, capacity revenue, revenue from renewable energy credits, sales of surplus emission allowances, transmission revenue and expenses, fuel and purchased energy expense, fuel transportation expense, environmental compliance expense and realized settlements from our marketing, hedging, optimization and trading activities, but excludes mark-to-market activity and other revenues. We believe that Commodity Margin is a useful tool for assessing the performance of our core operations and is a key operational measure reviewed by our chief operating decision maker. Commodity Margin does not intend to represent income from operations, the most comparable U.S. GAAP measure, as an indicator of operating performance and is not necessarily comparable to similarly-titled measures reported by

• ther companies.

($ in millions)

Reg G Reconciliation: Adjusted EBITDA and Adjusted Free Cash Flow

Calpine Corporation 30

Adjusted EBITDA represents net loss attributable to Calpine before net (income) attributable to the noncontrolling interest, interest, taxes, depreciation and amortization, adjusted for certain non-cash and non- recurring items as detailed in the following reconciliation. Adjusted EBITDA is not intended to represent cash flows from operations or net income (loss) as defined by U.S. GAAP as an indicator of operating performance and is not necessarily comparable to similarly-titled measures reported by other companies. We believe Adjusted EBITDA is useful to investors and other users of our financial statements in evaluating our operating performance because it provides them with an additional tool to compare business performance across companies and across periods. We believe that EBITDA is widely used by investors to measure a company’s operating performance without regard to items such as interest expense, taxes, depreciation and amortization, which can vary substantially from company to company depending upon accounting methods and book value of assets, capital structure and the method by which assets were acquired. Additionally, we believe that investors commonly adjust EBITDA information to eliminate the effects

• f restructuring and other expenses, which vary widely from company to

company and impair comparability. We adjust for these and other items as our management believes that these items would distort their ability to efficiently view and assess our core operating trends. In summary, our management uses Adjusted EBITDA as a measure of

• perating performance to assist in comparing performance from period

to period on a consistent basis and to readily view operating trends, as a measure for planning and forecasting overall expectations and for evaluating actual results against such expectations, and in communications with our Board of Directors, shareholders, creditors, analysts and investors concerning our financial performance. Adjusted Free Cash Flow represents net income (loss) before interest, taxes, depreciation and amortization, as adjusted, less operating lease payments, major maintenance expense and maintenance capital expenditures, net cash interest, cash taxes, and other adjustments, including non-recurring items. Adjusted Free Cash Flow is a liquidity measure and is not intended to represent cash flows from operating activities, the most directly comparable U.S. GAAP measure, and is not necessarily comparable to similarly titled measures reported by other companies. ($ and shares in millions)

Reg G Reconciliation: Adjusted Free Cash Flow

Calpine Corporation 31

Adjusted Free Cash Flow represents net income (loss) before interest, taxes, depreciation and amortization, as adjusted, less operating lease payments, major maintenance expense and maintenance capital expenditures, net cash interest, cash taxes, and other adjustments, including non-recurring items. Adjusted Free Cash Flow is presented because we believe it is a useful tool for assessing the financial performance of our company in the current period. Adjusted Free Cash Flow is a liquidity measure and is not intended to represent cash flows from

• perating activities, the most directly comparable U.S. GAAP measure, and is not necessarily comparable to similarly titled measures reported by other companies.

($ in millions)

Reg G Reconciliation: 2017 Adjusted EBITDA and Adjusted Free Cash Flow Guidance

Calpine Corporation 32

Guidance range as of 4/28/17