XML 36 R24.htm IDEA: XBRL DOCUMENT v3.21.1

Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2021

Fair Value Disclosures [Abstract]

Financial assets and liabilities at fair value on a recurring basis

Recurring Fair Value Measurements						As of March 31, 2021
						Level 1						Level 2						Level 3						Total
ASSETS:
Cash equivalents						$	13.3					$	—					$	—					$	13.3
Trust assets (1)						1.5						—						—						1.5
Derivative instruments						—						14.8						0.0						14.8
TOTAL						$	14.8					$	14.8					$	—					$	29.6
LIABILITIES:
Contingent obligation – net						$	—					$	—					$	—					$	—
Derivative instruments						—						104.8						6.2						111.0
TOTAL						$	—					$	104.8					$	6.2					$	111.0

Recurring Fair Value Measurements						As of December 31, 2020
						Level 1						Level 2						Level 3						Total
ASSETS:
Cash equivalents						$	54.2					$	—					$	—					$	54.2
Trust assets (1)						—						—						—						—
Derivative instruments						—						12.1						3.0						15.1
TOTAL						$	54.2					$	12.1					$	3.0					$	69.3
LIABILITIES:
Contingent obligation – net						$	—					$	—					$	—					$	—
Derivative instruments						—						16.7						—						16.7
TOTAL						$	—					$	16.7					$	—					$	16.7

(1) Trust assets are currently invested in money market funds. These trust assets are held to fund the non-qualified supplemental executive pension benefit obligations for certain of our officers.

Schedule of valuation methodology for assets and liabilities at fair value

The following section describes the valuation techniques and inputs for fair value measurements categorized within Level 2 or Level 3 of the fair value hierarchy:

Level 2 Fair Value Measurements:

Asset / Liability

Valuation Techniques

Inputs

LME forward financial sales contracts

Discounted cash flows

Quoted LME forward market

MWP forward financial sales contracts

Discounted cash flows

Quoted MWP forward market

Fixed for floating swaps

Discounted cash flows

Quoted LME forward market, quoted MWP forward market

Nord Pool power price swaps

Discounted cash flows

Quoted Nord Pool forward market

FX swaps

Discounted cash flows

Euro/USD forward exchange rate

The following table presents the inputs for fair value measurements categorized within Level 3 of the fair value hierarchy, along with information regarding significant unobservable inputs used to value Level 3 assets and liabilities:

Level 3 Fair Value Measurements:

Asset / Liability

Fair Value at March 31, 2021

Valuation Technique

Observable Inputs

Significant Unobservable Input

Value/Range of Unobservable Input

LME forward financial sales contracts

$

(6.0)

Discounted cash flows

Quoted LME forward market

Discount rate net (1)

10.00%

Contingent obligation

$

—

Discounted cash flows

Quoted LME forward market, management's estimate of the LME forward market prices for periods beyond the quoted periods, management's estimates of future level of operations

Management's estimates of the LME forward market price beyond the quoted periods (2)

$2,217/T-$2,321/T

FX swaps

$

(0.2)

Discounted cash flows

Euro/USD forward exchange rate

Discount rate net (1)

10.00%

(1) Represents risk adjusted discount rate.

(2) Represents the range of estimated forward LME prices of primary aluminum through the term of the agreement in December 2028.

Schedule of fair value reconciliation of Level 3 assets and liabilities measured at fair value

The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis.

						Level 3 Liabilities
For the three months ended March 31, 2021						LME forward financial sales contracts						FX Swaps
Balance as of January 1, 2021						$	2.9					$	0.1
Total realized/unrealized gains (losses)
Included in net income (loss) (1)						(8.7)						—
Purchases, sales, settlements
Purchases						—						—
Sales						—						—
Settlements						—						—
Transfers into Level 3 (2)						(0.7)						(0.2)
Transfers out of Level 3(3)						0.5						(0.1)
Balance as of March 31, 2021						(6.0)						$	(0.2)
Change in unrealized gains (losses) (1)						$	(8.7)					$	—

(1) Gains and losses are presented in the Consolidated Statement of Operations within the line item "Net gain (loss) on forward and derivative contracts."

(2) Transfers into Level 3 due to contracts with applied discount rate during the first quarter of 2021.

(3) Transfers out of Level 3 due to period of time remaining in derivative contract.

For the three months ended March 31, 2020									Level 3 Assets						Level 3 Liabilities
									U.S. LME forward financial sales contracts						Hawesville L4 Power Price Swaps
Balance as of January 1, 2020									$	10.6					$	(2.9)
Total realized/unrealized gains (losses)
Included in Net Income (1)									6.7						(1.5)
Purchases, sales, settlements
Purchases									—						—
Sales									—						—
Settlements									—						1.2
Transfers into Level 3(2)									—						—
Transfers out of Level 3(3)									(9.5)						—
Balance as of March 31, 2020									$	7.8					$	(3.2)
Change in unrealized gains (losses) (1)									$	6.7					$	(0.3)

(1) Gains and losses are presented in the Consolidated Statement of Operations within the line item "Net gain (loss) on forward and derivative contracts."

(2) Transfers into Level 3 due to contracts with applied discount rate during the first quarter of 2020.

(3) Transfers out of Level 3 due to period of time remaining in derivative contract.

X

- Definition

Tabular disclosure of input and valuation technique used to measure fair value and change in valuation approach and technique for each separate class of asset and liability measured on recurring and nonrecurring basis.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (bbb)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueAssetsAndLiabilitiesMeasuredOnRecurringAndNonrecurringBasisValuationTechniquesTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- References

No definition available.

+ Details

Name:	us-gaap_FairValueDisclosuresAbstract
Namespace Prefix:	us-gaap_
Data Type:	xbrli:stringItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of financial instrument classified as a derivative asset (liability) after deduction of derivative liability (asset) using recurring unobservable inputs that reflect the entity's own assumption about the assumptions market participants would use in pricing.

+ References

Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 3
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19279-110258

Reference 2: http://fasb.org/us-gaap/role/ref/legacyRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (c)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_FairValueNetDerivativeAssetLiabilityMeasuredOnRecurringBasisUnobservableInputReconciliationTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration

X

- Definition

Tabular disclosure of assets and liabilities, including [financial] instruments measured at fair value that are classified in stockholders' equity, if any, that are measured at fair value on a recurring basis. The disclosures contemplated herein include the fair value measurements at the reporting date by the level within the fair value hierarchy in which the fair value measurements in their entirety fall, segregating fair value measurements using quoted prices in active markets for identical assets (Level 1), significant other observable inputs (Level 2), and significant unobservable inputs (Level 3).

+ References

Reference 1: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (b)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

Reference 2: http://www.xbrl.org/2003/role/disclosureRef
-Publisher FASB
-Name Accounting Standards Codification
-Topic 820
-SubTopic 10
-Section 50
-Paragraph 2
-Subparagraph (a)
-URI http://asc.fasb.org/extlink&oid=117815213&loc=d3e19207-110258

+ Details

Name:	us-gaap_ScheduleOfFairValueAssetsAndLiabilitiesMeasuredOnRecurringBasisTableTextBlock
Namespace Prefix:	us-gaap_
Data Type:	nonnum:textBlockItemType
Balance Type:	na
Period Type:	duration