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Fair Value Measurements

12 Months Ended

Dec. 31, 2020

FAIR VALUE MEASUREMENTS

The disclosures in this note apply to all Registrants except AEPTCo unless indicated otherwise.

Fair Value Measurements of Long-term Debt (Applies to all Registrants)

The fair values of Long-term Debt are based on quoted market prices, without credit enhancements, for the same or similar issues and the current interest rates offered for instruments with similar maturities classified as Level 2 measurement inputs. These instruments are not marked-to-market. The estimates presented are not necessarily indicative of the amounts that could be realized in a current market exchange. The fair value of AEP’s Equity Units (Level 1) are valued based on publicly-traded securities issued by AEP.

The book values and fair values of Long-term Debt are summarized in the following table:


	December 31,
	2020				2019
Company	Book Value		Fair Value		Book Value		Fair Value
	(in millions)
AEP (a)	$	31,072.5	$	37,457.0	$	26,725.5	$	30,172.0
AEP Texas	4,820.4		5,682.6		4,558.4		4,981.5
AEPTCo	3,948.5		4,984.3		3,427.3		3,868.0
APCo	4,834.1		6,391.8		4,363.8		5,253.1
I&M	3,029.9		3,775.3		3,050.2		3,453.8
OPCo	2,430.2		3,154.9		2,082.0		2,554.3
PSO	1,373.8		1,732.1		1,386.2		1,603.3
SWEPCo	2,636.4		3,210.1		2,655.6		2,927.9

(a)The fair value amounts include debt related to AEP’s Equity Units and had a fair value of $1.7 billion and $871 million as of December 31, 2020 and 2019, respectively. See “Equity Units” section of Note 14 for additional information.

Fair Value Measurements of Other Temporary Investments (Applies to AEP)

Other Temporary Investments include marketable securities that management intends to hold for less than one year and investments by AEP’s protected cell of EIS. See “Other Temporary Investments” section of Note 1 for additional information.

The following is a summary of Other Temporary Investments:


	December 31, 2020
			Gross		Gross
			Unrealized		Unrealized		Fair
Other Temporary Investments	Cost		Gains		Losses		Value
	(in millions)
Restricted Cash and Other Cash Deposits (a)	$	68.3	$	—	$	—	$	68.3
Fixed Income Securities – Mutual Funds (b)	120.7		2.8		—		123.5
Equity Securities – Mutual Funds	25.9		28.7		—		54.6
Total Other Temporary Investments	$	214.9	$	31.5	$	—	$	246.4


	December 31, 2019
			Gross		Gross
			Unrealized		Unrealized		Fair
Other Temporary Investments	Cost		Gains		Losses		Value
	(in millions)
Restricted Cash and Other Cash Deposits (a)	$	214.7	$	—	$	—	$	214.7
Fixed Income Securities – Mutual Funds (b)	123.2		0.1		—		123.3
Equity Securities – Mutual Funds	29.2		21.3		—		50.5
Total Other Temporary Investments	$	367.1	$	21.4	$	—	$	388.5

(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.

The following table provides the activity for fixed income and equity securities within Other Temporary Investments:


	Years Ended December 31,
	2020		2019		2018
	(in millions)
Proceeds from Investment Sales	$	50.9	$	21.2	$	—
Purchases of Investments	41.6		45.0		3.1
Gross Realized Gains on Investment Sales	3.8		—		—
Gross Realized Losses on Investment Sales	0.2		0.4		—

Fair Value Measurements of Trust Assets for Decommissioning and SNF Disposal (Applies to AEP and I&M)

Securities held in trust funds for decommissioning nuclear facilities and for the disposal of SNF are recorded at fair value. See “Nuclear Trust Funds” section of Note 1 for additional information.

The following is a summary of nuclear trust fund investments:


	December 31,
	2020						2019
			Gross		Other-Than-				Gross		Other-Than-
	Fair		Unrealized		Temporary		Fair		Unrealized		Temporary
	Value		Gains		Impairments		Value		Gains		Impairments
	(in millions)
Cash and Cash Equivalents	$	25.8	$	—	$	—	$	15.3	$	—	$	—
Fixed Income Securities:
United States Government	1,025.6		98.5		(7.1)		1,112.5		55.5		(6.1)
Corporate Debt	86.3		9.6		(1.7)		72.4		5.3		(1.6)
State and Local Government	114.3		0.9		(0.4)		7.6		0.7		(0.2)
Subtotal Fixed Income Securities	1,226.2		109.0		(9.2)		1,192.5		61.5		(7.9)
Equity Securities - Domestic (a)	2,054.7		1,400.8		—		1,767.9		1,144.4		—
Spent Nuclear Fuel and Decommissioning Trusts	$	3,306.7	$	1,509.8	$	(9.2)	$	2,975.7	$	1,205.9	$	(7.9)

(a)Amount reported as Gross Unrealized Gains includes unrealized gains of $1.4 billion and $1.1 billion and unrealized losses of $9 million and $5 million as of December 31, 2020 and 2019, respectively.

The following table provides the securities activity within the decommissioning and SNF trusts:


	Years Ended December 31,
	2020		2019		2018
	(in millions)
Proceeds from Investment Sales	$	1,593.4	$	1,473.0	$	2,010.0
Purchases of Investments	1,637.2		1,531.0		2,064.7
Gross Realized Gains on Investment Sales	26.4		76.5		47.5
Gross Realized Losses on Investment Sales	26.1		24.3		32.8

The base cost of fixed income securities was $1.1 billion and $1.1 billion as of December 31, 2020 and 2019, respectively. The base cost of equity securities was $654 million and $623 million as of December 31, 2020 and 2019, respectively.

The fair value of fixed income securities held in the nuclear trust funds, summarized by contractual maturities, as of December 31, 2020 was as follows:


	Fair Value of Fixed
	Income Securities
	(in millions)
Within 1 year	$	294.8
After 1 year through 5 years	371.3
After 5 years through 10 years	214.4
After 10 years	345.7
Total	$	1,226.2

Fair Value Measurements of Financial Assets and Liabilities

For a discussion of fair value accounting and the classification of assets and liabilities within the fair value hierarchy, see the “Fair Value Measurements of Assets and Liabilities” section of Note 1.

The following tables set forth, by level within the fair value hierarchy, the Registrants’ financial assets and liabilities that were accounted for at fair value on a recurring basis. As required by the accounting guidance for “Fair Value Measurements and Disclosures,” financial assets and liabilities are classified in their entirety based on the lowest level of input that is significant to the fair value measurement. Management’s assessment of the significance of a particular input to the fair value measurement requires judgment and may affect the valuation of fair value assets and liabilities and their placement within the fair value hierarchy levels. There have not been any significant changes in management’s valuation techniques.

AEP


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)



Other Temporary Investments
Restricted Cash and Other Cash Deposits (a)	$	57.8	$	—	$	—	$	10.5	$	68.3
Fixed Income Securities – Mutual Funds	123.5		—		—		—		123.5
Equity Securities – Mutual Funds (b)	54.6		—		—		—		54.6
Total Other Temporary Investments	235.9		—		—		10.5		246.4

Risk Management Assets
Risk Management Commodity Contracts (c) (d)	0.9		258.8		252.4		(190.0)		322.1
Cash Flow Hedges:
Commodity Hedges (c)	—		34.4		3.9		(28.5)		9.8
Interest Rate Hedges	—		2.4		—		—		2.4
Fair Value Hedges	—		2.6		—		—		2.6
Total Risk Management Assets	0.9		298.2		256.3		(218.5)		336.9

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (e)	16.8		—		—		9.0		25.8
Fixed Income Securities:
United States Government	—		1,025.6		—		—		1,025.6
Corporate Debt	—		86.3		—		—		86.3
State and Local Government	—		114.3		—		—		114.3
Subtotal Fixed Income Securities	—		1,226.2		—		—		1,226.2
Equity Securities – Domestic (b)	2,054.7		—		—		—		2,054.7
Total Spent Nuclear Fuel and Decommissioning Trusts	2,071.5		1,226.2		—		9.0		3,306.7

Other Investments (h)	—		—		31.8		—		31.8

Total Assets	$	2,308.3	$	1,524.4	$	288.1	$	(199.0)	$	3,921.8

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (d)	$	0.9	$	244.2	$	167.2	$	(193.4)	$	218.9
Cash Flow Hedges:
Commodity Hedges (c)	—		106.1		7.6		(28.5)		85.2
Interest Rate Hedges	—		3.4		—		—		3.4
Fair Value Hedges	—		4.1		—		—		4.1
Total Risk Management Liabilities	$	0.9	$	357.8	$	174.8	$	(221.9)	$	311.6

AEP


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)



Other Temporary Investments
Restricted Cash and Other Cash Deposits (a)	$	197.6	$	—	$	—	$	17.1	$	214.7
Fixed Income Securities – Mutual Funds	123.3		—		—		—		123.3
Equity Securities – Mutual Funds (b)	50.5		—		—		—		50.5
Total Other Temporary Investments	371.4		—		—		17.1		388.5

Risk Management Assets
Risk Management Commodity Contracts (c) (f)	4.0		440.1		369.2		(404.5)		408.8
Cash Flow Hedges:
Commodity Hedges (c)	—		15.0		3.2		(6.7)		11.5
Interest Rate Hedges	—		4.6		—		—		4.6
Fair Value Hedges	—		14.5		—		—		14.5
Total Risk Management Assets	4.0		474.2		372.4		(411.2)		439.4

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (e)	6.7		—		—		8.6		15.3
Fixed Income Securities:
United States Government	—		1,112.5		—		—		1,112.5
Corporate Debt	—		72.4		—		—		72.4
State and Local Government	—		7.6		—		—		7.6
Subtotal Fixed Income Securities	—		1,192.5		—		—		1,192.5
Equity Securities – Domestic (b)	1,767.9		—		—		—		1,767.9
Total Spent Nuclear Fuel and Decommissioning Trusts	1,774.6		1,192.5		—		8.6		2,975.7

Total Assets	$	2,150.0	$	1,666.7	$	372.4	$	(385.5)	$	3,803.6

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (f)	$	3.8	$	450.0	$	224.0	$	(438.8)	$	239.0
Cash Flow Hedges:
Commodity Hedges (c)	—		105.3		38.5		(6.7)		137.1


Total Risk Management Liabilities	$	3.8	$	555.3	$	262.5	$	(445.5)	$	376.1

AEP Texas


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Restricted Cash for Securitized Funding	$	28.7	$	—	$	—	$	—	$	28.7

Risk Management Assets
Risk Management Commodity Contracts (c)	—		0.4		—		(0.4)		—

Total Assets	$	28.7	$	0.4	$	—	$	(0.4)	$	28.7


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Restricted Cash for Securitized Funding	$	154.7	$	—	$	—	$	—	$	154.7

APCo


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Restricted Cash for Securitized Funding	$	16.9	$	—	$	—	$	—	$	16.9

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	—		19.4		19.9		(19.2)		20.1
Cash Flow Hedges:
Interest Rate Hedges	—		2.4		—		—		2.4
Total Risk Management Assets	—		21.8		19.9		(19.2)		22.5

Total Assets	$	16.9	$	21.8	$	19.9	$	(19.2)	$	39.4

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	19.5	$	0.6	$	(18.8)	$	1.3
Cash Flow Hedges:
Interest Rate Hedges	—		3.4		—		—		3.4
Total Risk Management Liabilities	$	—	$	22.9	$	0.6	$	(18.8)	$	4.7


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Restricted Cash for Securitized Funding	$	23.5	$	—	$	—	$	—	$	23.5

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	—		84.6		40.5		(85.6)		39.5

Total Assets	$	23.5	$	84.6	$	40.5	$	(85.6)	$	63.0

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	84.0	$	2.8	$	(84.9)	$	1.9

I&M


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	15.1	$	2.5	$	(13.9)	$	3.7

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (e)	16.8		—		—		9.0		25.8
Fixed Income Securities:
United States Government	—		1,025.6		—		—		1,025.6
Corporate Debt	—		86.3		—		—		86.3
State and Local Government	—		114.3		—		—		114.3
Subtotal Fixed Income Securities	—		1,226.2		—		—		1,226.2
Equity Securities - Domestic (b)	2,054.7		—		—		—		2,054.7
Total Spent Nuclear Fuel and Decommissioning Trusts	2,071.5		1,226.2		—		9.0		3,306.7

Total Assets	$	2,071.5	$	1,241.3	$	2.5	$	(4.9)	$	3,310.4

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	12.0	$	0.4	$	(12.2)	$	0.2


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	59.5	$	8.0	$	(57.6)	$	9.9

Spent Nuclear Fuel and Decommissioning Trusts
Cash and Cash Equivalents (e)	6.7		—		—		8.6		15.3
Fixed Income Securities:
United States Government	—		1,112.5		—		—		1,112.5
Corporate Debt	—		72.4		—		—		72.4
State and Local Government	—		7.6		—		—		7.6
Subtotal Fixed Income Securities	—		1,192.5		—		—		1,192.5
Equity Securities - Domestic (b)	1,767.9		—		—		—		1,767.9
Total Spent Nuclear Fuel and Decommissioning Trusts	1,774.6		1,192.5		—		8.6		2,975.7

Total Assets	$	1,774.6	$	1,252.0	$	8.0	$	(49.0)	$	2,985.6

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	53.4	$	2.2	$	(55.1)	$	0.5

OPCo


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)



Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	0.3	$	—	$	(0.3)	$	—



Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	110.3	$	—	$	110.3


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Liabilities:	(in millions)










Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	103.6	$	—	$	103.6

PSO


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	0.2	$	10.3	$	(0.2)	$	10.3


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)

Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	16.3	$	(0.5)	$	15.8

Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	0.5	$	(0.5)	$	—

SWEPCo


	December 31, 2020
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)



Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	0.1	$	3.3	$	(0.2)	$	3.2



Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	1.7	$	—	$	1.7


	December 31, 2019
	Level 1		Level 2		Level 3		Other		Total
Assets:	(in millions)



Risk Management Assets
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	6.5	$	(0.1)	$	6.4



Liabilities:

Risk Management Liabilities
Risk Management Commodity Contracts (c) (g)	$	—	$	—	$	5.1	$	(0.1)	$	5.0

(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 December 31, 2020 maturities of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), were as follows: Level 2 matures $3 million in periods 2022-2024, $11 million in periods 2025-2026 and $1 million in periods 2027-2033; Level 3 matures $47 million in 2021, $37 million in periods 2022-2024, $14 million in periods 2025-2026 and $(13) million in periods 2027-2033. 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, 2019 maturities of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), were as follows: Level 2 matures $(7) million in 2020 and $(3) million in periods 2021-2023; Level 3 matures $96 million in 2020, $36 million in periods 2021-2023, $25 million in periods 2024-2025 and $(12) million in periods 2026-2032. Risk management commodity contracts are substantially comprised of power contracts.

(g)Substantially comprised of power contracts for the Registrant Subsidiaries.

(h)See “Warrants Held in Investee” section of Note 10 for additional information.

The following tables set forth a reconciliation of changes in the fair value of net trading derivatives classified as Level 3 in the fair value hierarchy:


Year Ended December 31, 2020	AEP		APCo		I&M		OPCo		PSO		SWEPCo
	(in millions)
Balance as of December 31, 2019	$	109.9	$	37.7	$	5.8	$	(103.6)	$	15.8	$	1.4
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (a) (b)	39.5		13.2		2.5		(1.6)		11.9		2.8
Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (a)	35.3		—		—		—		—		—
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income (c)	13.8		—		—		—		—		—
Settlements	(113.1)		(51.6)		(8.6)		8.9		(27.6)		(6.6)
Transfers into Level 3 (d) (e)	(3.8)		—		—		—		—		—
Transfers out of Level 3 (e)	5.6		0.7		0.4		—		—		—
Changes in Fair Value Allocated to Regulated Jurisdictions (f)	26.1		19.3		2.0		(14.0)		10.2		4.0
Balance as of December 31, 2020	$	113.3	$	19.3	$	2.1	$	(110.3)	$	10.3	$	1.6


Year Ended December 31, 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)	15.8		(13.9)		4.7		(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)	(0.1)		—		—		—		—		—
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income (c)	(15.1)		—		—		—		—		—
Settlements	(117.6)		(42.5)		(13.0)		6.6		(23.0)		(9.6)
Transfers into Level 3 (d) (e)	(0.6)		(0.5)		(0.3)		—		—		—
Transfers out of Level 3 (e)	35.6		(0.7)		(0.4)		—		—		—
Changes in Fair Value Allocated to Regulated Jurisdictions (f)	60.7		37.5		5.9		(9.9)		15.8		2.7
Balance as of December 31, 2019	$	109.9	$	37.7	$	5.8	$	(103.6)	$	15.8	$	1.4


Year Ended December 31, 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)	148.9		104.1		14.2		1.8		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)	9.8		—		—		—		—		—
Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income (c)	15.7		—		—		—		—		—
Settlements	(214.0)		(127.9)		(21.3)		4.6		(24.3)		(2.1)
Transfers into Level 3 (d) (e)	15.8		—		—		—		—		—
Transfers out of Level 3 (e)	(1.6)		—		(0.3)		—		—		—
Changes in Fair Value Allocated to Regulated Jurisdictions (f)	116.3		56.9		8.7		26.6		9.5		3.3
Balance as of December 31, 2018	$	131.2	$	57.8	$	8.9	$	(99.4)	$	9.5	$	2.3

(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)Included in cash flow hedges on the statements of comprehensive income.

(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 assets/liabilities or accounts payable.

The following tables quantify the significant unobservable inputs used in developing the fair value of Level 3 positions:

AEP


December 31, 2020
						Significant	Input/Range
	Fair Value				Valuation	Unobservable							Weighted
	Assets		Liabilities		Technique	Input	Low			High			Average
	(in millions)
Energy Contracts	$	213.5	$	169.7	Discounted Cash Flow	Forward Market Price (a) (c)	$	5.33		$	100.47		$	32.73
Natural Gas Contracts	—		1.7		Discounted Cash Flow	Forward Market Price (b) (c)	2.18			2.77			2.40
FTRs	42.8		3.4		Discounted Cash Flow	Forward Market Price (a) (c)	(15.08)			9.66			0.19
Other Investments	31.8		—		Black-Scholes Model	Liquidity Adjustment (d)	10		%	20		%	15		%
Total	$	288.1	$	174.8


December 31, 2019
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input	Low		High		Average (c)
	(in millions)
Energy Contracts	$	296.7	$	249.3	Discounted Cash Flow	Forward Market Price (a)	$	(0.05)	$	177.30	$	31.31
Natural Gas Contracts	—		4.9		Discounted Cash Flow	Forward Market Price (b)	1.89		2.51		2.19
FTRs	75.7		8.3		Discounted Cash Flow	Forward Market Price (a)	(8.52)		9.34		0.42
Total	$	372.4	$	262.5

APCo


December 31, 2020
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input (a)	Low		High		Average (c)
	(in millions)
Energy Contracts	$	1.0	$	0.6	Discounted Cash Flow	Forward Market Price	$	10.84	$	41.09	$	25.08
FTRs	18.9		—		Discounted Cash Flow	Forward Market Price	0.04		5.61		1.13
Total	$	19.9	$	0.6


December 31, 2019
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input (a)	Low		High		Average (c)
	(in millions)
Energy Contracts	$	5.7	$	2.6	Discounted Cash Flow	Forward Market Price	$	12.70	$	41.20	$	25.92
FTRs	34.8		0.2		Discounted Cash Flow	Forward Market Price	(0.14)		7.08		1.70
Total	$	40.5	$	2.8

I&M


December 31, 2020
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input (a)	Low		High		Average (c)
	(in millions)
Energy Contracts	$	0.6	$	0.3	Discounted Cash Flow	Forward Market Price	$	10.84	$	41.09	$	25.08
FTRs	1.9		0.1		Discounted Cash Flow	Forward Market Price	(1.96)		3.69		0.33
Total	$	2.5	$	0.4


December 31, 2019
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input (a)	Low		High		Average (c)
	(in millions)
Energy Contracts	$	3.4	$	1.5	Discounted Cash Flow	Forward Market Price	$	12.70	$	41.20	$	25.92
FTRs	4.6		0.7		Discounted Cash Flow	Forward Market Price	(0.75)		4.07		0.74
Total	$	8.0	$	2.2

OPCo

December 31, 2020

Significant

Input/Range

Fair Value

Valuation

Unobservable

Weighted

Assets

Liabilities

Technique

Input (a)

Low

High

Average (c)

(in millions)

Energy Contracts

—

110.3

Discounted Cash Flow

Forward Market Price

16.19

46.98

28.30

December 31, 2019

Significant

Input/Range

Fair Value

Valuation

Unobservable

Weighted

Assets

Liabilities

Technique

Input (a)

Low

High

Average (c)

(in millions)

Energy Contracts

—

103.6

Discounted Cash Flow

Forward Market Price

29.23

61.43

42.46

PSO

December 31, 2020

Significant

Input/Range

Fair Value

Valuation

Unobservable

Weighted

Assets

Liabilities

Technique

Input (a)

Low

High

Average (c)

(in millions)

FTRs

10.3

—

Discounted Cash Flow

Forward Market Price

(6.93)

0.48

(1.93)

December 31, 2019

Significant

Input/Range

Fair Value

Valuation

Unobservable

Weighted

Assets

Liabilities

Technique

Input (a)

Low

High

Average (c)

(in millions)

FTRs

16.3

0.5

Discounted Cash Flow

Forward Market Price

(8.52)

0.85

(2.31)

SWEPCo


December 31, 2020
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input	Low		High		Average (c)
	(in millions)
Natural Gas Contracts	$	—	$	1.7	Discounted Cash Flow	Forward Market Price (b)	$	2.18	$	2.77	$	2.41
FTRs	3.3		—		Discounted Cash Flow	Forward Market Price (a)	(6.93)		0.48		(1.93)
Total	$	3.3	$	1.7


December 31, 2019
						Significant	Input/Range
	Fair Value				Valuation	Unobservable					Weighted
	Assets		Liabilities		Technique	Input	Low		High		Average (c)
	(in millions)
Natural Gas Contracts	$	—	$	4.9	Discounted Cash Flow	Forward Market Price (b)	$	1.89	$	2.51	$	2.18
FTRs	6.5		0.2		Discounted Cash Flow	Forward Market Price (a)	(8.52)		0.85		(2.31)
Total	$	6.5	$	5.1

(a)Represents market prices in dollars per MWh.

(b)Represents market prices in dollars per MMBtu.

(c)The weighted-average is the product of the forward market price of the underlying commodity and volume weighted by term.

(d)Represents percentage discount applied to the publically available share price.

The following table provides the measurement uncertainty of fair value measurements to increases (decreases) in significant unobservable inputs related to Energy Contracts, Natural Gas Contracts, FTRs and Other Investments for the Registrants as of December 31, 2020 and 2019:

Uncertainty 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)

Liquidity Adjustment

Buy

Increase (Decrease)

Lower (Higher)

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

+ References + Details