Derivatives

6 Months Ended

Jun. 30, 2020

Derivative Instruments and Hedging Activities Disclosure [Abstract]

DerivativesAs of June 30, 2020, we had an open position of 104,740 tonnes related to LME forward financial sales contracts to fix the forward LME aluminum price. These contracts are expected to settle monthly through December 2024. We also had an open position of 151,500 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 also entered into LME and MWP 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 aluminum prices. As of June 30, 2020, we had an open position related to such arrangements of 14,596 tonnes that will settle at various dates through October 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 June 30, 2020, we had an open position of 395,280 MWh. The Hawesville L4 power price swaps are expected to settle monthly through December 2020.

We have entered into financial contracts to hedge a portion 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”). The natural gas volume is measured per million British Thermal Units ("mmBTU"). As of June 30, 2020, we had an open position of 1,170,000 mmBTU related to the NYMEX Henry Hub natural gas price swaps and an open position of 735,660 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 through September 2020.

We have entered into financial contracts to hedge a portion of Grundartangi's exposure to the Nord Pool power market (“Nord Pool power price swaps”). As of June 30, 2020, we had an open position of 1,340,992 MWh related to the Nord Pool power price swaps. The Nord Pool power price swaps are expected to settle monthly through December 2021. 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 June 30, 2020, we had an open position related to the FX swaps of €35.6 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 cash flow hedges as of June 30, 2020 and December 31, 2019, respectively:


	Asset Fair Value
	June 30, 2020		December 31, 2019
Commodity contracts⁽¹⁾	$	34.6	$	19.7
Foreign exchange contracts⁽²⁾	—		—
Total	$	34.6	$	19.7


	Liability Fair Value
	June 30, 2020		December 31, 2019
Commodity contracts ⁽¹⁾	$	15.3	$	3.6
Foreign exchange contracts⁽²⁾	0.4		0.6
Total	$	15.7	$	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 June 30, 2020 and December 31, 2019,$1.5 million and $0.2 million of Due from affiliates and$3.9 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 June 30,						Six months ended June 30,
	2020		2019		2020		2019
Commodity contracts⁽³⁾	$	2.9	$	6.1	$	11.8	$	0.6
Foreign exchange contracts	0.8		0.0		(4.3)		(0.2)
Total	$	3.7	$	6.1	$	7.5	$	0.4

⁽³⁾For the three months ended June 30, 2020 and 2019,$(7.9) million and $1.8 million of the net (loss) gain, respectively, was with Glencore. For the six months ended June 30, 2020 and 2019, $4.7 million and $0.8 million of net (loss) gain, respectively, was with Glencore.