Derivatives

6 Months Ended

Jun. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of June 30, 2021, we had an open position of 164,666 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 390,000 tonnes related to 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 June 30, 2021, we had 13,957 tonnes related to fixed for floating swaps that will settle at various dates through June 2022.

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, 2021, we had an open position of 2,058,993 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 June 30, 2021, we had an open position related to the FX swaps of €49.4 million that will settle monthly through December 2023.

We have entered into financial contracts to fix a portion of our exposure to the Indiana Hub power market at our Kentucky plants ("Indiana Hub power price swaps"). As of June 30, 2021, we had an open position of 263,520 MWh. The Indiana Hub power price swaps are expected to settle monthly through December 2022.

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, 2021 and December 31, 2020, respectively:


	Asset Fair Value
	June 30, 2021		December 31, 2020
Commodity contracts (1)	$	28.8	$	12.8
Foreign exchange contracts (2)	0.3		2.4
Total	$	29.1	$	15.2


	Liability Fair Value
	June 30, 2021		December 31, 2020
Commodity contracts (1)	$	156.5	$	16.7
Foreign exchange contracts (2)	0.5		—
Total	$	157.0	$	16.7

(1) Commodity contracts reflect our outstanding LME forward financial sales contracts, MWP forward financial sales contracts, fixed for floating swaps, Nord Pool power price swaps, and Indiana Hub power price swaps. At June 30, 2021, $31.7 million of Due to affiliates and $14.9 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 June 30,				Six months ended June 30,
	2021		2020		2021		2020
Commodity contracts(1)	$	(63.6)	$	2.9	$	(159.6)	$	11.8
Foreign exchange contracts	0.3		0.8		(1.8)		(4.3)
Total	$	(63.3)	$	3.7	$	(161.4)	$	7.5

(1) For the three months ended June 30, 2021 and 2020, $(28.7) million and $(7.9) million of the net (loss), respectively, was with Glencore. For the six months ended June 30, 2021 and 2020, $(53.5) million and $4.7 million of the net (loss) gain, respectively, was with Glencore.