Fair Value Measurements (Tables)

6 Months Ended

Jun. 30, 2018

Fair Value, Assets and Liabilities Measured on Nonrecurring Basis, Valuation Techniques

The following table describes the valuation techniques and unobservable inputs utilized by the Ameren Companies for the fair value of financial assets and liabilities measured at fair value on a recurring basis and classified as Level 3 in the fair value hierarchy for the periods ended June 30, 2018, and December 31, 2017:



		Fair Value								Weighted Average
		Assets		Liabilities			Valuation Technique(s)	Unobservable Input	Range	Weighted Average
Level 3 Derivative asset and liability – commodity contracts^(a):
2018
	Fuel oils	$	5	$	(1	)	Option model	Volatilities(%)^(b)	20 – 34	25
							Discounted cash flow	Counterparty credit risk(%)^(c)(d)	0.12 – 0.85	0.38
								Ameren Missouri credit risk(%)^(c)(d)	0.35	(e)
	Natural gas	1		(5		)	Discounted cash flow	Nodal basis ($/mmbtu)^(b)	(1.30) – 0.30	(0.90)
								Counterparty credit risk (%)^(c)(d)	0.23 – 1	0.81
								Ameren Illinois credit risk (%)^(c)(d)	0.35	(e)
	Power^(f)	7		(192		)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)^(g)	24 – 39	27
								Estimated auction price for FTRs ($/MW)^(b)	(898) – 1,180	57
								Nodal basis ($/MWh)^(g)	(10) – 0	(2)
								Counterparty credit risk (%)^(c)(d)	0.91	(e)
								Ameren Illinois credit risk (%)^(c)(d)	0.35	(e)
							Fundamental energy production model	Estimated future natural gas prices ($/mmbtu)^(b)	3	(e)
								Escalation rate (%)^(b)(h)	4	(e)
							Contract price allocation	Estimated renewable energy credit costs ($/credit)^(b)	5 – 7	6
2017
	Fuel oils	$	3	$	—		Option model	Volatilities (%)^(b)	20 – 26	22
							Discounted cash flow	Counterparty credit risk (%)^(c)(d)	0.12 – 0.72	0.41
								Ameren Missouri credit risk (%)^(c)(d)	0.37	(e)
	Natural gas	1		(4		)	Option model	Volatilities (%)^(b)	26 – 46	37
								Nodal basis ($/mmbtu)^(c)	(0.50) – (0.30)	(0.40)
							Discounted cash flow	Nodal basis ($/mmbtu)^(b)	(1.20) – 0.10	(1)
								Counterparty credit risk (%)^(c)(d)	0.37 – 0.92	0.53
								Ameren credit risk (%)^(c)(d)	0.37	(e)
	Power^(f)	8		(196		)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)^(g)	24 – 46	28
								Estimated auction price for FTRs ($/MW)^(b)	(65) – 1,823	251
								Nodal basis ($/MWh)^(g)	(10) – 0	(2)
								Counterparty credit risk (%)^(c)(d)	0.28	(e)
								Ameren Illinois credit risk (%)^(c)(d)	0.37	(e)
							Fundamental energy production model	Estimated future natural gas prices ($/mmbtu)^(b)	3 – 4	3
								Escalation rate (%)^(b)(h)	5	(e)
							Contract price allocation	Estimated renewable energy credit costs ($/credit)^(b)	5 – 7	6


(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)	Power valuations use visible third-party pricing evaluated by month for peak and off-peak demand through 2022 for June 30, 2018, and through 2021 for December 31, 2017. Valuations beyond 2022 for June 30, 2018, and 2021 for December 31, 2017, use fundamentally modeled pricing by month for peak and off-peak demand.


(g)	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.


(h)	Escalation rate applies to power prices in 2031 and beyond.

Schedule Of Fair Value Hierarchy Of Assets And Liabilities Measured At Fair Value On Recurring Basis

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, 2018:



		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	$	8	$	—	$	5	$	13
	Natural gas	—		1		1		2
	Power	—		—		7		7
	Total derivative assets – commodity contracts	$	8	$	1	$	13	$	22
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	481	$	—	$	—	$	481
	Debt securities:
	U.S. Treasury and agency securities	—		118		—		118
	Corporate bonds	—		78		—		78
	Other	—		31		—		31
	Total nuclear decommissioning trust fund	$	481	$	227	$	—	$	708	^(b)
	Total Ameren	$	489	$	228	$	13	$	730
Ameren Missouri	Derivative assets – commodity contracts^(a):
	Fuel oils	$	8	$	—	$	5	$	13
	Power	—		—		7		7
	Total derivative assets – commodity contracts	$	8	$	—	$	12	$	20
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	481	$	—	$	—	$	481
	Debt securities:
	U.S. Treasury and agency securities	—		118		—		118
	Corporate bonds	—		78		—		78
	Other	—		31		—		31
	Total nuclear decommissioning trust fund	$	481	$	227	$	—	$	708	^(b)
	Total Ameren Missouri	$	489	$	227	$	12	$	728
Ameren Illinois	Derivative assets – commodity contracts^(a):
	Natural gas	$	—	$	1	$	1	$	2
Liabilities:
Ameren	Derivative liabilities – commodity contracts^(a):
	Fuel oils	$	—	$	—	$	1	$	1
	Natural gas	1		26		5		32
	Power	—		—		192		192
	Total Ameren	$	1	$	26	$	198	$	225
Ameren Missouri	Derivative liabilities – commodity contracts^(a):
	Fuel oils	$	—	$	—	$	1	$	1
	Natural gas			7		—		7
	Power	—		—		2		2
	Total Ameren Missouri	$	—	$	7	$	3	$	10
Ameren Illinois	Derivative liabilities – commodity contracts^(a):
	Natural gas	$	1	$	19	$	5	$	25
	Power	—		—		190		190
	Total Ameren Illinois	$	1	$	19	$	195	$	215


(a)	The derivative asset and liability balances are presented net of counterparty credit considerations.


(b)	Balance excludes $6 million of cash and cash equivalents, 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, 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	$	4	$	—	$	3	$	7
	Natural gas	—		—		1		1
	Power	—		1		8		9
	Total derivative assets – commodity contracts	$	4	$	1	$	12	$	17
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	468	$	—	$	—	$	468
	Debt securities:
	U.S. Treasury and agency securities	—		125		—		125
	Corporate bonds	—		82		—		82
	Other	—		25		—		25
	Total nuclear decommissioning trust fund	$	468	$	232	$	—	$	700	^(b)
	Total Ameren	$	472	$	233	$	12	$	717
Ameren Missouri	Derivative assets – commodity contracts^(a):
	Fuel oils	$	4	$	—	$	3	$	7
	Natural gas	—		—		1		1
	Power	—		1		8		9
	Total derivative assets – commodity contracts	$	4	$	1	$	12	$	17
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	468	$	—	$	—	$	468
	Debt securities:
	U.S. Treasury and agency securities	—		125		—		125
	Corporate bonds	—		82		—		82
	Other	—		25		—		25
	Total nuclear decommissioning trust fund	$	468	$	232	$	—	$	700	^(b)
	Total Ameren Missouri	$	472	$	233	$	12	$	717
Liabilities:
Ameren	Derivative liabilities – commodity contracts^(a):
	Natural gas	$	1	$	25	$	4	$	30
	Power	—		—		196		196
	Total Ameren	$	1	$	25	$	200	$	226
Ameren Missouri	Derivative liabilities – commodity contracts^(a):
	Natural gas	$	—	$	7	$	1	$	8
	Power	—		—		1		1
	Total Ameren Missouri	$	—	$	7	$	2	$	9
Ameren Illinois	Derivative liabilities – commodity contracts^(a):
	Natural gas	$	1	$	18	$	3	$	22
	Power	—		—		195		195
	Total Ameren Illinois	$	1	$	18	$	198	$	217


(a)	The derivative asset and liability balances are presented net of counterparty credit considerations.


(b)	Balance excludes $4 million of cash and cash equivalents, receivables, payables, and accrued income, net.

Schedule Of Changes In The Fair Value Of Financial Assets And Liabilities Classified As Level Three In The Fair Value Hierarchy

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, 2018
Beginning balance at April 1, 2018	$	4		$	(191	)	$	(187	)
Realized and unrealized losses included in regulatory assets/liabilities		(1	)		(2	)		(3	)
Purchases		4			—			4
Settlements		(2	)		3			1
Ending balance at June 30, 2018	$	5		$	(190	)	$	(185	)
Change in unrealized losses related to assets/liabilities held at June 30, 2018	$	—		$	(3	)	$	(3	)
For the three months ended June 30, 2017
Beginning balance at April 1, 2017	$	4		$	(194	)	$	(190	)
Realized and unrealized 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 losses related to assets/liabilities held at June 30, 2017	$	—		$	(2	)	$	(2	)
For the six months ended June 30, 2018
Beginning balance at January 1, 2018	$	7		$	(195	)	$	(188	)
Realized and unrealized losses included in regulatory assets/liabilities		(3	)		(1	)		(4	)
Purchases		4			—			4
Settlements		(3	)		6			3
Ending balance at June 30, 2018	$	5		$	(190	)	$	(185	)
Change in unrealized losses related to assets/liabilities held at June 30, 2018	$	(1	)	$	(2	)	$	(3	)
For the six months ended June 30, 2017
Beginning balance at January 1, 2017	$	7		$	(185	)	$	(178	)
Realized and unrealized 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 losses related to assets/liabilities held at June 30, 2017	$	—		$	(13	)	$	(13	)

Schedule Of Carrying Amounts And Estimated Fair Values Of Long-Term Debt, Capital Lease Obligations And Preferred Stock

The following table sets forth, by level within the fair value hierarchy, the carrying amount and fair value of financial assets and liabilities disclosed, but not carried, at fair value as of June 30, 2018, and December 31, 2017:



	June 30, 2018
	Carrying Amount			Fair Value
	Carrying Amount			Level 1		Level 2		Level 3			Total
Ameren:
Cash, cash equivalents, and restricted cash	$	96		$	96	$	—	$	—		$	96
Investments in held-to-maturity debt securities^(a)	276			—		276		—			276
Short-term debt	506			—		506		—			506
Long-term debt (including current portion)^(a)	8,460		^(b)	—		8,411		438		^(c)	8,849
Preferred stock^(d)	142			—		140		—			140
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	25		$	25	$	—	$	—		$	25
Advances to money pool	66			—		66		—			66
Investments in held-to-maturity debt securities^(a)	276			—		276		—			276
Long-term debt (including current portion)^(a)	4,202		^(b)	—		4,544		—			4,544
Preferred stock	80			—		79		—			79
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	57		$	57	$	—	$	—		$	57
Borrowings from money pool	31			—		31		—			31
Long-term debt (including current portion)	3,113		^(b)	—		3,187		—			3,187
Preferred stock	62			—		61		—			61
	December 31, 2017
Ameren:
Cash, cash equivalents, and restricted cash	$	68		$	68	$	—	$	—		$	68
Investments in held-to-maturity debt securities^(a)	276			—		276		—			276
Short-term debt	484			—		484		—			484
Long-term debt (including current portion)^(a)	7,935		^(b)	—		8,531		—			8,531
Preferred stock^(c)	142			—		131		—			131
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	7		$	7	$	—	$	—		$	7
Investments in held-to-maturity debt securities^(a)	276			—		276		—			276
Short-term debt	39			—		39		—			39
Long-term debt (including current portion)^(a)	3,961		^(b)	—		4,348		—			4,348
Preferred stock	80			—		80		—			80
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	41		$	41	$	—	$	—		$	41
Short-term debt	62			—		62		—			62
Long-term debt (including current portion)	2,830		^(b)	—		3,028		—			3,028
Preferred stock	62			—		51		—			51

(a)

Ameren and Ameren Missouri have investments in industrial revenue bonds, classified as held-to-maturity and recorded in “Other Assets,” that are equal to the capital lease obligation for CTs leased from the city of Bowling Green and Audrain County. As of June 30, 2018, and December 31, 2017, the carrying amount of both the investments in industrial revenue bonds and the capital lease obligations approximated fair value.

(b)

Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $56 million, $23 million, and $27 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of June 30, 2018. Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $50 million, $20 million, and $24 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2017.


(c)	The Level 3 fair value amount consists of ATXI’s senior unsecured notes. In the first quarter of 2018, the amount was transferred to Level 3 because inputs to the valuation model became unobservable during the period.


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