Derivative Financial Instruments and Related Hedging Programs (Tables)

12 Months Ended

Dec. 31, 2016

Derivative Instruments and Hedging Activities Disclosure [Abstract]

Summary of material derivative positions

The following table summarizes the notional amounts of our material derivative positions at December 31, 2016:

Aluminum	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	1/17 through 12/19	149.0
Fixed price sales contracts	1/17 through 1/17	0.4
Midwest premium swap contracts1	1/17 through 12/19	147.9

Alloying Metals	Maturity Period (month/year)	Notional Amount of Contracts (mmlbs)
Fixed price purchase contracts	1/17 through 12/17	4.0

Natural Gas2	Maturity Period (month/year)	Notional Amount of Contracts (mmbtu)
Fixed price purchase contracts	1/17 through 12/19	5,040,000

Euro	Maturity Period (month/year)	Notional Amount of contracts (euro)
Fixed price purchase contracts	1/17 through 8/17	1,593,700
Fixed price sales contracts	1/17 through 1/17	633,600

_________________________

^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 December 31, 2016, we had derivative and/or physical delivery commitments with energy companies in place to cover exposure to fluctuations in prices for approximately 73%, 72% and 49% of the expected natural gas purchases for 2017, 2018 and 2019, respectively.

Summary of realized and unrealized gains and losses

Realized and unrealized gain (loss) associated with all derivative contracts consisted of the following for each period presented (in millions of dollars):

	Year Ended December 31,
	2016			2015			2014
Included in Other ComprehensiveIncome (Loss):
Unrealized gain (loss):
Foreign currency cash flow hedge	$	—		$	(0.3	)	$	—
Alloy Hedges	(0.1		)	—			—
Included in Statement of Consolidated Income (Loss):
Realized (loss) gain:
Aluminum	(2.0		)	(27.3		)	6.9
Natural gas	(5.0		)	(5.4		)	1.0
Foreign currency	(0.1		)	—			—
Electricity	—			(1.9		)	(0.1		)
Total realized (loss) gain1:	$	(7.1	)	$	(34.6	)	$	7.8
Unrealized gain (loss):
Aluminum	$	10.8		$	(4.6	)	$	(2.6	)
Natural gas	7.9			(0.5		)	(6.0		)
Electricity	—			1.7			(1.8		)
Subtotal2	18.7			(3.4		)	(10.4		)
Hedges related to Convertible Notes:
Option Assets	—			—			5.2
Bifurcated Conversion Feature	—			—			(1.6		)
Subtotal3	—			—			3.6
Total unrealized gain (loss)	$	18.7		$	(3.4	)	$	(6.8	)

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^1.  Realized (loss) gain on hedges of operational risk are recorded within Cost of products sold, excluding depreciation, amortization and other items.

^2.  Unrealized gain (loss) on hedges of operational risk are recorded within Unrealized gain (loss) on derivative instruments.

^3.  Unrealized gain (loss) on financial derivatives related to the Convertible Notes, which settled in April 2015, were recorded within Other (expense) income, net.

Fair Value, Measurement Inputs, Disclosure

The following table presents our derivative assets and liabilities, classified under the appropriate level of the fair value hierarchy, as of the period presented (in millions of dollars):

	December 31, 2016
	Level 1		Level 2			Level 3		Total
DERIVATIVE ASSETS:
Non-Designated Hedges:
Aluminum – Fixed price purchase contracts	$	—	$	3.3		$	—	$	3.3
Natural gas – Fixed price purchase contracts	—		1.6			—		1.6
Midwest premium swap contracts	—		0.9			—		0.9
Total derivative assets	$	—	$	5.8		$	—	$	5.8
DERIVATIVE LIABILITIES:
Non-Designated Hedges:
Aluminum –
Fixed price purchase contracts	$	—	$	(1.1	)	$	—	$	(1.1	)
Fixed price sales contracts	—		—			—		—
Midwest premium swap contracts	—		(0.2		)	—		(0.2		)
Natural gas – Fixed price purchase contracts	—		(0.4		)	—		(0.4		)
Designated Hedges:
Alloying metals – Fixed price purchase contracts	—		(0.1		)	—		(0.1		)
Total derivative liabilities	$	—	$	(1.8	)	$	—	$	(1.8	)

The following table presents our derivative assets and liabilities, classified under the appropriate level of the fair value hierarchy, as of the period presented (in millions of dollars):

	December 31, 2015
	Level 1		Level 2			Level 3			Total
DERIVATIVE ASSETS:
Non-Designated Hedges:
Aluminum –
Call option purchase contracts	$	—	$	0.2		$	—		$	0.2
Fixed price purchase contracts	—		0.3			—			0.3
Fixed price sales contracts	—		0.2			—			0.2
Midwest premium swap contracts	—		—			0.9			0.9
Total derivative assets	$	—	$	0.7		$	0.9		$	1.6
DERIVATIVE LIABILITIES:
Non-Designated Hedges:
Aluminum –
Fixed price purchase contracts	$	—	$	(8.9	)	$	—		$	(8.9	)
Fixed price sales contracts	—		(0.1		)	—			(0.1		)
Midwest premium swap contracts	—		—			(0.3		)	(0.3		)
Natural gas –Fixed price purchase contracts	—		(6.7		)	—			(6.7		)
Designated Hedges:
Foreign currency – Euro forward purchase contracts	—		(0.2		)	—			(0.2		)
Total derivative liabilities	$	—	$	(15.9	)	$	(0.3	)	$	(16.2	)

Schedule of quantitative information for Level 3 Midwest premiums derivative contracts

The following table presents a reconciliation of activity for the Level 3 Midwest premium derivative contracts on a net basis (in millions of dollars):

	Year Ended December 31,
	2016			2015
Fair value measurement at beginning of period	$	0.6		$	1.0
Total realized/unrealized (loss) gain included in:
Cost of goods sold, excluding depreciation and amortization and other items and Unrealized loss (gain) on derivative instruments	(0.6		)	(3.9		)
Transactions involving Level 3 derivative contracts:
Purchases	(1.2		)	(4.0		)
Sales	—			—
Issuances	—			—
Settlements	0.4			7.5
Transactions involving Level 3 derivatives - net	(0.8		)	3.5
Transfers out of Level 3 valuation hierarchy1	0.8			—
Fair value measurement at end of period	$	—		$	0.6
Total loss included in Unrealized loss (gain) on derivative instruments, attributable to the change in unrealized gain/loss relating to derivative contracts held at December 31:	$	—		$	0.6

Schedule of Offsetting Derivative Instruments by Counterparty

The following tables present offsetting information regarding our derivatives by type of counterparty as of December 31, 2016 (in millions of dollars):

	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
									Net Amount
Counterparty (with netting agreements)	$	3.3	$	—	$	3.3	$	1.0	$	2.3
Counterparty (with partial netting agreements)	2.5		—		2.5		0.7		1.8
Total	$	5.8	$	—	$	5.8	$	1.7	$	4.1

	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets			Gross Amounts Not Offset in the Consolidated Balance Sheets
												Net Amount
Counterparty (with netting agreements)	$	(1.0	)	$	—	$	(1.0	)	$	(1.0	)	$	—
Counterparty (with partial netting agreements)	(0.8		)	—		(0.8		)	(0.7		)	(0.1		)
Total	$	(1.8	)	$	—	$	(1.8	)	$	(1.7	)	$	(0.1	)

The following tables present offsetting information regarding our derivatives by type of counterparty as of December 31, 2015 (in millions of dollars):

	Gross Amounts of Recognized Assets		Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Assets Presented in the Consolidated Balance Sheets		Gross Amounts Not Offset in the Consolidated Balance Sheets
									Net Amount
Counterparty (with netting agreements)	$	1.3	$	—	$	1.3	$	1.3	$	—
Counterparty (with partial netting agreements)	0.3		—		0.3		0.3		—
Total	$	1.6	$	—	$	1.6	$	1.6	$	—

	Gross Amounts of Recognized Liabilities			Gross Amounts Offset in the Consolidated Balance Sheets		Net Amounts of Liabilities Presented in the Consolidated Balance Sheets			Gross Amounts Not Offset in the Consolidated Balance Sheets
												Net Amount
Counterparty (with netting agreements)	$	(8.5	)	$	—	$	(8.5	)	$	(1.3	)	$	(7.2	)
Counterparty (with partial netting agreements)	(7.7		)	—		(7.7		)	(0.3		)	(7.4		)
Total	$	(16.2	)	$	—	$	(16.2	)	$	(1.6	)	$	(14.6	)

Fair Value, Assets Measured on Recurring Basis

The following table presents our other financial assets, classified under the appropriate level of the fair value hierarchy, as of December 31, 2015 (in millions of dollars):

	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	40.3	$	32.2	$	—	$	72.5
Short-term investments	—		30.0		—		30.0
Total	$	40.3	$	62.2	$	—	$	102.5

The following table presents our other financial assets, classified under the appropriate level of the fair value hierarchy, as of December 31, 2016 (in millions of dollars):

	Level 1		Level 2		Level 3		Total
Cash and cash equivalents	$	37.9	$	17.3	$	—	$	55.2
Short-term investments	—		231.0		—		231.0
Total	$	37.9	$	248.3	$	—	$	286.2