Derivatives and Other Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2021

Schedule of Detail for Level 1, 2 and 3 Derivatives

The following tables present the detail for Level 1, 2 and 3 derivatives (see additional Level 3 information in further tables below):

	March 31. 2021				December 31, 2020
	Assets		Liabilities		Assets		Liabilities
Level 1 and 2 derivative instruments	$	15	$	24	$	21	$	7
Level 3 derivative instruments		—		1,080		—		838
Total	$	15	$	1,104	$	21	$	845
Less: Current		15		181		21		103
Noncurrent	$	—	$	923	$	—	$	742

	2021						2020
First quarter ended March 31,	Unrealized (loss) gain recognized in Other comprehensive (loss) income			Realized (loss) gain reclassed from Other comprehensive (loss) income to earnings			Unrealized gain (loss) recognized in Other comprehensive (loss) income			Realized (loss) gain reclassed from Other comprehensive (loss) income to earnings
Level 1 and 2 derivative instruments	$	(14	)	$	—		$	(29	)	$	(14	)
Level 3 derivative instruments		(300	)		(55	)		867			(8	)
Noncontrolling and equity interest		11			3			14			(3	)
Total	$	(303	)	$	(52	)	$	852		$	(25	)

Schedule of Quantitative Information for Level 3 Derivative Contracts

The following table presents quantitative information related to the significant unobservable inputs described above for Level 3 derivative instruments (megawatt hours in MWh):

	March 31, 2021		Unobservable Input	Unobservable Input Range
Liability Derivatives
Power contract	$	248	MWh of energy needed	LME (per mt)	2021: $2,194
			to produce the forecasted		2027: $2,283
			mt of aluminum	Electricity	Rate of 4 million MWh per year
Power contracts		797	MWh of energy needed to produce the forecasted mt of aluminum	LME (per mt)	2021: $2,194 2029: $2,360 2036: $2,656
				Midwest premium (per pound)	2021: $0.2125 2029: $0.2125 2036: $0.2125
				Electricity	Rate of 17 million MWh per year
Power contract		2	MWh of energy needed to produce the forecasted mt of aluminum	LME (per mt)	2021: $2,194 2021: $2,209
				Midwest premium (per pound)	2021: $0.2125 2021: $0.2125
				Electricity	Rate of 2 million MWh per year
Power contract (undesignated)	18		Estimated spread between the 30-year debt yield of Alcoa and the counterparty	Credit spread	2.23%: 30-year debt yield spread 5.51%: Alcoa (estimated) 3.28%: counterparty
Financial contract		14	Interrelationship of	Electricity (per MWh)	2021: $25.26
			forward energy price and the Consumer Price Index		2021: $27.58
Financial contracts		1	Interrelationship of	Electricity (per MWh)	2021: $27.58
(undesignated)			forward energy price, LME		2021: $27.58
			forward price and the	LME (per mt)	2021: $2,220
			Consumer Price Index		2021: $2,224
Total Liability Derivatives	$	1,080

Schedule of Fair Values of Level 3 Derivative Instruments Recorded as Liabilities

The fair values of Level 3 derivative instruments recorded in the accompanying Consolidated Balance Sheet were as follows:

Liability Derivatives	March 31. 2021		December 31, 2020
Derivatives designated as hedging instruments:
Current—power contracts	$	145	$	94
Current—financial contract		14		1
Noncurrent—power contracts		902		720
Total derivatives designated as hedging instruments	$	1,061	$	815
Derivatives not designated as hedging instruments:
Current—embedded credit derivative	$	3	$	4
Current—financial contract		1		—
Noncurrent—embedded credit derivative		15		19
Total derivatives not designated as hedging instruments	$	19	$	23
Total Liability Derivatives	$	1,080	$	838

Schedule of Reconciliation of Activity for Derivative Contracts

The following tables present the reconciliation of activity for Level 3 derivative instruments:

	Liabilities
First quarter ended March 31, 2021	Power contracts			Financial contract			Embedded credit derivative
January 1, 2021	$	814		$	1		$	23
Total gains or losses included in:
Sales (realized)		(40	)		—			—
Cost of goods sold (realized)		—			(15	)		—
Other income, net (unrealized/realized)		—			—			(6	)
Other comprehensive (loss) income (unrealized)		273			27			—
Other		—			2			1
March 31, 2021	$	1,047		$	15		$	18
Change in unrealized gains or losses included in earnings for derivative instruments held at March 31, 2021:
Other income, net	$	—		$	—		$	(5	)

Schedule of Carrying Values and Fair Values of Other Financial Instruments

The carrying values and fair values of Alcoa Corporation’s other financial instruments were as follows:

	March 31, 2021				December 31, 2020
	Carrying value		Fair value		Carrying value		Fair value
Cash and cash equivalents	$	2,544	$	2,544	$	1,607	$	1,607
Restricted cash		3		3		3		3
Short-term borrowings		77		77		77		77
Long-term debt due within one year		745		777		2		2
Long-term debt, less amount due within one year		2,214		2,386		2,463		2,692

- Definition

Tabular disclosure of financial instruments measured at fair value, including those classified in shareholders' equity measured on a recurring or nonrecurring basis. Disclosures include, but are not limited to, fair value measurements recorded and the reasons for the measurements, level within the fair value hierarchy in which the fair value measurements are categorized and transfers between levels 1 and 2. Nonrecurring fair value measurements are those that are required or permitted in the statement of financial position in particular circumstances.

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