Fair Value Measurements

9 Months Ended

Sep. 30, 2020

FAIR VALUE MEASUREMENTS

Fair value is defined as the price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. Fair value measurements are classified in three levels based on the fair value hierarchy as defined by GAAP. See Note 8 – Fair Value Measurements under Part II, Item 8, of the Form 10-K for information related to hierarchy levels and valuation techniques.

We consider nonperformance risk in our valuation of derivative instruments by analyzing our own credit standing and the credit standing of our counterparties, and by considering any credit enhancements (e.g., collateral). Included in our valuation, and based on current market conditions, is a valuation adjustment for counterparty default derived from market data such as the price of credit default swaps, bond yields, and credit ratings. No material gains or losses related to valuation adjustments for counterparty default risk were recorded at Ameren, Ameren Missouri, or Ameren Illinois in the three and nine months ended September 30, 2020 or 2019. At September 30, 2020, and December 31, 2019, the counterparty default risk valuation adjustment related to derivative contracts was immaterial for Ameren, Ameren Missouri, and Ameren Illinois.

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 September 30, 2020, and December 31, 2019:


		September 30, 2020									December 31, 2019
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets:
Ameren Missouri
	Derivative assets – commodity contracts:
	Fuel oils	$	—	$	—	$	2	$	2		$	—	$	—	$	6	$	6
	Natural gas	—		4		—		4			—		—		—		—
	Power	1		—		12		13			—		2		14		16

	Total derivative assets – commodity contracts	$	1	$	4	$	14	$	19		$	—	$	2	$	20	$	22
	Nuclear decommissioning trust fund:

	Equity securities:
	U.S. large capitalization	$	604	$	—	$	—	$	604		$	569	$	—	$	—	$	569
	Debt securities:
	U.S. Treasury and agency securities	—		112		—		112			—		107		—		107
	Corporate bonds	—		116		—		116			—		93		—		93


	Other	—		66		—		66			—		73		—		73
	Total nuclear decommissioning trust fund	$	604	$	294	$	—	$	898	(a)	$	569	$	273	$	—	$	842	(a)
	Total Ameren Missouri	$	605	$	298	$	14	$	917		$	569	$	275	$	20	$	864
Ameren Illinois
	Derivative assets – commodity contracts:
	Natural gas	$	—	$	9	$	5	$	14		$	—	$	1	$	3	$	4


Ameren
	Derivative assets – commodity contracts(b)	$	1	$	13	$	19	$	33		$	—	$	3	$	23	$	26
	Nuclear decommissioning trust fund(c)	604		294		—		898		(a)	569		273		—		842		(a)
	Total Ameren	$	605	$	307	$	19	$	931		$	569	$	276	$	23	$	868
Liabilities:
Ameren Missouri
	Derivative liabilities – commodity contracts:
	Fuel oils	$	13	$	—	$	7	$	20		$	1	$	—	$	6	$	7
	Natural gas	—		—		—		—			—		2		—		2
	Power	8		—		2		10			—		2		1		3
	Uranium	—		—		—		—			—		—		1		1
	Total Ameren Missouri	$	21	$	—	$	9	$	30		$	1	$	4	$	8	$	13
Ameren Illinois
	Derivative liabilities – commodity contracts:
	Natural gas	$	—	$	2	$	1	$	3		$	3	$	12	$	3	$	18
	Power	—		—		213		213			—		—		224		224
	Total Ameren Illinois	$	—	$	2	$	214	$	216		$	3	$	12	$	227	$	242
Ameren
	Derivative liabilities – commodity contracts(b)	$	21	$	2	$	223	$	246		$	4	$	16	$	235	$	255

(a)Balance excludes $6 million and $5 million of cash and cash equivalents, receivables, payables, and accrued income, net, for September 30, 2020, and December 31, 2019, respectively.

(b)See the Ameren Missouri and Ameren Illinois sections of the table for a breakout of the fair value of Ameren’s derivative assets and liabilities by type of commodity.

(c)See the Ameren Missouri section of the table for a breakout of the fair value of Ameren's nuclear decommissioning trust fund by investment type.

Level 3 fuel oils, natural gas, and uranium derivative contract assets and liabilities measured at fair value on a recurring basis were immaterial for all periods presented. The following table presents the fair value reconciliation of Level 3 power derivative contract assets and liabilities measured at fair value on a recurring basis for the three and nine months ended September 30, 2020 and 2019:


	2020						2019
	Ameren Missouri		Ameren Illinois		Ameren			Ameren Missouri		Ameren Illinois		Ameren
For the three months ended September 30:
Beginning balance at July 1	$	16	$	(229)	$	(213)		$	15	$	(191)	$	(176)
Realized and unrealized gains/(losses) included in regulatory assets/liabilities	(2)		12		10			(4)		(17)		(21)


Settlements	(4)		4		—			(1)		4		3

Transfers out of Level 3	—		—		—			(2)		—		(2)
Ending balance at September 30	$	10	$	(213)	$	(203)		$	8	$	(204)	$	(196)
Change in unrealized gains/(losses) related to assets/liabilities held at September 30	$	(2)	$	11	$	9		$	(4)	$	(17)	$	(21)
For the nine months ended September 30:
Beginning balance at January 1	$	13	$	(224)	$	(211)		$	—	$	(183)	$	(183)
Realized and unrealized gains/(losses) included in regulatory assets/liabilities	18		(2)		16			12		(32)		(20)


Settlements	(21)		13		(8)			(2)		11		9

Transfers out of Level 3	—		—		—			(2)		—		(2)
Ending balance at September 30	10		(213)		(203)			8		(204)		(196)
Change in unrealized gains/(losses) related to assets/liabilities held at September 30	$	6	$	(1)	$	5		$	8	$	(31)	$	(23)

All gains or losses related to our Level 3 derivative commodity contracts are expected to be recovered or returned through customer rates; therefore, there is no impact to either net income or other comprehensive income resulting from changes in the fair value of these instruments.

The following table describes the valuation techniques and significant unobservable inputs utilized for the fair value of our Level 3 power derivative contract assets and liabilities as of September 30, 2020, and December 31, 2019:


			Fair Value						Weighted Average(b)
	Commodity		Assets		Liabilities	Valuation Technique(s)	Unobservable Input(a)	Range









2020	Power(c)	$	12	$	(215)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)	20 – 36	28

							Nodal basis ($/MWh)	(5) – 1	(2)


							Trend rate (%)	3 – 4	3








































2019	Power(d)	$	14	$	(225)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)	22 – 34	25

							Nodal basis ($/MWh)	(6) – 0	(2)


							Trend rate (%)	(1) – 0	0

(a)Generally, significant increases (decreases) in these inputs in isolation would result in a significantly higher (lower) fair value measurement.

(b)Unobservable inputs were weighted by relative fair value.

(c)Valuations through 2029 use visible forward prices adjusted for nodal-to-hub basis differentials. Valuations beyond 2029 use a trend rate factor and are similarly adjusted for nodal-to-hub basis differentials.

(d)Valuations through 2028 use visible forward prices adjusted for nodal-to-hub basis differentials. Valuations beyond 2028 use a trend rate factor and are similarly adjusted for nodal-to-hub basis differentials.

The following table sets forth the carrying amount and, by level within the fair value hierarchy, the fair value of financial assets and liabilities disclosed, but not recorded, at fair value as of September 30, 2020, and December 31, 2019:


	Carrying Amount			Fair Value
				Level 1		Level 2		Level 3			Total
	September 30, 2020
Ameren:
Cash, cash equivalents, and restricted cash	$	168		$	168	$	—	$	—		$	168
Investments in industrial development revenue bonds(a)	263			—		263		—			263
Short-term debt	272			—		272		—			272
Long-term debt (including current portion)(a)	10,529		(b)	—		11,891		521		(c)	12,412
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	10		$	10	$	—	$	—		$	10
Advances to money pool	5			—		5		—			5
Investments in industrial development revenue bonds(a)	263			—		263		—			263

Long-term debt (including current portion)(a)	4,568		(b)	—		5,316		—			5,316
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	147		$	147	$	—	$	—		$	147
Short-term debt	242			—		242		—			242

Long-term debt (including current portion)	3,576		(b)	—		4,431		—			4,431
	December 31, 2019
Ameren:
Cash, cash equivalents, and restricted cash	$	176		$	176	$	—	$	—		$	176
Investments in industrial development revenue bonds(a)	263			—		263		—			263
Short-term debt	440			—		440		—			440
Long-term debt (including current portion)(a)	9,357		(b)	—		9,957		484		(c)	10,441
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	39		$	39	$	—	$	—		$	39
Investments in industrial development revenue bonds(a)	263			—		263		—			263
Short-term debt	234			—		234		—			234
Long-term debt (including current portion)(a)	4,190		(b)	—		4,772		—			4,772
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	125		$	125	$	—	$	—		$	125
Short-term debt	53			—		53		—			53
Long-term debt (including current portion)	3,575		(b)	—		4,019		—			4,019

(a)Ameren and Ameren Missouri have investments in industrial development revenue bonds, classified as held-to-maturity and recorded in “Other Assets,” that are equal to the finance obligations for the Peno Creek and Audrain CT energy centers. As of September 30, 2020, and December 31, 2019, the carrying amount of both the investments in industrial development revenue bonds and the finance obligations approximated fair value.

(b)Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $77 million, $32 million, and $33 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of September 30, 2020. Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $72 million, $30 million, and $34 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2019.

(c)The Level 3 fair value amount consists of ATXI’s senior unsecured notes.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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