FAIR VALUE MEASUREMENTS (Tables)

9 Months Ended

Sep. 30, 2020


RECURRING FAIR VALUE MEASURES – SEMPRA ENERGY CONSOLIDATED
(Dollars in millions)
	Fair value at September 30, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	382	$	7	$	—	$	389
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	26		23		—		49
Municipal bonds	—		335		—		335
Other securities	—		271		—		271
Total debt securities	26		629		—		655
Total nuclear decommissioning trusts(1)	408		636		—		1,044
Interest rate and foreign exchange instruments	—		8		—		8
Commodity contracts not subject to rate recovery	—		5		—		5
Effect of netting and allocation of collateral(2)	41		—		—		41
Commodity contracts subject to rate recovery	9		4		86		99
Effect of netting and allocation of collateral(2)	18		—		6		24
Support Agreement, net of related guarantee fees	—		—		6		6
Total	$	476	$	653	$	98	$	1,227

Liabilities:
Interest rate and foreign exchange instruments	$	—	$	219	$	—	$	219
Commodity contracts not subject to rate recovery	—		17		—		17
Commodity contracts subject to rate recovery	—		6		53		59


Total	$	—	$	242	$	53	$	295

	Fair value at December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	503	$	6	$	—	$	509
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	46		11		—		57
Municipal bonds	—		282		—		282
Other securities	—		226		—		226
Total debt securities	46		519		—		565
Total nuclear decommissioning trusts(1)	549		525		—		1,074
Interest rate and foreign exchange instruments	—		24		—		24
Commodity contracts not subject to rate recovery	—		11		—		11
Effect of netting and allocation of collateral(2)	43		—		—		43
Commodity contracts subject to rate recovery	5		8		95		108
Effect of netting and allocation of collateral(2)	11		8		6		25
Total	$	608	$	576	$	101	$	1,285

Liabilities:
Interest rate and foreign exchange instruments	$	—	$	157	$	—	$	157
Commodity contracts not subject to rate recovery	—		17		—		17
Commodity contracts subject to rate recovery	14		4		67		85
Effect of netting and allocation of collateral(2)	(14)		—		—		(14)
Total	$	—	$	178	$	67	$	245

(1) Excludes cash and cash equivalents.

(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, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	382	$	7	$	—	$	389
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	26		23		—		49
Municipal bonds	—		335		—		335
Other securities	—		271		—		271
Total debt securities	26		629		—		655
Total nuclear decommissioning trusts(1)	408		636		—		1,044

Commodity contracts subject to rate recovery	9		1		86		96
Effect of netting and allocation of collateral(2)	16		—		6		22
Total	$	433	$	637	$	92	$	1,162

Liabilities:

Commodity contracts subject to rate recovery	$	—	$	—	$	53	$	53

Total	$	—	$	—	$	53	$	53

	Fair value at December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Nuclear decommissioning trusts:
Equity securities	$	503	$	6	$	—	$	509
Debt securities:
Debt securities issued by the U.S. Treasury and other U.S. government corporations and agencies	46		11		—		57
Municipal bonds	—		282		—		282
Other securities	—		226		—		226
Total debt securities	46		519		—		565
Total nuclear decommissioning trusts(1)	549		525		—		1,074
Commodity contracts subject to rate recovery	1		3		95		99
Effect of netting and allocation of collateral(2)	10		—		6		16
Total	$	560	$	528	$	101	$	1,189

Liabilities:


Commodity contracts subject to rate recovery	$	14	$	—	$	67	$	81
Effect of netting and allocation of collateral(2)	(14)		—		—		(14)
Total	$	—	$	—	$	67	$	67

(1) Excludes cash and cash equivalents.

(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, 2020
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	—	$	3	$	—	$	3
Effect of netting and allocation of collateral(1)	2		—		—		2
Total	$	2	$	3	$	—	$	5

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

	Fair value at December 31, 2019
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	4	$	5	$	—	$	9
Effect of netting and allocation of collateral(1)	1		8		—		9
Total	$	5	$	13	$	—	$	18

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

(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 Energy Consolidated and SDG&E.


LEVEL 3 RECONCILIATIONS(1)
(Dollars in millions)
	Three months ended September 30,
	2020		2019
Balance at July 1	$	17	$	176
Realized and unrealized losses	(4)		(24)
Allocated transmission instruments	1		—
Settlements	19		27
Balance at September 30	$	33	$	179
Change in unrealized gains (losses) relating to instruments still held at September 30	$	7	$	1
	Nine months ended September 30,
	2020		2019
Balance at January 1	$	28	$	179
Realized and unrealized losses	(18)		(32)
Allocated transmission instruments	2		—
Settlements	21		32
Balance at September 30	$	33	$	179
Change in unrealized gains (losses) relating to instruments still held at September 30	$	(1)	$	12

(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 Energy’s Support Agreement for the benefit of CFIN classified as Level 3 in the fair value hierarchy for Sempra Energy Consolidated.


LEVEL 3 RECONCILIATION
(Dollars in millions)
	Three months ended September 30, 2020

Balance at July 1	$	—
Realized and unrealized gains(1)	7
Settlements	(1)
Balance at September 30(2)	$	6
Change in unrealized gains (losses) relating to instruments still held at September 30	$	6

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

(2) Included in Other Current Assets on the Sempra Energy Condensed Consolidated Balance Sheets.

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
2020	$	(3.77)	to	$	6.03	$	(1.58)
2019	(8.57)		to	35.21		(2.94)

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
2020	$	19.45	to	$	71.25	$	38.14
2019		21.60	to		57.20		38.29

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, 2020
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra Energy Consolidated:
Long-term amounts due from unconsolidated affiliates(1)	$	620	$	—	$	649	$	—	$	649
Long-term amounts due to unconsolidated affiliates	271		—		280		—		280
Total long-term debt(2)	23,588		—		26,105		—		26,105
SDG&E:
Total long-term debt(3)	$	6,505	$	—	$	7,481	$	—	$	7,481
SoCalGas:
Total long-term debt(4)	$	4,759	$	—	$	5,573	$	—	$	5,573

	December 31, 2019
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra Energy Consolidated:
Long-term amounts due from unconsolidated affiliates	$	742	$	—	$	759	$	—	$	759
Long-term amounts due to unconsolidated affiliates	195		—		184		—		184
Total long-term debt(2)	21,247		—		22,638		26		22,664
SDG&E:
Total long-term debt(3)	$	5,140	$	—	$	5,662	$	—	$	5,662
SoCalGas:
Total long-term debt(4)	$	3,809	$	—	$	4,189	$	—	$	4,189

(1) Before allowances for credit losses of $3 million at September 30, 2020.

(2) Before reductions of unamortized discount and debt issuance costs of $263 million and $225 million at September 30, 2020 and December 31, 2019, respectively, and excluding finance lease obligations of $1,335 million and $1,289 million at September 30, 2020 and December 31, 2019, respectively.

(3) Before reductions of unamortized discount and debt issuance costs of $59 million and $48 million at September 30, 2020 and December 31, 2019, respectively, and excluding finance lease obligations of $1,278 million and $1,270 million at September 30, 2020 and December 31, 2019, respectively.

(4) Before reductions of unamortized discount and debt issuance costs of $41 million and $34 million at September 30, 2020 and December 31, 2019, respectively, and excluding finance lease obligations of $57 million and $19 million at September 30, 2020 and December 31, 2019, respectively.