|
The following represents the assets and liabilities measured at fair value:
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|
Ìý |
(In Millions) |
Ìý |
JuneÌý30, 2020 |
Ìý |
Quoted Prices in Active
Markets for Identical Assets/Liabilities
(Level 1)
|
Ìý |
Significant Other Observable Inputs
(Level 2)
|
Ìý |
Significant Unobservable Inputs
(Level 3)
|
Ìý |
Total |
Assets: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Cash equivalents - Money market funds |
$ |
21.8 |
|
Ìý |
$ |
— |
|
Ìý |
$ |
— |
|
Ìý |
$ |
21.8 |
|
Other current assets: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Commodity contracts |
— |
|
Ìý |
5.4 |
|
Ìý |
— |
|
Ìý |
5.4 |
|
Customer supply agreement |
— |
|
Ìý |
— |
|
Ìý |
27.3 |
|
Ìý |
27.3 |
|
Provisional pricing arrangement |
— |
|
Ìý |
— |
|
Ìý |
8.0 |
|
Ìý |
8.0 |
|
Other non-current assets: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Commodity contracts |
— |
|
Ìý |
0.7 |
|
Ìý |
— |
|
Ìý |
0.7 |
|
ÌýÌýÌýÌýÌýTotal |
$ |
21.8 |
|
Ìý |
$ |
6.1 |
|
Ìý |
$ |
35.3 |
|
Ìý |
$ |
63.2 |
|
Liabilities: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Other current liabilities: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Commodity contracts |
$ |
— |
|
Ìý |
$ |
(17.2 |
) |
Ìý |
$ |
— |
|
Ìý |
$ |
(17.2 |
) |
Foreign exchange contracts |
— |
|
Ìý |
(1.0 |
) |
Ìý |
— |
|
Ìý |
(1.0 |
) |
Other non-current liabilities: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Commodity contracts |
— |
|
Ìý |
(1.1 |
) |
Ìý |
— |
|
Ìý |
(1.1 |
) |
Foreign exchange contracts |
— |
|
Ìý |
(0.4 |
) |
Ìý |
— |
|
Ìý |
(0.4 |
) |
ÌýÌýÌýÌýÌýTotal |
$ |
— |
|
Ìý |
$ |
(19.7 |
) |
Ìý |
$ |
— |
|
Ìý |
$ |
(19.7 |
) |
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|
Ìý |
(In Millions) |
Ìý |
DecemberÌý31, 2019 |
Ìý |
Quoted Prices in Active
Markets for Identical Assets/Liabilities
(Level 1)
|
Ìý |
Significant Other Observable Inputs
(Level 2)
|
Ìý |
Significant Unobservable Inputs
(Level 3)
|
Ìý |
Total |
Assets: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Cash equivalents - Commercial paper |
$ |
— |
|
Ìý |
$ |
187.6 |
|
Ìý |
$ |
— |
|
Ìý |
$ |
187.6 |
|
Other current assets: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Customer supply agreement |
— |
|
Ìý |
— |
|
Ìý |
44.5 |
|
Ìý |
44.5 |
|
Provisional pricing arrangement |
— |
|
Ìý |
— |
|
Ìý |
1.3 |
|
Ìý |
1.3 |
|
Total |
$ |
— |
|
Ìý |
$ |
187.6 |
|
Ìý |
$ |
45.8 |
|
Ìý |
$ |
233.4 |
|
Liabilities: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Other current liabilities: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Commodity contracts |
$ |
— |
|
Ìý |
$ |
(3.2 |
) |
Ìý |
$ |
— |
|
Ìý |
$ |
(3.2 |
) |
Provisional pricing arrangement |
— |
|
Ìý |
— |
|
Ìý |
(1.1 |
) |
Ìý |
(1.1 |
) |
Total |
$ |
— |
|
Ìý |
$ |
(3.2 |
) |
Ìý |
$ |
(1.1 |
) |
Ìý |
$ |
(4.3 |
) |
Financial assets classified in Level 1 include money market funds. The valuation of these instruments is based upon unadjusted quoted prices for identical assets in active markets.
The valuation of financial assets and liabilities classified in Level 2 is determined using a market approach based upon quoted prices for similar assets and liabilities in active markets, or other inputs that are observable. Our foreign exchange contracts include Canadian dollars, and our commodity hedge contracts primarily include those related to natural gas, electricity and zinc.
The Level 3 assets consist of a freestanding derivative instrument related to a certain supply agreement and derivative assets related to certain provisional pricing arrangements with our customers. The Level 3 liabilities consist of derivative liabilities related to certain provisional pricing arrangements with our customers.
The supply agreement included in our Level 3 assets contains provisions for supplemental revenue or refunds based on the hot-rolled coil steel price in the year the iron ore product is consumed in the customer’s blast furnaces. We account for these provisions as a derivative instrument at the time of sale and adjust the derivative instrument to fair value through Revenues each reporting period until the product is consumed and the amounts are settled.
The provisional pricing arrangements included in our Level 3 assets/liabilities specify provisional price calculations, where the pricing mechanisms generally are based on market pricing, with the final revenue rate to be based on market inputs at a specified point in time in the future, per the terms of the supply agreements. The difference between the estimated final revenue rate at the date of sale and the estimated final revenue rate at the measurement date is characterized as a derivative and is required to be accounted for separately once the revenue has been recognized. The derivative instruments are adjusted to fair value through Revenues each reporting period based upon current market data and forward-looking estimates provided by management until the final revenue rates are determined.
The following table illustrates information about quantitative inputs and assumptions for the derivative assets and derivative liabilities categorized in Level 3 of the fair value hierarchy:
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| Ìý |
Qualitative/Quantitative Information About Level 3 Fair Value Measurements |
| Ìý |
Ìý |
Ìý |
Fair Value at June 30, 2020
(In Millions)
|
Ìý |
Balance Sheet
Location
|
Ìý |
Valuation Technique |
Ìý |
Unobservable Input |
Ìý |
Range or Point Estimate (Weighted Average) |
| Ìý |
| Ìý |
Customer supply agreement |
Ìý |
$ |
27.3 |
|
Ìý |
Other current assets |
Ìý |
Market Approach |
Ìý |
Management's estimate of hot-rolled coil steel price per net ton |
Ìý |
$562 - $639
$(564) |
| Ìý |
Provisional pricing arrangements |
Ìý |
$ |
8.0 |
|
Ìý |
Other current assets |
Ìý |
Market Approach |
Ìý |
Management's
estimate of Platts 62% price per dry metric ton
|
Ìý |
$94 |
| Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Atlantic Basin Pellet Premium |
Ìý |
$32 |
The significant unobservable input used in the fair value measurement of our customer supply agreement was a forward-looking estimate of the hot-rolled coil steel price determined by management.
The significant unobservable inputs used in the fair value measurement of our provisional pricing arrangements at JuneÌý30, 2020 were the forward-looking estimate of Platts 62% price and the Atlantic Basin Pellet Premium based upon current market data determined by management.
The following tables represent a reconciliation of the changes in fair value of financial instruments measured at fair value on a recurring basis using significant unobservable inputs (Level 3):
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Ìý |
(In Millions) |
Ìý |
Level 3 Assets |
Ìý |
Three Months Ended
June 30, |
Ìý |
Six Months Ended
June 30, |
Ìý |
2020 |
Ìý |
2019 |
Ìý |
2020 |
Ìý |
2019 |
Beginning balance |
$ |
19.6 |
|
Ìý |
$ |
106.7 |
|
Ìý |
$ |
45.8 |
|
Ìý |
$ |
91.4 |
|
Total gains included in earnings |
40.0 |
|
Ìý |
74.3 |
|
Ìý |
13.8 |
|
Ìý |
89.6 |
|
Settlements |
(24.3 |
) |
Ìý |
(62.9 |
) |
Ìý |
(24.3 |
) |
Ìý |
(62.9 |
) |
Ending balance |
$ |
35.3 |
|
Ìý |
$ |
118.1 |
|
Ìý |
$ |
35.3 |
|
Ìý |
$ |
118.1 |
|
Total gains for the period included in earnings attributable to the change in unrealized gains on assets still held at the reporting date |
$ |
33.6 |
|
Ìý |
$ |
73.0 |
|
Ìý |
$ |
13.6 |
|
Ìý |
$ |
88.3 |
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Ìý |
(In Millions) |
Ìý |
Level 3 Liabilities |
Ìý |
Three Months Ended
June 30, |
Ìý |
Six Months Ended
June 30, |
Ìý |
2020 |
Ìý |
2019 |
Ìý |
2020 |
Ìý |
2019 |
Beginning balance |
$ |
— |
|
Ìý |
$ |
(9.8 |
) |
Ìý |
$ |
(1.1 |
) |
Ìý |
$ |
— |
|
Total gains (losses) included in earnings |
— |
|
Ìý |
4.5 |
|
Ìý |
(0.6 |
) |
Ìý |
(5.3 |
) |
Settlements |
— |
|
Ìý |
5.3 |
|
Ìý |
1.7 |
|
Ìý |
5.3 |
|
Ending balance |
$ |
— |
|
Ìý |
$ |
— |
|
Ìý |
$ |
— |
|
Ìý |
$ |
— |
|
The carrying values of certain financial instruments (e.g., Accounts receivable, net, Accounts payable and Other current liabilities) approximate fair value and, therefore, have been excluded from the table below. A summary of the carrying value and fair value of other financial instruments were as follows:
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|
Ìý |
Ìý |
Ìý |
(In Millions) |
Ìý |
Ìý |
Ìý |
JuneÌý30, 2020 |
Ìý |
DecemberÌý31, 2019 |
Ìý |
Classification |
Ìý |
Carrying
Value
|
Ìý |
Fair Value |
Ìý |
Carrying
Value
|
Ìý |
Fair Value |
Long-term debt: |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Ìý |
Senior Notes |
Level 1 |
Ìý |
$ |
3,807.3 |
|
Ìý |
$ |
3,681.8 |
|
Ìý |
$ |
2,113.8 |
|
Ìý |
$ |
2,237.0 |
|
IRBs due 2024 to 2028 |
Level 1 |
Ìý |
94.3 |
|
Ìý |
86.0 |
|
Ìý |
— |
|
Ìý |
— |
|
ABL Facility - outstanding balance |
Level 2 |
Ìý |
550.0 |
|
Ìý |
550.0 |
|
Ìý |
— |
|
Ìý |
— |
|
Total long-term debt |
Ìý |
Ìý |
$ |
4,451.6 |
|
Ìý |
$ |
4,317.8 |
|
Ìý |
$ |
2,113.8 |
|
Ìý |
$ |
2,237.0 |
|
The fair value of long-term debt was determined using quoted market prices.
|