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Derivatives and Other Financial Instruments (Tables)

3 Months Ended

Mar. 31, 2022

Schedule of Detail for Level 1 and 3 Derivatives

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

	March 31, 2022				December 31, 2021
	Assets		Liabilities		Assets		Liabilities
Level 1 derivative instruments	$	70	$	285	$	19	$	29
Level 3 derivative instruments		14		2,024		2		1,293
Total	$	84	$	2,309	$	21	$	1,322
Less: Current		64		514		14		274
Noncurrent	$	20	$	1,795	$	7	$	1,048

	2022						2021
First quarter ended March 31,	Unrealized loss recognized in Other comprehensive loss			Realized loss reclassed from Other comprehensive loss to earnings			Unrealized loss recognized in Other comprehensive loss			Realized loss reclassed from Other comprehensive loss to earnings
Level 1 derivative instruments	$	(233	)	$	(6	)	$	(14	)	$	-
Level 3 derivative instruments		(837	)		(104	)		(300	)		(55	)
Noncontrolling and equity interest (Level 2)		7			(4	)		11			3
Total	$	(1,063	)	$	(114	)	$	(303	)	$	(52	)

Schedule of Outstanding Quantities of Derivative Instruments

The following table presents the outstanding quantities of derivative instruments classified as Level 1:

	Classification	March 31, 2022		March 31, 2021
Aluminum (in kmt)	Commodity forwards		481		21
Foreign currency (in millions of euro)	Foreign exchange forwards		80		124
Foreign currency (in millions of A$)	Foreign exchange forwards		—		94
Foreign currency (in millions of R$)	Foreign exchange forwards		1,323		354

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, 2022		Unobservable Input	Unobservable Input Range
Asset Derivatives
Financial contract		14	Interrelationship of	Electricity (per MWh)	2022: $61.49
(undesignated)			forward energy price, LME		2022: $59.25
			forward price and the	LME (per mt)	2022: $3,484
			Consumer Price Index
Total Asset Derivatives	$	14
Liability Derivatives
Power contract	$	436	MWh of energy needed	LME (per mt)	2022: $3,484
			to produce the forecasted		2027: $2,868
			mt of aluminum	Electricity	Rate of 4 million MWh per year
Power contracts		1,587	MWh of energy needed to produce the forecasted mt of aluminum	LME (per mt)	2022: $3,484 2029: $2,917 2036: $3,213
				Midwest premium (per pound)	2022: $0.4000 2029: $0.3700 2036: $0.3699
				Electricity	Rate of 18 million MWh per year
Power contract (undesignated)	1		Estimated spread between the 30-year debt yield of Alcoa and the counterparty	Credit spread	1.13%: 30-year debt yield spread 5.15%: Alcoa (estimated) 4.02%: counterparty
Total Liability Derivatives	$	2,024

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

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

Asset Derivatives	March 31, 2022		December 31, 2021
Derivatives not designated as hedging instruments:
Current—financial contract	$	14	$	2
Total derivatives not designated as hedging instruments	$	14	$	2
Total Asset Derivatives	$	14	$	2
Liability Derivatives
Derivatives designated as hedging instruments:
Current—power contracts	$	386	$	262
Noncurrent—power contracts		1,637		1,028
Total derivatives designated as hedging instruments	$	2,023	$	1,290
Derivatives not designated as hedging instruments:
Current—embedded credit derivative	$	—	$	1
Noncurrent—embedded credit derivative		1		2
Total derivatives not designated as hedging instruments	$	1	$	3
Total Liability Derivatives	$	2,024	$	1,293

Fair Value Assets Liabilities Measured On Recurring Basis Unobservable Input Reconciliation Text Block

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

	Assets			Liabilities
Three months ended March 31, 2022	Financial contract			Power contracts			Embedded credit derivative
January 1, 2022	$	2		$	1,290		$	3
Total gains or losses included in:
Sales (realized)		—			(104	)		—
Other income, net (unrealized/realized)		13			—			(2	)
Other comprehensive income (unrealized)		—			837			—
Other		(1	)		—			—
March 31, 2022	$	14		$	2,023		$	1
Change in unrealized gains or losses included in earnings for derivative instruments held at March 31, 2022:
Other income, net	$	13		$	—		$	(2	)

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, 2022				December 31, 2021
	Carrying value		Fair value		Carrying value		Fair value
Cash and cash equivalents	$	1,554	$	1,554	$	1,814	$	1,814
Restricted cash		111		111		110		110
Short-term borrowings		75		75		75		75
Long-term debt due within one year		1		1		1		1
Long-term debt, less amount due within one year		1,727		1,797		1,726		1,865

- 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.

+ References + Details