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Derivatives and Hedging (Tables)

9 Months Ended

Sep. 30, 2020

Notional Volume of Derivative Instruments

September 30, 2020


Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	390.6		—		71.7		28.9		3.1		19.8		5.6

Natural Gas	MMBtus	33.3		—		—		—		—		—		8.8
Heating Oil and Gasoline	Gallons	8.3		2.2		1.3		0.8		1.7		0.9		1.1
Interest Rate	USD	$	129.8	$	—	$	—	$	—	$	—	$	—	$	—

Interest Rate on Long-term Debt	USD	$	200.0	$	—	$	200.0	$	—	$	—	$	—	$	—

December 31, 2019


Primary Risk Exposure	Unit of Measure	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
		(in millions)
Commodity:
Power	MWhs	365.9		—		61.0		26.8		7.1		14.9		4.4

Natural Gas	MMBtus	40.7		—		—		—		—		—		11.6
Heating Oil and Gasoline	Gallons	6.9		1.8		1.1		0.6		1.4		0.7		0.9
Interest Rate	USD	$	140.1	$	—	$	—	$	—	$	—	$	—	$	—

Interest Rate on Long-term Debt	USD	$	625.0	$	—	$	—	$	—	$	—	$	—	$	—

Fair Value of Derivative Instruments

AEP

Fair Value of Derivative Instruments

September 30, 2020


	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	$	253.7	$	24.5	$	0.6	$	278.8	$	(163.6)	$	115.2
Long-term Risk Management Assets	283.3		17.5		—		300.8		(57.9)		242.9
Total Assets	537.0		42.0		0.6		579.6		(221.5)		358.1

Current Risk Management Liabilities	183.1		40.6		5.3		229.0		(166.6)		62.4
Long-term Risk Management Liabilities	239.0		57.0		—		296.0		(63.6)		232.4
Total Liabilities	422.1		97.6		5.3		525.0		(230.2)		294.8

Total MTM Derivative Contract Net Assets (Liabilities)	$	114.9	$	(55.6)	$	(4.7)	$	54.6	$	8.7	$	63.3

December 31, 2019


	Risk Management Contracts		Hedging Contracts						Gross Amounts of Risk Management Assets/ Liabilities Recognized		Gross Amounts Offset in the Statement of Financial Position (b)		Net Amounts of Assets/Liabilities Presented in the Statement of Financial Position (c)
Balance Sheet Location	Commodity (a)		Commodity (a)		Interest Rate (a)
	(in millions)
Current Risk Management Assets	$	513.9	$	11.5	$	6.5	$	531.9	$	(359.1)	$	172.8
Long-term Risk Management Assets	290.8		11.0		12.6		314.4		(47.8)		266.6
Total Assets	804.7		22.5		19.1		846.3		(406.9)		439.4

Current Risk Management Liabilities	424.5		72.3		—		496.8		(382.5)		114.3
Long-term Risk Management Liabilities	244.5		75.7		—		320.2		(58.4)		261.8
Total Liabilities	669.0		148.0		—		817.0		(440.9)		376.1

Total MTM Derivative Contract Net Assets (Liabilities)	$	135.7	$	(125.5)	$	19.1	$	29.3	$	34.0	$	63.3

AEP Texas

Fair Value of Derivative Instruments

September 30, 2020


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

Current Risk Management Liabilities	0.2		(0.1)		0.1
Long-term Risk Management Liabilities	—		—		—
Total Liabilities	0.2		(0.1)		0.1

Total MTM Derivative Contract Net Assets (Liabilities)	$	(0.2)	$	0.1	$	(0.1)

December 31, 2019

Risk Management

Gross Amounts Offset

Net Amounts of Assets/Liabilities

Contracts –

in the Statement of

Presented in the Statement of

Balance Sheet Location

Commodity (a)

Financial Position (b)

Financial Position (c)

(in millions)

Current Risk Management Assets

—

Long-term Risk Management Assets

—

Total Assets

—

Current Risk Management Liabilities

—

Long-term Risk Management Liabilities

—

Total Liabilities

—

Total MTM Derivative Contract Net Assets

—

APCo

Fair Value of Derivative Instruments

September 30, 2020


	Risk Management		Hedging		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Interest Rate (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	49.6	$	0.6	$	(19.5)	$	30.7
Long-term Risk Management Assets	1.6		—		(1.5)		0.1
Total Assets	51.2		0.6		(21.0)		30.8

Current Risk Management Liabilities	20.7		5.3		(20.4)		5.6
Long-term Risk Management Liabilities	1.8		—		(1.6)		0.2
Total Liabilities	22.5		5.3		(22.0)		5.8

Total MTM Derivative Contract Net Assets (Liabilities)	$	28.7	$	(4.7)	$	1.0	$	25.0

December 31, 2019


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	124.4	$	(85.0)	$	39.4
Long-term Risk Management Assets	0.9		(0.8)		0.1
Total Assets	125.3		(85.8)		39.5

Current Risk Management Liabilities	86.2		(84.3)		1.9
Long-term Risk Management Liabilities	0.7		(0.7)		—
Total Liabilities	86.9		(85.0)		1.9

Total MTM Derivative Contract Net Assets (Liabilities)	$	38.4	$	(0.8)	$	37.6

I&M

Fair Value of Derivative Instruments

September 30, 2020


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	16.5	$	(12.4)	$	4.1
Long-term Risk Management Assets	1.0		(1.0)		—
Total Assets	17.5		(13.4)		4.1

Current Risk Management Liabilities	13.1		(12.9)		0.2
Long-term Risk Management Liabilities	1.1		(1.0)		0.1
Total Liabilities	14.2		(13.9)		0.3

Total MTM Derivative Contract Net Assets	$	3.3	$	0.5	$	3.8

December 31, 2019


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	66.9	$	(57.1)	$	9.8
Long-term Risk Management Assets	0.5		(0.4)		0.1
Total Assets	67.4		(57.5)		9.9

Current Risk Management Liabilities	55.2		(54.7)		0.5
Long-term Risk Management Liabilities	0.4		(0.4)		—
Total Liabilities	55.6		(55.1)		0.5

Total MTM Derivative Contract Net Assets (Liabilities)	$	11.8	$	(2.4)	$	9.4

OPCo

Fair Value of Derivative Instruments

September 30, 2020


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

Current Risk Management Liabilities	8.3		(0.1)		8.2
Long-term Risk Management Liabilities	105.1		—		105.1
Total Liabilities	113.4		(0.1)		113.3

Total MTM Derivative Contract Net Assets (Liabilities)	$	(113.4)	$	0.1	$	(113.3)

December 31, 2019


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

Current Risk Management Liabilities	7.3		—		7.3
Long-term Risk Management Liabilities	96.3		—		96.3
Total Liabilities	103.6		—		103.6

Total MTM Derivative Contract Net Liabilities	$	(103.6)	$	—	$	(103.6)

PSO

Fair Value of Derivative Instruments

September 30, 2020


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	16.6	$	—	$	16.6
Long-term Risk Management Assets	—		—		—
Total Assets	16.6		—		16.6

Current Risk Management Liabilities	0.6		(0.1)		0.5
Long-term Risk Management Liabilities	—		—		—
Total Liabilities	0.6		(0.1)		0.5

Total MTM Derivative Contract Net Assets	$	16.0	$	0.1	$	16.1

December 31, 2019


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	16.3	$	(0.5)	$	15.8
Long-term Risk Management Assets	—		—		—
Total Assets	16.3		(0.5)		15.8

Current Risk Management Liabilities	0.5		(0.5)		—
Long-term Risk Management Liabilities	—		—		—
Total Liabilities	0.5		(0.5)		—

Total MTM Derivative Contract Net Assets	$	15.8	$	—	$	15.8

SWEPCo

Fair Value of Derivative Instruments

September 30, 2020


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	4.5	$	—	$	4.5
Long-term Risk Management Assets	—		—		—
Total Assets	4.5		—		4.5

Current Risk Management Liabilities	0.2		(0.1)		0.1
Long-term Risk Management Liabilities	0.7		—		0.7
Total Liabilities	0.9		(0.1)		0.8

Total MTM Derivative Contract Net Assets	$	3.6	$	0.1	$	3.7

December 31, 2019


	Risk Management		Gross Amounts Offset		Net Amounts of Assets/Liabilities
	Contracts –		in the Statement of		Presented in the Statement of
Balance Sheet Location	Commodity (a)		Financial Position (b)		Financial Position (c)
	(in millions)
Current Risk Management Assets	$	6.5	$	(0.1)	$	6.4
Long-term Risk Management Assets	—		—		—
Total Assets	6.5		(0.1)		6.4

Current Risk Management Liabilities	2.0		(0.1)		1.9
Long-term Risk Management Liabilities	3.1		—		3.1
Total Liabilities	5.1		(0.1)		5.0

Total MTM Derivative Contract Net Assets	$	1.4	$	—	$	1.4

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

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

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

Amount of Gain (Loss) Recognized on Risk Management Contracts

Amount of Gain (Loss) Recognized on

Risk Management Contracts

Three Months Ended September 30, 2020


Location of Gain (Loss)	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	0.5	$	—	$	—	$	—	$	—	$	—	$	—

Generation & Marketing Revenues	11.5		—		—		—		—		—		—
Electric Generation, Transmission and Distribution Revenues	—		—		0.3		—		—		—		—


Purchased Electricity for Resale	0.3		—		0.2		0.1		—		—		—
Other Operation	(0.4)		(0.1)		(0.1)		(0.1)		(0.1)		(0.1)		(0.1)
Maintenance	(0.8)		(0.2)		(0.1)		(0.1)		(0.2)		—		(0.1)
Regulatory Assets (a)	7.9		0.2		0.4		0.2		4.4		(0.4)		2.9
Regulatory Liabilities (a)	17.0		—		3.8		2.6		1.7		3.1		2.0
Total Gain (Loss) on Risk Management Contracts	$	36.0	$	(0.1)	$	4.5	$	2.7	$	5.8	$	2.6	$	4.7

Three Months Ended September 30, 2019


Location of Gain (Loss)	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	0.5	$	—	$	—	$	—	$	—	$	—	$	—

Generation & Marketing Revenues	21.0		—		—		—		—		—		—
Electric Generation, Transmission and Distribution Revenues	—		—		0.2		0.2		—		—		—


Purchased Electricity for Resale	0.4		—		0.3		—		—		—		—
Other Operation	(0.1)		—		(0.1)		(0.1)		(0.1)		(0.1)		—
Maintenance	(0.2)		—		—		(0.1)		—		—		—
Regulatory Assets (a)	(4.8)		(0.2)		0.2		—		(2.6)		(0.1)		(1.6)
Regulatory Liabilities (a)	26.3		—		10.0		3.2		—		4.3		4.5
Total Gain (Loss) on Risk Management Contracts	$	43.1	$	(0.2)	$	10.6	$	3.2	$	(2.7)	$	4.1	$	2.9

Nine Months Ended September 30, 2020


Location of Gain (Loss)	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	0.8	$	—	$	—	$	—	$	—	$	—	$	—

Generation & Marketing Revenues	11.1		—		—		—		—		—		—
Electric Generation, Transmission and Distribution Revenues	—		—		0.4		0.1		—		—		0.1


Purchased Electricity for Resale	1.2		—		1.0		0.1		—		—		—
Other Operation	(1.4)		(0.4)		(0.2)		(0.2)		(0.3)		(0.2)		(0.2)
Maintenance	(2.2)		(0.6)		(0.3)		(0.2)		(0.4)		(0.2)		(0.3)
Regulatory Assets (a)	(8.5)		(0.3)		(0.1)		(0.2)		(9.9)		(0.6)		2.2
Regulatory Liabilities (a)	80.9		—		16.2		8.8		8.4		23.9		14.8
Total Gain (Loss) on Risk Management Contracts	$	81.9	$	(1.3)	$	17.0	$	8.4	$	(2.2)	$	22.9	$	16.6

Nine Months Ended September 30, 2019


Location of Gain (Loss)	AEP		AEP Texas		APCo		I&M		OPCo		PSO		SWEPCo
	(in millions)
Vertically Integrated Utilities Revenues	$	1.0	$	—	$	—	$	—	$	—	$	—	$	—

Generation & Marketing Revenues	27.2		—		—		—		—		—		—
Electric Generation, Transmission and Distribution Revenues	—		—		0.2		0.5		—		—		0.1


Purchased Electricity for Resale	1.6		—		1.4		0.1		—		—		—
Other Operation	(0.6)		(0.1)		(0.1)		(0.1)		(0.2)		(0.1)		(0.1)
Maintenance	(0.6)		(0.1)		(0.1)		(0.1)		(0.1)		—		(0.1)
Regulatory Assets (a)	(19.4)		0.3		0.4		0.2		(19.8)		0.9		(0.4)
Regulatory Liabilities (a)	64.5		—		(5.3)		17.2		—		26.6		22.9
Total Gain (Loss) on Risk Management Contracts	$	73.7	$	0.1	$	(3.5)	$	17.8	$	(20.1)	$	27.4	$	22.4

(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 Liabilities						Cumulative Amount of Fair Value Hedging Adjustment Included in the Carrying Amount of the Hedged Liabilities
	September 30, 2020		December 31, 2019		September 30, 2020		December 31, 2019
	(in millions)
Long-term Debt (a) (b)	$	(551.9)	$	(510.8)	$	(55.2)	$	(14.5)

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

(b)Amounts include $(55) million and $0 as of September 30, 2020 and December 31, 2019, respectively, for the fair value hedge adjustment of hedged debt obligations for which hedge accounting has been discontinued.

Gain (Loss) on Hedging Instruments


	Three Months Ended September 30,						Nine Months Ended September 30,
	2020		2019		2020		2019
	(in millions)
Gain (Loss) on Interest Rate Contracts:
Gain on Fair Value Hedging Instruments (a)	$	—	$	13.2	$	42.6	$	42.5
Loss on Fair Value Portion of Long-term Debt (a)	—		(13.2)		(42.6)		(42.5)

(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, 2020						December 31, 2019
	Commodity		Interest Rate		Commodity		Interest Rate
	(in millions)
AOCI Gain (Loss) Net of Tax	$	(45.1)	$	(52.3)	$	(103.5)	$	(11.5)
Portion Expected to be Reclassed to Net Income During the Next Twelve Months	(13.9)		(5.3)		(51.7)		(2.1)

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


	September 30, 2020						December 31, 2019
	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	$	(2.6)	$	(1.1)	$	(3.4)	$	(1.1)
APCo	(3.5)		0.6		0.9		0.9
I&M	(8.7)		(1.6)		(9.9)		(1.6)

PSO	0.3		0.3		1.1		1.0
SWEPCo	(0.7)		(1.5)		(1.8)		(1.5)

Liabilities Subject to Cross Default Provisions


	September 30, 2020
	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	$	189.7	$	—	$	162.3
APCo	5.7		—		5.3
I&M	0.3		—		—


SWEPCo	0.9		—		0.9


	December 31, 2019
	Liabilities for				Additional
	Contracts with Cross				Settlement
	Default Provisions				Liability if Cross
	Prior to Contractual		Amount of Cash		Default Provision
Company	Netting Arrangements		Collateral Posted		is Triggered
	(in millions)
AEP	$	267.3	$	3.7	$	246.7
APCo	2.3		—		0.4
I&M	1.3		—		0.2
SWEPCo	5.1		—		5.1