Fair Value Measurements

12 Months Ended

Dec. 31, 2022

FAIR VALUE MEASUREMENTSFair 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 the following three hierarchy levels:

Level 1 (quoted prices in active markets for identical assets or liabilities): Inputs based on quoted prices in active markets for identical assets or liabilities. Level 1 assets and liabilities are primarily exchange-traded derivatives, cash and cash equivalents, and listed equity securities.

The market approach is used to measure the fair value of equity securities held in Ameren Missouri’s nuclear decommissioning trust fund. Equity securities in this fund are representative of the S&P 500 index, excluding securities of Ameren Corporation, owners and/or operators of nuclear power plants, and the trustee and investment managers. The S&P 500 index comprises stocks of large-capitalization companies.

Level 2 (significant other observable inputs): Market-based inputs corroborated by third-party brokers or exchanges based on transacted market data. Level 2 assets and liabilities include certain assets held in Ameren Missouri’s nuclear decommissioning trust fund, including United States Treasury and agency securities, corporate bonds and other fixed-income securities, and certain over-the-counter derivative instruments, including natural gas and financial power transactions.

Fixed income securities are valued by using prices from independent industry-recognized data vendors who provide values that are either exchange-based or matrix-based. The fair value measurements of fixed-income securities classified as Level 2 are based on inputs other than quoted prices that are observable for the asset or liability. Examples are matrix pricing, market corroborated pricing, and inputs such as yield curves and indices.

Derivative instruments classified as Level 2 are valued by corroborated observable inputs, such as pricing services or prices from similar instruments that trade in liquid markets. Our development and corroboration process entails obtaining multiple quotes or prices from outside sources. To derive our forward view to price our derivative instruments at fair value, we average the bid/ask spreads to the midpoints. Additionally, a review of all sources is performed to identify any anomalies or potential errors. Further, we consider the volume of transactions on certain trading platforms in our reasonableness assessment of the averaged midpoints. The value of natural gas derivative contracts is based upon exchange closing prices without significant unobservable adjustments. The value of power derivative contracts is based upon exchange closing prices or the use of multiple forward prices provided by third parties.

Level 3 (significant other unobservable inputs): Unobservable inputs that are not corroborated by market data. Level 3 assets and liabilities are valued by internally developed models and assumptions or methodologies that use significant unobservable inputs. Level 3 assets and liabilities include derivative instruments that trade in less liquid markets, where pricing is largely unobservable. We value Level 3 instruments by using pricing models with inputs that are often unobservable in the market, such as certain internal assumptions, quotes or prices from outside sources not supported by a liquid market, or trend rates.

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.

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 2022, 2021, or 2020. At December 31, 2022 and 2021, 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 December 31, 2022 and 2021:


		December 31, 2022									December 31, 2021
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets:
Ameren Missouri
	Derivative assets – commodity contracts:
	Fuel oils	$	16	$	—	$	—	$	16		$	13	$	—	$	—	$	13
	Natural gas	1		15		—		16			—		12		—		12
	Power	—		—		14		14			10		—		13		23
	Uranium	—		—		3		3			—		—		1		1
	Total derivative assets – commodity contracts	$	17	$	15	$	17	$	49		$	23	$	12	$	14	$	49
	Nuclear decommissioning trust fund:

	Equity securities:
	U.S. large capitalization	$	618	$	—	$	—	$	618		$	824	$	—	$	—	$	824
	Debt securities:
	U.S. Treasury and agency securities	—		137		—		137			—		141		—		141
	Corporate bonds	—		122		—		122			—		131		—		131


	Other	—		70		—		70			—		56		—		56
	Total nuclear decommissioning trust fund	$	618	$	329	$	—	$	947	(a)	$	824	$	328	$	—	$	1,152	(a)
	Total Ameren Missouri	$	635	$	344	$	17	$	996		$	847	$	340	$	14	$	1,201
Ameren Illinois
	Derivative assets – commodity contracts:
	Natural gas	$	1	$	28	$	5	$	34		$	1	$	33	$	7	$	41
	Power	—		—		6		6			—		—		—		—
	Total Ameren Illinois	$	1	$	28	$	11	$	40		$	1	$	33	$	7	$	41
Ameren
	Derivative assets – commodity contracts(b)	$	18	$	43	$	28	$	89		$	24	$	45	$	21	$	90
	Nuclear decommissioning trust fund(c)	618		329		—		947		(a)	824		328		—		1,152		(a)
	Total Ameren	$	636	$	372	$	28	$	1,036		$	848	$	373	$	21	$	1,242
Liabilities:
Ameren Missouri
	Derivative liabilities – commodity contracts:

	Natural gas	$	—	$	6	$	3	$	9		$	—	$	2	$	1	$	3
	Power	57		—		2		59			45		—		28		73
	Uranium	—		—		—		—			—		—		1		1
	Total Ameren Missouri	$	57	$	6	$	5	$	68		$	45	$	2	$	30	$	77
Ameren Illinois
	Derivative liabilities – commodity contracts:
	Natural gas	$	—	$	19	$	10	$	29		$	—	$	5	$	3	$	8
	Power	—		—		39		39			—		—		117		117
	Total Ameren Illinois	$	—	$	19	$	49	$	68		$	—	$	5	$	120	$	125
Ameren
	Derivative liabilities – commodity contracts(b)	$	57	$	25	$	54	$	136		$	45	$	7	$	150	$	202

(a)Balance excludes $11 million and $7 million of cash and cash equivalents, receivables, payables, and accrued income, net for December 31, 2022 and 2021, 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 Ameren’s nuclear decommissioning trust fund by investment type.

See Note 10 – Retirement Benefits for tables that set forth, by level within the fair value hierarchy, Ameren’s pension and postretirement plan assets as of December 31, 2022 and 2021.

Level 3 fuel oils, natural gas and uranium 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 years ended December 31, 2022 and 2021:


	2022						2021
	Ameren Missouri		Ameren Illinois		Ameren		Ameren Missouri		Ameren Illinois		Ameren





















Beginning balance at January 1	$	(15)	$	(117)	$	(132)	$	2	$	(198)	$	(196)
Realized and unrealized gains (losses) included in regulatory assets/liabilities	(45)		92		47		(1)		70		69


Settlements	72		(8)		64		(16)		11		(5)


Ending balance at December 31	$	12	$	(33)	$	(21)	$	(15)	$	(117)	$	(132)
Change in unrealized gains (losses) related to assets/liabilities held at December 31	$	12	$	75	$	87	$	(14)	$	65	$	51

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 December 31, 2022 and 2021:


		Fair Value							Weighted Average(b)
	Commodity	Assets		Liabilities		Valuation Technique(s)	Unobservable Input(a)	Range









2022	Power(c)	$	20	$	(41)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)	38 – 89	51

							Nodal basis ($/MWh)	(10) – (1)	(4)


							Trend rate (%)	0 – 1	0











































2021	Power(d)	$	13	$	(145)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)	32 – 55	40
							Nodal basis ($/MWh)	(14) – 0	(2)


							Trend rate (%)	(e)	0

(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 2031 use visible forward prices adjusted for nodal-to-hub basis differentials. Valuations beyond 2031 use a trend rate factor and are similarly adjusted for nodal-to-hub basis differentials.

(d)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.

(e)No meaningful range around weighted average.

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 December 31, 2022 and 2021:


	Carrying Amount			Fair Value
				Level 1		Level 2		Level 3			Total
	December 31, 2022
Ameren:
Cash, cash equivalents, and restricted cash	$	216		$	216	$	—	$	—		$	216
Investments in industrial development revenue bonds(a)	240			—		240		—			240
Short-term debt	1,070			—		1,070		—			1,070
Long-term debt (including current portion)(a)	14,025		(b)	—		11,989		464		(c)	12,453
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	13		$	13	$	—	$	—		$	13

Investments in industrial development revenue bonds(a)	240			—		240		—			240
Short-term debt	329			—		329		—			329

Long-term debt (including current portion)(a)	6,086		(b)	—		5,365		—			5,365
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	191		$	191	$	—	$	—		$	191

Short-term debt	264			—		264		—			264

Long-term debt (including current portion)	4,835		(b)	—		4,320		—			4,320
	December 31, 2021
Ameren:
Cash, cash equivalents, and restricted cash	$	155		$	155	$	—	$	—		$	155
Investments in industrial development revenue bonds(a)	248			—		248		—			248
Short-term debt	545			—		545		—			545
Long-term debt (including current portion)(a)	13,067		(b)	—		13,930		591		(c)	14,521
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	8		$	8	$	—	$	—		$	8

Investments in industrial development revenue bonds(a)	248			—		248		—			248
Short-term debt	165			—		165		—			165

Long-term debt (including current portion)(a)	5,619		(b)	—		6,321		—			6,321
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	133		$	133	$	—	$	—		$	133

Short-term debt	103			—		103		—			103

Long-term debt (including current portion)	4,392		(b)	—		4,971		—			4,971

(a)Ameren and Ameren Missouri had investments in industrial development revenue bonds, classified as held-to-maturity and recorded in “Investments in industrial development revenue bonds,” and primarily in “Other assets,” as of December 31, 2022 and 2021, respectively, that were equal to the finance obligations for the Peno Creek and Audrain CT energy centers. As of December 31, 2022 and 2021, the carrying amount of the investments in industrial development revenue bonds and the finance obligations approximated fair value. The financing obligation for the Peno Creek CT Energy Center was settled in December 2022, while the financing obligation for the Audrain CT Energy Center was settled in January 2023. See Note 5 – Long-term Debt and Equity Financings for additional information on these agreements.

(b)Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $99 million, $41 million, and $44 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2022. Included unamortized debt issuance costs, which were excluded from the fair value measurement, of $94 million, $38 million, and $39 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2021.

(c)The Level 3 fair value amount consists of ATXI’s senior unsecured notes.

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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