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Derivatives, Hedging Programs and Other Financial Instruments (Tables) | 3 Months Ended
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Mar. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract] |
Summary of material derivative positions | The following table summarizes our derivative positions at March 31, 2020:
Aluminum |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts |  | 4/20 through 12/22 |  | 115.3 |
Fixed price sales contracts |  | 4/20 through 11/21 |  | 0.8 |
Midwest premium swap contracts 1 |  | 4/20 through 12/22 |  | 110.4 |
Alloying Metals |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts |  | 4/20 through 12/21 |  | 16.9 |
Natural Gas 2 |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmbtu)
Fixed price purchase contracts |  | 4/20 through 12/24 |  | 7,970,000 |
Electricity 3 |  | Maturity Period (month/year) |  | Notional Amount of Contracts (Mwh)
Fixed price purchase contracts |  | 4/20 through 12/22 |  | 613,820 |
Euro |  | Maturity Period (month/year) |  | Notional Amount of Contracts (euro)
Fixed price forward contracts |  | 2/21 through 5/22 |  | 34,323,380 |
____________________
1 | Regional premiums represent the premium over the London Metal Exchange price for primary aluminum which is incurred on our purchases of primary aluminum.
2 | As of March 31, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 75% of the expected natural gas purchases for the remainder of 2020, 76% of the expected natural gas purchases for 2021, 80% of the expected natural gas purchases for both 2022 and 2023 and 75% of the expected natural gas purchases for 2024.
3 As of March 31, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 55% of our expected electricity purchases for both the remainder of 2020 and 2021 and 46% of our expected electricity purchases for 2022.
Summary of realized and unrealized gains and losses | The amount of loss (gain) included on our Statements of Consolidated Income associated with all derivative contracts consisted of the following for the periods presented (in millions of dollars):
| Quarter Ended March 31,
| 2020 |  | 2019
Total of income and expense line items presented in our Statements of Consolidated Income in which the effects of cash flow hedges are recorded | $ | 286.6 |  |  | $ | 315.1 |
Loss (gain) recognized in income related to cash flow hedges: |  |  |
Aluminum | 5.7 |  |  | 4.2 |
Alloying metals | 0.6 |  |  | 0.1 |
Natural gas | 0.5 |  |  | (0.1 | )
Electricity | 0.2 |  |  | — |
Total loss recognized in income related to cash flow hedges | $ | 7.0 |  |  | $ | 4.2 |
Total of income and expense line items presented in our Statements of Consolidated Income in which the effects of fair value hedges are recorded | $ | 13.2 |  |  | $ | 11.9 |
Loss (gain) recognized in income related to fair value hedges: |  |  |
Foreign exchange contracts | 0.2 |  |  | — |
Hedged item | (0.2 | ) |  | — |
Excluded component amortized from AOCI to income | 0.2 |  |  | — |
Total loss recognized in income related to fair value hedges | $ | 0.2 |  |  | $ | — |
Fair Value of Derivative Assets and Liabilities Measured on Recurring Basis | The following table presents the fair value of our derivative financial instruments as of the periods presented (in millions of dollars):
| March 31, 2020 |  | December 31, 2019
| Derivative Assets |  | Derivative Liabilities |  | Net Amount |  | Derivative Assets |  | Derivative Liabilities |  | Net Amount
Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |
Aluminum – |  |  |  |  |  |  |  |  |  |  |
Fixed price purchase contracts | $ | — |  |  | $ | (14.2 | ) |  | $ | (14.2 | ) |  | $ | 1.0 |  |  | $ | (4.1 | ) |  | $ | (3.1 | )
Fixed price sales contracts | 0.1 |  |  | — |  |  | 0.1 |  |  | — |  |  | — |  |  | — |
Midwest premium swap contracts | — |  |  | (4.3 | ) |  | (4.3 | ) |  | — |  |  | (1.2 | ) |  | (1.2 | )
Alloying Metals – Fixed price purchase contracts | — |  |  | (5.5 | ) |  | (5.5 | ) |  | 0.4 |  |  | (1.5 | ) |  | (1.1 | )
Natural gas – Fixed price purchase contracts | 0.1 |  |  | (3.0 | ) |  | (2.9 | ) |  | — |  |  | (2.8 | ) |  | (2.8 | )
Electricity – Fixed price purchase contracts | 1.6 |  |  | (2.8 | ) |  | (1.2 | ) |  | 2.6 |  |  | (1.6 | ) |  | 1.0 |
| March 31, 2020 |  | December 31, 2019
| Derivative Assets |  | Derivative Liabilities |  | Net Amount |  | Derivative Assets |  | Derivative Liabilities |  | Net Amount
Fair Value Hedges: |  |  |  |  |  |  |  |  |  |  |
Foreign currency – Fixed price forward contracts | — |  |  | (1.0 | ) |  | (1.0 | ) |  | — |  |  | — |  |  | — |
Total | $ | 1.8 |  |  | $ | (30.8 | ) |  | $ | (29.0 | ) |  | $ | 4.0 |  |  | $ | (11.2 | ) |  | $ | (7.2 | )
The following table presents the total amounts of derivative assets and liabilities on our Consolidated Balance Sheets as of the periods presented (in millions of dollars):
| March 31, 2020 |  | December 31, 2019
Derivative assets: |  |  |
Prepaid expenses and other current assets | $ | 0.6 |  |  | $ | 2.1 |
Other assets | 1.2 |  |  | 1.9 |
Total derivative assets | $ | 1.8 |  |  | $ | 4.0 |
Derivative liabilities: |  |  |
Other accrued liabilities | $ | (19.0 | ) |  | $ | (7.6 | )
Long-term liabilities | (11.8 | ) |  | (3.6 | )
Total derivative liabilities | $ | (30.8 | ) |  | $ | (11.2 | )
Fair Value, Non-Derivative Assets Measured on Recurring Basis | The following table classifies our other financial assets under the appropriate level of the fair value hierarchy as of March 31, 2020 (in millions of dollars):
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash and cash equivalents | $ | 199.6 |  |  | $ | 107.6 |  |  | $ | — |  |  | $ | 307.2 |
Short-term investments | — |  |  | 39.3 |  |  | — |  |  | 39.3 |
Total | $ | 199.6 |  |  | $ | 146.9 |  |  | $ | — |  |  | $ | 346.5 |
The following table classifies our other financial assets under the appropriate level of the fair value hierarchy as of December 31, 2019 (in millions of dollars):
| Level 1 |  | Level 2 |  | Level 3 |  | Total
Cash and cash equivalents | $ | 28.2 |  |  | $ | 236.1 |  |  | $ | — |  |  | $ | 264.3 |
Short-term investments | — |  |  | 78.7 |  |  | — |  |  | 78.7 |
Total | $ | 28.2 |  |  | $ | 314.8 |  |  | $ | — |  |  | $ | 343.0 |

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