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Derivatives, Hedging Programs and Other Financial Instruments (Tables)
 3 Months Ended
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 contracts1
 
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 Gas2
 
Maturity Period
(month/year)
 
Notional Amount of Contracts (mmbtu)
Fixed price purchase contracts
 
4/20 through 12/24
 
7,970,000

Electricity3
 
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