Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2018

Notional Volume of Derivative Instruments

Notional Volume of Derivative Instruments

September 30, 2018

Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	415.7		—		88.7		52.8		8.0		19.0		13.0
Coal	Tons	0.2		—		—		0.2		—		—		—
Natural Gas	MMBtus	84.4		—		8.4		4.9		—		—		16.1
Heating Oil and Gasoline	Gallons	8.3		1.7		1.6		0.8		2.0		0.8		0.9
Interest Rate	USD	$	37.7	$	—	$	—	$	—	$	—	$	—	$	—
Interest Rate	USD	$	500.0	$	—	$	—	$	—	$	—	$	—	$	—

Notional Volume of Derivative Instruments

December 31, 2017

Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	358.7		—		57.4		38.5		10.4		10.3		22.7
Coal	Tons	2.0		—		—		2.0		—		—		—
Natural Gas	MMBtus	53.7		—		1.1		0.7		—		—		18.3
Heating Oil and Gasoline	Gallons	6.9		1.4		1.3		0.7		1.6		0.7		0.8
Interest Rate	USD	$	50.7	$	—	$	—	$	—	$	—	$	—	$	—
Interest Rate	USD	$	500.0	$	—	$	—	$	—	$	—	$	—	$	—

Fair Value of Derivative Instruments

AEP

Fair Value of Derivative Instruments

September 30, 2018

	Risk Management Contracts		Hedging Contracts						Gross Amounts of Risk Management Assets/ Liabilities Recognized		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
Balance Sheet Location	Commodity (a)		Commodity (a)			Interest Rate (a)
	(in millions)
Current Risk Management Assets	$	359.9	$	29.1		$	—		$	389.0	$	(197.1	)	$	191.9
Long-term Risk Management Assets	295.3		10.6			—			305.9		(41.0		)	264.9
Total Assets	655.2		39.7			—			694.9		(238.1		)	456.8
Current Risk Management Liabilities	232.4		7.5			0.5			240.4		(183.1		)	57.3
Long-term Risk Management Liabilities	240.0		55.4			33.7			329.1		(41.9		)	287.2
Total Liabilities	472.4		62.9			34.2			569.5		(225.0		)	344.5
Total MTM Derivative Contract Net Assets (Liabilities)	$	182.8	$	(23.2	)	$	(34.2	)	$	125.4	$	(13.1	)	$	112.3

Fair Value of Derivative Instruments

December 31, 2017

	Risk Management Contracts		Hedging Contracts						Gross Amounts of Risk Management Assets/ Liabilities Recognized		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
Balance Sheet Location	Commodity (a)		Commodity (a)			Interest Rate (a)
	(in millions)
Current Risk Management Assets	$	389.0	$	17.5		$	2.5		$	409.0	$	(282.8	)	$	126.2
Long-term Risk Management Assets	300.9		6.3			—			307.2		(25.1		)	282.1
Total Assets	689.9		23.8			2.5			716.2		(307.9		)	408.3
Current Risk Management Liabilities	334.6		9.0			—			343.6		(282.0		)	61.6
Long-term Risk Management Liabilities	280.6		58.3			8.6			347.5		(25.5		)	322.0
Total Liabilities	615.2		67.3			8.6			691.1		(307.5		)	383.6
Total MTM Derivative Contract Net Assets (Liabilities)	$	74.7	$	(43.5	)	$	(6.1	)	$	25.1	$	(0.4	)	$	24.7

AEP Texas

Fair Value of Derivative Instruments

September 30, 2018

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

Fair Value of Derivative Instruments

December 31, 2017

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

APCo

Fair Value of Derivative Instruments

September 30, 2018

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	106.6	$	(38.2	)	$	68.4
Long-term Risk Management Assets	6.0		(4.6		)	1.4
Total Assets	112.6		(42.8		)	69.8
Current Risk Management Liabilities	39.1		(38.2		)	0.9
Long-term Risk Management Liabilities	5.5		(4.8		)	0.7
Total Liabilities	44.6		(43.0		)	1.6
Total MTM Derivative Contract Net Assets	$	68.0	$	0.2		$	68.2

Fair Value of Derivative Instruments

December 31, 2017

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	75.6	$	(50.7	)	$	24.9
Long-term Risk Management Assets	2.4		(1.3		)	1.1
Total Assets	78.0		(52.0		)	26.0
Current Risk Management Liabilities	50.6		(49.3		)	1.3
Long-term Risk Management Liabilities	1.4		(1.2		)	0.2
Total Liabilities	52.0		(50.5		)	1.5
Total MTM Derivative Contract Net Assets (Liabilities)	$	26.0	$	(1.5	)	$	24.5

I&M

Fair Value of Derivative Instruments

September 30, 2018

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	39.4	$	(28.5	)	$	10.9
Long-term Risk Management Assets	3.7		(2.8		)	0.9
Total Assets	43.1		(31.3		)	11.8
Current Risk Management Liabilities	35.2		(28.8		)	6.4
Long-term Risk Management Liabilities	3.2		(2.8		)	0.4
Total Liabilities	38.4		(31.6		)	6.8
Total MTM Derivative Contract Net Assets	$	4.7	$	0.3		$	5.0

Fair Value of Derivative Instruments

December 31, 2017

Balance Sheet Location	Risk Management Contracts – Commodity (a)			Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	47.2		$	(39.6	)	$	7.6
Long-term Risk Management Assets	1.6			(0.9		)	0.7
Total Assets	48.8			(40.5		)	8.3
Current Risk Management Liabilities	48.5			(45.0		)	3.5
Long-term Risk Management Liabilities	0.9			(0.8		)	0.1
Total Liabilities	49.4			(45.8		)	3.6
Total MTM Derivative Contract Net Assets (Liabilities)	$	(0.6	)	$	5.3		$	4.7

OPCo

Fair Value of Derivative Instruments

September 30, 2018

Balance Sheet Location	Risk Management Contracts – Commodity (a)			Gross Amounts Offset in the Statement of Financial Position (b)		Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	0.6		$	—	$	0.6
Long-term Risk Management Assets	0.1			—		0.1
Total Assets	0.7			—		0.7
Current Risk Management Liabilities	5.4			—		5.4
Long-term Risk Management Liabilities	89.8			—		89.8
Total Liabilities	95.2			—		95.2
Total MTM Derivative Contract Net Liabilities	$	(94.5	)	$	—	$	(94.5	)

Fair Value of Derivative Instruments

December 31, 2017

Balance Sheet Location	Risk Management Contracts – Commodity (a)			Gross Amounts Offset in the Statement of Financial Position (b)		Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	0.6		$	—	$	0.6
Long-term Risk Management Assets	—			—		—
Total Assets	0.6			—		0.6
Current Risk Management Liabilities	6.4			—		6.4
Long-term Risk Management Liabilities	126.0			—		126.0
Total Liabilities	132.4			—		132.4
Total MTM Derivative Contract Net Liabilities	$	(131.8	)	$	—	$	(131.8	)

PSO

Fair Value of Derivative Instruments

September 30, 2018

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	18.8	$	(0.3	)	$	18.5
Long-term Risk Management Assets	—		—			—
Total Assets	18.8		(0.3		)	18.5
Current Risk Management Liabilities	0.9		(0.3		)	0.6
Long-term Risk Management Liabilities	—		—			—
Total Liabilities	0.9		(0.3		)	0.6
Total MTM Derivative Contract Net Assets	$	17.9	$	—		$	17.9

Fair Value of Derivative Instruments

December 31, 2017

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	6.6	$	(0.2	)	$	6.4
Long-term Risk Management Assets	—		—			—
Total Assets	6.6		(0.2		)	6.4
Current Risk Management Liabilities	0.2		(0.2		)	—
Long-term Risk Management Liabilities	—		—			—
Total Liabilities	0.2		(0.2		)	—
Total MTM Derivative Contract Net Assets	$	6.4	$	—		$	6.4

SWEPCo

Fair Value of Derivative Instruments

September 30, 2018

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	8.1	$	(1.6	)	$	6.5
Long-term Risk Management Assets	—		—			—
Total Assets	8.1		(1.6		)	6.5
Current Risk Management Liabilities	1.8		(1.6		)	0.2
Long-term Risk Management Liabilities	2.6		—			2.6
Total Liabilities	4.4		(1.6		)	2.8
Total MTM Derivative Contract Net Assets	$	3.7	$	—		$	3.7

Fair Value of Derivative Instruments

December 31, 2017

Balance Sheet Location	Risk Management Contracts – Commodity (a)		Gross Amounts Offset in the Statement of Financial Position (b)			Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
	(in millions)
Current Risk Management Assets	$	7.0	$	(0.6	)	$	6.4
Long-term Risk Management Assets	—		—			—
Total Assets	7.0		(0.6		)	6.4
Current Risk Management Liabilities	0.8		(0.6		)	0.2
Long-term Risk Management Liabilities	—		—			—
Total Liabilities	0.8		(0.6		)	0.2
Total MTM Derivative Contract Net Assets	$	6.2	$	—		$	6.2

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

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

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

Amount of Gain (Loss) Recognized on Risk Management Contracts

Amount of Gain (Loss) Recognized on

Risk Management Contracts

For the Three Months Ended September 30, 2018

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

Amount of Gain (Loss) Recognized on

Risk Management Contracts

For the Three Months Ended September 30, 2017

Location of Gain (Loss)	AEP			AEP Texas		APCo		I&M			OPCo			PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	0.9		$	—	$	—	$	—		$	—		$	—	$	—
Generation & Marketing Revenues	17.7			—		—		—			—			—		—
Electric Generation, Transmission and Distribution Revenues	—			—		0.3		0.6			—			—		(0.1		)
Purchased Electricity for Resale	1.0			—		0.3		0.2			—			—		—
Other Operation	0.1			0.1		—		—			0.1			—		—
Maintenance	0.1			0.1		0.1		—			0.1			—		—
Regulatory Assets (a)	(8.8		)	0.1		0.1		(0.8		)	(8.7		)	—		0.3
Regulatory Liabilities (a)	15.6			0.1		3.7		2.1			—			2.6		7.0
Total Gain (Loss) on Risk Management Contracts	$	26.6		$	0.4	$	4.5	$	2.1		$	(8.5	)	$	2.6	$	7.2

Amount of Gain (Loss) Recognized on

Risk Management Contracts

For the Nine Months Ended September 30, 2018

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

Amount of Gain (Loss) Recognized on

Risk Management Contracts

For the Nine Months Ended September 30, 2017

Location of Gain (Loss)	AEP			AEP Texas			APCo		I&M			OPCo			PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	7.0		$	—		$	—	$	—		$	—		$	—	$	—
Generation & Marketing Revenues	38.5			—			—		—			—			—		—
Electric Generation, Transmission and Distribution Revenues	—			—			0.6		6.3			—			—		—
Purchased Electricity for Resale	4.9			—			1.6		0.5			—			—		—
Other Operation	0.5			0.1			—		—			0.1			—		—
Maintenance	0.4			0.1			0.1		—			0.1			—		—
Regulatory Assets (a)	(26.8		)	—			—		(1.0		)	(25.9		)	—		0.1
Regulatory Liabilities (a)	81.8			(0.2		)	28.2		15.3			—			13.7		22.0
Total Gain (Loss) on Risk Management Contracts	$	106.3		$	—		$	30.5	$	21.1		$	(25.7	)	$	13.7	$	22.1

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

Impact of Fair Value Hedges on the Condensed Balance Sheet

	Carrying Amount of the Hedged  Assets/(Liabilities)						Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Assets/(Liabilities)
	September 30, 2018			December 31, 2017			September 30, 2018		December 31, 2017
	(in millions)
Long-Term Debt (a)	$	(461.4	)	$	(489.3	)	$	34.2	$	6.1

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

Gain (Loss) on Hedging Instruments

	Three Months Ended September 30,						Nine Months Ended September 30,
	2018			2017			2018			2017
	(in millions)
Gain (Loss) on Interest Rate Contracts:
Gain (Loss) on Fair Value Hedging Instruments (a)	$	(6.3	)	$	0.1		$	(28.1	)	$	(0.1	)
Gain (Loss) on Fair Value Portion of Long-term Debt (a)	6.3			(0.1		)	28.1			0.1

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

Impact of Cash Flow Hedges on the Condensed Balance Sheet

Impact of Cash Flow Hedges on AEP’s Balance Sheets

	September 30, 2018						December 31, 2017
	Commodity			Interest Rate			Commodity			Interest Rate
	(in millions)
AOCI Loss Net of Tax	$	(22.8	)	$	(12.7	)	$	(28.4	)	$	(13.0	)
Portion Expected to be Reclassified to Net Income During the Next Twelve Months	14.4			(0.8		)	5.5			(0.8		)

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

	September 30, 2018						December 31, 2017
	Interest Rate
				Expected to be						Expected to be
				Reclassified to						Reclassified to
				Net Income During						Net Income During
	AOCI Gain (Loss)			the Next			AOCI Gain (Loss)			the Next
Company	Net of Tax			Twelve Months			Net of Tax			Twelve Months
	(in millions)
AEP Texas	$	(4.6	)	$	(1.1	)	$	(4.5	)	$	(0.9	)
APCo	2.0			0.9			2.2			0.7
I&M	(11.9		)	(1.6		)	(10.7		)	(1.3		)
OPCo	1.3			1.3			1.9			1.1
PSO	2.4			1.0			2.6			0.8
SWEPCo	(3.7		)	(1.5		)	(6.0		)	(1.4		)

Liabilities Subject to Cross Default Provisions

	September 30, 2018
	Liabilities for				Additional
	Contracts with Cross				Settlement
	Default Provisions				Liability if Cross
	Prior to Contractual		Amount of Cash		Default Provision
Company	Netting Arrangements		Collateral Posted		is Triggered
	(in millions)
AEP	$	253.1	$	0.8	$	211.2
APCo	0.1		—		0.1
I&M	—		—		—
SWEPCo	2.8		—		2.8

	December 31, 2017
	Liabilities for				Additional
	Contracts with Cross				Settlement
	Default Provisions				Liability if Cross
	Prior to Contractual		Amount of Cash		Default Provision
Company	Netting Arrangements		Collateral Posted		is Triggered
	(in millions)
AEP	$	243.6	$	1.3	$	223.1
APCo	0.6		—		0.5
I&M	0.4		—		0.4
SWEPCo	0.2		—		0.1