Derivative Financial Instruments

12 Months Ended

Dec. 31, 2012

Derivative Instrument Detail [Abstract]

DERIVATIVE FINANCIAL INSTRUMENTS

DERIVATIVE FINANCIAL INSTRUMENTS

We use derivatives principally to manage the risk of changes in market prices for natural gas, coal, diesel, electricity, and uranium. 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 coal, natural gas and uranium inventories that differ from the cost of those commodities in inventory; and

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

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.

The following table presents open gross commodity contract volumes by commodity type as of December 31, 2012, and 2011:

	Quantity (in millions, except as indicated)
Commodity	Accrual & NPNS Contracts(a)		Cash Flow Hedges(b)		Other Derivatives(c)		Derivatives That Qualify for Regulatory Deferral(d)
	2012	2011	2012	2011	2012	2011	2012	2011
Coal (in tons)
Ameren Missouri	96	116	(e)	(e)	—	(e)	(e)	(e)
Other(f)	39	31	(e)	(e)	7	(e)	(e)	(e)
Ameren	135	147	(e)	(e)	7	(e)	(e)	(e)
Fuel oils (in gallons)(g)
Ameren Missouri	(e)	(e)	(e)	(e)	(e)	(e)	26	53
Other(f)	(e)	(e)	(e)	(e)	52	36	(e)	(e)
Ameren	(e)	(e)	(e)	(e)	52	36	26	53
Natural gas (in mmbtu)
Ameren Missouri	4	8	(e)	(e)	—	9	19	19
Ameren Illinois	16	42	(e)	(e)	(e)	(e)	128	174
Other(f)	(e)	(e)	(e)	(e)	47	8	(e)	(e)
Ameren	20	50	(e)	(e)	47	17	147	193
Power (in megawatthours)
Ameren Missouri	3	1	(e)	(e)	2	1	9	6
Ameren Illinois	21	11	(e)	(e)	(e)	(e)	14	24
Other(f)	66	61	9	17	34	30	—	(9	)
Ameren	90	73	9	17	36	31	23	21
Renewable energy credits(h)
Ameren Missouri	3	4	(e)	(e)	(e)	(e)	(e)	(e)
Ameren Illinois	12	12	(e)	(e)	(e)	(e)	(e)	(e)
Other(f)	1	1	(e)	(e)	(e)	(e)	(e)	(e)
Ameren	16	17	(e)	(e)	(e)	(e)	(e)	(e)
Uranium (pounds in thousands)
Ameren Missouri & Ameren	5,142	5,553	(e)	(e)	(e)	(e)	446	148

(a) Accrual contracts include commodity contracts that do not qualify as derivatives. As of December 31, 2012, these contracts ran through December 2017, March 2015, September 2035, May 2032, and October 2024 for coal, natural gas, power, renewable energy credits, and uranium, respectively.

(b) As of December 31, 2012, these contracts ran through December 2016 for power.

(c) As of December 31, 2012, these contracts ran through December 2015, October 2016, April 2015, and December 2016 for coal, fuel oils, natural gas, and power, respectively.

(d) As of December 31, 2012, these contracts ran through October 2015, March 2017, May 2032, and September 2014 for fuel oils, natural gas, power, and uranium, respectively.

(e) Not applicable.

(f) Includes AERG and Genco contracts for coal and fuel oils, Marketing Company and Genco contracts for natural gas, Marketing Company contracts for power and renewable energy credits, and intercompany eliminations for power.

(g) Fuel oils consist of heating and crude oil.

(h) A renewable energy credit is created for every megawatthour of renewable energy generated. Ameren contracts include renewable energy credits from solar, wind, and landfill gas-generated power.

Authoritative accounting guidance regarding derivative instruments requires that all contracts considered to be derivative instruments be recorded on the balance sheet at their fair values, unless the NPNS exception applies. See Note 8 - Fair Value Measurements for discussion of our methods of assessing the fair value of derivative instruments. 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.

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 if it qualifies for hedge accounting. We also consider whether gains or losses resulting from such derivatives qualify for regulatory deferral. Contracts that qualify for cash flow hedge accounting are recorded at fair value with changes in fair value charged or credited to accumulated OCI in the period in which the change occurs, to the extent the hedge is effective. To the extent the hedge is ineffective, the related changes in fair value are charged or credited to the statement of income and comprehensive income in the period in which the change occurs. When the contract is settled or delivered, the net gain or loss is recorded in the statement of income or the statement of income and comprehensive income.

Derivative contracts that qualify for regulatory deferral are recorded at fair value, with changes in fair value recorded as regulatory assets or regulatory liabilities in the period in which the change occurs. Ameren Missouri and Ameren Illinois believe derivative gains and losses deferred as regulatory assets and regulatory liabilities are probable of recovery or refund through future rates charged to customers. Regulatory assets and regulatory 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.

Certain derivative contracts are entered into on a regular basis as part of our risk management program but do not qualify for, or we do not choose to elect, the NPNS exception, hedge accounting, or regulatory deferral accounting. Such contracts are recorded at fair value, with changes in fair value charged or credited to the statement of income or the statement of income and comprehensive income in the period in which the change occurs.

Authoritative accounting guidance permits companies to offset fair value amounts recognized for the right to reclaim cash collateral (a receivable) or the obligation to return cash collateral (a liability) against fair value amounts recognized for derivative instruments that are executed with the same counterparty under the same master netting arrangement. The Ameren Companies did not elect to adopt this guidance for any eligible commodity contracts.

The following table presents the carrying value and balance sheet location of all derivative instruments as of December 31, 2012 and 2011:

	Balance Sheet Location		Ameren(a)		Ameren Missouri		Ameren Illinois
2012
Derivative assets designated as hedging instruments
Commodity contracts:
Power	MTM derivative assets	$	25	$	(b)	$	(b)
	Other assets		14		—		—
	Total assets	$	39	$	—	$	—
Derivative assets not designated as hedging instruments(c)
Commodity contracts:
Coal	Other assets	$	1	$	—	$	—
Fuel oils	MTM derivative assets		10		(b)		(b)
	Other current assets		—		8		—
	Other assets		5		4		—
Natural gas	MTM derivative assets		5		(b)		(b)
	Other current assets		—		—		1
	Other assets		1		1		—
Power	MTM derivative assets		85		(b)		(b)
	Other current assets		—		14		—
	Other assets		16		1		—
	Total assets	$	123	$	28	$	1
Derivative liabilities not designated as hedging instruments(c)
Commodity contracts:
Coal	MTM derivative liabilities	$	9	$	(b)	$	—
	Other deferred credits and liabilities		4		—		—
Fuel oils	MTM derivative liabilities		3		(b)		—
	Other current liabilities		—		2		—
	Other deferred credits and liabilities		3		2		—
Natural gas	MTM derivative liabilities		68		(b)		56
	Other current liabilities		—		8		—
	Other deferred credits and liabilities		45		7		38
Power	MTM derivative liabilities		74		(b)		21
	Other current liabilities		—		4		—
	Other deferred credits and liabilities		107		—		90
Uranium	MTM derivative liabilities		1		(b)		—
	Other current liabilities		—		1		—
	Other deferred credits and liabilities		1		1		—
	Total liabilities	$	315	$	25	$	205

	Balance Sheet Location		Ameren(a)		Ameren Missouri		Ameren Illinois
2011
Derivative assets designated as hedging instruments
Commodity contracts:
Power	MTM derivative assets	$	8	$	(b)	$	(b)
	Other assets		16		—		—
	Total assets	$	24	$	—	$	—
Derivative liabilities designated as hedging instruments
Commodity contracts:
Power	Other deferred credits and liabilities	$	1	$	—	$	—
	Total liabilities	$	1	$	—	$	—
Derivative assets not designated as hedging instruments(c)
Commodity contracts:
Fuel oils	MTM derivative assets	$	29	$	(b)	$	(b)
	Other current assets		—		17		—
	Other assets		8		6		—
Natural gas	MTM derivative assets		6		(b)		(b)
	Other current assets		—		2		1
	Other assets		—		—		1
Power	MTM derivative assets		72		(b)		(b)
	Other current assets		—		30		—
	Other assets		99		—		77
	Total assets	$	214	$	55	$	79
Derivative liabilities not designated as hedging instruments(c)
Commodity contracts:
Fuel oils	MTM derivative liabilities	$	2	$	(b)	$	—
	Other current liabilities		—		1		—
Natural gas	MTM derivative liabilities		106		(b)		90
	Other current liabilities		—		13		—
	Other deferred credits and liabilities		92		13		79
Power	MTM derivative liabilities		53		(b)		9
	MTM derivative liabilities - affiliates		(b)		(b)		200
	Other current liabilities		—		9		—
	Other deferred credits and liabilities		26		—		8
Uranium	Other deferred credits and liabilities		1		1		—
	Total liabilities	$	280	$	37	$	386

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

(b) Balance sheet line item not applicable to registrant.

(c) Includes derivatives subject to regulatory deferral.

The following table presents the cumulative amount of pretax net gains (losses) on all derivative instruments in accumulated OCI and regulatory assets or regulatory liabilities as of December 31, 2012, and 2011:

	Ameren			Ameren Missouri			Ameren Illinois			Other(a)
2012
Cumulative gains (losses) deferred in accumulated OCI:
Power derivative contracts(b)	$	47		$	—		$	—		$	47
Interest rate derivative contracts(c)(d)	(7		)	—			—			(7		)
Cumulative gains (losses) deferred in regulatory liabilities or assets:
Fuel oils derivative contracts(e)	4			4			—			—
Natural gas derivative contracts(f)	(107		)	(14		)	(93		)	—
Power derivative contracts(g)	(99		)	12			(111		)	—
Uranium derivative contracts(f)	(2		)	(2		)	—			—
2011
Cumulative gains (losses) deferred in accumulated OCI:
Power derivative contracts(b)	$	19		$	—		$	—		$	19
Interest rate derivative contracts(c)(d)	(8		)	—			—			(8		)
Cumulative gains (losses) deferred in regulatory liabilities or assets:
Fuel oils derivative contracts(e)	19			19			—			—
Natural gas derivative contracts(f)	(191		)	(24		)	(167		)	—
Power derivative contracts(g)	81			21			(140		)	200
Uranium derivative contracts(h)	(1		)	(1		)	—			—

(a) Includes amounts for Marketing Company, Genco, and intercompany eliminations.

(b) Represents net gains associated with power derivative contracts at Ameren. These contracts are a partial hedge of electricity price exposure through December 2016 as of December 31, 2012. In light of market prices at December 31, 2012, net pretax unrealized gains of $32 million are expected to be reclassified into earnings during the next 12 months as the hedged transaction occur. However, the actual amount reclassified from accumulated OCI could vary due to future changes in market prices.

(c) Includes net gains associated with interest rate swaps at Genco that were a partial hedge of the interest rate on debt issued in June 2002. The swaps covered the first 10 years of debt that has a 30-year maturity, and the gain in OCI was amortized over a 10-year period that began in June 2002. The balance of the gain was fully amortized as of June 30, 2012. The carrying value at December 31, 2011, was less than $1 million.

(d) Includes net losses associated with interest rate swaps at Genco. The swaps were executed during the fourth quarter of 2007 as a partial hedge of interest rate risks associated with Genco's April 2008 debt issuance. The loss on the interest rate swaps is being amortized over a 10-year period that began in April 2008. The carrying value at December 31, 2012, and December 31, 2011, was a loss of $8 million and $9 million, respectively. Over the next twelve months ending December 31, 2013, $1.4 million of the loss will be amortized.

(e) Represents net gains on fuel oils derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri’s transportation costs for coal through October 2015 as of December 31, 2012. Current gains deferred as regulatory liabilities include $4 million and $4 million at Ameren and Ameren Missouri as of December 31, 2012, respectively. Current losses deferred as regulatory assets include $1 million and $1 million at Ameren and Ameren Missouri as of December 31, 2012, respectively.

(f) Represents net losses associated with natural gas derivative contracts. These contracts are a partial hedge of natural gas requirements through March 2017 at Ameren and Ameren Missouri and through October 2016 at Ameren Illinois, in each case as of December 31, 2012. Current gains deferred as regulatory liabilities include $1 million and $1 million at Ameren and Ameren Illinois, respectively, as of December 31, 2012. Current losses deferred as regulatory assets include $64 million, $8 million, and $56 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2012.

(g) Represents net losses associated with power derivative contracts. These contracts are a partial hedge of power price requirements through May 2032 at Ameren and Ameren Illinois and through December 2015 at Ameren Missouri, in each case as of December 31, 2012. Current gains deferred as regulatory liabilities include $14 million and $14 million at Ameren and Ameren Missouri, respectively, as of December 31, 2012. Current losses deferred as regulatory assets include $24 million, $3 million, and $21 million at Ameren, Ameren Missouri and Ameren Illinois, respectively, as of December 31, 2012.

(h) Represents net losses on uranium derivative contracts at Ameren Missouri. These contracts are a partial hedge of Ameren Missouri's uranium requirements through September 2014 as of December 31, 2012. Current losses deferred as regulatory assets include $1 million and $1 million at Ameren and Ameren Missouri as of December 31, 2012, respectively.

Derivative instruments are subject to various credit-related losses in the event of nonperformance by counterparties to the transaction. Exchange-traded contracts are supported by the financial and credit quality of the clearing members of the respective exchanges and have nominal credit risk. In all other transactions, we are exposed to credit risk. Our credit risk management program involves establishing credit limits and collateral requirements for counterparties, using master trading and netting agreements, and reporting daily exposure to senior management.

We believe that entering into master trading and netting agreements mitigates the level of financial loss that could result from default by allowing net settlement of derivative assets and liabilities. We generally enter into the following master trading and netting agreements: (1) the International Swaps and Derivatives Association Agreement, a standardized financial natural gas and electric contract; (2) the Master Power Purchase and Sale Agreement, created by the Edison Electric Institute and the National Energy Marketers Association, a standardized contract for the purchase and sale of wholesale power; and (3) the North American Energy Standards Board Inc. agreement, a standardized contract for the purchase and sale of natural gas. These master trading and netting agreements allow the counterparties to net settle sale and purchase transactions. Further, collateral requirements are calculated at the master trading and netting agreement level by counterparty.

Concentrations of Credit Risk

In determining our concentrations of credit risk related to derivative instruments, we review our individual counterparties and categorize each counterparty into one of eight groupings according to the primary business in which each engages. The following table presents by groupings the maximum exposure, as of December 31, 2012, and 2011, if counterparty groups were to fail completely to perform on contracts. The maximum exposure is based on the gross fair value of financial instruments, including accrual and NPNS contracts, which excludes collateral held, and does not consider the legally binding right to net transactions based on master trading and netting agreements.

	Affiliates(a)		Coal Producers		Commodity Marketing Companies		Electric Utilities		Financial Companies		Municipalities/ Cooperatives		Oil and Gas Companies		Retail Companies		Total
2012
AMO	$	—	$	—	$	2	$	3	$	14	$	3	$	—	$	—	$	22
AIC	—		—		—		—		1		—		—		—		1
Other(b)	71		3		38		10		13		192		3		85		415
Ameren	$	71	$	3	$	40	$	13	$	28	$	195	$	3	$	85	$	438
2011
AMO	$	1	$	35	$	1	$	4	$	26	$	4	$	—	$	—	$	71
AIC	—		—		84		—		1		—		—		—		85
Other(b)	275		2		4		12		57		194		3		87		634
Ameren	$	276	$	37	$	89	$	16	$	84	$	198	$	3	$	87	$	790

(a) Primarily composed of Marketing Company’s exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level for purposes of this disclosure as it is calculated without regard to the offsetting affiliate counterparty’s liability position. See Note 14 - Related Party Transactions for additional information on these financial contracts.

(b) Includes amounts for Marketing Company, AERG, Genco, and AFS.

The potential loss on counterparty exposures is reduced by the application of master trading and netting agreements and collateral held to the extent of reducing the exposure to zero. Collateral includes both cash collateral and other collateral held. The amount of cash collateral held by Ameren and Marketing Company from counterparties and based on contractual rights under agreements to seek collateral and the maximum exposure as calculated under the individual master trading and netting agreements was $3 million from commodity marketing companies at December 31, 2012. Cash collateral held by Ameren and Marketing Company was less than $1 million and less than $1 million, respectively, from retail companies at December 31, 2011. As of December 31, 2012, other collateral used to reduce exposure consisted of letters of credit in the amount of $7 million, $1 million, and $6 million held by Ameren, Ameren Missouri, and Marketing Company, respectively. As of December 31, 2011, other collateral used to reduce exposure consisted of letters of credit in the amount of $9 million, $1 million, $1 million, and $7 million held by Ameren, Ameren Missouri, Genco and Marketing Company, respectively. The following table presents the potential loss after consideration of the application of master trading and netting agreements and collateral held as of December 31, 2012 and 2011:

	Affiliates(a)		Coal Producers		Commodity Marketing Companies		Electric Utilities		Financial Companies		Municipalities/ Cooperatives		Oil and Gas Companies		Retail Companies		Total
2012
AMO	$	—	$	—	$	1	$	1	$	10	$	3	$	—	$	—	$	15
AIC	—		—		—		—		—		—		—		—		—
Other(b)	68		1		29		4		11		185		—		85		383
Ameren	$	68	$	1	$	30	$	5	$	21	$	188	$	—	$	85	$	398
2011
AMO	$	1	$	35	$	1	$	3	$	22	$	4	$	—	$	—	$	66
AIC	—		—		84		—		—		—		—		—		84
Other(b)	273		—		3		6		43		187		2		86		600
Ameren	$	274	$	35	$	88	$	9	$	65	$	191	$	2	$	86	$	750

(a) Primarily composed of Marketing Company’s exposure to Ameren Illinois related to financial contracts. The exposure is not eliminated at the consolidated Ameren level for purposes of this disclosure as it is calculated without regard to the offsetting affiliate counterparty’s liability position. See Note 14 - Related Party Transactions for additional information on these financial contracts.

(b) Includes amounts for Marketing Company, AERG, Genco, and AFS.

Derivative Instruments with Credit Risk-Related Contingent Features

Our commodity contracts contain collateral provisions tied to the Ameren Companies’ credit ratings. If we were to experience an adverse change in our credit ratings, or if a counterparty with reasonable grounds for uncertainty regarding performance of an obligation requested adequate assurance of performance, additional collateral postings might be required. The following table presents, as of December 31, 2012, and 2011, the aggregate fair value of all 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 could be required to be posted with counterparties. The additional collateral required is the net liability position allowed under the master trading and netting agreements assuming (1) the credit risk-related contingent features underlying these agreements were triggered on December 31, 2012, or 2011, respectively, and (2) those counterparties with rights to do so requested collateral:

	Aggregate Fair Value of Derivative Liabilities(a)		Cash Collateral Posted		Potential Aggregate Amount of Additional Collateral Required(b)
2012
Ameren Missouri	$	78	$	3	$	71
Ameren Illinois	148		58		84
Other(c)	130		7		90
Ameren	$	356	$	68	$	245
2011
Ameren Missouri	$	102	$	8	$	86
Ameren Illinois	220		96		125
Other(c)	134		12		121
Ameren	$	456	$	116	$	332

(a) Prior to consideration of master trading and netting agreements and including NPNS and accrual contract exposures.

(b) As collateral requirements with certain counterparties are based on master trading and netting agreements, the aggregate amount of additional collateral required to be posted is determined after consideration of the effects of such agreements.

(c) Includes amounts for Marketing Company, Genco, and Ameren (parent).

Cash Flow Hedges

The following table presents the pretax net gain or loss for the year ended December 31, 2012 and 2011, associated with derivative instruments designated as cash flow hedges:

	Gain (Loss) Recognized in OCI(a)		Location of (Gain) Loss Reclassified from Accumulated OCI into Income(b)	(Gain) Loss Reclassified from Accumulated OCI into Income(b)			Location of Gain (Loss) Recognized in Income(c)	Gain (Loss) Recognized in Income(c)
2012
Ameren:(d)
Power	$	34	Operating Revenues - Electric	$	(6	)	Operating Revenues - Electric	$	(12	)
Interest rate(e)	—		Interest Charges	1			Interest Charges	—
2011
Ameren:(d)
Power	$	6	Operating Revenues - Electric	$	5		Operating Revenues - Electric	$	(10	)
Interest rate(e)	—		Interest Charges	(f)			Interest Charges	—

(a) Effective portion of gain (loss).

(b) Effective portion of (gain) loss on settlements.

(c) Ineffective portion of gain (loss) and amount excluded from effectiveness testing.

(d) Includes amounts for Ameren registrant and nonregistrant subsidiaries.

(e) Represents interest rate swaps settled in prior periods. The cumulative gain and loss on the interest rate swaps is being amortized into income over a 10-year period.

(f) Less than $1 million.

Other Derivatives

The following table represents the net change in market value associated with derivatives not designated as hedging instruments for the years ended December 31, 2012 and 2011:

		Location of Gain (Loss) Recognized in Income	Gain (Loss) Recognized in Income
			2012			2011
Ameren(a)	Coal	Operating Expenses - Fuel	$	(12	)	$	—
	Fuel oils	Operating Expenses - Fuel	(11		)	(1		)
	Natural gas (generation)	Operating Expenses - Fuel	1			2
	Power	Operating Revenues - Electric	12			(2		)
		Total	$	(10	)	$	(1	)
Ameren Missouri	Natural gas (generation)	Operating Expenses - Fuel	$	—		$	(1	)

(a) Includes amounts for Ameren registrant and nonregistrant subsidiaries and intercompany eliminations.

Derivatives Subject to Regulatory Deferral

The following table represents the net change in market value associated with derivatives that qualify for regulatory deferral for the years ended December 31, 2012 and 2011:

		Gain (Loss) Recognized In Regulatory Liabilities or Regulatory Assets
		2012			2011
Ameren (a)	Fuel oils	$	(15	)	$	—
	Natural gas	84			(26		)
	Power	(180		)	80
	Uranium	(1		)	(3		)
	Total	$	(112	)	$	51
Ameren	Fuel oils	$	(15	)	$	—
Missouri	Natural gas	10			—
	Power	(9		)	18
	Uranium	(1		)	(3		)
	Total	$	(15	)	$	15
Ameren	Natural gas	$	74		$	(26	)
Illinois	Power	29			212
	Total	$	103		$	186

As part of the 2007 Illinois Electric Settlement Agreement and subsequent Illinois power procurement processes, Ameren Illinois entered into financial contracts with Marketing Company. These financial contracts were derivative instruments. They were accounted for as cash flow hedges by Marketing Company and as derivatives that qualified for regulatory deferral by Ameren Illinois. Consequently, Ameren Illinois and Marketing Company recorded the fair value of the contracts on their respective balance sheets and the changes to the fair value in regulatory assets or liabilities by Ameren Illinois and OCI by Marketing Company. In Ameren’s consolidated financial statements, all financial statement effects of the derivative instruments entered into among affiliates were eliminated. As of December 31, 2012 these contracts had fully expired. The fair value of the financial contracts included in "MTM derivative liabilities - affiliates" on Ameren Illinois' balance sheet was $200 million at December 31, 2011.

(a) Includes amounts for intercompany eliminations.