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Derivatives, Hedging Programs and Other Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Summary of Percentage of Expected Variable Priced Purchases of Metals Alloys and Energy

The following table summarizes the percentage of our expected variable priced purchases of metal alloys and energy for which we have executed derivative and/or physical delivery commitments in place to reduce price fluctuations for the next five years as of December 31, 2021:

 

 

 

2022

 

 

2023

 

 

2024

 

 

2025

 

 

2026

 

Zinc

 

61%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Copper

 

64%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Magnesium1

 

100%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Silicon

 

100%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Natural Gas

 

48%

 

 

47%

 

 

45%

 

 

25%

 

 

20%

 

Electricity

 

74%

 

 

43%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

1.

We have contracts in place to cover the noted percentage of our requirements at a firm or predetermined price, however our primary supplier of magnesium declared force majeure and is supplying less than the full volume contracted and our magnesium cost will fluctuate for any shortfalls until our supplier’s capacity is fully restored.

Summary of Derivative Positions

The following table summarizes our derivative positions at December 31, 2021:

 

Aluminum

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

1/22 through 12/23

 

 

80.3

 

Midwest premium swap contracts1

 

1/22 through 12/23

 

 

80.2

 

 

Alloying Metals

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

1/22 through 12/22

 

 

6.3

 

 

 

Natural Gas

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmbtu)

 

Fixed price purchase contracts

 

1/22 through 12/25

 

 

5,160,000

 

 

Electricity

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (Mwh)

 

Fixed price purchase contracts

 

1/22 through 12/22

 

 

219,000

 

 

Euro

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (euro)

 

Fixed price forward contracts

 

3/22 through 3/23

 

 

173,400

 

 

1.

Regional premiums represent the premium over the London Metal Exchange price for primary aluminum which is incurred on our purchases of primary aluminum.
Summary of Loss (Gain) Associated with Derivative Contracts

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

 

 

 

Year Ended December 31,

 

 

Statements of Consolidated

 

 

2021

 

 

2020

 

 

2019

 

 

(Loss) Income Classification

Total of income and expense line items presented in our Statements of Consolidated (Loss) Income in which the effects of hedges are recorded:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges

 

$

2,348.1

 

 

$

941.3

 

 

$

1,215.2

 

 

Cost of products sold

Fair value hedges

 

n/a

 

 

$

52.2

 

 

n/a

 

 

Depreciation and amortization

Fair value hedges

 

n/a

 

 

$

1.4

 

 

n/a

 

 

Other expense, net

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Gain) loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aluminum

 

$

(35.2

)

 

$

13.7

 

 

$

18.4

 

 

Cost of products sold

Alloying Metals (effective hedges)

 

 

0.1

 

 

 

1.4

 

 

 

1.1

 

 

Cost of products sold

Alloying Metals (reclassification from AOCI due to forecasted transactions no longer probable of occurring)

 

 

—

 

 

 

0.8

 

 

 

—

 

 

Cost of products sold

Natural gas

 

 

(2.1

)

 

 

1.3

 

 

 

0.2

 

 

Cost of products sold

Electricity

 

 

(4.7

)

 

 

0.5

 

 

 

—

 

 

Cost of products sold

Total (gain) loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges

 

$

(41.9

)

 

$

17.7

 

 

$

19.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss (gain) recognized in our Statements of Consolidated (Loss) 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

 

 

—

 

 

 

0.6

 

 

 

—

 

 

Other expense, net

Net settlement related to early termination of forward contracts

 

 

—

 

 

 

(0.7

)

 

 

—

 

 

Other expense, net

Total loss recognized in our Statements of Consolidated (Loss) Income related to fair value hedges

 

$

—

 

 

$

0.3

 

 

$

—

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Gain) loss recognized in our Statements of Consolidated (Loss) Income related to non-designated hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Alloying Metals – Realized (gain) loss

 

$

(5.0

)

 

$

0.2

 

 

$

—

 

 

Cost of products sold

Alloying Metals – Unrealized loss (gain)

 

 

1.2

 

 

 

(3.5

)

 

 

—

 

 

Cost of products sold

Total (gain) loss recognized in our Statements of Consolidated (Loss) Income related to non-designated hedges:

 

$

(3.8

)

 

$

(3.3

)

 

$

—

 

 

 
Schedule of Fair Value of Derivative Financial Instruments The following table presents the fair value of our derivative financial instruments (in millions of dollars):

 

 

As of December 31, 2021

 

 

As of December 31, 2020

 

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

Cash Flow Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aluminum –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

$

12.2

 

 

$

(1.1

)

 

$

11.1

 

 

$

4.6

 

 

$

(0.1

)

 

$

4.5

 

Midwest premium swap contracts

 

 

5.5

 

 

 

(0.1

)

 

 

5.4

 

 

 

0.2

 

 

 

(1.2

)

 

 

(1.0

)

Natural gas – Fixed price purchase contracts

 

 

3.0

 

 

 

(0.1

)

 

 

2.9

 

 

 

0.2

 

 

 

(1.5

)

 

 

(1.3

)

Electricity – Fixed price purchase contracts

 

 

4.4

 

 

 

(0.6

)

 

 

3.8

 

 

 

2.0

 

 

 

(2.5

)

 

 

(0.5

)

Total cash flow hedges

 

 

25.1

 

 

 

(1.9

)

 

 

23.2

 

 

 

7.0

 

 

 

(5.3

)

 

 

1.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Designated Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Alloying Metals –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

 

1.6

 

 

 

(0.1

)

 

 

1.5

 

 

 

3.9

 

 

 

—

 

 

 

3.9

 

Fixed price sales contracts

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

(1.3

)

 

 

(1.3

)

Total non-designated hedges

 

 

1.6

 

 

 

(0.1

)

 

 

1.5

 

 

 

3.9

 

 

 

(1.3

)

 

 

2.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

26.7

 

 

$

(2.0

)

 

$

24.7

 

 

$

10.9

 

 

$

(6.6

)

 

$

4.3

 

 

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

 

 

 

As of December 31,

 

 

 

2021

 

 

2020

 

Derivative assets:

 

 

 

 

 

 

 

 

Prepaid expenses and other current assets

 

$

25.0

 

 

$

8.4

 

Other assets

 

 

1.7

 

 

 

2.5

 

Total derivative assets

 

$

26.7

 

 

$

10.9

 

Derivative liabilities:

 

 

 

 

 

 

 

 

Other accrued liabilities

 

$

(1.9

)

 

$

(3.8

)

Long-term liabilities

 

 

(0.1

)

 

 

(2.8

)

Total derivative liabilities

 

$

(2.0

)

 

$

(6.6

)