Fair Value Measurements

6 Months Ended

Jun. 30, 2019

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. Authoritative accounting guidance provides a fair value hierarchy that prioritizes the inputs used to measure fair value. On a quarterly basis, all financial assets and liabilities carried at fair value are classified and disclosed in one of three hierarchy levels. Financial assets and liabilities are classified in their entirety according to the lowest level of input that is significant to the fair value measurement. See Note 8 – Fair Value Measurements under Part II, Item 8, of the Form 10-K for information related to hierarchy levels.

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 and six months ended June 30, 2019 or 2018. At June 30, 2019, and December 31, 2018, 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 June 30, 2019, and December 31, 2018:

		June 30, 2019									December 31, 2018
		Level 1		Level 2		Level 3		Total			Level 1		Level 2		Level 3		Total
Assets:
Ameren
	Derivative assets – commodity contracts(a):
	Fuel oils	$	2	$	—	$	6	$	8		$	1	$	—	$	7	$	8
	Natural gas	—		1		3		4			—		2		1		3
	Power	—		—		18		18			—		1		3		4
	Total derivative assets – commodity contracts	$	2	$	1	$	27	$	30		$	1	$	3	$	11	$	15
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	511	$	—	$	—	$	511		$	427	$	—	$	—	$	427
	Debt securities:
	U.S. Treasury and agency securities	—		146		—		146			—		148		—		148
	Corporate bonds	—		79		—		79			—		72		—		72
	Other	—		38		—		38			—		32		—		32
	Total nuclear decommissioning trust fund	$	511	$	263	$	—	$	774	(b)	$	427	$	252	$	—	$	679	(b)
	Total Ameren	$	513	$	264	$	27	$	804		$	428	$	255	$	11	$	694
Ameren Missouri
	Derivative assets – commodity contracts(a):
	Fuel oils	$	2	$	—	$	6	$	8		$	1	$	—	$	7	$	8
	Power	—		—		18		18			—		1		3		4
	Total derivative assets – commodity contracts	$	2	$	—	$	24	$	26		$	1	$	1	$	10	$	12
	Nuclear decommissioning trust fund:
	Equity securities:
	U.S. large capitalization	$	511	$	—	$	—	$	511		$	427	$	—	$	—	$	427
	Debt securities:
	U.S. Treasury and agency securities	—		146		—		146			—		148		—		148
	Corporate bonds	—		79		—		79			—		72		—		72
	Other	—		38		—		38			—		32		—		32
	Total nuclear decommissioning trust fund	$	511	$	263	$	—	$	774	(b)	$	427	$	252	$	—	$	679	(b)
	Total Ameren Missouri	$	513	$	263	$	24	$	800		$	428	$	253	$	10	$	691
Ameren Illinois
	Derivative assets – commodity contracts(a):
	Natural gas	$	—	$	1	$	3	$	4		$	—	$	2	$	1	$	3
Liabilities:
Ameren
	Derivative liabilities – commodity contracts(a):
	Fuel oils	$	2	$	—	$	7	$	9		$	2	$	—	$	11	$	13
	Natural gas	2		15		3		20			—		15		4		19
	Power	—		—		194		194			—		1		186		187
	Total Ameren	$	4	$	15	$	204	$	223		$	2	$	16	$	201	$	219
Ameren Missouri
	Derivative liabilities – commodity contracts(a):
	Fuel oils	$	2	$	—	$	7	$	9		$	2	$	—	$	11	$	13
	Natural gas	—		3		—		3			—		5		—		5
	Power	—		—		3		3			—		1		3		4
	Total Ameren Missouri	$	2	$	3	$	10	$	15		$	2	$	6	$	14	$	22
Ameren Illinois
	Derivative liabilities – commodity contracts(a):
	Natural gas	$	2	$	12	$	3	$	17		$	—	$	10	$	4	$	14
	Power	—		—		191		191			—		—		183		183
	Total Ameren Illinois	$	2	$	12	$	194	$	208		$	—	$	10	$	187	$	197

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

(b) Balance excludes $9 million and $5 million of cash and cash equivalents, receivables, payables, and accrued income, net, for June 30, 2019, and December 31, 2018, respectively.

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 and six months ended June 30, 2019 and 2018:

	2019									2018
	Ameren Missouri			Ameren Illinois			Ameren			Ameren Missouri			Ameren Illinois			Ameren
For the three months ended June 30
Beginning balance at April 1	$	—		$	(184	)	$	(184	)	$	4		$	(191	)	$	(187	)
Realized and unrealized gains/(losses) included in regulatory assets/liabilities	16			(11		)	5			(1		)	(2		)	(3		)
Purchases	—			—			—			4			—			4
Settlements	(1		)	4			3			(2		)	3			1
Ending balance at June 30	$	15		$	(191	)	$	(176	)	$	5		$	(190	)	$	(185	)
Change in unrealized gains/(losses) related to assets/liabilities held at June 30	$	16		$	(11	)	$	5		$	—		$	(3	)	$	(3	)
For the six months ended June 30
Beginning balance at January 1	$	—		$	(183	)	$	(183	)	$	7		$	(195	)	$	(188	)
Realized and unrealized gains/(losses) included in regulatory assets/liabilities	16			(15		)	1			(3		)	(1		)	(4		)
Purchases	—			—			—			4			—			4
Settlements	(1		)	7			6			(3		)	6			3
Ending balance at June 30	15			(191		)	(176		)	5			(190		)	(185		)
Change in unrealized gains/(losses) related to assets/liabilities held at June 30	$	16		$	(15	)	$	1		$	(1	)	$	(2	)	$	(3	)

For the three and six months ended June 30, 2019 and 2018, there were no material transfers between Level 1 and Level 2, Level 1 and Level 3, or Level 2 and Level 3 related to derivative commodity contracts.

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 net 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 June 30, 2019, and December 31, 2018:

			Fair Value(a)						Weighted Average
	Commodity		Assets		Liabilities	Valuation Technique(s)	Unobservable Input	Range
2019	Power(b)	$	18	$	(194)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)(c)	22 – 32	25
							Nodal basis ($/MWh)(c)	(9) – 0	(2)
						Fundamental energy production model	Estimated future natural gas prices ($/mmbtu)(c)	3 – 4	3
2018	Power(b)	$	3	$	(186)	Discounted cash flow	Average forward peak and off-peak pricing – forwards/swaps ($/MWh)(c)	23 – 39	28
							Nodal basis ($/MWh)(c)	(9) – 0	(2)
						Fundamental energy production model	Estimated future natural gas prices ($/mmbtu)(c)	3 – 4	3

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

(b) Power valuations use visible third-party pricing evaluated by month for peak and off-peak demand through 2022. Valuations beyond 2022 use fundamentally modeled pricing by month for peak and off-peak demand.

(c) Generally, significant increases (decreases) in this input in isolation would result in a significantly higher (lower) fair value measurement.

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, 2019, and December 31, 2018:

	June 30, 2019
	Carrying Amount			Fair Value
				Level 1		Level 2		Level 3			Total
Ameren:
Cash, cash equivalents, and restricted cash	$	122		$	122	$	—	$	—		$	122
Investments in held-to-maturity debt securities(a)	270			—		270		—			270
Short-term debt	999			—		999		—			999
Long-term debt (including current portion)(a)	8,558		(b)	—		8,925		466		(c)	9,391
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	13		$	13	$	—	$	—		$	13
Investments in held-to-maturity debt securities(a)	270			—		270		—			270
Short-term debt	205			—		205		—			205
Long-term debt (including current portion)(a)	4,116		(b)	—		4,568		—			4,568
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	99		$	99	$	—	$	—		$	99
Short-term debt	199			—		199		—			199
Long-term debt (including current portion)	3,296		(b)	—		3,642		—			3,642
	December 31, 2018
Ameren:
Cash, cash equivalents, and restricted cash	$	107		$	107	$	—	$	—		$	107
Investments in held-to-maturity debt securities(a)	270			—		270		—			270
Short-term debt	597			—		597		—			597
Long-term debt (including current portion)(a)	8,439		(b)	—		8,240		429		(c)	8,669
Ameren Missouri:
Cash, cash equivalents, and restricted cash	$	8		$	8	$	—	$	—		$	8
Investments in held-to-maturity debt securities(a)	270			—		270		—			270
Short-term debt	55			—		55		—			55
Long-term debt (including current portion)(a)	3,998		(b)	—		4,156		—			4,156
Ameren Illinois:
Cash, cash equivalents, and restricted cash	$	80		$	80	$	—	$	—		$	80
Short-term debt	72			—		72		—			72
Long-term debt (including current portion)	3,296		(b)	—		3,391		—			3,391

(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 June 30, 2019, and December 31, 2018, the carrying amount of both the investments in industrial development revenue bonds and the finance obligations approximated fair value.

(b) Includes unamortized debt issuance costs, which were excluded from the fair value measurement, of $62 million, $26 million, and $31 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of June 30, 2019. Includes unamortized debt issuance costs, which were excluded from the fair value measurement, of $58 million, $22 million, and $31 million for Ameren, Ameren Missouri, and Ameren Illinois, respectively, as of December 31, 2018.

(c)

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