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Information regarding the Company's interest rate swaps measured at fair value, which are classified within Level 2 of the GAAP fair value hierarchy, is presented below (dollars in thousands):
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Fair Value |
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Number of Contracts |
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Notional Amount |
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Other Assets, net |
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Interest Rate Swap Liabilities |
| As of March 31, 2022 |
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| Interest Rate Swaps |
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19 |
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$ |
1,125,000 |
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$ |
13,646 |
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$ |
3,821 |
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| As of December 31, 2021 |
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| Interest Rate Swaps |
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19 |
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$ |
1,125,000 |
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$ |
— |
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$ |
33,757 |
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The following table presents the effect of our derivative instruments on our consolidated financial statements (dollars in thousands):
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| Fair value at December 31, 2020 |
$ |
(77,918) |
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Swap ineffectiveness |
17 |
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Losses on interest rate swaps reclassified into interest expense from accumulated other comprehensive loss |
4,957 |
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Unrealized losses on interest rate swaps included in accumulated other comprehensive (loss) income |
20,900 |
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| Fair value at March 31, 2021 |
$ |
(52,044) |
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| Fair value at December 31, 2021 |
$ |
(33,757) |
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Losses on interest rate swaps reclassified into interest expense from accumulated other comprehensive income |
4,974 |
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Unrealized gains on interest rate swaps included in accumulated other comprehensive (loss) income |
38,608 |
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| Fair value at March 31, 2022 |
$ |
9,825 |
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