Derivatives

3 Months Ended

Mar. 31, 2022

Derivative Instruments and Hedging Activities Disclosure [Abstract]

As of March 31, 2022, we had an open position of 118,341 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 152,250 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 March 31, 2022, we had 4,816 tonnes related to fixed for floating swaps that will settle monthly through November 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 March 31, 2022, we had an open position of 1,755,100 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, 2022, we had an open position related to the FX swaps of €48.3 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 March 31, 2022, we had an open position of 307,200 MWh. The Indiana Hub power price swaps are expected to settle monthly through December 2023.

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 March 31, 2022, and December 31, 2021, the Company had recorded restricted cash of $18.5 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 March 31, 2022 and December 31, 2021, respectively:


	Asset Fair Value
	March 31, 2022		December 31, 2021
Commodity contracts (1)	$	84.7	$	42.9
Foreign exchange contracts (2)	—		—
Total	$	84.7	$	42.9


	Liability Fair Value
	March 31, 2022		December 31, 2021
Commodity contracts (1)	$	220.0	$	143.3
Foreign exchange contracts (2)	3.5		2.9
Total	$	223.5	$	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 March 31, 2022, $37.9 million of Due to affiliates and $52.9 million of Due to affiliates - less current portion was related to commodity contract liabilities with Glencore. At December 31, 2021, $17.1 million of Due to affiliates, and $21.9 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,
	2022		2021
Commodity contracts(1)	$	(56.0)	$	(96.0)
Foreign exchange contracts	(1.0)		(2.1)
Total	$	(57.0)	$	(98.1)

(1) For the three months ended March 31, 2022 and 2021, there were $58.9 million and $20.3 million of the net losses, respectively, with Glencore.