XML 60 R11.htm IDEA: XBRL DOCUMENT
v3.22.2.2

Fair Value Measurements | 9 Months Ended
--- | ---
Sep. 30, 2022
Fair Value Disclosures [Abstract] |
Fair Value Measurements | Fair Value Measurements We measure certain of our assets and liabilities at fair value. Fair value represents the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date. In general, reporting entities should apply valuation techniques to measure fair value that maximize the use of observable inputs and minimize the use of unobservable inputs. Observable inputs are developed using market data and reflect assumptions that market participants would use when pricing the asset or liability. Unobservable inputs are developed using the best information available about the assumptions that market participants would use when pricing the asset or liability. The fair value hierarchy provides transparency regarding the inputs we use to measure fair value. We categorize each fair value measurement in its entirety into the following three levels, based on the lowest level input that is significant to the entire measurement: •Level 1 Inputs - quoted prices (unadjusted) in active markets for identical assets or liabilities that the reporting entity can access at the measurement date. •Level 2 Inputs - inputs other than quoted prices included within Level 1 that are observable for the asset or liability, either directly or indirectly. •Level 3 Inputs - significant unobservable inputs for the asset or liability.
Recurring Fair Value Measurements |  | As of September 30, 2022
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
ASSETS: |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 9.3 |  |  | $ | — |  |  | $ | — |  |  | $ | 9.3 |
Trust assets (1) |  | 0.6 |  |  | — |  |  | — |  |  | 0.6 |
Derivative instruments |  | — |  |  | 225.7 |  |  | 3.3 |  |  | 229.0 |
TOTAL |  | $ | 9.9 |  |  | $ | 225.7 |  |  | $ | 3.3 |  |  | $ | 238.9 |
LIABILITIES: |  |  |  |  |  |  |  |
Contingent obligation – net |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Derivative instruments |  | — |  |  | 27.8 |  |  | 2.3 |  |  | 30.1 |
TOTAL |  | $ | — |  |  | $ | 27.8 |  |  | $ | 2.3 |  |  | $ | 30.1 |
Recurring Fair Value Measurements |  | As of December 31, 2021
|  | Level 1 |  | Level 2 |  | Level 3 |  | Total
ASSETS: |  |  |  |  |  |  |  |
Cash equivalents |  | $ | 14.2 |  |  | $ | — |  |  | $ | — |  |  | $ | 14.2 |
Trust assets (1) |  | 0.1 |  | — |  |  | — |  |  | 0.1
Derivative instruments |  | — |  |  | 42.6 |  |  | 0.2 |  |  | 42.8 |
TOTAL |  | $ | 14.3 |  |  | $ | 42.6 |  |  | $ | 0.2 |  |  | $ | 57.1 |
LIABILITIES: |  |  |  |  |  |  |  |
Contingent obligation – net |  | $ | — |  |  | $ | — |  |  | $ | — |  |  | $ | — |
Derivative instruments |  | — |  |  | 140.9 |  |  | 5.3 |  | 146.2 |
TOTAL |  | $ | — |  |  | $ | 140.9 |  |  | 5.3 |  | $ | 146.2 |
(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. 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
Midwest Premium ("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
Indiana Hub power price swaps |  | Discounted cash flows |  | Quoted Indiana Hub forward market
FX swaps |  | Discounted cash flows |  | Euro/USD forward exchange rate
Casthouse currency hedges |  | Discounted cash flows |  | Euro/USD forward exchange rate; ISK/USD forward exchange rate
When valuing Level 3 assets and liabilities, we use certain significant unobservable inputs. Management incorporates various inputs and assumptions including forward commodity prices, commodity price volatility and macroeconomic conditions, including interest rates and discount rates. Our estimates of significant unobservable inputs are ultimately based on our estimates of risks that market participants would consider when valuing our assets and liabilities. The following table presents the inputs for recurring 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:
Recurring Level 3 Fair Value Measurements: |  | As of September 30, 2022 |  | As of December 31, 2021
Asset / Liability |  | Valuation Technique |  | Observable Inputs |  | Significant Unobservable Input |  | Fair Value |  | Value/Range of Unobservable Input |  | Fair Value |  | Value/Range of Unobservable Input
LME forward financial sales contracts |  | Discounted cash flows |  | Quoted LME forward market |  | Discount rate net (1) |  | $ | 0.9 |  |  | 8.58% |  | $ | (5.1) |  |  | 8.58%
FX swaps |  | Discounted cash flows |  | Euro/USD forward exchange rate |  | Discount rate net (1) |  | $ | — |  |  | 8.58% |  | $ | (0.2) |  |  | 8.58%
Casthouse currency hedges |  | Discounted cash flows |  | Euro/USD forward exchange rate; ISK/USD forward exchange rate |  | Discount rate net (1) |  | $ | — |  |  | 8.58% |  | $ | — |  |  | —%
Nord Pool swaps |  | Discounted cash flows |  | Quoted Nord Pool forward market |  | Discount rate net (1) |  | $ | — |  |  | 8.58% |  | $ | 0.2 |  |  | 8.58%
Contingent obligation |  | Discounted cash flows |  | Quoted LME forward market |  | Expected monthly Hawesville production level (2) |  | $ | — |  |  | 0 MT/month |  | $ | — |  |  | 14,000 - 15,000 MT/month
(1) Represents risk adjusted discount rate. (2) Represents management's estimate of expected monthly Hawesville production levels through the term of the agreement in December 2028. The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis.
For the three months ended September 30, 2022 | Level 3 Assets |  | Level 3 Liabilities
| LME forward financial sales contracts |  |  | LME forward financial sales contracts |  |  | Casthouse currency hedges
Balance as of July 1, 2022 |  | $ | 1.6 |  |  |  | $ | (3.8) |  |  |  | $ | 0.0 |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |  |
Included in Net Income (1) |  | 1.6 |  |  |  | 1.5 |  |  |  | — |
Purchases, sales, settlements |  |  |  |  |  |  |  |
Purchases |  | — |  |  |  | — |  |  |  | — |
Sales |  | — |  |  |  | — |  |  |  | — |
Settlements |  | — |  |  |  | — |  |  |  | — |
Transfers into Level 3 (2) |  | — |  |  |  | — |  |  |  | — |
Transfers out of Level 3 (3) |  | — |  |  |  | — |  |  |  | 0.0 |
Balance as of September 30, 2022 |  | $ | 3.2 |  |  |  | $ | (2.3) |  |  |  | $ | 0.0 |
Change in unrealized gains (losses) (1) |  | $ | 1.6 |  |  |  | $ | 1.5 |  |  |  | $ | — |
(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 entered into during the third quarter of 2022. (3) Transfers out of Level 3 due to period of time remaining in derivative contract.
|  | Level 3 Assets |  | Level 3 Liabilities
For the three months ended September 30, 2021 |  | Nord Pool swaps |  | LME forward financial sales contracts |  | FX swaps
Balance as of July 1, 2021 |  | $ | 1.5 |  |  | $ | (17.9) |  |  | $ | (0.4) |
Total realized/unrealized gains (losses) |  |  |  |  |  |
Included in net income (loss) (1) |  | — |  |  | (7.7) |  |  | (0.5) |
Purchases, sales, settlements |  |  |  |  |  |
Purchases |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | — |  |  | — |
Transfers into Level 3 (2) |  | — |  |  | — |  |  | — |
Transfers out of Level 3(3) |  | (1.5) |  |  | 11.0 |  |  | — |
Balance as of September 30, 2021 |  | $ | — |  |  | (14.6) |  |  | $ | (0.9) |
Change in unrealized gains (losses) (1) |  | $ | — |  |  | $ | (7.7) |  |  | $ | (0.5) |
(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 entered into during the third quarter of 2021. (3) Transfers out of Level 3 due to period of time remaining in derivative contract.
For the nine months ended September 30, 2022 |  | Level 3 Assets |  | Level 3 Liabilities
|  | LME forward financial sales contracts |  | Nord Pool swaps |  | LME forward financial sales contracts |  | FX swaps |  | Casthouse currency hedges
Balance as of January 1, 2022 |  |  | $ | — |  |  | $ | 0.2 |  |  | $ | (5.1) |  |  | $ | (0.2) |  |  | $ | — |
Total realized/unrealized gains (losses) |  |  |  |  |  |  |  |  |  |  |
Included in Net Income (1) |  |  | 1.6 |  |  | — |  |  | 5.3 |  |  | — |  |  | — |
Purchases, sales, settlements |  |  |  |  |  |  |  |  |  |  |
Purchases |  |  |  |  |  |  |  |  |  |  | — |
Sales |  |  |  |  |  |  |  |  |  |  | — |
Settlements |  |  |  |  |  |  |  |  |  |  | — |
Transfers into Level 3 (2) |  |  | 1.6 |  |  | — |  |  | (2.5) |  |  | — |  |  | 0.0 |
Transfers out of Level 3 (3) |  |  | — |  |  | (0.2) |  |  | — |  |  | 0.2 |  |  | — |
Balance as of September 30, 2022 |  |  | $ | 3.2 |  |  | $ | — |  |  | $ | (2.3) |  |  | $ | — |  |  | $ | 0.0 |
Change in unrealized gains (losses) (1) |  |  | $ | 1.6 |  |  | $ | — |  |  | $ | 5.3 |  |  | $ | — |  |  | $ | — |
(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 entered into during the nine months ended September 30, 2022. (3) Transfers out of Level 3 due to period of time remaining in derivative contract.
|  | Level 3 Assets |  | Level 3 Liabilities
For the nine months ended September 30, 2021 |  | Nord Pool swaps |  | 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) |  | — |  |  | (28.0) |  |  | (0.5) |
Purchases, sales, settlements |  |  |  |  |  |
Purchases |  | — |  |  | — |  |  | — |
Sales |  | — |  |  | — |  |  | — |
Settlements |  | — |  |  | — |  |  | — |
Transfers into Level 3 (2) |  | 1.5 |  |  | (1.0) |  |  | (0.4) |
Transfers out of Level 3(3) |  | (1.5) |  |  | 11.5 |  |  | (0.1) |
Balance as of September 30, 2021 |  | $ | — |  |  | (14.6) |  |  | $ | (0.9) |
Change in unrealized gains (losses) (1) |  | $ | — |  |  | $ | (28.0) |  |  | $ | (0.5) |
(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 entered into during the nine months ended September 30, 2021. (3) Transfers out of Level 3 due to period of time remaining in derivative contract. Our announcement on June 22, 2022 to curtail operations of the Hawesville smelter represented a significant adverse change in the extent and manner in which this smelter will be used, and we accordingly evaluated the Hawesville asset group for recoverability. As the carrying value of the Hawesville asset group was determined to not be recoverable based on the estimated undiscounted cash flows expected to be generated over the life of the asset group, we wrote the asset group down to its estimated fair value of $15.0 million. The following table presents the inputs for this non-recurring fair value measurements categorized within Level 3 of the fair value hierarchy, along with information regarding the significant unobservable inputs used:
Non-Recurring Level 3 Fair Value Measurements: |  | As of September 30, 2022 |
Asset / Liability |  | Valuation Technique |  | Significant Unobservable Input |  | Fair Value |  | Value/Range of Unobservable Input |
Hawesville asset group |  | Market approach |  | Comparable transaction |  | $15.0 |  | $15.0 |

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 The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/disclosureRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI https://asc.fasb.org/extlink&oid=126976982&loc=d3e19207-110258 + Details
Name: | us-gaap_FairValueDisclosuresTextBlock
Namespace Prefix: | us-gaap_
Data Type: | dtr-types:textBlockItemType
Balance Type: | na
Period Type: | duration