Second Quarter 2017 Investor Update Conference Call July 28, 2017 - PowerPoint PPT Presentation

Second Quarter 2017 Investor Update Conference Call July 28, 2017 Calpine Corporation

Safe Harbor Statement 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 other 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 Reports on Form 10 ‐ Q for the three months ended March 31 and June 30, 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. Calpine Corporation 1

Agenda Welcome and Safe Harbor Bryan Kimzey Vice President, Investor Relations CEO Review Thad Hill President, Chief Executive Officer Financial Review Zamir Rauf EVP, Chief Financial Officer Calpine Corporation 2

Reaffirming 2017 Guidance ($ millions) Adjusted EBITDA 1 Guidance Key 2Q Messages • Operations: CPN fleet operated well • Markets: – Texas: Houston zone separation + Forward spark spread rally – Mid ‐ Atlantic: Attractive print in latest capacity auction – California: Heat wave drove spark spreads above expectations • Gov/Reg: Despite IL and NY court rulings, progress made against nuke bailout efforts in CT, OH, NJ, PA Adjusted Unlevered Free Cash Flow 1 Second Quarter Performance Consistent with Last Year Adjusted EBITDA 1 ($M) $452 $419 Gas transportation credit ($40M) 2Q16 2Q17 Evaluating potential sale of Calpine 2 1 A non ‐ GAAP financial measure. Reconciliations of Adj. EBITDA to Net Income (Loss) and Adj. Unlevered FCF to Cash Provided by Operating Activities, the most comparable U.S. GAAP measures, are included in the appendix. 2 Calpine’s Board of Directors, together with management and financial and legal advisors, are in discussions regarding a potential sale of Calpine. The Board plans to proceed in a timely manner, but has not set a definitive timetable for completion of this process. There can be no assurance that these discussions will result in a transaction of any kind, or if a transaction is undertaken, as to terms or timing. Calpine does not intend to disclose developments or provide updates on the status of these discussions unless or until it is determined that further disclosure is appropriate or required by law. Calpine Corporation 3

Focused on Best ‐ in ‐ Class Operations Generation in Key Markets (000 MWh) 1 Employee Total Reportable Incident Rate  Osprey, Mankato  Near ‐ record hydro  Reversal of coal/gas Key YoY  Delta outage Drivers: switching 12,607 EEI top 11,152 quartile 2 9,125 7,463 3,685 2,210 1,350 1,413 West ‐ Gas West ‐ Geo Texas East Portfolio Changes 2Q16 2Q17 Calpine Cost Leadership 3 ($/kW) Forced Outage Factor (FOF, %) $52 Wholesale Gas Fleet Costs ($/kW) $44 $42 14.5 Geysers wildfire 10.7 Delta Peer Cost Target Delta outage outage Geysers wildfire 5.4 3.0 3.2 3.0 2.6 2.5 2.1 1.9 2.7 2.2 0.3 0.5 0.1 0.1 West ‐ Gas West ‐ Geo Texas East CPN Peer 2013 ‐ 2015 2016 2Q16 2Q17 (current) 3 Year Avg CPN 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. 2 According to EEI safety survey (2016). 3 Source for peer current cost and target: NRG investor presentation, 7/12/17. CPN costs exclude Geysers and Retail. Calpine Corporation 4

Regional Power Market Trends California Texas East During Recent Heat Wave, On ‐ Peak Spark Spread Rally Locationally Advantaged PJM Fleet Northern Calif. Operated at a Tight Margin Benefits from Premium Zone Separation $18 1 18,000 $250 NorCal Non ‐ Renewable Supply / Load (MW) 3 Total Non ‐ Renewable Supply What 2 Auction Cleearing Price ($/MW ‐ d) 16,000 Houston Spark Spread ($/MWh) $17 happens with: 14,000 $200 • Nuclear / OTC $16 12,000 retirements $150 10,000 • Potential $15 8,000 retirements of $100 gas ‐ fired 6,000 $14 resources 4,000 $50 $13 2,000 0 $12 $ ‐ 10 12 14 16 18 20 22 24 2018 2019 2020 2018/19 2019/20 2020/21 Hour Ending 04/13/17 07/14/17 RTO CPN MW ‐ weighted price EMAAC Non ‐ renewable: Load Available Resources Outages Recent Heat Wave Demonstrates Gas Assets Recent Events Shaping Landscape Key Debate Remains Market Design Integrity Critical Now and for the Foreseeable Future of Texas Power Market in Face of State Actions + Proposed tariff reforms in PJM and ISO ‐ NE to • Looking ahead: • Panda bankruptcy ‒ Diablo Canyon nuclear plant to retire address subsidized resources • Potential ExGen bankruptcy? ‒ Per CAISO report, potential for additional • Nuclear bailout efforts: • Retirements of Clear Lake, Greens Bayou retirements of uneconomic gas ‐ fired resources + Battles underway in CT, OH, NJ, PA; • Cancellation of development projects (CPN, NRG) • How will CAISO and other stakeholders react? trending positively • PUCT consideration of Hogan/Pope report – IL and NY courts dismissed complaints; IL appeal filed and granted + New FERC commissioner appointments ? DOE study 1 Source: CAISO, Calpine. Data shown for 6/21/17. Calculation of non ‐ renewable supply excludes wind, solar, geothermal and estimated hydro in Northern California, as well as net imports. 2 Spark spreads based on 7,000 Btu/kWh heat rate. 3 Prices shown for Capacity Performance product in all years. CPN reflects MW ‐ weighted average clearing price for capacity that cleared in each auction and does not include any capacity sold under bilateral contracts. Calpine Corporation 5

FINANCIAL UPDATE Calpine Corporation 6

Reaffirming Full Year Guidance ($ millions) 2Q in Line with Expectations Full Year Guidance On Track Second Quarter Drivers (YoY) Full Year Drivers (YoY) Taxes/Other: $10 Taxes/Other: $11 1 1 1 1 1 1 Bal ‐ 2017 (YoY) Full year guidance on track, due to 2H17 uplift 1 A non ‐ GAAP financial measure. Reconciliations of Adj. EBITDA to Net Income (Loss) and Adj. Unlevered FCF to Cash Provided by Operating Activities, the most comparable U.S. GAAP measures, are included in the appendix. Calpine Corporation 7

Regional Commodity Margin 1 : 2Q 2017 vs. 2016 ($ millions, 000 MWh) Commodity Margin 1,3 Generation 2 Primary Drivers: West — Gas transportation billing credit (2Q16) Region  Higher contribution from retail hedging activity (Solutions acquisition)  Higher realized spark spreads in the evening peaks, partially offset by lower generation Commodity Margin 1 Generation 2 Primary Drivers: Texas  Higher on ‐ peak realized spark spreads in Houston zone  Higher contribution from retail hedging activities (Solutions acquisition) Region — Lower generation due to higher natural gas prices Commodity Margin 1 Generation 2 Primary Drivers: — Sales of Mankato (Oct 16) and Osprey (Jan 17) Osprey, East Mankato — Lower market spark spreads Region — Expiration of PPA at York Energy Center  Higher contribution from retail hedging activity (Solutions and NAP acquisitions) 1 A non ‐ GAAP financial measure. Reconciliations of Income (Loss) from Operations to Commodity Margin, 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. Calpine Corporation 8