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Derivatives, Hedging Programs and Other Financial Instruments (Tables)
 3 Months Ended
Mar. 31, 2022
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Summary of Percentages of Expected Variable Priced Purchases of Metals Alloys and Energy

The following table summarizes the percentages as of March 31, 2022 of our expected variable priced purchases of metal alloys and energy for which we have executed derivative and/or physical delivery commitments to reduce price fluctuations for each of the following years:

 

 

 

Remainder

of 2022

 

 

2023

 

 

2024

 

 

2025

 

 

2026

 

Zinc

 

63%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Copper

 

63%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Magnesium1

 

100%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Silicon

 

100%

 

 

 

—

 

 

 

—

 

 

 

—

 

 

 

—

 

Natural Gas

 

48%

 

 

48%

 

 

46%

 

 

25%

 

 

20%

 

Electricity

 

78%

 

 

43%

 

 

 

—

 

 

 

—

 

 

 

—

 
Summary of Derivative Positions

The following table summarizes our derivative positions at March 31, 2022:

 

Aluminum

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

4/22 through 12/23

 

 

109.3

 

Fixed price sales contracts

 

8/22 through 10/22

 

 

3.0

 

Midwest premium swap contracts1

 

4/22 through 12/23

 

 

92.0

 

 

Alloying Metals

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

4/22 through 12/22

 

 

4.8

 

 

Natural Gas

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmbtu)

 

Fixed price purchase contracts

 

4/22 through 12/25

 

 

4,740,000

 

 

Electricity

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (Mwh)

 

Fixed price purchase contracts

 

4/22 through 12/22

 

 

165,025

 

 

 

Euro

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (euro)

 

Fixed price forward contracts

 

6/22 through 3/23

 

 

138,720

 

 

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 Gain Associated with Derivative Contracts

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

 

 

 

Quarter Ended March 31,

 

Statements of Consolidated

 

 

2022

 

 

2021

 

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

 

$

865.9

 

 

$

262.5

 

Cost of products sold

 

 

 

 

 

 

 

 

 

 

Gain recognized in our Statements of Consolidated Income related to cash flow hedges:

 

 

 

 

 

 

 

 

 

Aluminum

 

$

(18.7

)

 

$

(2.9

)

Cost of products sold

Alloying Metals

 

 

—

 

 

 

(0.9

)

Cost of products sold

Natural gas

 

 

(0.9

)

 

 

—

 

Cost of products sold

Electricity

 

 

(0.3

)

 

 

—

 

Cost of products sold

Total gain recognized in our Statements of Consolidated Income related to cash flow hedges

 

$

(19.9

)

 

$

(3.8

)

 

 

 

 

 

 

 

 

 

 

 

Gain recognized in our Statements of Consolidated Income related to non-designated hedges:

 

 

 

 

 

 

 

 

 

Alloying Metals – Realized (gain) loss

 

$

(0.6

)

 

$

—

 

Cost of products sold

Alloying Metals – Unrealized gain

 

 

(1.0

)

 

 

(0.3

)

Cost of products sold

Total gain recognized in our Statements of Consolidated Income related to non-designated hedges

 

$

(1.6

)

 

$

(0.3

)

 

 

 
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 March 31, 2022

 

 

As of December 31, 2021

 

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

Cash Flow Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aluminum –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

$

26.5

 

 

$

(1.0

)

 

$

25.5

 

 

$

12.2

 

 

$

(1.1

)

 

$

11.1

 

Fixed price sales contracts

 

 

—

 

 

 

(0.7

)

 

 

(0.7

)

 

 

—

 

 

 

—

 

 

 

—

 

Midwest premium swap contracts

 

 

6.9

 

 

 

(0.2

)

 

 

6.7

 

 

 

5.5

 

 

 

(0.1

)

 

 

5.4

 

Natural gas – Fixed price purchase contracts

 

 

8.0

 

 

 

—

 

 

 

8.0

 

 

 

3.0

 

 

 

(0.1

)

 

 

2.9

 

Electricity – Fixed price purchase contracts

 

 

6.1

 

 

 

—

 

 

 

6.1

 

 

 

4.4

 

 

 

(0.6

)

 

 

3.8

 

Total cash flow hedges

 

 

47.5

 

 

 

(1.9

)

 

 

45.6

 

 

 

25.1

 

 

 

(1.9

)

 

 

23.2

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Designated Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Alloying Metals –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

 

2.5

 

 

 

—

 

 

 

2.5

 

 

 

1.6

 

 

 

(0.1

)

 

 

1.5

 

Total non-designated hedges

 

 

2.5

 

 

 

—

 

 

 

2.5

 

 

 

1.6

 

 

 

(0.1

)

 

 

1.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

50.0

 

 

$

(1.9

)

 

$

48.1

 

 

$

26.7

 

 

$

(2.0

)

 

$

24.7

 

 

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

 

 

 

As of March 31, 2022

 

 

As of December 31, 2021

 

Derivative assets:

 

 

 

 

 

 

 

 

Prepaid expenses and other current assets

 

$

45.9

 

 

$

25.0

 

Other assets

 

 

4.1

 

 

 

1.7

 

Total derivative assets

 

$

50.0

 

 

$

26.7

 

Derivative liabilities:

 

 

 

 

 

 

 

 

Other accrued liabilities

 

$

(1.8

)

 

$

(1.9

)

Long-term liabilities

 

 

(0.1

)

 

 

(0.1

)

Total derivative liabilities

 

$

(1.9

)

 

$

(2.0

)