Derivatives

3 Months Ended

Mar. 31, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of March 31, 2020, we had an open position of 145,402 tonnes related to LME forward financial sales contracts to fix the forward LME price. These contracts are expected to settle monthly through December 2024. We also had an open position of 117,000 tonnes related to Midwest Premium ("MWP") forward financial sales contracts to fix the forward MWP price. These contracts are expected to settle through December 2021.

We have entered into financial contracts to fix the forward price for power related to the expected production of Line 4 at Hawesville for the period of January 2020 through December 2020 ("Hawesville L4 power price swaps"). As of March 31,

2020, we had an open position of 592,920 MWh. The Hawesville L4 power price swaps are expected to settle monthly over the term of the contracts.

We have entered into financial contracts to hedge approximately 50% of our exposure at our U.S operations to the MISO Indiana Hub (“MISO Indiana Hub power price swaps”) and the NYMEX Henry Hub (“NYMEX Henry Hub natural gas price swaps”) for the period of April 2020 through September 2020. The natural gas volume is measured per million British Thermal Units ("mmBTU"). As of March 31, 2020, we had an open position of 2,340,000 mmBTU related to the NYMEX Henry Hub natural gas price swaps and an open position of 1,471,320 MWh related to the MISO Indiana Hub power price swaps. Both the NYMEX Henry Hub natural gas price swaps and MISO Indiana power price swaps are expected to settle monthly over the term of the contracts.

We have financial contracts with various counterparties to offset fixed price sales arrangements with certain of our customers (“fixed for floating swaps”) to remain exposed to the LME and MWP prices. As of March 31, 2020, we had an open position related to such arrangements of 15,271 tonnes that will settle at various dates through June 2021.

We have entered into financial contracts to hedge approximately all of Grundartangi's exposure to the Nord Pool power market through December 2020 and 50% of Grundartangi's exposure to the Nord Pool power market through December 2021 (“Nord Pool power price swaps”), respectively. As of March 31, 2020, we had an open position of 1,693,958 MWh related to the Nord Pool power price swaps. Because the Nord Pool power price swaps are settled in euros, we have entered into financial contracts to hedge the risk of fluctuations associated with the euro ("FX swaps"). As of March 31, 2020, we had an open position related to the FX swaps of €44.6 million that will settle monthly through December 2021.

The following table sets forth the Company's derivative assets and liabilities that were accounted for at fair value and not designated as cashflow hedges as of March 31, 2020 and December 31, 2019, respectively:



	Asset Fair Value
	March 31, 2020		December 31, 2019
Commodity contracts⁽¹⁾	$	58.3	$	19.7
Foreign exchange contracts⁽²⁾	—		—
Total	$	58.3	$	19.7



	Liability Fair Value
	March 31, 2020		December 31, 2019
Commodity contracts ⁽¹⁾	$	37.7	$	3.6
Foreign exchange contracts⁽²⁾	1.6		0.6
Total	$	39.3	$	4.2

⁽¹⁾Commodity contracts reflect our outstanding LME forward financial sales contracts, MWP forward financial sales contracts, Hawesville L4 power price swaps, fixed for floating swaps, NYMEX Henry Hub natural gas price swaps, MISO Indiana Hub power price swaps, and Nord Pool power price swaps. At March 31, 2020 and December 31, 2019,$8.1 million and $0.2 million of Due from affiliates and$5.1 million and $0.5 million of Due from affiliates - less current portion, respectively, is related to commodity contract assets with Glencore.

⁽²⁾Foreign exchange contracts reflect our outstanding FX swaps.

The following table summarizes the net (loss) gain on forward and derivative contracts:



	Three months ended March 31,
	2020			2019
Commodity contracts⁽³⁾	$	9.0		$	(5.5	)
Foreign exchange contracts	(5.2		)	(0.2		)
Total	$	3.8		$	(5.7	)

⁽³⁾For the three months ended March 31, 2020 and 2019,$12.6 million and $(1.0) million of the net (loss) gain, respectively, was with Glencore.