Derivative Instruments and Hedging Activities (Tables)

6 Months Ended

Jun. 30, 2012

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Schedule of derivative assets and liabilities measured at fair value

14. Derivative Instruments and Hedging Activities

Our risk management and derivative accounting policies are presented

Schedule of Derivative Valuation Activity, Unobservable Inputs (Level 3)

The table below summarizes derivative valuation activity using significant unobservable inputs (Level 3) (in millions):

	Rollforward of Level 3 Inputs
Total at December 31, 2011	$	—
Total gains or losses (realized/unrealized)
Included in earnings(1)	(5.6		)
Included in AOCI	—
Purchases	—
Sales	—
Issuances(1)	(15.2		)
Settlements	—
Net transfers In/Out of Level 3	—
Total at June 30, 2012	$	(20.8	)
Unrealized gains or losses for Level 3 assets/liabilities outstanding at June 30, 2012(1)	$	(5.6	)

(1) At issuance, we recorded a liability of €12.1 million or ($15.2 million) related to the Convertible Note's embedded conversion feature. We recognized a $5.6 million unrealized loss, recorded in Interest expense, related to changes in fair value of this conversion feature for the quarter ended June 30, 2012.

Fair Value, Liabilities Measured on Recurring Basis, Unobservable Input Reconciliation

Quantitative information regarding significant unobservable inputs used for recurring Level 3 fair value measurements of financial instruments carried at fair value, were as follows (in millions):

	Balance at June 30, 2012			Valuation Technique	Significant Unobservable Input(s)/Sensitivity of the Fair Value to Changes in the Unobservable Inputs	Range
Equity conversion feature of debt	$	(20.8	)	Option model	Implied volatility(1)	24-25%

Sensitivity of the fair value to changes in the unobservable inputs

(1) Significant increase (decrease) in the unobservable input in isolation would result in a significantly higher (lower) fair value measurement.

Fair Value of Derivative Instruments in the Condensed Consolidated Balance Sheets

Fair Value of Derivative Instruments in the Condensed Consolidated Balance Sheet (in millions, except for certain commodity swaps with notional amounts measured in Metric Tonnes, as noted)

	June 30, 2012
			Asset derivatives			Liability derivatives
	Notional amount		Balance sheet location	Fair value		Balance sheet location	Fair value
Derivatives designated as hedging instruments:
Cross currency swaps	CAD	601.3	Other current assets	$	—	Current derivative hedging instruments	$	—
			Other assets	—		Long term derivative hedging instruments	(208.6		)
Foreign currency forwards	USD	437.3	Other current assets	2.6		Current derivative hedging instruments	(2.6		)
			Other assets	3.8		Long term derivative hedging instruments	(0.3		)
Commodity swaps	Gigajoules	1.3	Other current assets	0.1		Current derivative hedging instruments	(1.2		)
			Other assets	—		Long term derivative hedging instruments	(0.2		)
Total derivatives designated as hedging instruments				$	6.5		$	(212.9	)
Derivatives not designated as hedging instruments:
Equity conversion feature of debt	EUR	500.0				Current portion of long-term debt and short-term borrowings	$	(20.8	)
Aluminum swaps	Metric tonnes (actual)	5,150.0	Other current assets	$	—	Current derivative hedging instruments	$	(2.6	)
			Other assets	—		Long term derivative hedging instruments	(0.7		)
Diesel swaps	Metric tonnes (actual)	7,518.0	Other current assets	0.4		Current derivative hedging instruments	—
			Other assets	0.3		Long term derivative hedging instruments	—
Total derivatives not designated as hedging instruments				$	0.7		$	(24.1	)

	December 31, 2011
			Asset derivatives			Liability derivatives
	Notional amount		Balance sheet location	Fair value		Balance sheet location	Fair value
Derivatives designated as hedging instruments:
Cross currency swaps	CAD	901.3	Other current assets	$	—	Current derivative hedging instruments	$	(103.2	)
			Other assets	—		Long term derivative hedging instruments	(208.7		)
Foreign currency forwards	USD	464.6	Other current assets	—		Current derivative hedging instruments	(1.3		)
			Other assets	3.4		Long term derivative hedging instruments	—
Commodity swaps	Gigajoules	2.2	Other current assets	—		Current derivative hedging instruments	(1.8		)
			Other assets	—		Long term derivative hedging instruments	(0.5		)
Total derivatives designated as hedging instruments				$	3.4		$	(315.5	)
Derivatives not designated as hedging instruments:
Aluminum swaps	Metric tonnes (actual)	8,825.0	Other current assets	$	—	Current derivative hedging instruments	$	(1.3	)
			Other assets	—		Long term derivative hedging instruments	(3.3		)
Diesel swaps	Metric tonnes (actual)	9,668.0	Other current assets	0.1		Current derivative hedging instruments	—
Total derivatives not designated as hedging instruments				$	0.1		$	(4.6	)

Schedule of Cash Flow Hedges Included in Accumulated Other Comprehensive Income (Loss)

The following summarizes the change in derivative related Accumulated other comprehensive income within theCondensed Consolidated Balance Sheet for the first half of 2012 (in millions):

Total at December 31, 2011	$	1.7
Unrealized gain (loss) on derivative instruments	(15.3		)
Reclassification adjustment on derivative instruments	4.9
Tax benefit (expense)	3.7
Total at June 30, 2012	$	(5.0	)

The Effect of Derivative Instruments on the Condensed Consolidated Statements of Operations

The Effect of Derivative Instruments on the Condensed Consolidated Statement of Operations (in millions)

For the Thirteen Weeks Ended June 30, 2012
Derivatives in cash flow hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)			Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)			Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Forward starting interest rate swaps	—			Interest expense, net	(0.4		)	Interest expense, net	—
Foreign currency forwards	(5.2		)	Other income (expense), net	(0.4		)	Other income (expense), net	—
				Cost of goods sold	(1.3		)	Cost of goods sold	—
Commodity swaps	0.6			Cost of goods sold	(0.4		)	Cost of goods sold	—
Total	$	(4.6	)		$	(2.5	)		$	—

For the Thirteen Weeks Ended June 30, 2012
Derivatives in net investment hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)			Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)		Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Cross currency contracts	$	(7.3	)	Other income (expense), net	$	—	Other income (expense), net	$	—
Total	$	(7.3	)		$	—		$	—

Note: Amounts recognized in AOCI related to cash flow and net investment hedges are presented gross of taxes

During the period we recorded no significant ineffectiveness related to these cash flow and net investment hedges.

For the Thirteen Weeks Ended June 25, 2011
Derivatives in cash flow hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)			Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)			Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Cross currency swaps(1)	$	1.3		Other income (expense), net	$	6.6		Other income (expense), net	$	—
				Interest expense, net	(3.6		)	Interest expense, net	—
Forward starting interest rate swaps	0.3			Interest expense, net	(0.3		)	Interest expense, net	—
Foreign currency forwards	8.8			Other income (expense), net	(2.9		)	Other income (expense), net	—
				Cost of goods sold	(4.0		)	Cost of goods sold	—
Commodity swaps	(1.3		)	Cost of goods sold	—			Cost of goods sold	—
Total	$	9.1			$	(4.2	)		$	—

Note: Amounts recognized in AOCI are presented gross of taxes

(1) The foreign exchange gain (loss) component of these cross currency swaps is offset by the corresponding gain (loss) on the hedged forecasted transactions in Other income (expense), net and Interest expense, net.

During the period we recorded no significant ineffectiveness related to these cash flow hedges.

For the Twenty-Six Weeks Ended June 30, 2012
Derivatives in cash flow hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)			Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)			Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Forward starting interest rate swaps	—			Interest expense, net	(0.8		)	Interest expense, net	—
Foreign currency forwards	2.8			Other income (expense), net	(1.0		)	Other income (expense), net	—
				Cost of goods sold	(2.4		)	Cost of goods sold	—
Commodity swaps	(0.7		)	Cost of goods sold	(0.7		)	Cost of goods sold	—
Total	$	2.1			$	(4.9	)		$	—

For the Twenty-Six Weeks Ended June 30, 2012
Derivatives in net investment hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)		Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)		Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Cross currency contracts	$	13.2	Other income (expense), net	$	—	Other income (expense), net	$	—
Total	$	13.2		$	—		$	—

Note: Amounts recognized in AOCI related to cash flow and net investment hedges are presented gross of taxes

During the period we recorded no significant ineffectiveness related to these cash flow and net investment hedges.

For the Twenty-Six Weeks Ended June 25, 2011
Derivatives in cash flow hedge relationships	Amount of gain (loss) recognized in OCI on derivative (effective portion)			Location of gain (loss) reclassified from AOCI into income (effective portion)	Amount of gain (loss) recognized from AOCI on derivative (effective portion)			Location of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)	Amount of gain (loss) recognized in income on derivative (ineffective portion and amount excluded from effectiveness testing)
Cross currency swaps(1)	$	(1.8	)	Other income (expense), net	$	(16.9	)	Other income (expense), net	$	—
				Interest expense, net	(7.0		)	Interest expense, net	—
Forward starting interest rate swaps	0.6			Interest expense, net	(0.6		)	Interest expense, net	—
Foreign currency forwards	0.1			Other income (expense), net	(4.6		)	Other income (expense), net	—
				Cost of goods sold	(6.4		)	Cost of goods sold	—
Commodity swaps	2.6			Cost of goods sold	0.2			Cost of goods sold	—
Total	$	1.5			$	(35.3	)		$	—

Note: Amounts recognized in AOCI are presented gross of taxes

(1) The foreign exchange gain (loss) component of these cross currency swaps is offset by the corresponding gain (loss) on the hedged forecasted transactions in Other income (expense), net and Interest expense, net.

Other Derivatives

Other Derivatives (in millions)

There was no activity for the thirteen weeks ended June 25, 2011 related to derivatives not in hedging relationships.

For the Thirteen Weeks Ended June 30, 2012
Derivatives Not In Hedging Relationship	Location of Gain (Loss) Recognized in Income on Derivative	Amount of Gain (Loss) Recognized in Income on Derivative
Equity conversion feature of debt	Interest expense, net	$	(5.6	)
Commodity swaps	Cost of goods sold	$	0.5
		$	(5.1	)

For the Twenty-Six Weeks Ended June 30, 2012
Derivatives Not In Hedging Relationship	Location of Gain (Loss) Recognized in Income on Derivative	Amount of Gain (Loss) Recognized in Income on Derivative
Equity conversion feature of debt	Interest expense, net	$	(5.6	)
Commodity swaps	Cost of goods sold	$	0.6
		$	(5.0	)

For the Twenty-Six Weeks Ended June 25, 2011
Derivatives Not In Hedging Relationship	Location of Gain (Loss) Recognized in Income on Derivative	Amount of Gain (Loss) Recognized in Income on Derivative
Cash settled total return swaps	Other income (expense), net	$	(0.6	)
Option contracts	Other income (expense), net	1.5
Foreign currency forwards	Other income (expense), net	(0.1		)
		$	0.8