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The settings may return to the factory settings if the battery pack and / or AC adaptor are disconnected before the camcorder is turned off completely. Turn off the camcorder and wait for the power indicator to turn off completely before disconnecting the battery pack and/or AC adaptor.
If the settings are not saved even when the camcorder is turned off properly as noted above, the built-in rechargeable battery for the internal memory may have become completely discharged. Try charging the built-in rechargeable battery. If the issue persists, contact the Sony Service Center.