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Fair Value Measurements (Tables)

9 Months Ended

Sep. 30, 2022

Fair Value Disclosures [Abstract]

Financial assets and liabilities at fair value on a recurring basis

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.

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

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

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 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

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.

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.

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

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- 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
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-Publisher FASB
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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)
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-Publisher FASB
-Name Accounting Standards Codification
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