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Financial Instruments (Tables)
 12 Months Ended
Dec. 31, 2020
Derivative Instruments and Hedging Activities Disclosure [Abstract]  
Derivative Instruments, Gain (Loss)
The following table provides (i) the aggregate notional amounts of foreign currency contracts and (ii) the aggregate carrying value and fair value of foreign currency denominated debt:
(in millions)December 31, 2020December 31, 2019
Foreign currency contracts (notional amounts)$1,066 $2,246 
Foreign currency denominated debt
Carrying value5,171 4,741 
Fair value5,687 5,057 
Altria recognized pre-tax unrealized (losses) representing the changes in the fair values of the Fixed-price Preemptive Rights and Cronos warrant, as follows:
For the Years Ended December 31,
(in millions)20202019
Fixed-price Preemptive Rights$(45)$(434)
Cronos warrant(95)(977)
Total$(140)$(1,411)
The pre-tax effects of Altria’s net investment hedges on accumulated other comprehensive losses and the consolidated statements of earnings (losses) were as follows:
Gain (Loss) Recognized in Accumulated Other Comprehensive Losses
Gain (Loss) Recognized
in Net Earnings (Losses)(1)
For the Years Ended December 31,
(in millions)2020201920202019
Foreign currency contracts
$(79)$23 $40 $36 
Foreign currency denominated debt
(424)35 — — 
Total$(503)$58 $40 $36 
(1) Related to amounts excluded from effectiveness testing.
Aggregate Fair Value and Carrying Value
The following table provides the aggregate carrying value and fair value of Altria’s total long-term debt:
(in millions)December 31, 2020December 31, 2019
Carrying value$29,471 $28,042 
Fair value34,682 30,710 
Fair Value Measurement Inputs and Valuation Techniques The fair values of the Fixed-price Preemptive Rights and Cronos warrant are estimated using Black-Scholes option-pricing models, adjusted for observable inputs (which are classified in Level 1 of the fair value hierarchy), including share price, and unobservable inputs, including probability factors and weighting of expected life, volatility levels and risk-free interest rates (which are classified in Level 3 of the fair value hierarchy) based on the following assumptions at:
December 31, 2020December 31, 2019December 31, 2020December 31, 2019
Fixed-price Preemptive RightsCronos Warrant
Share price (1)
C$8.84C$9.97C$8.84C$9.97
Expected life (2)
1.05 years1.67 years2.18 years3.18 years
Expected volatility (3)
80.68%81.61%80.68%81.61%
Risk-free interest rate (4)(5)
0.13%1.71%0.21%1.69%
Expected dividend yield (6)
—%—%—%—%
(1) Based on the closing market price for Cronos common stock on the Toronto Stock Exchange on the date indicated.
(2) Based on the weighted-average expected life of the Fixed-price Preemptive Rights (with a range from approximately 0.25 year to 5 years at December 31, 2020 and 0.25 year to 6 years at December 31, 2019) and the March 8, 2023 expiration date of the Cronos warrant.
(3) Based on a blend of historical volatility levels of the underlying equity security and peer companies.
(4) Based on the implied yield currently available on Canadian Treasury zero coupon issues (with a range from approximately 0.06% to 0.39% at December 31, 2020 and 1.66% to 1.74% at December 31, 2019) weighted for the remaining expected life of the Fixed-price Preemptive Rights.
(5) Based on the implied yield currently available on Canadian Treasury zero coupon issues and the expected life of the Cronos warrant.
(6) Based on Cronos’s expected dividend payments.
Fair Value, Net Derivative Asset (Liability) Measured on Recurring Basis, Unobservable Input Reconciliation
The following table provides a reconciliation of the beginning and ending balance of the Fixed-price Preemptive Rights and Cronos warrant, which are classified in Level 3 of the fair value hierarchy:
(in millions)20202019
Balance at January 1$303 $— 
Initial investment in Fixed-price Preemptive Rights and warrant— 1,736 
Exercise of Fixed-price Preemptive Rights— (22)
Pre-tax earnings (losses) recognized in net earnings(140)(1,411)
Balance at December 31$163 $303 
Schedule of Net Investment Hedges, Statements of Financial Performance and Financial Position, Location The fair values of Altria’s derivative financial instruments on a gross basis included on the consolidated balance sheets were as follows:
Fair Value of AssetsFair Value of Liabilities
(in millions)Balance Sheet ClassificationDecember 31, 2020December 31, 2019Balance Sheet ClassificationDecember 31, 2020December 31, 2019
Derivatives designated as hedging instruments:
Foreign currency contracts
Other current assets
$— $46 
Other accrued liabilities
$87 $7 
Foreign currency contracts
Other assets
— — 
Other liabilities
— 21 
Total
$— $46 $87 $28 
Derivatives not designated as hedging instruments:
Cronos warrant
Investments in equity securities
$139 $234 
Fixed-price Preemptive Rights
Investments in equity securities
24 69 
Total
$163 $303 
Total derivatives
$163 $349 $87 $28