Derivative Financial Instruments

3 Months Ended

Mar. 31, 2015

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DERIVATIVE FINANCIAL INSTRUMENTS

NOTE 6 - DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives to manage the risk of changes in market prices for natural gas, power, and uranium, as well as the risk of changes in rail transportation surcharges through fuel oil hedges. 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 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 commodity contract volumes by commodity type for derivative assets and liabilities as of March 31, 2015, and December 31, 2014. As of March 31, 2015, these contracts ran through October 2017, October 2019, May 2032, and October 2016 for fuel oils, natural gas, power, and uranium, respectively.

	Quantity (in millions, except as indicated)
	2015			2014
Commodity	Ameren Missouri	Ameren Illinois	Ameren	Ameren Missouri	Ameren Illinois	Ameren
Fuel oils (in gallons)(a)	40	(b)	40	50	(b)	50
Natural gas (in mmbtu)	29	121	150	28	108	136
Power (in megawatthours)	1	10	11	1	11	12
Uranium (pounds in thousands)	349	(b)	349	332	(b)	332

(a) Fuel oils consist of heating oil and ultra-low-sulfur diesel.

(b) Not applicable.

Authoritative accounting 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 discussion of our methods of assessing the fair value of derivative instruments. Many of our physical contracts, such as our 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. 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. We believe derivative losses and gains 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. As of March 31, 2015, and December 31, 2014, all contracts that qualify for hedge accounting received regulatory deferral.

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 a master netting arrangement. The Ameren Companies did not elect to adopt this guidance for any eligible commodity contracts.

The following table presents the carrying value and balance sheet location of all derivative commodity contracts, none of which were designated as hedging instruments, as of March 31, 2015, and December 31, 2014:

	Balance Sheet Location	Ameren Missouri		Ameren Illinois		Ameren
2015
Fuel oils	Other current assets	$	1	$	—	$	1
Natural gas	Other current assets	—		1		1
Power	Other current assets	7		—		7
	Total assets	$	8	$	1	$	9
Fuel oils	Other current liabilities	$	21	$	—	$	21
	Other deferred credits and liabilities	7		—		7
Natural gas	MTM derivative liabilities	(a)		32		(a)
	Other current liabilities	6		—		38
	Other deferred credits and liabilities	8		18		26
Power	MTM derivative liabilities	(a)		11		(a)
	Other current liabilities	1		—		12
	Other deferred credits and liabilities	—		153		153
Uranium	Other current liabilities	1		—		1
	Total liabilities	$	44	$	214	$	258
2014
Fuel oils	Other current assets	$	2	$	—	$	2
Natural gas	Other current assets	1		1		2
Power	Other current assets	15		—		15
	Total assets	$	18	$	1	$	19
Fuel oils	Other current liabilities	$	22	$	—	$	22
	Other deferred credits and liabilities	7		—		7
Natural gas	MTM derivative liabilities	(a)		31		(a)
	Other current liabilities	6		—		37
	Other deferred credits and liabilities	6		13		19
Power	MTM derivative liabilities	(a)		11		(a)
	Other current liabilities	3		—		14
	Other deferred credits and liabilities	—		131		131
Uranium	Other current liabilities	2		—		2
	Total liabilities	$	46	$	186	$	232

(a) Balance sheet line item not applicable to registrant.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments deferred in regulatory assets or regulatory liabilities as of March 31, 2015, and December 31, 2014:

	Ameren Missouri			Ameren Illinois			Ameren
2015
Fuel oils derivative contracts(a)	$	(27	)	$	—		$	(27	)
Natural gas derivative contracts(b)	(14		)	(49		)	(63		)
Power derivative contracts(c)	6			(164		)	(158		)
Uranium derivative contracts(d)	(1		)	—			(1		)
2014
Fuel oils derivative contracts	$	(29	)	$	—		$	(29	)
Natural gas derivative contracts	(11		)	(43		)	(54		)
Power derivative contracts	12			(142		)	(130		)
Uranium derivative contracts	(2		)	—			(2		)

(a) Represents net losses associated with fuel oils derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri’s rail transportation surcharges for coal through December 2017. Current losses deferred as regulatory assets include $20 million at Ameren and Ameren Missouri.

(b) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through October 2019 at Ameren and Ameren Missouri and through October 2018 at Ameren Illinois. Current gains deferred as regulatory liabilities include $1 million at Ameren and Ameren Illinois, respectively. Current losses deferred as regulatory assets include $38 million, $6 million, and $32 million at Ameren, Ameren Missouri, and Ameren Illinois, respectively.

(c) Represents net gains (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 2016 at Ameren Missouri. Current gains deferred as regulatory liabilities include $7 million at Ameren and Ameren Missouri. Current losses deferred as regulatory assets include $12 million, $1 million, and $11 million at Ameren, Ameren Missouri, and Ameren Illinois, respectively.

(d) Represents net losses on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri’s uranium requirements through December 2016. Current losses deferred as regulatory assets include $1 million at Ameren and Ameren Missouri.

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 netting arrangements, and reporting daily exposure to senior management.

We believe that entering into master netting arrangements 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 netting arrangements: (1) the 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 netting arrangements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at the master netting arrangement level by counterparty.

The following table provides the recognized gross derivative balances and the net amounts of those derivatives subject to an enforceable master netting arrangement or similar agreement as of March 31, 2015, and December 31, 2014:

			Gross Amounts Not Offset in the Balance Sheet
Commodity Contracts Eligible to be Offset	Gross Amounts Recognized in the Balance Sheet		Derivative Instruments		Cash Collateral Received/Posted(a)		Net Amount
2015
Assets:
Ameren Missouri	$	8	$	4	$	—	$	4
Ameren Illinois	1		—		—		1
Ameren	$	9	$	4	$	—	$	5
Liabilities:
Ameren Missouri	$	44	$	4	$	4	$	36
Ameren Illinois	214		—		2		212
Ameren	$	258	$	4	$	6	$	248
2014
Assets:
Ameren Missouri	$	18	$	5	$	—	$	13
Ameren Illinois	1		—		—		1
Ameren	$	19	$	5	$	—	$	14
Liabilities:
Ameren Missouri	$	46	$	5	$	5	$	36
Ameren Illinois	186		—		—		186
Ameren	$	232	$	5	$	5	$	222

(a) Cash collateral received reduces gross asset balances and is included in “Other current liabilities” and “Other deferred credits and liabilities” on the balance sheet. Cash collateral posted reduces gross liability balances and is included in “Other current assets” and “Other assets” on the balance sheet.

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 groupings according to the primary business in which each engages. We calculate maximum exposures based on the gross fair value of financial instruments, including NPNS and other accrual contracts. As of March 31, 2015, if counterparty groups were to fail completely to perform on contracts, Ameren, Ameren Missouri, and Ameren Illinois' maximum exposure was $6 million, $5 million, and $1 million, respectively. The potential loss on counterparty exposures is reduced by the application of master netting arrangements and collateral held, to the extent of reducing the exposure to zero. As of March 31, 2015, the potential loss after consideration of the application of master netting arrangements and collateral held for Ameren, Ameren Missouri, and Ameren Illinois was $5 million, $5 million, and $- million, respectively.

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 March 31, 2015, 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 netting arrangements, assuming (1) the credit risk-related contingent features underlying these arrangements were triggered on March 31, 2015, 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)
2015
Ameren Missouri	$	87	$	6	$	83
Ameren Illinois	80		2		74
Ameren	$	167	$	8	$	157

(a) Prior to consideration of master netting arrangements and including NPNS and other accrual contract exposures.

(b) As collateral requirements with certain counterparties are based on master netting arrangements, the aggregate amount of additional collateral required to be posted is determined after consideration of the effects of such arrangements.