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FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2022


RECURRING FAIR VALUE MEASURES – SEMPRA
(Dollars in millions)
	Fair value at September 30, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Short-term investments, primarily cash equivalents	$	16	$	1	$	—	$	17
Equity securities	265		4		—		269
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	21		13		—		34
Municipal bonds	—		273		—		273
Other securities	—		226		—		226
Total debt securities	21		512		—		533
Total nuclear decommissioning trusts(1)	302		517		—		819
Short-term investments held in Rabbi Trust	51		—		—		51
Interest rate instruments	—		43		—		43
Foreign exchange instruments	—		1		—		1
Commodity contracts not subject to rate recovery	—		72		—		72
Effect of netting and allocation of collateral(2)	80		—		—		80
Commodity contracts subject to rate recovery	16		1		33		50
Effect of netting and allocation of collateral(2)	33		—		6		39
Support Agreement, net of related guarantee fees	—		—		16		16
Total	$	482	$	634	$	55	$	1,171
Liabilities:
Foreign exchange instruments	$	—	$	2	$	—	$	2
Interest rate and foreign exchange instruments	—		117		—		117
Commodity contracts not subject to rate recovery	—		73		—		73
Commodity contracts subject to rate recovery	4		18		—		22
Total	$	4	$	210	$	—	$	214

(1) Excludes 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 – SEMPRA (CONTINUED)
(Dollars in millions)
	Fair value at December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Short-term investments, primarily cash equivalents	$	13	$	(10)	$	—	$	3
Equity securities	358		6		—		364
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	48		8		—		56
Municipal bonds	—		321		—		321
Other securities	—		260		—		260
Total debt securities	48		589		—		637
Total nuclear decommissioning trusts(1)	419		585		—		1,004
Short-term investments held in Rabbi Trust	81		—		—		81
Interest rate instruments	—		6		—		6
Foreign exchange instruments	—		2		—		2
Commodity contracts not subject to rate recovery	—		46		—		46
Effect of netting and allocation of collateral(2)	58		—		—		58
Commodity contracts subject to rate recovery	12		1		69		82
Effect of netting and allocation of collateral(2)	31		9		6		46
Support Agreement, net of related guarantee fees	—		—		7		7
Total	$	601	$	649	$	82	$	1,332
Liabilities:
Interest rate instruments	$	—	$	8	$	—	$	8
Foreign exchange instruments	—		1		—		1
Interest rate and foreign exchange instruments	—		131		—		131
Commodity contracts not subject to rate recovery	—		31		—		31
Commodity contracts subject to rate recovery	—		35		15		50
Total	$	—	$	206	$	15	$	221

(1) Excludes 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, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Short-term investments, primarily cash equivalents	$	16	$	1	$	—	$	17
Equity securities	265		4		—		269
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	21		13		—		34
Municipal bonds	—		273		—		273
Other securities	—		226		—		226
Total debt securities	21		512		—		533
Total nuclear decommissioning trusts(1)	302		517		—		819
Commodity contracts subject to rate recovery	16		—		33		49
Effect of netting and allocation of collateral(2)	31		—		6		37
Total	$	349	$	517	$	39	$	905

Liabilities:
Commodity contracts subject to rate recovery	$	4	$	—	$	—	$	4
Total	$	4	$	—	$	—	$	4

	Fair value at December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Short-term investments, primarily cash equivalents	$	13	$	(10)	$	—	$	3
Equity securities	358		6		—		364
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	48		8		—		56
Municipal bonds	—		321		—		321
Other securities	—		260		—		260
Total debt securities	48		589		—		637
Total nuclear decommissioning trusts(1)	419		585		—		1,004
Commodity contracts subject to rate recovery	12		—		69		81
Effect of netting and allocation of collateral(2)	22		—		6		28
Total	$	453	$	585	$	75	$	1,113

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	—	$	15	$	15
Total	$	—	$	—	$	15	$	15

(1) Excludes 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, 2022
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	—	$	1	$	—	$	1
Effect of netting and allocation of collateral(1)	2		—		—		2
Total	$	2	$	1	$	—	$	3

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	18	$	—	$	18
Total	$	—	$	18	$	—	$	18

	Fair value at December 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	—	$	1	$	—	$	1
Effect of netting and allocation of collateral(1)	9		9		—		18
Total	$	9	$	10	$	—	$	19

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	35	$	—	$	35
Total	$	—	$	35	$	—	$	35

(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

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,
	2022		2021
Balance at July 1	$	33	$	80
Realized and unrealized losses	(35)		(35)
Allocated transmission instruments	2		1
Settlements	33		26
Balance at September 30	$	33	$	72
Change in unrealized gains relating to instruments still held at September 30	$	3	$	9

	Nine months ended September 30,
	2022		2021
Balance at January 1	$	54	$	69
Realized and unrealized losses	(58)		(29)
Allocated transmission instruments	(4)		(1)
Settlements	41		33
Balance at September 30	$	33	$	72
Change in unrealized (losses) gains relating to instruments still held at September 30	$	(15)	$	5

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

The table below sets forth reconciliations 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 RECONCILIATIONS
(Dollars in millions)
	Three months ended September 30,
	2022		2021
Balance at July 1	$	16	$	4
Realized and unrealized gains(1)	2		3
Settlements	(2)		(2)
Balance at September 30(2)	$	16	$	5
Change in unrealized gains relating to instruments still held at September 30	$	2	$	3

	Nine months ended September 30,
	2022		2021
Balance at January 1	$	7	$	3
Realized and unrealized gains(1)	16		8
Settlements	(7)		(6)
Balance at September 30(2)	$	16	$	5
Change in unrealized gains relating to instruments still held at September 30	$	15	$	7

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

(2) Includes $7 in Other Current Assets and $9 in Other Long-term Assets at September 30, 2022 on Sempra’s Condensed Consolidated Balance Sheet.

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
2022	$	(3.67)	to	$	6.96	$	(0.70)
2021	(1.81)		to	14.11		(0.12)

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
2022	$	26.75	to	$	127.20	$	68.50
2021		24.05	to		130.40		57.36

Fair Value of Financial Instruments

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)
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
	September 30, 2022
Sempra:

Long-term note receivable(1)	$	314	$	—	$	—	$	279	$	279
Long-term amounts due to unconsolidated affiliates	296		—		251		—		251
Total long-term debt(2)	23,790		—		20,288		—		20,288
SDG&E:
Total long-term debt(3)	$	7,800	$	—	$	6,577	$	—	$	6,577
SoCalGas:
Total long-term debt(4)	$	5,459	$	—	$	4,789	$	—	$	4,789

	December 31, 2021
Sempra:
Long-term note receivable(1)	$	300	$	—	$	—	$	327	$	327
Long-term amounts due from unconsolidated affiliates(5)	640		—		642		—		642
Long-term amounts due to unconsolidated affiliates	287		—		295		—		295
Total long-term debt(2)	20,099		—		22,126		—		22,126
SDG&E:
Total long-term debt(3)	$	6,417	$	—	$	7,236	$	—	$	7,236
SoCalGas:
Total long-term debt(4)	$	4,759	$	—	$	5,367	$	—	$	5,367

(1) Before allowances for credit losses of $7 and $8 at September 30, 2022 and December 31, 2021, respectively. Excludes unamortized transaction costs of $5 at September 30, 2022 and December 31, 2021.

(2) Before reductions of unamortized discount and debt issuance costs of $287 and $260 at September 30, 2022 and December 31, 2021, respectively, and excluding finance lease obligations of $1,332 and $1,335 at September 30, 2022 and December 31, 2021, respectively.

(3) Before reductions of unamortized discount and debt issuance costs of $72 and $61 at September 30, 2022 and December 31, 2021, respectively, and excluding finance lease obligations of $1,260 and $1,274 at September 30, 2022 and December 31, 2021, respectively.

(4) Before reductions of unamortized discount and debt issuance costs of $41 and $36 at September 30, 2022 and December 31, 2021, respectively, and excluding finance lease obligations of $72 and $61 at September 30, 2022 and December 31, 2021, respectively.

(5) Before allowances for credit losses of $1 at December 31, 2021. Includes $2 of accrued interest receivable at December 31, 2021 in Due From Unconsolidated Affiliates – Current.