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Derivative Financial Instruments
9 Months Ended
Sep. 30, 2011
Derivative Financial Instruments

NOTE 6 - DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives principally to manage the risk of changes in market prices for natural gas, coal, diesel, power, and uranium. Such price fluctuations may cause the following:

 

•  

an unrealized appreciation or depreciation of our contracted commitments to purchase or sell when purchase or sale prices under the commitments are compared with current commodity prices;

 

•  

market values of coal, natural gas, and uranium inventories that differ from the cost of those commodities in inventory; and

 

•  

actual cash outlays for the purchase of these commodities that differ from anticipated cash outlays.

The derivatives that we use to hedge these risks are governed by our risk management policies for forward contracts, futures, options, and swaps. Our net positions are continually assessed within our structured hedging programs to determine whether new or offsetting transactions are required. The goal of the hedging program is generally to mitigate financial risks while ensuring that sufficient volumes are available to meet our requirements. Contracts we enter into as part of our risk management program may be settled financially, settled by physical delivery, or net settled with the counterparty.

 

The following table presents open gross derivative volumes by commodity type as of September 30, 2011, and December 31, 2010:

 

      Quantity (in millions, except as indicated)  
Commodity   

NPNS

Contracts(a)

     Cash Flow
Hedges(b)		     Other
Derivatives(c)		     Derivatives That Qualify for
Regulatory Deferral(d)		  
     2011     2010     2011     2010     2011     2010     2011     2010  

Coal (in tons)

                 

Ameren Missouri

      122        46        (e )      (e )      (e )      (e )      (e )      (e ) 

Genco

                      27                        21                        (e )                      (e )                      (e )                      (e )                      (e )                      (e ) 

Other(f)

      8        6        (e )      (e )      (e )      (e )      (e )      (e ) 

Ameren

      157        73        (e )      (e )      (e )      (e )      (e )      (e ) 

Heating oil (in gallons)

                 

Ameren Missouri

      (e )      (e )      (e )      (e )      (e )      (e )      62        80   

Genco

      (e )      (e )      (e )      (e )      33        43        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      10        12        (e )      (e ) 

Ameren

      (e )      (e )      (e )      (e )      43        55        62        80   

Natural gas (in mmbtu)

                 

Ameren Missouri

      9        13        (e )      (e )      1        2        19        21   

Ameren Illinois

      51        85        (e )      (e )      (e )      (e )      188        173   

Genco

      (e )      (e )      (e )      (e )      5        3        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      20        16        (e )      (e ) 

Ameren

      60        98        (e )      (e )      26        21        207        194   

Power (in megawatthours)

                 

Ameren Missouri

      1        2        (e )      (e )      -        1        5        5   

Ameren Illinois

      12        (e )      (e )      (e )      (e )      (e )      27        26   

Genco

      (e )      (e )      (e )      (e )      -        3        (e )      (e ) 

Other(f)

      60        61        17        2        32        57        (11 )      (13 ) 

Ameren

      73        63        17        2        32        61        21        18   

Uranium (pounds in thousands)

                 

Ameren Missouri & Ameren

      5,710        5,810        (e )      (e )      (e )      (e )      308        185   

 

(a) Contracts through December 2017, March 2015, September 2035, and October 2024 for coal, natural gas, power, and uranium, respectively, as of September 30, 2011.
(b) Contracts through December 2013 for power as of September 30, 2011.
(c) Contracts through October 2014, December 2012, and April 2015 for heating oil, natural gas, and power, respectively, as of September 30, 2011.
(d) Contracts through December 2013, October 2016, May 2032 and December 2013 for heating oil, natural gas, power, and uranium, respectively, as of September 30, 2011.
(e) Not applicable.
(f) Includes AERG contracts for coal and heating oil, Marketing Company contracts for natural gas and power, and intercompany eliminations for power.

Authoritative guidance regarding derivative instruments requires that all contracts considered to be derivative instruments be recorded on the balance sheet at their fair values, unless the NPNS exception applies. See Note 7 - Fair Value Measurements for our methods of assessing the fair value of derivative instruments. Many of our physical contracts, such as our coal and purchased power contracts, qualify for the NPNS exception to derivative accounting rules. The revenue or expense on NPNS contracts is recognized at the contract price upon physical delivery.

If we determine that a contract meets the definition of a derivative and is not eligible for the NPNS exception, we review the contract to determine if it qualifies for hedge accounting. We also consider whether gains or losses resulting from such derivatives qualify for regulatory deferral. Contracts that qualify for cash flow hedge accounting are recorded at fair value with changes in fair value charged or credited to accumulated OCI in the period in which the change occurs, to the extent the hedge is effective. To the extent the hedge is ineffective, the related changes in fair value are charged or credited to the statement of income in the period in which the change occurs. When the contract is settled or delivered, the net gain or loss is recorded in the statement of income.

Derivative contracts that qualify for regulatory deferral are recorded at fair value, with changes in fair value charged or credited to regulatory assets or regulatory liabilities in the period in which the change occurs. Ameren Missouri and Ameren Illinois believe derivative gains and losses deferred as regulatory assets and regulatory liabilities are probable of recovery or refund through future rates charged to customers. Regulatory assets and regulatory liabilities are amortized to operating income as related losses and gains are reflected in rates charged to customers. Therefore, gains and losses on these derivatives have no effect on operating income.

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for the NPNS exception, hedge accounting, or regulatory deferral accounting. Such contracts are recorded at fair value, with changes in fair value charged or credited to the statement of income in the period in which the change occurs.

The following table presents the carrying value and balance sheet location of all derivative instruments as of September 30, 2011, and December 31, 2010:

 

Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri
      Balance Sheet Location   

Ameren(a)

      Ameren Missouri     Ameren Illinois     Genco  

2011:

          

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 7       $ (b )    $ (b )    $ -   
  

Other assets

      3         -        -        -   
    

Total assets

    $ 10       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 3       $ (b )    $ -      $ -   
  

Other deferred credits and liabilities

      8         -        -        -   
    

Total liabilities

    $ 11       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 28       $ (b )    $ (b )    $ 9   
  

Other current assets

      -         17        -        -   
  

Other assets

      9         6        -        2   

Natural gas

    MTM derivative assets      6         (b )      (b )      1   
  

Other current assets

      -         -        2        -   
  

Other assets

      -         -        -        -   

Power

    MTM derivative assets      53         (b )      (b )      -   
  

Other current assets

      -         23        1        -   
  

Other assets

      104         2        87        -   
    

Total assets

    $ 200       $ 48      $ 90      $ 12   

Derivative liabilities not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative liabilities    $ 4       $ (b )    $ -      $ 2   
  

Other current liabilities

      -         2        -        -   
  

Other deferred credits and liabilities

      3         1        -        1   

Natural gas

    MTM derivative liabilities      84         (b )      69        1   
  

Other current liabilities

      -         10        -        -   
  

Other deferred credits and liabilities

      66         10        55        -   

Power

    MTM derivative liabilities      27         (b )      4        -   
  

MTM derivative liabilities - affiliates

      -         (b )      166        -   
  

Other current liabilities

      -         5        -        -   
  

Other deferred credits and liabilities

      13         1        52        -   
  

Other deferred credits and liabilities

      1         1        -        -   
    

Total liabilities

    $ 198       $ 30      $ 346      $ 4   

2010:

             

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 3       $ (b )    $ (b )    $ -   
  

Other assets

      2         -        -        -   
    

Total assets

    $ 5       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 1       $ (b )    $ -      $ -   
    

Total liabilities

    $ 1       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 42       $ (b )    $ (b )    $ 14   
  

Other current assets

      -         24        -        -   
  

Other assets

      22         13        -        7   

Natural gas

    MTM derivative assets      4         (b )      (b )      1   
  

Other current assets

      -         1        1        -   
  

Other assets

      1         -        1        -   

Power

    MTM derivative assets      78         (b )      (b )      11   
  

Other current assets

      -         8        2        -   
    

Other assets

                                20         -        6                                 -   

Uranium

    MTM derivative assets      2        (b )      (b )      -   
     Other current assets      -        2        -        -   
     Total assets    $ 169      $ 48      $ 10      $ 33   

Derivative liabilities not designated as hedging instruments(c)

         

Commodity contracts:

            

Heating oil

    MTM derivative liabilities    $ 12      $ (b )    $ -      $ 4   
   Other current liabilities      -        7        -        -   
   Other deferred credits and liabilities      1        -        -        -   

Natural gas

    MTM derivative liabilities      87        (b )      73        2   
   Other current liabilities      -        11        -        -   
   Other deferred credits and liabilities      84        13        70        -   

Power

    MTM derivative liabilities      61        (b )      9        3   
   MTM derivative liabilities - affiliates      (b )      (b )      172        5   
   Other current liabilities      -        6        -        -   
     Other deferred credits and liabilities      7        -        179        -   
     Total liabilities    $                        252      $ 37      $ 503      $                        14   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.
(b) Balance sheet line item not applicable to registrant.
(c) Includes derivatives subject to regulatory deferral.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments in accumulated OCI and regulatory assets or regulatory liabilities as of September 30, 2011, and December 31, 2010:

 

     

Ameren

    

Ameren Missouri

    

Ameren Illinois

    

Genco

    

Other(a)

  

2011:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 3      $ -      $ -      $ -      $ 3   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      15        15        -        -        -   

Natural gas derivative contracts(f)

      (142 )      (20 )      (122 )      -        -   

Power derivative contracts(g)

      104        19        (134 )      -        219   

Uranium derivative contracts(h)

      (1 )      (1 )      -        -        -   

2010:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 8      $ -      $ -      $ -      $ 8   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      19        19        -        -        -   

Natural gas derivative contracts(f)

      (165 )      (24 )      (141 )      -        -   

Power derivative contracts(g)

      1        3        (352 )      -        350   

Uranium derivative contracts(h)

      2        2        -        -        -   

 

(a) Includes amounts for Marketing Company and intercompany eliminations.
(b) Represents net gains associated with power derivative contracts at Ameren. These contracts are a partial hedge of electricity price exposure through December 2013 as of September 30, 2011. Current gains of $3 million and $8 million were recorded at Ameren as of September 30, 2011, and December 31, 2010, respectively.
(c) Includes net gains associated with interest rate swaps at Genco that were a partial hedge of the interest rate on debt issued in June 2002. The swaps cover the first 10 years of debt that has a 30-year maturity, and the gain in OCI is amortized over a 10-year period that began in June 2002. The carrying value at September 30, 2011, and December 31, 2010, was less than $1 million and less than $1 million, respectively. The balance of the gain will be amortized by June 2012.
(d) Includes net losses associated with interest rate swaps at Genco. The swaps were executed during the fourth quarter of 2007 as a partial hedge of interest rate risks associated with Genco's April 2008 debt issuance. The loss on the interest rate swaps is being amortized over a 10-year period that began in April 2008. The carrying value at September 30, 2011, and December 31, 2010, was a loss of $9 million and $10 million, respectively. Over the next twelve months, $1.4 million of the loss will be amortized.
(e) Represents net gains on heating oil derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri's transportation costs for coal through December 2013 as of September 30, 2011. Current gains deferred as regulatory liabilities include $14 million and $14 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current losses deferred as regulatory assets include $2 million and $2 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $13 million and $13 million at Ameren and Ameren Missouri as of December 31, 2010, respectively. Current losses deferred as regulatory assets include $6 million and $6 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.
(f) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through October 2016 at Ameren, Ameren Missouri, and Ameren Illinois, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $78 million, $9 million, and $69 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $1 million and $1 million at Ameren and Ameren Missouri, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $84 million, $11 million, and $73 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.

 

(g) Represents net gains associated with power derivative contracts. These contracts are a partial hedge of power price requirements through May 2032 at Ameren and Ameren Illinois and through December 2012 at Ameren Missouri, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $24 million, $23 million, and $1 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $9 million, $4 million, and $170 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $8 million, $6 million, and $2 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $13 million, $3 million, and $181 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.
(h) Represents net losses and gains on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of our uranium requirements through December 2013 as of September 30, 2011. Current losses deferred as regulatory assets include less than $1 million and less than $1 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.

Derivative instruments are subject to various credit-related losses in the event of nonperformance by counterparties to the transaction. Exchange-traded contracts are supported by the financial and credit quality of the clearing members of the respective exchanges and have nominal credit risk. In all other transactions, we are exposed to credit risk. Our credit risk management program involves establishing credit limits and collateral requirements for counterparties, using master trading and netting agreements, and reporting daily exposure to senior management.

We believe that entering into master trading and netting agreements mitigates the level of financial loss that could result from default by allowing net settlement of derivative assets and liabilities. We generally enter into the following master trading and netting agreements: (1) International Swaps and Derivatives Association Agreement, a standardized financial natural gas and electric contract; (2) the Master Power Purchase and Sale Agreement created by the Edison Electric Institute and the National Energy Marketers Association, a standardized contract for the purchase and sale of wholesale power; and (3) North American Energy Standards Board Inc. Agreement, a standardized contract for the purchase and sale of natural gas. These master trading and netting agreements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at a master trading and netting agreement level by counterparty.

Concentrations of Credit Risk

In determining our concentrations of credit risk related to derivative instruments, we review our individual counterparties and categorize each counterparty into one of eight groupings according to the primary business in which each engages. The following table presents the maximum exposure, as of September 30, 2011, and December 31, 2010, if counterparty groups were to completely fail to perform on contracts by grouping. The maximum exposure is based on the gross fair value of financial instruments, including NPNS contracts, which excludes collateral held, and does not consider the legally binding right to net transactions based on master trading and netting agreements.

 

      Affiliates(a)     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 167       $ 2       $ 2       $ 24       $ 4       $ -       $ -       $ 199    

AIC

      -         -         119         -         1         -         1         -         121    

Genco

      -         19         1         -         8         -         2         -         30    

Other(b)

      272         12         7         6         33         287         -         60         677    

Ameren

    $ 272       $ 198       $ 129       $ 8       $ 66       $ 291       $ 3       $ 60       $     1,027    

2010:

                           

AMO

    $ -       $ 21       $ 1       $ 2       $ 5       $ 11       $ 1       $ -       $ 41    

AIC

      -         -         3         -         1         -         -         -         4    

Genco

      -         6         2         1         1         -         6         -         16    

Other(b)

      410         3         10         19         65         539         3         72         1,121    

Ameren

    $ 410       $ 30       $ 16       $ 22       $ 72       $ 550       $ 10       $ 72       $ 1,182    

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

 

The following table presents the amount of cash collateral held from counterparties, as of September 30, 2011, and December 31, 2010, based on the contractual rights under the agreements to seek collateral and the maximum exposure as calculated under the individual master trading and netting agreements:

 

      Affiliates     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

     

Oil and Gas

Companies

     

Retail

Companies

      Total  

2011:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -    

2010:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ 1       $ 1    

 

(a) Represents amounts held by Marketing Company. As of September 30, 2011, and December 31, 2010, Ameren registrant subsidiaries held no cash collateral.

The potential loss on counterparty exposures is reduced by all collateral held and the application of master trading and netting agreements. Collateral includes both cash collateral and other collateral held. As of September 30, 2011, other collateral consisted of letters of credit in the amount of $10 million, $1 million, $2 million, and $7 million held by Ameren, Ameren Missouri, Genco, and Marketing Company respectively. As of December 31, 2010, other collateral consisted of letters of credit in the amount of $28 million and $1 million held by Ameren and Ameren Illinois, respectively. The following table presents the potential loss after consideration of collateral and application of master trading and netting agreements as of September 30, 2011, and December 31, 2010:

 

      Affiliates(a)     

Coal

Producers

     

Commodity
Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 158       $ -       $ 1       $ 18       $ 3       $ -       $ -       $ 180   

AIC

      -         -         119         -         -         -         -         -         119   

Genco

      -         12         -         -         3         -         2         -         17   

Other(b)

      272         9         7         4         20         171         -         59         542   

Ameren

    $ 272       $ 179       $ 126       $ 5       $ 41       $ 174       $ 2       $ 59       $ 858   

2010:

                           

AMO

    $ -       $ 8       $ -       $ 1       $ 2       $ 10       $ -       $ -       $ 21   

AIC

      -         -         2         -         -         -         -         -         2   

Genco

      -         1         1         1         1         -         5         -         9   

Other(b)

      404         1         8         7         56         513         2         71         1,062   

Ameren

    $ 404       $ 10       $ 11       $ 9       $ 59       $ 523       $ 7       $ 71       $     1,094   

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

Derivative Instruments with Credit Risk-Related Contingent Features

Our commodity contracts contain collateral provisions tied to the Ameren Companies' credit ratings. If we were to experience an adverse change in our credit ratings, or if a counterparty with reasonable grounds for uncertainty regarding performance of an obligation requested adequate assurance of performance, additional collateral postings might be required. The following table presents, as of September 30, 2011, and December 31, 2010, the aggregate fair value of all derivative instruments with credit risk-related contingent features in a gross liability position, the cash collateral posted, and the aggregate amount of additional collateral that could be required to be posted with counterparties. The additional collateral required is the net liability position allowed under the master trading and netting agreements, assuming (1) the credit risk-related contingent features underlying these agreements were triggered on September 30, 2011, or December 31, 2010, and (2) those counterparties with rights to do so requested collateral:

 

     

Aggregate Fair Value of

Derivative Liabilities(a)

     

Cash

Collateral Posted

     

Potential Aggregate Amount of Additional

Collateral Required(b)

  

2011:

         

Ameren Missouri

    $ 78       $ 6         $                         53   

Ameren Illinois

      194         83         117   

Genco

      20         1         14   

Other(c)

      74         13         46   

Ameren

    $ 366       $ 103         $                       230   

2010:

         

Ameren Missouri

    $ 105       $ 7         $                        93   

Ameren Illinois

      233         109         111   

Genco

      31         -         28   

Other(c)

      62         18         42   

Ameren

    $ 431       $ 134         $                       274   

 

(a) Prior to consideration of master trading and netting agreements and including NPNS contract exposures.
(b) As collateral requirements with certain counterparties are based on master trading and netting agreements, the aggregate amount of additional collateral required to be posted is after consideration of the effects of such agreements.
(c) Includes amounts for Marketing Company and Ameren (parent).

Cash Flow Hedges

The following table presents the pretax net gain or loss for the three and nine months ended September 30, 2011, and 2010, associated with derivative instruments designated as cash flow hedges. See Note 11- Other Comprehensive Income for additional information regarding changes in OCI.

 

     

Gain (Loss)

Recognized in

OCI(a)

    

Location of (Gain) Loss

Reclassified from

OCI into Income(b)

   

(Gain) Loss

Reclassified from

OCI into Income(b)

     Location of Gain (Loss)
Recognized in Income(c)		   

Gain (Loss)

Recognized

in Income(c)

  

                             Three Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (5 )    Operating Revenues - Electric    $ (1 )    Operating Revenues - Electric    $ (8 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 5      Operating Revenues - Electric    $ (4 )    Operating Revenues - Electric    $ 7   

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

                             Nine Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (12 )    Operating Revenues - Electric    $ 1      Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 15      Operating Revenues - Electric    $ (18 )    Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

 

(a) Effective portion of gain (loss).
(b) Effective portion of (gain) loss on settlements.
(c) Ineffective portion of gain (loss) and amount excluded from effectiveness testing.
(d) Includes amounts from Ameren registrant and nonregistrant subsidiaries.
(e) Represents interest rate swaps settled in prior periods. The cumulative gain and loss on the interest rate swaps is being amortized into income over a 10-year period.
(f) Less than $1 million.

Other Derivatives

The following table represents the net change in market value for derivatives not designated as hedging instruments for the three and nine months ended September 30, 2011, and 2010:

 

           

Location of Gain (Loss)

Recognized in Income

   

Gain (Loss)

Recognized in Income

  
               Three Months           Nine Months  
                  2011     2010            2011     2010  
Ameren(a)    Heating oil    Operating Expenses - Fuel    $ (14 )    $ 7          $ (4 )    $ 1   
   Natural gas (generation)    Operating Expenses - Fuel      -        -            -        (1 ) 
     Power    Operating Revenues - Electric      2        13              (5 )      33   
         

Total

    $ (12 )    $ 20            $ (9 )    $ 33   
Ameren Missouri    Natural gas (generation)    Operating Expenses - Fuel    $ -      $ -          $ (1 )    $ 1   
    

Power

    Operating Revenues - Electric      -        -              -        (1 ) 
          Total    $ -      $ -            $ (1 )    $ -   
Genco    Heating oil    Operating Expenses - Fuel    $ (10 )    $ 5          $ (3 )    $ 1   
  

Natural gas (generation)

    Operating Expenses - Fuel      1        1            1        -   
    

Power

    Operating Revenues      (2 )      -              (3 )      1   
          Total    $ (11 )    $ 6            $ (5 )    $ 2   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

Derivatives that Qualify for Regulatory Deferral

The following table represents the net change in market value for derivatives that qualify for regulatory deferral for the three and nine months ended September 30, 2011, and 2010:

 

            Gain (Loss) Recognized in Regulatory  Liabilities or Regulatory Assets  
          Three Months          Nine Months  
                 2011     2010               2011         2010  

Ameren(a)

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      (11 )      (46 )         23        (127 ) 
  

Power

      13        (21 )         103        2   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (17 )    $ (55 )         $ 119      $ (123 ) 

Ameren Missouri            

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      -        (5 )         4        (16 ) 
  

Power

      (7 )      10           16        17   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (26 )    $ 17           $ 13      $ 3   

Ameren Illinois

    Natural gas    $ (11 )    $ (41 )       $ 19      $ (111 ) 
    

Power

      70        (59 )           218        (42 ) 
    

Total

    $ 59      $ (100 )         $ 237      $ (153 ) 

 

(a) Includes amounts for intercompany eliminations.

As part of the 2007 Illinois Electric Settlement Agreement and subsequent Illinois power procurement processes, Ameren Illinois entered into financial contracts with Marketing Company. These financial contracts are derivative instruments. They are accounted for as cash flow hedges by Marketing Company and as derivatives that qualify for regulatory deferral by Ameren Illinois. Consequently, Ameren Illinois and Marketing Company record the fair value of the contracts on their respective balance sheets and the changes to the fair value in regulatory assets or liabilities by Ameren Illinois and OCI by Marketing Company. In Ameren's consolidated financial statements, all financial statement effects of the derivative instruments entered into among affiliates were eliminated. See Note 14 - Related Party Transactions under Part II, Item 8 of the Form 10-K for additional information on these financial contracts. The following table presents the fair value of the financial contracts included on Ameren Illinois' balance sheet at September 30, 2011, and December 31, 2010:

 

            2011      2010  

AIC

    MTM derivative liabilities - affiliates    $ 166       $ 172   
     Other deferred credits and liabilities      52         178   
     Total    $             218       $             350   
Ameren Energy Generating Company [Member]
 
Derivative Financial Instruments

NOTE 6 - DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives principally to manage the risk of changes in market prices for natural gas, coal, diesel, power, and uranium. Such price fluctuations may cause the following:

 

•  

an unrealized appreciation or depreciation of our contracted commitments to purchase or sell when purchase or sale prices under the commitments are compared with current commodity prices;

 

•  

market values of coal, natural gas, and uranium inventories that differ from the cost of those commodities in inventory; and

 

•  

actual cash outlays for the purchase of these commodities that differ from anticipated cash outlays.

The derivatives that we use to hedge these risks are governed by our risk management policies for forward contracts, futures, options, and swaps. Our net positions are continually assessed within our structured hedging programs to determine whether new or offsetting transactions are required. The goal of the hedging program is generally to mitigate financial risks while ensuring that sufficient volumes are available to meet our requirements. Contracts we enter into as part of our risk management program may be settled financially, settled by physical delivery, or net settled with the counterparty.

 

The following table presents open gross derivative volumes by commodity type as of September 30, 2011, and December 31, 2010:

 

      Quantity (in millions, except as indicated)  
Commodity   

NPNS

Contracts(a)

     Cash Flow
Hedges(b)		     Other
Derivatives(c)		     Derivatives That Qualify for
Regulatory Deferral(d)		  
     2011     2010     2011     2010     2011     2010     2011     2010  

Coal (in tons)

                 

Ameren Missouri

      122        46        (e )      (e )      (e )      (e )      (e )      (e ) 

Genco

                      27                        21                        (e )                      (e )                      (e )                      (e )                      (e )                      (e ) 

Other(f)

      8        6        (e )      (e )      (e )      (e )      (e )      (e ) 

Ameren

      157        73        (e )      (e )      (e )      (e )      (e )      (e ) 

Heating oil (in gallons)

                 

Ameren Missouri

      (e )      (e )      (e )      (e )      (e )      (e )      62        80   

Genco

      (e )      (e )      (e )      (e )      33        43        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      10        12        (e )      (e ) 

Ameren

      (e )      (e )      (e )      (e )      43        55        62        80   

Natural gas (in mmbtu)

                 

Ameren Missouri

      9        13        (e )      (e )      1        2        19        21   

Ameren Illinois

      51        85        (e )      (e )      (e )      (e )      188        173   

Genco

      (e )      (e )      (e )      (e )      5        3        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      20        16        (e )      (e ) 

Ameren

      60        98        (e )      (e )      26        21        207        194   

Power (in megawatthours)

                 

Ameren Missouri

      1        2        (e )      (e )      -        1        5        5   

Ameren Illinois

      12        (e )      (e )      (e )      (e )      (e )      27        26   

Genco

      (e )      (e )      (e )      (e )      -        3        (e )      (e ) 

Other(f)

      60        61        17        2        32        57        (11 )      (13 ) 

Ameren

      73        63        17        2        32        61        21        18   

Uranium (pounds in thousands)

                 

Ameren Missouri & Ameren

      5,710        5,810        (e )      (e )      (e )      (e )      308        185   

 

(a) Contracts through December 2017, March 2015, September 2035, and October 2024 for coal, natural gas, power, and uranium, respectively, as of September 30, 2011.
(b) Contracts through December 2013 for power as of September 30, 2011.
(c) Contracts through October 2014, December 2012, and April 2015 for heating oil, natural gas, and power, respectively, as of September 30, 2011.
(d) Contracts through December 2013, October 2016, May 2032 and December 2013 for heating oil, natural gas, power, and uranium, respectively, as of September 30, 2011.
(e) Not applicable.
(f) Includes AERG contracts for coal and heating oil, Marketing Company contracts for natural gas and power, and intercompany eliminations for power.

Authoritative guidance regarding derivative instruments requires that all contracts considered to be derivative instruments be recorded on the balance sheet at their fair values, unless the NPNS exception applies. See Note 7 - Fair Value Measurements for our methods of assessing the fair value of derivative instruments. Many of our physical contracts, such as our coal and purchased power contracts, qualify for the NPNS exception to derivative accounting rules. The revenue or expense on NPNS contracts is recognized at the contract price upon physical delivery.

If we determine that a contract meets the definition of a derivative and is not eligible for the NPNS exception, we review the contract to determine if it qualifies for hedge accounting. We also consider whether gains or losses resulting from such derivatives qualify for regulatory deferral. Contracts that qualify for cash flow hedge accounting are recorded at fair value with changes in fair value charged or credited to accumulated OCI in the period in which the change occurs, to the extent the hedge is effective. To the extent the hedge is ineffective, the related changes in fair value are charged or credited to the statement of income in the period in which the change occurs. When the contract is settled or delivered, the net gain or loss is recorded in the statement of income.

Derivative contracts that qualify for regulatory deferral are recorded at fair value, with changes in fair value charged or credited to regulatory assets or regulatory liabilities in the period in which the change occurs. Ameren Missouri and Ameren Illinois believe derivative gains and losses deferred as regulatory assets and regulatory liabilities are probable of recovery or refund through future rates charged to customers. Regulatory assets and regulatory liabilities are amortized to operating income as related losses and gains are reflected in rates charged to customers. Therefore, gains and losses on these derivatives have no effect on operating income.

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for the NPNS exception, hedge accounting, or regulatory deferral accounting. Such contracts are recorded at fair value, with changes in fair value charged or credited to the statement of income in the period in which the change occurs.

The following table presents the carrying value and balance sheet location of all derivative instruments as of September 30, 2011, and December 31, 2010:

 

Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri
      Balance Sheet Location   

Ameren(a)

      Ameren Missouri     Ameren Illinois     Genco  

2011:

          

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 7       $ (b )    $ (b )    $ -   
  

Other assets

      3         -        -        -   
    

Total assets

    $ 10       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 3       $ (b )    $ -      $ -   
  

Other deferred credits and liabilities

      8         -        -        -   
    

Total liabilities

    $ 11       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 28       $ (b )    $ (b )    $ 9   
  

Other current assets

      -         17        -        -   
  

Other assets

      9         6        -        2   

Natural gas

    MTM derivative assets      6         (b )      (b )      1   
  

Other current assets

      -         -        2        -   
  

Other assets

      -         -        -        -   

Power

    MTM derivative assets      53         (b )      (b )      -   
  

Other current assets

      -         23        1        -   
  

Other assets

      104         2        87        -   
    

Total assets

    $ 200       $ 48      $ 90      $ 12   

Derivative liabilities not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative liabilities    $ 4       $ (b )    $ -      $ 2   
  

Other current liabilities

      -         2        -        -   
  

Other deferred credits and liabilities

      3         1        -        1   

Natural gas

    MTM derivative liabilities      84         (b )      69        1   
  

Other current liabilities

      -         10        -        -   
  

Other deferred credits and liabilities

      66         10        55        -   

Power

    MTM derivative liabilities      27         (b )      4        -   
  

MTM derivative liabilities - affiliates

      -         (b )      166        -   
  

Other current liabilities

      -         5        -        -   
  

Other deferred credits and liabilities

      13         1        52        -   
  

Other deferred credits and liabilities

      1         1        -        -   
    

Total liabilities

    $ 198       $ 30      $ 346      $ 4   

2010:

             

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 3       $ (b )    $ (b )    $ -   
  

Other assets

      2         -        -        -   
    

Total assets

    $ 5       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 1       $ (b )    $ -      $ -   
    

Total liabilities

    $ 1       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 42       $ (b )    $ (b )    $ 14   
  

Other current assets

      -         24        -        -   
  

Other assets

      22         13        -        7   

Natural gas

    MTM derivative assets      4         (b )      (b )      1   
  

Other current assets

      -         1        1        -   
  

Other assets

      1         -        1        -   

Power

    MTM derivative assets      78         (b )      (b )      11   
  

Other current assets

      -         8        2        -   
    

Other assets

                                20         -        6                                 -   

Uranium

    MTM derivative assets      2        (b )      (b )      -   
     Other current assets      -        2        -        -   
     Total assets    $ 169      $ 48      $ 10      $ 33   

Derivative liabilities not designated as hedging instruments(c)

         

Commodity contracts:

            

Heating oil

    MTM derivative liabilities    $ 12      $ (b )    $ -      $ 4   
   Other current liabilities      -        7        -        -   
   Other deferred credits and liabilities      1        -        -        -   

Natural gas

    MTM derivative liabilities      87        (b )      73        2   
   Other current liabilities      -        11        -        -   
   Other deferred credits and liabilities      84        13        70        -   

Power

    MTM derivative liabilities      61        (b )      9        3   
   MTM derivative liabilities - affiliates      (b )      (b )      172        5   
   Other current liabilities      -        6        -        -   
     Other deferred credits and liabilities      7        -        179        -   
     Total liabilities    $                        252      $ 37      $ 503      $                        14   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.
(b) Balance sheet line item not applicable to registrant.
(c) Includes derivatives subject to regulatory deferral.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments in accumulated OCI and regulatory assets or regulatory liabilities as of September 30, 2011, and December 31, 2010:

 

     

Ameren

    

Ameren Missouri

    

Ameren Illinois

    

Genco

    

Other(a)

  

2011:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 3      $ -      $ -      $ -      $ 3   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      15        15        -        -        -   

Natural gas derivative contracts(f)

      (142 )      (20 )      (122 )      -        -   

Power derivative contracts(g)

      104        19        (134 )      -        219   

Uranium derivative contracts(h)

      (1 )      (1 )      -        -        -   

2010:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 8      $ -      $ -      $ -      $ 8   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      19        19        -        -        -   

Natural gas derivative contracts(f)

      (165 )      (24 )      (141 )      -        -   

Power derivative contracts(g)

      1        3        (352 )      -        350   

Uranium derivative contracts(h)

      2        2        -        -        -   

 

(a) Includes amounts for Marketing Company and intercompany eliminations.
(b) Represents net gains associated with power derivative contracts at Ameren. These contracts are a partial hedge of electricity price exposure through December 2013 as of September 30, 2011. Current gains of $3 million and $8 million were recorded at Ameren as of September 30, 2011, and December 31, 2010, respectively.
(c) Includes net gains associated with interest rate swaps at Genco that were a partial hedge of the interest rate on debt issued in June 2002. The swaps cover the first 10 years of debt that has a 30-year maturity, and the gain in OCI is amortized over a 10-year period that began in June 2002. The carrying value at September 30, 2011, and December 31, 2010, was less than $1 million and less than $1 million, respectively. The balance of the gain will be amortized by June 2012.
(d) Includes net losses associated with interest rate swaps at Genco. The swaps were executed during the fourth quarter of 2007 as a partial hedge of interest rate risks associated with Genco's April 2008 debt issuance. The loss on the interest rate swaps is being amortized over a 10-year period that began in April 2008. The carrying value at September 30, 2011, and December 31, 2010, was a loss of $9 million and $10 million, respectively. Over the next twelve months, $1.4 million of the loss will be amortized.
(e) Represents net gains on heating oil derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri's transportation costs for coal through December 2013 as of September 30, 2011. Current gains deferred as regulatory liabilities include $14 million and $14 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current losses deferred as regulatory assets include $2 million and $2 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $13 million and $13 million at Ameren and Ameren Missouri as of December 31, 2010, respectively. Current losses deferred as regulatory assets include $6 million and $6 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.
(f) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through October 2016 at Ameren, Ameren Missouri, and Ameren Illinois, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $78 million, $9 million, and $69 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $1 million and $1 million at Ameren and Ameren Missouri, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $84 million, $11 million, and $73 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.

 

(g) Represents net gains associated with power derivative contracts. These contracts are a partial hedge of power price requirements through May 2032 at Ameren and Ameren Illinois and through December 2012 at Ameren Missouri, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $24 million, $23 million, and $1 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $9 million, $4 million, and $170 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $8 million, $6 million, and $2 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $13 million, $3 million, and $181 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.
(h) Represents net losses and gains on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of our uranium requirements through December 2013 as of September 30, 2011. Current losses deferred as regulatory assets include less than $1 million and less than $1 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.

Derivative instruments are subject to various credit-related losses in the event of nonperformance by counterparties to the transaction. Exchange-traded contracts are supported by the financial and credit quality of the clearing members of the respective exchanges and have nominal credit risk. In all other transactions, we are exposed to credit risk. Our credit risk management program involves establishing credit limits and collateral requirements for counterparties, using master trading and netting agreements, and reporting daily exposure to senior management.

We believe that entering into master trading and netting agreements mitigates the level of financial loss that could result from default by allowing net settlement of derivative assets and liabilities. We generally enter into the following master trading and netting agreements: (1) International Swaps and Derivatives Association Agreement, a standardized financial natural gas and electric contract; (2) the Master Power Purchase and Sale Agreement created by the Edison Electric Institute and the National Energy Marketers Association, a standardized contract for the purchase and sale of wholesale power; and (3) North American Energy Standards Board Inc. Agreement, a standardized contract for the purchase and sale of natural gas. These master trading and netting agreements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at a master trading and netting agreement level by counterparty.

Concentrations of Credit Risk

In determining our concentrations of credit risk related to derivative instruments, we review our individual counterparties and categorize each counterparty into one of eight groupings according to the primary business in which each engages. The following table presents the maximum exposure, as of September 30, 2011, and December 31, 2010, if counterparty groups were to completely fail to perform on contracts by grouping. The maximum exposure is based on the gross fair value of financial instruments, including NPNS contracts, which excludes collateral held, and does not consider the legally binding right to net transactions based on master trading and netting agreements.

 

      Affiliates(a)     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 167       $ 2       $ 2       $ 24       $ 4       $ -       $ -       $ 199    

AIC

      -         -         119         -         1         -         1         -         121    

Genco

      -         19         1         -         8         -         2         -         30    

Other(b)

      272         12         7         6         33         287         -         60         677    

Ameren

    $ 272       $ 198       $ 129       $ 8       $ 66       $ 291       $ 3       $ 60       $     1,027    

2010:

                           

AMO

    $ -       $ 21       $ 1       $ 2       $ 5       $ 11       $ 1       $ -       $ 41    

AIC

      -         -         3         -         1         -         -         -         4    

Genco

      -         6         2         1         1         -         6         -         16    

Other(b)

      410         3         10         19         65         539         3         72         1,121    

Ameren

    $ 410       $ 30       $ 16       $ 22       $ 72       $ 550       $ 10       $ 72       $ 1,182    

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

 

The following table presents the amount of cash collateral held from counterparties, as of September 30, 2011, and December 31, 2010, based on the contractual rights under the agreements to seek collateral and the maximum exposure as calculated under the individual master trading and netting agreements:

 

      Affiliates     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

     

Oil and Gas

Companies

     

Retail

Companies

      Total  

2011:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -    

2010:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ 1       $ 1    

 

(a) Represents amounts held by Marketing Company. As of September 30, 2011, and December 31, 2010, Ameren registrant subsidiaries held no cash collateral.

The potential loss on counterparty exposures is reduced by all collateral held and the application of master trading and netting agreements. Collateral includes both cash collateral and other collateral held. As of September 30, 2011, other collateral consisted of letters of credit in the amount of $10 million, $1 million, $2 million, and $7 million held by Ameren, Ameren Missouri, Genco, and Marketing Company respectively. As of December 31, 2010, other collateral consisted of letters of credit in the amount of $28 million and $1 million held by Ameren and Ameren Illinois, respectively. The following table presents the potential loss after consideration of collateral and application of master trading and netting agreements as of September 30, 2011, and December 31, 2010:

 

      Affiliates(a)     

Coal

Producers

     

Commodity
Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 158       $ -       $ 1       $ 18       $ 3       $ -       $ -       $ 180   

AIC

      -         -         119         -         -         -         -         -         119   

Genco

      -         12         -         -         3         -         2         -         17   

Other(b)

      272         9         7         4         20         171         -         59         542   

Ameren

    $ 272       $ 179       $ 126       $ 5       $ 41       $ 174       $ 2       $ 59       $ 858   

2010:

                           

AMO

    $ -       $ 8       $ -       $ 1       $ 2       $ 10       $ -       $ -       $ 21   

AIC

      -         -         2         -         -         -         -         -         2   

Genco

      -         1         1         1         1         -         5         -         9   

Other(b)

      404         1         8         7         56         513         2         71         1,062   

Ameren

    $ 404       $ 10       $ 11       $ 9       $ 59       $ 523       $ 7       $ 71       $     1,094   

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

Derivative Instruments with Credit Risk-Related Contingent Features

Our commodity contracts contain collateral provisions tied to the Ameren Companies' credit ratings. If we were to experience an adverse change in our credit ratings, or if a counterparty with reasonable grounds for uncertainty regarding performance of an obligation requested adequate assurance of performance, additional collateral postings might be required. The following table presents, as of September 30, 2011, and December 31, 2010, the aggregate fair value of all derivative instruments with credit risk-related contingent features in a gross liability position, the cash collateral posted, and the aggregate amount of additional collateral that could be required to be posted with counterparties. The additional collateral required is the net liability position allowed under the master trading and netting agreements, assuming (1) the credit risk-related contingent features underlying these agreements were triggered on September 30, 2011, or December 31, 2010, and (2) those counterparties with rights to do so requested collateral:

 

     

Aggregate Fair Value of

Derivative Liabilities(a)

     

Cash

Collateral Posted

     

Potential Aggregate Amount of Additional

Collateral Required(b)

  

2011:

         

Ameren Missouri

    $ 78       $ 6         $                         53   

Ameren Illinois

      194         83         117   

Genco

      20         1         14   

Other(c)

      74         13         46   

Ameren

    $ 366       $ 103         $                       230   

2010:

         

Ameren Missouri

    $ 105       $ 7         $                        93   

Ameren Illinois

      233         109         111   

Genco

      31         -         28   

Other(c)

      62         18         42   

Ameren

    $ 431       $ 134         $                       274   

 

(a) Prior to consideration of master trading and netting agreements and including NPNS contract exposures.
(b) As collateral requirements with certain counterparties are based on master trading and netting agreements, the aggregate amount of additional collateral required to be posted is after consideration of the effects of such agreements.
(c) Includes amounts for Marketing Company and Ameren (parent).

Cash Flow Hedges

The following table presents the pretax net gain or loss for the three and nine months ended September 30, 2011, and 2010, associated with derivative instruments designated as cash flow hedges. See Note 11- Other Comprehensive Income for additional information regarding changes in OCI.

 

     

Gain (Loss)

Recognized in

OCI(a)

    

Location of (Gain) Loss

Reclassified from

OCI into Income(b)

   

(Gain) Loss

Reclassified from

OCI into Income(b)

     Location of Gain (Loss)
Recognized in Income(c)		   

Gain (Loss)

Recognized

in Income(c)

  

                             Three Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (5 )    Operating Revenues - Electric    $ (1 )    Operating Revenues - Electric    $ (8 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 5      Operating Revenues - Electric    $ (4 )    Operating Revenues - Electric    $ 7   

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

                             Nine Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (12 )    Operating Revenues - Electric    $ 1      Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 15      Operating Revenues - Electric    $ (18 )    Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

 

(a) Effective portion of gain (loss).
(b) Effective portion of (gain) loss on settlements.
(c) Ineffective portion of gain (loss) and amount excluded from effectiveness testing.
(d) Includes amounts from Ameren registrant and nonregistrant subsidiaries.
(e) Represents interest rate swaps settled in prior periods. The cumulative gain and loss on the interest rate swaps is being amortized into income over a 10-year period.
(f) Less than $1 million.

Other Derivatives

The following table represents the net change in market value for derivatives not designated as hedging instruments for the three and nine months ended September 30, 2011, and 2010:

 

           

Location of Gain (Loss)

Recognized in Income

   

Gain (Loss)

Recognized in Income

  
               Three Months           Nine Months  
                  2011     2010            2011     2010  
Ameren(a)    Heating oil    Operating Expenses - Fuel    $ (14 )    $ 7          $ (4 )    $ 1   
   Natural gas (generation)    Operating Expenses - Fuel      -        -            -        (1 ) 
     Power    Operating Revenues - Electric      2        13              (5 )      33   
         

Total

    $ (12 )    $ 20            $ (9 )    $ 33   
Ameren Missouri    Natural gas (generation)    Operating Expenses - Fuel    $ -      $ -          $ (1 )    $ 1   
    

Power

    Operating Revenues - Electric      -        -              -        (1 ) 
          Total    $ -      $ -            $ (1 )    $ -   
Genco    Heating oil    Operating Expenses - Fuel    $ (10 )    $ 5          $ (3 )    $ 1   
  

Natural gas (generation)

    Operating Expenses - Fuel      1        1            1        -   
    

Power

    Operating Revenues      (2 )      -              (3 )      1   
          Total    $ (11 )    $ 6            $ (5 )    $ 2   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

Derivatives that Qualify for Regulatory Deferral

The following table represents the net change in market value for derivatives that qualify for regulatory deferral for the three and nine months ended September 30, 2011, and 2010:

 

            Gain (Loss) Recognized in Regulatory  Liabilities or Regulatory Assets  
          Three Months          Nine Months  
                 2011     2010               2011         2010  

Ameren(a)

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      (11 )      (46 )         23        (127 ) 
  

Power

      13        (21 )         103        2   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (17 )    $ (55 )         $ 119      $ (123 ) 

Ameren Missouri            

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      -        (5 )         4        (16 ) 
  

Power

      (7 )      10           16        17   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (26 )    $ 17           $ 13      $ 3   

Ameren Illinois

    Natural gas    $ (11 )    $ (41 )       $ 19      $ (111 ) 
    

Power

      70        (59 )           218        (42 ) 
    

Total

    $ 59      $ (100 )         $ 237      $ (153 ) 

 

(a) Includes amounts for intercompany eliminations.

As part of the 2007 Illinois Electric Settlement Agreement and subsequent Illinois power procurement processes, Ameren Illinois entered into financial contracts with Marketing Company. These financial contracts are derivative instruments. They are accounted for as cash flow hedges by Marketing Company and as derivatives that qualify for regulatory deferral by Ameren Illinois. Consequently, Ameren Illinois and Marketing Company record the fair value of the contracts on their respective balance sheets and the changes to the fair value in regulatory assets or liabilities by Ameren Illinois and OCI by Marketing Company. In Ameren's consolidated financial statements, all financial statement effects of the derivative instruments entered into among affiliates were eliminated. See Note 14 - Related Party Transactions under Part II, Item 8 of the Form 10-K for additional information on these financial contracts. The following table presents the fair value of the financial contracts included on Ameren Illinois' balance sheet at September 30, 2011, and December 31, 2010:

 

            2011      2010  

AIC

    MTM derivative liabilities - affiliates    $ 166       $ 172   
     Other deferred credits and liabilities      52         178   
     Total    $             218       $             350   
Ameren Illinois Company [Member]
 
Derivative Financial Instruments

NOTE 6 - DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives principally to manage the risk of changes in market prices for natural gas, coal, diesel, power, and uranium. Such price fluctuations may cause the following:

 

•  

an unrealized appreciation or depreciation of our contracted commitments to purchase or sell when purchase or sale prices under the commitments are compared with current commodity prices;

 

•  

market values of coal, natural gas, and uranium inventories that differ from the cost of those commodities in inventory; and

 

•  

actual cash outlays for the purchase of these commodities that differ from anticipated cash outlays.

The derivatives that we use to hedge these risks are governed by our risk management policies for forward contracts, futures, options, and swaps. Our net positions are continually assessed within our structured hedging programs to determine whether new or offsetting transactions are required. The goal of the hedging program is generally to mitigate financial risks while ensuring that sufficient volumes are available to meet our requirements. Contracts we enter into as part of our risk management program may be settled financially, settled by physical delivery, or net settled with the counterparty.

 

The following table presents open gross derivative volumes by commodity type as of September 30, 2011, and December 31, 2010:

 

      Quantity (in millions, except as indicated)  
Commodity   

NPNS

Contracts(a)

     Cash Flow
Hedges(b)		     Other
Derivatives(c)		     Derivatives That Qualify for
Regulatory Deferral(d)		  
     2011     2010     2011     2010     2011     2010     2011     2010  

Coal (in tons)

                 

Ameren Missouri

      122        46        (e )      (e )      (e )      (e )      (e )      (e ) 

Genco

                      27                        21                        (e )                      (e )                      (e )                      (e )                      (e )                      (e ) 

Other(f)

      8        6        (e )      (e )      (e )      (e )      (e )      (e ) 

Ameren

      157        73        (e )      (e )      (e )      (e )      (e )      (e ) 

Heating oil (in gallons)

                 

Ameren Missouri

      (e )      (e )      (e )      (e )      (e )      (e )      62        80   

Genco

      (e )      (e )      (e )      (e )      33        43        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      10        12        (e )      (e ) 

Ameren

      (e )      (e )      (e )      (e )      43        55        62        80   

Natural gas (in mmbtu)

                 

Ameren Missouri

      9        13        (e )      (e )      1        2        19        21   

Ameren Illinois

      51        85        (e )      (e )      (e )      (e )      188        173   

Genco

      (e )      (e )      (e )      (e )      5        3        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      20        16        (e )      (e ) 

Ameren

      60        98        (e )      (e )      26        21        207        194   

Power (in megawatthours)

                 

Ameren Missouri

      1        2        (e )      (e )      -        1        5        5   

Ameren Illinois

      12        (e )      (e )      (e )      (e )      (e )      27        26   

Genco

      (e )      (e )      (e )      (e )      -        3        (e )      (e ) 

Other(f)

      60        61        17        2        32        57        (11 )      (13 ) 

Ameren

      73        63        17        2        32        61        21        18   

Uranium (pounds in thousands)

                 

Ameren Missouri & Ameren

      5,710        5,810        (e )      (e )      (e )      (e )      308        185   

 

(a) Contracts through December 2017, March 2015, September 2035, and October 2024 for coal, natural gas, power, and uranium, respectively, as of September 30, 2011.
(b) Contracts through December 2013 for power as of September 30, 2011.
(c) Contracts through October 2014, December 2012, and April 2015 for heating oil, natural gas, and power, respectively, as of September 30, 2011.
(d) Contracts through December 2013, October 2016, May 2032 and December 2013 for heating oil, natural gas, power, and uranium, respectively, as of September 30, 2011.
(e) Not applicable.
(f) Includes AERG contracts for coal and heating oil, Marketing Company contracts for natural gas and power, and intercompany eliminations for power.

Authoritative guidance regarding derivative instruments requires that all contracts considered to be derivative instruments be recorded on the balance sheet at their fair values, unless the NPNS exception applies. See Note 7 - Fair Value Measurements for our methods of assessing the fair value of derivative instruments. Many of our physical contracts, such as our coal and purchased power contracts, qualify for the NPNS exception to derivative accounting rules. The revenue or expense on NPNS contracts is recognized at the contract price upon physical delivery.

If we determine that a contract meets the definition of a derivative and is not eligible for the NPNS exception, we review the contract to determine if it qualifies for hedge accounting. We also consider whether gains or losses resulting from such derivatives qualify for regulatory deferral. Contracts that qualify for cash flow hedge accounting are recorded at fair value with changes in fair value charged or credited to accumulated OCI in the period in which the change occurs, to the extent the hedge is effective. To the extent the hedge is ineffective, the related changes in fair value are charged or credited to the statement of income in the period in which the change occurs. When the contract is settled or delivered, the net gain or loss is recorded in the statement of income.

Derivative contracts that qualify for regulatory deferral are recorded at fair value, with changes in fair value charged or credited to regulatory assets or regulatory liabilities in the period in which the change occurs. Ameren Missouri and Ameren Illinois believe derivative gains and losses deferred as regulatory assets and regulatory liabilities are probable of recovery or refund through future rates charged to customers. Regulatory assets and regulatory liabilities are amortized to operating income as related losses and gains are reflected in rates charged to customers. Therefore, gains and losses on these derivatives have no effect on operating income.

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for the NPNS exception, hedge accounting, or regulatory deferral accounting. Such contracts are recorded at fair value, with changes in fair value charged or credited to the statement of income in the period in which the change occurs.

The following table presents the carrying value and balance sheet location of all derivative instruments as of September 30, 2011, and December 31, 2010:

 

Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri
      Balance Sheet Location   

Ameren(a)

      Ameren Missouri     Ameren Illinois     Genco  

2011:

          

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 7       $ (b )    $ (b )    $ -   
  

Other assets

      3         -        -        -   
    

Total assets

    $ 10       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 3       $ (b )    $ -      $ -   
  

Other deferred credits and liabilities

      8         -        -        -   
    

Total liabilities

    $ 11       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 28       $ (b )    $ (b )    $ 9   
  

Other current assets

      -         17        -        -   
  

Other assets

      9         6        -        2   

Natural gas

    MTM derivative assets      6         (b )      (b )      1   
  

Other current assets

      -         -        2        -   
  

Other assets

      -         -        -        -   

Power

    MTM derivative assets      53         (b )      (b )      -   
  

Other current assets

      -         23        1        -   
  

Other assets

      104         2        87        -   
    

Total assets

    $ 200       $ 48      $ 90      $ 12   

Derivative liabilities not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative liabilities    $ 4       $ (b )    $ -      $ 2   
  

Other current liabilities

      -         2        -        -   
  

Other deferred credits and liabilities

      3         1        -        1   

Natural gas

    MTM derivative liabilities      84         (b )      69        1   
  

Other current liabilities

      -         10        -        -   
  

Other deferred credits and liabilities

      66         10        55        -   

Power

    MTM derivative liabilities      27         (b )      4        -   
  

MTM derivative liabilities - affiliates

      -         (b )      166        -   
  

Other current liabilities

      -         5        -        -   
  

Other deferred credits and liabilities

      13         1        52        -   
  

Other deferred credits and liabilities

      1         1        -        -   
    

Total liabilities

    $ 198       $ 30      $ 346      $ 4   

2010:

             

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 3       $ (b )    $ (b )    $ -   
  

Other assets

      2         -        -        -   
    

Total assets

    $ 5       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 1       $ (b )    $ -      $ -   
    

Total liabilities

    $ 1       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 42       $ (b )    $ (b )    $ 14   
  

Other current assets

      -         24        -        -   
  

Other assets

      22         13        -        7   

Natural gas

    MTM derivative assets      4         (b )      (b )      1   
  

Other current assets

      -         1        1        -   
  

Other assets

      1         -        1        -   

Power

    MTM derivative assets      78         (b )      (b )      11   
  

Other current assets

      -         8        2        -   
    

Other assets

                                20         -        6                                 -   

Uranium

    MTM derivative assets      2        (b )      (b )      -   
     Other current assets      -        2        -        -   
     Total assets    $ 169      $ 48      $ 10      $ 33   

Derivative liabilities not designated as hedging instruments(c)

         

Commodity contracts:

            

Heating oil

    MTM derivative liabilities    $ 12      $ (b )    $ -      $ 4   
   Other current liabilities      -        7        -        -   
   Other deferred credits and liabilities      1        -        -        -   

Natural gas

    MTM derivative liabilities      87        (b )      73        2   
   Other current liabilities      -        11        -        -   
   Other deferred credits and liabilities      84        13        70        -   

Power

    MTM derivative liabilities      61        (b )      9        3   
   MTM derivative liabilities - affiliates      (b )      (b )      172        5   
   Other current liabilities      -        6        -        -   
     Other deferred credits and liabilities      7        -        179        -   
     Total liabilities    $                        252      $ 37      $ 503      $                        14   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.
(b) Balance sheet line item not applicable to registrant.
(c) Includes derivatives subject to regulatory deferral.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments in accumulated OCI and regulatory assets or regulatory liabilities as of September 30, 2011, and December 31, 2010:

 

     

Ameren

    

Ameren Missouri

    

Ameren Illinois

    

Genco

    

Other(a)

  

2011:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 3      $ -      $ -      $ -      $ 3   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      15        15        -        -        -   

Natural gas derivative contracts(f)

      (142 )      (20 )      (122 )      -        -   

Power derivative contracts(g)

      104        19        (134 )      -        219   

Uranium derivative contracts(h)

      (1 )      (1 )      -        -        -   

2010:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 8      $ -      $ -      $ -      $ 8   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      19        19        -        -        -   

Natural gas derivative contracts(f)

      (165 )      (24 )      (141 )      -        -   

Power derivative contracts(g)

      1        3        (352 )      -        350   

Uranium derivative contracts(h)

      2        2        -        -        -   

 

(a) Includes amounts for Marketing Company and intercompany eliminations.
(b) Represents net gains associated with power derivative contracts at Ameren. These contracts are a partial hedge of electricity price exposure through December 2013 as of September 30, 2011. Current gains of $3 million and $8 million were recorded at Ameren as of September 30, 2011, and December 31, 2010, respectively.
(c) Includes net gains associated with interest rate swaps at Genco that were a partial hedge of the interest rate on debt issued in June 2002. The swaps cover the first 10 years of debt that has a 30-year maturity, and the gain in OCI is amortized over a 10-year period that began in June 2002. The carrying value at September 30, 2011, and December 31, 2010, was less than $1 million and less than $1 million, respectively. The balance of the gain will be amortized by June 2012.
(d) Includes net losses associated with interest rate swaps at Genco. The swaps were executed during the fourth quarter of 2007 as a partial hedge of interest rate risks associated with Genco's April 2008 debt issuance. The loss on the interest rate swaps is being amortized over a 10-year period that began in April 2008. The carrying value at September 30, 2011, and December 31, 2010, was a loss of $9 million and $10 million, respectively. Over the next twelve months, $1.4 million of the loss will be amortized.
(e) Represents net gains on heating oil derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri's transportation costs for coal through December 2013 as of September 30, 2011. Current gains deferred as regulatory liabilities include $14 million and $14 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current losses deferred as regulatory assets include $2 million and $2 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $13 million and $13 million at Ameren and Ameren Missouri as of December 31, 2010, respectively. Current losses deferred as regulatory assets include $6 million and $6 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.
(f) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through October 2016 at Ameren, Ameren Missouri, and Ameren Illinois, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $78 million, $9 million, and $69 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $1 million and $1 million at Ameren and Ameren Missouri, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $84 million, $11 million, and $73 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.

 

(g) Represents net gains associated with power derivative contracts. These contracts are a partial hedge of power price requirements through May 2032 at Ameren and Ameren Illinois and through December 2012 at Ameren Missouri, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $24 million, $23 million, and $1 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $9 million, $4 million, and $170 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $8 million, $6 million, and $2 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $13 million, $3 million, and $181 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.
(h) Represents net losses and gains on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of our uranium requirements through December 2013 as of September 30, 2011. Current losses deferred as regulatory assets include less than $1 million and less than $1 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.

Derivative instruments are subject to various credit-related losses in the event of nonperformance by counterparties to the transaction. Exchange-traded contracts are supported by the financial and credit quality of the clearing members of the respective exchanges and have nominal credit risk. In all other transactions, we are exposed to credit risk. Our credit risk management program involves establishing credit limits and collateral requirements for counterparties, using master trading and netting agreements, and reporting daily exposure to senior management.

We believe that entering into master trading and netting agreements mitigates the level of financial loss that could result from default by allowing net settlement of derivative assets and liabilities. We generally enter into the following master trading and netting agreements: (1) International Swaps and Derivatives Association Agreement, a standardized financial natural gas and electric contract; (2) the Master Power Purchase and Sale Agreement created by the Edison Electric Institute and the National Energy Marketers Association, a standardized contract for the purchase and sale of wholesale power; and (3) North American Energy Standards Board Inc. Agreement, a standardized contract for the purchase and sale of natural gas. These master trading and netting agreements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at a master trading and netting agreement level by counterparty.

Concentrations of Credit Risk

In determining our concentrations of credit risk related to derivative instruments, we review our individual counterparties and categorize each counterparty into one of eight groupings according to the primary business in which each engages. The following table presents the maximum exposure, as of September 30, 2011, and December 31, 2010, if counterparty groups were to completely fail to perform on contracts by grouping. The maximum exposure is based on the gross fair value of financial instruments, including NPNS contracts, which excludes collateral held, and does not consider the legally binding right to net transactions based on master trading and netting agreements.

 

      Affiliates(a)     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 167       $ 2       $ 2       $ 24       $ 4       $ -       $ -       $ 199    

AIC

      -         -         119         -         1         -         1         -         121    

Genco

      -         19         1         -         8         -         2         -         30    

Other(b)

      272         12         7         6         33         287         -         60         677    

Ameren

    $ 272       $ 198       $ 129       $ 8       $ 66       $ 291       $ 3       $ 60       $     1,027    

2010:

                           

AMO

    $ -       $ 21       $ 1       $ 2       $ 5       $ 11       $ 1       $ -       $ 41    

AIC

      -         -         3         -         1         -         -         -         4    

Genco

      -         6         2         1         1         -         6         -         16    

Other(b)

      410         3         10         19         65         539         3         72         1,121    

Ameren

    $ 410       $ 30       $ 16       $ 22       $ 72       $ 550       $ 10       $ 72       $ 1,182    

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

 

The following table presents the amount of cash collateral held from counterparties, as of September 30, 2011, and December 31, 2010, based on the contractual rights under the agreements to seek collateral and the maximum exposure as calculated under the individual master trading and netting agreements:

 

      Affiliates     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

     

Oil and Gas

Companies

     

Retail

Companies

      Total  

2011:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -    

2010:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ 1       $ 1    

 

(a) Represents amounts held by Marketing Company. As of September 30, 2011, and December 31, 2010, Ameren registrant subsidiaries held no cash collateral.

The potential loss on counterparty exposures is reduced by all collateral held and the application of master trading and netting agreements. Collateral includes both cash collateral and other collateral held. As of September 30, 2011, other collateral consisted of letters of credit in the amount of $10 million, $1 million, $2 million, and $7 million held by Ameren, Ameren Missouri, Genco, and Marketing Company respectively. As of December 31, 2010, other collateral consisted of letters of credit in the amount of $28 million and $1 million held by Ameren and Ameren Illinois, respectively. The following table presents the potential loss after consideration of collateral and application of master trading and netting agreements as of September 30, 2011, and December 31, 2010:

 

      Affiliates(a)     

Coal

Producers

     

Commodity
Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 158       $ -       $ 1       $ 18       $ 3       $ -       $ -       $ 180   

AIC

      -         -         119         -         -         -         -         -         119   

Genco

      -         12         -         -         3         -         2         -         17   

Other(b)

      272         9         7         4         20         171         -         59         542   

Ameren

    $ 272       $ 179       $ 126       $ 5       $ 41       $ 174       $ 2       $ 59       $ 858   

2010:

                           

AMO

    $ -       $ 8       $ -       $ 1       $ 2       $ 10       $ -       $ -       $ 21   

AIC

      -         -         2         -         -         -         -         -         2   

Genco

      -         1         1         1         1         -         5         -         9   

Other(b)

      404         1         8         7         56         513         2         71         1,062   

Ameren

    $ 404       $ 10       $ 11       $ 9       $ 59       $ 523       $ 7       $ 71       $     1,094   

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

Derivative Instruments with Credit Risk-Related Contingent Features

Our commodity contracts contain collateral provisions tied to the Ameren Companies' credit ratings. If we were to experience an adverse change in our credit ratings, or if a counterparty with reasonable grounds for uncertainty regarding performance of an obligation requested adequate assurance of performance, additional collateral postings might be required. The following table presents, as of September 30, 2011, and December 31, 2010, the aggregate fair value of all derivative instruments with credit risk-related contingent features in a gross liability position, the cash collateral posted, and the aggregate amount of additional collateral that could be required to be posted with counterparties. The additional collateral required is the net liability position allowed under the master trading and netting agreements, assuming (1) the credit risk-related contingent features underlying these agreements were triggered on September 30, 2011, or December 31, 2010, and (2) those counterparties with rights to do so requested collateral:

 

     

Aggregate Fair Value of

Derivative Liabilities(a)

     

Cash

Collateral Posted

     

Potential Aggregate Amount of Additional

Collateral Required(b)

  

2011:

         

Ameren Missouri

    $ 78       $ 6         $                         53   

Ameren Illinois

      194         83         117   

Genco

      20         1         14   

Other(c)

      74         13         46   

Ameren

    $ 366       $ 103         $                       230   

2010:

         

Ameren Missouri

    $ 105       $ 7         $                        93   

Ameren Illinois

      233         109         111   

Genco

      31         -         28   

Other(c)

      62         18         42   

Ameren

    $ 431       $ 134         $                       274   

 

(a) Prior to consideration of master trading and netting agreements and including NPNS contract exposures.
(b) As collateral requirements with certain counterparties are based on master trading and netting agreements, the aggregate amount of additional collateral required to be posted is after consideration of the effects of such agreements.
(c) Includes amounts for Marketing Company and Ameren (parent).

Cash Flow Hedges

The following table presents the pretax net gain or loss for the three and nine months ended September 30, 2011, and 2010, associated with derivative instruments designated as cash flow hedges. See Note 11- Other Comprehensive Income for additional information regarding changes in OCI.

 

     

Gain (Loss)

Recognized in

OCI(a)

    

Location of (Gain) Loss

Reclassified from

OCI into Income(b)

   

(Gain) Loss

Reclassified from

OCI into Income(b)

     Location of Gain (Loss)
Recognized in Income(c)		   

Gain (Loss)

Recognized

in Income(c)

  

                             Three Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (5 )    Operating Revenues - Electric    $ (1 )    Operating Revenues - Electric    $ (8 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 5      Operating Revenues - Electric    $ (4 )    Operating Revenues - Electric    $ 7   

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

                             Nine Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (12 )    Operating Revenues - Electric    $ 1      Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 15      Operating Revenues - Electric    $ (18 )    Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

 

(a) Effective portion of gain (loss).
(b) Effective portion of (gain) loss on settlements.
(c) Ineffective portion of gain (loss) and amount excluded from effectiveness testing.
(d) Includes amounts from Ameren registrant and nonregistrant subsidiaries.
(e) Represents interest rate swaps settled in prior periods. The cumulative gain and loss on the interest rate swaps is being amortized into income over a 10-year period.
(f) Less than $1 million.

Other Derivatives

The following table represents the net change in market value for derivatives not designated as hedging instruments for the three and nine months ended September 30, 2011, and 2010:

 

           

Location of Gain (Loss)

Recognized in Income

   

Gain (Loss)

Recognized in Income

  
               Three Months           Nine Months  
                  2011     2010            2011     2010  
Ameren(a)    Heating oil    Operating Expenses - Fuel    $ (14 )    $ 7          $ (4 )    $ 1   
   Natural gas (generation)    Operating Expenses - Fuel      -        -            -        (1 ) 
     Power    Operating Revenues - Electric      2        13              (5 )      33   
         

Total

    $ (12 )    $ 20            $ (9 )    $ 33   
Ameren Missouri    Natural gas (generation)    Operating Expenses - Fuel    $ -      $ -          $ (1 )    $ 1   
    

Power

    Operating Revenues - Electric      -        -              -        (1 ) 
          Total    $ -      $ -            $ (1 )    $ -   
Genco    Heating oil    Operating Expenses - Fuel    $ (10 )    $ 5          $ (3 )    $ 1   
  

Natural gas (generation)

    Operating Expenses - Fuel      1        1            1        -   
    

Power

    Operating Revenues      (2 )      -              (3 )      1   
          Total    $ (11 )    $ 6            $ (5 )    $ 2   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

Derivatives that Qualify for Regulatory Deferral

The following table represents the net change in market value for derivatives that qualify for regulatory deferral for the three and nine months ended September 30, 2011, and 2010:

 

            Gain (Loss) Recognized in Regulatory  Liabilities or Regulatory Assets  
          Three Months          Nine Months  
                 2011     2010               2011         2010  

Ameren(a)

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      (11 )      (46 )         23        (127 ) 
  

Power

      13        (21 )         103        2   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (17 )    $ (55 )         $ 119      $ (123 ) 

Ameren Missouri            

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      -        (5 )         4        (16 ) 
  

Power

      (7 )      10           16        17   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (26 )    $ 17           $ 13      $ 3   

Ameren Illinois

    Natural gas    $ (11 )    $ (41 )       $ 19      $ (111 ) 
    

Power

      70        (59 )           218        (42 ) 
    

Total

    $ 59      $ (100 )         $ 237      $ (153 ) 

 

(a) Includes amounts for intercompany eliminations.

As part of the 2007 Illinois Electric Settlement Agreement and subsequent Illinois power procurement processes, Ameren Illinois entered into financial contracts with Marketing Company. These financial contracts are derivative instruments. They are accounted for as cash flow hedges by Marketing Company and as derivatives that qualify for regulatory deferral by Ameren Illinois. Consequently, Ameren Illinois and Marketing Company record the fair value of the contracts on their respective balance sheets and the changes to the fair value in regulatory assets or liabilities by Ameren Illinois and OCI by Marketing Company. In Ameren's consolidated financial statements, all financial statement effects of the derivative instruments entered into among affiliates were eliminated. See Note 14 - Related Party Transactions under Part II, Item 8 of the Form 10-K for additional information on these financial contracts. The following table presents the fair value of the financial contracts included on Ameren Illinois' balance sheet at September 30, 2011, and December 31, 2010:

 

            2011      2010  

AIC

    MTM derivative liabilities - affiliates    $ 166       $ 172   
     Other deferred credits and liabilities      52         178   
     Total    $             218       $             350   
Union Electric Company [Member]
 
Derivative Financial Instruments

NOTE 6 - DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives principally to manage the risk of changes in market prices for natural gas, coal, diesel, power, and uranium. Such price fluctuations may cause the following:

 

•  

an unrealized appreciation or depreciation of our contracted commitments to purchase or sell when purchase or sale prices under the commitments are compared with current commodity prices;

 

•  

market values of coal, natural gas, and uranium inventories that differ from the cost of those commodities in inventory; and

 

•  

actual cash outlays for the purchase of these commodities that differ from anticipated cash outlays.

The derivatives that we use to hedge these risks are governed by our risk management policies for forward contracts, futures, options, and swaps. Our net positions are continually assessed within our structured hedging programs to determine whether new or offsetting transactions are required. The goal of the hedging program is generally to mitigate financial risks while ensuring that sufficient volumes are available to meet our requirements. Contracts we enter into as part of our risk management program may be settled financially, settled by physical delivery, or net settled with the counterparty.

 

The following table presents open gross derivative volumes by commodity type as of September 30, 2011, and December 31, 2010:

 

      Quantity (in millions, except as indicated)  
Commodity   

NPNS

Contracts(a)

     Cash Flow
Hedges(b)		     Other
Derivatives(c)		     Derivatives That Qualify for
Regulatory Deferral(d)		  
     2011     2010     2011     2010     2011     2010     2011     2010  

Coal (in tons)

                 

Ameren Missouri

      122        46        (e )      (e )      (e )      (e )      (e )      (e ) 

Genco

                      27                        21                        (e )                      (e )                      (e )                      (e )                      (e )                      (e ) 

Other(f)

      8        6        (e )      (e )      (e )      (e )      (e )      (e ) 

Ameren

      157        73        (e )      (e )      (e )      (e )      (e )      (e ) 

Heating oil (in gallons)

                 

Ameren Missouri

      (e )      (e )      (e )      (e )      (e )      (e )      62        80   

Genco

      (e )      (e )      (e )      (e )      33        43        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      10        12        (e )      (e ) 

Ameren

      (e )      (e )      (e )      (e )      43        55        62        80   

Natural gas (in mmbtu)

                 

Ameren Missouri

      9        13        (e )      (e )      1        2        19        21   

Ameren Illinois

      51        85        (e )      (e )      (e )      (e )      188        173   

Genco

      (e )      (e )      (e )      (e )      5        3        (e )      (e ) 

Other(f)

      (e )      (e )      (e )      (e )      20        16        (e )      (e ) 

Ameren

      60        98        (e )      (e )      26        21        207        194   

Power (in megawatthours)

                 

Ameren Missouri

      1        2        (e )      (e )      -        1        5        5   

Ameren Illinois

      12        (e )      (e )      (e )      (e )      (e )      27        26   

Genco

      (e )      (e )      (e )      (e )      -        3        (e )      (e ) 

Other(f)

      60        61        17        2        32        57        (11 )      (13 ) 

Ameren

      73        63        17        2        32        61        21        18   

Uranium (pounds in thousands)

                 

Ameren Missouri & Ameren

      5,710        5,810        (e )      (e )      (e )      (e )      308        185   

 

(a) Contracts through December 2017, March 2015, September 2035, and October 2024 for coal, natural gas, power, and uranium, respectively, as of September 30, 2011.
(b) Contracts through December 2013 for power as of September 30, 2011.
(c) Contracts through October 2014, December 2012, and April 2015 for heating oil, natural gas, and power, respectively, as of September 30, 2011.
(d) Contracts through December 2013, October 2016, May 2032 and December 2013 for heating oil, natural gas, power, and uranium, respectively, as of September 30, 2011.
(e) Not applicable.
(f) Includes AERG contracts for coal and heating oil, Marketing Company contracts for natural gas and power, and intercompany eliminations for power.

Authoritative guidance regarding derivative instruments requires that all contracts considered to be derivative instruments be recorded on the balance sheet at their fair values, unless the NPNS exception applies. See Note 7 - Fair Value Measurements for our methods of assessing the fair value of derivative instruments. Many of our physical contracts, such as our coal and purchased power contracts, qualify for the NPNS exception to derivative accounting rules. The revenue or expense on NPNS contracts is recognized at the contract price upon physical delivery.

If we determine that a contract meets the definition of a derivative and is not eligible for the NPNS exception, we review the contract to determine if it qualifies for hedge accounting. We also consider whether gains or losses resulting from such derivatives qualify for regulatory deferral. Contracts that qualify for cash flow hedge accounting are recorded at fair value with changes in fair value charged or credited to accumulated OCI in the period in which the change occurs, to the extent the hedge is effective. To the extent the hedge is ineffective, the related changes in fair value are charged or credited to the statement of income in the period in which the change occurs. When the contract is settled or delivered, the net gain or loss is recorded in the statement of income.

Derivative contracts that qualify for regulatory deferral are recorded at fair value, with changes in fair value charged or credited to regulatory assets or regulatory liabilities in the period in which the change occurs. Ameren Missouri and Ameren Illinois believe derivative gains and losses deferred as regulatory assets and regulatory liabilities are probable of recovery or refund through future rates charged to customers. Regulatory assets and regulatory liabilities are amortized to operating income as related losses and gains are reflected in rates charged to customers. Therefore, gains and losses on these derivatives have no effect on operating income.

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for the NPNS exception, hedge accounting, or regulatory deferral accounting. Such contracts are recorded at fair value, with changes in fair value charged or credited to the statement of income in the period in which the change occurs.

The following table presents the carrying value and balance sheet location of all derivative instruments as of September 30, 2011, and December 31, 2010:

 

Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri Ameren Missouri
      Balance Sheet Location   

Ameren(a)

      Ameren Missouri     Ameren Illinois     Genco  

2011:

          

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 7       $ (b )    $ (b )    $ -   
  

Other assets

      3         -        -        -   
    

Total assets

    $ 10       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 3       $ (b )    $ -      $ -   
  

Other deferred credits and liabilities

      8         -        -        -   
    

Total liabilities

    $ 11       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 28       $ (b )    $ (b )    $ 9   
  

Other current assets

      -         17        -        -   
  

Other assets

      9         6        -        2   

Natural gas

    MTM derivative assets      6         (b )      (b )      1   
  

Other current assets

      -         -        2        -   
  

Other assets

      -         -        -        -   

Power

    MTM derivative assets      53         (b )      (b )      -   
  

Other current assets

      -         23        1        -   
  

Other assets

      104         2        87        -   
    

Total assets

    $ 200       $ 48      $ 90      $ 12   

Derivative liabilities not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative liabilities    $ 4       $ (b )    $ -      $ 2   
  

Other current liabilities

      -         2        -        -   
  

Other deferred credits and liabilities

      3         1        -        1   

Natural gas

    MTM derivative liabilities      84         (b )      69        1   
  

Other current liabilities

      -         10        -        -   
  

Other deferred credits and liabilities

      66         10        55        -   

Power

    MTM derivative liabilities      27         (b )      4        -   
  

MTM derivative liabilities - affiliates

      -         (b )      166        -   
  

Other current liabilities

      -         5        -        -   
  

Other deferred credits and liabilities

      13         1        52        -   
  

Other deferred credits and liabilities

      1         1        -        -   
    

Total liabilities

    $ 198       $ 30      $ 346      $ 4   

2010:

             

Derivative assets designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative assets    $ 3       $ (b )    $ (b )    $ -   
  

Other assets

      2         -        -        -   
    

Total assets

    $ 5       $ -      $ -      $ -   

Derivative liabilities designated as hedging instruments

          

Commodity contracts:

             

Power

    MTM derivative liabilities    $ 1       $ (b )    $ -      $ -   
    

Total liabilities

    $ 1       $ -      $ -      $ -   

Derivative assets not designated as hedging instruments(c)

          

Commodity contracts:

             

Heating oil

    MTM derivative assets    $ 42       $ (b )    $ (b )    $ 14   
  

Other current assets

      -         24        -        -   
  

Other assets

      22         13        -        7   

Natural gas

    MTM derivative assets      4         (b )      (b )      1   
  

Other current assets

      -         1        1        -   
  

Other assets

      1         -        1        -   

Power

    MTM derivative assets      78         (b )      (b )      11   
  

Other current assets

      -         8        2        -   
    

Other assets

                                20         -        6                                 -   

Uranium

    MTM derivative assets      2        (b )      (b )      -   
     Other current assets      -        2        -        -   
     Total assets    $ 169      $ 48      $ 10      $ 33   

Derivative liabilities not designated as hedging instruments(c)

         

Commodity contracts:

            

Heating oil

    MTM derivative liabilities    $ 12      $ (b )    $ -      $ 4   
   Other current liabilities      -        7        -        -   
   Other deferred credits and liabilities      1        -        -        -   

Natural gas

    MTM derivative liabilities      87        (b )      73        2   
   Other current liabilities      -        11        -        -   
   Other deferred credits and liabilities      84        13        70        -   

Power

    MTM derivative liabilities      61        (b )      9        3   
   MTM derivative liabilities - affiliates      (b )      (b )      172        5   
   Other current liabilities      -        6        -        -   
     Other deferred credits and liabilities      7        -        179        -   
     Total liabilities    $                        252      $ 37      $ 503      $                        14   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.
(b) Balance sheet line item not applicable to registrant.
(c) Includes derivatives subject to regulatory deferral.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments in accumulated OCI and regulatory assets or regulatory liabilities as of September 30, 2011, and December 31, 2010:

 

     

Ameren

    

Ameren Missouri

    

Ameren Illinois

    

Genco

    

Other(a)

  

2011:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 3      $ -      $ -      $ -      $ 3   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      15        15        -        -        -   

Natural gas derivative contracts(f)

      (142 )      (20 )      (122 )      -        -   

Power derivative contracts(g)

      104        19        (134 )      -        219   

Uranium derivative contracts(h)

      (1 )      (1 )      -        -        -   

2010:

           

Cumulative gains (losses) deferred in accumulated OCI:

           

Power derivative contracts(b)

    $ 8      $ -      $ -      $ -      $ 8   

Interest rate derivative contracts(c)(d)

     (9 )      -        -        (9 )      -   

Cumulative gains (losses) deferred in regulatory liabilities or assets:

           

Heating oil derivative contracts(e)

      19        19        -        -        -   

Natural gas derivative contracts(f)

      (165 )      (24 )      (141 )      -        -   

Power derivative contracts(g)

      1        3        (352 )      -        350   

Uranium derivative contracts(h)

      2        2        -        -        -   

 

(a) Includes amounts for Marketing Company and intercompany eliminations.
(b) Represents net gains associated with power derivative contracts at Ameren. These contracts are a partial hedge of electricity price exposure through December 2013 as of September 30, 2011. Current gains of $3 million and $8 million were recorded at Ameren as of September 30, 2011, and December 31, 2010, respectively.
(c) Includes net gains associated with interest rate swaps at Genco that were a partial hedge of the interest rate on debt issued in June 2002. The swaps cover the first 10 years of debt that has a 30-year maturity, and the gain in OCI is amortized over a 10-year period that began in June 2002. The carrying value at September 30, 2011, and December 31, 2010, was less than $1 million and less than $1 million, respectively. The balance of the gain will be amortized by June 2012.
(d) Includes net losses associated with interest rate swaps at Genco. The swaps were executed during the fourth quarter of 2007 as a partial hedge of interest rate risks associated with Genco's April 2008 debt issuance. The loss on the interest rate swaps is being amortized over a 10-year period that began in April 2008. The carrying value at September 30, 2011, and December 31, 2010, was a loss of $9 million and $10 million, respectively. Over the next twelve months, $1.4 million of the loss will be amortized.
(e) Represents net gains on heating oil derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri's transportation costs for coal through December 2013 as of September 30, 2011. Current gains deferred as regulatory liabilities include $14 million and $14 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current losses deferred as regulatory assets include $2 million and $2 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $13 million and $13 million at Ameren and Ameren Missouri as of December 31, 2010, respectively. Current losses deferred as regulatory assets include $6 million and $6 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.
(f) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through October 2016 at Ameren, Ameren Missouri, and Ameren Illinois, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $78 million, $9 million, and $69 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $1 million and $1 million at Ameren and Ameren Missouri, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $84 million, $11 million, and $73 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.

 

(g) Represents net gains associated with power derivative contracts. These contracts are a partial hedge of power price requirements through May 2032 at Ameren and Ameren Illinois and through December 2012 at Ameren Missouri, in each case as of September 30, 2011. Current gains deferred as regulatory liabilities include $24 million, $23 million, and $1 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current losses deferred as regulatory assets include $9 million, $4 million, and $170 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of September 30, 2011. Current gains deferred as regulatory liabilities include $8 million, $6 million, and $2 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010. Current losses deferred as regulatory assets include $13 million, $3 million, and $181 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2010.
(h) Represents net losses and gains on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of our uranium requirements through December 2013 as of September 30, 2011. Current losses deferred as regulatory assets include less than $1 million and less than $1 million at Ameren and Ameren Missouri as of September 30, 2011, respectively. Current gains deferred as regulatory liabilities include $2 million and $2 million at Ameren and Ameren Missouri as of December 31, 2010, respectively.

Derivative instruments are subject to various credit-related losses in the event of nonperformance by counterparties to the transaction. Exchange-traded contracts are supported by the financial and credit quality of the clearing members of the respective exchanges and have nominal credit risk. In all other transactions, we are exposed to credit risk. Our credit risk management program involves establishing credit limits and collateral requirements for counterparties, using master trading and netting agreements, and reporting daily exposure to senior management.

We believe that entering into master trading and netting agreements mitigates the level of financial loss that could result from default by allowing net settlement of derivative assets and liabilities. We generally enter into the following master trading and netting agreements: (1) International Swaps and Derivatives Association Agreement, a standardized financial natural gas and electric contract; (2) the Master Power Purchase and Sale Agreement created by the Edison Electric Institute and the National Energy Marketers Association, a standardized contract for the purchase and sale of wholesale power; and (3) North American Energy Standards Board Inc. Agreement, a standardized contract for the purchase and sale of natural gas. These master trading and netting agreements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at a master trading and netting agreement level by counterparty.

Concentrations of Credit Risk

In determining our concentrations of credit risk related to derivative instruments, we review our individual counterparties and categorize each counterparty into one of eight groupings according to the primary business in which each engages. The following table presents the maximum exposure, as of September 30, 2011, and December 31, 2010, if counterparty groups were to completely fail to perform on contracts by grouping. The maximum exposure is based on the gross fair value of financial instruments, including NPNS contracts, which excludes collateral held, and does not consider the legally binding right to net transactions based on master trading and netting agreements.

 

      Affiliates(a)     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 167       $ 2       $ 2       $ 24       $ 4       $ -       $ -       $ 199    

AIC

      -         -         119         -         1         -         1         -         121    

Genco

      -         19         1         -         8         -         2         -         30    

Other(b)

      272         12         7         6         33         287         -         60         677    

Ameren

    $ 272       $ 198       $ 129       $ 8       $ 66       $ 291       $ 3       $ 60       $     1,027    

2010:

                           

AMO

    $ -       $ 21       $ 1       $ 2       $ 5       $ 11       $ 1       $ -       $ 41    

AIC

      -         -         3         -         1         -         -         -         4    

Genco

      -         6         2         1         1         -         6         -         16    

Other(b)

      410         3         10         19         65         539         3         72         1,121    

Ameren

    $ 410       $ 30       $ 16       $ 22       $ 72       $ 550       $ 10       $ 72       $ 1,182    

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

 

The following table presents the amount of cash collateral held from counterparties, as of September 30, 2011, and December 31, 2010, based on the contractual rights under the agreements to seek collateral and the maximum exposure as calculated under the individual master trading and netting agreements:

 

      Affiliates     

Coal

Producers

     

Commodity

Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

     

Oil and Gas

Companies

     

Retail

Companies

      Total  

2011:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ -    

2010:

                           

Ameren(a)

    $ -       $ -       $ -       $ -       $ -       $ -       $ -       $ 1       $ 1    

 

(a) Represents amounts held by Marketing Company. As of September 30, 2011, and December 31, 2010, Ameren registrant subsidiaries held no cash collateral.

The potential loss on counterparty exposures is reduced by all collateral held and the application of master trading and netting agreements. Collateral includes both cash collateral and other collateral held. As of September 30, 2011, other collateral consisted of letters of credit in the amount of $10 million, $1 million, $2 million, and $7 million held by Ameren, Ameren Missouri, Genco, and Marketing Company respectively. As of December 31, 2010, other collateral consisted of letters of credit in the amount of $28 million and $1 million held by Ameren and Ameren Illinois, respectively. The following table presents the potential loss after consideration of collateral and application of master trading and netting agreements as of September 30, 2011, and December 31, 2010:

 

      Affiliates(a)     

Coal

Producers

     

Commodity
Marketing

Companies

     

Electric

Utilities

     

Financial

Companies

     

Municipalities/

Cooperatives

      Oil and Gas
Companies		     

Retail

Companies

      Total  

2011:

                           

AMO

    $ -       $ 158       $ -       $ 1       $ 18       $ 3       $ -       $ -       $ 180   

AIC

      -         -         119         -         -         -         -         -         119   

Genco

      -         12         -         -         3         -         2         -         17   

Other(b)

      272         9         7         4         20         171         -         59         542   

Ameren

    $ 272       $ 179       $ 126       $ 5       $ 41       $ 174       $ 2       $ 59       $ 858   

2010:

                           

AMO

    $ -       $ 8       $ -       $ 1       $ 2       $ 10       $ -       $ -       $ 21   

AIC

      -         -         2         -         -         -         -         -         2   

Genco

      -         1         1         1         1         -         5         -         9   

Other(b)

      404         1         8         7         56         513         2         71         1,062   

Ameren

    $ 404       $ 10       $ 11       $ 9       $ 59       $ 523       $ 7       $ 71       $     1,094   

 

(a) Primarily comprised of Marketing Company's exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level as it is calculated without regard to the offsetting affiliate counterparty's liability position. See Note 14 - Related Party Transactions under Part II, Item 8, of the Form 10-K for additional information on these financial contracts.
(b) Includes amounts for Marketing Company, AERG, and AFS.

Derivative Instruments with Credit Risk-Related Contingent Features

Our commodity contracts contain collateral provisions tied to the Ameren Companies' credit ratings. If we were to experience an adverse change in our credit ratings, or if a counterparty with reasonable grounds for uncertainty regarding performance of an obligation requested adequate assurance of performance, additional collateral postings might be required. The following table presents, as of September 30, 2011, and December 31, 2010, the aggregate fair value of all derivative instruments with credit risk-related contingent features in a gross liability position, the cash collateral posted, and the aggregate amount of additional collateral that could be required to be posted with counterparties. The additional collateral required is the net liability position allowed under the master trading and netting agreements, assuming (1) the credit risk-related contingent features underlying these agreements were triggered on September 30, 2011, or December 31, 2010, and (2) those counterparties with rights to do so requested collateral:

 

     

Aggregate Fair Value of

Derivative Liabilities(a)

     

Cash

Collateral Posted

     

Potential Aggregate Amount of Additional

Collateral Required(b)

  

2011:

         

Ameren Missouri

    $ 78       $ 6         $                         53   

Ameren Illinois

      194         83         117   

Genco

      20         1         14   

Other(c)

      74         13         46   

Ameren

    $ 366       $ 103         $                       230   

2010:

         

Ameren Missouri

    $ 105       $ 7         $                        93   

Ameren Illinois

      233         109         111   

Genco

      31         -         28   

Other(c)

      62         18         42   

Ameren

    $ 431       $ 134         $                       274   

 

(a) Prior to consideration of master trading and netting agreements and including NPNS contract exposures.
(b) As collateral requirements with certain counterparties are based on master trading and netting agreements, the aggregate amount of additional collateral required to be posted is after consideration of the effects of such agreements.
(c) Includes amounts for Marketing Company and Ameren (parent).

Cash Flow Hedges

The following table presents the pretax net gain or loss for the three and nine months ended September 30, 2011, and 2010, associated with derivative instruments designated as cash flow hedges. See Note 11- Other Comprehensive Income for additional information regarding changes in OCI.

 

     

Gain (Loss)

Recognized in

OCI(a)

    

Location of (Gain) Loss

Reclassified from

OCI into Income(b)

   

(Gain) Loss

Reclassified from

OCI into Income(b)

     Location of Gain (Loss)
Recognized in Income(c)		   

Gain (Loss)

Recognized

in Income(c)

  

                             Three Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (5 )    Operating Revenues - Electric    $ (1 )    Operating Revenues - Electric    $ (8 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 5      Operating Revenues - Electric    $ (4 )    Operating Revenues - Electric    $ 7   

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

                             Nine Months

 

                          

2011:

             

Ameren:(d)

             

Power

    $ (12 )    Operating Revenues - Electric    $ 1      Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

2010:

             

Ameren:(d)

             

Power

    $ 15      Operating Revenues - Electric    $ (18 )    Operating Revenues - Electric    $ (6 ) 

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

Genco:

             

Interest rate(e)

      -      Interest Charges      (f )    Interest Charges      -   

 

(a) Effective portion of gain (loss).
(b) Effective portion of (gain) loss on settlements.
(c) Ineffective portion of gain (loss) and amount excluded from effectiveness testing.
(d) Includes amounts from Ameren registrant and nonregistrant subsidiaries.
(e) Represents interest rate swaps settled in prior periods. The cumulative gain and loss on the interest rate swaps is being amortized into income over a 10-year period.
(f) Less than $1 million.

Other Derivatives

The following table represents the net change in market value for derivatives not designated as hedging instruments for the three and nine months ended September 30, 2011, and 2010:

 

           

Location of Gain (Loss)

Recognized in Income

   

Gain (Loss)

Recognized in Income

  
               Three Months           Nine Months  
                  2011     2010            2011     2010  
Ameren(a)    Heating oil    Operating Expenses - Fuel    $ (14 )    $ 7          $ (4 )    $ 1   
   Natural gas (generation)    Operating Expenses - Fuel      -        -            -        (1 ) 
     Power    Operating Revenues - Electric      2        13              (5 )      33   
         

Total

    $ (12 )    $ 20            $ (9 )    $ 33   
Ameren Missouri    Natural gas (generation)    Operating Expenses - Fuel    $ -      $ -          $ (1 )    $ 1   
    

Power

    Operating Revenues - Electric      -        -              -        (1 ) 
          Total    $ -      $ -            $ (1 )    $ -   
Genco    Heating oil    Operating Expenses - Fuel    $ (10 )    $ 5          $ (3 )    $ 1   
  

Natural gas (generation)

    Operating Expenses - Fuel      1        1            1        -   
    

Power

    Operating Revenues      (2 )      -              (3 )      1   
          Total    $ (11 )    $ 6            $ (5 )    $ 2   

 

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

Derivatives that Qualify for Regulatory Deferral

The following table represents the net change in market value for derivatives that qualify for regulatory deferral for the three and nine months ended September 30, 2011, and 2010:

 

            Gain (Loss) Recognized in Regulatory  Liabilities or Regulatory Assets  
          Three Months          Nine Months  
                 2011     2010               2011         2010  

Ameren(a)

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      (11 )      (46 )         23        (127 ) 
  

Power

      13        (21 )         103        2   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (17 )    $ (55 )         $ 119      $ (123 ) 

Ameren Missouri            

    Heating oil    $ (20 )    $ 10         $ (4 )    $ 2   
  

Natural gas

      -        (5 )         4        (16 ) 
  

Power

      (7 )      10           16        17   
    

Uranium

      1        2             (3 )      -   
    

Total

    $ (26 )    $ 17           $ 13      $ 3   

Ameren Illinois

    Natural gas    $ (11 )    $ (41 )       $ 19      $ (111 ) 
    

Power

      70        (59 )           218        (42 ) 
    

Total

    $ 59      $ (100 )         $ 237      $ (153 ) 

 

(a) Includes amounts for intercompany eliminations.

As part of the 2007 Illinois Electric Settlement Agreement and subsequent Illinois power procurement processes, Ameren Illinois entered into financial contracts with Marketing Company. These financial contracts are derivative instruments. They are accounted for as cash flow hedges by Marketing Company and as derivatives that qualify for regulatory deferral by Ameren Illinois. Consequently, Ameren Illinois and Marketing Company record the fair value of the contracts on their respective balance sheets and the changes to the fair value in regulatory assets or liabilities by Ameren Illinois and OCI by Marketing Company. In Ameren's consolidated financial statements, all financial statement effects of the derivative instruments entered into among affiliates were eliminated. See Note 14 - Related Party Transactions under Part II, Item 8 of the Form 10-K for additional information on these financial contracts. The following table presents the fair value of the financial contracts included on Ameren Illinois' balance sheet at September 30, 2011, and December 31, 2010:

 

            2011      2010  

AIC

    MTM derivative liabilities - affiliates    $ 166       $ 172   
     Other deferred credits and liabilities      52         178   
     Total    $             218       $             350