Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2019

Notional Volume of Derivative Instruments

Notional Volume of Derivative Instruments

September 30, 2019

Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	424.3		—		94.7		37.1		7.3		21.6		6.9
Natural Gas	MMBtus	53.2		—		—		—		—		—		12.5
Heating Oil and Gasoline	Gallons	8.4		1.8		1.6		0.8		2.0		0.8		0.9
Interest Rate	USD	$	140.1	$	—	$	—	$	—	$	—	$	—	$	—
Interest Rate	USD	$	600.0	$	—	$	—	$	—	$	—	$	—	$	—

Notional Volume of Derivative Instruments

December 31, 2018

Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	371.1		—		66.4		40.9		7.8		15.2		4.5
Natural Gas	MMBtus	87.9		—		4.0		2.3		—		—		15.2
Heating Oil and Gasoline	Gallons	7.4		1.5		1.4		0.7		1.8		0.7		0.8
Interest Rate	USD	$	37.7	$	—	$	—	$	—	$	—	$	—	$	—
Interest Rate	USD	$	500.0	$	—	$	—	$	—	$	—	$	—	$	—

Fair Value of Derivative Instruments

AEP

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management Contracts		Hedging Contracts					Gross Amounts of Risk Management Assets/ Liabilities Recognized		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
Balance Sheet Location	Commodity (a)		Commodity (a)			Interest Rate (a)
	(in millions)
Current Risk Management Assets	$	337.0	$	16.5		$	1.9	$	355.4	$	(168.7	)	$	186.7
Long-term Risk Management Assets	319.0		10.0			25.3		354.3		(55.3		)	299.0
Total Assets	656.0		26.5			27.2		709.7		(224.0		)	485.7
Current Risk Management Liabilities	213.4		36.4			0.2		250.0		(174.7		)	75.3
Long-term Risk Management Liabilities	281.7		87.4			—		369.1		(70.5		)	298.6
Total Liabilities	495.1		123.8			0.2		619.1		(245.2		)	373.9
Total MTM Derivative Contract Net Assets (Liabilities)	$	160.9	$	(97.3	)	$	27.0	$	90.6	$	21.2		$	111.8

December 31, 2018

	Risk Management Contracts		Hedging Contracts						Gross Amounts of Risk Management Assets/ Liabilities Recognized		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
Balance Sheet Location	Commodity (a)		Commodity (a)			Interest Rate (a)
	(in millions)
Current Risk Management Assets	$	397.5	$	28.5		$	—		$	426.0	$	(263.2	)	$	162.8
Long-term Risk Management Assets	276.4		16.0			—			292.4		(38.4		)	254.0
Total Assets	673.9		44.5			—			718.4		(301.6		)	416.8
Current Risk Management Liabilities	293.8		13.2			2.0			309.0		(254.0		)	55.0
Long-term Risk Management Liabilities	225.7		56.1			15.4			297.2		(33.8		)	263.4
Total Liabilities	519.5		69.3			17.4			606.2		(287.8		)	318.4
Total MTM Derivative Contract Net Assets (Liabilities)	$	154.4	$	(24.8	)	$	(17.4	)	$	112.2	$	(13.8	)	$	98.4

AEP Texas

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management			Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –			in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)			Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	—		$	—		$	—
Long-term Risk Management Assets	—			—			—
Total Assets	—			—			—
Current Risk Management Liabilities	0.4			(0.1		)	0.3
Long-term Risk Management Liabilities	—			0.1			0.1
Total Liabilities	0.4			—			0.4
Total MTM Derivative Contract Net Liabilities	$	(0.4	)	$	—		$	(0.4	)

December 31, 2018

	Risk Management			Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –			in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)			Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	—		$	—		$	—
Long-term Risk Management Assets	—			—			—
Total Assets	—			—			—
Current Risk Management Liabilities	0.7			(0.5		)	0.2
Long-term Risk Management Liabilities	—			—			—
Total Liabilities	0.7			(0.5		)	0.2
Total MTM Derivative Contract Net Assets (Liabilities)	$	(0.7	)	$	0.5		$	(0.2	)

APCo

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	86.3	$	(29.8	)	$	56.5
Long-term Risk Management Assets	4.1		(3.9		)	0.2
Total Assets	90.4		(33.7		)	56.7
Current Risk Management Liabilities	32.3		(31.2		)	1.1
Long-term Risk Management Liabilities	4.4		(4.1		)	0.3
Total Liabilities	36.7		(35.3		)	1.4
Total MTM Derivative Contract Net Assets	$	53.7	$	1.6		$	55.3

December 31, 2018

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	114.4	$	(57.2	)	$	57.2
Long-term Risk Management Assets	3.1		(2.2		)	0.9
Total Assets	117.5		(59.4		)	58.1
Current Risk Management Liabilities	56.7		(56.3		)	0.4
Long-term Risk Management Liabilities	2.4		(2.2		)	0.2
Total Liabilities	59.1		(58.5		)	0.6
Total MTM Derivative Contract Net Assets (Liabilities)	$	58.4	$	(0.9	)	$	57.5

I&M

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	30.5	$	(20.0	)	$	10.5
Long-term Risk Management Assets	2.7		(2.6		)	0.1
Total Assets	33.2		(22.6		)	10.6
Current Risk Management Liabilities	21.0		(20.8		)	0.2
Long-term Risk Management Liabilities	2.7		(2.7		)	—
Total Liabilities	23.7		(23.5		)	0.2
Total MTM Derivative Contract Net Assets	$	9.5	$	0.9		$	10.4

December 31, 2018

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	50.4	$	(41.8	)	$	8.6
Long-term Risk Management Assets	2.0		(1.4		)	0.6
Total Assets	52.4		(43.2		)	9.2
Current Risk Management Liabilities	41.1		(40.8		)	0.3
Long-term Risk Management Liabilities	1.6		(1.5		)	0.1
Total Liabilities	42.7		(42.3		)	0.4
Total MTM Derivative Contract Net Assets (Liabilities)	$	9.7	$	(0.9	)	$	8.8

OPCo

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management			Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –			in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)			Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	—		$	—	$	—
Long-term Risk Management Assets	—			—		—
Total Assets	—			—		—
Current Risk Management Liabilities	7.2			—		7.2
Long-term Risk Management Liabilities	105.7			—		105.7
Total Liabilities	112.9			—		112.9
Total MTM Derivative Contract Net Liabilities	$	(112.9	)	$	—	$	(112.9	)

December 31, 2018

	Risk Management			Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –			in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)			Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	—		$	—		$	—
Long-term Risk Management Assets	—			—			—
Total Assets	—			—			—
Current Risk Management Liabilities	6.4			(0.6		)	5.8
Long-term Risk Management Liabilities	93.8			—			93.8
Total Liabilities	100.2			(0.6		)	99.6
Total MTM Derivative Contract Net Assets (Liabilities)	$	(100.2	)	$	0.6		$	(99.6	)

PSO

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	21.9	$	(0.2	)	$	21.7
Long-term Risk Management Assets	—		—			—
Total Assets	21.9		(0.2		)	21.7
Current Risk Management Liabilities	0.5		(0.2		)	0.3
Long-term Risk Management Liabilities	—		—			—
Total Liabilities	0.5		(0.2		)	0.3
Total MTM Derivative Contract Net Assets	$	21.4	$	—		$	21.4

December 31, 2018

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	10.9	$	(0.5	)	$	10.4
Long-term Risk Management Assets	—		—			—
Total Assets	10.9		(0.5		)	10.4
Current Risk Management Liabilities	1.7		(0.7		)	1.0
Long-term Risk Management Liabilities	—		—			—
Total Liabilities	1.7		(0.7		)	1.0
Total MTM Derivative Contract Net Assets	$	9.2	$	0.2		$	9.4

SWEPCo

Fair Value of Derivative Instruments

September 30, 2019

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	9.8	$	(0.4	)	$	9.4
Long-term Risk Management Assets	—		—			—
Total Assets	9.8		(0.4		)	9.4
Current Risk Management Liabilities	2.1		(0.4		)	1.7
Long-term Risk Management Liabilities	3.0		—			3.0
Total Liabilities	5.1		(0.4		)	4.7
Total MTM Derivative Contract Net Assets	$	4.7	$	—		$	4.7

December 31, 2018

	Risk Management		Gross Amounts Offset			Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of			Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)			Financial Position (c)
	(in millions)
Current Risk Management Assets	$	5.6	$	(0.8	)	$	4.8
Long-term Risk Management Assets	—		—			—
Total Assets	5.6		(0.8		)	4.8
Current Risk Management Liabilities	1.5		(1.1		)	0.4
Long-term Risk Management Liabilities	2.2		—			2.2
Total Liabilities	3.7		(1.1		)	2.6
Total MTM Derivative Contract Net Assets	$	1.9	$	0.3		$	2.2

(a) Derivative instruments within these categories are reported gross.  These instruments are subject to master netting agreements and are presented on the balance sheets on a net basis in accordance with the accounting guidance for “Derivatives and Hedging.”

(b) Amounts include counterparty netting of risk management and hedging contracts and associated cash collateral in accordance with the accounting guidance for “Derivatives and Hedging.”

(c)

All derivative contracts subject to a master netting arrangement or similar agreement are offset in the statement of financial position.

Amount of Gain (Loss) Recognized on Risk Management Contracts

Amount of Gain (Loss) Recognized on

Risk Management Contracts

Three Months Ended September 30, 2019

Location of Gain (Loss)	AEP			AEP Texas			APCo			I&M			OPCo			PSO			SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	0.5		$	—		$	—		$	—		$	—		$	—		$	—
Generation & Marketing Revenues	21.0			—			—			—			—			—			—
Electric Generation, Transmission and Distribution Revenues	—			—			0.2			0.2			—			—			—
Purchased Electricity for Resale	0.4			—			0.3			—			—			—			—
Other Operation	(0.1		)	—			(0.1		)	(0.1		)	(0.1		)	(0.1		)	—
Maintenance	(0.2		)	—			—			(0.1		)	—			—			—
Regulatory Assets (a)	(4.8		)	(0.2		)	0.2			—			(2.6		)	(0.1		)	(1.6		)
Regulatory Liabilities (a)	26.3			—			10.0			3.2			—			4.3			4.5
Total Gain (Loss) on Risk Management Contracts	$	43.1		$	(0.2	)	$	10.6		$	3.2		$	(2.7	)	$	4.1		$	2.9

Amount of Gain (Loss) Recognized on

Risk Management Contracts

Three Months Ended September 30, 2018

Location of Gain (Loss)	AEP			AEP Texas		APCo			I&M			OPCo			PSO			SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	(0.7	)	$	—	$	—		$	—		$	—		$	—		$	—
Generation & Marketing Revenues	19.3			—		—			—			—			—			—
Electric Generation, Transmission and Distribution Revenues	—			—		(0.5		)	(0.1		)	—			—			—
Purchased Electricity for Resale	0.3			—		0.3			—			—			—			—
Other Operation	0.5			0.1		0.1			0.1			0.1			0.1			0.1
Maintenance	0.6			0.1		0.1			0.1			0.1			0.1			0.1
Regulatory Assets (a)	(14.0		)	—		—			(3.5		)	(9.3		)	(0.6		)	(0.6		)
Regulatory Liabilities (a)	33.8			—		24.0			—			—			3.9			1.5
Total Gain (Loss) on Risk Management Contracts	$	39.8		$	0.2	$	24.0		$	(3.4	)	$	(9.1	)	$	3.5		$	1.1

Amount of Gain (Loss) Recognized on

Risk Management Contracts

Nine Months Ended September 30, 2019

Location of Gain (Loss)	AEP			AEP Texas			APCo			I&M			OPCo			PSO			SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	1.0		$	—		$	—		$	—		$	—		$	—		$	—
Generation & Marketing Revenues	27.2			—			—			—			—			—			—
Electric Generation, Transmission and Distribution Revenues	—			—			0.2			0.5			—			—			0.1
Purchased Electricity for Resale	1.6			—			1.4			0.1			—			—			—
Other Operation	(0.6		)	(0.1		)	(0.1		)	(0.1		)	(0.2		)	(0.1		)	(0.1		)
Maintenance	(0.6		)	(0.1		)	(0.1		)	(0.1		)	(0.1		)	—			(0.1		)
Regulatory Assets (a)	(19.4		)	0.3			0.4			0.2			(19.8		)	0.9			(0.4		)
Regulatory Liabilities (a)	64.5			—			(5.3		)	17.2			—			26.6			22.9
Total Gain (Loss) on Risk Management Contracts	$	73.7		$	0.1		$	(3.5	)	$	17.8		$	(20.1	)	$	27.4		$	22.4

Amount of Gain (Loss) Recognized on

Risk Management Contracts

Nine Months Ended September 30, 2018

Location of Gain (Loss)	AEP			AEP Texas		APCo			I&M			OPCo		PSO			SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	(9.4	)	$	—	$	—		$	—		$	—	$	—		$	—
Generation & Marketing Revenues	31.7			—		—			—			—		—			—
Electric Generation, Transmission and Distribution Revenues	—			—		(1.3		)	(7.8		)	—		—			0.1
Purchased Electricity for Resale	8.3			—		7.3			0.8			—		—			—
Other Operation	1.3			0.3		0.2			0.2			0.3		0.2			0.2
Maintenance	1.5			0.3		0.3			0.2			0.3		0.2			0.2
Regulatory Assets (a)	29.2			—		—			(0.3		)	31.8		(0.6		)	(1.7		)
Regulatory Liabilities (a)	206.2			—		127.3			11.7			0.6		34.8			7.6
Total Gain on Risk Management Contracts	$	268.8		$	0.6	$	133.8		$	4.8		$	33.0	$	34.6		$	6.4

(a)

Represents realized and unrealized gains and losses subject to regulatory accounting treatment recorded as either current or noncurrent on the balance sheets.

Impact of Fair Value Hedges on the Condensed Balance Sheet

	Carrying Amount of the Hedged Assets/(Liabilities)						Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
	September 30, 2019			December 31, 2018			September 30, 2019			December 31, 2018
	(in millions)
Long-term Debt (a)	$	(521.2	)	$	(478.3	)	$	(25.1	)	$	17.4

(a)

Amounts included on the balance sheets within Long-term Debt Due within One Year and Long-term Debt, respectively.

Gain (Loss) on Hedging Instruments

	Three Months Ended September 30,						Nine Months Ended September 30,
	2019			2018			2019			2018
	(in millions)
Gain (Loss) on Interest Rate Contracts:
Gain (Loss) on Fair Value Hedging Instruments (a)	$	13.2		$	(6.3	)	$	42.5		$	(28.1	)
Gain (Loss) on Fair Value Portion of Long-term Debt (a)	(13.2		)	6.3			(42.5		)	28.1

(a) Gain (Loss) is included in Interest Expense on the statements of income.

Impact of Cash Flow Hedges on the Condensed Balance Sheet

Impact of Cash Flow Hedges on the Registrant Subsidiaries’ Balance Sheets

	September 30, 2019						December 31, 2018
	Interest Rate
				Expected to be						Expected to be
				Reclassified to						Reclassified to
				Net Income During						Net Income During
	AOCI Gain (Loss)			the Next			AOCI Gain (Loss)			the Next
Company	Net of Tax			Twelve Months			Net of Tax			Twelve Months
	(in millions)
AEP Texas	$	(3.6	)	$	(1.1	)	$	(4.4	)	$	(1.1	)
APCo	1.1			0.9			1.8			0.9
I&M	(10.3		)	(1.6		)	(11.5		)	(1.6		)
OPCo	—			—			1.0			1.0
PSO	1.4			1.0			2.1			1.0
SWEPCo	(2.2		)	(1.5		)	(3.3		)	(1.5		)

Impact of Cash Flow Hedges on AEP’s Balance Sheets

	September 30, 2019							December 31, 2018
	Commodity			Interest Rate				Commodity			Interest Rate
	(in millions)
AOCI Gain (Loss) Net of Tax	$	(82.2	)	$	(16.7	)	(a)	$	(23.0	)	$	(12.6	)
Portion Expected to be Reclassed to Net Income During the Next Twelve Months	(24.2		)	(3.7		)		10.4			(1.1		)

(a)

Includes $6 million related to AEP's investment in joint venture wind farms acquired as part of the purchase of Sempra Renewables LLC. See “Sempra Renewables LLC” section of Note 14 for additional information.

Liabilities Subject to Cross Default Provisions

	September 30, 2019
	Liabilities for				Additional
	Contracts with Cross				Settlement
	Default Provisions				Liability if Cross
	Prior to Contractual		Amount of Cash		Default Provision
Company	Netting Arrangements		Collateral Posted		is Triggered
	(in millions)
AEP	$	261.0	$	3.4	$	230.7
APCo	3.9		—		0.2
I&M	2.3		—		0.1
SWEPCo	4.7		—		2.8

	December 31, 2018
	Liabilities for				Additional
	Contracts with Cross				Settlement
	Default Provisions				Liability if Cross
	Prior to Contractual		Amount of Cash		Default Provision
Company	Netting Arrangements		Collateral Posted		is Triggered
	(in millions)
AEP	$	225.5	$	1.8	$	181.0
APCo	0.9		—		—
I&M	0.5		—		—
SWEPCo	2.3		—		2.3