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FAIR VALUE MEASUREMENTS

3 Months Ended

Mar. 31, 2024

PG&E Corporation and the Utility measure their cash equivalents, trust assets, and price risk management instruments at fair value. A three-tier fair value hierarchy is established that prioritizes the inputs to valuation methodologies used to measure fair value:

•Level 1 – Observable inputs that reflect quoted prices (unadjusted) for identical assets or liabilities in active markets.

•Level 2 – Other inputs that are directly or indirectly observable in the marketplace.

•Level 3 – Unobservable inputs which are supported by little or no market activities.

The fair value hierarchy requires an entity to maximize the use of observable inputs and minimize the use of unobservable inputs when measuring fair value.

Assets and liabilities measured at fair value on a recurring basis for PG&E Corporation and the Utility are summarized below. Assets held in rabbi trusts are held by PG&E Corporation and not the Utility.


	Fair Value Measurements
	At March 31, 2024
(in millions)	Level 1		Level 2		Level 3		Netting (1)		Total
Assets:
Short-term investments (2)	$	567	$	—	$	—	$	—	$	567

Nuclear decommissioning trusts
Short-term investments	37		—		—		—		37
Global equity securities	2,283		—		—		—		2,283
Fixed-income securities	1,135		993		—		—		2,128
Assets measured at NAV	—		—		—		—		20
Total nuclear decommissioning trusts (3)	3,455		993		—		—		4,468
Customer credit trust
Short-term investments	351		—		—		—		351
Global equity securities	47		—		—		—		47
Fixed-income securities	21		88		—		—		109
Total customer credit trust	419		88		—		—		507
Price risk management instruments (Note 8)
Electricity	—		15		385		—		400
Gas	—		10		—		(1)		9
Total price risk management instruments	—		25		385		(1)		409
Rabbi trusts
Short-term investments	103		—		—		—		103
Global equity securities	5		—		—		—		5

Life insurance contracts	—		65		—		—		65
Total rabbi trusts	108		65		—		—		173
Long-term disability trust
Short-term investments	7		—		—		—		7
Assets measured at NAV	—		—		—		—		131
Total long-term disability trust	7		—		—		—		138
TOTAL ASSETS	$	4,556	$	1,171	$	385	$	(1)	$	6,262
Liabilities:
Price risk management instruments (Note 8)
Electricity	$	—	$	49	$	240	$	(6)	$	283
Gas	—		3		—		(2)		1
TOTAL LIABILITIES	$	—	$	52	$	240	$	(8)	$	284

(1) Includes the effect of the contractual ability to settle contracts under master netting agreements and cash collateral.

(2) Includes $438 million in money market funds to be used for the administration of wildfire liability self-insurance. For more information see “Self-insurance” in Note 10 below.

(3) Represents amount before deducting $757 million primarily related to deferred taxes on appreciation of investment value.


	Fair Value Measurements
	December 31, 2023
(in millions)	Level 1		Level 2		Level 3		Netting (1)		Total
Assets:
Short-term investments	$	203	$	—	$	—	$	—	$	203
Nuclear decommissioning trusts
Short-term investments	52		—		—		—		52
Global equity securities	2,144		—		—		—		2,144
Fixed-income securities	1,168		909		—		—		2,077
Assets measured at NAV	—		—		—		—		18
Total nuclear decommissioning trusts (2)	3,364		909		—		—		4,291
Customer credit trust
Short-term investments	49		—		—		—		49
Global equity securities	71		—		—		—		71
Fixed-income securities	29		84		—		—		113
Total customer credit trust	149		84		—		—		233
Price risk management instruments (Note 8)
Electricity	—		7		404		(1)		410
Gas	—		3		—		43		46
Total price risk management instruments	—		10		404		42		456
Rabbi trusts
Short-term investments	102		—		—		—		102
Global equity securities	5		—		—		—		5
Life insurance contracts	—		65		—		—		65
Total rabbi trusts	107		65		—		—		172
Long-term disability trust
Short-term investments	7		—		—		—		7
Assets measured at NAV	—		—		—		—		139
Total long-term disability trust	7		—		—		—		146
TOTAL ASSETS	$	3,830	$	1,068	$	404	$	42	$	5,501
Liabilities:
Price risk management instruments (Note 8)
Electricity	$	—	$	43	$	213	$	(6)	$	250
Gas	—		76		—		(48)		28
TOTAL LIABILITIES	$	—	$	119	$	213	$	(54)	$	278

(1) Includes the effect of the contractual ability to settle contracts under master netting agreements and cash collateral.

(2) Represents amount before deducting $717 million, primarily related to deferred taxes on appreciation of investment value.

Valuation Techniques

The following describes the valuation techniques used to measure the fair value of the assets and liabilities shown in the tables above. There are no restrictions on the terms and conditions upon which the investments may be redeemed. There were no material transfers between any levels for the three months ended March 31, 2024 and 2023.

Trust Assets

Assets Measured at Fair Value

In general, investments held in the trusts are exposed to various risks, such as interest rate, credit, and market volatility risks. Nuclear decommissioning trust assets, customer credit trust assets and other trust assets are composed primarily of equity and fixed-income securities and also include short-term investments that are money market funds classified as Level 1.

Global equity securities primarily include investments in common stock that are valued based on quoted prices in active markets and are classified as Level 1.

Fixed-income securities are primarily composed of U.S. government and agency securities, municipal securities, and other fixed-income securities, including corporate debt securities. U.S. government and agency securities primarily consist of U.S. Treasury securities that are classified as Level 1 because the fair value is determined by observable market prices in active markets. A market approach is generally used to estimate the fair value of fixed-income securities classified as Level 2 using evaluated pricing data such as broker quotes, for similar securities adjusted for observable differences. Significant inputs used in the valuation model generally include benchmark yield curves and issuer spreads. The external credit ratings, coupon rate, and maturity of each security are considered in the valuation model, as applicable.

Assets Measured at NAV Using Practical Expedient

Investments in the nuclear decommissioning trusts and the long-term disability trust that are measured at fair value using the NAV per share practical expedient have not been classified in the fair value hierarchy tables above. The fair value amounts are included in the tables above in order to reconcile to the amounts presented in the Condensed Consolidated Balance Sheets. These investments include commingled funds that are composed of equity securities traded publicly on exchanges as well as fixed-income securities that are composed primarily of U.S. government securities, credit securities and asset-backed securities.

Price Risk Management Instruments

Price risk management instruments include physical and financial derivative contracts, such as power purchase agreements, forwards, futures, swaps, options, and CRRs that are traded either on an exchange or over-the-counter.

Power purchase agreements, forwards, and swaps are valued using a discounted cash flow model. Exchange-traded futures that are valued using observable market forward prices for the underlying commodity are classified as Level 1. Over-the-counter forwards and swaps that are identical to exchange-traded futures or are valued using forward prices from broker quotes that are corroborated with market data are classified as Level 2. Exchange-traded options are valued using observable market data and market-corroborated data and are classified as Level 2.

Long-dated power purchase agreements that are valued using significant unobservable data are classified as Level 3. These Level 3 contracts are valued using either estimated basis adjustments from liquid trading points or techniques, including extrapolation from observable prices, when a contract term extends beyond a period for which market data is available. The Utility utilizes models to derive pricing inputs for the valuation of the Utility’s Level 3 instruments using pricing inputs from brokers and historical data.

The Utility holds CRRs to hedge the financial risk of CAISO-imposed congestion charges in the day-ahead market. Limited market data is available in the CAISO auction and between auction dates; therefore, the Utility utilizes historical prices to forecast forward prices. CRRs are classified as Level 3.

Level 3 Measurements and Uncertainty Analysis

Inputs used and the fair value of Level 3 instruments are reviewed period-over-period and compared with market conditions to determine reasonableness.

Significant increases or decreases in any of those inputs would result in a significantly higher or lower fair value, respectively. All reasonable costs related to Level 3 instruments are expected to be recoverable through rates; therefore, there is no impact on net income resulting from changes in the fair value of these instruments. See Note 8 above.

Fair Value at

(in millions)

At March 31, 2024

Valuation
Technique

Unobservable
Input

Fair Value Measurement

Assets

Liabilities

Range (1)/Weighted-Average Price (2)

Congestion revenue rights

356

145

Market approach

CRR auction prices

$ (3,804.15) - 16,696.90 / 1.44

Power purchase agreements

Discounted cash flow

Forward prices

$ 0.77 - 154.60 / 54.02

(1) Represents price per MWh.

(2) Unobservable inputs were weighted by the relative fair value of the instruments.

Fair Value at

(in millions)

At December 31, 2023

Valuation
Technique

Unobservable
Input

Fair Value Measurement

Assets

Liabilities

Range (1)/Weighted-Average Price (2)

Congestion revenue rights

357

134

Market approach

CRR auction prices

$ (923.72) - 16,696.90 / 1.43

Power purchase agreements

Discounted cash flow

Forward prices

$ 0.86 - 189.80 / 60.03

(1) Represents price per MWh.

(2) Unobservable inputs were weighted by the relative fair value of the instruments.

Level 3 Reconciliation

The following table presents the reconciliation for Level 3 price risk management instruments for the three months ended March 31, 2024 and 2023, respectively:


	Price Risk Management Instruments
(in millions)	2024		2023
Asset balance as of January 1	$	191	$	199
Net realized and unrealized gains (losses):
Included in regulatory assets and liabilities or balancing accounts (1)	(46)		13
Asset balance as of March 31	$	145	$	212

(1) The costs related to price risk management activities are recovered through rates. Accordingly, unrealized gains and losses are deferred in regulatory liabilities and assets and net income is not impacted.

Financial Instruments

PG&E Corporation and the Utility use the following methods and assumptions in estimating fair value for financial instruments: the fair values of cash, net accounts receivable, short-term borrowings, accounts payable, customer deposits, and the Utility’s variable rate pollution control bond loan agreements approximate their carrying values as of March 31, 2024 and December 31, 2023, as they are short-term in nature.

The carrying amount and fair value of PG&E Corporation’s and the Utility’s long-term debt instruments were as follows (the table below excludes financial instruments with carrying values that approximate their fair values):


	At March 31, 2024				At December 31, 2023
(in millions)	Carrying Amount		Level 2 Fair Value		Carrying Amount		Level 2 Fair Value
Debt (Note 4)
PG&E Corporation (1)	$	4,343	$	4,587	$	4,548	$	4,695
Utility	38,359		35,576		35,909		32,866

(1) As of March 31, 2024, the net carrying amount and the estimated fair value (Level 2) of the Convertible Notes were $2.1 billion and $2.2 billion, respectively.

Nuclear Decommissioning Trust Investments

The following table provides a summary of equity securities and available-for-sale debt securities:


(in millions)	Amortized Cost		Total Unrealized Gains		Total Unrealized Losses		Total Fair Value
As of March 31, 2024
Nuclear decommissioning trusts
Short-term investments	$	37	$	—	$	—	$	37
Global equity securities	378		1,937		(12)		2,303
Fixed-income securities	2,184		34		(90)		2,128
Total (1)	$	2,599	$	1,971	$	(102)	$	4,468
As of December 31, 2023
Nuclear decommissioning trusts
Short-term investments	$	52	$	—	$	—	$	52
Global equity securities	381		1,792		(11)		2,162
Fixed-income securities	2,103		60		(86)		2,077
Total (1)	$	2,536	$	1,852	$	(97)	$	4,291

(1) Represents amounts before deducting $757 million and $717 million as of March 31, 2024 and December 31, 2023, respectively, primarily related to deferred taxes on appreciation of investment value.

The fair value of fixed-income securities by contractual maturity is as follows:


	As of
(in millions)	March 31, 2024
Less than 1 year	$	28
1–5 years	694
5–10 years	435
More than 10 years	971
Total maturities of fixed-income securities	$	2,128

The following table provides a summary of activity for the fixed-income and equity securities:


	Three Months Ended March 31,
(in millions)	2024		2023
Proceeds from sales and maturities of nuclear decommissioning trust investments	$	457	$	277
Gross realized gains on securities	41		5
Gross realized losses on securities	(11)		(8)

Customer Credit Trust

The following table provides a summary of equity securities and available-for-sale debt securities:


(in millions)	Amortized Cost		Total Unrealized Gains		Total Unrealized Losses		Total Fair Value
As of March 31, 2024
Customer credit trust
Short-term investments	$	351	$	—	$	—	$	351
Global equity securities	34		14		(1)		47
Fixed-income securities	109		1		(1)		109
Total	$	494	$	15	$	(2)	$	507
As of December 31, 2023
Customer credit trust
Short-term investments	$	49	$	—	$	—	$	49
Global equity securities	56		16		(1)		71
Fixed-income securities	111		2		—		113
Total	$	216	$	18	$	(1)	$	233

The fair value of fixed-income securities by contractual maturity is as follows:


	As of
(in millions)	March 31, 2024
Less than 1 year	$	—
1–5 years	15
5–10 years	29
More than 10 years	65
Total maturities of fixed-income securities	$	109

The following table provides a summary of activity for the fixed-income and equity securities:


	Three Months Ended March 31,
(in millions)	2024		2023
Proceeds from sales and maturities of customer credit trust investments	$	81	$	169
Gross realized gains on securities	8		2
Gross realized losses on securities	(1)		(5)

- Definition

The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information.

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