PENSION PLANS

12 Months Ended

Dec. 31, 2021

Retirement Benefits [Abstract]

PENSION PLANS

NOTE 12. PENSION PLANS

We sponsor domestic and foreign defined benefit pension plans for eligible employees and retirees. Most of our domestic employees participate in defined contribution plans.  However, a portion of our bargaining hourly employees continue to participate in our domestic qualified defined benefit pension plans under a flat-benefit formula.  Our funding policy for the qualified defined benefit pension plans is consistent with the requirements of federal laws and regulations.  Our foreign subsidiaries maintain pension and other benefit plans, which are consistent with local statutory practices.  

Our domestic qualified defined benefit pension plan provides that if, within three years following a change of control of Olin, any corporate action is taken or filing made in contemplation of, among other things, a plan termination or merger or other transfer of assets or liabilities of the plan, and such termination, merger or transfer thereafter takes place, plan benefits would automatically be increased for affected participants (and retired participants) to absorb any plan surplus (subject to applicable collective bargaining requirements).

During 2019, we made a discretionary cash contribution to our domestic qualified defined benefit pension plan of $12.5 million. Based on our plan assumptions and estimates, we will not be required to make any cash contributions to the domestic qualified defined benefit pension plan at least through 2022.

We have international qualified defined benefit pension plans to which we made cash contributions of $1.1 million, $2.1 million and $2.4 million in 2021, 2020 and 2019, respectively, and we anticipate less than $5 million of cash contributions to international qualified defined benefit pension plans in 2022.

Pension Obligations and Funded Status

Changes in the benefit obligation and plan assets were as follows:

	December 31, 2021						December 31, 2020
	U.S.		Foreign		Total		U.S.		Foreign		Total
Change in Benefit Obligation	($ in millions)
Benefit obligation at beginning of year	$	2,758.9	$	446.4	$	3,205.3	$	2,620.2	$	377.6	$	2,997.8
Service cost	0.9		10.5		11.4		0.9		10.0		10.9
Interest cost	48.4		2.9		51.3		70.7		4.4		75.1
Actuarial (gain) loss	(163.7)		(41.7)		(205.4)		203.5		31.6		235.1
Benefits paid	(138.5)		(11.4)		(149.9)		(136.4)		(4.8)		(141.2)
Plan participant’s contributions	—		0.9		0.9		—		0.4		0.4
Plan amendments	—		(0.7)		(0.7)		—		(4.2)		(4.2)
Foreign currency translation adjustments	—		(24.6)		(24.6)		—		31.4		31.4
Benefit obligation at end of year	$	2,506.0	$	382.3	$	2,888.3	$	2,758.9	$	446.4	$	3,205.3

	December 31, 2021						December 31, 2020
	U.S.		Foreign		Total		U.S.		Foreign		Total
Change in Plan Assets	($ in millions)
Fair value of plans’ assets at beginning of year	$	2,383.8	$	85.3	$	2,469.1	$	2,122.6	$	76.7	$	2,199.3
Actual return on plans’ assets	184.0		(1.1)		182.9		397.3		6.4		403.7
Employer contributions	0.3		1.5		1.8		0.3		2.1		2.4
Benefits paid	(138.5)		(9.1)		(147.6)		(136.4)		(2.9)		(139.3)
Foreign currency translation adjustments	—		(0.5)		(0.5)		—		3.0		3.0
Fair value of plans’ assets at end of year	$	2,429.6	$	76.1	$	2,505.7	$	2,383.8	$	85.3	$	2,469.1

	December 31, 2021						December 31, 2020
	U.S.		Foreign		Total		U.S.		Foreign		Total
Funded Status	($ in millions)
Qualified plans	$	(73.7)	$	(303.6)	$	(377.3)	$	(371.8)	$	(358.5)	$	(730.3)
Non-qualified plans	(2.7)		(2.6)		(5.3)		(3.3)		(2.6)		(5.9)
Total funded status	$	(76.4)	$	(306.2)	$	(382.6)	$	(375.1)	$	(361.1)	$	(736.2)

We recorded a $185.6 million after-tax benefit ($245.9 million pretax) to shareholders’ equity as of December 31, 2021 for our pension plans.  This benefit primarily reflected a 50-basis point increase in the domestic pension plans’ discount rate and favorable performance on plan assets during 2021. In 2020, we recorded a $17.9 million after-tax benefit ($30.7 million pretax) to shareholders’ equity as of December 31, 2020 for our pension plans.  This benefit primarily reflected favorable performance on plan assets during 2020, partially offset by an 80-basis point decrease in the domestic pension plans’ discount rate.

The $205.4 million actuarial gain for 2021 was primarily due to a 50-basis point increase in the domestic pension plans’ discount rate. The $235.1 million actuarial loss for 2020 was primarily due to an 80-basis point decrease in the domestic pension plans’ discount rate.

Amounts recognized in the consolidated balance sheets consisted of:

	December 31, 2021						December 31, 2020
	U.S.		Foreign		Total		U.S.		Foreign		Total
	($ in millions)
Accrued benefit in current liabilities	$	(0.6)	$	(0.1)	$	(0.7)	$	(0.7)	$	(2.2)	$	(2.9)
Accrued benefit in noncurrent liabilities	(75.8)		(306.1)		(381.9)		(374.4)		(358.9)		(733.3)
Accumulated other comprehensive loss	545.4		85.1		630.5		798.4		130.1		928.5
Net balance sheet impact	$	469.0	$	(221.1)	$	247.9	$	423.3	$	(231.0)	$	192.3

At December 31, 2021 and 2020, the benefit obligation of non-qualified pension plans was $5.3 million and $5.9 million, respectively, and was included in the above pension benefit obligation.  There were no plan assets for these non-qualified pension plans.  Benefit payments for the non-qualified pension plans are expected to be as follows:  2022—$0.8 million; 2023—$0.4 million; 2024—$0.3 million; 2025—$0.3 million; and 2026—$0.4 million.  Benefit payments for the qualified plans are projected to be as follows:  2022—$149.3 million; 2023—$146.6 million; 2024—$146.5 million; 2025—$145.5 million; and 2026—$143.4 million.

	December 31,
	2021		2020
	($ in millions)
Projected benefit obligation	$	2,888.3	$	3,205.3
Accumulated benefit obligation	2,862.7		3,180.2
Fair value of plans’ assets	2,505.7		2,469.1

	Years Ended December 31,
	2021		2020		2019
Components of Net Periodic Benefit Income	($ in millions)
Service cost	$	11.4	$	10.9	$	11.3
Interest cost	51.3		75.1		94.7
Expected return on plans’ assets	(142.3)		(141.7)		(141.8)
Amortization of prior service cost	(0.6)		(0.4)		—
Recognized actuarial loss	52.7		44.4		27.0
Net periodic benefit income	$	(27.5)	$	(11.7)	$	(8.8)
Included in Other Comprehensive Income (Loss) (Pretax)
Liability adjustment	$	(245.9)	$	(30.7)	$	177.7
Amortization of prior service costs and actuarial losses	(52.1)		(44.0)		(27.0)

The service cost component of net periodic benefit (income) cost related to the employees of the operating segments are allocated to the operating segments based on their respective estimated census data.

Pension Plan Assumptions

Certain actuarial assumptions, such as discount rate and long-term rate of return on plan assets, have a significant effect on the amounts reported for net periodic benefit cost and accrued benefit obligation amounts.  We use a measurement date of December 31 for our pension plans.

	U.S. Pension Benefits							Foreign Pension Benefits
Weighted-Average Assumptions	2021			2020		2019		2021		2020		2019
Discount rate—periodic benefit cost	2.4	%	(1)	3.2	%	4.2	%	0.8	%	1.4	%	2.2	%
Expected return on assets	7.25	%		7.75	%	7.75	%	4.2	%	4.4	%	5.2	%
Rate of compensation increase	3.0	%		3.0	%	3.0	%	3.0	%	2.7	%	2.9	%
Discount rate—benefit obligation	2.9	%		2.4	%	3.2	%	1.4	%	0.8	%	1.4	%

(1)     The discount rate—periodic benefit cost for our domestic qualified pension plan is comprised of the discount rate used to determine interest costs of 1.8% and the discount rate used to determine service costs of 2.5%.

The discount rate is based on a hypothetical yield curve represented by a series of annualized individual zero-coupon bond spot rates for maturities ranging from one-half to thirty years.  The bonds used in the yield curve must have a rating of AA or better per Standard & Poor’s, be non-callable, and have at least $250 million par outstanding.  The yield curve is then applied to the projected benefit payments from the plan.  Based on these bonds and the projected benefit payment streams, the single rate that produces the same yield as the matching bond portfolio is used as the discount rate.

The long-term expected rate of return on plan assets represents an estimate of the long-term rate of returns on the investment portfolio consisting of equities, fixed income and alternative investments.  We use long-term historical actual return information, the allocation mix of investments that comprise plan assets and forecast estimates of long-term investment returns, including inflation rates, by reference to external sources.  The historic rates of return on plan assets have been 11.1% for the last 5 years, 9.1% for the last 10 years and 9.8% for the last 15 years.  The following rates of return by asset class were considered in setting the long-term rate of return assumption:

U.S. equities	7%	to	11%
Non-U.S. equities	8%	to	12%
Fixed income/cash	3%	to	7%
Alternative investments	5%	to	15%

Plan Assets

Our pension plan asset allocations at December 31, 2021 and 2020 by asset class were as follows:

	Percentage of Plan Assets
Asset Class	2021		2020
U.S. equities	6	%	13	%
Non-U.S. equities	11	%	17	%
Fixed income/cash	44	%	35	%
Alternative investments	39	%	35	%
Total	100	%	100	%

The Alternative Investments asset class includes hedge funds, real estate and private equity investments.  The Alternative Investments class is intended to help diversify risk and increase returns by utilizing a broader group of assets.

A master trust was established by our pension plan to accumulate funds required to meet benefit payments of our plan and is administered solely in the interest of our plan’s participants and their beneficiaries.  The master trust’s investment horizon is long term.  Its assets are managed by professional investment managers or invested in professionally managed investment vehicles.

Our pension plan maintains a portfolio of assets designed to achieve an appropriate risk adjusted return.  The portfolio of assets is also structured to manage risk by diversifying assets across asset classes whose return patterns are not highly

correlated, investing in passively and actively managed strategies and in value and growth styles, and by periodic rebalancing of asset classes, strategies and investment styles to objectively set targets.

As of December 31, 2021, the following target allocation and ranges have been set for each asset class:

Asset Class	Target Allocation		Target Range
U.S. equities(1)	21	%	10-30
Non-U.S. equities(1)	14	%	0-35
Fixed income/cash(1)	58	%	25-90
Alternative investments	7	%	0-40

(1)     The target allocation for these asset classes include alternative investments, primarily hedge funds, based on the underlying investments in each hedge fund.

Determining which hierarchical level an asset or liability falls within requires significant judgment.  The following table summarizes our domestic and foreign defined benefit pension plan assets measured at fair value as of December 31, 2021:

Asset Class	Investments Measured at Net Asset Value		Quoted Prices In Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Equity securities	($ in millions)
U.S. equities	$	59.7	$	86.7	$	—	$	—	$	146.4
Non-U.S. equities	287.7		1.3		0.6		—		289.6
Fixed income/cash
Cash	—		129.3		—		—		129.3
Government treasuries	—		—		363.8		—		363.8
Corporate debt instruments	433.9		—		40.3		—		474.2
Asset-backed securities	107.2		—		18.5		—		125.7
Alternative investments
Hedge fund of funds	820.9		—		—		—		820.9
Real estate funds	17.0		—		—		—		17.0
Private equity funds	138.8		—		—		—		138.8
Total assets	$	1,865.2	$	217.3	$	423.2	$	—	$	2,505.7

The following table summarizes our domestic and foreign defined benefit pension plan assets measured at fair value as of December 31, 2020:

Asset Class	Investments Measured at Net Asset Value		Quoted Prices In Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Equity securities	($ in millions)
U.S. equities	$	85.0	$	233.6	$	—	$	—	$	318.6
Non-U.S. equities	382.3		39.9		0.4		—		422.6
Fixed income/cash
Cash	—		122.8		—		—		122.8
Government treasuries	—		—		419.9		—		419.9
Corporate debt instruments	114.6		—		62.1		—		176.7
Asset-backed securities	126.3		—		23.2		—		149.5
Alternative investments
Hedge fund of funds	817.8		—		—		—		817.8
Real estate funds	9.0		—		—		—		9.0
Private equity funds	32.2		—		—		—		32.2
Total assets	$	1,567.2	$	396.3	$	505.6	$	—	$	2,469.1

U.S. equities—This class included actively and passively managed equity investments in common stock and commingled funds comprised primarily of large-capitalization stocks with value, core and growth strategies.

Non-U.S. equities—This class included actively managed equity investments in commingled funds comprised primarily of international large-capitalization stocks from both developed and emerging markets.

Fixed income and cash—This class included commingled funds comprised of debt instruments issued by the U.S. and Canadian Treasuries, U.S. Agencies, corporate debt instruments, asset- and mortgage-backed securities and cash.

Hedge fund of funds—This class included a hedge fund which invests in the following types of hedge funds:

Event driven hedge funds—This class included hedge funds that invest in securities to capture excess returns that are driven by market or specific company events including activist investment philosophies and the arbitrage of equity and private and public debt securities.

Market neutral hedge funds—This class included investments in U.S. and international equities and fixed income securities while maintaining a market neutral position in those markets.

Other hedge funds—This class primarily included long-short equity strategies and a global macro fund which invested in fixed income, equity, currency, commodity and related derivative markets.

Real estate funds—This class included several funds that invest primarily in U.S. commercial real estate.

Private equity funds—This class included several private equity funds that invest primarily in infrastructure and U.S. power generation and transmission assets.  

U.S. equities and non-U.S. equities are primarily valued at the net asset value provided by the independent administrator or custodian of the commingled fund.  The net asset value is based on the value of the underlying equities, which are traded on an active market.  U.S. equities are also valued at the closing price reported in an active market on which the individual securities are traded.  A portion of our fixed income investments are valued at the net asset value provided by the independent administrator or custodian of the fund.  The net asset value is based on the underlying assets, which are valued using inputs such as the closing price reported, if traded on an active market, values derived from comparable securities of issuers with similar credit ratings, or under a discounted cash flow approach that utilizes observable inputs, such as current yields of similar instruments, but includes adjustments for risks that may not be observable such as certain credit and liquidity risks.  Alternative

investments are valued at the net asset value as determined by the independent administrator or custodian of the fund.  The net asset value is based on the underlying investments, which are valued using inputs such as quoted market prices of identical instruments, discounted future cash flows, independent appraisals and market-based comparable data.  Absolute return strategies are commingled funds which reflect the fair value of our ownership interest in these funds.  The investments in these commingled funds include some or all of the above asset classes and are primarily valued at net asset values based on the underlying investments, which are valued consistent with the methodologies described above for each asset class.