Derivatives

9 Months Ended

Sep. 30, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of September 30, 2022, we had an open position of 148,416 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 48,750 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, 2022, we had 1,014 tonnes related to fixed for floating swaps that will settle monthly through February 2023.

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”). All of our Nord Pool power price swaps will cash 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, 2022, we had an open position related to the FX swaps of €37.9 million that will settle monthly through December 2023.

During the third quarter of 2022, we entered certain floating Nord Pool financial contracts to unwind a portion of our fixed contract position as a result of the recent power agreement amendment, making us predominantly hedged against Nord Pool power price fluctuations during 2023. As of September 30, 2022, we had an open net position of 1,239,497 MWh related to the Nord Pool power price swaps. The pricing relationship between the fixed and floating Nord Pool contracts created a realized gain of $16.0 million, which we recognized for the three and nine months ended September 30, 2022.

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, 2022, we had an open position of 219,360 MWh. The Indiana Hub power price swaps are expected to settle monthly through December 2023.

We have entered into forward contracts to hedge the risk of fluctuations associated with the Icelandic Krona (ISK) and Euro for contracts related to the construction of the Grundartangi casthouse denominated in these currencies ("casthouse currency hedges"). As of September 30, 2022, we had an open position related to the ISK casthouse swaps of $52.0 million that will settle monthly through July 2023. As of September 30, 2022, we had an open position related to the Euro casthouse swaps of $13.8 million that will settle monthly through February 2024.

Our agreements with derivative counterparties contain certain provisions requiring collateral to be posted in the event the market value of our position exceeds the margin threshold limit of our master agreement with the counterparty. As of September 30, 2022 and December 31, 2021, the Company had recorded restricted cash of $0.0 million and $8.6 million, respectively, as collateral related to open derivative contracts under the master arrangements with our counterparties.

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, 2022 and December 31, 2021, respectively:


	Asset Fair Value
	September 30, 2022		December 31, 2021
Commodity contracts (1)	$	229.0	$	42.9
Foreign exchange contracts (2)	—		—
Total	$	229.0	$	42.9


	Liability Fair Value
	September 30, 2022		December 31, 2021
Commodity contracts (1)	$	16.4	$	143.3
Foreign exchange contracts (2)	13.7		2.9
Total	$	30.1	$	146.2

(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, 2022, $0.5 million of Due to affiliates, $4.5 million of Due to affiliates - less current portion, $0.8 million of Due from affiliates, and $0.2 million of Due from affiliates - less current portion were related to commodity contracts with Glencore. At December 31, 2021, $17.1 million of Due to affiliates, and $21.9 million of Due to affiliates - less current portion were related to commodity contract liabilities with Glencore.

(2) Foreign exchange contracts reflect our outstanding FX swaps and the casthouse currency hedges.

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


	Three months ended September 30,				Nine months ended September 30,
	2022		2021		2022		2021
Commodity contracts(1)	$	120.0	$	(75.6)	$	301.3	$	(235.2)
Foreign exchange contracts	(7.4)		(1.4)		(13.6)		(3.2)
Total	$	112.6	$	(77.0)	$	287.7	$	(238.4)

(1) For the three months ended September 30, 2022, $13.1 million of the net gain was with Glencore, and for the three months ended September 30, 2021, $26.3 million of the net loss was with Glencore. For the nine months ended

September 30, 2022, $19.4 million of the net gain was with Glencore, and for the nine months ended September 30, 2021, $79.8 million of the net loss was with Glencore.