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Fair Value Measurements (Tables)
 6 Months Ended
Jun. 30, 2017
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Other Temporary Investments
 
 
June 30, 2017
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
Unrealized
 
Unrealized
 
Fair
Other Temporary Investments
 
Cost
 
Gains
 
Losses
 
Value
 
 
(in millions)
Restricted Cash (a)
 
$
193.7

 
$
—

 
$
—

 
$
193.7

Fixed Income Securities – Mutual Funds (b)
 
93.5

 
—

 
(0.7
)
 
92.8

Equity Securities – Mutual Funds
 
14.7

 
16.4

 
—

 
31.1

Total Other Temporary Investments
 
$
301.9

 
$
16.4

 
$
(0.7
)
 
$
317.6

 
 
December 31, 2016
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
Unrealized
 
Unrealized
 
Fair
Other Temporary Investments
 
Cost
 
Gains
 
Losses
 
Value
 
 
(in millions)
Restricted Cash (a)
 
$
211.7

 
$
—

 
$
—

 
$
211.7

Fixed Income Securities – Mutual Funds (b)
 
92.7

 
—

 
(1.0
)
 
91.7

Equity Securities – Mutual Funds
 
14.4

 
13.9

 
—

 
28.3

Total Other Temporary Investments
 
$
318.8

 
$
13.9

 
$
(1.0
)
 
$
331.7


(a)
Primarily represents amounts held for the repayment of debt.
(b)
Primarily short and intermediate maturities which may be sold and do not contain maturity dates.
Debt and Equity Securities Within Other Temporary Investments
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
2017
 
2016
 
2017
 
2016
 
(in millions)
Proceeds from Investment Sales
$
—

 
$
—

 
$
—

 
$
—

Purchases of Investments
0.5

 
0.6

 
1.0

 
1.0

Gross Realized Gains on Investment Sales
—

 
—

 
—

 
—

Gross Realized Losses on Investment Sales
—

 
—

 
—

 
—
Nuclear Trust Fund Investments
 
June 30, 2017
 
December 31, 2016
 
 
 
Gross
 
Other-Than-
 
 
 
Gross
 
Other-Than-
 
Fair
 
Unrealized
 
Temporary
 
Fair
 
Unrealized
 
Temporary
 
Value
 
Gains
 
Impairments
 
Value
 
Gains
 
Impairments
 
(in millions)
Cash and Cash Equivalents
$
19.2

 
$
—

 
$
—

 
$
18.7

 
$
—

 
$
—

Fixed Income Securities:
 

 
 

 
 

 
 

 
 

 
 

United States Government
904.1

 
33.5

 
(304.1
)
 
785.4

 
27.1

 
(5.5
)
Corporate Debt
59.0

 
3.3

 
(1.2
)
 
60.9

 
2.3

 
(1.4
)
State and Local Government
86.7

 
—

 
(1.2
)
 
121.1

 
0.4

 
(0.7
)
Subtotal Fixed Income Securities
1,049.8

 
36.8

 
(306.5
)
 
967.4

 
29.8

 
(7.6
)
Equity Securities - Domestic
1,313.0

 
735.5

 
(76.1
)
 
1,270.1

 
677.9

 
(79.6
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,382.0

 
$
772.3

 
$
(382.6
)
 
$
2,256.2

 
$
707.7

 
$
(87.2
)
Securities Activity Within the Decommissioning and SNF Trusts
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
 
2017
 
2016
 
2017
 
2016
 
 
(in millions)
Proceeds from Investment Sales
 
$
801.2

 
$
639.3

 
$
1,289.1

 
$
1,777.0

Purchases of Investments
 
811.7

 
644.8

 
1,317.2

 
1,796.4

Gross Realized Gains on Investment Sales
 
177.0

 
12.2

 
188.3

 
28.0

Gross Realized Losses on Investment Sales
 
132.1

 
7.9

 
140.2

 
15.7
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of Fixed Income Securities
 
(in millions)
Within 1 year
$
243.9

1 year – 5 years
398.9

5 years – 10 years
160.6

After 10 years
246.4

Total
$
1,049.8
Fair Value, Assets and Liabilities Measured on Recurring Basis
(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
—

 
$
—

 
$
—

 
$
172.4

 
$
172.4

 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
 
156.3

 
1.3

 
—

 
36.1

 
193.7

Fixed Income Securities – Mutual Funds
 
92.8

 
—

 
—

 
—

 
92.8

Equity Securities – Mutual Funds (b)
 
31.1

 
—

 
—

 
—

 
31.1

Total Other Temporary Investments
 
280.2

 
1.3

 
—

 
36.1

 
317.6

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (d)
 
1.5

 
388.7

 
291.0

 
(233.9
)
 
447.3

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
9.1

 
1.1

 
(6.2
)
 
4.0

Interest Rate/Foreign Currency Hedges
 
—

 
4.8

 
—

 
—

 
4.8

Total Risk Management Assets
 
1.5

 
402.6

 
292.1

 
(240.1
)
 
456.1

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
9.6

 
—

 
—

 
9.6

 
19.2

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
904.1

 
—

 
—

 
904.1

Corporate Debt
 
—

 
59.0

 
—

 
—

 
59.0

State and Local Government
 
—

 
86.7

 
—

 
—

 
86.7

Subtotal Fixed Income Securities
 
—

 
1,049.8

 
—

 
—

 
1,049.8

Equity Securities – Domestic (b)
 
1,313.0

 
—

 
—

 
—

 
1,313.0

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,322.6

 
1,049.8

 
—

 
9.6

 
2,382.0

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,604.3

 
$
1,453.7

 
$
292.1

 
$
(22.0
)
 
$
3,328.1

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (d)
 
$
4.3

 
$
377.1

 
$
178.9

 
$
(248.7
)
 
$
311.6

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
39.5

 
25.9

 
(6.2
)
 
59.2

Fair Value Hedges
 
—

 
1.5

 
—

 
—

 
1.5

Total Risk Management Liabilities
 
$
4.3

 
$
418.1

 
$
204.8

 
$
(254.9
)
 
$
372.3


AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.7

 
$
—

 
$
—

 
$
201.8

 
$
210.5

 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
 
173.8

 
5.1

 
—

 
32.8

 
211.7

Fixed Income Securities – Mutual Funds
 
91.7

 
—

 
—

 
—

 
91.7

Equity Securities – Mutual Funds (b)
 
28.3

 
—

 
—

 
—

 
28.3

Total Other Temporary Investments
 
293.8

 
5.1

 
—

 
32.8

 
331.7

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (f)
 
6.0

 
379.9

 
192.2

 
(205.7
)
 
372.4

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
16.8

 
1.7

 
(7.3
)
 
11.2

Total Risk Management Assets
 
6.0

 
396.7

 
193.9

 
(213.0
)
 
383.6

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
7.3

 
—

 
—

 
11.4

 
18.7

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
785.4

 
—

 
—

 
785.4

Corporate Debt
 
—

 
60.9

 
—

 
—

 
60.9

State and Local Government
 
—

 
121.1

 
—

 
—

 
121.1

Subtotal Fixed Income Securities
 
—

 
967.4

 
—

 
—

 
967.4

Equity Securities – Domestic (b)
 
1,270.1

 
—

 
—

 
—

 
1,270.1

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,277.4

 
967.4

 
—

 
11.4

 
2,256.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,585.9

 
$
1,369.2

 
$
193.9

 
$
33.0

 
$
3,182.0

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (f)
 
$
8.2

 
$
352.0

 
$
166.7

 
$
(205.4
)
 
$
321.5

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
29.3

 
24.7

 
(7.3
)
 
46.7

Fair Value Hedges
 
—

 
1.4

 
—

 
—

 
1.4

Total Risk Management Liabilities
 
$
8.2

 
$
382.7

 
$
191.4

 
$
(212.7
)
 
$
369.6
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
June 30, 2017
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
201.0

 
$
200.8

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
$
10.98

 
$
99.44

 
$
38.28

 
 
 
 
 
 
 
Counterparty Credit Risk (b) 
 
19

 
783

 
288

FTRs
91.1

 
4.0

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
(6.70
)
 
7.35

 
0.36

Total
$
292.1

 
$
204.8

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
183.8

 
$
187.1

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
$
6.51

 
$
86.59

 
$
39.40

 
 
 
 
 
 
 
Counterparty Credit Risk (b) 
 
35

 
824

 
391

FTRs
10.1

 
4.3

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
(7.99
)
 
8.91

 
0.86

Total
$
193.9

 
$
191.4

 
 
 
 
 
 

 
 

 
 
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)
AEP Transmission Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Appalachian Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
15.4

 
$
—

 
$
—

 
$
0.1

 
$
15.5

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
33.2

 
41.6

 
(33.2
)
 
41.6

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
15.4

 
$
33.2

 
$
41.6

 
$
(33.1
)
 
$
57.1

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
31.7

 
$
0.3

 
$
(31.2
)
 
$
0.8


APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
15.8

 
$
—

 
$
—

 
$
0.1

 
$
15.9

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
20.5

 
3.9

 
(21.8
)
 
2.6

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
15.8

 
$
20.5

 
$
3.9

 
$
(21.7
)
 
$
18.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
20.7

 
$
2.5

 
$
(22.0
)
 
$
1.2
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
June 30, 2017
APCo
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.8

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
17.85

 
$
46.97

 
$
33.62

FTRs
40.8

 
0.2

 
Discounted Cash Flow 
 
Forward Market Price 
 
0.10

 
7.35

 
1.23

Total
$
41.6

 
$
0.3

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
APCo
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.4

 
$
0.4

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.68

 
$
48.55

 
$
36.34

FTRs
3.5

 
2.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
(0.23
)
 
8.91

 
2.37

Total
$
3.9

 
$
2.5

 
 
 
 
 
 

 
 

 
 
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)
Indiana Michigan Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Nuclear Trust Fund Investments
 
June 30, 2017
 
December 31, 2016
 
 
 
Gross
 
Other-Than-
 
 
 
Gross
 
Other-Than-
 
Fair
 
Unrealized
 
Temporary
 
Fair
 
Unrealized
 
Temporary
 
Value
 
Gains
 
Impairments
 
Value
 
Gains
 
Impairments
 
(in millions)
Cash and Cash Equivalents
$
19.2

 
$
—

 
$
—

 
$
18.7

 
$
—

 
$
—

Fixed Income Securities:
 

 
 

 
 

 
 

 
 

 
 

United States Government
904.1

 
33.5

 
(304.1
)
 
785.4

 
27.1

 
(5.5
)
Corporate Debt
59.0

 
3.3

 
(1.2
)
 
60.9

 
2.3

 
(1.4
)
State and Local Government
86.7

 
—

 
(1.2
)
 
121.1

 
0.4

 
(0.7
)
Subtotal Fixed Income Securities
1,049.8

 
36.8

 
(306.5
)
 
967.4

 
29.8

 
(7.6
)
Equity Securities - Domestic
1,313.0

 
735.5

 
(76.1
)
 
1,270.1

 
677.9

 
(79.6
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,382.0

 
$
772.3

 
$
(382.6
)
 
$
2,256.2

 
$
707.7

 
$
(87.2
)
Securities Activity Within the Decommissioning and SNF Trusts
 
 
Three Months Ended June 30,
 
Six Months Ended June 30,
 
 
2017
 
2016
 
2017
 
2016
 
 
(in millions)
Proceeds from Investment Sales
 
$
801.2

 
$
639.3

 
$
1,289.1

 
$
1,777.0

Purchases of Investments
 
811.7

 
644.8

 
1,317.2

 
1,796.4

Gross Realized Gains on Investment Sales
 
177.0

 
12.2

 
188.3

 
28.0

Gross Realized Losses on Investment Sales
 
132.1

 
7.9

 
140.2

 
15.7
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of Fixed Income Securities
 
(in millions)
Within 1 year
$
243.9

1 year – 5 years
398.9

5 years – 10 years
160.6

After 10 years
246.4

Total
$
1,049.8
Fair Value, Assets and Liabilities Measured on Recurring Basis
(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
22.6

 
$
17.0

 
$
(23.8
)
 
$
15.8

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
9.6

 
—

 
—

 
9.6

 
19.2

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
904.1

 
—

 
—

 
904.1

Corporate Debt
 
—

 
59.0

 
—

 
—

 
59.0

State and Local Government
 
—

 
86.7

 
—

 
—

 
86.7

Subtotal Fixed Income Securities
 
—

 
1,049.8

 
—

 
—

 
1,049.8

Equity Securities - Domestic (b)
 
1,313.0

 
—

 
—

 
—

 
1,313.0

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,322.6

 
1,049.8

 
—

 
9.6

 
2,382.0

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,322.6

 
$
1,072.4

 
$
17.0

 
$
(14.2
)
 
$
2,397.8

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
21.1

 
$
1.5

 
$
(21.5
)
 
$
1.1


I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
12.8

 
$
3.0

 
$
(12.3
)
 
$
3.5

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
7.3

 
—

 
—

 
11.4

 
18.7

Fixed Income Securities:
 
 

 
 

 
 

 
 

 


United States Government
 
—

 
785.4

 
—

 
—

 
785.4

Corporate Debt
 
—

 
60.9

 
—

 
—

 
60.9

State and Local Government
 
—

 
121.1

 
—

 
—

 
121.1

Subtotal Fixed Income Securities
 
—

 
967.4

 
—

 
—

 
967.4

Equity Securities - Domestic (b)
 
1,270.1

 
—

 
—

 
—

 
1,270.1

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,277.4

 
967.4

 
—

 
11.4

 
2,256.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,277.4

 
$
980.2

 
$
3.0

 
$
(0.9
)
 
$
2,259.7

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
13.3

 
$
0.2

 
$
(12.4
)
 
$
1.1
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
June 30, 2017
I&M
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.6

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
17.85

 
$
46.97

 
$
33.62

FTRs
16.4

 
1.4

 
Discounted Cash Flow 
 
Forward Market Price 
 
0.01

 
6.93

 
0.79

Total
$
17.0

 
$
1.5

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
I&M
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.3

 
$
0.2

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.68

 
$
48.55

 
$
36.34

FTRs
2.7

 
—

 
Discounted Cash Flow 
 
Forward Market Price 
 
(7.90
)
 
8.91

 
1.32

Total
$
3.0

 
$
0.2

 
 
 
 
 
 

 
 

 
 
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)
Ohio Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
—

 
$
—

 
$
—

 
$
27.3

 
$
27.3

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
0.1

 
$
130.5

 
$
—

 
$
130.6


OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
—

 
$
—

 
$
—

 
$
27.2

 
$
27.2

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.4

 
—

 
(0.2
)
 
0.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
—

 
$
0.4

 
$
—

 
$
27.0

 
$
27.4

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
—

 
$
119.0

 
$
—

 
$
119.0

(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
June 30, 2017
OPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
—

 
$
130.5

 
Discounted Cash Flow 
 
Forward Market Price (a)
 
$
27.17

 
$
66.88

 
$
43.36

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
19

 
302

 
214

Total
$
—

 
$
130.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2016
OPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
—

 
$
119.0

 
Discounted Cash Flow 
 
Forward Market Price (a)
 
$
30.14

 
$
71.85

 
$
47.45

 


 


 
 
 
Counterparty Credit Risk (b)
 
47

 
340

 
272

Total
$
—

 
$
119.0

 
 
 
 
 
 
 
 
 
 
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)
Public Service Co Of Oklahoma [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
—

 
$
9.9

 
$
(0.4
)
 
$
9.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
—

 
$
0.4

 
$
(0.4
)
 
$
—


PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
0.2

 
$
0.7

 
$
(0.1
)
 
$
0.8
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
June 30, 2017
PSO
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
9.9

 
$
0.4

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(6.70
)
 
$
0.13

 
$
(0.67
)

Significant Unobservable Inputs
December 31, 2016
PSO
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
—

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(7.99
)
 
$
1.03

 
$
(0.36
)
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)
Southwestern Electric Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
June 30, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,551.9

 
$
21,857.2

 
$
20,391.2

(a)
 
$
22,211.9

(a)
AEPTCo
 
1,931.4

 
2,105.2

 
1,932.0

 
 
1,984.3

 
APCo
 
3,990.5

 
4,734.5

 
4,033.9

 
 
4,613.2

 
I&M
 
2,691.4

 
2,937.7

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.5

 
2,098.7

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.3

 
1,451.5

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,442.7

 
2,634.8

 
2,679.1

 
 
2,814.3

 


(a)
Amounts include debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
June 30, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
—

 
$
—

 
$
—

 
$
1.7

 
$
1.7

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
—

 
12.9

 
(0.4
)
 
12.5

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
—

 
$
—

 
$
12.9

 
$
1.3

 
$
14.2

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
0.4

 
$
0.5

 
$
(0.4
)
 
$
0.5


SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.7

 
$
—

 
$
—

 
$
1.6

 
$
10.3

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.3

 
0.8

 
(0.2
)
 
0.9

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
8.7

 
$
0.3

 
$
0.8

 
$
1.4

 
$
11.2

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
$
—

 
$
0.3

 
$
0.1

 
$
(0.1
)
 
$
0.3


(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or with third parties.  Level 1 and Level 2 amounts primarily represent investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The June 30, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(1) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $6 million in 2017 and $5 million in periods 2018-2020 and $1 million in periods 2023-2032;  Level 3 matures $61 million in 2017, $63 million in periods 2018-2020, $15 million in periods 2021-2022 and $(27) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(e)
Amounts in “Other’’ column primarily represent accrued interest receivables from financial institutions.  Level 1 amounts primarily represent investments in money market funds.
(f)
The December 31, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in periods 2018-2020; Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.1

 
12.2

 
0.6

 
(0.1
)
 
0.8

 
1.4

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
8.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
12.1

 
—

 
—

 
—

 
—

 
—

Settlements
 
(16.1
)
 
(6.4
)
 
(2.7
)
 
1.9

 
(1.3
)
 
(1.9
)
Transfers into Level 3 (d) (e)
 
6.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(1.1
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
78.9

 
41.3

 
15.6

 
(7.7
)
 
9.6

 
12.4

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Three Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
16.0

 
8.6

 
3.5

 
(0.2
)
 
(0.4
)
 
2.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
2.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
17.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(17.5
)
 
(6.8
)
 
(4.6
)
 
1.7

 
(0.2
)
 
(3.5
)
Transfers into Level 3 (d) (e)
 
8.2

 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(18.9
)
 
(17.3
)
 
0.9

 
(5.2
)
 
1.1

 
1.5

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4

Six Months Ended June 30, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
32.0

 
16.9

 
3.9

 
(4.3
)
 
3.1

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
25.2

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(5.1
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(44.3
)
 
(18.6
)
 
(6.9
)
 
4.1

 
(3.8
)
 
(6.8
)
Transfers into Level 3 (d) (e)
 
10.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(9.4
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
75.7

 
41.6

 
15.7

 
(11.3
)
 
9.5

 
12.5

Balance as of June 30, 2017
 
$
87.3

 
$
41.3

 
$
15.5

 
$
(130.5
)
 
$
9.5

 
$
12.4

Six Months Ended June 30, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
41.3

 
25.1

 
6.7

 
(1.4
)
 
(1.0
)
 
7.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
24.8

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
18.8

 
—

 
—

 
—

 
—

 
—

Settlements
 
(60.0
)
 
(34.5
)
 
(9.2
)
 
3.1

 
0.4

 
(8.4
)
Transfers into Level 3 (d) (e)
 
8.1

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(41.5
)
 
(15.3
)
 
1.6

 
(32.2
)
 
1.1

 
1.3

Balance as of June 30, 2016
 
$
149.3

 
$
(12.9
)
 
$
3.5

 
$
(14.6
)
 
$
1.1

 
$
1.4


(a)
Includes both affiliated and nonaffiliated transactions.
(b)
Included in revenues on the statements of income.
(c)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(d)
Represents existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory liabilities/assets or accounts payable.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
June 30, 2017
SWEPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
12.9

 
$
0.5

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(6.70
)
 
$
0.13

 
$
(0.67
)

Significant Unobservable Inputs
December 31, 2016
SWEPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.8

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(7.99
)
 
$
1.03

 
$
(0.36
)

(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Sensitivity of Fair Value Measurements
Sensitivity of Fair Value Measurements
Significant Unobservable Input
 
Position
 
Change in Input
 
Impact on Fair Value
Measurement
Forward Market Price
 
Buy
 
Increase (Decrease)
 
Higher (Lower)
Forward Market Price
 
Sell
 
Increase (Decrease)
 
Lower (Higher)
Counterparty Credit Risk
 
Loss
 
Increase (Decrease)
 
Higher (Lower)
Counterparty Credit Risk
 
Gain
 
Increase (Decrease)
 
Lower (Higher)