Simon Property Group, Inc. Simon Property Group, L.P. Notes to Consolidated Financial Statements (Dollars in thousands, except share, per share, unit and per unit amounts and where indicated as in millions or billions)
As of December 31, 2023, we had the following outstanding interest rate derivatives related to managing our interest rate risk: Number of Notional Interest Rate Derivative Instruments Amount Interest Rate Swaps ................................................... 5 $805.0 million InterestRateCaps..................................................... 1 $ 38.0 million Interest Rate Swaps ................................................... 1 €128.0 million InterestRateCaps..................................................... 3 €129.0 million As of December 31, 2022, we had the following outstanding interest rate derivatives related to managing our interest rate risk: Number of Notional Interest Rate Derivative Instruments Amount Interest Rate Swaps ................................................... 1 €128.0 million InterestRateCaps..................................................... 5 €319.0 million The carrying value of our interest rate cap and swap agreements, at fair value, as of December 31, 2023 and December 31, 2022 was a net asset balance of $11.6 million and $13.1 million, respectively, and is included in deferred costs and other assets. Our exposure to market risk due to changes in interest rates primarily relates to our long-term debt obligations. We manage exposure to interest rate market risk through our risk management strategy by a combination of interest rate protection agreements to effectively fix or cap a portion of variable rate debt. We may enter into treasury lock agreements as part of an anticipated debt issuance. Upon completion of the debt issuance, the fair value of these instruments is recorded as part of accumulated other comprehensive income (loss) and is amortized to interest expense over the life of the debt agreement. The unamortized gain on our treasury locks and terminated hedges recorded in accumulated other comprehensive income was $41.9 million and $10.9 million as of December 31, 2023 and 2022, respectively. Within the next year, we expect to reclassify to earnings approximately $3.1 million of gains related to terminated interest rate swaps from the current balance held in accumulated other comprehensive income (loss). We are also exposed to foreign currency risk on financings of certain foreign operations. Our intent is to offset gains and losses that occur on the underlying exposers, with gains and losses on the derivative contracts hedging these exposers. We do not enter into either interest rate protection or foreign currency rate protection agreements for speculative purposes. We are also exposed to fluctuations in foreign exchange rates on financial instruments which are denominated in foreign currencies, primarily in Yen and Euro. We use currency forward contracts, cross currency swap contracts, and nonderivative instruments such as foreign currency denominated debt to manage our exposure to changes in foreign exchange rates on certain Yen and Euro-denominated receivables and net investments. Currency forward contracts involve fixing the Yen:USD or Euro:USD exchange rate for delivery of a specified amount of foreign currency on a specified date. The currency forward contracts are typically cash settled in U.S. dollars for their fair value at or close to their settlement date.
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