|
Derivative Financial Instruments
|
6 Months Ended |
|
Jun. 30, 2012
|
| 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, electricity, 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 June 30, 2012, and December 31, 2011:
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|
Quantity (in millions,
except as indicated) |
|
| Commodity |
|
NPNS
Contracts(a) |
|
|
Cash Flow
Hedges(b) |
|
|
Other
Derivatives(c) |
|
|
Derivatives That
Qualify
for
Regulatory Deferral(d)
|
|
| |
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Coal (in
tons)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
106 |
|
|
|
116 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Genco
|
|
|
31 |
|
|
|
24 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
5 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
9 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
146 |
|
|
|
147 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
6 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Fuel oils (in
gallons)(g)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
59 |
|
|
|
53 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
27 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
12 |
|
|
|
9 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
55 |
|
|
|
36 |
|
|
|
59 |
|
|
|
53 |
|
|
Natural gas (in
mmbtu)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
6 |
|
|
|
8 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
16 |
|
|
|
9 |
|
|
|
22 |
|
|
|
19 |
|
|
Ameren Illinois
|
|
|
27 |
|
|
|
42 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
153 |
|
|
|
174 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
26 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
33 |
|
|
|
50 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
17 |
|
|
|
175 |
|
|
|
193 |
|
|
Power (in
megawatthours)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
4 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
13 |
|
|
|
6 |
|
|
Ameren Illinois
|
|
|
22 |
|
|
|
11 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
19 |
|
|
|
24 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
69 |
|
|
|
61 |
|
|
|
17 |
|
|
|
17 |
|
|
|
56 |
|
|
|
30 |
|
|
|
(4 |
) |
|
|
(9 |
) |
|
Ameren
|
|
|
95 |
|
|
|
73 |
|
|
|
17 |
|
|
|
17 |
|
|
|
57 |
|
|
|
31 |
|
|
|
28 |
|
|
|
21 |
|
|
Uranium (pounds in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri &
Ameren
|
|
|
5,361 |
|
|
|
5,553 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
131 |
|
|
|
148 |
|
| (a) |
Contracts through December
2017, March 2015, September 2035, and October 2024 for
coal, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (b) |
Contracts through December
2016 for power as of June 30, 2012. |
| (c) |
Contracts through December
2014, October 2016, April 2015, and December 2016 for
coal, fuel oils, natural gas, and power, respectively, as of
June 30, 2012. |
| (d) |
Contracts through October
2014, October 2016, May 2032, and December 2013 for fuel
oils, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (f) |
Includes AERG contracts for
coal and fuel oils, Marketing Company contracts for natural gas and
power, and intercompany eliminations for power. |
| (g) |
Fuel oils consist of
heating and crude oil. |
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 or the statement of
income and comprehensive 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 or the statement of
income and comprehensive income.
Derivative
contracts that qualify for regulatory deferral are recorded at fair
value, with changes in fair value recorded as 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 or the
statement of income and comprehensive income in the period in which
the change occurs.
Authoritative
accounting guidance permits companies to offset fair value amounts
recognized for the right to reclaim cash collateral (a receivable)
or the obligation to return cash collateral (a liability) against
fair value amounts recognized for derivative instruments that are
executed with the same counterparty under the same master netting
arrangement. The Ameren Companies did not elect to adopt this
guidance for any eligible financial instruments or other
items.
The following
table presents the carrying value and balance sheet location of all
derivative instruments as of June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
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|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
23 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
31 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
54 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative liabilities |
|
$ |
1 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
13 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
|
4 |
|
|
|
Other assets |
|
|
5 |
|
|
|
4 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
10 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
2 |
|
|
|
5 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
110 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
39 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Other
assets |
|
|
35 |
|
|
|
2 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Total
assets |
|
$ |
173 |
|
|
$ |
55 |
|
|
$ |
2 |
|
|
$ |
10 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal
|
|
MTM derivative liabilities |
|
$ |
4 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
|
5 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
2 |
|
|
|
- |
|
|
|
3 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
91 |
|
|
|
(b |
) |
|
|
78 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
12 |
|
|
|
- |
|
|
|
1 |
|
|
|
Other deferred credits and liabilities |
|
|
77 |
|
|
|
11 |
|
|
|
66 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
96 |
|
|
|
(b |
) |
|
|
19 |
|
|
|
(b |
) |
|
|
|
MTM derivative
liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
114 |
|
|
|
(b |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
|
Other current liabilities |
|
$ |
- |
|
|
$ |
15 |
|
|
$ |
- |
|
|
$ |
- |
|
|
|
Other deferred credits and liabilities |
|
|
117 |
|
|
|
2 |
|
|
|
88 |
|
|
|
- |
|
|
Uranium
|
|
MTM derivative liabilities |
|
|
1 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
403 |
|
|
$ |
45 |
|
|
$ |
365 |
|
|
$ |
14 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
8 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
16 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
24 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
Other deferred credits and liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
29 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
17 |
|
|
|
- |
|
|
|
10 |
|
|
|
Other assets |
|
|
8 |
|
|
|
6 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
6 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
1 |
|
|
|
2 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
72 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
30 |
|
|
|
- |
|
|
|
- |
|
|
|
Other assets |
|
|
99 |
|
|
|
- |
|
|
|
77 |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
214 |
|
|
$ |
55 |
|
|
$ |
79 |
|
|
$ |
13 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
$ |
2 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
106 |
|
|
|
(b |
) |
|
|
90 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
13 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
92 |
|
|
|
13 |
|
|
|
79 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
53 |
|
|
|
(b |
) |
|
|
9 |
|
|
|
(b |
) |
|
|
MTM derivative liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
200 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
9 |
|
|
|
- |
|
|
|
- |
|
|
|
Other deferred credits and liabilities |
|
|
26 |
|
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
Uranium
|
|
Other deferred credits and liabilities |
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
280 |
|
|
$ |
37 |
|
|
$ |
386 |
|
|
$ |
3 |
|
| (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 June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Ameren |
|
|
Ameren
Missouri |
|
|
Ameren
Illinois |
|
|
Genco |
|
|
Other
(a) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
45 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
45 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
5 |
|
|
|
5 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(163 |
) |
|
|
(21 |
) |
|
|
(142 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
(82 |
) |
|
|
24 |
|
|
|
(221 |
) |
|
|
- |
|
|
|
115 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
19 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
19 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
19 |
|
|
|
19 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(191 |
) |
|
|
(24 |
) |
|
|
(167 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
81 |
|
|
|
21 |
|
|
|
(140 |
) |
|
|
- |
|
|
|
200 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| (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 2016 as of June 30, 2012. Current gains of $17
million and $5 million were recorded at Ameren as of June 30,
2012, and December 31, 2011, 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
covered the first 10 years of debt that has a 30-year maturity, and
the gain in OCI was amortized over a 10-year period that began in
June 2002. The balance of the gain was fully amortized as of
June 30, 2012. The carrying value at December 31, 2011,
was less than $1 million. |
| (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 June 30, 2012, and December 31, 2011, was a loss of $8
million and $9 million, respectively. Over the next twelve months,
$1.4 million of the loss will be amortized. |
| (e) |
Represents net gains on
fuel oils derivative contracts at Ameren Missouri. These contracts
are a partial hedge of Ameren Missouri’s transportation costs
for coal through October 2014 as of June 30, 2012. Current
gains deferred as regulatory liabilities include $7 million and $7
million at Ameren and Ameren Missouri as of June 30, 2012,
respectively. Current losses deferred as regulatory assets include
$2 million and $2 million at Ameren and Ameren Missouri as of
June 30, 2012, respectively. Current gains deferred as
regulatory liabilities include $16 million and $16 million at
Ameren and Ameren Missouri as of December 31, 2011,
respectively. Current losses deferred as regulatory assets include
$1 million and $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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 June 30, 2012. Current gains deferred as regulatory
liabilities include $2 million and $2 million at Ameren and Ameren
Illinois, respectively, as of June 30, 2012. Current losses
deferred as regulatory assets include $88 million, $10 million, and
$78 million at Ameren, Ameren Missouri and Ameren Illinois,
respectively, as of June 30, 2012. Current gains deferred as
regulatory liabilities include $1 million and $1 million at Ameren
and Ameren Illinois, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $101 million,
$11 million, and $90 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (g) |
Represents net losses
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 2015 at Ameren
Missouri, in each case as of June 30, 2012. Current gains
deferred as regulatory liabilities include $37 million and $37
million at Ameren and Ameren Missouri, respectively, as of
June 30, 2012. Current losses deferred as regulatory assets
include $33 million, $14 million, and $133 million at Ameren,
Ameren Missouri and Ameren Illinois, respectively, as of
June 30, 2012. Current gains deferred as regulatory
liabilities include $29 million and $29 million at Ameren and
Ameren Missouri, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $17 million,
$8 million, and $209 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (h) |
Represents net losses on
uranium derivative contracts at Ameren Missouri. These contracts
are a partial hedge of our uranium requirements through December
2013 as of June 30, 2012. Current losses deferred as
regulatory assets include $1 million and $1 million at Ameren and
Ameren Missouri as of June 30, 2012, respectively. Current
losses deferred as regulatory assets include less than $1 million
and less than $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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) the 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 June 30, 2012, and
December 31, 2011, 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 |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
1 |
|
|
$ |
2 |
|
|
$ |
6 |
|
|
$ |
15 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
29 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
2 |
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
Genco
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
- |
|
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
3 |
|
|
$ |
- |
|
|
$ |
6 |
|
|
Other(b)
|
|
|
187 |
|
|
|
10 |
|
|
|
46 |
|
|
|
14 |
|
|
|
18 |
|
|
|
465 |
(c) |
|
|
1 |
|
|
|
103 |
|
|
|
844 |
|
|
Ameren
|
|
$ |
188 |
|
|
$ |
11 |
|
|
$ |
51 |
|
|
$ |
20 |
|
|
$ |
35 |
|
|
$ |
469 |
|
|
$ |
4 |
|
|
$ |
103 |
|
|
$ |
881 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
4 |
|
|
$ |
26 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
71 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
85 |
|
|
Genco
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
2 |
|
|
|
6 |
|
|
|
- |
|
|
|
3 |
|
|
|
- |
|
|
|
13 |
|
|
Other(b)
|
|
|
275 |
|
|
|
1 |
|
|
|
3 |
|
|
|
10 |
|
|
|
51 |
|
|
|
194 |
(c) |
|
|
- |
|
|
|
87 |
|
|
|
621 |
|
|
Ameren
|
|
$ |
276 |
|
|
$ |
37 |
|
|
$ |
89 |
|
|
$ |
16 |
|
|
$ |
84 |
|
|
$ |
198 |
|
|
$ |
3 |
|
|
$ |
87 |
|
|
$ |
790 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
The potential
loss on counterparty exposures is reduced by the application of
master trading and netting agreements and collateral held to the
extent of reducing the exposure to zero. Collateral includes both
cash collateral and other collateral held. The amount of cash
collateral held by Ameren and Marketing Company from counterparties
and based on the contractual rights under the agreements to seek
collateral, as well as the maximum exposure as calculated under the
individual master trading and netting agreements, was $2 million
from marketing companies at June 30, 2012. Cash collateral
held by Ameren and Marketing Company was less than $1 million from
retail companies at December 31, 2011. As of June 30,
2012, other collateral used to reduce exposure consisted of letters
of credit in the amount of $7 million held by Ameren and Marketing
Company. As of December 31, 2011, other collateral used to
reduce exposure consisted of letters of credit in the amount of $9
million, $1 million, $1 million, and $7 million held by Ameren,
Ameren Missouri, Genco, and Marketing Company,
respectively.
The following
table presents the potential loss after consideration of collateral
and application of master trading and netting agreements as of
June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
8 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
16 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
Other(b)
|
|
|
186 |
|
|
|
5 |
|
|
|
38 |
|
|
|
3 |
|
|
|
13 |
|
|
|
459 |
(c)
|
|
|
- |
|
|
|
102 |
|
|
|
806 |
|
|
Ameren
|
|
$ |
186 |
|
|
$ |
5 |
|
|
$ |
42 |
|
|
$ |
5 |
|
|
$ |
21 |
|
|
$ |
463 |
|
|
$ |
1 |
|
|
$ |
102 |
|
|
$ |
825 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
3 |
|
|
$ |
22 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
66 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
4 |
|
|
Other(b)
|
|
|
273 |
|
|
|
- |
|
|
|
3 |
|
|
|
5 |
|
|
|
42 |
|
|
|
187 |
(c) |
|
|
- |
|
|
|
86 |
|
|
|
596 |
|
|
Ameren
|
|
$ |
274 |
|
|
$ |
35 |
|
|
$ |
88 |
|
|
$ |
9 |
|
|
$ |
65 |
|
|
$ |
191 |
|
|
$ |
2 |
|
|
$ |
86 |
|
|
$ |
750 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
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 June 30, 2012, and December 31, 2011, 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 June 30, 2012, or
December 31, 2011, 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) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
146 |
|
|
$ |
7 |
|
|
$ |
125 |
|
|
Ameren Illinois
|
|
|
174 |
|
|
|
91 |
|
|
|
106 |
|
|
Genco
|
|
|
48 |
|
|
|
1 |
|
|
|
41 |
|
|
Other(c)
|
|
|
86 |
|
|
|
12 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
454 |
|
|
$ |
111 |
|
|
$ |
335 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
102 |
|
|
$ |
8 |
|
|
$ |
86 |
|
|
Ameren Illinois
|
|
|
220 |
|
|
|
96 |
|
|
|
125 |
|
|
Genco
|
|
|
55 |
|
|
|
1 |
|
|
|
58 |
|
|
Other(c)
|
|
|
79 |
|
|
|
11 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
456 |
|
|
$ |
116 |
|
|
$ |
332 |
|
| (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 six
months ended June 30, 2012, and 2011, associated with
derivative instruments designated as cash flow hedges.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
5 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
(1 |
) |
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(3 |
) |
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Operating Revenues -
Electric |
|
$ |
3 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
| Six
Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
23 |
|
|
Operating Revenues -
Electric |
|
$ |
6 |
|
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(7 |
) |
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
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 six months
ended June 30, 2012 and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Location of
Gain (Loss)
Recognized
in Income
|
|
Gain
(Loss)
Recognized
in Income
|
|
| |
|
|
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(6 |
) |
|
$ |
- |
|
|
$ |
(10 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(18 |
) |
|
|
(9 |
) |
|
|
(13 |
) |
|
|
10 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
5 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues - Electric |
|
|
7 |
|
|
|
(5 |
) |
|
|
6 |
|
|
|
(7 |
) |
|
|
|
|
|
Total |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
(12 |
) |
|
$ |
3 |
|
|
Ameren Missouri
|
|
Natural gas
(generation) |
|
Operating
Expenses - Fuel |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(1 |
) |
|
Genco
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(5 |
) |
|
$ |
- |
|
|
$ |
(8 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(14 |
) |
|
|
(8 |
) |
|
|
(10 |
) |
|
|
7 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
4 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues |
|
|
- |
|
|
|
(1 |
) |
|
|
- |
|
|
|
(1 |
) |
|
|
|
|
|
Total |
|
$ |
(15 |
) |
|
$ |
(9 |
) |
|
$ |
(14 |
) |
|
$ |
6 |
|
| (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 six months
ended June 30, 2012, and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Gain (Loss) Recognized in Regulatory
Liabilities or Regulatory Assets |
|
| |
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
46 |
|
|
|
3 |
|
|
|
28 |
|
|
|
34 |
|
|
|
Power
|
|
|
(1 |
) |
|
|
88 |
|
|
|
(163 |
) |
|
|
90 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
26 |
|
|
$ |
75 |
|
|
$ |
(149 |
) |
|
$ |
136 |
|
|
Ameren Missouri
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
5 |
|
|
|
1 |
|
|
|
3 |
|
|
|
4 |
|
|
|
Power
|
|
|
4 |
|
|
|
23 |
|
|
|
3 |
|
|
|
23 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
(10 |
) |
|
$ |
8 |
|
|
$ |
(8 |
) |
|
$ |
39 |
|
|
Ameren Illinois
|
|
Natural gas |
|
$ |
41 |
|
|
$ |
2 |
|
|
$ |
25 |
|
|
$ |
30 |
|
|
|
Power
|
|
|
63 |
|
|
|
121 |
|
|
|
(81 |
) |
|
|
148 |
|
| |
|
Total
|
|
$ |
104 |
|
|
$ |
123 |
|
|
$ |
(56 |
) |
|
$ |
178 |
|
| (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. The fair
value of the financial contracts included in “MTM derivative
liabilities - affiliates” on Ameren Illinois’ balance
sheet totaled $114 million and $200 million at June 30, 2012,
and December 31, 2011, respectively. See Note 14 - Related
Party Transactions under Part II, Item 8, of the Form 10-K for
additional information on these financial contracts.
|
|
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, electricity, 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 June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantity (in millions,
except as indicated) |
|
| Commodity |
|
NPNS
Contracts(a) |
|
|
Cash Flow
Hedges(b) |
|
|
Other
Derivatives(c) |
|
|
Derivatives That
Qualify
for
Regulatory Deferral(d)
|
|
| |
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Coal (in
tons)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
106 |
|
|
|
116 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Genco
|
|
|
31 |
|
|
|
24 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
5 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
9 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
146 |
|
|
|
147 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
6 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Fuel oils (in
gallons)(g)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
59 |
|
|
|
53 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
27 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
12 |
|
|
|
9 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
55 |
|
|
|
36 |
|
|
|
59 |
|
|
|
53 |
|
|
Natural gas (in
mmbtu)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
6 |
|
|
|
8 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
16 |
|
|
|
9 |
|
|
|
22 |
|
|
|
19 |
|
|
Ameren Illinois
|
|
|
27 |
|
|
|
42 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
153 |
|
|
|
174 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
26 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
33 |
|
|
|
50 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
17 |
|
|
|
175 |
|
|
|
193 |
|
|
Power (in
megawatthours)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
4 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
13 |
|
|
|
6 |
|
|
Ameren Illinois
|
|
|
22 |
|
|
|
11 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
19 |
|
|
|
24 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
69 |
|
|
|
61 |
|
|
|
17 |
|
|
|
17 |
|
|
|
56 |
|
|
|
30 |
|
|
|
(4 |
) |
|
|
(9 |
) |
|
Ameren
|
|
|
95 |
|
|
|
73 |
|
|
|
17 |
|
|
|
17 |
|
|
|
57 |
|
|
|
31 |
|
|
|
28 |
|
|
|
21 |
|
|
Uranium (pounds in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri &
Ameren
|
|
|
5,361 |
|
|
|
5,553 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
131 |
|
|
|
148 |
|
| (a) |
Contracts through December
2017, March 2015, September 2035, and October 2024 for
coal, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (b) |
Contracts through December
2016 for power as of June 30, 2012. |
| (c) |
Contracts through December
2014, October 2016, April 2015, and December 2016 for
coal, fuel oils, natural gas, and power, respectively, as of
June 30, 2012. |
| (d) |
Contracts through October
2014, October 2016, May 2032, and December 2013 for fuel
oils, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (f) |
Includes AERG contracts for
coal and fuel oils, Marketing Company contracts for natural gas and
power, and intercompany eliminations for power. |
| (g) |
Fuel oils consist of
heating and crude oil. |
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 or the statement of
income and comprehensive 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 or the statement of
income and comprehensive income.
Derivative
contracts that qualify for regulatory deferral are recorded at fair
value, with changes in fair value recorded as 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 or the
statement of income and comprehensive income in the period in which
the change occurs.
Authoritative
accounting guidance permits companies to offset fair value amounts
recognized for the right to reclaim cash collateral (a receivable)
or the obligation to return cash collateral (a liability) against
fair value amounts recognized for derivative instruments that are
executed with the same counterparty under the same master netting
arrangement. The Ameren Companies did not elect to adopt this
guidance for any eligible financial instruments or other
items.
The following
table presents the carrying value and balance sheet location of all
derivative instruments as of June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
23 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
31 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
54 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative liabilities |
|
$ |
1 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
13 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
|
4 |
|
|
|
Other assets |
|
|
5 |
|
|
|
4 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
10 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
2 |
|
|
|
5 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
110 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
39 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Other
assets |
|
|
35 |
|
|
|
2 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Total
assets |
|
$ |
173 |
|
|
$ |
55 |
|
|
$ |
2 |
|
|
$ |
10 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal
|
|
MTM derivative liabilities |
|
$ |
4 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
|
5 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
2 |
|
|
|
- |
|
|
|
3 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
91 |
|
|
|
(b |
) |
|
|
78 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
12 |
|
|
|
- |
|
|
|
1 |
|
|
|
Other deferred credits and liabilities |
|
|
77 |
|
|
|
11 |
|
|
|
66 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
96 |
|
|
|
(b |
) |
|
|
19 |
|
|
|
(b |
) |
|
|
|
MTM derivative
liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
114 |
|
|
|
(b |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
|
Other current liabilities |
|
$ |
- |
|
|
$ |
15 |
|
|
$ |
- |
|
|
$ |
- |
|
|
|
Other deferred credits and liabilities |
|
|
117 |
|
|
|
2 |
|
|
|
88 |
|
|
|
- |
|
|
Uranium
|
|
MTM derivative liabilities |
|
|
1 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
403 |
|
|
$ |
45 |
|
|
$ |
365 |
|
|
$ |
14 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
8 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
16 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
24 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
Other deferred credits and liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
29 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
17 |
|
|
|
- |
|
|
|
10 |
|
|
|
Other assets |
|
|
8 |
|
|
|
6 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
6 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
1 |
|
|
|
2 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
72 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
30 |
|
|
|
- |
|
|
|
- |
|
|
|
Other assets |
|
|
99 |
|
|
|
- |
|
|
|
77 |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
214 |
|
|
$ |
55 |
|
|
$ |
79 |
|
|
$ |
13 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
$ |
2 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
106 |
|
|
|
(b |
) |
|
|
90 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
13 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
92 |
|
|
|
13 |
|
|
|
79 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
53 |
|
|
|
(b |
) |
|
|
9 |
|
|
|
(b |
) |
|
|
MTM derivative liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
200 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
9 |
|
|
|
- |
|
|
|
- |
|
|
|
Other deferred credits and liabilities |
|
|
26 |
|
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
Uranium
|
|
Other deferred credits and liabilities |
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
280 |
|
|
$ |
37 |
|
|
$ |
386 |
|
|
$ |
3 |
|
| (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 June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Ameren |
|
|
Ameren
Missouri |
|
|
Ameren
Illinois |
|
|
Genco |
|
|
Other
(a) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
45 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
45 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
5 |
|
|
|
5 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(163 |
) |
|
|
(21 |
) |
|
|
(142 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
(82 |
) |
|
|
24 |
|
|
|
(221 |
) |
|
|
- |
|
|
|
115 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
19 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
19 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
19 |
|
|
|
19 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(191 |
) |
|
|
(24 |
) |
|
|
(167 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
81 |
|
|
|
21 |
|
|
|
(140 |
) |
|
|
- |
|
|
|
200 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| (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 2016 as of June 30, 2012. Current gains of $17
million and $5 million were recorded at Ameren as of June 30,
2012, and December 31, 2011, 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
covered the first 10 years of debt that has a 30-year maturity, and
the gain in OCI was amortized over a 10-year period that began in
June 2002. The balance of the gain was fully amortized as of
June 30, 2012. The carrying value at December 31, 2011,
was less than $1 million. |
| (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 June 30, 2012, and December 31, 2011, was a loss of $8
million and $9 million, respectively. Over the next twelve months,
$1.4 million of the loss will be amortized. |
| (e) |
Represents net gains on
fuel oils derivative contracts at Ameren Missouri. These contracts
are a partial hedge of Ameren Missouri’s transportation costs
for coal through October 2014 as of June 30, 2012. Current
gains deferred as regulatory liabilities include $7 million and $7
million at Ameren and Ameren Missouri as of June 30, 2012,
respectively. Current losses deferred as regulatory assets include
$2 million and $2 million at Ameren and Ameren Missouri as of
June 30, 2012, respectively. Current gains deferred as
regulatory liabilities include $16 million and $16 million at
Ameren and Ameren Missouri as of December 31, 2011,
respectively. Current losses deferred as regulatory assets include
$1 million and $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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 June 30, 2012. Current gains deferred as regulatory
liabilities include $2 million and $2 million at Ameren and Ameren
Illinois, respectively, as of June 30, 2012. Current losses
deferred as regulatory assets include $88 million, $10 million, and
$78 million at Ameren, Ameren Missouri and Ameren Illinois,
respectively, as of June 30, 2012. Current gains deferred as
regulatory liabilities include $1 million and $1 million at Ameren
and Ameren Illinois, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $101 million,
$11 million, and $90 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (g) |
Represents net losses
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 2015 at Ameren
Missouri, in each case as of June 30, 2012. Current gains
deferred as regulatory liabilities include $37 million and $37
million at Ameren and Ameren Missouri, respectively, as of
June 30, 2012. Current losses deferred as regulatory assets
include $33 million, $14 million, and $133 million at Ameren,
Ameren Missouri and Ameren Illinois, respectively, as of
June 30, 2012. Current gains deferred as regulatory
liabilities include $29 million and $29 million at Ameren and
Ameren Missouri, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $17 million,
$8 million, and $209 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (h) |
Represents net losses on
uranium derivative contracts at Ameren Missouri. These contracts
are a partial hedge of our uranium requirements through December
2013 as of June 30, 2012. Current losses deferred as
regulatory assets include $1 million and $1 million at Ameren and
Ameren Missouri as of June 30, 2012, respectively. Current
losses deferred as regulatory assets include less than $1 million
and less than $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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) the 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 June 30, 2012, and
December 31, 2011, 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 |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
1 |
|
|
$ |
2 |
|
|
$ |
6 |
|
|
$ |
15 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
29 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
2 |
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
Genco
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
- |
|
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
3 |
|
|
$ |
- |
|
|
$ |
6 |
|
|
Other(b)
|
|
|
187 |
|
|
|
10 |
|
|
|
46 |
|
|
|
14 |
|
|
|
18 |
|
|
|
465 |
(c) |
|
|
1 |
|
|
|
103 |
|
|
|
844 |
|
|
Ameren
|
|
$ |
188 |
|
|
$ |
11 |
|
|
$ |
51 |
|
|
$ |
20 |
|
|
$ |
35 |
|
|
$ |
469 |
|
|
$ |
4 |
|
|
$ |
103 |
|
|
$ |
881 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
4 |
|
|
$ |
26 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
71 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
85 |
|
|
Genco
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
2 |
|
|
|
6 |
|
|
|
- |
|
|
|
3 |
|
|
|
- |
|
|
|
13 |
|
|
Other(b)
|
|
|
275 |
|
|
|
1 |
|
|
|
3 |
|
|
|
10 |
|
|
|
51 |
|
|
|
194 |
(c) |
|
|
- |
|
|
|
87 |
|
|
|
621 |
|
|
Ameren
|
|
$ |
276 |
|
|
$ |
37 |
|
|
$ |
89 |
|
|
$ |
16 |
|
|
$ |
84 |
|
|
$ |
198 |
|
|
$ |
3 |
|
|
$ |
87 |
|
|
$ |
790 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
The potential
loss on counterparty exposures is reduced by the application of
master trading and netting agreements and collateral held to the
extent of reducing the exposure to zero. Collateral includes both
cash collateral and other collateral held. The amount of cash
collateral held by Ameren and Marketing Company from counterparties
and based on the contractual rights under the agreements to seek
collateral, as well as the maximum exposure as calculated under the
individual master trading and netting agreements, was $2 million
from marketing companies at June 30, 2012. Cash collateral
held by Ameren and Marketing Company was less than $1 million from
retail companies at December 31, 2011. As of June 30,
2012, other collateral used to reduce exposure consisted of letters
of credit in the amount of $7 million held by Ameren and Marketing
Company. As of December 31, 2011, other collateral used to
reduce exposure consisted of letters of credit in the amount of $9
million, $1 million, $1 million, and $7 million held by Ameren,
Ameren Missouri, Genco, and Marketing Company,
respectively.
The following
table presents the potential loss after consideration of collateral
and application of master trading and netting agreements as of
June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
8 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
16 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
Other(b)
|
|
|
186 |
|
|
|
5 |
|
|
|
38 |
|
|
|
3 |
|
|
|
13 |
|
|
|
459 |
(c)
|
|
|
- |
|
|
|
102 |
|
|
|
806 |
|
|
Ameren
|
|
$ |
186 |
|
|
$ |
5 |
|
|
$ |
42 |
|
|
$ |
5 |
|
|
$ |
21 |
|
|
$ |
463 |
|
|
$ |
1 |
|
|
$ |
102 |
|
|
$ |
825 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
3 |
|
|
$ |
22 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
66 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
4 |
|
|
Other(b)
|
|
|
273 |
|
|
|
- |
|
|
|
3 |
|
|
|
5 |
|
|
|
42 |
|
|
|
187 |
(c) |
|
|
- |
|
|
|
86 |
|
|
|
596 |
|
|
Ameren
|
|
$ |
274 |
|
|
$ |
35 |
|
|
$ |
88 |
|
|
$ |
9 |
|
|
$ |
65 |
|
|
$ |
191 |
|
|
$ |
2 |
|
|
$ |
86 |
|
|
$ |
750 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
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 June 30, 2012, and December 31, 2011, 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 June 30, 2012, or
December 31, 2011, 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) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
146 |
|
|
$ |
7 |
|
|
$ |
125 |
|
|
Ameren Illinois
|
|
|
174 |
|
|
|
91 |
|
|
|
106 |
|
|
Genco
|
|
|
48 |
|
|
|
1 |
|
|
|
41 |
|
|
Other(c)
|
|
|
86 |
|
|
|
12 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
454 |
|
|
$ |
111 |
|
|
$ |
335 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
102 |
|
|
$ |
8 |
|
|
$ |
86 |
|
|
Ameren Illinois
|
|
|
220 |
|
|
|
96 |
|
|
|
125 |
|
|
Genco
|
|
|
55 |
|
|
|
1 |
|
|
|
58 |
|
|
Other(c)
|
|
|
79 |
|
|
|
11 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
456 |
|
|
$ |
116 |
|
|
$ |
332 |
|
| (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 six
months ended June 30, 2012, and 2011, associated with
derivative instruments designated as cash flow hedges.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
5 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
(1 |
) |
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(3 |
) |
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Operating Revenues -
Electric |
|
$ |
3 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
| Six
Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
23 |
|
|
Operating Revenues -
Electric |
|
$ |
6 |
|
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(7 |
) |
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
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 six months
ended June 30, 2012 and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Location of
Gain (Loss)
Recognized
in Income
|
|
Gain
(Loss)
Recognized
in Income
|
|
| |
|
|
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(6 |
) |
|
$ |
- |
|
|
$ |
(10 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(18 |
) |
|
|
(9 |
) |
|
|
(13 |
) |
|
|
10 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
5 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues - Electric |
|
|
7 |
|
|
|
(5 |
) |
|
|
6 |
|
|
|
(7 |
) |
|
|
|
|
|
Total |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
(12 |
) |
|
$ |
3 |
|
|
Ameren Missouri
|
|
Natural gas
(generation) |
|
Operating
Expenses - Fuel |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(1 |
) |
|
Genco
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(5 |
) |
|
$ |
- |
|
|
$ |
(8 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(14 |
) |
|
|
(8 |
) |
|
|
(10 |
) |
|
|
7 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
4 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues |
|
|
- |
|
|
|
(1 |
) |
|
|
- |
|
|
|
(1 |
) |
|
|
|
|
|
Total |
|
$ |
(15 |
) |
|
$ |
(9 |
) |
|
$ |
(14 |
) |
|
$ |
6 |
|
| (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 six months
ended June 30, 2012, and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Gain (Loss) Recognized in Regulatory
Liabilities or Regulatory Assets |
|
| |
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
46 |
|
|
|
3 |
|
|
|
28 |
|
|
|
34 |
|
|
|
Power
|
|
|
(1 |
) |
|
|
88 |
|
|
|
(163 |
) |
|
|
90 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
26 |
|
|
$ |
75 |
|
|
$ |
(149 |
) |
|
$ |
136 |
|
|
Ameren Missouri
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
5 |
|
|
|
1 |
|
|
|
3 |
|
|
|
4 |
|
|
|
Power
|
|
|
4 |
|
|
|
23 |
|
|
|
3 |
|
|
|
23 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
(10 |
) |
|
$ |
8 |
|
|
$ |
(8 |
) |
|
$ |
39 |
|
|
Ameren Illinois
|
|
Natural gas |
|
$ |
41 |
|
|
$ |
2 |
|
|
$ |
25 |
|
|
$ |
30 |
|
|
|
Power
|
|
|
63 |
|
|
|
121 |
|
|
|
(81 |
) |
|
|
148 |
|
| |
|
Total
|
|
$ |
104 |
|
|
$ |
123 |
|
|
$ |
(56 |
) |
|
$ |
178 |
|
| (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. The fair
value of the financial contracts included in “MTM derivative
liabilities - affiliates” on Ameren Illinois’ balance
sheet totaled $114 million and $200 million at June 30, 2012,
and December 31, 2011, respectively. See Note 14 - Related
Party Transactions under Part II, Item 8, of the Form 10-K for
additional information on these financial contracts.
|
|
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, electricity, 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 June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantity (in millions,
except as indicated) |
|
| Commodity |
|
NPNS
Contracts(a) |
|
|
Cash Flow
Hedges(b) |
|
|
Other
Derivatives(c) |
|
|
Derivatives That
Qualify
for
Regulatory Deferral(d)
|
|
| |
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Coal (in
tons)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
106 |
|
|
|
116 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Genco
|
|
|
31 |
|
|
|
24 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
5 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
9 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
146 |
|
|
|
147 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
6 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Fuel oils (in
gallons)(g)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
59 |
|
|
|
53 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
27 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
12 |
|
|
|
9 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
55 |
|
|
|
36 |
|
|
|
59 |
|
|
|
53 |
|
|
Natural gas (in
mmbtu)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
6 |
|
|
|
8 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
16 |
|
|
|
9 |
|
|
|
22 |
|
|
|
19 |
|
|
Ameren Illinois
|
|
|
27 |
|
|
|
42 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
153 |
|
|
|
174 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
26 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
33 |
|
|
|
50 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
17 |
|
|
|
175 |
|
|
|
193 |
|
|
Power (in
megawatthours)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
4 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
13 |
|
|
|
6 |
|
|
Ameren Illinois
|
|
|
22 |
|
|
|
11 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
19 |
|
|
|
24 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
69 |
|
|
|
61 |
|
|
|
17 |
|
|
|
17 |
|
|
|
56 |
|
|
|
30 |
|
|
|
(4 |
) |
|
|
(9 |
) |
|
Ameren
|
|
|
95 |
|
|
|
73 |
|
|
|
17 |
|
|
|
17 |
|
|
|
57 |
|
|
|
31 |
|
|
|
28 |
|
|
|
21 |
|
|
Uranium (pounds in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri &
Ameren
|
|
|
5,361 |
|
|
|
5,553 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
131 |
|
|
|
148 |
|
| (a) |
Contracts through December
2017, March 2015, September 2035, and October 2024 for
coal, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (b) |
Contracts through December
2016 for power as of June 30, 2012. |
| (c) |
Contracts through December
2014, October 2016, April 2015, and December 2016 for
coal, fuel oils, natural gas, and power, respectively, as of
June 30, 2012. |
| (d) |
Contracts through October
2014, October 2016, May 2032, and December 2013 for fuel
oils, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (f) |
Includes AERG contracts for
coal and fuel oils, Marketing Company contracts for natural gas and
power, and intercompany eliminations for power. |
| (g) |
Fuel oils consist of
heating and crude oil. |
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 or the statement of
income and comprehensive 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 or the statement of
income and comprehensive income.
Derivative
contracts that qualify for regulatory deferral are recorded at fair
value, with changes in fair value recorded as 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 or the
statement of income and comprehensive income in the period in which
the change occurs.
Authoritative
accounting guidance permits companies to offset fair value amounts
recognized for the right to reclaim cash collateral (a receivable)
or the obligation to return cash collateral (a liability) against
fair value amounts recognized for derivative instruments that are
executed with the same counterparty under the same master netting
arrangement. The Ameren Companies did not elect to adopt this
guidance for any eligible financial instruments or other
items.
The following
table presents the carrying value and balance sheet location of all
derivative instruments as of June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
23 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
31 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
54 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative liabilities |
|
$ |
1 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
13 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
|
4 |
|
|
|
Other assets |
|
|
5 |
|
|
|
4 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
10 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
2 |
|
|
|
5 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
110 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
39 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Other
assets |
|
|
35 |
|
|
|
2 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Total
assets |
|
$ |
173 |
|
|
$ |
55 |
|
|
$ |
2 |
|
|
$ |
10 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal
|
|
MTM derivative liabilities |
|
$ |
4 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
|
5 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
2 |
|
|
|
- |
|
|
|
3 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
91 |
|
|
|
(b |
) |
|
|
78 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
12 |
|
|
|
- |
|
|
|
1 |
|
|
|
Other deferred credits and liabilities |
|
|
77 |
|
|
|
11 |
|
|
|
66 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
96 |
|
|
|
(b |
) |
|
|
19 |
|
|
|
(b |
) |
|
|
|
MTM derivative
liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
114 |
|
|
|
(b |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
|
Other current liabilities |
|
$ |
- |
|
|
$ |
15 |
|
|
$ |
- |
|
|
$ |
- |
|
|
|
Other deferred credits and liabilities |
|
|
117 |
|
|
|
2 |
|
|
|
88 |
|
|
|
- |
|
|
Uranium
|
|
MTM derivative liabilities |
|
|
1 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
403 |
|
|
$ |
45 |
|
|
$ |
365 |
|
|
$ |
14 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
8 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
16 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
24 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
Other deferred credits and liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
29 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
17 |
|
|
|
- |
|
|
|
10 |
|
|
|
Other assets |
|
|
8 |
|
|
|
6 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
6 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
1 |
|
|
|
2 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
72 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
30 |
|
|
|
- |
|
|
|
- |
|
|
|
Other assets |
|
|
99 |
|
|
|
- |
|
|
|
77 |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
214 |
|
|
$ |
55 |
|
|
$ |
79 |
|
|
$ |
13 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
$ |
2 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
106 |
|
|
|
(b |
) |
|
|
90 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
13 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
92 |
|
|
|
13 |
|
|
|
79 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
53 |
|
|
|
(b |
) |
|
|
9 |
|
|
|
(b |
) |
|
|
MTM derivative liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
200 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
9 |
|
|
|
- |
|
|
|
- |
|
|
|
Other deferred credits and liabilities |
|
|
26 |
|
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
Uranium
|
|
Other deferred credits and liabilities |
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
280 |
|
|
$ |
37 |
|
|
$ |
386 |
|
|
$ |
3 |
|
| (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 June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Ameren |
|
|
Ameren
Missouri |
|
|
Ameren
Illinois |
|
|
Genco |
|
|
Other
(a) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
45 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
45 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
5 |
|
|
|
5 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(163 |
) |
|
|
(21 |
) |
|
|
(142 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
(82 |
) |
|
|
24 |
|
|
|
(221 |
) |
|
|
- |
|
|
|
115 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
19 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
19 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
19 |
|
|
|
19 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(191 |
) |
|
|
(24 |
) |
|
|
(167 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
81 |
|
|
|
21 |
|
|
|
(140 |
) |
|
|
- |
|
|
|
200 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| (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 2016 as of June 30, 2012. Current gains of $17
million and $5 million were recorded at Ameren as of June 30,
2012, and December 31, 2011, 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
covered the first 10 years of debt that has a 30-year maturity, and
the gain in OCI was amortized over a 10-year period that began in
June 2002. The balance of the gain was fully amortized as of
June 30, 2012. The carrying value at December 31, 2011,
was less than $1 million. |
| (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 June 30, 2012, and December 31, 2011, was a loss of $8
million and $9 million, respectively. Over the next twelve months,
$1.4 million of the loss will be amortized. |
| (e) |
Represents net gains on
fuel oils derivative contracts at Ameren Missouri. These contracts
are a partial hedge of Ameren Missouri’s transportation costs
for coal through October 2014 as of June 30, 2012. Current
gains deferred as regulatory liabilities include $7 million and $7
million at Ameren and Ameren Missouri as of June 30, 2012,
respectively. Current losses deferred as regulatory assets include
$2 million and $2 million at Ameren and Ameren Missouri as of
June 30, 2012, respectively. Current gains deferred as
regulatory liabilities include $16 million and $16 million at
Ameren and Ameren Missouri as of December 31, 2011,
respectively. Current losses deferred as regulatory assets include
$1 million and $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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 June 30, 2012. Current gains deferred as regulatory
liabilities include $2 million and $2 million at Ameren and Ameren
Illinois, respectively, as of June 30, 2012. Current losses
deferred as regulatory assets include $88 million, $10 million, and
$78 million at Ameren, Ameren Missouri and Ameren Illinois,
respectively, as of June 30, 2012. Current gains deferred as
regulatory liabilities include $1 million and $1 million at Ameren
and Ameren Illinois, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $101 million,
$11 million, and $90 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (g) |
Represents net losses
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 2015 at Ameren
Missouri, in each case as of June 30, 2012. Current gains
deferred as regulatory liabilities include $37 million and $37
million at Ameren and Ameren Missouri, respectively, as of
June 30, 2012. Current losses deferred as regulatory assets
include $33 million, $14 million, and $133 million at Ameren,
Ameren Missouri and Ameren Illinois, respectively, as of
June 30, 2012. Current gains deferred as regulatory
liabilities include $29 million and $29 million at Ameren and
Ameren Missouri, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $17 million,
$8 million, and $209 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (h) |
Represents net losses on
uranium derivative contracts at Ameren Missouri. These contracts
are a partial hedge of our uranium requirements through December
2013 as of June 30, 2012. Current losses deferred as
regulatory assets include $1 million and $1 million at Ameren and
Ameren Missouri as of June 30, 2012, respectively. Current
losses deferred as regulatory assets include less than $1 million
and less than $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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) the 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 June 30, 2012, and
December 31, 2011, 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 |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
1 |
|
|
$ |
2 |
|
|
$ |
6 |
|
|
$ |
15 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
29 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
2 |
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
Genco
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
- |
|
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
3 |
|
|
$ |
- |
|
|
$ |
6 |
|
|
Other(b)
|
|
|
187 |
|
|
|
10 |
|
|
|
46 |
|
|
|
14 |
|
|
|
18 |
|
|
|
465 |
(c) |
|
|
1 |
|
|
|
103 |
|
|
|
844 |
|
|
Ameren
|
|
$ |
188 |
|
|
$ |
11 |
|
|
$ |
51 |
|
|
$ |
20 |
|
|
$ |
35 |
|
|
$ |
469 |
|
|
$ |
4 |
|
|
$ |
103 |
|
|
$ |
881 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
4 |
|
|
$ |
26 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
71 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
85 |
|
|
Genco
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
2 |
|
|
|
6 |
|
|
|
- |
|
|
|
3 |
|
|
|
- |
|
|
|
13 |
|
|
Other(b)
|
|
|
275 |
|
|
|
1 |
|
|
|
3 |
|
|
|
10 |
|
|
|
51 |
|
|
|
194 |
(c) |
|
|
- |
|
|
|
87 |
|
|
|
621 |
|
|
Ameren
|
|
$ |
276 |
|
|
$ |
37 |
|
|
$ |
89 |
|
|
$ |
16 |
|
|
$ |
84 |
|
|
$ |
198 |
|
|
$ |
3 |
|
|
$ |
87 |
|
|
$ |
790 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
The potential
loss on counterparty exposures is reduced by the application of
master trading and netting agreements and collateral held to the
extent of reducing the exposure to zero. Collateral includes both
cash collateral and other collateral held. The amount of cash
collateral held by Ameren and Marketing Company from counterparties
and based on the contractual rights under the agreements to seek
collateral, as well as the maximum exposure as calculated under the
individual master trading and netting agreements, was $2 million
from marketing companies at June 30, 2012. Cash collateral
held by Ameren and Marketing Company was less than $1 million from
retail companies at December 31, 2011. As of June 30,
2012, other collateral used to reduce exposure consisted of letters
of credit in the amount of $7 million held by Ameren and Marketing
Company. As of December 31, 2011, other collateral used to
reduce exposure consisted of letters of credit in the amount of $9
million, $1 million, $1 million, and $7 million held by Ameren,
Ameren Missouri, Genco, and Marketing Company,
respectively.
The following
table presents the potential loss after consideration of collateral
and application of master trading and netting agreements as of
June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
8 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
16 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
Other(b)
|
|
|
186 |
|
|
|
5 |
|
|
|
38 |
|
|
|
3 |
|
|
|
13 |
|
|
|
459 |
(c)
|
|
|
- |
|
|
|
102 |
|
|
|
806 |
|
|
Ameren
|
|
$ |
186 |
|
|
$ |
5 |
|
|
$ |
42 |
|
|
$ |
5 |
|
|
$ |
21 |
|
|
$ |
463 |
|
|
$ |
1 |
|
|
$ |
102 |
|
|
$ |
825 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
3 |
|
|
$ |
22 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
66 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
4 |
|
|
Other(b)
|
|
|
273 |
|
|
|
- |
|
|
|
3 |
|
|
|
5 |
|
|
|
42 |
|
|
|
187 |
(c) |
|
|
- |
|
|
|
86 |
|
|
|
596 |
|
|
Ameren
|
|
$ |
274 |
|
|
$ |
35 |
|
|
$ |
88 |
|
|
$ |
9 |
|
|
$ |
65 |
|
|
$ |
191 |
|
|
$ |
2 |
|
|
$ |
86 |
|
|
$ |
750 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
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 June 30, 2012, and December 31, 2011, 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 June 30, 2012, or
December 31, 2011, 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) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
146 |
|
|
$ |
7 |
|
|
$ |
125 |
|
|
Ameren Illinois
|
|
|
174 |
|
|
|
91 |
|
|
|
106 |
|
|
Genco
|
|
|
48 |
|
|
|
1 |
|
|
|
41 |
|
|
Other(c)
|
|
|
86 |
|
|
|
12 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
454 |
|
|
$ |
111 |
|
|
$ |
335 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
102 |
|
|
$ |
8 |
|
|
$ |
86 |
|
|
Ameren Illinois
|
|
|
220 |
|
|
|
96 |
|
|
|
125 |
|
|
Genco
|
|
|
55 |
|
|
|
1 |
|
|
|
58 |
|
|
Other(c)
|
|
|
79 |
|
|
|
11 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
456 |
|
|
$ |
116 |
|
|
$ |
332 |
|
| (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 six
months ended June 30, 2012, and 2011, associated with
derivative instruments designated as cash flow hedges.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
5 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
(1 |
) |
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(3 |
) |
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Operating Revenues -
Electric |
|
$ |
3 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
| Six
Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
23 |
|
|
Operating Revenues -
Electric |
|
$ |
6 |
|
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(7 |
) |
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
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 six months
ended June 30, 2012 and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Location of
Gain (Loss)
Recognized
in Income
|
|
Gain
(Loss)
Recognized
in Income
|
|
| |
|
|
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(6 |
) |
|
$ |
- |
|
|
$ |
(10 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(18 |
) |
|
|
(9 |
) |
|
|
(13 |
) |
|
|
10 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
5 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues - Electric |
|
|
7 |
|
|
|
(5 |
) |
|
|
6 |
|
|
|
(7 |
) |
|
|
|
|
|
Total |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
(12 |
) |
|
$ |
3 |
|
|
Ameren Missouri
|
|
Natural gas
(generation) |
|
Operating
Expenses - Fuel |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(1 |
) |
|
Genco
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(5 |
) |
|
$ |
- |
|
|
$ |
(8 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(14 |
) |
|
|
(8 |
) |
|
|
(10 |
) |
|
|
7 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
4 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues |
|
|
- |
|
|
|
(1 |
) |
|
|
- |
|
|
|
(1 |
) |
|
|
|
|
|
Total |
|
$ |
(15 |
) |
|
$ |
(9 |
) |
|
$ |
(14 |
) |
|
$ |
6 |
|
| (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 six months
ended June 30, 2012, and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Gain (Loss) Recognized in Regulatory
Liabilities or Regulatory Assets |
|
| |
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
46 |
|
|
|
3 |
|
|
|
28 |
|
|
|
34 |
|
|
|
Power
|
|
|
(1 |
) |
|
|
88 |
|
|
|
(163 |
) |
|
|
90 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
26 |
|
|
$ |
75 |
|
|
$ |
(149 |
) |
|
$ |
136 |
|
|
Ameren Missouri
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
5 |
|
|
|
1 |
|
|
|
3 |
|
|
|
4 |
|
|
|
Power
|
|
|
4 |
|
|
|
23 |
|
|
|
3 |
|
|
|
23 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
(10 |
) |
|
$ |
8 |
|
|
$ |
(8 |
) |
|
$ |
39 |
|
|
Ameren Illinois
|
|
Natural gas |
|
$ |
41 |
|
|
$ |
2 |
|
|
$ |
25 |
|
|
$ |
30 |
|
|
|
Power
|
|
|
63 |
|
|
|
121 |
|
|
|
(81 |
) |
|
|
148 |
|
| |
|
Total
|
|
$ |
104 |
|
|
$ |
123 |
|
|
$ |
(56 |
) |
|
$ |
178 |
|
| (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. The fair
value of the financial contracts included in “MTM derivative
liabilities - affiliates” on Ameren Illinois’ balance
sheet totaled $114 million and $200 million at June 30, 2012,
and December 31, 2011, respectively. See Note 14 - Related
Party Transactions under Part II, Item 8, of the Form 10-K for
additional information on these financial contracts.
|
|
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, electricity, 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 June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Quantity (in millions,
except as indicated) |
|
| Commodity |
|
NPNS
Contracts(a) |
|
|
Cash Flow
Hedges(b) |
|
|
Other
Derivatives(c) |
|
|
Derivatives That
Qualify
for
Regulatory Deferral(d)
|
|
| |
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Coal (in
tons)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
106 |
|
|
|
116 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Genco
|
|
|
31 |
|
|
|
24 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
5 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
9 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
146 |
|
|
|
147 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
6 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
Fuel oils (in
gallons)(g)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
59 |
|
|
|
53 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
27 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
12 |
|
|
|
9 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
55 |
|
|
|
36 |
|
|
|
59 |
|
|
|
53 |
|
|
Natural gas (in
mmbtu)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
6 |
|
|
|
8 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
16 |
|
|
|
9 |
|
|
|
22 |
|
|
|
19 |
|
|
Ameren Illinois
|
|
|
27 |
|
|
|
42 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
153 |
|
|
|
174 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
26 |
|
|
|
7 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
Ameren
|
|
|
33 |
|
|
|
50 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
43 |
|
|
|
17 |
|
|
|
175 |
|
|
|
193 |
|
|
Power (in
megawatthours)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
|
4 |
|
|
|
1 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
1 |
|
|
|
1 |
|
|
|
13 |
|
|
|
6 |
|
|
Ameren Illinois
|
|
|
22 |
|
|
|
11 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
19 |
|
|
|
24 |
|
|
Genco
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
- |
|
|
|
- |
|
|
|
(e |
) |
|
|
(e |
) |
|
Other(f)
|
|
|
69 |
|
|
|
61 |
|
|
|
17 |
|
|
|
17 |
|
|
|
56 |
|
|
|
30 |
|
|
|
(4 |
) |
|
|
(9 |
) |
|
Ameren
|
|
|
95 |
|
|
|
73 |
|
|
|
17 |
|
|
|
17 |
|
|
|
57 |
|
|
|
31 |
|
|
|
28 |
|
|
|
21 |
|
|
Uranium (pounds in
thousands)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri &
Ameren
|
|
|
5,361 |
|
|
|
5,553 |
|
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
(e |
) |
|
|
131 |
|
|
|
148 |
|
| (a) |
Contracts through December
2017, March 2015, September 2035, and October 2024 for
coal, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (b) |
Contracts through December
2016 for power as of June 30, 2012. |
| (c) |
Contracts through December
2014, October 2016, April 2015, and December 2016 for
coal, fuel oils, natural gas, and power, respectively, as of
June 30, 2012. |
| (d) |
Contracts through October
2014, October 2016, May 2032, and December 2013 for fuel
oils, natural gas, power, and uranium, respectively, as of
June 30, 2012. |
| (f) |
Includes AERG contracts for
coal and fuel oils, Marketing Company contracts for natural gas and
power, and intercompany eliminations for power. |
| (g) |
Fuel oils consist of
heating and crude oil. |
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 or the statement of
income and comprehensive 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 or the statement of
income and comprehensive income.
Derivative
contracts that qualify for regulatory deferral are recorded at fair
value, with changes in fair value recorded as 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 or the
statement of income and comprehensive income in the period in which
the change occurs.
Authoritative
accounting guidance permits companies to offset fair value amounts
recognized for the right to reclaim cash collateral (a receivable)
or the obligation to return cash collateral (a liability) against
fair value amounts recognized for derivative instruments that are
executed with the same counterparty under the same master netting
arrangement. The Ameren Companies did not elect to adopt this
guidance for any eligible financial instruments or other
items.
The following
table presents the carrying value and balance sheet location of all
derivative instruments as of June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
23 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
31 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
54 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative liabilities |
|
$ |
1 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
13 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
|
4 |
|
|
|
Other assets |
|
|
5 |
|
|
|
4 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
10 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
2 |
|
|
|
5 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
110 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
39 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Other
assets |
|
|
35 |
|
|
|
2 |
|
|
|
- |
|
|
|
- |
|
|
|
|
Total
assets |
|
$ |
173 |
|
|
$ |
55 |
|
|
$ |
2 |
|
|
$ |
10 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Coal
|
|
MTM derivative liabilities |
|
$ |
4 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
- |
|
|
|
- |
|
|
|
4 |
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
|
5 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
6 |
|
|
|
2 |
|
|
|
- |
|
|
|
3 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
91 |
|
|
|
(b |
) |
|
|
78 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
12 |
|
|
|
- |
|
|
|
1 |
|
|
|
Other deferred credits and liabilities |
|
|
77 |
|
|
|
11 |
|
|
|
66 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
96 |
|
|
|
(b |
) |
|
|
19 |
|
|
|
(b |
) |
|
|
|
MTM derivative
liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
114 |
|
|
|
(b |
) |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Balance Sheet
Location |
|
Ameren(a) |
|
|
Ameren Missouri |
|
|
Ameren Illinois |
|
|
Genco |
|
|
|
Other current liabilities |
|
$ |
- |
|
|
$ |
15 |
|
|
$ |
- |
|
|
$ |
- |
|
|
|
Other deferred credits and liabilities |
|
|
117 |
|
|
|
2 |
|
|
|
88 |
|
|
|
- |
|
|
Uranium
|
|
MTM derivative liabilities |
|
|
1 |
|
|
|
(b |
) |
|
|
- |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
403 |
|
|
$ |
45 |
|
|
$ |
365 |
|
|
$ |
14 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Derivative assets
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
MTM derivative assets |
|
$ |
8 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other assets |
|
|
16 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
24 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative liabilities
designated as hedging instruments
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
Other deferred credits and liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
| |
|
Total liabilities |
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
Derivative assets not
designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative assets |
|
$ |
29 |
|
|
$ |
(b |
) |
|
$ |
(b |
) |
|
$ |
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
17 |
|
|
|
- |
|
|
|
10 |
|
|
|
Other assets |
|
|
8 |
|
|
|
6 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative assets |
|
|
6 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
2 |
|
|
|
1 |
|
|
|
2 |
|
|
|
Other assets |
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
Power
|
|
MTM derivative assets |
|
|
72 |
|
|
|
(b |
) |
|
|
(b |
) |
|
|
(b |
) |
|
|
Other current assets |
|
|
- |
|
|
|
30 |
|
|
|
- |
|
|
|
- |
|
|
|
Other assets |
|
|
99 |
|
|
|
- |
|
|
|
77 |
|
|
|
- |
|
| |
|
Total assets |
|
$ |
214 |
|
|
$ |
55 |
|
|
$ |
79 |
|
|
$ |
13 |
|
|
Derivative liabilities
not designated as hedging instruments(c)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Commodity
contracts:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils
|
|
MTM derivative liabilities |
|
$ |
2 |
|
|
$ |
(b |
) |
|
$ |
- |
|
|
$ |
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
Natural gas
|
|
MTM derivative liabilities |
|
|
106 |
|
|
|
(b |
) |
|
|
90 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
13 |
|
|
|
- |
|
|
|
2 |
|
|
|
Other deferred credits and liabilities |
|
|
92 |
|
|
|
13 |
|
|
|
79 |
|
|
|
- |
|
|
Power
|
|
MTM derivative liabilities |
|
|
53 |
|
|
|
(b |
) |
|
|
9 |
|
|
|
(b |
) |
|
|
MTM derivative liabilities - affiliates |
|
|
(b |
) |
|
|
(b |
) |
|
|
200 |
|
|
|
(b |
) |
|
|
Other current liabilities |
|
|
- |
|
|
|
9 |
|
|
|
- |
|
|
|
- |
|
|
|
Other deferred credits and liabilities |
|
|
26 |
|
|
|
- |
|
|
|
8 |
|
|
|
- |
|
|
Uranium
|
|
Other deferred credits and liabilities |
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
| |
|
Total liabilities |
|
$ |
280 |
|
|
$ |
37 |
|
|
$ |
386 |
|
|
$ |
3 |
|
| (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 June 30, 2012, and
December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Ameren |
|
|
Ameren
Missouri |
|
|
Ameren
Illinois |
|
|
Genco |
|
|
Other
(a) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
45 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
45 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
5 |
|
|
|
5 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(163 |
) |
|
|
(21 |
) |
|
|
(142 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
(82 |
) |
|
|
24 |
|
|
|
(221 |
) |
|
|
- |
|
|
|
115 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Cumulative gains (losses)
deferred in accumulated OCI:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power derivative
contracts(b)
|
|
$ |
19 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
19 |
|
|
Interest rate derivative
contracts(c)(d)
|
|
|
(8 |
) |
|
|
- |
|
|
|
- |
|
|
|
(8 |
) |
|
|
- |
|
|
Cumulative gains (losses)
deferred in regulatory liabilities or assets:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Fuel oils derivative
contracts(e)
|
|
|
19 |
|
|
|
19 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
Natural gas derivative
contracts(f)
|
|
|
(191 |
) |
|
|
(24 |
) |
|
|
(167 |
) |
|
|
- |
|
|
|
- |
|
|
Power derivative
contracts(g)
|
|
|
81 |
|
|
|
21 |
|
|
|
(140 |
) |
|
|
- |
|
|
|
200 |
|
|
Uranium derivative
contracts(h)
|
|
|
(1 |
) |
|
|
(1 |
) |
|
|
- |
|
|
|
- |
|
|
|
- |
|
| (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 2016 as of June 30, 2012. Current gains of $17
million and $5 million were recorded at Ameren as of June 30,
2012, and December 31, 2011, 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
covered the first 10 years of debt that has a 30-year maturity, and
the gain in OCI was amortized over a 10-year period that began in
June 2002. The balance of the gain was fully amortized as of
June 30, 2012. The carrying value at December 31, 2011,
was less than $1 million. |
| (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 June 30, 2012, and December 31, 2011, was a loss of $8
million and $9 million, respectively. Over the next twelve months,
$1.4 million of the loss will be amortized. |
| (e) |
Represents net gains on
fuel oils derivative contracts at Ameren Missouri. These contracts
are a partial hedge of Ameren Missouri’s transportation costs
for coal through October 2014 as of June 30, 2012. Current
gains deferred as regulatory liabilities include $7 million and $7
million at Ameren and Ameren Missouri as of June 30, 2012,
respectively. Current losses deferred as regulatory assets include
$2 million and $2 million at Ameren and Ameren Missouri as of
June 30, 2012, respectively. Current gains deferred as
regulatory liabilities include $16 million and $16 million at
Ameren and Ameren Missouri as of December 31, 2011,
respectively. Current losses deferred as regulatory assets include
$1 million and $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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 June 30, 2012. Current gains deferred as regulatory
liabilities include $2 million and $2 million at Ameren and Ameren
Illinois, respectively, as of June 30, 2012. Current losses
deferred as regulatory assets include $88 million, $10 million, and
$78 million at Ameren, Ameren Missouri and Ameren Illinois,
respectively, as of June 30, 2012. Current gains deferred as
regulatory liabilities include $1 million and $1 million at Ameren
and Ameren Illinois, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $101 million,
$11 million, and $90 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (g) |
Represents net losses
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 2015 at Ameren
Missouri, in each case as of June 30, 2012. Current gains
deferred as regulatory liabilities include $37 million and $37
million at Ameren and Ameren Missouri, respectively, as of
June 30, 2012. Current losses deferred as regulatory assets
include $33 million, $14 million, and $133 million at Ameren,
Ameren Missouri and Ameren Illinois, respectively, as of
June 30, 2012. Current gains deferred as regulatory
liabilities include $29 million and $29 million at Ameren and
Ameren Missouri, respectively, as of December 31, 2011.
Current losses deferred as regulatory assets include $17 million,
$8 million, and $209 million at Ameren, Ameren Missouri and Ameren
Illinois, respectively, as of December 31, 2011. |
| (h) |
Represents net losses on
uranium derivative contracts at Ameren Missouri. These contracts
are a partial hedge of our uranium requirements through December
2013 as of June 30, 2012. Current losses deferred as
regulatory assets include $1 million and $1 million at Ameren and
Ameren Missouri as of June 30, 2012, respectively. Current
losses deferred as regulatory assets include less than $1 million
and less than $1 million at Ameren and Ameren Missouri as of
December 31, 2011, 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) the 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 June 30, 2012, and
December 31, 2011, 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 |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
1 |
|
|
$ |
2 |
|
|
$ |
6 |
|
|
$ |
15 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
29 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
2 |
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
Genco
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
- |
|
|
$ |
1 |
|
|
$ |
- |
|
|
$ |
3 |
|
|
$ |
- |
|
|
$ |
6 |
|
|
Other(b)
|
|
|
187 |
|
|
|
10 |
|
|
|
46 |
|
|
|
14 |
|
|
|
18 |
|
|
|
465 |
(c) |
|
|
1 |
|
|
|
103 |
|
|
|
844 |
|
|
Ameren
|
|
$ |
188 |
|
|
$ |
11 |
|
|
$ |
51 |
|
|
$ |
20 |
|
|
$ |
35 |
|
|
$ |
469 |
|
|
$ |
4 |
|
|
$ |
103 |
|
|
$ |
881 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
4 |
|
|
$ |
26 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
71 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
85 |
|
|
Genco
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
2 |
|
|
|
6 |
|
|
|
- |
|
|
|
3 |
|
|
|
- |
|
|
|
13 |
|
|
Other(b)
|
|
|
275 |
|
|
|
1 |
|
|
|
3 |
|
|
|
10 |
|
|
|
51 |
|
|
|
194 |
(c) |
|
|
- |
|
|
|
87 |
|
|
|
621 |
|
|
Ameren
|
|
$ |
276 |
|
|
$ |
37 |
|
|
$ |
89 |
|
|
$ |
16 |
|
|
$ |
84 |
|
|
$ |
198 |
|
|
$ |
3 |
|
|
$ |
87 |
|
|
$ |
790 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
The potential
loss on counterparty exposures is reduced by the application of
master trading and netting agreements and collateral held to the
extent of reducing the exposure to zero. Collateral includes both
cash collateral and other collateral held. The amount of cash
collateral held by Ameren and Marketing Company from counterparties
and based on the contractual rights under the agreements to seek
collateral, as well as the maximum exposure as calculated under the
individual master trading and netting agreements, was $2 million
from marketing companies at June 30, 2012. Cash collateral
held by Ameren and Marketing Company was less than $1 million from
retail companies at December 31, 2011. As of June 30,
2012, other collateral used to reduce exposure consisted of letters
of credit in the amount of $7 million held by Ameren and Marketing
Company. As of December 31, 2011, other collateral used to
reduce exposure consisted of letters of credit in the amount of $9
million, $1 million, $1 million, and $7 million held by Ameren,
Ameren Missouri, Genco, and Marketing Company,
respectively.
The following
table presents the potential loss after consideration of collateral
and application of master trading and netting agreements as of
June 30, 2012, and December 31, 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
Affiliates(a) |
|
|
Coal
Producers
|
|
|
Commodity
Marketing
Companies
|
|
|
Electric
Utilities
|
|
|
Financial
Companies
|
|
|
Municipalities/
Cooperatives
|
|
|
Oil and Gas
Companies |
|
|
Retail
Companies
|
|
|
Total |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
2 |
|
|
$ |
2 |
|
|
$ |
8 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
16 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
Other(b)
|
|
|
186 |
|
|
|
5 |
|
|
|
38 |
|
|
|
3 |
|
|
|
13 |
|
|
|
459 |
(c)
|
|
|
- |
|
|
|
102 |
|
|
|
806 |
|
|
Ameren
|
|
$ |
186 |
|
|
$ |
5 |
|
|
$ |
42 |
|
|
$ |
5 |
|
|
$ |
21 |
|
|
$ |
463 |
|
|
$ |
1 |
|
|
$ |
102 |
|
|
$ |
825 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
AMO
|
|
$ |
1 |
|
|
$ |
35 |
|
|
$ |
1 |
|
|
$ |
3 |
|
|
$ |
22 |
|
|
$ |
4 |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
66 |
|
|
AIC
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
84 |
|
|
Genco
|
|
|
- |
|
|
|
- |
|
|
|
- |
|
|
|
1 |
|
|
|
1 |
|
|
|
- |
|
|
|
2 |
|
|
|
- |
|
|
|
4 |
|
|
Other(b)
|
|
|
273 |
|
|
|
- |
|
|
|
3 |
|
|
|
5 |
|
|
|
42 |
|
|
|
187 |
(c) |
|
|
- |
|
|
|
86 |
|
|
|
596 |
|
|
Ameren
|
|
$ |
274 |
|
|
$ |
35 |
|
|
$ |
88 |
|
|
$ |
9 |
|
|
$ |
65 |
|
|
$ |
191 |
|
|
$ |
2 |
|
|
$ |
86 |
|
|
$ |
750 |
|
| (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 for purposes of this disclosure, as it is
calculated without regard to the offsetting affiliate
counterparty’s liability position. See Note 14 - Related
Party Transactions in the Form 10-K for additional information on
these financial contracts. |
| (b) |
Includes amounts for
Marketing Company, AERG, and AFS. |
| (c) |
Primarily composed of
Marketing Company’s exposure to NPNS contracts with terms
through September 2035. |
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 June 30, 2012, and December 31, 2011, 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 June 30, 2012, or
December 31, 2011, 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) |
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
146 |
|
|
$ |
7 |
|
|
$ |
125 |
|
|
Ameren Illinois
|
|
|
174 |
|
|
|
91 |
|
|
|
106 |
|
|
Genco
|
|
|
48 |
|
|
|
1 |
|
|
|
41 |
|
|
Other(c)
|
|
|
86 |
|
|
|
12 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
454 |
|
|
$ |
111 |
|
|
$ |
335 |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren Missouri
|
|
$ |
102 |
|
|
$ |
8 |
|
|
$ |
86 |
|
|
Ameren Illinois
|
|
|
220 |
|
|
|
96 |
|
|
|
125 |
|
|
Genco
|
|
|
55 |
|
|
|
1 |
|
|
|
58 |
|
|
Other(c)
|
|
|
79 |
|
|
|
11 |
|
|
|
63 |
|
|
Ameren
|
|
$ |
456 |
|
|
$ |
116 |
|
|
$ |
332 |
|
| (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 six
months ended June 30, 2012, and 2011, associated with
derivative instruments designated as cash flow hedges.
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
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 |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
5 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
(1 |
) |
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(3 |
) |
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Operating Revenues -
Electric |
|
$ |
3 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
| Six
Months |
|
|
|
|
|
|
|
|
|
|
|
|
|
|
2012:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
23 |
|
|
Operating Revenues -
Electric |
|
$ |
6 |
|
|
Operating Revenues -
Electric |
|
$ |
1 |
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest
Charges |
|
|
(f |
) |
|
Interest
Charges |
|
|
- |
|
|
Genco:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Interest rate(e)
|
|
|
- |
|
|
Interest Charges |
|
|
(f |
) |
|
Interest Charges |
|
|
- |
|
|
2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Ameren:(d)
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
Power
|
|
$ |
(7 |
) |
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
Operating Revenues -
Electric |
|
$ |
2 |
|
|
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 six months
ended June 30, 2012 and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Location of
Gain (Loss)
Recognized
in Income
|
|
Gain
(Loss)
Recognized
in Income
|
|
| |
|
|
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(6 |
) |
|
$ |
- |
|
|
$ |
(10 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(18 |
) |
|
|
(9 |
) |
|
|
(13 |
) |
|
|
10 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
5 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues - Electric |
|
|
7 |
|
|
|
(5 |
) |
|
|
6 |
|
|
|
(7 |
) |
|
|
|
|
|
Total |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
(12 |
) |
|
$ |
3 |
|
|
Ameren Missouri
|
|
Natural gas
(generation) |
|
Operating
Expenses - Fuel |
|
$ |
- |
|
|
$ |
- |
|
|
$ |
- |
|
|
$ |
(1 |
) |
|
Genco
|
|
Coal |
|
Operating Expenses - Fuel |
|
$ |
(5 |
) |
|
$ |
- |
|
|
$ |
(8 |
) |
|
$ |
- |
|
|
|
Fuel oils
|
|
Operating Expenses - Fuel |
|
|
(14 |
) |
|
|
(8 |
) |
|
|
(10 |
) |
|
|
7 |
|
|
|
Natural gas
(generation)
|
|
Operating Expenses - Fuel |
|
|
4 |
|
|
|
- |
|
|
|
4 |
|
|
|
- |
|
|
|
|
Power
|
|
Operating
Revenues |
|
|
- |
|
|
|
(1 |
) |
|
|
- |
|
|
|
(1 |
) |
|
|
|
|
|
Total |
|
$ |
(15 |
) |
|
$ |
(9 |
) |
|
$ |
(14 |
) |
|
$ |
6 |
|
| (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 six months
ended June 30, 2012, and 2011:
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
|
| |
|
|
|
Gain (Loss) Recognized in Regulatory
Liabilities or Regulatory Assets |
|
| |
|
|
|
Three
Months |
|
|
Six
Months |
|
|
|
|
|
|
2012 |
|
|
2011 |
|
|
2012 |
|
|
2011 |
|
|
Ameren(a)
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
46 |
|
|
|
3 |
|
|
|
28 |
|
|
|
34 |
|
|
|
Power
|
|
|
(1 |
) |
|
|
88 |
|
|
|
(163 |
) |
|
|
90 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
26 |
|
|
$ |
75 |
|
|
$ |
(149 |
) |
|
$ |
136 |
|
|
Ameren Missouri
|
|
Fuel oils |
|
$ |
(19 |
) |
|
$ |
(13 |
) |
|
$ |
(14 |
) |
|
$ |
16 |
|
|
|
Natural gas
|
|
|
5 |
|
|
|
1 |
|
|
|
3 |
|
|
|
4 |
|
|
|
Power
|
|
|
4 |
|
|
|
23 |
|
|
|
3 |
|
|
|
23 |
|
|
|
Uranium
|
|
|
- |
|
|
|
(3 |
) |
|
|
- |
|
|
|
(4 |
) |
| |
|
Total
|
|
$ |
(10 |
) |
|
$ |
8 |
|
|
$ |
(8 |
) |
|
$ |
39 |
|
|
Ameren Illinois
|
|
Natural gas |
|
$ |
41 |
|
|
$ |
2 |
|
|
$ |
25 |
|
|
$ |
30 |
|
|
|
Power
|
|
|
63 |
|
|
|
121 |
|
|
|
(81 |
) |
|
|
148 |
|
| |
|
Total
|
|
$ |
104 |
|
|
$ |
123 |
|
|
$ |
(56 |
) |
|
$ |
178 |
|
| (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. The fair
value of the financial contracts included in “MTM derivative
liabilities - affiliates” on Ameren Illinois’ balance
sheet totaled $114 million and $200 million at June 30, 2012,
and December 31, 2011, respectively. See Note 14 - Related
Party Transactions under Part II, Item 8, of the Form 10-K for
additional information on these financial contracts.
|