Derivatives, Hedging Programs and Other Financial Instruments (Tables)

6 Months Ended

Jun. 30, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Summary of Derivative Positions

The following table summarizes our derivative positions at June 30, 2020:

Aluminum	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	7/20 through 12/22		92.4
Fixed price sales contracts	7/20 through 11/21		0.9
Midwest premium swap contracts1	7/20 through 12/22		91.5

Alloying Metals	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	7/20 through 12/21		14.5
Fixed price sales contracts	7/20 through 12/21		5.8

Natural Gas2	Maturity Period (month/year)	Notional Amount of Contracts (mmbtu)
Fixed price purchase contracts	7/20 through 12/24		7,490,000

Electricity3	Maturity Period (month/year)	Notional Amount of Contracts (Mwh)
Fixed price purchase contracts	7/20 through 12/22		570,140

Euro	Maturity Period (month/year)	Notional Amount of Contracts (euro)
Fixed price forward contracts	9/20 through 1/21		711,324

^{1 Regional premiums represent the premium over the London Metal Exchange price for primary aluminum which is incurred on our purchases of primary aluminum.}

^{2 As of June 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 83% of the expected natural gas purchases for the remainder of 2020, 91% of the expected natural gas purchases for 2021, 95% of the expected natural gas purchases for 2022, 93% of the expected natural gas purchases for 2023, 85% of the expected natural gas purchases for 2024 and 25% of the expected natural gas purchases for both 2025 and 2026.}

^{3 As of June 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 59% of our expected electricity purchases for the remainder of 2020, 58% of our expected electricity purchases for 2021 and 49% of our expected electricity purchases for 2022.}

Summary of Loss (Gain) Associated with Derivative Contracts

The amount of loss (gain) included on our Statements of Consolidated (Loss) Income associated with all derivative contracts consisted of the following for the periods presented (in millions of dollars):

	Quarter Ended June 30,					Six Months Ended June 30,
	2020			2019		2020			2019
Total of income and expense line items presented in our Statements of Consolidated (Loss) Income in which the effects of cash flow hedges are recorded	$	224.5		$	303.5	$	511.1		$	618.6
Loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges:
Aluminum		7.6			4.5		13.3			8.7
Alloying metals (effective hedges)		1.5			0.1		2.1			0.2
Alloying metals (reclassification due to forecasted transactions no longer probable of occurring)		0.7			—		0.7			—
Natural gas		0.4			0.1		0.9			—
Electricity		0.3			—		0.5			—
Total loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges	$	10.5		$	4.7	$	17.5		$	8.9
Total of income and expense line items presented in our Statements of Consolidated (Loss) Income in which the effects of fair value hedges are recorded	$	13.0		$	12.1	$	26.2		$	24.0
(Gain) loss recognized in our Statements of Consolidated (Loss) Income related to fair value hedges:
Foreign exchange contracts		(0.2	)		—		—			—
Hedged item		0.2			—		—			—
Excluded component amortized from AOCI1		0.2			—		0.4			—
Reclassification from AOCI related to early termination of firm commitment1		(0.4	)		—		(0.4	)		—
Net settlement related to early termination of forward contracts		0.3			—		0.3			—
Total gain recognized in our Statements of Consolidated (Loss) Income related to fair value hedges	$	0.1		$	—	$	0.3		$	—

Schedule of Fair Value of Derivative Financial Instruments

The following table presents the fair value of our derivative financial instruments as of the periods presented (in millions of dollars):

	June 30, 2020								December 31, 2019
	Assets		Liabilities			Net Amount			Assets		Liabilities			Net Amount
Cash Flow Hedges:
Aluminum –
Fixed price purchase contracts	$	0.3	$	(6.7	)	$	(6.4	)	$	1.0	$	(4.1	)	$	(3.1	)
Fixed price sales contracts		0.1		—			0.1			—		—			—
Midwest premium swap contracts		0.1		(2.7	)		(2.6	)		—		(1.2	)		(1.2	)
Alloying Metals –
Fixed price purchase contracts		0.2		(1.7	)		(1.5	)		0.4		(1.5	)		(1.1	)
Natural gas – Fixed price purchase contracts		0.2		(2.7	)		(2.5	)		—		(2.8	)		(2.8	)
Electricity – Fixed price purchase contracts		1.1		(2.6	)		(1.5	)		2.6		(1.6	)		1.0
Total	$	2.0	$	(16.4	)	$	(14.4	)	$	4.0	$	(11.2	)	$	(7.2	)

The following table presents the total amounts of derivative assets and liabilities on our Consolidated Balance Sheets as of the periods presented (in millions of dollars):

	June 30, 2020			December 31, 2019
Derivative assets:
Prepaid expenses and other current assets	$	1.2		$	2.1
Other assets		0.8			1.9
Total derivative assets	$	2.0		$	4.0
Derivative liabilities:
Other accrued liabilities	$	(9.8	)	$	(7.6	)
Long-term liabilities		(6.6	)		(3.6	)
Total derivative liabilities	$	(16.4	)	$	(11.2	)

Schedule of Other Financial Assets Classifies under Appropriate Level of Fair Value Hierarchy

The following table classifies our other financial assets under the appropriate level of the fair value hierarchy as of June 30, 2020 (in millions of dollars):

	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	710.6	$	—	$	—	$	710.6
Total	$	710.6	$	—	$	—	$	710.6

The following table classifies our other financial assets under the appropriate level of the fair value hierarchy as of December 31, 2019 (in millions of dollars):

	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	28.2	$	236.1	$	—	$	264.3
Short-term investments		—		78.7		—		78.7
Total	$	28.2	$	314.8	$	—	$	343.0