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Fair Value Measurements
 3 Months Ended
Mar. 31, 2021
Fair Value Disclosures [Abstract]  
Fair Value Disclosures 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. Fair value measurements are classified in three levels based on the fair value hierarchy as defined by GAAP. See Note 8 – Fair Value Measurements under Part II, Item 8, of the Form 10-K for information related to hierarchy levels and valuation techniques.
We consider nonperformance risk in our valuation of derivative instruments by analyzing our own credit standing and the credit standing of our counterparties, and by considering any credit enhancements (e.g., collateral). 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 material gains or losses related to valuation adjustments for counterparty default risk were recorded at Ameren, Ameren Missouri, or Ameren Illinois in the three months ended March 31, 2021 or 2020. At March 31, 2021, and December 31, 2020, 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 March 31, 2021, and December 31, 2020:
March 31, 2021December 31, 2020
Level 1Level 2Level 3TotalLevel 1Level 2Level 3Total
Assets:
Ameren Missouri
Derivative assets – commodity contracts:
Fuel oils$4 $— $1 $5 $— $— $2 $2 
Natural gas— 4 — 4 — 3 — 3 
Power2 — 3 5 2 — 5 7 
Total derivative assets – commodity contracts$6 $4 $4 $14 $2 $3 $7 $12 
Nuclear decommissioning trust fund:
Equity securities:
U.S. large capitalization$679 $— $— $679 $680 $— $— $680 
Debt securities:
U.S. Treasury and agency securities— 133 — 133 — 115 — 115 
Corporate bonds— 128 — 128 — 115 — 115 
Other— 63 — 63 — 67 — 67 
Total nuclear decommissioning trust fund$679 $324 $— $1,003 
(a)
$680 $297 $— $977 
(a)
Total Ameren Missouri$685 $328 $4 $1,017 $682 $300 $7 $989 
Ameren Illinois
Derivative assets – commodity contracts:
Natural gas$— $10 $4 $14 $— $6 $4 $10 
Ameren
Derivative assets – commodity contracts(b)
$6 $14 $8 $28 $2 $9 $11 $22 
Nuclear decommissioning trust fund(c)
679 324 — 1,003 
(a)
680 297 — 977 
(a)
Total Ameren$685 $338 $8 $1,031 $682 $306 $11 $999 
Liabilities:
Ameren Missouri
Derivative liabilities – commodity contracts:
Fuel oils$1 $— $2 $3 $6 $— $3 $9 
Natural gas— — — — — 1 — 1 
Power8 — 6 14 8 — 3 11 
Total Ameren Missouri$9 $— $8 $17 $14 $1 $6 $21 
Ameren Illinois
Derivative liabilities – commodity contracts:
Natural gas$— $— $— $— $— $1 $1 $2 
Power— — 185 185 — — 198 198 
Total Ameren Illinois$— $— $185 $185 $— $1 $199 $200 
Ameren
Derivative liabilities – commodity contracts(b)
$9 $— $193 $202 $14 $2 $205 $221 
(a)Balance excludes $7 million and $5 million of cash and cash equivalents, receivables, payables, and accrued income, net, for March 31, 2021, and December 31, 2020, respectively.
(b)See the Ameren Missouri and Ameren Illinois sections of the table for a breakout of the fair value of Ameren’s derivative assets and liabilities by type of commodity.
(c)See the Ameren Missouri section of the table for a breakout of the fair value of Ameren's nuclear decommissioning trust fund by investment type.
Level 3 fuel oils and natural gas derivative contract assets and liabilities measured at fair value on a recurring basis were immaterial for all periods presented. The following table presents the fair value reconciliation of Level 3 power derivative contract assets and liabilities measured at fair value on a recurring basis for the three months ended March 31, 2021 and 2020:
20212020
Ameren MissouriAmeren IllinoisAmerenAmeren MissouriAmeren IllinoisAmeren
For the three months ended March 31:
Beginning balance at January 1
$2 $(198)$(196)$13 $(224)$(211)
Realized and unrealized gains/(losses) included in regulatory assets/liabilities(5)9 4 11 (21)(10)
Settlements— 4 4 (7)4 (3)
Ending balance at March 31
$(3)$(185)$(188)$17 $(241)$(224)
Change in unrealized gains/(losses) related to assets/liabilities held at March 31
$(3)$9 $6 $10 $(21)$(11)
All gains or losses related to our Level 3 derivative commodity contracts are expected to be recovered or returned through customer rates; therefore, there is no impact to either net income or other comprehensive income resulting from changes in the fair value of these instruments.
The following table describes the valuation techniques and significant unobservable inputs utilized for the fair value of our Level 3 power derivative contract assets and liabilities as of March 31, 2021, and December 31, 2020:
Fair Value
Weighted Average(b)
CommodityAssetsLiabilitiesValuation Technique(s)
Unobservable Input(a)
Range
2021
Power(c)
$3$(191)Discounted cash flow
Average forward peak and off-peak pricing – forwards/swaps ($/MWh)
23 – 40
29
Nodal basis ($/MWh)
(5) – 0
(1)
Trend rate (%)
2 – 5
3
2020
Power(c)
$5$(201)Discounted cash flowAverage forward peak and off-peak pricing – forwards/swaps ($/MWh)
23 – 37
29
Nodal basis ($/MWh)
(6) – 0
(2)
Trend rate (%)
2 – 6
3
(a)Generally, significant increases (decreases) in these inputs in isolation would result in a significantly higher (lower) fair value measurement.
(b)Unobservable inputs were weighted by relative fair value.
(c)Valuations through 2029 use visible forward prices adjusted for nodal-to-hub basis differentials. Valuations beyond 2029 use a trend rate factor and are similarly adjusted for nodal-to-hub basis differentials.
The following table sets forth the carrying amount and, by level within the fair value hierarchy, the fair value of financial assets and liabilities disclosed, but not recorded, at fair value as of March 31, 2021, and December 31, 2020:
Carrying
Amount		Fair Value
Level 1Level 2Level 3Total
March 31, 2021
Ameren:
Cash, cash equivalents, and restricted cash$172 $172 $— $— $172 
Investments in industrial development revenue bonds(a)
256 — 256 — 256 
Short-term debt889 — 889 — 889 
Long-term debt (including current portion)(a)
11,535 
(b)
— 12,233 507 
(c)
12,740 
Ameren Missouri:
Cash, cash equivalents, and restricted cash$12 $12 $— $— $12 
Investments in industrial development revenue bonds(a)
256 — 256 — 256 
Short-term debt204 — 204 — 204 
Long-term debt (including current portion)(a)
5,104 
(b)
— 5,685 — 5,685 
Ameren Illinois:
Cash, cash equivalents, and restricted cash$149 $149 $— $— $149 
Short-term debt323 — 323 — 323 
Long-term debt (including current portion)3,947 
(b)
— 4,401 — 4,401 
December 31, 2020
Ameren:
Cash, cash equivalents, and restricted cash$301 $301 $— $— $301 
Investments in industrial development revenue bonds(a)
256 — 256 — 256 
Short-term debt490 — 490 — 490 
Long-term debt (including current portion)(a)
11,086 
(b)
— 12,778 537 
(c)
13,315 
Ameren Missouri:
Cash, cash equivalents, and restricted cash$145 $145 $— $— $145 
Advances to money pool139 — 139 — 139 
Investments in industrial development revenue bonds(a)
256 — 256 — 256 
Long-term debt (including current portion)(a)
5,104 
(b)
— 6,160 — 6,160 
Ameren Illinois:
Cash, cash equivalents, and restricted cash$147 $147 $— $— $147 
Borrowings from money pool19 — 19 — 19 
Long-term debt (including current portion)3,946 
(b)
— 4,822 — 4,822 
(a)Ameren and Ameren Missouri have investments in industrial development revenue bonds, classified as held-to-maturity and recorded in “Other Assets,” that are equal to the finance obligations for the Peno Creek and Audrain CT energy centers. As of March 31, 2021, and December 31, 2020, the carrying amount of both the investments in industrial development revenue bonds and the finance obligations approximated fair value.
(b)Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $86 million, $36 million, and $36 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of March 31, 2021. Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $84 million, $36 million, and $36 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2020.
(c)The Level 3 fair value amount consists of ATXI’s senior unsecured notes.