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Fair Value Measurements (Tables)
9 Months Ended
Sep. 30, 2019
Book Values and Fair Values of Long-term Debt
 
 
September 30, 2019
 
December 31, 2018
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
(in millions)
AEP (a)
 
$
25,881.2

 
$
29,729.1

 
$
23,346.7

 
$
24,093.9

AEP Texas
 
4,146.5

 
4,631.5

 
3,881.3

 
3,964.6

AEPTCo
 
3,511.9

 
3,984.9

 
2,823.0

 
2,782.4

APCo
 
4,362.9

 
5,370.2

 
4,062.6

 
4,473.3

I&M
 
3,031.5

 
3,497.3

 
3,035.4

 
3,070.2

OPCo
 
2,113.9

 
2,618.5

 
1,716.6

 
1,919.7

PSO
 
1,386.4

 
1,632.9

 
1,287.0

 
1,361.9

SWEPCo
 
2,656.9

 
2,983.0

 
2,713.4

 
2,670.2



(a)
The fair value amount includes debt related to AEP’s Equity Units issued in March 2019 and has a fair value of $887 million as of September 30, 2019. See “Equity Units” section of Note 13 for additional information.

Other Temporary Investments
 
 
September 30, 2019
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
Unrealized
 
Unrealized
 
Fair
Other Temporary Investments
 
Cost
 
Gains
 
Losses
 
Value
 
 
(in millions)
Restricted Cash and Other Cash Deposits (a)
 
$
160.1

 
$

 
$

 
$
160.1

Fixed Income Securities – Mutual Funds (b)
 
133.4

 

 
(0.2
)
 
133.2

Equity Securities – Mutual Funds
 
28.5

 
17.6

 

 
46.1

Total Other Temporary Investments
 
$
322.0

 
$
17.6

 
$
(0.2
)
 
$
339.4

 
 
December 31, 2018
 
 
 
 
Gross
 
Gross
 
 
 
 
 
 
Unrealized
 
Unrealized
 
Fair
Other Temporary Investments
 
Cost
 
Gains
 
Losses
 
Value
 
 
(in millions)
Restricted Cash and Other Cash Deposits (a)
 
$
230.6

 
$

 
$

 
$
230.6

Fixed Income Securities – Mutual Funds (b)
 
106.6

 

 
(2.3
)
 
104.3

Equity Securities – Mutual Funds
 
17.8

 
16.4

 

 
34.2

Total Other Temporary Investments
 
$
355.0

 
$
16.4

 
$
(2.3
)
 
$
369.1


(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 September 30,
 
Nine Months Ended September 30,
 
2019
 
2018
 
2019
 
2018
 
(in millions)
Proceeds from Investment Sales
$
2.8

 
$

 
$
2.8

 
$

Purchases of Investments
26.9

 
0.8

 
35.8

 
2.2

Gross Realized Gains on Investment Sales

 

 

 

Gross Realized Losses on Investment Sales

 

 

 


Nuclear Trust Fund Investments
 
September 30, 2019
 
December 31, 2018
 
 
 
Gross
 
Other-Than-
 
 
 
Gross
 
Other-Than-
 
Fair
 
Unrealized
 
Temporary
 
Fair
 
Unrealized
 
Temporary
 
Value
 
Gains
 
Impairments
 
Value
 
Gains
 
Impairments
 
(in millions)
Cash and Cash Equivalents
$
17.4

 
$

 
$

 
$
22.5

 
$

 
$

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
 
United States Government
1,047.4

 
67.8

 
(5.8
)
 
996.1

 
26.7

 
(7.1
)
Corporate Debt
68.6

 
6.1

 
(1.7
)
 
52.4

 
1.1

 
(1.9
)
State and Local Government
7.5

 
0.7

 
(0.2
)
 
8.6

 
0.6

 
(0.2
)
Subtotal Fixed Income Securities
1,123.5

 
74.6

 
(7.7
)
 
1,057.1

 
28.4

 
(9.2
)
Equity Securities - Domestic (a)
1,694.3

 
1,037.7

 

 
1,395.3

 
766.3

 

Spent Nuclear Fuel and Decommissioning Trusts
$
2,835.2

 
$
1,112.3

 
$
(7.7
)
 
$
2,474.9

 
$
794.7

 
$
(9.2
)


(a)
Amount reported as Gross Unrealized Gains includes unrealized gains of $1 billion and $784 million and unrealized losses of $9 million and $18 million as of September 30, 2019 and December 31, 2018, respectively. AEP adopted ASU 2016-01 during the first quarter of 2018 by means of a modified retrospective approach. Due to the adoption of the ASU, Other-Than-Temporary Impairments are no longer applicable to Equity Securities with readily determinable fair values.
Securities Activity Within the Decommissioning and SNF Trusts
 
 
Three Months Ended September 30,
 
Nine Months Ended September 30,
 
 
2019
 
2018
 
2019
 
2018
 
 
(in millions)
Proceeds from Investment Sales
 
$
671.9

 
$
513.1

 
$
871.4

 
$
1,550.9

Purchases of Investments
 
689.1

 
521.2

 
915.7

 
1,589.0

Gross Realized Gains on Investment Sales
 
10.9

 
3.9

 
26.6

 
27.7

Gross Realized Losses on Investment Sales
 
7.1

 
3.5

 
15.1

 
22.2


Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of Fixed
 
Income Securities
 
(in millions)
Within 1 year
$
334.9

After 1 year through 5 years
390.9

After 5 years through 10 years
199.2

After 10 years
198.5

Total
$
1,123.5


Fair Value, Assets and Liabilities Measured on Recurring Basis
AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash and Other Cash Deposits (a)
 
$
152.9

 
$

 
$

 
$
7.2

 
$
160.1

Fixed Income Securities – Mutual Funds
 
133.2

 

 

 

 
133.2

Equity Securities – Mutual Funds (b)
 
46.1

 

 

 

 
46.1

Total Other Temporary Investments
 
332.2

 

 

 
7.2

 
339.4

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (d)
 
5.6

 
228.2

 
407.7

 
(195.3
)
 
446.2

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
 

 
17.6

 
2.9

 
(8.2
)
 
12.3

Interest Rate Hedges
 

 
1.9

 

 

 
1.9

Fair Value Hedges
 

 
25.3

 

 

 
25.3

Total Risk Management Assets
 
5.6

 
273.0

 
410.6

 
(203.5
)
 
485.7

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
 
9.4

 

 

 
8.0

 
17.4

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
United States Government
 

 
1,047.4

 

 

 
1,047.4

Corporate Debt
 

 
68.6

 

 

 
68.6

State and Local Government
 

 
7.5

 

 

 
7.5

Subtotal Fixed Income Securities
 

 
1,123.5

 

 

 
1,123.5

Equity Securities – Domestic (b)
 
1,694.3

 

 

 

 
1,694.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,703.7

 
1,123.5

 

 
8.0

 
2,835.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
2,041.5

 
$
1,396.5

 
$
410.6

 
$
(188.3
)
 
$
3,660.3

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (d)
 
$
5.1

 
$
243.9

 
$
231.6

 
$
(216.5
)
 
$
264.1

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
 

 
49.1

 
68.7

 
(8.2
)
 
109.6

Fair Value Hedges
 

 
0.2

 

 

 
0.2

Total Risk Management Liabilities
 
$
5.1

 
$
293.2

 
$
300.3

 
$
(224.7
)
 
$
373.9

AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash and Other Cash Deposits (a)
 
$
221.5

 
$

 
$

 
$
9.1

 
$
230.6

Fixed Income Securities – Mutual Funds
 
104.3

 

 

 

 
104.3

Equity Securities – Mutual Funds (b)
 
34.2

 

 

 

 
34.2

Total Other Temporary Investments
 
360.0

 

 

 
9.1

 
369.1

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (f)
 
3.8

 
326.5

 
340.9

 
(288.5
)
 
382.7

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
 

 
24.1

 
12.7

 
(2.7
)
 
34.1

Total Risk Management Assets
 
3.8

 
350.6

 
353.6

 
(291.2
)
 
416.8

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
 
12.3

 

 

 
10.2

 
22.5

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
United States Government
 

 
996.1

 

 

 
996.1

Corporate Debt
 

 
52.4

 

 

 
52.4

State and Local Government
 

 
8.6

 

 

 
8.6

Subtotal Fixed Income Securities
 

 
1,057.1

 

 

 
1,057.1

Equity Securities – Domestic (b)
 
1,395.3

 

 

 

 
1,395.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,407.6

 
1,057.1

 

 
10.2

 
2,474.9

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,771.4

 
$
1,407.7

 
$
353.6

 
$
(271.9
)
 
$
3,260.8

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (f)
 
$
4.2

 
$
327.0

 
$
185.6

 
$
(274.7
)
 
$
242.1

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
 

 
24.8

 
36.8

 
(2.7
)
 
58.9

Fair Value Hedges
 

 
17.4

 

 

 
17.4

Total Risk Management Liabilities
 
$
4.2

 
$
369.2

 
$
222.4

 
$
(277.4
)
 
$
318.4




AEP Texas
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding
 
$
114.3

 
$

 
$

 
$

 
$
114.3

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

 
$
0.4

 
$

 
$

 
$
0.4


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding
 
$
156.7

 
$

 
$

 
$

 
$
156.7

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

 
$
0.7

 
$

 
$
(0.5
)
 
$
0.2


APCo
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding
 
$
17.1

 
$

 
$

 
$

 
$
17.1

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 

 
31.4

 
57.3

 
(32.0
)
 
56.7

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
17.1

 
$
31.4

 
$
57.3

 
$
(32.0
)
 
$
73.8

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

 
$
33.2

 
$
1.8

 
$
(33.6
)
 
$
1.4


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding
 
$
25.6

 
$

 
$

 
$

 
$
25.6

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
0.1

 
59.1

 
58.3

 
(59.4
)
 
58.1

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
25.7

 
$
59.1

 
$
58.3

 
$
(59.4
)
 
$
83.7

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$
0.2

 
$
58.4

 
$
0.5

 
$
(58.5
)
 
$
0.6


I&M
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$
21.9

 
$
10.2

 
$
(21.5
)
 
$
10.6

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
 
9.4

 

 

 
8.0

 
17.4

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
United States Government
 

 
1,047.4

 

 

 
1,047.4

Corporate Debt
 

 
68.6

 

 

 
68.6

State and Local Government
 

 
7.5

 

 

 
7.5

Subtotal Fixed Income Securities
 

 
1,123.5

 

 

 
1,123.5

Equity Securities - Domestic (b)
 
1,694.3

 

 

 

 
1,694.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,703.7

 
1,123.5

 

 
8.0

 
2,835.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,703.7

 
$
1,145.4

 
$
10.2

 
$
(13.5
)
 
$
2,845.8

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

 
$
21.3

 
$
1.3

 
$
(22.4
)
 
$
0.2


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$
42.1

 
$
10.3

 
$
(43.2
)
 
$
9.2

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
 
12.3

 

 

 
10.2

 
22.5

Fixed Income Securities:
 
 
 
 
 
 
 
 
 


United States Government
 

 
996.1

 

 

 
996.1

Corporate Debt
 

 
52.4

 

 

 
52.4

State and Local Government
 

 
8.6

 

 

 
8.6

Subtotal Fixed Income Securities
 

 
1,057.1

 

 

 
1,057.1

Equity Securities - Domestic (b)
 
1,395.3

 

 

 

 
1,395.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,407.6

 
1,057.1

 

 
10.2

 
2,474.9

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,407.6

 
$
1,099.2

 
$
10.3

 
$
(33.0
)
 
$
2,484.1

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$
0.1

 
$
41.2

 
$
1.4

 
$
(42.3
)
 
$
0.4


OPCo
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Liabilities:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$
0.4

 
$
112.5

 
$

 
$
112.9


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding
 
$
27.6

 
$

 
$

 
$

 
$
27.6

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

 
$
0.8

 
$
99.4

 
$
(0.6
)
 
$
99.6



PSO
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$

 
$
22.0

 
$
(0.3
)
 
$
21.7

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

 
$
0.2

 
$
0.4

 
$
(0.3
)
 
$
0.3


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$

 
$
10.8

 
$
(0.4
)
 
$
10.4

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

 
$
0.3

 
$
1.3

 
$
(0.6
)
 
$
1.0



SWEPCo
Assets and Liabilities Measured at Fair Value on a Recurring Basis
September 30, 2019
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$

 
$
9.8

 
$
(0.4
)
 
$
9.4

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

 
$
0.2

 
$
4.9

 
$
(0.4
)
 
$
4.7


December 31, 2018
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
 
$

 
$

 
$
5.6

 
$
(0.8
)
 
$
4.8

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

 
$
0.4

 
$
3.3

 
$
(1.1
)
 
$
2.6


(a)
Amounts in “Other’’ column primarily represent cash deposits in bank accounts with financial institutions or 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 September 30, 2019 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 2 matures $(6) million in 2019, $(8) million in periods 2020-2022 and $(1) million in periods 2025-2032; Level 3 matures $40 million in 2019, $114 million in periods 2020-2022, $26 million in periods 2023-2024 and $(4) million in periods 2025-2032.  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, 2018 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 2 matures $(4) million in 2019, $1 million in periods 2020-2022, $1 million in periods 2023-2024 and $1 million in periods 2025-2032; Level 3 matures $108 million in 2019, $37 million in periods 2020-2022, $23 million in periods 2023-2024 and $(12) million in periods 2025-2032.  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 September 30, 2019
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of June 30, 2019
 
$
112.7

 
$
68.5

 
$
12.3

 
$
(111.5
)
 
$
27.8

 
$
8.5

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (a) (b)
 
30.2

 
13.8

 
3.1

 

 
4.1

 
3.6

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

 

 

 

 

 

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
22.1

 

 

 

 

 

Settlements
 
(67.4
)
 
(28.1
)
 
(7.2
)
 
1.1

 
(11.2
)
 
(6.7
)
Transfers into Level 3 (c) (d)
 
3.5

 

 

 

 

 

Transfers out of Level 3 (d)
 
6.6

 

 

 

 

 

Changes in Fair Value Allocated to Regulated Jurisdictions (e)
 
(0.3
)
 
1.3

 
0.7

 
(2.1
)
 
0.9

 
(0.5
)
Balance as of September 30, 2019
 
$
110.3

 
$
55.5

 
$
8.9

 
$
(112.5
)
 
$
21.6

 
$
4.9

Three Months Ended September 30, 2018
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of June 30, 2018
 
$
172.3

 
$
60.0

 
$
13.2

 
$
(86.9
)
 
$
24.3

 
$
4.9

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (a) (b)
 
19.9

 
9.0

 
1.9

 

 
3.7

 
1.7

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
 
1.5

 

 

 

 

 

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
10.4

 

 

 

 

 

Settlements
 
(56.0
)
 
(19.8
)
 
(5.5
)
 
0.6

 
(10.8
)
 
(2.7
)
Transfers into Level 3 (c) (d)
 
2.3

 

 

 

 

 

Transfers out of Level 3 (d)
 
(1.2
)
 

 

 

 

 

Changes in Fair Value Allocated to Regulated Jurisdictions (e)
 
12.0

 
17.3

 
(0.2
)
 
(8.9
)
 
0.4

 
(0.4
)
Balance as of September 30, 2018
 
$
161.2

 
$
66.5

 
$
9.4

 
$
(95.2
)
 
$
17.6

 
$
3.5


Nine Months Ended September 30, 2019
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2018
 
$
131.2

 
$
57.8

 
$
8.9

 
$
(99.4
)
 
$
9.5

 
$
2.3

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (a) (b)
 
14.6

 
(14.1
)
 
4.6

 
(0.9
)
 
13.5

 
6.0

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
 
32.9

 

 

 

 

 

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(42.8
)
 

 

 

 

 

Settlements
 
(114.6
)
 
(41.9
)
 
(12.6
)
 
4.6

 
(23.0
)
 
(10.1
)
Transfers into Level 3 (c) (d)
 
0.4

 

 

 

 

 

Transfers out of Level 3 (d)
 
1.4

 
(0.7
)
 
(0.4
)
 

 

 

Changes in Fair Value Allocated to Regulated Jurisdictions (e)
 
87.2

 
54.4

 
8.4

 
(16.8
)
 
21.6

 
6.7

Balance as of September 30, 2019
 
$
110.3

 
$
55.5

 
$
8.9

 
$
(112.5
)
 
$
21.6

 
$
4.9

Nine Months Ended September 30, 2018
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2017
 
$
40.3

 
$
24.7

 
$
7.6

 
$
(132.4
)
 
$
6.2

 
$
5.9

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (a) (b)
 
150.9

 
104.4

 
14.7

 
1.3

 
18.1

 
(4.8
)
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)
 
9.5

 

 

 

 

 

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
16.4

 

 

 

 

 

Settlements
 
(212.3
)
 
(128.3
)
 
(21.9
)
 
3.0

 
(24.3
)
 
(1.3
)
Transfers into Level 3 (c) (d)
 
16.5

 

 

 

 

 

Transfers out of Level 3 (d)
 
(2.5
)
 

 
(0.3
)
 

 

 

Changes in Fair Value Allocated to Regulated Jurisdictions (e)
 
142.4

 
65.7

 
9.3

 
32.9

 
17.6

 
3.7

Balance as of September 30, 2018
 
$
161.2

 
$
66.5

 
$
9.4

 
$
(95.2
)
 
$
17.6

 
$
3.5


(a)
Included in revenues on the statements of income.
(b)
Represents the change in fair value between the beginning of the reporting period and the settlement of the risk management commodity contract.
(c)
Represents existing assets or liabilities that were previously categorized as Level 2.
(d)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(e)
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 assets/liabilities or accounts payable.
Significant Unobservable Inputs for Level 3
AEP
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
298.8

 
$
286.8

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
(0.05
)
 
$
180.10

 
$
31.34

Natural Gas Contracts

 
4.5

 
Discounted Cash Flow
 
Forward Market Price (b)
 
1.96

 
2.62

 
2.25

FTRs
111.8

 
9.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(10.40
)
 
11.65

 
0.54

Total
$
410.6

 
$
300.3

 
 
 
 
 
 
 
 
 
 

December 31, 2018
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
257.1

 
$
212.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
(0.05
)
 
$
176.57

 
$
33.07

Natural Gas Contracts

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (b)
 
2.18

 
3.54

 
2.47

FTRs
96.5

 
7.4

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(11.68
)
 
17.79

 
1.09

Total
$
353.6

 
$
222.4

 
 
 
 
 
 
 
 
 
 

APCo
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
3.6

 
$
1.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.93

 
$
59.25

 
$
31.28

FTRs
53.7

 
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
(0.91
)
 
10.14

 
1.63

Total
$
57.3

 
$
1.8

 
 
 
 
 
 
 
 
 
 

December 31, 2018
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
2.4

 
$
0.5

 
Discounted Cash Flow
 
Forward Market Price
 
$
16.82

 
$
62.65

 
$
37.00

FTRs
55.9

 

 
Discounted Cash Flow
 
Forward Market Price
 
0.10

 
15.16

 
3.27

Total
$
58.3

 
$
0.5

 
 
 
 
 
 
 
 
 
 

I&M
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
2.2

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.93

 
$
59.25

 
$
31.28

FTRs
8.0

 
0.6

 
Discounted Cash Flow
 
Forward Market Price
 
(1.76
)
 
7.26

 
0.87

Total
$
10.2

 
$
1.3

 
 
 
 
 
 
 
 
 
 

December 31, 2018
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
1.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
16.82

 
$
62.65

 
$
37.00

FTRs
8.9

 
0.5

 
Discounted Cash Flow
 
Forward Market Price
 
(2.11
)
 
6.21

 
1.06

Total
$
10.3

 
$
1.4

 
 
 
 
 
 
 
 
 
 
OPCo
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$

 
$
112.5

 
Discounted Cash Flow
 
Forward Market Price
 
$
27.47

 
$
65.81

 
$
40.30


December 31, 2018
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$

 
$
99.4

 
Discounted Cash Flow
 
Forward Market Price
 
$
26.29

 
$
62.74

 
$
42.50


PSO
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
22.0

 
$
0.4

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.87
)
 
$
0.93

 
$
(2.19
)

December 31, 2018
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
10.8

 
$
1.3

 
Discounted Cash Flow
 
Forward Market Price
 
$
(11.68
)
 
$
10.30

 
$
(1.40
)
SWEPCo
Significant Unobservable Inputs
September 30, 2019
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Natural Gas Contracts
$

 
$
4.5

 
Discounted Cash Flow
 
Forward Market Price (b)
 
$
1.96

 
$
2.62

 
$
2.25

FTRs
9.8

 
0.4

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.87
)
 
0.93

 
(2.19
)
Total
$
9.8

 
$
4.9

 
 
 
 
 
 
 
 
 
 

December 31, 2018
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Natural Gas Contracts
$

 
$
2.5

 
Discounted Cash Flow
 
Forward Market Price (b)
 
$
2.18

 
$
3.54

 
$
2.47

FTRs
5.6

 
0.8

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(11.68
)
 
10.30

 
(1.40
)
Total
$
5.6

 
$
3.3

 
 
 
 
 
 
 
 
 
 

(a)
Represents market prices in dollars per MWh.
(b)
Represents market prices in dollars per MMBtu.
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)