Derivatives

3 Months Ended

Mar. 31, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of March 31, 2021, we had an open position of 175,716 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 418,500 tonnes related to Midwest Premium ("MWP") forward financial sales contracts to fix the forward MWP price. These contracts are expected to settle through December 2022. We have also entered into 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 March 31, 2021, we had 16,482 tonnes related to fixed for floating swaps that will settle at various dates through March 2022.

We previously have entered into financial contracts to hedge a portion of our exposure at our U.S. operations to the NYMEX Henry Hub ("NYMEX Henry Hub natural gas price swaps"). As of March 31, 2021, the NYMEX Henry Hub natural gas swaps had fully matured.

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 March 31, 2021, we had an open position of 1,815,075 MWh related to the Nord Pool power price swaps. The Nord Pool power price swaps are expected to settle monthly through December 2023. 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, 2021, we had an open position related to the FX swaps of €42.2 million that will settle monthly through December 2023.

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 March 31, 2021 and December 31, 2020, respectively:


	Asset Fair Value
	March 31, 2021		December 31, 2020
Commodity contracts (1)	$	14.4	$	12.8
Foreign exchange contracts (2)	0.4		2.4
Total	$	14.8	$	15.2


	Liability Fair Value
	March 31, 2021		December 31, 2020
Commodity contracts (1)	$	110.5	$	16.7
Foreign exchange contracts (2)	0.5		—
Total	$	111.0	$	16.7

(1) Commodity contracts reflect our outstanding LME forward financial sales contracts, MWP forward financial sales contracts, fixed for floating swaps, and Nord Pool power price swaps. At March 31, 2021, $22.3 million of Due to affiliates and $6.5 million of Due to affiliates - less current portion was related to commodity contract liabilities with Glencore. At December 31, 2020, $1.2 million of Due from affiliates, $1.7 million of Due from affiliates - less current portion, $11.3 million of Due to affiliates, and $0.1 million of Due to affiliates - less current portion was related to commodity contract assets and liabilities 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,
	2021		2020
Commodity contracts(1)	$	(96.0)	$	9.0
Foreign exchange contracts	(2.1)		(5.2)
Total	$	(98.1)	$	3.8

(1) For the three months ended March 31, 2021 and 2020, $(20.3) million and $12.6 million of the net (loss) gain, respectively, was with Glencore.