Derivative Financial Instruments

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

We use derivatives to manage the risk of changes in market prices for natural gas and power, 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 inventories that differ from the cost of those commodities in inventory;

•actual cash outlays for the purchase of these commodities that differ from anticipated cash outlays; and

•actual off-system sales revenues that differ from anticipated revenues

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.

All contracts considered to be derivative instruments are required to be recorded on the balance sheet at their fair values, unless the NPNS exception applies. 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. The following disclosures exclude NPNS contracts and other non-derivative commodity contracts that are accounted for under the accrual method of accounting.

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 whether the resulting gains or losses 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 liabilities in the period in which the change occurs. We believe derivative losses and gains deferred as regulatory assets and liabilities are probable of recovery, or refund, through future rates charged to customers. Regulatory assets and 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, 2021, and December 31, 2020, all contracts that met the definition of a derivative and were not eligible for the NPNS exception received regulatory deferral. Cash flows for all derivative financial instruments are classified in cash flows from operating activities.

The following table presents open gross commodity contract volumes by commodity type for derivative assets and liabilities as of March 31, 2021, and December 31, 2020. As of March 31, 2021, these contracts extended through October 2023, October 2026, and May 2032 for fuel oils, natural gas and power, respectively.


	Quantity (in millions, except as indicated)
	March 31, 2021			December 31, 2020
Commodity	Ameren Missouri	Ameren Illinois	Ameren	Ameren Missouri	Ameren Illinois	Ameren
Fuel oils (in gallons)	36	—	36	43	—	43
Natural gas (in mmbtu)	34	114	148	33	114	147
Power (in MWhs)	7	7	14	6	7	13

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, 2021, and December 31, 2020:


			March 31, 2021					December 31, 2020
	Balance Sheet Location		Ameren Missouri		Ameren Illinois		Ameren			Ameren Missouri		Ameren Illinois		Ameren









Fuel oils	Other current assets	$	2	$	—	$	2		$	2	$	—	$	2
	Other assets		3		—		3			—		—		—


Natural gas	Other current assets		2		10		12			1		8		9
	Other assets		2		4		6			2		2		4


Power	Other current assets		4		—		4			7		—		7
	Other assets		1		—		1			—		—		—


	Total assets	$	14	$	14	$	28		$	12	$	10	$	22





Fuel oils	Other current liabilities	$	3	$	—	$	3		$	7	$	—	$	7
	Other deferred credits and liabilities		—		—		—			2		—		2


Natural gas	Other current liabilities		—		—		—			1		1		2
	Other deferred credits and liabilities		—		—		—			—		1		1


Power	Other current liabilities		9		16		25			3		17		20
	Other deferred credits and liabilities		5		169		174			8		181		189



	Total liabilities	$	17	$	185	$	202		$	21	$	200	$	221

The Ameren Companies elect to present the fair value amounts of derivative assets and derivative liabilities subject to an enforceable master netting arrangement or similar agreement at the gross amounts on the balance sheet. However, if the gross amounts recognized on the balance sheet were netted with derivative instruments and cash collateral received or posted, the net amounts would not be materially different from the gross amounts at March 31, 2021, and December 31, 2020.

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. As of March 31, 2021, if counterparty groups were to fail completely to perform on contracts, the Ameren Companies’ maximum exposure related to derivative assets would have been immaterial with or without consideration of the application of master netting arrangements or similar agreements and collateral held.

Certain of our derivative instruments contain collateral provisions tied to the Ameren Companies’ credit ratings. If our credit ratings were downgraded below investment grade, or if a counterparty with reasonable grounds for uncertainty regarding our ability to satisfy an obligation requested adequate assurance of performance, additional collateral postings might be required. The additional collateral required is the net liability position allowed under master netting arrangements or similar agreements, assuming (1) the credit risk-related contingent features underlying these arrangements were triggered and (2) those counterparties with rights to do so requested collateral. As of March 31, 2021, the aggregate fair value of 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 counterparties could require were each immaterial to Ameren, Ameren

Missouri, and Ameren Illinois.