XML 74 R33.htm IDEA: XBRL DOCUMENT v3.7.0.1
Fair Value Measurements (Tables)
 3 Months Ended
Mar. 31, 2017
Book Values and Fair Values of Long-term Debt
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Other Temporary Investments
 
 
March 31, 2017
Other Temporary Investments
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
 
(in millions)
Restricted Cash (a)
 
$
152.7

 
$
—

 
$
—

 
$
152.7

Fixed Income Securities – Mutual Funds (b)
 
93.1

 
—

 
(0.8
)
 
92.3

Equity Securities – Mutual Funds
 
14.5

 
15.5

 
—

 
30.0

Total Other Temporary Investments
 
$
260.3

 
$
15.5

 
$
(0.8
)
 
$
275.0

 
 
December 31, 2016
Other Temporary Investments
 
Cost
 
Gross
Unrealized
Gains
 
Gross
Unrealized
Losses
 
Fair
Value
 
 
(in millions)
Restricted Cash (a)
 
$
211.7

 
$
—

 
$
—

 
$
211.7

Fixed Income Securities – Mutual Funds (b)
 
92.7

 
—

 
(1.0
)
 
91.7

Equity Securities – Mutual Funds
 
14.4

 
13.9

 
—

 
28.3

Total Other Temporary Investments
 
$
318.8

 
$
13.9

 
$
(1.0
)
 
$
331.7


(a)
Primarily represents amounts held for the repayment of debt.
(b)
Primarily short and intermediate maturities which may be sold and do not contain maturity dates.
Debt and Equity Securities Within Other Temporary Investments
 
Three Months Ended March 31,
 
2017
 
2016
 
(in millions)
Proceeds from Investment Sales
$
—

 
$
—

Purchases of Investments
0.5

 
0.4

Gross Realized Gains on Investment Sales
—

 
—

Gross Realized Losses on Investment Sales
—

 
—
Nuclear Trust Fund Investments
 
March 31, 2017
 
December 31, 2016
 
Fair
Value
 
Gross Unrealized
Gains
 
Other-Than-Temporary
Impairments
 
Fair
Value
 
Gross Unrealized
Gains
 
Other-Than-Temporary Impairments
 
(in millions)
Cash and Cash Equivalents
$
16.6

 
$
—

 
$
—

 
$
18.7

 
$
—

 
$
—

Fixed Income Securities:
 
 
 

 
 

 
 

 
 

 
 

United States Government
814.2

 
28.4

 
(4.6
)
 
785.4

 
27.1

 
(5.5
)
Corporate Debt
57.2

 
2.5

 
(1.2
)
 
60.9

 
2.3

 
(1.4
)
State and Local Government
101.9

 
0.2

 
(1.0
)
 
121.1

 
0.4

 
(0.7
)
Subtotal Fixed Income Securities
973.3

 
31.1

 
(6.8
)
 
967.4

 
29.8

 
(7.6
)
Equity Securities – Domestic
1,343.3

 
740.6

 
(78.9
)
 
1,270.1

 
677.9

 
(79.6
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,333.2

 
$
771.7

 
$
(85.7
)
 
$
2,256.2

 
$
707.7

 
$
(87.2
)
Securities Activity Within the Decommissioning and SNF Trusts
 
Three Months Ended March 31,
 
2017
 
2016
 
(in millions)
Proceeds from Investment Sales
$
487.9

 
$
1,137.7

Purchases of Investments
505.5

 
1,151.6

Gross Realized Gains on Investment Sales
11.3

 
15.8

Gross Realized Losses on Investment Sales
8.1

 
7.8
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of Fixed Income Securities
 
(in millions)
Within 1 year
$
221.8

1 year – 5 years
346.3

5 years – 10 years
192.8

After 10 years
212.4

Total
$
973.3
Fair Value, Assets and Liabilities Measured on Recurring Basis
AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.9

 
$
—

 
$
—

 
$
166.1

 
$
175.0

 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
 
136.2

 
1.3

 
—

 
15.2

 
152.7

Fixed Income Securities – Mutual Funds
 
92.3

 
—

 
—

 
—

 
92.3

Equity Securities – Mutual Funds (b)
 
30.0

 
—

 
—

 
—

 
30.0

Total Other Temporary Investments
 
258.5

 
1.3

 
—

 
15.2

 
275.0

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (d)
 
1.8

 
353.3

 
204.3

 
(176.9
)
 
382.5

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
13.7

 
1.1

 
(1.8
)
 
13.0

Total Risk Management Assets
 
1.8

 
367.0

 
205.4

 
(178.7
)
 
395.5

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
8.9

 
—

 
—

 
7.7

 
16.6

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
814.2

 
—

 
—

 
814.2

Corporate Debt
 
—

 
57.2

 
—

 
—

 
57.2

State and Local Government
 
—

 
101.9

 
—

 
—

 
101.9

Subtotal Fixed Income Securities
 
—

 
973.3

 
—

 
—

 
973.3

Equity Securities – Domestic (b)
 
1,343.3

 
—

 
—

 
—

 
1,343.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,352.2

 
973.3

 
—

 
7.7

 
2,333.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,621.4

 
$
1,341.6

 
$
205.4

 
$
10.3

 
$
3,178.7

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (d)
 
$
5.4

 
$
340.6

 
$
184.8

 
$
(193.3
)
 
$
337.5

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
36.3

 
39.1

 
(1.8
)
 
73.6

Fair Value Hedges
 
—

 
1.9

 
—

 
—

 
1.9

Total Risk Management Liabilities
 
$
5.4

 
$
378.8

 
$
223.9

 
$
(195.1
)
 
$
413.0


AEP

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.7

 
$
—

 
$
—

 
$
201.8

 
$
210.5

 
 
 
 
 
 
 
 
 
 
 
Other Temporary Investments
 
 
 
 
 
 
 
 
 
 
Restricted Cash (a)
 
173.8

 
5.1

 
—

 
32.8

 
211.7

Fixed Income Securities – Mutual Funds
 
91.7

 
—

 
—

 
—

 
91.7

Equity Securities – Mutual Funds (b)
 
28.3

 
—

 
—

 
—

 
28.3

Total Other Temporary Investments
 
293.8

 
5.1

 
—

 
32.8

 
331.7

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (f)
 
6.0

 
379.9

 
192.2

 
(205.7
)
 
372.4

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
16.8

 
1.7

 
(7.3
)
 
11.2

Total Risk Management Assets
 
6.0

 
396.7

 
193.9

 
(213.0
)
 
383.6

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
7.3

 
—

 
—

 
11.4

 
18.7

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
785.4

 
—

 
—

 
785.4

Corporate Debt
 
—

 
60.9

 
—

 
—

 
60.9

State and Local Government
 
—

 
121.1

 
—

 
—

 
121.1

Subtotal Fixed Income Securities
 
—

 
967.4

 
—

 
—

 
967.4

Equity Securities – Domestic (b)
 
1,270.1

 
—

 
—

 
—

 
1,270.1

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,277.4

 
967.4

 
—

 
11.4

 
2,256.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,585.9

 
$
1,369.2

 
$
193.9

 
$
33.0

 
$
3,182.0

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (f)
 
$
8.2

 
$
352.0

 
$
166.7

 
$
(205.4
)
 
$
321.5

Cash Flow Hedges:
 
 

 
 

 
 

 
 

 
 

Commodity Hedges (c)
 
—

 
29.3

 
24.7

 
(7.3
)
 
46.7

Fair Value Hedges
 
—

 
1.4

 
—

 
—

 
1.4

Total Risk Management Liabilities
 
$
8.2

 
$
382.7

 
$
191.4

 
$
(212.7
)
 
$
369.6

(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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
March 31, 2017
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
199.5

 
$
213.5

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
$
9.65

 
$
92.72

 
$
38.24

 
 
 
 
 
 
 
Counterparty Credit Risk (b) 
 
17

 
691

 
259

FTRs
5.9

 
10.4

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
(5.46
)
 
7.22

 
0.50

Total
$
205.4

 
$
223.9

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
AEP
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
183.8

 
$
187.1

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
$
6.51

 
$
86.59

 
$
39.40

 
 
 
 
 
 
 
Counterparty Credit Risk (b) 
 
35

 
824

 
391

FTRs
10.1

 
4.3

 
Discounted Cash Flow 
 
Forward Market Price (a) 
 
(7.99
)
 
8.91

 
0.86

Total
$
193.9

 
$
191.4

 
 
 
 
 
 

 
 

 
 
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices 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
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
8.0

 
$
—

 
$
—

 
$
0.1

 
$
8.1

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
16.6

 
2.0

 
(17.3
)
 
1.3

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
8.0

 
$
16.6

 
$
2.0

 
$
(17.2
)
 
$
9.4

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
16.5

 
$
7.8

 
$
(17.6
)
 
$
6.7


APCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
15.8

 
$
—

 
$
—

 
$
0.1

 
$
15.9

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
20.5

 
3.9

 
(21.8
)
 
2.6

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
15.8

 
$
20.5

 
$
3.9

 
$
(21.7
)
 
$
18.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
20.7

 
$
2.5

 
$
(22.0
)
 
$
1.2
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
March 31, 2017
APCo
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.6

 
$
0.2

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.36

 
$
46.45

 
$
34.61

FTRs
1.4

 
7.6

 
Discounted Cash Flow 
 
Forward Market Price 
 
0.04

 
4.14

 
1.34

Total
$
2.0

 
$
7.8

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
APCo
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.4

 
$
0.4

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.68

 
$
48.55

 
$
36.34

FTRs
3.5

 
2.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
(0.23
)
 
8.91

 
2.37

Total
$
3.9

 
$
2.5

 
 
 
 
 
 

 
 

 
 
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
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Nuclear Trust Fund Investments
 
March 31, 2017
 
December 31, 2016
 
Fair
Value
 
Gross Unrealized
Gains
 
Other-Than-Temporary
Impairments
 
Fair
Value
 
Gross Unrealized
Gains
 
Other-Than-Temporary Impairments
 
(in millions)
Cash and Cash Equivalents
$
16.6

 
$
—

 
$
—

 
$
18.7

 
$
—

 
$
—

Fixed Income Securities:
 
 
 

 
 

 
 

 
 

 
 

United States Government
814.2

 
28.4

 
(4.6
)
 
785.4

 
27.1

 
(5.5
)
Corporate Debt
57.2

 
2.5

 
(1.2
)
 
60.9

 
2.3

 
(1.4
)
State and Local Government
101.9

 
0.2

 
(1.0
)
 
121.1

 
0.4

 
(0.7
)
Subtotal Fixed Income Securities
973.3

 
31.1

 
(6.8
)
 
967.4

 
29.8

 
(7.6
)
Equity Securities – Domestic
1,343.3

 
740.6

 
(78.9
)
 
1,270.1

 
677.9

 
(79.6
)
Spent Nuclear Fuel and Decommissioning Trusts
$
2,333.2

 
$
771.7

 
$
(85.7
)
 
$
2,256.2

 
$
707.7

 
$
(87.2
)
Securities Activity Within the Decommissioning and SNF Trusts
 
Three Months Ended March 31,
 
2017
 
2016
 
(in millions)
Proceeds from Investment Sales
$
487.9

 
$
1,137.7

Purchases of Investments
505.5

 
1,151.6

Gross Realized Gains on Investment Sales
11.3

 
15.8

Gross Realized Losses on Investment Sales
8.1

 
7.8
Contractual Maturities, Fair Value of Debt Securities in Nuclear Trusts
 
Fair Value of Fixed Income Securities
 
(in millions)
Within 1 year
$
221.8

1 year – 5 years
346.3

5 years – 10 years
192.8

After 10 years
212.4

Total
$
973.3
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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

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

 
$
14.6

 
$
2.2

 
$
(13.8
)
 
$
3.0

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
8.9

 
—

 
—

 
7.7

 
16.6

Fixed Income Securities:
 
 

 
 

 
 

 
 

 
 

United States Government
 
—

 
814.2

 
—

 
—

 
814.2

Corporate Debt
 
—

 
57.2

 
—

 
—

 
57.2

State and Local Government
 
—

 
101.9

 
—

 
—

 
101.9

Subtotal Fixed Income Securities
 
—

 
973.3

 
—

 
—

 
973.3

Equity Securities - Domestic (b)
 
1,343.3

 
—

 
—

 
—

 
1,343.3

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,352.2

 
973.3

 
—

 
7.7

 
2,333.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,352.2

 
$
987.9

 
$
2.2

 
$
(6.1
)
 
$
2,336.2

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
16.7

 
$
0.2

 
$
(14.0
)
 
$
2.9


I&M

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

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

 
$
12.8

 
$
3.0

 
$
(12.3
)
 
$
3.5

 
 
 
 
 
 
 
 
 
 
 
Spent Nuclear Fuel and Decommissioning Trusts
 
 

 
 

 
 

 
 

 
 

Cash and Cash Equivalents (e)
 
7.3

 
—

 
—

 
11.4

 
18.7

Fixed Income Securities:
 
 

 
 

 
 

 
 

 


United States Government
 
—

 
785.4

 
—

 
—

 
785.4

Corporate Debt
 
—

 
60.9

 
—

 
—

 
60.9

State and Local Government
 
—

 
121.1

 
—

 
—

 
121.1

Subtotal Fixed Income Securities
 
—

 
967.4

 
—

 
—

 
967.4

Equity Securities - Domestic (b)
 
1,270.1

 
—

 
—

 
—

 
1,270.1

Total Spent Nuclear Fuel and Decommissioning Trusts
 
1,277.4

 
967.4

 
—

 
11.4

 
2,256.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
1,277.4

 
$
980.2

 
$
3.0

 
$
(0.9
)
 
$
2,259.7

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
13.3

 
$
0.2

 
$
(12.4
)
 
$
1.1
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices of credit default swaps used to calculate counterparty credit risk, reported in basis points.
Significant Unobservable Inputs
March 31, 2017
I&M
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.3

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.36

 
$
46.45

 
$
34.61

FTRs
1.9

 
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
(0.33
)
 
3.70

 
1.75

Total
$
2.2

 
$
0.2

 
 
 
 
 
 

 
 

 
 

Significant Unobservable Inputs
December 31, 2016
I&M
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
0.3

 
$
0.2

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
19.68

 
$
48.55

 
$
36.34

FTRs
2.7

 
—

 
Discounted Cash Flow 
 
Forward Market Price 
 
(7.90
)
 
8.91

 
1.32

Total
$
3.0

 
$
0.2

 
 
 
 
 
 

 
 

 
 
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
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
16.0

 
$
—

 
$
—

 
$
—

 
$
16.0

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.1

 
—

 
—

 
0.1

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
16.0

 
$
0.1

 
$
—

 
$
—

 
$
16.1

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

 
$
—

 
$
124.6

 
$
—

 
$
124.6


OPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Restricted Cash for Securitized Funding (a)
 
$
—

 
$
—

 
$
—

 
$
27.2

 
$
27.2

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.4

 
—

 
(0.2
)
 
0.2

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
—

 
$
0.4

 
$
—

 
$
27.0

 
$
27.4

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
119.0

 
$
—

 
$
119.0
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
March 31, 2017
OPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
—

 
$
124.6

 
Discounted Cash Flow 
 
Forward Market Price (a)
 
$
28.17

 
$
70.98

 
$
46.04

 
 
 
 
 
 
 
Counterparty Credit Risk (b) 
 
34

 
327

 
245

Total
$
—

 
$
124.6

 
 
 
 
 
 
 
 
 
 

Significant Unobservable Inputs
December 31, 2016
OPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
Energy Contracts
$
—

 
$
119.0

 
Discounted Cash Flow 
 
Forward Market Price (a)
 
$
30.14

 
$
71.85

 
$
47.45

 


 


 
 
 
Counterparty Credit Risk (b) 
 
47

 
340

 
272

Total
$
—

 
$
119.0

 
 
 
 
 
 

 
 

 
 
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices 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
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

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

 
$
0.1

 
$
0.5

 
$
(0.1
)
 
$
0.5

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
—

 
$
0.1

 
$
(0.1
)
 
$
—


PSO

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

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

 
$
0.2

 
$
0.7

 
$
(0.1
)
 
$
0.8

(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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
March 31, 2017
PSO
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.5

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(3.51
)
 
$
3.13

 
$
(0.40
)

Significant Unobservable Inputs
December 31, 2016
PSO
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.7

 
$
—

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(7.99
)
 
$
1.03

 
$
(0.36
)
(a)
Represents market prices in dollars per MWh.
(b)
Represents prices 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
 
 
March 31, 2017
 
December 31, 2016
 
Company
 
Book Value
 
Fair Value
 
Book Value
 
 
Fair Value
 
 
 
(in millions)
 
AEP
 
$
19,236.4

 
$
21,239.5

 
$
20,391.2

(a)
 
$
22,211.9

(a)
APCo
 
3,918.8

 
4,558.8

 
4,033.9

 
 
4,613.2

 
I&M
 
2,439.5

 
2,646.8

 
2,471.4

 
 
2,661.6

 
OPCo
 
1,742.0

 
2,070.8

 
1,763.9

 
 
2,092.5

 
PSO
 
1,286.1

 
1,431.1

 
1,286.0

 
 
1,419.0

 
SWEPCo
 
2,427.7

 
2,591.2

 
2,679.1

 
 
2,814.3

 


(a)
Amount includes debt related to the Lawrenceburg Plant that has been classified as Liabilities Held for Sale on the balance sheet and has a fair value of $172 million. See the Assets and Liabilities Held for Sale section of Note 6 for additional information.
Fair Value, Assets and Liabilities Measured on Recurring Basis
SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
March 31, 2017
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.9

 
$
—

 
$
—

 
$
1.4

 
$
10.3

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.1

 
0.6

 
(0.1
)
 
0.6

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
8.9

 
$
0.1

 
$
0.6

 
$
1.3

 
$
10.9

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
0.4

 
$
0.1

 
$
(0.1
)
 
$
0.4


SWEPCo

Assets and Liabilities Measured at Fair Value on a Recurring Basis
December 31, 2016
 
 
Level 1
 
Level 2
 
Level 3
 
Other
 
Total
Assets:
 
(in millions)
 
 
 
 
 
 
 
 
 
 
 
Cash and Cash Equivalents (a)
 
$
8.7

 
$
—

 
$
—

 
$
1.6

 
$
10.3

 
 
 
 
 
 
 
 
 
 
 
Risk Management Assets
 
 

 
 

 
 

 
 

 
 

Risk Management Commodity Contracts (c) (g)
 
—

 
0.3

 
0.8

 
(0.2
)
 
0.9

 
 
 
 
 
 
 
 
 
 
 
Total Assets
 
$
8.7

 
$
0.3

 
$
0.8

 
$
1.4

 
$
11.2

 
 
 
 
 
 
 
 
 
 
 
Liabilities:
 
 

 
 

 
 

 
 

 
 

 
 
 
 
 
 
 
 
 
 
 
Risk Management Liabilities
 
 

 
 

 
 

 
 

 
 

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

 
$
0.3

 
$
0.1

 
$
(0.1
)
 
$
0.3


(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 investments in money market funds.
(b)
Amounts represent publicly traded equity securities and equity-based mutual funds.
(c)
Amounts in “Other’’ column primarily represent counterparty netting of risk management and hedging contracts and associated cash collateral under the accounting guidance for “Derivatives and Hedging.’’
(d)
The March 31, 2017 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows:  Level 1 matures $(2) million in 2017 and $(2) million in periods 2018-2020;  Level 2 matures $5 million in 2017, $6 million in periods 2018-2020, $1 million in periods 2021-2022 and $1 million in periods 2023-2032;  Level 3 matures $6 million in 2017, $24 million in periods 2018-2020, $14 million in periods 2021-2022 and $(24) million in periods 2023-2032.  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, 2016 maturity of the net fair value of risk management contracts prior to cash collateral, assets/(liabilities), is as follows: Level 1 matures $(2) million in 2018-2020;  Level 2 matures $20 million in 2017, $4 million in periods 2018-2020, $3 million in periods 2021-2022 and $1 million in periods 2023-2032; Level 3 matures $17 million in 2017, $28 million in periods 2018-2020, $11 million in periods 2021-2022 and $(31) million in periods 2023-2032.  Risk management commodity contracts are substantially comprised of power contracts.
(g)
Substantially comprised of power contracts for the Registrant Subsidiaries.
Changes in Fair Value of Net Trading Derivatives and Other Investments
Three Months Ended March 31, 2017
 
AEP
 
APCo
 
I&M
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2016
 
$
2.5

 
$
1.4

 
$
2.8

 
$
(119.0
)
 
$
0.7

 
$
0.7

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
17.8

 
5.7

 
2.0

 
(0.5
)
 
2.2

 
4.5

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
16.1

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
(17.2
)
 
—

 
—

 
—

 
—

 
—

Settlements
 
(28.8
)
 
(12.2
)
 
(4.3
)
 
2.1

 
(2.6
)
 
(4.9
)
Transfers into Level 3 (d) (e)
 
5.2

 
—

 
—

 
—

 
—

 
—

Transfers out of Level 3 (e)
 
(8.3
)
 
—

 
—

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(5.8
)
 
(0.7
)
 
1.5

 
(7.2
)
 
0.1

 
0.2

Balance as of March 31, 2017
 
$
(18.5
)
 
$
(5.8
)
 
$
2.0

 
$
(124.6
)
 
$
0.4

 
$
0.5

Three Months Ended March 31, 2016
 
AEP
 
APCo (a)
 
I&M (a)
 
OPCo
 
PSO
 
SWEPCo
 
 
(in millions)
Balance as of December 31, 2015
 
$
146.9

 
$
11.7

 
$
4.3

 
$
15.9

 
$
0.6

 
$
0.8

Realized Gain (Loss) Included in Net Income (or Changes in Net Assets) (b) (c)
 
23.5

 
15.3

 
2.5

 
(0.6
)
 
(0.8
)
 
4.6

Unrealized Gain (Loss) Included in Net Income (or Changes in Net Assets) Relating to Assets Still Held at the Reporting Date (b)
 
21.9

 
—

 
—

 
—

 
—

 
—

Realized and Unrealized Gains (Losses) Included in Other Comprehensive Income
 
1.3

 
—

 
—

 
—

 
—

 
—

Settlements
 
(42.7
)
 
(27.7
)
 
(4.6
)
 
1.4

 
0.5

 
(4.9
)
Transfers out of Level 3 (e)
 
10.9

 
0.1

 
0.1

 
—

 
—

 
—

Changes in Fair Value Allocated to Regulated Jurisdictions (f)
 
(20.5
)
 
3.2

 
1.4

 
(27.6
)
 
0.3

 
0.2

Balance as of March 31, 2016
 
$
141.3

 
$
2.6

 
$
3.7

 
$
(10.9
)
 
$
0.6

 
$
0.7


(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 existing assets or liabilities that were previously categorized as Level 2.
(e)
Transfers are recognized based on their value at the beginning of the reporting period that the transfer occurred.
(f)
Relates to the net gains (losses) of those contracts that are not reflected on the statements of income.  These net gains (losses) are recorded as regulatory assets/liabilities.
Significant Unobservable Inputs for Level 3
Significant Unobservable Inputs
March 31, 2017
SWEPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.6

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(3.51
)
 
$
3.13

 
$
(0.40
)

Significant Unobservable Inputs
December 31, 2016
SWEPCo
 
 
 
 
 
 
 
Significant
 
Input/Range
 
Fair Value
 
Valuation
 
Unobservable
 
 
 
 
 
Weighted
 
Assets
 
Liabilities
 
Technique
 
Input (a)
 
Low
 
High
 
Average
 
(in millions)
 
 
 
 
 
 
 
 
 
 
FTRs
$
0.8

 
$
0.1

 
Discounted Cash Flow 
 
Forward Market Price 
 
$
(7.99
)
 
$
1.03

 
$
(0.36
)

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