FAIR VALUE MEASUREMENTS (Tables)

3 Months Ended

Mar. 31, 2021


RECURRING FAIR VALUE MEASURES – SEMPRA ENERGY CONSOLIDATED
(Dollars in millions)
	Fair value at March 31, 2021
	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	47		20		—		67
Municipal bonds	—		324		—		324
Other securities	—		265		—		265
Total debt securities	47		609		—		656
Total nuclear decommissioning trusts(1)	405		615		—		1,020
Interest rate and foreign exchange instruments	—		8		—		8
Commodity contracts not subject to rate recovery	—		4		—		4
Effect of netting and allocation of collateral(2)	24		—		—		24
Commodity contracts subject to rate recovery	7		4		112		123
Effect of netting and allocation of collateral(2)	21		—		6		27
Support Agreement, net of related guarantee fees	—		—		7		7
Total	$	457	$	631	$	125	$	1,213

Liabilities:
Interest rate and foreign exchange instruments	$	—	$	183	$	—	$	183
Commodity contracts not subject to rate recovery	—		25		—		25
Commodity contracts subject to rate recovery	—		5		50		55

Support Agreement, net of related guarantee fees	—		—		4		4
Total	$	—	$	213	$	54	$	267

	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 March 31, 2021
	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	47		20		—		67
Municipal bonds	—		324		—		324
Other securities	—		265		—		265
Total debt securities	47		609		—		656
Total nuclear decommissioning trusts(1)	405		615		—		1,020

Commodity contracts subject to rate recovery	7		—		112		119
Effect of netting and allocation of collateral(2)	20		—		6		26
Total	$	432	$	615	$	118	$	1,165

Liabilities:

Commodity contracts subject to rate recovery	$	—	$	—	$	50	$	50

Total	$	—	$	—	$	50	$	50

	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 March 31, 2021
	Level 1		Level 2		Level 3		Total
Assets:
Commodity contracts subject to rate recovery	$	—	$	4	$	—	$	4
Effect of netting and allocation of collateral(1)	1		—		—		1
Total	$	1	$	4	$	—	$	5

Liabilities:
Commodity contracts subject to rate recovery	$	—	$	5	$	—	$	5
Total	$	—	$	5	$	—	$	5

	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 Energy Consolidated and SDG&E.


LEVEL 3 RECONCILIATIONS(1)
(Dollars in millions)








	Three months ended March 31,
	2021		2020
Balance at January 1	$	69	$	28
Realized and unrealized losses	(2)		(5)

Settlements	(5)		(7)
Balance at March 31	$	62	$	16
Change in unrealized (losses) gains relating to instruments still held at March 31	$	(1)	$	(6)

(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 March 31, 2021

Balance at January 1	$	3
Realized and unrealized gains(1)	2
Settlements	(2)
Balance at March 31(2)	$	3
Change in unrealized gains (losses) relating to instruments still held at March 31	$	2

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

(2) Includes $7 million in Other Current Assets offset by $4 million in Deferred Credits and Other on the Sempra Energy 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
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 March 31 were as follows:


LONG-TERM, FIXED-PRICE ELECTRICITY POSITIONS PRICE INPUTS

Settlement year	Price per MWh					Weighted-average price per MWh
2021	$	20.60	to	$	117.00	$	46.46
2020		16.51	to		52.45		35.41

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)
	March 31, 2021
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra Energy Consolidated:
Long-term amounts due from unconsolidated affiliates(1)	$	677	$	—	$	702	$	—	$	702
Long-term amounts due to unconsolidated affiliates	299		—		292		—		292
Total long-term debt(2)	21,456		—		23,251		—		23,251
SDG&E:
Total long-term debt(3)	$	6,036	$	—	$	6,659	$	—	$	6,659
SoCalGas:
Total long-term debt(4)	$	4,759	$	—	$	5,263	$	—	$	5,263

	December 31, 2020
	Carrying amount		Fair value
			Level 1		Level 2		Level 3		Total
Sempra Energy Consolidated:
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 March 31, 2021 and December 31, 2020, respectively. Includes $2 million and $3 million in Due From Unconsolidated Affiliates – Current at March 31, 2021 and December 31, 2020, respectively.

(2) Before reductions of unamortized discount and debt issuance costs of $264 million and $268 million at March 31, 2021 and December 31, 2020, respectively, and excluding finance lease obligations of $1,336 million and $1,330 million at March 31, 2021 and December 31, 2020, respectively.

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

(4) Before reductions of unamortized discount and debt issuance costs of $40 million at both March 31, 2021 and December 31, 2020, and excluding finance lease obligations of $60 million and $54 million at March 31, 2021 and December 31, 2020, respectively.