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)
We had the following Euro:USD forward contracts designated as net investment hedges at December 31, 2023 and 2022 (in millions): Asset (Liability) Value as of December 31, December 31, Notional Value Maturity Date 2023 2022 € 50.0................................... January 13, 2023 — (2.9) € 15.0................................... March 15, 2023 — 0.7 € 15.0................................... March 15, 2023 — 0.7 € 45.0................................... April 12, 2023 — (0.2) € 44.0................................... September 15, 2023 — (0.1) € 50.0................................... December 15, 2023 — (2.8) € 50.0................................... January 17, 2024 (0.4) — € 30.0................................... March 15, 2024 1.0 1.3 € 51.0................................... March 15, 2024 (3.6) (2.8) € 20.0................................... April 12, 2024 (0.1) — € 25.0................................... July 17, 2024 0.7 € 37.0................................... December 13, 2024 (0.9) — € 37.0................................... December 13, 2024 (0.9) — € 50.0................................... March 17, 2025 (1.1) — Asset balances in the above table are included in deferred costs and other assets. Liability balances in the above table are included in other liabilities. We have designated certain derivative and nonderivative instruments as net investment hedges. Accordingly, we report the changes in fair value in other comprehensive income (loss). For the years ended December 31, 2023, 2022, and 2021 we recorded gains (losses) of ($45.2 million), $131.7 million, and 176.0 million, respectively, in the cumulative translation adjustment section of the other comprehensive income (loss). Changes in the value of these instruments are offset by changes in the underlying hedged Euro investments. The total accumulated other comprehensive income (loss) related to Simon’s derivative activities, including our share of other comprehensive income (loss) from unconsolidated entities, was $48.7 million and $36.5 million as of December 31, 2023 and 2022, respectively. The total accumulated other comprehensive income (loss) related to the Operating Partnership’s derivative activities, including our share of the other comprehensive income (loss) from unconsolidated entities, was $56.1 million and $41.8 million as of December 31, 2023 and 2022, respectively. The exchange option of our exchangeable bonds is valued as a derivative liability using an option pricing model that incorporates the observed period ending price of the exchangeable bonds and secondary market prices of comparable unsecured senior notes without an exchange feature. The key assumptions utilized are the period ending share-price of Klépierre, share-price implied volatility, the EUR risk-free rate, Klépierre expected dividend yield, time to maturity, and the comparable spread to the EUR risk-free rate of unsecured senior notes without an exchange feature. The fair value of the option is recorded in other liabilities in the consolidated balance sheets and changes to the value of the option are recognized in the consolidated statements of operations and comprehensive income in unrealized gains (losses) in fair value of publicly traded equity instruments and derivative instrument, net.
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