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Fair Value Measurements (Tables)
 12 Months Ended
Dec. 31, 2015
Book Values and Fair Values of Long-term Debt
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 for additional information.
(b)
Amount excludes $114 million of fair value of Long-term Debt related to AEPRO.
Other Temporary Investments
 
 
December 31, 2015
Other Temporary Investments
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized Losses
 
Fair
Value
 
 
(in millions)
Restricted Cash (a)
 
$
271.0

 
$
—

 
$
—

 
$
271.0

Fixed Income Securities – Mutual Funds
 
91.1

 
—

 
(0.7
)
 
90.4

Equity Securities – Mutual Funds
 
13.7

 
11.7

 
—

 
25.4

Total Other Temporary Investments
 
$
375.8

 
$
11.7

 
$
(0.7
)
 
$
386.8

 
 
December 31, 2014
Other Temporary Investments
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized Losses
 
Fair
Value
 
 
(in millions)
Restricted Cash (a)
 
$
279.7

 
$
—

 
$
—

 
$
279.7

Fixed Income Securities – Mutual Funds
 
80.5

 
—

 
—

 
80.5

Equity Securities – Mutual Funds
 
13.1

 
12.3

 
—

 
25.4

Total Other Temporary Investments
 
$
373.3

 
$
12.3

 
$
—

 
$
385.6


(a)
Primarily represents amounts held for the repayment of debt.
Debt and Equity Securities Within Other Temporary Investments
 
 
Years Ended December 31,
 
 
2015
 
2014
 
2013
 
 
(in millions)
Proceeds from Investment Sales
 
$
—

 
$
—

 
$
—

Purchases of Investments
 
10.7

 
1.6

 
17.4

Gross Realized Gains on Investment Sales
 
—

 
—

 
—

Gross Realized Losses on Investment Sales
 
—

 
—

 
—
Nuclear Trust Fund Investments
 
December 31,
 
2015
 
2014
 
Fair
Value
 
Gross
Unrealized
Gains
 
Other-Than-
Temporary
Impairments
 
Fair
Value
 
Gross
Unrealized
Gains
 
Other-Than-
Temporary
Impairments
 
(in millions)
Cash and Cash Equivalents
$
168.3

 
$
—

 
$
—

 
$
20.0

 
$
—

 
$
—

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
 
United States Government
731.1

 
35.9

 
(2.6
)
 
697.0

 
44.6

 
(5.0
)
Corporate Debt
57.9

 
3.2

 
(1.1
)
 
47.8

 
4.5

 
(1.0
)
State and Local Government
22.2

 
1.1

 
(0.3
)
 
208.5

 
1.2

 
(0.3
)
Subtotal Fixed Income Securities
811.2

 
40.2

 
(4.0
)
 
953.3

 
50.3

 
(6.3
)
Equity Securities – Domestic
1,126.9

 
571.6

 
(79.3
)
 
1,122.4

 
598.8

 
(79.2
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,106.4

 
$
611.8

 
$
(83.3
)
 
$
2,095.7

 
$
649.1

 
$
(85.5
)
Securities Activity Within the Decommissioning and SNF Trusts
 
Years Ended December 31,
 
2015
 
2014
 
2013
 
(in millions)
Proceeds from Investment Sales
$
2,218.4

 
$
1,031.8

 
$
858.4

Purchases of Investments
2,272.0

 
1,086.4

 
910.0

Gross Realized Gains on Investment Sales
69.1

 
32.3

 
18.3

Gross Realized Losses on Investment Sales
53.0

 
15.4

 
8.1
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of
Fixed Income
Securities
 
(in millions)
Within 1 year
$
167.2

1 year – 5 years
361.0

5 years – 10 years
129.4

After 10 years
153.6

Total
$
811.2
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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.
AEP
Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
 
 
 
 
 
 
 
 
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
$
3.9

 
$
4.3

 
$
—

 
$
168.2

 
$
176.4

 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
230.0

 
7.7

 
—

 
33.3

 
271.0

Fixed Income Securities – Mutual Funds
90.4

 
—

 
—

 
—

 
90.4

Equity Securities – Mutual Funds (b)
25.4

 
—

 
—

 
—

 
25.4

Total Other Temporary Investments
345.8

 
7.7

 
—

 
33.3

 
386.8

 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (d)
11.5

 
495.0

 
219.7

 
(287.7
)
 
438.5

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
—

 
15.9

 
1.0

 
0.7

 
17.6

Fair Value Hedges
—

 
—

 
—

 
0.1

 
0.1

Total Risk Management Assets
11.5

 
510.9

 
220.7

 
(286.9
)
 
456.2

 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
160.5

 
—

 
—

 
7.8

 
168.3

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
United States Government
—

 
731.1

 
—

 
—

 
731.1

Corporate Debt
—

 
57.9

 
—

 
—

 
57.9

State and Local Government
—

 
22.2

 
—

 
—

 
22.2

Subtotal Fixed Income Securities
—

 
811.2

 
—

 
—

 
811.2

Equity Securities – Domestic (b)
1,126.9

 
—

 
—

 
—

 
1,126.9

Total Spent Nuclear Fuel and Decommissioning Trusts
1,287.4

 
811.2

 
—

 
7.8

 
2,106.4

 
 
 
 
 
 
 
 
 
 
Total Assets
$
1,648.6

 
$
1,334.1

 
$
220.7

 
$
(77.6
)
 
$
3,125.8

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (d)
$
24.1

 
$
471.5

 
$
67.3

 
$
(326.3
)
 
$
236.6

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
—

 
18.9

 
6.5

 
0.7

 
26.1

Interest Rate/Foreign Currency Hedges
—

 
0.4

 
—

 
—

 
0.4

Fair Value Hedges
—

 
3.0

 
—

 
0.1

 
3.1

Total Risk Management Liabilities
$
24.1

 
$
493.8

 
$
73.8

 
$
(325.5
)
 
$
266.2

AEP
Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
 
 
 
 
 
 
 
 
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
$
17.2

 
$
0.9

 
$
—

 
$
144.4

 
$
162.5

 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
233.8

 
9.1

 
—

 
36.8

 
279.7

Fixed Income Securities – Mutual Funds
80.5

 
—

 
—

 
—

 
80.5

Equity Securities – Mutual Funds (b)
25.4

 
—

 
—

 
—

 
25.4

Total Other Temporary Investments
339.7

 
9.1

 
—

 
36.8

 
385.6

 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (f)
37.7

 
528.4

 
190.3

 
(303.7
)
 
452.7

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
—

 
31.9

 
—

 
(15.1
)
 
16.8

Fair Value Hedges
—

 
0.6

 
—

 
2.0

 
2.6

Total Risk Management Assets
37.7

 
560.9

 
190.3

 
(316.8
)
 
472.1

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

 
—

 
—

 
10.6

 
20.0

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
United States Government
—

 
697.0

 
—

 
—

 
697.0

Corporate Debt
—

 
47.8

 
—

 
—

 
47.8

State and Local Government
—

 
208.5

 
—

 
—

 
208.5

Subtotal Fixed Income Securities
—

 
953.3

 
—

 
—

 
953.3

Equity Securities – Domestic (b)
1,122.4

 
—

 
—

 
—

 
1,122.4

Total Spent Nuclear Fuel and Decommissioning Trusts
1,131.8

 
953.3

 
—

 
10.6

 
2,095.7

 
 
 
 
 
 
 
 
 
 
Total Assets
$
1,526.4

 
$
1,524.2

 
$
190.3

 
$
(125.0
)
 
$
3,115.9

 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (f)
$
65.3

 
$
431.9

 
$
36.7

 
$
(335.5
)
 
$
198.4

Cash Flow Hedges:
 
 
 
 
 
 
 
 
 
Commodity Hedges (c)
—

 
26.6

 
2.8

 
(15.1
)
 
14.3

Interest Rate/Foreign Currency Hedges
—

 
1.0

 
—

 
—

 
1.0

Fair Value Hedges
—

 
6.8

 
—

 
2.0

 
8.8

Total Risk Management Liabilities
$
65.3

 
$
466.3

 
$
39.5

 
$
(348.6
)
 
$
222.5
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


(a)
Represents market prices in dollars per MWh.
(b)
Represents average price 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)
Appalachian Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
$
14.8

 
$
—

 
$
—

 
$
0.1

 
$
14.9

 
 
 
 
 
 
 
 
 
 
Risk Management Assets – Nonaffiliated and Affiliated
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
0.2

 
13.9

 
12.2

 
(10.6
)
 
15.7

 
 
 
 
 
 
 
 
 
 
Total Assets
$
15.0

 
$
13.9

 
$
12.2

 
$
(10.5
)
 
$
30.6

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

 
$
17.8

 
$
0.5

 
$
(13.6
)
 
$
4.9


APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
$
15.6

 
$
—

 
$
—

 
$
—

 
$
15.6

 
 
 
 
 
 
 
 
 
 
Risk Management Assets – Nonaffiliated
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
0.2

 
20.2

 
17.7

 
(9.4
)
 
28.7

 
 
 
 
 
 
 
 
 
 
Total Assets
$
15.8

 
$
20.2

 
$
17.7

 
$
(9.4
)
 
$
44.3

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

 
$
20.4

 
$
1.9

 
$
(9.4
)
 
$
13.1

(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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


(a)
Represents market prices in dollars per MWh.
(b)
Represents average price 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)
Indiana Michigan Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 for additional information.
Nuclear Trust Fund Investments
 
December 31,
 
2015
 
2014
 
Fair
Value
 
Gross
Unrealized
Gains
 
Other-Than-
Temporary
Impairments
 
Fair
Value
 
Gross
Unrealized
Gains
 
Other-Than-
Temporary
Impairments
 
(in millions)
Cash and Cash Equivalents
$
168.3

 
$
—

 
$
—

 
$
20.0

 
$
—

 
$
—

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
 
 
United States Government
731.1

 
35.9

 
(2.6
)
 
697.0

 
44.6

 
(5.0
)
Corporate Debt
57.9

 
3.2

 
(1.1
)
 
47.8

 
4.5

 
(1.0
)
State and Local Government
22.2

 
1.1

 
(0.3
)
 
208.5

 
1.2

 
(0.3
)
Subtotal Fixed Income Securities
811.2

 
40.2

 
(4.0
)
 
953.3

 
50.3

 
(6.3
)
Equity Securities – Domestic
1,126.9

 
571.6

 
(79.3
)
 
1,122.4

 
598.8

 
(79.2
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,106.4

 
$
611.8

 
$
(83.3
)
 
$
2,095.7

 
$
649.1

 
$
(85.5
)
Securities Activity Within the Decommissioning and SNF Trusts
 
Years Ended December 31,
 
2015
 
2014
 
2013
 
(in millions)
Proceeds from Investment Sales
$
2,218.4

 
$
1,031.8

 
$
858.4

Purchases of Investments
2,272.0

 
1,086.4

 
910.0

Gross Realized Gains on Investment Sales
69.1

 
32.3

 
18.3

Gross Realized Losses on Investment Sales
53.0

 
15.4

 
8.1
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of
Fixed Income
Securities
 
(in millions)
Within 1 year
$
167.2

1 year – 5 years
361.0

5 years – 10 years
129.4

After 10 years
153.6

Total
$
811.2
Fair Value, Assets and Liabilities Measured on Recurring Basis
I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Risk Management Assets – Nonaffiliated and Affiliated
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
$
0.1

 
$
17.0

 
$
6.3

 
$
(11.1
)
 
$
12.3

 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (e)
160.5

 
—

 
—

 
7.8

 
168.3

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
United States Government
—

 
731.1

 
—

 
—

 
731.1

Corporate Debt
—

 
57.9

 
—

 
—

 
57.9

State and Local Government
—

 
22.2

 
—

 
—

 
22.2

Subtotal Fixed Income Securities
—

 
811.2

 
—

 
—

 
811.2

Equity Securities – Domestic (b)
1,126.9

 
—

 
—

 
—

 
1,126.9

Total Spent Nuclear Fuel and Decommissioning Trusts
1,287.4

 
811.2

 
—

 
7.8

 
2,106.4

 
 
 
 
 
 
 
 
 
 
Total Assets
$
1,287.5

 
$
828.2

 
$
6.3

 
$
(3.3
)
 
$
2,118.7

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

 
$
17.5

 
$
2.0

 
$
(11.7
)
 
$
7.9


I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Risk Management Assets – Nonaffiliated
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
$
0.1

 
$
15.9

 
$
16.0

 
$
(6.4
)
 
$
25.6

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

 
—

 
—

 
10.6

 
20.0

Fixed Income Securities:
 
 
 
 
 
 
 
 
 
United States Government
—

 
697.0

 
—

 
—

 
697.0

Corporate Debt
—

 
47.8

 
—

 
—

 
47.8

State and Local Government
—

 
208.5

 
—

 
—

 
208.5

Subtotal Fixed Income Securities
—

 
953.3

 
—

 
—

 
953.3

Equity Securities – Domestic (b)
1,122.4

 
—

 
—

 
—

 
1,122.4

Total Spent Nuclear Fuel and Decommissioning Trusts
1,131.8

 
953.3

 
—

 
10.6

 
2,095.7

 
 
 
 
 
 
 
 
 
 
Total Assets
$
1,131.9

 
$
969.2

 
$
16.0

 
$
4.2

 
$
2,121.3

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

 
$
11.4

 
$
1.3

 
$
(6.3
)
 
$
6.6

(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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


(a)
Represents market prices in dollars per MWh.
(b)
Represents average price 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)
Ohio Power Co [Member]  
Book Values and Fair Values of Long-term Debt
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.

OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
$
—

 
$
—

 
$
—

 
$
27.7

 
$
27.7

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

 
—

 
16.0

 
3.2

 
19.2

 
 
 
 
 
 
 
 
 
 
Total Assets
$
—

 
$
—

 
$
16.0

 
$
30.9

 
$
46.9

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

 
$
0.8

 
$
0.1

 
$
2.7

 
$
3.6


OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
$
0.4

 
$
—

 
$
—

 
$
28.3

 
$
28.7

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

 
—

 
52.3

 
—

 
52.3

 
 
 
 
 
 
 
 
 
 
Total Assets
$
0.4

 
$
—

 
$
52.3

 
$
28.3

 
$
81.0

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

 
$
1.1

 
$
3.9

 
$
(0.1
)
 
$
4.9
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


(a)
Represents market prices in dollars per MWh.
(b)
Represents average price 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)
Public Service Co Of Oklahoma [Member]  
Book Values and Fair Values of Long-term Debt
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.

PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
$
—

 
$
—

 
$
0.7

 
$
(0.1
)
 
$
0.6

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

 
$
0.5

 
$
0.1

 
$
(0.4
)
 
$
0.2


PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 
 
 
 
 
 
 
 
Risk Management Commodity Contracts (c) (g)
$
—

 
$
—

 
$
0.4

 
$
(0.4
)
 
$
—

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

 
$
0.6

 
$
0.7

 
$
(0.4
)
 
$
0.9
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


(a)
Represents market prices in dollars per MWh.
(b)
Represents average price 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
 
 
December 31,
 
 
 
2015
 
2014
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,572.7

 
$
21,201.3

 
$
18,512.4

(a)
$
20,960.5

(b)
APCo
 
3,930.7

 
4,416.7

 
3,958.7

 
4,711.2

 
I&M
 
2,000.0

 
2,193.6

 
2,019.6

 
2,255.1

 
OPCo
 
2,157.7

 
2,472.7

 
2,286.8

 
2,709.5

 
PSO
 
1,286.1

 
1,402.9

 
1,036.7

 
1,216.2

 
SWEPCo
 
2,273.5

 
2,417.2

 
2,132.4

 
2,402.6

 


(a)
Amount excludes $83 million of Long-term Debt classified as Liabilities from Discontinued Operations on the balance sheet. See "AEPRO (Corporate and Other)" section of Note 7 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2015
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
$
3.6

 
$
—

 
$
—

 
$
1.6

 
$
5.2

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

 
—

 
0.9

 
(0.1
)
 
0.8

 
 
 
 
 
 
 
 
 
 
Total Assets
$
3.6

 
$
—

 
$
0.9

 
$
1.5

 
$
6.0

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

 
$
5.5

 
$
0.1

 
$
(0.4
)
 
$
5.2


SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2014
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
(in millions)
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
$
12.7

 
$
—

 
$
—

 
$
1.7

 
$
14.4

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

 
—

 
0.4

 
(0.4
)
 
—

 
 
 
 
 
 
 
 
 
 
Total Assets
$
12.7

 
$
—

 
$
0.4

 
$
1.3

 
$
14.4

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

 
$
0.7

 
$
0.9

 
$
(0.5
)
 
$
1.1

(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 investment 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, 2015 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(9) million in 2016 and $(4) million in periods 2017-2019; Level 2 matures $2 million in 2016, $18 million in periods 2017-2019 and $4 million in periods 2020-2021; Level 3 matures $28 million in 2016, $29 million in periods 2017-2019, $19 million in periods 2020-2021 and $76 million in periods 2022-2032. 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, 2014 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(18) million in 2015 and $(10) million in periods 2016-2018;  Level 2 matures $31 million in 2015, $52 million in periods 2016-2018, $12 million in periods 2019-2020 and $1 million in periods 2021-2030;  Level 3 matures $50 million in 2015, $29 million in periods 2016-2018, $9 million in periods 2019-2020 and $66 million in periods 2021-2030.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for APCo, I&M and OPCo and coal contracts for PSO and SWEPCo.
Changes in Fair Value of Net Trading Derivatives Classified as Level 3
Year Ended December 31, 2015
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
13.5

 
2.1

 
0.2

 
0.5

 
(0.2
)
 
9.2

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
53.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(4.9
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(63.0
)
 
(17.2
)
 
(14.2
)
 
(6.7
)
 
0.6

 
(8.7
)
Transfers into Level 3 (e) (f)
 
28.7

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(18.9
)
 
1.2

 
0.8

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
(13.0
)
 
9.8

 
2.8

 
(26.3
)
 
0.5

 
0.8

Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Year Ended December 31, 2014
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
90.0

 
29.7

 
18.6

 
30.8

 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
0.7

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
5.7

 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(108.7
)
 
(32.6
)
 
(20.6
)
 
(33.7
)
 
—

 
—

Transfers into Level 3 (e) (f)
 
(7.6
)
 
(3.6
)
 
(2.5
)
 
—

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(21.5
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
74.3

 
11.7

 
12.0

 
48.4

 
(0.3
)
 
(0.5
)
Balance as of December 31, 2014
 
$
150.8

 
$
15.8

 
$
14.7

 
$
48.4

 
$
(0.3
)
 
$
(0.5
)
Year Ended December 31, 2013
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2012
 
$
85.4

 
$
11.0

 
$
7.5

 
$
15.4

 
$
—

 
$
—

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
(9.2
)
 
(3.6
)
 
(2.4
)
 
(5.0
)
 
—

 
—

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
37.5

 
—

 
—

 
0.3

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(2.5
)
 
—

 
—

 
—

 
—

 
—

Purchases, Issuances and Settlements (d)
 
(15.8
)
 
0.5

 
0.4

 
0.8

 
—

 
—

Transfers into Level 3 (e) (f)
 
19.0

 
1.3

 
0.9

 
1.9

 
—

 
—

Transfers out of Level 3 (f) (g)
 
(3.6
)
 
(0.9
)
 
(0.6
)
 
(1.3
)
 
—

 
—

Transfer of OPCo Generation to Parent
 
—

 
—

 
—

 
(12.1
)
 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (h)
 
7.1

 
2.3

 
1.4

 
2.9

 
—

 
—

Balance as of December 31, 2013
 
$
117.9

 
$
10.6

 
$
7.2

 
$
2.9

 
$
—

 
$
—


(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 the settlement of risk management commodity contracts for the reporting period.
(e)
Represents existing assets or liabilities that were previously categorized as Level 2.
(f)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(g)
Represents existing assets or liabilities that were previously categorized as Level 3.
(h)
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.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
December 31, 2015
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
212.3

 
$
70.3

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
9.69

 
$
165.36

 
$
36.35

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
670
FTRs
8.4

 
3.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(6.99
)
 
10.34

 
1.10

Total
$
220.7

 
$
73.8

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
157.3

 
$
37.0

 
Discounted Cash Flow
 
Forward Market Price (a)
 
$
11.37

 
$
159.92

 
$
57.18

 
 
 
 
 
 
 
Counterparty Credit Risk (b)
 
303
FTRs
33.0

 
2.5

 
Discounted Cash Flow
 
Forward Market Price (a)
 
(14.63
)
 
20.02

 
0.96

Total
$
190.3

 
$
39.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2015
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
7.9

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
4.3

 
0.3

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
12.2

 
$
0.5

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
APCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
5.8

 
$
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
11.9

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
17.7

 
$
1.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.0

 
$
0.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
12.61

 
$
47.24

 
$
32.38

FTRs
0.3

 
1.8

 
Discounted Cash Flow
 
Forward Market Price
 
(6.96
)
 
8.43

 
1.34

Total
$
6.3

 
$
2.0

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2014
I&M
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input(a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
6.4

 
$
1.2

 
Discounted Cash Flow
 
Forward Market Price
 
$
13.43

 
$
123.02

 
$
52.47

FTRs
9.6

 
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
16.0

 
$
1.3

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
16.0

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
41.61

 
$
165.36

 
$
86.84


Significant Unobservable Inputs
December 31, 2014
OPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
45.1

 
$
3.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
48.25

 
$
159.92

 
$
84.04

FTRs
7.2

 
—

 
Discounted Cash Flow
 
Forward Market Price
 
(14.63
)
 
20.02

 
1.01

Total
$
52.3

 
$
3.9

 
 
 
 
 
 
 
 
 
 


Significant Unobservable Inputs
December 31, 2015
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
PSO
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.7

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


Significant Unobservable Inputs
December 31, 2015
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.9

 
$
0.1

 
Discounted Cash Flow
 
Forward Market Price
 
$
(6.96
)
 
$
8.43

 
$
1.34


Significant Unobservable Inputs
December 31, 2014
SWEPCo
 
 
 
 
 
 
 
Significant
 
Forward Price Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.4

 
$
0.9

 
Discounted Cash Flow
 
Forward Market Price
 
$
(14.63
)
 
$
20.02

 
$
1.01


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