FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2021


RECURRING FAIR VALUE MEASURES – SEMPRA
(Dollars in millions)
	Fair value at September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	350	$	6	$	—	$	356
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	40		12		—		52
Municipal bonds	—		320		—		320
Other securities	—		270		—		270
Total debt securities	40		602		—		642
Total nuclear decommissioning trusts(1)	390		608		—		998
Interest rate and foreign exchange instruments	—		6		—		6
Commodity contracts not subject to rate recovery	—		31		—		31
Effect of netting and allocation of collateral(2)	47		—		—		47
Commodity contracts subject to rate recovery	32		2		88		122
Effect of netting and allocation of collateral(2)	24		—		6		30
Support Agreement, net of related guarantee fees	—		—		7		7
Total	$	493	$	647	$	101	$	1,241

Liabilities:
Interest rate and foreign exchange instruments	$	—	$	176	$	—	$	176
Commodity contracts not subject to rate recovery	—		81		—		81
Effect of netting and allocation of collateral(2)	—		(11)		—		(11)
Commodity contracts subject to rate recovery	—		35		16		51

Support Agreement, net of related guarantee fees	—		—		2		2
Total	$	—	$	281	$	18	$	299
	Fair value at December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	358	$	6	$	—	$	364
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	41		24		—		65
Municipal bonds	—		326		—		326
Other securities	—		270		—		270
Total debt securities	41		620		—		661
Total nuclear decommissioning trusts(1)	399		626		—		1,025
Interest rate and foreign exchange instruments	—		25		—		25
Commodity contracts not subject to rate recovery	—		4		—		4
Effect of netting and allocation of collateral(2)	21		—		—		21
Commodity contracts subject to rate recovery	6		1		121		128
Effect of netting and allocation of collateral(2)	19		5		6		30
Support Agreement, net of related guarantee fees	—		—		7		7
Total	$	445	$	661	$	134	$	1,240

Liabilities:
Interest rate and foreign exchange instruments	$	—	$	186	$	—	$	186
Commodity contracts not subject to rate recovery	—		16		—		16
Commodity contracts subject to rate recovery	—		6		52		58

Support Agreement, net of related guarantee fees	—		—		4		4
Total	$	—	$	208	$	56	$	264

(1) Excludes cash, cash equivalents and receivables (payables), net.

(2) Includes the effect of the contractual ability to settle contracts under master netting agreements and with cash collateral, as well as cash collateral not offset.


RECURRING FAIR VALUE MEASURES – SDG&E
(Dollars in millions)
	Fair value at September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	350	$	6	$	—	$	356
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	40		12		—		52
Municipal bonds	—		320		—		320
Other securities	—		270		—		270
Total debt securities	40		602		—		642
Total nuclear decommissioning trusts(1)	390		608		—		998

Commodity contracts subject to rate recovery	32		—		88		120
Effect of netting and allocation of collateral(2)	22		—		6		28
Total	$	444	$	608	$	94	$	1,146

Liabilities:

Commodity contracts subject to rate recovery	$	—	$	1	$	16	$	17

Total	$	—	$	1	$	16	$	17

	Fair value at December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	358	$	6	$	—	$	364
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	41		24		—		65
Municipal bonds	—		326		—		326
Other securities	—		270		—		270
Total debt securities	41		620		—		661
Total nuclear decommissioning trusts(1)	399		626		—		1,025
Commodity contracts subject to rate recovery	5		—		121		126
Effect of netting and allocation of collateral(2)	18		—		6		24
Total	$	422	$	626	$	127	$	1,175

Liabilities:


Commodity contracts subject to rate recovery	$	—	$	—	$	52	$	52

Total	$	—	$	—	$	52	$	52

(1) Excludes cash, cash equivalents and receivables (payables), net.

(2) Includes the effect of the contractual ability to settle contracts under master netting agreements and with cash collateral, as well as cash collateral not offset.


RECURRING FAIR VALUE MEASURES – SOCALGAS
(Dollars in millions)
	Fair value at September 30, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	—	$	2	$	—	$	2
Effect of netting and allocation of collateral(1)	2		—		—		2
Total	$	2	$	2	$	—	$	4

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	34	$	—	$	34
Total	$	—	$	34	$	—	$	34

	Fair value at December 31, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	1	$	1	$	—	$	2
Effect of netting and allocation of collateral(1)	1		5		—		6
Total	$	2	$	6	$	—	$	8

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	6	$	—	$	6
Total	$	—	$	6	$	—	$	6

(1) Includes the effect of the contractual ability to settle contracts under master netting agreements and with cash collateral, as well as cash collateral not offset.

Recurring Fair Value Measures Level 3 Rollforward Table

The table below sets forth reconciliations of changes in the fair value of CRRs and long-term, fixed-price electricity positions classified as Level 3 in the fair value hierarchy for Sempra and SDG&E.


LEVEL 3 RECONCILIATIONS(1)
(Dollars in millions)
	Three months ended September 30,
	2021		2020
Balance at July 1	$	80	$	17
Realized and unrealized losses	(35)		(4)
Allocated transmission instruments	1		1
Settlements	26		19
Balance at September 30	$	72	$	33
Change in unrealized gains (losses) relating to instruments still held at September 30	$	9	$	7

	Nine months ended September 30,
	2021		2020
Balance at January 1	$	69	$	28
Realized and unrealized losses	(29)		(18)
Allocated transmission instruments	(1)		2
Settlements	33		21
Balance at September 30	$	72	$	33
Change in unrealized gains (losses) relating to instruments still held at September 30	$	5	$	(1)

(1) Excludes the effect of the contractual ability to settle contracts under master netting agreements.

The table below sets forth a reconciliation of changes in the fair value of Sempra’s Support Agreement for the benefit of CFIN classified as Level 3 in the fair value hierarchy for Sempra.


LEVEL 3 RECONCILIATION
(Dollars in millions)
	Three months ended September 30,
	2021		2020
Balance at July 1	$	4	$	—
Realized and unrealized gains(1)	3		7
Settlements	(2)		(1)
Balance at September 30(2)	$	5	$	6
Change in unrealized gains (losses) relating to instruments still held at September 30	$	3	$	6

	Nine months ended September 30,
	2021		2020
Balance at January 1	$	3	$	—
Realized and unrealized gains(1)	8		7
Settlements	(6)		(1)
Balance at September 30(2)	$	5	$	6
Change in unrealized gains (losses) relating to instruments still held at September 30	$	7	$	6

(1) Net gains are included in Interest Income and net losses are included in Interest Expense on Sempra’s Condensed Consolidated Statement of Operations.

(2) Includes $7 million in Other Current Assets offset by $2 million in Deferred Credits and Other at September 30, 2021 on Sempra’s Condensed Consolidated Balance Sheet.

The fair value of the Support Agreement, net of related guarantee fees, is based on a discounted cash flow model using a probability of default and survival methodology. Our estimate of fair value considers inputs such as third-party default rates, credit ratings, recovery rates, and risk-adjusted discount rates, which may be readily observable, market corroborated or generally unobservable inputs. Because CFIN’s credit rating and related default and survival rates are unobservable inputs that are significant to the valuation, the Support Agreement, net of related guarantee fees, is classified as Level 3. We assigned CFIN an internally developed credit rating of A3 and relied on default rate data published by Moody’s to assign a probability of default. A hypothetical change in the credit rating up or down one notch could result in a significant change in the fair value of the Support Agreement.

Schedule of Fair Value Inputs

For the CRRs settling from January 1 to December 31, the auction price inputs, at a given location, were in the following ranges for the years indicated below:


CONGESTION REVENUE RIGHTS AUCTION PRICE INPUTS

Settlement year	Price per MWh					Median price per MWh
2021	$	(1.81)	to	$	14.11	$	(0.12)
2020	(3.77)		to	6.03		(1.58)

The fair value of the net electricity positions classified as Level 3 is derived from a discounted cash flow model using market electricity forward price inputs. The range and weighted-average price of these inputs at September 30 were as follows:


LONG-TERM, FIXED-PRICE ELECTRICITY POSITIONS PRICE INPUTS

Settlement year	Price per MWh					Weighted-average price per MWh
2021	$	24.05	to	$	130.40	$	57.36
2020		19.45	to		71.25		38.14

Fair Value of Financial Instruments Table

The following table provides the carrying amounts and fair values of certain other financial instruments that are not recorded at fair value on the Condensed Consolidated Balance Sheets.


FAIR VALUE OF FINANCIAL INSTRUMENTS
(Dollars in millions)
	September 30, 2021
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra:
Long-term amounts due from unconsolidated affiliates(1)	$	687	$	—	$	697	$	—	$	697
Long-term amounts due to unconsolidated affiliates	328		—		347		—		347
Total long-term debt(2)	21,966		—		24,288		—		24,288
SDG&E:
Total long-term debt(3)	$	6,418	$	—	$	7,263	$	—	$	7,263
SoCalGas:
Total long-term debt(4)	$	4,759	$	—	$	5,373	$	—	$	5,373

	December 31, 2020
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra:
Long-term amounts due from unconsolidated affiliates(1)	$	786	$	—	$	817	$	—	$	817
Long-term amounts due to unconsolidated affiliates	275		—		266		—		266
Total long-term debt(2)	22,259		—		25,478		—		25,478
SDG&E:
Total long-term debt(3)	$	6,253	$	—	$	7,384	$	—	$	7,384
SoCalGas:
Total long-term debt(4)	$	4,759	$	—	$	5,655	$	—	$	5,655

(1) Before allowances for credit losses of $1 million and $3 million at September 30, 2021 and December 31, 2020, respectively. Includes $2 million and $3 million in Due From Unconsolidated Affiliates – Current at September 30, 2021 and December 31, 2020, respectively.

(2) Before reductions of unamortized discount and debt issuance costs of $266 million and $268 million at September 30, 2021 and December 31, 2020, respectively, and excluding finance lease obligations of $1,336 million and $1,330 million at September 30, 2021 and December 31, 2020, respectively.

(3) Before reductions of unamortized discount and debt issuance costs of $62 million and $52 million at September 30, 2021 and December 31, 2020, respectively, and excluding finance lease obligations of $1,279 million and $1,276 million at September 30, 2021 and December 31, 2020, respectively.

(4) Before reductions of unamortized discount and debt issuance costs of $37 million and $40 million at September 30, 2021 and December 31, 2020, respectively, and excluding finance lease obligations of $57 million and $54 million at September 30, 2021 and December 31, 2020, respectively.