Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2016

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques

The following table describes the valuation techniques and unobservable inputs utilized by the Ameren Companies for the fair value of financial assets and liabilities classified as Level 3 in the fair value hierarchy for the periods ended March 31, 2016, and December 31, 2015:



		Fair Value								Weighted Average
		Assets		Liabilities			Valuation Technique(s)	Unobservable Input	Range	Weighted Average
Level 3 Derivative asset and liability - commodity contracts^(a):
2016
	Natural gas	$	—	$	(1	)	Discounted cash flow	Nodal basis($/mmbtu)^(b)	(0.60) - 0	(0.50)
								Counterparty credit risk(%)^(c)(d)	0.40 - 6	0.93
								Ameren Illinois credit risk(%)^(c)(d)	0.40	(e)
	Power^(f)	6		(187		)	Discounted cash flow	Average forward peak and off-peak pricing - forwards/swaps($/MWh)^(g)	18 - 37	27
								Estimated auction price for FTRs($/MW)^(b)	(818) - 1,062	67
								Nodal basis($/MWh)^(g)	(10) - (1)	(2)
								Counterparty credit risk(%)^(c)(d)	0.55	(e)
								Ameren Illinois credit risk(%)^(c)(d)	0.40	(e)
							Fundamental energy production model	Estimated future gas prices($/mmbtu)^(b)	3 - 5	4
								Escalation rate(%)^(b)(h)	4	(e)
							Contract price allocation	Estimated renewable energy credit costs($/credit)^(b)	5 - 7	6
	Uranium	—		(4		)	Option model	Volatilities(%)^(b)	20	(e)
							Discounted cash flow	Average forward uranium pricing($/pound)^(b)	28 - 33	31
								Ameren Missouri credit risk(%)^(c)(d)	0.40	(e)
2015
	Natural gas	$	1	$	(1	)	Option model	Volatilities(%)^(b)	35 – 55	45
								Nodal basis($/mmbtu)^(c)	(0.30) – 0	(0.20)
							Discounted cash flow	Nodal basis($/mmbtu)^(b)	(0.10) – 0	(0.10)
								Counterparty credit risk(%)^(c)(d)	0.40 – 12	7
								Ameren Missouri credit risk(%)^(c)(d)	0.40	(e)
	Power^(f)	16		(170		)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps($/MWh)^(g)	22 – 39	29
								Estimated auction price for FTRs($/MW)^(b)	(270) – 2,057	211
								Nodal basis($/MWh)^(g)	(10) – (1)	(3)
								Counterparty credit risk(%)^(c)(d)	0.86	(e)
								Ameren Illinois credit risk(%)^(c)(d)	0.40	(e)
							Fundamental energy production model	Estimated future gas prices($/mmbtu)^(b)	3 – 4	4
								Escalation rate(%)^(b)(h)	3	(e)
							Contract price allocation	Estimated renewable energy credit costs($/credit)^(b)	5 – 7	6
	Uranium	—		(1		)	Option model	Volatilities(%)^(b)	20	(e)
							Discounted cash flow	Average forward uranium pricing($/pound)^(b)	35 – 42	37
								Ameren Missouri credit risk(%)^(c)(d)	0.40	(e)


(a)	The derivative asset and liability balances are presented net of counterparty credit considerations.


(b)	Generally, significant increases (decreases) in this input in isolation would result in a significantly higher (lower) fair value measurement.


(c)	Generally, significant increases (decreases) in this input in isolation would result in a significantly lower (higher) fair value measurement.


(d)	Counterparty credit risk is applied only to counterparties with derivative asset balances. Ameren Missouri and Ameren Illinois credit risk is applied only to counterparties with derivative liability balances.


(e)	Not applicable.


(f)	Power valuations use visible third-party pricing evaluated by month for peak and off-peak demand through 2020. Valuations beyond 2020 use fundamentally modeled pricing by month for peak and off-peak demand.


(g)	The balance at Ameren is comprised of Ameren Missouri and Ameren Illinois power contracts, which respond differently to unobservable input changes due to their opposing positions.


(h)	Escalation rate applies to power prices 2031 and beyond for March 31, 2016 and to power prices 2026 and beyond for December 31, 2015.

Schedule Of Fair Value Hierarchy Of Assets And Liabilities Measured At Fair Value On Recurring Basis

The following table sets forth, by level within the fair value hierarchy, our assets and liabilities measured at fair value on a recurring basis as of March 31, 2016:



		Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Total
Assets:
Ameren	Derivative assets - commodity contracts^(a):
	Natural gas	$	—	$	1	$	—	$	1
	Power	—		—		6		6
	Total derivative assets - commodity contracts	$	—	$	1	$	6	$	7
	Nuclear decommissioning trust fund:
	Cash and cash equivalents	$	2	$	—	$	—	$	2
	Equity securities:
	U.S. large capitalization	369		—		—		369
	Debt securities:
	U.S. treasury and agency securities	—		121		—		121
	Corporate bonds	—		56		—		56
	Other	—		18		—		18
	Total nuclear decommissioning trust fund	$	371	$	195	$	—	$	566	^(b)
	Total Ameren	$	371	$	196	$	6	$	573
Ameren	Derivative assets - commodity contracts^(a):
Missouri	Power	$	—	$	—	$	6	$	6
	Nuclear decommissioning trust fund:
	Cash and cash equivalents	$	2	$	—	$	—	$	2
	Equity securities:
	U.S. large capitalization	369		—		—		369
	Debt securities:
	U.S. treasury and agency securities	—		121		—		121
	Corporate bonds	—		56		—		56
	Other	—		18		—		18
	Total nuclear decommissioning trust fund	$	371	$	195	$	—	$	566	^(b)
	Total Ameren Missouri	$	371	$	195	$	6	$	572
Ameren	Derivative assets - commodity contracts^(a):
Illinois	Natural gas	$	—	$	1	$	—	$	1
Liabilities:
Ameren	Derivative liabilities - commodity contracts^(a):
	Fuel oils	$	25	$	—	$	—	$	25
	Natural gas	1		63		1		65
	Power	—		—		187		187
	Uranium	—		—		4		4
	Total Ameren	$	26	$	63	$	192	$	281
Ameren	Derivative liabilities - commodity contracts^(a):
Missouri	Fuel oils	$	25	$	—	$	—	$	25
	Natural gas	1		13		—		14
	Uranium	—		—		4		4
	Total Ameren Missouri	$	26	$	13	$	4	$	43
Ameren	Derivative liabilities - commodity contracts^(a):
Illinois	Natural gas	$	—	$	50	$	1	$	51
	Power	—		—		187		187
	Total Ameren Illinois	$	—	$	50	$	188	$	238


(a)	The derivative asset and liability balances are presented net of counterparty credit considerations.


(b)	Balance excludes $1 million of receivables, payables, and accrued income, net.

The following table sets forth, by level within the fair value hierarchy, our assets and liabilities measured at fair value on a recurring basis as of December 31, 2015:



		Quoted Prices in Active Markets for Identical Assets or Liabilities (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Other Unobservable Inputs (Level 3)		Total
Assets:
Ameren	Derivative assets - commodity contracts^(a):
	Natural gas	$	—	$	1	$	1	$	2
	Power	—		—		16		16
	Total derivative assets - commodity contracts	$	—	$	1	$	17	$	18
	Nuclear decommissioning trust fund:
	Cash and cash equivalents	$	4	$	—	$	—	$	4
	Equity securities:
	U.S. large capitalization	364		—		—		364
	Debt securities:
	U.S. treasury and agency securities	—		109		—		109
	Corporate bonds	—		58		—		58
	Other	—		22		—		22
	Total nuclear decommissioning trust fund	$	368	$	189	$	—	$	557	^(b)
	Total Ameren	$	368	$	190	$	17	$	575
Ameren	Derivative assets - commodity contracts^(a):
Missouri	Natural gas	$	—	$	—	$	1	$	1
	Power	—		—		16		16
	Total derivative assets - commodity contracts	$	—	$	—	$	17	$	17
	Nuclear decommissioning trust fund:
	Cash and cash equivalents	$	4	$	—	$	—	$	4
	Equity securities:
	U.S. large capitalization	364		—		—		364
	Debt securities:
	U.S. treasury and agency securities	—		109		—		109
	Corporate bonds	—		58		—		58
	Other	—		22		—		22
	Total nuclear decommissioning trust fund	$	368	$	189	$	—	$	557	^(b)
	Total Ameren Missouri	$	368	$	189	$	17	$	574
Ameren	Derivative assets - commodity contracts^(a):
Illinois	Natural gas	$	—	$	1	$	—	$	1
Liabilities:
Ameren	Derivative liabilities - commodity contracts^(a):
	Fuel oils	$	29	$	—	$	—	$	29
	Natural gas	1		62		1		64
	Power	—		—		170		170
	Uranium	—		—		1		1
	Total Ameren	$	30	$	62	$	172	$	264
Ameren	Derivative liabilities - commodity contracts^(a):
Missouri	Fuel oils	$	29	$	—	$	—	$	29
	Natural gas	—		13		1		14
	Uranium	—		—		1		1
	Total Ameren Missouri	$	29	$	13	$	2	$	44
Ameren	Derivative liabilities - commodity contracts^(a):
Illinois	Natural gas	$	1	$	49	$	—	$	50
	Power	—		—		170		170
	Total Ameren Illinois	$	1	$	49	$	170	$	220


(a)	The derivative asset and liability balances are presented net of counterparty credit considerations.


(b)	Balance excludes $(1) million of receivables, payables, and accrued income, net.

Schedule Of Changes In The Fair Value Of Financial Assets And Liabilities Classified As Level Three In The Fair Value Hierarchy

The following table summarizes the changes in the fair value of financial assets and liabilities classified as Level 3 in the fair value hierarchy for the three months ended March 31, 2016:



		Net derivative commodity contracts
		Ameren Missouri			Ameren Illinois			Ameren
Natural gas:
Beginning balance at January 1, 2016	$	—		$	—		$	—
Settlements		—			(1	)		(1	)
Ending balance at March 31, 2016	$	—		$	(1	)	$	(1	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2016	$	—		$	—		$	—
Power:
Beginning balance at January 1, 2016	$	16		$	(170	)	$	(154	)
Realized and unrealized gains (losses) included in regulatory assets/liabilities		(3	)		(21	)		(24	)
Settlements		(7	)		4			(3	)
Ending balance at March 31, 2016	$	6		$	(187	)	$	(181	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2016	$	—		$	(19	)	$	(19	)
Uranium:
Beginning balance at January 1, 2016	$	(1	)	$	(a)		$	(1	)
Realized and unrealized gains (losses) included in regulatory assets/liabilities		(3	)		(a)			(3	)
Ending balance at March 31, 2016	$	(4	)	$	(a)		$	(4	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2016	$	(3	)	$	(a)		$	(3	)


(a)	Not applicable.

The following table summarizes the changes in the fair value of financial assets and liabilities classified as Level 3 in the fair value hierarchy for the three months ended March 31, 2015:



		Net derivative commodity contracts
		Ameren Missouri			Ameren Illinois			Ameren
Fuel oils:
Beginning balance at January 1, 2015	$	(6	)	$	(a)		$	(6	)
Realized and unrealized gains (losses) included in regulatory assets/liabilities		(1	)		(a)			(1	)
Settlements		1			(a)			1
Ending balance at March 31, 2015	$	(6	)	$	(a)		$	(6	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2015	$	(3	)	$	(a)		$	(3	)
Natural gas:
Beginning balance at January 1, 2015	$	(1	)	$	—		$	(1	)
Purchases		—			1			1
Ending balance at March 31, 2015	$	(1	)	$	1		$	—
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2015	$	—		$	—		$	—
Power:
Beginning balance at January 1, 2015	$	9		$	(142	)	$	(133	)
Realized and unrealized gains (losses) included in regulatory assets/liabilities		(2	)		(25	)		(27	)
Settlements		(3	)		3			—
Ending balance at March 31, 2015	$	4		$	(164	)	$	(160	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2015	$	—		$	(24	)	$	(24	)
Uranium:
Beginning balance at January 1, 2015	$	(2	)	$	(a)		$	(2	)
Realized and unrealized gains (losses) included in regulatory assets/liabilities		1			(a)			1
Ending balance at March 31, 2015	$	(1	)	$	(a)		$	(1	)
Change in unrealized gains (losses) related to assets/liabilities held at March 31, 2015	$	1		$	(a)		$	1


(a)	Not applicable.

Schedule Of Carrying Amounts And Estimated Fair Values Of Long-Term Debt, Capital Lease Obligations And Preferred Stock

The following table presents the carrying amounts and estimated fair values of our long-term debt, capital lease obligations and preferred stock at March 31, 2016, and December 31, 2015:



	March 31, 2016				December 31, 2015
	Carrying Amount		Fair Value		Carrying Amount		Fair Value
Ameren:
Long-term debt and capital lease obligations (including current portion)	$	7,016	$	7,744	$	7,275	$	7,814
Preferred stock^(a)	142		126		142		125
Ameren Missouri:
Long-term debt and capital lease obligations (including current portion)	$	3,851	$	4,280	$	4,110	$	4,449
Preferred stock	80		75		80		75
Ameren Illinois:
Long-term debt (including current portion)	$	2,472	$	2,744	$	2,471	$	2,665
Preferred stock	62		51		62		50


(a)	Preferred stock is recorded in “Noncontrolling Interests” on the consolidated balance sheet.