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Fair Value Measurements
 6 Months Ended
Jun. 30, 2017
Fair Value Disclosures [Abstract]  
FAIR VALUE MEASUREMENTS
FAIR VALUE MEASUREMENTS
Fair value is defined as the price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants on the measurement date. We use various methods to determine fair value, including market, income, and cost approaches. With these approaches, we adopt certain assumptions that market participants would use in pricing the asset or liability, including assumptions about market risk or the risks inherent in the inputs to the valuation. Inputs to valuation can be readily observable, market-corroborated, or unobservable. We use valuation techniques that maximize the use of observable inputs and minimize the use of unobservable inputs. Authoritative accounting guidance established a fair value hierarchy that prioritizes the inputs used to measure fair value.
All financial assets and liabilities carried at fair value are classified and disclosed in one of three hierarchy levels. See Note 8 – Fair Value Measurements under Part II, Item 8, of the Form 10-K for information related to hierarchy levels. We perform an analysis each quarter to determine the appropriate hierarchy level of the assets and liabilities subject to fair value measurements. Financial assets and liabilities are classified in their entirety according to the lowest level of input that is significant to the fair value measurement. All assets and liabilities whose fair value measurement is based on significant unobservable inputs are classified as Level 3.
The following table describes the valuation techniques and unobservable inputs utilized by the Ameren Companies for the fair value of financial assets and liabilities classified as Level 3 in the fair value hierarchy for the periods ended June 30, 2017 and December 31, 2016:
 
 
Fair Value
 
 
 
Weighted Average
 
 
Assets
Liabilities
Valuation Technique(s)
Unobservable Input
Range
Level 3 Derivative asset and liability – commodity contracts(a):
 
 
 
2017
 
 
 
 
 
 
 
 
Fuel oils
$
1

$
(2
)
Option model
Volatilities(%)(b)
26 – 36
27
 
 
 
 
Discounted cash flow
Counterparty credit risk(%)(c)(d)
0.22
(e)
 
 
 
 
 
Ameren Missouri credit risk(%)(c)(d)
0.37
(e)
 
 
 
 
 
Escalation rate (%)(b)(f)
0 – 1
0
 
Natural gas
—

(2
)
Discounted cash flow
Nodal basis ($/mmbtu)(b)
(0.80) – (0.10)
(0.70)
 
 
 
 
 
Counterparty credit risk (%)(c)(d)
0.45 – 6
0.82
 
 
 
 
 
Ameren Illinois credit risk (%)(c)(d)
0.37
(e)
 
 
Fair Value
 
 
 
Weighted Average
 
 
Assets
Liabilities
Valuation Technique(s)
Unobservable Input
Range
 
Power(g)
$
15

$
(193
)
Discounted cash flow
Average forward peak and off-peak pricing – forwards/swaps ($/MWh)(h)
25 – 42
29
 
 
 
 
 
Estimated auction price for FTRs ($/MW)(b)
(730) – 1,398
284
 
 
 
 
 
Nodal basis ($/MWh)(h)
(3) – 0
(2)
 
 
 
 
 
Ameren Illinois credit risk (%)(c)(d)
0.37
(e)
 
 
 
 
Fundamental energy production model
Estimated future natural gas prices ($/mmbtu)(b)
3 – 4
3
 
 
 
 
 
Escalation rate (%)(b)(i)
3
(e)
 
 
 
 
Contract price allocation
Estimated renewable energy credit costs ($/credit)(b)
5 – 7
6
2016
 
 
 
 
 
 
 
 
Fuel oils
$
1

$
—

Option model
Volatilities (%)(b)
24 – 66
28
 
 
 
 
Discounted cash flow
Counterparty credit risk (%)(c)(d)
0.13 – 0.22
0.15
 
 
 
 
 
Ameren Missouri credit risk (%)(c)(d)
0.38
(e)
 
 
 
 
 
Escalation rate (%)(b)(f)
(2) – 2
0
 
Natural gas
1

(1
)
Option model
Volatilities (%)(b)
31 – 66
36
 
 
 
 
 
Nodal basis ($/mmbtu)(b)
(0.40) – (0.10)
(0.20)
 
 
 
 
Discounted cash flow
Nodal basis ($/mmbtu)(b)
(0.80) – 0
(0.50)
 
 
 
 
 
Counterparty credit risk (%)(c)(d)
0.13 – 8
1
 
 
 
 
 
Ameren Illinois credit risk (%)(c)(d)
0.38
(e)
 
Power(g)
9

(187
)
Discounted cash flow
Average forward peak and off-peak pricing – forwards/swaps ($/MWh)(h)
26 – 44
29
 
 
 
 
 
Estimated auction price for FTRs ($/MW)(b)
(71) – 5,270
125
 
 
 
 
 
Nodal basis ($/MWh)(h)
(6) – 0
(2)
 
 
 
 
 
Ameren Illinois credit risk (%)(c)(d)
0.38
(e)
 
 
 
 
Fundamental energy production model
Estimated future natural gas prices ($/mmbtu)(b)
3 – 4
3
 
 
 
 
 
Escalation rate (%)(b)(i)
5
(e)
 
 
 
 
Contract price allocation
Estimated renewable energy credit costs ($/credit)(b)
5 – 7
6
 
Uranium
—

(4
)
Option model
Volatilities (%)(b)
24
(e)
 
 
 
 
Discounted cash flow
Average forward uranium pricing ($/pound)(b)
22 – 24
22
 
 
 
 
 
Ameren Missouri credit risk (%)(c)(d)
0.38
(e)

(a)
The derivative asset and liability balances are presented net of counterparty credit considerations.
(b)
Generally, significant increases (decreases) in this input in isolation would result in a significantly higher (lower) fair value measurement.
(c)
Generally, significant increases (decreases) in this input in isolation would result in a significantly lower (higher) fair value measurement.
(d)
Counterparty credit risk is applied only to counterparties with derivative asset balances. Ameren Missouri and Ameren Illinois credit risk is applied only to counterparties with derivative liability balances.
(e)
Not applicable.
(f)
Escalation rate applies to fuel oil prices 2019 and beyond.
(g)
Power valuations use visible third-party pricing evaluated by month for peak and off-peak demand through 2021 for June 30, 2017 and through 2020 for December 31, 2016. Valuations beyond 2021 for June 30, 2017 and 2020 for December 31, 2016 use fundamentally modeled pricing by month for peak and off-peak demand.
(h)
The balance at Ameren is comprised of Ameren Missouri and Ameren Illinois power contracts, which respond differently to unobservable input changes due to their opposing positions.
(i)
Escalation rate applies to power prices in 2031 and beyond.
We consider nonperformance risk in our valuation of derivative instruments by analyzing the credit standing of our counterparties and considering any counterparty credit enhancements (e.g., collateral). The guidance also requires that the fair value measurement of liabilities reflect the nonperformance risk of the reporting entity, as applicable. Therefore, we have factored the impact of our credit standing, as well as any potential credit enhancements, into the fair value measurement of both derivative assets and derivative liabilities. Included in our valuation, and based on current market conditions, is a valuation adjustment for counterparty default derived from market data such as the price of credit default swaps, bond yields, and credit ratings. No gains or losses related to valuation adjustments for counterparty default risk were recorded at Ameren, Ameren Missouri, or Ameren Illinois in the three and six months ended June 30, 2017 or 2016. At June 30, 2017, and December 31, 2016, the counterparty default risk valuation adjustment related to derivative contracts was immaterial for Ameren, Ameren Missouri, and Ameren Illinois.
The following table sets forth, by level within the fair value hierarchy, our assets and liabilities measured at fair value on a recurring basis as of June 30, 2017:
 
 
 
Quoted Prices in
Active Markets for
Identical Assets
or Liabilities
(Level 1)
 
Significant Other
Observable 
Inputs
(Level 2)
 
Significant Other
Unobservable
Inputs
(Level 3)
 
Total
 
Assets:
 
 
 
 
 
 
 
 
 
 
Ameren
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
—

 
$
—

 
$
1

 
$
1

 
 
Natural gas
 
1

 
1

 
—

 
2

 
 
Power
 
—

 
—

 
15

 
15

 
 
Total derivative assets – commodity contracts
 
$
1

 
$
1

 
$
16

 
$
18

 
 
Nuclear decommissioning trust fund:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
2

 
$
—

 
$
—

 
$
2

 
 
Equity securities:
 
 
 
 
 
 
 
 
 
 
U.S. large capitalization
 
426

 
—

 
—

 
426

 
 
Debt securities:
 
 
 
 
 
 
 
 
 
 
U.S. treasury and agency securities
 
—

 
115

 
—

 
115

 
 
Corporate bonds
 
—

 
83

 
—

 
83

 
 
Other
 
—

 
23

 
—

 
23

 
 
Total nuclear decommissioning trust fund
 
$
428

 
$
221

 
$
—

 
$
649

(b) 
 
Total Ameren
 
$
429

 
$
222

 
$
16

 
$
667

 
Ameren Missouri
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
—

 
$
—

 
$
1

 
$
1

 
 
Power
 
—

 
—

 
15

 
15

 
 
Total derivative assets – commodity contracts
 
$
—

 
$
—

 
$
16

 
$
16

 
 
Nuclear decommissioning trust fund:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
2

 
$
—

 
$
—

 
$
2

 
 
Equity securities:
 
 
 
 
 
 
 
 
 
 
U.S. large capitalization
 
426

 
—

 
—

 
426

 
 
Debt securities:
 
 
 
 
 
 
 
 
 
 
U.S. treasury and agency securities
 
—

 
115

 
—

 
115

 
 
Corporate bonds
 
—

 
83

 
—

 
83

 
 
Other
 
—

 
23

 
—

 
23

 
 
Total nuclear decommissioning trust fund
 
$
428

 
$
221

 
$
—

 
$
649

(b) 
 
Total Ameren Missouri
 
$
428

 
$
221

 
$
16

 
$
665

 
Ameren Illinois
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Natural gas
 
$
1

 
$
1

 
$
—

 
$
2

 
Liabilities:
 
 
 
 
 
 
 
 
 
 
Ameren
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
4

 
$
—

 
$
2

 
$
6

 
 
Natural gas
 
—

 
20

 
2

 
22

 
 
Power
 
—

 
—

 
193

 
193

 
 
Total Ameren
 
$
4

 
$
20

 
$
197

 
$
221

 
Ameren Missouri
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
4

 
$
—

 
$
2

 
$
6

 
 
Natural gas
 
—

 
7

 
—

 
7

 
 
Power
 
—

 
—

 
1

 
1

 
 
Total Ameren Missouri
 
$
4

 
$
7

 
$
3

 
$
14

 
Ameren Illinois
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Natural gas
 
$
—

 
$
13

 
$
2

 
$
15

 
 
Power
 
—

 
—

 
192

 
192

 
 
Total Ameren Illinois
 
$
—

 
$
13

 
$
194

 
$
207

 
(a)
The derivative asset and liability balances are presented net of counterparty credit considerations.
(b)
Balance excludes $2 million of receivables, payables, and accrued income, net.
The following table sets forth, by level within the fair value hierarchy, our assets and liabilities measured at fair value on a recurring basis as of December 31, 2016:
 
 
 
Quoted Prices in
Active Markets for
Identical Assets
or Liabilities
(Level 1)
 
Significant Other
Observable 
Inputs
(Level 2)
 
Significant Other
Unobservable
Inputs
(Level 3)
 
Total
 
Assets:
 
 
 
 
 
 
 
 
 
 
Ameren
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
2

 
$
—

 
$
1

 
$
3

 
 
Natural gas
 
2

 
12

 
1

 
15

 
 
Power
 
—

 
—

 
9

 
9

 
 
Total derivative assets – commodity contracts
 
$
4

 
$
12

 
$
11

 
$
27

 
 
Nuclear decommissioning trust fund:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
1

 
$
—

 
$
—

 
$
1

 
 
Equity securities:
 
 
 
 
 
 
 
 
 
 
U.S. large capitalization
 
408

 
—

 
—

 
408

 
 
Debt securities:
 
 
 
 
 
 
 
 
 
 
U.S. treasury and agency securities
 
—

 
112

 
—

 
112

 
 
Corporate bonds
 
—

 
67

 
—

 
67

 
 
Other
 
—

 
17

 
—

 
17

 
 
Total nuclear decommissioning trust fund
 
$
409

 
$
196

 
$
—

 
$
605

(b) 
 
Total Ameren
 
$
413

 
$
208

 
$
11

 
$
632

 
Ameren Missouri
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
2

 
$
—

 
$
1

 
$
3

 
 
Natural gas
 
—

 
1

 
1

 
2

 
 
Power
 
—

 
—

 
9

 
9

 
 
Total derivative assets – commodity contracts
 
$
2

 
$
1

 
$
11

 
$
14

 
 
Nuclear decommissioning trust fund:
 
 
 
 
 
 
 
 
 
 
Cash and cash equivalents
 
$
1

 
$
—

 
$
—

 
$
1

 
 
Equity securities:
 
 
 
 
 
 
 
 
 
 
U.S. large capitalization
 
408

 
—

 
—

 
408

 
 
Debt securities:
 
 
 
 
 
 
 
 
 
 
U.S. treasury and agency securities
 
—

 
112

 
—

 
112

 
 
Corporate bonds
 
—

 
67

 
—

 
67

 
 
Other
 
—

 
17

 
—

 
17

 
 
Total nuclear decommissioning trust fund
 
$
409

 
$
196

 
$
—

 
$
605

(b) 
 
Total Ameren Missouri
 
$
411

 
$
197

 
$
11

 
$
619

 
Ameren Illinois
Derivative assets – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Natural gas
 
$
2

 
$
11

 
$
—

 
$
13

 
Liabilities:
 
 
 
 
 
 
 
 
 
 
Ameren
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
5

 
$
—

 
$
—

 
$
5

 
 
Natural gas
 
—

 
13

 
1

 
14

 
 
Power
 
—

 
1

 
187

 
188

 
 
Uranium
 
—

 
—

 
4

 
4

 
 
Total Ameren
 
$
5

 
$
14

 
$
192

 
$
211

 
Ameren Missouri
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Fuel oils
 
$
5

 
$
—

 
$
—

 
$
5

 
 
Natural gas
 
—

 
6

 
—

 
6

 
 
Power
 
—

 
1

 
2

 
3

 
 
Uranium
 
—

 
—

 
4

 
4

 
 
Total Ameren Missouri
 
$
5

 
$
7

 
$
6

 
$
18

 
Ameren Illinois
Derivative liabilities – commodity contracts(a):
 
 
 
 
 
 
 
 
 
 
Natural gas
 
$
—

 
$
7

 
$
1

 
$
8

 
 
Power
 
—

 
—

 
185

 
185

 
 
Total Ameren Illinois
 
$
—

 
$
7

 
$
186

 
$
193

 
(a)
The derivative asset and liability balances are presented net of counterparty credit considerations.
(b)
Balance excludes $2 million of receivables, payables, and accrued income, net.
All costs related to financial assets and liabilities classified as Level 3 in the fair value hierarchy are expected to be recoverable through customer rates; therefore, there is no impact to net income resulting from changes in the fair value of these instruments. For the three and six months ended June 30, 2017 and 2016, the balances and changes in the fair value of Level 3 financial assets and liabilities associated with fuel oils, natural gas, and uranium were immaterial.
The following table summarizes the changes in the fair value of power financial assets and liabilities classified as Level 3 in the fair value hierarchy:
  
 
Net derivative commodity contracts
 
 
Ameren
Missouri
 
Ameren
Illinois
 
Ameren
For the three months ended June 30, 2017
 
 
 
 
 
 
Beginning balance at April 1, 2017
$
4

$
(194
)
$
(190
)
Realized and unrealized gains (losses) included in regulatory assets/liabilities
 
(1
)
 
(1
)
 
(2
)
Purchases
 
15

 
—

 
15

Settlements
 
(4
)
 
3

 
(1
)
Ending balance at June 30, 2017
$
14

$
(192
)
$
(178
)
Change in unrealized gains (losses) related to assets/liabilities held at June 30, 2017
$
—

$
(2
)
$
(2
)
For the three months ended June 30, 2016
 
 
 
 
 
 
Beginning balance at April 1, 2016
$
6

$
(187
)
$
(181
)
Realized and unrealized gains (losses) included in regulatory assets/liabilities
 
(1
)
 
14

 
13

Purchases
 
13

 
—

 
13

Settlements
 
(4
)
 
4

 
—

Ending balance at June 30, 2016
$
14

$
(169
)
$
(155
)
Change in unrealized gains (losses) related to assets/liabilities held at June 30, 2016
$
—

$
14

$
14

For the six months ended June 30, 2017
 
 
 
 
 
 
Beginning balance at January 1, 2017
$
7

$
(185
)
$
(178
)
Realized and unrealized gains (losses) included in regulatory assets/liabilities
 
(1
)
 
(11
)
 
(12
)
Purchases
 
15

 
—

 
15

Settlements
 
(7
)
 
4

 
(3
)
Ending balance at June 30, 2017
$
14

$
(192
)
$
(178
)
Change in unrealized gains (losses) related to assets/liabilities held at June 30, 2017
$
—

$
(13
)
$
(13
)
For the six months ended June 30, 2016
 
 
 
 
 
 
Beginning balance at January 1, 2016
$
16

$
(170
)
$
(154
)
Realized and unrealized gains (losses) included in regulatory assets/liabilities
 
(4
)
 
(7
)
 
(11
)
Purchases
 
13

 
—

 
13

Settlements
 
(11
)
 
8

 
(3
)
Ending balance at June 30, 2016
$
14

$
(169
)
$
(155
)
Change in unrealized gains (losses) related to assets/liabilities held at June 30, 2016
$
—

$
(5
)
$
(5
)

Transfers into or out of Level 3 represent either (1) existing assets and liabilities that were previously categorized as a higher level, but were recategorized to Level 3 because the inputs to the model became unobservable during the period or (2) existing assets and liabilities that were previously classified as Level 3, but were recategorized to a higher level because the lowest significant input became observable during the period. For the three and six months ended June 30, 2017 and 2016, there were no material transfers between Level 1 and Level 2, Level 1 and Level 3, or Level 2 and Level 3 related to derivative commodity contracts.
The Ameren Companies’ carrying amounts of cash and cash equivalents approximate fair value because of the short-term nature of these instruments. They are considered to be Level 1 in the fair value hierarchy. The Ameren Companies' short-term borrowings also approximate fair value because of their short-term nature. Short-term borrowings are considered to be Level 2 in the fair value hierarchy as they are valued based on market rates for similar market transactions. The estimated fair value of long-term debt and preferred stock is based on the quoted market prices for same or similar issuances for companies with similar credit profiles or on the current rates offered to the Ameren Companies for similar financial instruments, which fair value measurement is considered to be Level 2 in the fair value hierarchy.
The following table presents the carrying amounts and estimated fair values of our long-term debt, capital lease obligations and preferred stock at June 30, 2017, and December 31, 2016:
 
June 30, 2017
 
December 31, 2016
 
Carrying
Amount
 
Fair
Value
 
Carrying
Amount
 
Fair
Value
Ameren:
 
 
 
 
 
 
 
Long-term debt and capital lease obligations (including current portion)
$
7,399

 
$
7,942

 
$
7,276

 
$
7,772

Preferred stock(a)
142

 
131

 
142

 
131

Ameren Missouri:
 
 
 
 
 
 
 
Long-term debt and capital lease obligations (including current portion)
$
3,966

 
$
4,310

 
$
3,994

 
$
4,304

Preferred stock
80

 
79

 
80

 
79

Ameren Illinois:
 
 
 
 
 
 
 
Long-term debt (including current portion)
$
2,589

 
$
2,773

 
$
2,588

 
$
2,765

Preferred stock
62

 
52

 
62

 
52

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