XML 42 R31.htm IDEA: XBRL DOCUMENT v3.21.2
Derivatives, Hedging Programs and Other Financial Instruments (Tables)
 6 Months Ended
Jun. 30, 2021
Derivative Instruments And Hedging Activities Disclosure [Abstract]  
Summary of Volume of Derivative and or Physical Delivery Commitments with Energy Companies

The following table summarizes the volume of our derivative and/or physical delivery commitments with energy companies in place to cover our exposure to price fluctuations of our expected variable priced energy purchases as of June 30, 2021:

 

 

 

Remainder

of 2021

 

 

2022

 

 

2023

 

 

2024

 

 

2025

 

 

2026

 

Natural Gas

 

44%

 

 

49%

 

 

48%

 

 

44%

 

 

20%

 

 

20%

 

Electricity

 

94%

 

 

76%

 

 

44%

 

 

 

—

 

 

 

—

 

 

 

—

 
Summary of Derivative Positions

The following table summarizes our derivative positions at June 30, 2021:

 

Aluminum

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

7/21 through 12/23

 

 

107.2

 

Fixed price sales contracts

 

7/21 through 12/21

 

 

1.0

 

Midwest premium swap contracts1

 

7/21 through 12/23

 

 

80.0

 

 

Alloying Metals

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmlbs)

 

Fixed price purchase contracts

 

7/21 through 12/22

 

 

10.9

 

Fixed price sales contracts

 

7/21 through 12/21

 

 

2.5

 

 

Natural Gas

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (mmbtu)

 

Fixed price purchase contracts

 

7/21 through 12/24

 

 

5,630,000

 

 

Electricity

 

Maturity Period

(month/year)

 

Notional Amount of Contracts (Mwh)

 

Fixed price purchase contracts

 

7/21 through 12/22

 

 

351,510

 

 

 

1

Regional premiums represent the premium over the London Metal Exchange price for primary aluminum which is incurred on our purchases of primary aluminum.
Summary of (Gain) Loss Associated with Derivative Contracts

The following table summarizes the amount of (gain) loss included on our Statements of Consolidated (Loss) Income associated with all derivative contracts (in millions of dollars):

 

 

 

Quarter Ended June 30,

 

 

 

Six Months Ended June 30,

 

 

 

Statements of Consolidated

 

 

2021

 

 

2020

 

 

 

2021

 

 

2020

 

 

 

(Loss) Income Classification

Total of income and expense line items presented in our Statements of Consolidated (Loss) Income in which the effects of hedges are recorded:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Cash flow hedges

 

$

673.3

 

 

$

224.5

 

 

 

$

935.8

 

 

$

511.1

 

 

 

Cost of products sold

Fair value hedges

 

n/a

 

 

$

13.0

 

 

 

n/a

 

 

$

26.2

 

 

 

Depreciation and amortization

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Gain) loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aluminum

 

$

(8.1

)

 

$

7.6

 

 

 

$

(11.0

)

 

$

13.3

 

 

 

Cost of products sold

Alloying Metals

 

 

0.2

 

 

 

1.5

 

 

 

 

0.4

 

 

 

2.1

 

 

 

Cost of products sold

Alloying Metals (reclassification from AOCI due to forecasted transactions no longer probable of occurring)

 

 

—

 

 

 

0.7

 

 

 

 

—

 

 

 

0.7

 

 

 

Cost of products sold

Natural gas

 

 

(0.1

)

 

 

0.4

 

 

 

 

(0.1

)

 

 

0.9

 

 

 

Cost of products sold

Electricity

 

 

(0.7

)

 

 

0.3

 

 

 

 

(0.7

)

 

 

0.5

 

 

 

Cost of products sold

Total (gain) loss recognized in our Statements of Consolidated (Loss) Income related to cash flow hedges

 

$

(8.7

)

 

$

10.5

 

 

 

$

(11.4

)

 

$

17.5

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

(Gain) loss recognized in our Statements of Consolidated (Loss) Income related to fair value hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Foreign exchange contracts

 

$

—

 

 

$

(0.2

)

 

 

$

—

 

 

$

—

 

 

 

Depreciation and amortization

Hedged item

 

 

—

 

 

 

0.2

 

 

 

 

—

 

 

 

—

 

 

 

Depreciation and amortization

Excluded component amortized from AOCI

 

 

—

 

 

 

0.2

 

 

 

 

—

 

 

 

0.4

 

 

 

Depreciation and amortization

Reclassification from AOCI related to early termination of firm commitment

 

 

—

 

 

 

(0.4

)

 

 

 

—

 

 

 

(0.4

)

 

 

Other (expense) income, net

Net settlement related to early termination of forward contracts

 

 

—

 

 

 

0.3

 

 

 

 

—

 

 

 

0.3

 

 

 

Other (expense) income, net

Total loss recognized in our Statements of Consolidated (Loss) Income related to fair value hedges

 

$

—

 

 

$

0.1

 

 

 

$

—

 

 

$

0.3

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Loss recognized in our Statements of Consolidated (Loss) Income related to non-designated hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Alloying Metals – Realized (gain) loss

 

$

(1.5

)

 

$

—

 

 

 

$

(2.6

)

 

$

—

 

 

 

Cost of products sold

Alloying Metals – Unrealized loss

 

$

0.4

 

 

$

—

 

 

 

$

0.1

 

 

$

—

 

 

 

Cost of products sold

Total loss recognized in our Statements of Consolidated (Loss) Income related to non-designated hedges

 

$

(1.1

)

 

$

—

 

 

 

$

(2.5

)

 

$

—

 

 

 

 

 

 
Schedule of Fair Value of Derivative Financial Instruments The following table presents the fair value of our derivative financial instruments (in millions of dollars):

 

 

 

As of June 30, 2021

 

 

As of December 31, 2020

 

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

 

Assets

 

 

Liabilities

 

 

Net Amount

 

Cash Flow Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Aluminum –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

$

17.2

 

 

$

—

 

 

$

17.2

 

 

$

4.6

 

 

$

(0.1

)

 

$

4.5

 

Fixed price sales contracts

 

 

—

 

 

 

(0.3

)

 

 

(0.3

)

 

 

—

 

 

 

—

 

 

 

—

 

Midwest premium swap contracts

 

 

5.9

 

 

 

—

 

 

 

5.9

 

 

 

0.2

 

 

 

(1.2

)

 

 

(1.0

)

Natural gas – Fixed price purchase contracts

 

 

1.9

 

 

 

(0.4

)

 

 

1.5

 

 

 

0.2

 

 

 

(1.5

)

 

 

(1.3

)

Electricity – Fixed price purchase contracts

 

 

8.6

 

 

 

(0.3

)

 

 

8.3

 

 

 

2.0

 

 

 

(2.5

)

 

 

(0.5

)

Total cash flow hedges

 

 

33.6

 

 

 

(1.0

)

 

 

32.6

 

 

 

7.0

 

 

 

(5.3

)

 

 

1.7

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Non-Designated Hedges:

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Alloying Metals –

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Fixed price purchase contracts

 

 

3.9

 

 

 

(0.2

)

 

 

3.7

 

 

 

3.9

 

 

 

—

 

 

 

3.9

 

Fixed price sales contracts

 

 

—

 

 

 

(1.0

)

 

 

(1.0

)

 

 

—

 

 

 

(1.3

)

 

 

(1.3

)

Total non-designated hedges

 

 

3.9

 

 

 

(1.2

)

 

 

2.7

 

 

 

3.9

 

 

 

(1.3

)

 

 

2.6

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Total

 

$

37.5

 

 

$

(2.2

)

 

$

35.3

 

 

$

10.9

 

 

$

(6.6

)

 

$

4.3

 

 

The following table presents the total amounts of derivative assets and liabilities on our Consolidated Balance Sheets (in millions of dollars):

 

 

 

As of June 30, 2021

 

 

As of December 31, 2020

 

Derivative assets:

 

 

 

 

 

 

 

 

Prepaid expenses and other current assets

 

$

30.5

 

 

$

8.4

 

Other assets

 

 

7.0

 

 

 

2.5

 

Total derivative assets

 

$

37.5

 

 

$

10.9

 

Derivative liabilities:

 

 

 

 

 

 

 

 

Other accrued liabilities

 

$

(1.7

)

 

$

(3.8

)

Long-term liabilities

 

 

(0.5

)

 

 

(2.8

)

Total derivative liabilities

 

$

(2.2

)

 

$

(6.6

)