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Derivatives, Hedging Programs and Other Financial Instruments (Tables) | 9 Months Ended
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Sep. 30, 2020
Derivative Instruments And Hedging Activities Disclosure [Abstract] |
Summary of Derivative Positions | The following table summarizes our derivative positions at September 30, 2020:
Aluminum |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmlbs) |
Fixed price purchase contracts |  | 10/20 through 12/22 |  |  | 80.1 |
Fixed price sales contracts |  | 10/20 through 11/21 |  |  | 1.0 |
Midwest premium swap contracts1 |  | 10/20 through 12/22 |  |  | 79.1 |
Alloying Metals |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmlbs) |
Fixed price purchase contracts |  | 10/20 through 12/21 |  |  | 12.0 |
Fixed price sales contracts |  | 10/20 through 12/21 |  |  | 5.0 |
Natural Gas2 |  | Maturity Period (month/year) |  | Notional Amount of Contracts (mmbtu) |
Fixed price purchase contracts |  | 10/20 through 12/24 |  |  | 7,070,000 |
Electricity3 |  | Maturity Period (month/year) |  | Notional Amount of Contracts (Mwh) |
Fixed price purchase contracts |  | 10/20 through 12/22 |  |  | 525,980 |
Euro |  | Maturity Period (month/year) |  | Notional Amount of Contracts (euro) |
Fixed price forward contracts |  | 12/20 through 1/21 |  |  | 355,662 |
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 September 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 81% of the expected natural gas purchases for the remainder of 2020, 91% of the expected natural gas purchases for 2021, 94% of the expected natural gas purchases for 2022, 93% of the expected natural gas purchases for 2023, 84% of the expected natural gas purchases for 2024 and 25% of the expected natural gas purchases for both 2025 and 2026.
3 | As of September 30, 2020, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 57% of our expected electricity purchases for the remainder of 2020, 60% of our expected electricity purchases for 2021 and 50% of our expected electricity purchases for 2022.
Summary of Loss (Gain) Associated with Derivative Contracts | 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 September 30, |  |  | Nine Months Ended September 30, |  |  | Statements of Consolidated
|  | 2020 |  |  | 2019 |  |  | 2020 |  |  | 2019 |  |  | 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 |  | $ | 208.4 |  |  | $ | 298.6 |  |  | $ | 719.5 |  |  | $ | 917.2 |  |  | COGS
Fair value hedges |  | $ | 12.9 |  |  | $ | 12.3 |  |  | $ | 39.1 |  |  | $ | 36.3 |  |  | Depreciation and amortization
Fair value hedges |  | $ | (0.5 | ) |  | $ | (0.8 | ) |  | $ | (0.8 | ) |  | $ | (0.4 | ) |  | Other expense, net
Loss recognized in our Statements of Consolidated Income related to cash flow hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aluminum |  | $ | 1.2 |  |  | $ | 4.8 |  |  | $ | 14.5 |  |  | $ | 13.5 |  |  | COGS
Alloying metals (effective hedges) |  |  | — |  |  |  | 0.5 |  |  |  | 2.1 |  |  |  | 0.7 |  |  | COGS
Alloying metals (reclassification from AOCI due to forecasted transactions no longer probable of occurring) |  |  | 0.1 |  |  |  | — |  |  |  | 0.8 |  |  |  | — |  |  | COGS
Natural gas |  |  | 0.3 |  |  |  | 0.1 |  |  |  | 1.2 |  |  |  | 0.1 |  |  | COGS
Electricity |  |  | — |  |  |  | — |  |  |  | 0.6 |  |  |  | — |  |  | COGS
Total loss recognized in our Statements of Consolidated Income related to cash flow hedges |  | $ | 1.6 |  |  | $ | 5.4 |  |  | $ | 19.2 |  |  | $ | 14.3 |  |  |
(Gain) loss recognized in our Statements of Consolidated Income related to fair value hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Foreign exchange contracts |  | $ | — |  |  | $ | — |  |  | $ | (0.1 | ) |  | $ | — |  |  | Depreciation and amortization
Hedged item |  |  | — |  |  |  | — |  |  |  | 0.1 |  |  |  | — |  |  | Depreciation and amortization
Excluded component amortized from AOCI |  |  | — |  |  |  | — |  |  |  | 0.4 |  |  |  | — |  |  | Depreciation and amortization
Reclassification from AOCI related to early termination of firm commitment |  |  | — |  |  |  | — |  |  |  | (0.4 | ) |  |  | — |  |  | Other expense, net
Net settlement related to early termination of forward contracts |  |  | — |  |  |  | — |  |  |  | 0.3 |  |  |  | — |  |  | Other expense, net
Total loss recognized in our Statements of Consolidated Income related to fair value hedges |  | $ | — |  |  | $ | — |  |  | $ | 0.3 |  |  | $ | — |  |  |
Loss (gain) recognized in our Statements of Consolidated Income related to non-designated hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alloying metals – Realized loss |  | $ | 0.3 |  |  | $ | — |  |  | $ | 1.7 |  |  | $ | — |  |  | COGS
Alloying metals – Unrealized gain |  |  | (1.8 | ) |  |  | — |  |  |  | (1.8 | ) |  |  | — |  |  | COGS
Total (gain) loss recognized in our Statements of Consolidated Income related to non-designated hedges: |  | $ | (1.5 | ) |  | $ | — |  |  | $ | (0.1 | ) |  | $ | — |  |  |
Schedule of Fair Value of Derivative Financial Instruments | The following table presents the fair value of our derivative financial instruments as of the periods presented (in millions of dollars):
|  | September 30, 2020 |  |  | December 31, 2019 |
|  | Assets |  |  | Liabilities |  |  | Net Amount |  |  | Assets |  |  | Liabilities |  |  | Net Amount |
Cash Flow Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Aluminum – |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed price purchase contracts |  | $ | 1.0 |  |  | $ | (1.6 | ) |  | $ | (0.6 | ) |  | $ | 1.0 |  |  | $ | (4.1 | ) |  | $ | (3.1 | )
Midwest premium swap contracts |  |  | 0.1 |  |  |  | (2.3 | ) |  |  | (2.2 | ) |  |  | — |  |  |  | (1.2 | ) |  |  | (1.2 | )
Alloying Metals – |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed price purchase contracts |  |  | — |  |  |  | — |  |  |  | — |  |  |  | 0.4 |  |  |  | (1.5 | ) |  |  | (1.1 | )
Natural gas – Fixed price purchase contracts |  |  | 0.8 |  |  |  | (1.5 | ) |  |  | (0.7 | ) |  |  | — |  |  |  | (2.8 | ) |  |  | (2.8 | )
Electricity – Fixed price purchase contracts |  |  | 2.1 |  |  |  | (2.2 | ) |  |  | (0.1 | ) |  |  | 2.6 |  |  |  | (1.6 | ) |  |  | 1.0 |
Total cash flow hedges |  |  | 4.0 |  |  |  | (7.6 | ) |  |  | (3.6 | ) |  |  | 4.0 |  |  |  | (11.2 | ) |  |  | (7.2 | )
Non-Designated Hedges: |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Alloying Metals – |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |  |
Fixed price purchase contracts |  |  | 1.5 |  |  |  | (0.2 | ) |  |  | 1.3 |  |  |  | — |  |  |  | — |  |  |  | — |
Fixed price sales contracts |  |  | — |  |  |  | (0.8 | ) |  |  | (0.8 | ) |  |  | — |  |  |  | — |  |  |  | — |
Total non-designated hedges |  |  | 1.5 |  |  |  | (1.0 | ) |  |  | 0.5 |  |  |  | — |  |  |  | — |  |  |  | — |
Total |  | $ | 5.5 |  |  | $ | (8.6 | ) |  | $ | (3.1 | ) |  | $ | 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):
|  | September 30, 2020 |  |  | December 31, 2019 |
Derivative assets: |  |  |  |  |  |  |  |
Prepaid expenses and other current assets |  | $ | 3.9 |  |  | $ | 2.1 |
Other assets |  |  | 1.6 |  |  |  | 1.9 |
Total derivative assets |  | $ | 5.5 |  |  | $ | 4.0 |
Derivative liabilities: |  |  |  |  |  |  |  |
Other accrued liabilities |  | $ | (4.7 | ) |  | $ | (7.6 | )
Long-term liabilities |  |  | (3.9 | ) |  |  | (3.6 | )
Total derivative liabilities |  | $ | (8.6 | ) |  | $ | (11.2 | )
Schedule of Other Financial Assets Classifies under Appropriate Level of Fair Value Hierarchy | The following table classifies our other financial assets under the appropriate level of the fair value hierarchy as of September 30, 2020 (in millions of dollars):
|  | Level 1 |  |  | Level 2 |  |  | Level 3 |  |  | Total |
Cash and cash equivalents |  | $ | 750.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 750.1 |
Total |  | $ | 750.1 |  |  | $ | — |  |  | $ | — |  |  | $ | 750.1 |
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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