ML25085A008
| ML25085A008 | |
| Person / Time | |
|---|---|
| Site: | Callaway  |
| Issue date: | 03/26/2025 |
| From: | Willis Towers Watson |
| To: | Ameren Missouri, Office of Nuclear Reactor Regulation, Union Electric Co |
| Shared Package | |
| ML25085A001 | List: |
| References | |
| ULNRC-06931 | |
| Download: ML25085A008 (1) | |
Text
ULNRC-06931 March 26, 2025 Ameren Nuclear Decommissioning Trust Results of Asset/Liability Study and Funding Adequacy Analysis - Fall 2023 (14 pages follow this cover page)
Ameren Nuclear Decommissioning Trust Fall 2023 Amended Results of Asset/Liability Study and Funding Adequacy Analysis Willis Towers Watson Amended Attachment 4
Break Even Case Costs in 2023 dollars (000s)
Total Escalated Cost ($000)
Cumulative Annualized Escalation Factor Total IFSI Plant Year 0
4.53%
0 0
0 2023 0
4.71%
0 0
0 2024 0
4.79%
0 0
0 2025 0
4.84%
0 0
0 2026 0
4.83%
0 0
0 2027 0
4.85%
0 0
0 2028 0
4.86%
0 0
0 2029 0
4.86%
0 0
0 2030 0
4.87%
0 0
0 2031 0
4.88%
0 0
0 2032 0
4.85%
0 0
0 2033 0
4.83%
0 0
0 2034 0
4.83%
0 0
0 2035 0
4.83%
0 0
0 2036 0
4.84%
0 0
0 2037 0
4.83%
0 0
0 2038 0
4.81%
0 0
0 2039 0
4.79%
0 0
0 2040 0
4.79%
0 0
0 2041 0
4.78%
0 0
0 2042 0
4.78%
0 0
0 2043 63,054 4.78%
22,579 0
22,579 2044 365,434 4.77%
125,110 0
125,110 2045 641,270 4.76%
210,225 0
210,225 2046 703,378 4.73%
221,397 0
221,397 2047 470,183 4.72%
141,758 0
141,758 2048 483,625 4.72%
139,353 0
139,353 2049 391,827 4.71%
107,861 10,556 97,305 2050 202,788 4.71%
53,437 330 53,107 2051 248,699 4.70%
62,695 1,160 61,535 2052 56,171 4.70%
13,532 250 13,282 2053 Modeling Assumptions - Cost Projections 2
- Projection of decommissioning costs in 2023 dollars provided by TLG increased to $1,098 million (2020 cost was $1,047)
Amended Attachment 4
Break Even Case Market Value
($000)
Total Escalated Cost ($000)
Year 1,075,240 0
2023 1,117,974 0
2024 1,174,500 0
2025 1,234,702 0
2026 1,282,264 0
2027 1,341,291 0
2028 1,390,333 0
2029 1,455,507 0
2030 1,522,215 0
2031 1,596,195 0
2032 1,669,821 0
2033 1,746,076 0
2034 1,828,177 0
2035 1,920,179 0
2036 2,017,363 0
2037 2,129,106 0
2038 2,240,870 0
2039 2,351,915 0
2040 2,488,477 0
2041 2,616,334 0
2042 2,745,530 0
2043 2,843,291 63,054 2044 2,903,954 365,434 2045 2,662,940 641,270 2046 2,149,667 703,378 2047 1,568,726 470,183 2048 1,180,953 483,625 2049 766,752 391,827 2050 450,749 202,788 2051 281,508 248,699 2052 77,211 56,171 2053 Modeling Assumptions - Asset Projections 3
- Projection of decommissioning costs in 2023 dollars provided by TLG increased to $1,098 million (2020 cost was $1,047)
Amended Attachment 4
Capital Market Assumptions 4
Asset classes are described by their returns, volatility, and correlation with other asset classes Expectations for individual asset classes were developed by the WTW Investment Model as of July 2023 Return assumptions are net of 15 bps of management fees Return distributions incorporate fat tails Our asset model switches among different states of normal and stressed market conditions Regime switching creates more frequent and severe downside events (fat tails) than would have occurred under a normal (or lognormal) distribution and allows for converging correlations Simulated government yield curves and simulated corporate spreads are used in developing liability discount rates and returns on fixed income For additional background on WTWs views and assumptions, please consult the most recent Asset Return Assumptions paper Summary assumptions for July 1, 2023 Towers Watson Investment Services Annual Risk 31 Year Returns 31st Year Returns 10 Year Returns 10th Year Returns 1st Year Returns Standard Deviation Geometric Mean Arithmetic Mean Geometric Mean Arithmetic Mean Arithmetic Mean 17.9%
7.0%
8.8%
7.2%
8.8%
9.6%
US Large Cap Equity 4.0%
4.3%
4.9%
3.8%
3.5%
5.5%
Government/Credit 3.1%
3.9%
4.2%
3.8%
3.8%
4.6%
Cash 2.4%
2.5%
2.5%
2.5%
2.5%
3.0%
Inflation Amended Attachment 4
Asset Projections - Assumptions 5
Starting assets at 6/30/2023 are $1,075M Assets are projected in each year and vary with:
Simulated asset returns Simulated costs The asset allocation is rebalanced on an annual basis with a 5%
reallocation band Contributions of $6.8M per year until decommissioning begins As decommissioning approaches, the asset allocation de-risks 5 years of future cumulative decommissioning costs as a % of assets, at that time, are invested in 50% fixed income and 50%
cash Target Allocation Book Value ($M)
Market Value ($M) 35%
385 346 US Government/Credit Bonds 65%
185 729 Large Cap US Equity 100%
570 1,075 Total Tax Assumptions Assumed Tax Rate: 20%
Pay out of capital gains taxes annually (calculated using simulated market value in excess of simulated book)
Assets sold as a result of routine annual turnover Assets are assumed to rebalance back to the target allocation annually Assets sold in order to pay decommissioning costs Costs paid by asset class in proportion to the amount in excess of target allocation prior to annual rebalance in the interest of minimizing taxes paid Pay out income taxes annually Income assumed: ~2% dividend for equity; simulated yield for fixed income Amended Attachment 4
Compared to 31 Nuclear Power units NDT Funding Analysis - Summary 6
- Amerens probability of success to having enough money to fund the decommissioning of Callaway in 2044 using the DECON method is 67%.
- This compares favorably with peer universe of nuclear reactors studied by Willis Towers Watson whose median probability of success is 73%.
- CONCLUSION: The current funding level of $6.8 million is sufficient to provide reasonable assurance under most economic scenarios that there will be adequate funds available to decommission Callaway.
Lower 50th Percentile Upper 50th Percentile Ameren, 67%
0%
10%
20%
30%
40%
50%
60%
70%
80%
90%
100%
Probability of Success Amended Attachment 4
Subheading How Does Willis Towers Watson Model Work?
7 Subheading
$10
$11
$12
$13
$14
$15
$16 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
- 4. Rank Results
$10
$11
$12
$13
$14
$15
$16 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
- 3. Repeat 5,000 Times
-10%
0%
10%
20%
30%
2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
- 1. Project Future Economic Environments
-10%
0%
10%
20%
30%
$10
$11
$12
$13
$14
$15
$16 2014 2015 2016 2017 2018 2019 2020 2021 2022 2023
- 2. Project Costs at Each Future Year 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 Asset Return Inflation Costs 95th
%ile 50th
%ile 5th
%ile 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 2022 2023 2024 2025 2026 2027 2028 2029 2030 2031 Amended Attachment 4
-20%
-10%
0%
10%
20%
30%
5th-25th percentile 25th-50th 50th-75th 75th-95th Mean 8
Annualized Total Trust Compound Return 2052 2051 2050 2049 2048 2047 2046 2045 2044 2043 2042 2041 2040 2039 2038 2037 2036 2035 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 Percentile 2.1%
2.1%
2.0%
1.9%
1.9%
1.8%
1.7%
1.7%
1.6%
1.5%
1.4%
1.2%
1.1%
1.1%
0.9%
0.7%
0.6%
0.4%
0.1%
-0.2%
-0.5%
-0.7%
-1.3%
-1.8%
-2.6%
-3.2%
-4.7%
-6.3%
-9.4%
-11.0%
5th 4.6%
4.6%
4.7%
4.7%
4.7%
4.7%
4.7%
4.7%
4.7%
4.7%
4.7%
4.7%
4.6%
4.6%
4.6%
4.5%
4.4%
4.3%
4.2%
4.1%
4.0%
3.9%
3.9%
3.8%
3.6%
3.6%
3.6%
3.7%
3.5%
2.4%
25th 6.2%
6.2%
6.3%
6.3%
6.3%
6.4%
6.4%
6.5%
6.5%
6.6%
6.6%
6.6%
6.6%
6.6%
6.6%
6.6%
6.6%
6.7%
6.7%
6.8%
6.8%
6.9%
6.9%
7.0%
7.2%
7.3%
7.5%
7.8%
8.2%
8.8%
50th 7.8%
7.8%
7.8%
7.9%
7.9%
8.0%
8.1%
8.2%
8.3%
8.4%
8.5%
8.5%
8.6%
8.6%
8.7%
8.7%
8.8%
8.9%
9.0%
9.1%
9.2%
9.4%
9.6%
9.9%
10.2%
10.5%
10.9%
11.6%
12.8%
15.2%
75th 9.9%
9.9%
10.0%
10.1%
10.2%
10.3%
10.4%
10.5%
10.7%
10.8%
11.0%
11.1%
11.2%
11.3%
11.4%
11.6%
11.7%
11.9%
12.0%
12.2%
12.5%
12.6%
13.1%
13.5%
14.2%
14.9%
15.9%
17.3%
19.8%
24.9%
95th Amended Attachment 4
Probability of Success - Asset Allocation 9
20.6%
29.5%
39.2%
49.0%
57.1%
62.2%
65.4%
66.6%
67.5%
68.1%
68.1%
67.6%
0.0%
10.0%
20.0%
30.0%
40.0%
50.0%
60.0%
70.0%
80.0%
100% FI 90% FI 80% FI 70% FI 60% FI 50% FI 40% FI Current (35% FI) 30% FI 20% FI 10% FI 0% FI Amended Attachment 4
10 Annualized Inflation 2052 2051 2050 2049 2048 2047 2046 2045 2044 2043 2042 2041 2040 2039 2038 2037 2036 2035 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 Percentile 0.5%
0.4%
0.4%
0.4%
0.4%
0.3%
0.3%
0.3%
0.3%
0.2%
0.2%
0.2%
0.2%
0.1%
0.1%
0.0%
0.0%
0.0%
-0.1%
-0.2%
-0.2%
-0.2%
-0.2%
-0.3%
-0.3%
-0.2%
-0.2%
-0.1%
0.0%
0.3%
5th 1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.5%
1.4%
1.5%
1.5%
1.5%
1.6%
1.7%
1.9%
25th 2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.5%
2.6%
2.6%
2.6%
2.6%
2.7%
2.8%
3.0%
50th 3.3%
3.3%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.5%
3.5%
3.5%
3.5%
3.6%
3.6%
3.6%
3.6%
3.6%
3.6%
3.7%
3.7%
3.7%
3.7%
3.7%
3.8%
3.8%
4.1%
75th 4.5%
4.5%
4.6%
4.6%
4.7%
4.7%
4.7%
4.7%
4.8%
4.8%
4.9%
4.9%
4.9%
5.0%
5.0%
5.0%
5.0%
5.1%
5.1%
5.2%
5.3%
5.3%
5.3%
5.3%
5.4%
5.4%
5.4%
5.4%
5.4%
5.7%
95th
-1%
0%
1%
2%
3%
4%
5%
6%
2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 5th-25th percentile 25th-50th 50th-75th 75th-95th Amended Attachment 4
11 Annualized Bond Compound Return 2052 2051 2050 2049 2048 2047 2046 2045 2044 2043 2042 2041 2040 2039 2038 2037 2036 2035 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 Percentile 2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.7%
2.8%
2.7%
2.8%
2.8%
2.8%
2.8%
2.8%
2.8%
2.8%
2.8%
2.8%
2.8%
2.7%
2.6%
2.3%
2.2%
1.7%
0.3%
5th 3.7%
3.7%
3.6%
3.6%
3.6%
3.6%
3.6%
3.6%
3.6%
3.5%
3.5%
3.5%
3.5%
3.5%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.4%
3.5%
3.5%
3.5%
3.5%
3.5%
3.7%
3.7%
3.2%
25th 4.3%
4.3%
4.3%
4.2%
4.2%
4.2%
4.2%
4.2%
4.1%
4.1%
4.1%
4.0%
4.0%
4.0%
3.9%
3.9%
3.9%
3.9%
3.8%
3.8%
3.8%
3.9%
3.9%
4.0%
4.1%
4.2%
4.4%
4.8%
5.2%
5.4%
50th 4.9%
4.9%
4.9%
4.9%
4.9%
4.8%
4.8%
4.7%
4.7%
4.6%
4.6%
4.6%
4.5%
4.5%
4.4%
4.4%
4.3%
4.3%
4.3%
4.2%
4.2%
4.3%
4.4%
4.5%
4.7%
5.0%
5.3%
6.1%
6.8%
7.7%
75th 5.9%
5.9%
5.8%
5.8%
5.8%
5.7%
5.7%
5.6%
5.5%
5.5%
5.4%
5.4%
5.3%
5.2%
5.2%
5.1%
5.0%
4.9%
4.9%
4.9%
4.8%
4.9%
5.1%
5.4%
5.7%
6.1%
6.7%
7.8%
9.1%
11.1%
95th 0%
2%
4%
6%
8%
10%
12%
2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 5th-25th percentile 25th-50th 50th-75th 75th-95th Amended Attachment 4
12 Annualized Equity Compound Return 2052 2051 2050 2049 2048 2047 2046 2045 2044 2043 2042 2041 2040 2039 2038 2037 2036 2035 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 Percentile 0.4%
0.3%
0.2%
0.1%
-0.1%
-0.3%
-0.4%
-0.4%
-0.8%
-1.0%
-1.3%
-1.7%
-1.9%
-1.8%
-2.2%
-2.4%
-2.6%
-3.1%
-3.6%
-4.2%
-4.7%
-5.4%
-6.0%
-7.1%
-8.3%
-9.8%
-12.1%
-15.2%
-20.5%
-19.5%
5th 4.6%
4.5%
4.5%
4.4%
4.4%
4.4%
4.4%
4.3%
4.3%
4.2%
4.2%
4.1%
4.1%
4.0%
3.9%
3.8%
3.8%
3.6%
3.4%
3.3%
3.2%
3.0%
3.1%
2.8%
2.7%
2.6%
2.8%
2.8%
2.4%
1.0%
25th 7.2%
7.3%
7.2%
7.3%
7.3%
7.3%
7.3%
7.3%
7.3%
7.4%
7.4%
7.4%
7.4%
7.4%
7.5%
7.5%
7.5%
7.6%
7.8%
7.9%
7.9%
8.0%
8.2%
8.3%
8.6%
8.7%
8.9%
9.3%
9.7%
10.6%
50th 9.7%
9.8%
9.8%
9.9%
10.0%
10.0%
10.1%
10.1%
10.2%
10.3%
10.3%
10.4%
10.5%
10.6%
10.8%
10.8%
11.1%
11.2%
11.3%
11.6%
11.9%
12.2%
12.4%
12.8%
13.2%
13.6%
14.2%
15.2%
16.9%
20.3%
75th 12.9%
12.9%
13.0%
13.1%
13.3%
13.4%
13.6%
13.7%
13.9%
14.0%
14.3%
14.5%
14.6%
14.8%
15.1%
15.3%
15.5%
15.8%
16.0%
16.4%
16.7%
16.9%
17.6%
18.4%
19.2%
20.4%
21.9%
24.0%
27.3%
35.3%
95th
-30%
-20%
-10%
0%
10%
20%
30%
40%
2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 5th-25th percentile 25th-50th 50th-75th 75th-95th Amended Attachment 4
13 Annualized Cost Escalation 2052 2051 2050 2049 2048 2047 2046 2045 2044 2043 2042 2041 2040 2039 2038 2037 2036 2035 2034 2033 2032 2031 2030 2029 2028 2027 2026 2025 2024 2023 Percentile 2.2%
2.2%
2.1%
2.1%
2.1%
2.0%
2.0%
2.0%
2.0%
2.0%
1.9%
1.9%
1.9%
1.8%
1.8%
1.8%
1.7%
1.7%
1.7%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.6%
1.7%
1.9%
2.2%
2.8%
5th 3.3%
3.3%
3.3%
3.3%
3.3%
3.3%
3.3%
3.3%
3.3%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.2%
3.1%
3.1%
3.2%
3.2%
3.2%
3.3%
3.4%
3.7%
25th 4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.1%
4.1%
4.1%
4.1%
4.2%
4.2%
4.1%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
4.2%
50th 5.0%
5.0%
5.0%
5.0%
5.0%
5.0%
5.0%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.1%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.2%
5.1%
5.1%
5.0%
4.7%
75th 6.2%
6.2%
6.2%
6.3%
6.3%
6.3%
6.4%
6.4%
6.4%
6.5%
6.5%
6.5%
6.5%
6.6%
6.6%
6.6%
6.6%
6.7%
6.7%
6.7%
6.8%
6.8%
6.8%
6.8%
6.7%
6.6%
6.6%
6.4%
6.2%
5.5%
95th 0%
1%
2%
3%
4%
5%
6%
7%
2023 2024 2025 2026 2027 2028 2029 2030 2031 2032 2033 2034 2035 2036 2037 2038 2039 2040 2041 2042 2043 2044 2045 2046 2047 2048 2049 2050 2051 2052 5th-25th percentile 25th-50th 50th-75th 75th-95th Amended Attachment 4
14 Contribution Justification - 20 CSR 4240.20.070 WTW does not believe the trust is over funded since the asset surplus level of the first third of successful simulations is a similar level as the remaining costs in the scenarios where there were not sufficient assets Failure Success Of the 5,000 simulations examined, 1,669 (33%) did not have enough assets to fund all costs. Of the failure simulations, the average cost remaining was $132 million in 2023 dollars When looking at the next 1,669 simulations (in surplus order) the average asset surplus was
$142 million in 2023 dollars Amended Attachment 4