Derivatives, Hedging Programs and Other Financial Instruments (Tables)

9 Months Ended

Sep. 30, 2020

Derivative Instruments And Hedging Activities Disclosure [Abstract]

Summary of Derivative Positions

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

Aluminum	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	10/20 through 12/22		80.1
Fixed price sales contracts	10/20 through 11/21		1.0
Midwest premium swap contracts1	10/20 through 12/22		79.1

Alloying Metals	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	10/20 through 12/21		12.0
Fixed price sales contracts	10/20 through 12/21		5.0

Natural Gas2	Maturity Period (month/year)	Notional Amount of Contracts (mmbtu)
Fixed price purchase contracts	10/20 through 12/24		7,070,000

Electricity3	Maturity Period (month/year)	Notional Amount of Contracts (Mwh)
Fixed price purchase contracts	10/20 through 12/22		525,980

Euro	Maturity Period (month/year)	Notional Amount of Contracts (euro)
Fixed price forward contracts	12/20 through 1/21		355,662

^{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 September 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 81% of the expected natural gas purchases for the remainder of 2020, 91% of the expected natural gas purchases for 2021, 94% of the expected natural gas purchases for 2022, 93% of the expected natural gas purchases for 2023, 84% of the expected natural gas purchases for 2024 and 25% of the expected natural gas purchases for both 2025 and 2026.}

^{3 As of September 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 57% of our expected electricity purchases for the remainder of 2020, 60% of our expected electricity purchases for 2021 and 50% 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 Income associated with all derivative contracts consisted of the following for the periods presented (in millions of dollars):

	Quarter Ended September 30,						Nine Months Ended September 30,						Statements of Consolidated
	2020			2019			2020			2019			Income Classification
Total of income and expense line items presented in our Statements of Consolidated Income in which the effects of hedges are recorded:
Cash flow hedges	$	208.4		$	298.6		$	719.5		$	917.2		COGS
Fair value hedges	$	12.9		$	12.3		$	39.1		$	36.3		Depreciation and amortization
Fair value hedges	$	(0.5	)	$	(0.8	)	$	(0.8	)	$	(0.4	)	Other expense, net
Loss recognized in our Statements of Consolidated Income related to cash flow hedges:
Aluminum	$	1.2		$	4.8		$	14.5		$	13.5		COGS
Alloying metals (effective hedges)		—			0.5			2.1			0.7		COGS
Alloying metals (reclassification from AOCI due to forecasted transactions no longer probable of occurring)		0.1			—			0.8			—		COGS
Natural gas		0.3			0.1			1.2			0.1		COGS
Electricity		—			—			0.6			—		COGS
Total loss recognized in our Statements of Consolidated Income related to cash flow hedges	$	1.6		$	5.4		$	19.2		$	14.3
(Gain) loss recognized in our Statements of Consolidated Income related to fair value hedges:
Foreign exchange contracts	$	—		$	—		$	(0.1	)	$	—		Depreciation and amortization
Hedged item		—			—			0.1			—		Depreciation and amortization
Excluded component amortized from AOCI		—			—			0.4			—		Depreciation and amortization
Reclassification from AOCI related to early termination of firm commitment		—			—			(0.4	)		—		Other expense, net
Net settlement related to early termination of forward contracts		—			—			0.3			—		Other expense, net
Total loss recognized in our Statements of Consolidated Income related to fair value hedges	$	—		$	—		$	0.3		$	—
Loss (gain) recognized in our Statements of Consolidated Income related to non-designated hedges:
Alloying metals – Realized loss	$	0.3		$	—		$	1.7		$	—		COGS
Alloying metals – Unrealized gain		(1.8	)		—			(1.8	)		—		COGS
Total (gain) loss recognized in our Statements of Consolidated Income related to non-designated hedges:	$	(1.5	)	$	—		$	(0.1	)	$	—

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):

	September 30, 2020								December 31, 2019
	Assets		Liabilities			Net Amount			Assets		Liabilities			Net Amount
Cash Flow Hedges:
Aluminum –
Fixed price purchase contracts	$	1.0	$	(1.6	)	$	(0.6	)	$	1.0	$	(4.1	)	$	(3.1	)
Midwest premium swap contracts		0.1		(2.3	)		(2.2	)		—		(1.2	)		(1.2	)
Alloying Metals –
Fixed price purchase contracts		—		—			—			0.4		(1.5	)		(1.1	)
Natural gas – Fixed price purchase contracts		0.8		(1.5	)		(0.7	)		—		(2.8	)		(2.8	)
Electricity – Fixed price purchase contracts		2.1		(2.2	)		(0.1	)		2.6		(1.6	)		1.0
Total cash flow hedges		4.0		(7.6	)		(3.6	)		4.0		(11.2	)		(7.2	)
Non-Designated Hedges:
Alloying Metals –
Fixed price purchase contracts		1.5		(0.2	)		1.3			—		—			—
Fixed price sales contracts		—		(0.8	)		(0.8	)		—		—			—
Total non-designated hedges		1.5		(1.0	)		0.5			—		—			—
Total	$	5.5	$	(8.6	)	$	(3.1	)	$	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):

	September 30, 2020			December 31, 2019
Derivative assets:
Prepaid expenses and other current assets	$	3.9		$	2.1
Other assets		1.6			1.9
Total derivative assets	$	5.5		$	4.0
Derivative liabilities:
Other accrued liabilities	$	(4.7	)	$	(7.6	)
Long-term liabilities		(3.9	)		(3.6	)
Total derivative liabilities	$	(8.6	)	$	(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 September 30, 2020 (in millions of dollars):

	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	750.1	$	—	$	—	$	750.1
Total	$	750.1	$	—	$	—	$	750.1

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