Derivatives

9 Months Ended

Sep. 30, 2021

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of September 30, 2021, we had an open position of 143,791 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 298,500 tonnes related to MWP forward financial sales contracts to fix the forward MWP price. These contracts are expected to settle monthly 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 September 30, 2021, we had 8,924 tonnes related to fixed for floating swaps that will settle monthly 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 September 30, 2021, we had an open position of 1,774,161 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 September 30, 2021, we had an open position related to the FX swaps of €42.6 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 September 30, 2021, we had an open position of 394,560 MWh. The Indiana Hub power price swaps are expected to 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 September 30, 2021 and December 31, 2020, respectively:


	Asset Fair Value
	September 30, 2021		December 31, 2020
Commodity contracts (1)	$	42.1	$	12.8
Foreign exchange contracts (2)	—		2.4
Total	$	42.1	$	15.2


	Liability Fair Value
	September 30, 2021		December 31, 2020
Commodity contracts (1)	$	201.8	$	16.7
Foreign exchange contracts (2)	1.7		—
Total	$	203.5	$	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 September 30, 2021, $33.6 million of Due to affiliates and $22.4 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 September 30,				Nine months ended September 30,
	2021		2020		2021		2020
Commodity contracts(1)	$	(75.6)	$	(11.0)	$	(235.2)	$	0.8
Foreign exchange contracts	(1.4)		1.6		(3.2)		(2.7)
Total	$	(77.0)	$	(9.4)	$	(238.4)	$	(1.9)

(1) For the three months ended September 30, 2021 and 2020, $(26.3) million and $(4.6) million of the net (loss), respectively, was with Glencore. For the nine months ended September 30, 2021 and 2020, $(79.8) million and $0.1 million of the net (loss) gain, respectively, was with Glencore.