Fair Value Measurements (Tables)

3 Months Ended

Mar. 31, 2022

Financial assets and liabilities at fair value on a recurring basis


Recurring Fair Value Measurements	As of March 31, 2022
	Level 1		Level 2		Level 3		Total
ASSETS:
Cash equivalents	$	10.9	$	—	$	—	$	10.9
Trust assets (1)	1.5		—		—		1.5

Derivative instruments	—		84.7		—		84.7
TOTAL	$	12.4	$	84.7	$	—	$	97.1

LIABILITIES:
Contingent obligation – net	$	—	$	—	$	—	$	—
Derivative instruments	—		206.8		16.7		223.5
TOTAL	$	—	$	206.8	$	16.7	$	223.5


Recurring Fair Value Measurements	As of December 31, 2021
	Level 1		Level 2		Level 3		Total
ASSETS:
Cash equivalents	$	14.2	$	—	$	—	$	14.2
Trust assets (1)	0.1		—		—		0.1
Derivative instruments	—		42.6		0.2		42.8
TOTAL	$	14.3	$	42.6	$	0.2	$	57.1

LIABILITIES:
Contingent obligation – net	$	—	$	—	$	—	$	—
Derivative instruments	—		140.9		5.3		146.2
TOTAL	$	—	$	140.9	5.3		$	146.2

(1) Trust assets are currently invested in money market funds. These trust assets are held to fund the non-qualified supplemental executive pension benefit obligations for certain of our officers.

Schedule of valuation methodology for assets and liabilities at fair value

The following section describes the valuation techniques and inputs for fair value measurements categorized within Level 2 or Level 3 of the fair value hierarchy:

Level 2 Fair Value Measurements:

Asset / Liability

Valuation Techniques

Inputs

LME forward financial sales contracts

Discounted cash flows

Quoted LME forward market

Midwest Premium ("MWP") forward financial sales contracts

Discounted cash flows

Quoted MWP forward market

Fixed for floating swaps

Discounted cash flows

Quoted LME forward market, quoted MWP forward market

Nord Pool power price swaps

Discounted cash flows

Quoted Nord Pool forward market

Indiana Hub power price swaps

Discounted cash flows

Quoted Indiana Hub forward market

FX swaps

Discounted cash flows

Euro/USD forward exchange rate

The following table presents the inputs for fair value measurements categorized within Level 3 of the fair value hierarchy, along with information regarding significant unobservable inputs used to value Level 3 assets and liabilities:


Level 3 Fair Value Measurements:				As of March 31, 2022			As of December 31, 2021
Asset / Liability	Valuation Technique	Observable Inputs	Significant Unobservable Input	Fair Value		Value/Range of Unobservable Input	Fair Value		Value/Range of Unobservable Input
LME forward financial sales contracts	Discounted cash flows	Quoted LME forward market	Discount rate net (1)	$	(16.7)	8.58%	$	(5.1)	8.58%
FX Swaps	Discounted cash flows	Euro/USD forward exchange rate	Discount rate net (1)	$	—	8.58%	$	(0.2)	8.58%
Nord Pool Swaps	Discounted cash flows	Quoted Nord Pool forward market	Discount rate net (1)	$	—	8.58%	$	0.2	8.58%
Contingent Obligation	Discounted cash flows	Quoted LME forward market	Expected monthly Hawesville production level (2)	$	—	14,000 - 16,000 MT/month	$	—	14,000 - 15,000 MT/month

(1) Represents risk adjusted discount rate.

(2) Represents management's estimate of expected monthly Hawesville production levels through the term of the agreement in December 2028.

Schedule of fair value reconciliation of Level 3 assets and liabilities measured at fair value

The following table presents the fair value reconciliation of Level 3 assets and liabilities measured at fair value on a recurring basis.


For the three months ended March 31, 2022	Level 3 Assets			Level 3 Liabilities
		Nord Pool		LME forward financial sales contracts		FX Swaps
Balance as of December 31, 2021		$	0.2	$	(5.1)	$	(0.2)
Total realized/unrealized gains (losses)
Included in Net Income (1)		—		(9.1)		—
Purchases, sales, settlements
Purchases		—		—		—
Sales		—		—		—
Settlements		—		—		—
Transfers into Level 3 (2)		—		(2.5)		—
Transfers out of Level 3 (3)		(0.2)		(0.0)		0.2
Balance as of March 31, 2022		$	—	$	(16.7)	$	—

Change in unrealized gains (losses) (1)		$	—	$	(9.1)	$	—

(1) Gains and losses are presented in the Consolidated Statement of Operations within the line item "Net gain (loss) on forward and derivative contracts."
(2) Transfers into Level 3 due to contracts with applied discount rate entered into during the first quarter of 2022.
(3) Transfers out of Level 3 due to period of time remaining in derivative contract.


	Level 3 Liabilities
For the three months ended March 31, 2021	LME forward financial sales contracts		FX Swaps
Balance as of January 1, 2021	$	2.9	$	0.1
Total realized/unrealized gains (losses)
Included in net income (loss) (1)	(8.7)		—
Purchases, sales, settlements
Purchases	—		—
Sales	—		—
Settlements	—		—
Transfers into Level 3 (2)	(0.7)		(0.2)
Transfers out of Level 3(3)	0.5		(0.1)
Balance as of March 31, 2021	(6.0)		$	(0.2)

Change in unrealized gains (losses) (1)	$	(8.7)	$	—

(1) Gains and losses are presented in the Consolidated Statement of Operations within the line item "Net gain (loss) on forward and derivative contracts."

(2) Transfers into Level 3 due to contracts with applied discount rate entered into during the first quarter of 2021.

(3) Transfers out of Level 3 due to period of time remaining in derivative contract.