[1]

We did not record any material gain (loss) on hedge ineffectiveness related to our interest rate hedging instruments designated as cash flow hedges during the years ended December 31, 2016, 2015 and 2014.

[2]

We recorded income tax expense of $1 million, nil and nil for the years ended December 31, 2016, 2015 and 2014, respectively, in AOCI related to our cash flow hedging activities.

[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.

[4]

In addition to changes in market value on interest rate hedging instruments not designated as hedges, changes in mark-to-market gain (loss) also includes hedge ineffectiveness.

[5]

Cumulative cash flow hedge losses attributable to Calpine, net of tax, remaining in AOCI were $90 million, $127 million and $149 million at December 31, 2016, 2015 and 2014, respectively. Cumulative cash flow hedge losses attributable to the noncontrolling interest, net of tax, remaining in AOCI were $8 million, $11 million and $12 million at December 31, 2016, 2015 and 2014, respectively.

[6]

Includes losses of $3 million, nil and $10 million that were reclassified from AOCI to interest expense for the years ended December 31, 2016, 2015 and 2014, respectively, where the hedged transactions became probable of not occurring.