Fair Value

The carrying amount of rents and other receivables, restricted cash, escrow deposits, prepaid expenses and other assets, and accounts payable and accrued expenses approximate fair value because of the short maturity of these amounts. The Company's interest rate cap agreement, contingently convertible Series E units liability and preferred shares derivative liability are the only financial instruments recorded at fair value on a recurring basis in the consolidated financial statements.

Our credit facility, asset-backed securitizations and secured note payable are also financial instruments, which are classified as Level 3 in the fair value hierarchy as they were estimated by using unobservable inputs. We estimated their fair values by modeling the contractual cash flows required under the instruments and discounting them back to their present values using estimates of current market rates. The following table displays the carrying values and fair values of our debt instruments as of December 31, 2015 and 2014 (in thousands):



	December 31, 2015				December 31, 2014
	Carrying Value		Fair Value		Carrying Value		Fair Value (1)
2014-SFR1 securitization	$	473,755	$	472,258	$	478,565	$	478,565
2014-SFR2 securitization	507,305		476,952		512,435		512,435
2014-SFR3 securitization	523,109		489,448		528,390		528,390
2015-SFR1 securitization	549,121		496,673		—		—
2015-SFR2 securitization	476,920		433,633		—		—
Total asset-backed securitizations	2,530,210		2,368,964		1,519,390		1,519,390
Secured note payable	50,752		48,631		51,644		51,644
Credit facility	—		—		207,000		207,000
Total debt	$	2,580,962	$	2,417,595	$	1,778,034	$	1,778,034


(1)	As of December 31, 2014, our debt instruments had been recently entered into and, therefore, management believes that their carrying values reasonably approximated their fair values, which were estimated by discounting future cash flows at market rates.

Inputs to the model used to value the contingently convertible Series E units liability include a risk-free rate corresponding to the assumed timing of the conversion date and a volatility input based on the historical volatilities of selected peer group companies. The starting point for the simulation is the most recent trading price in the Company's Class A common shares, into which the Series E convertible units are ultimately convertible. The timing of such conversion is based on the provisions of the contribution agreement and the Company's best estimate of the events that trigger such conversions.

Valuation of the preferred shares derivative liability considers scenarios in which the preferred shares would be redeemed or converted into Class A common shares by the Company and the subsequent payoffs under those scenarios. The valuation also considers certain variables such as the risk-free rate matching the assumed timing of either redemption or conversion, volatility of the underlying home price appreciation index, dividend payments, conversion rates, the assumed timing of either redemption or conversion and an assumed drift factor in home price appreciation across certain metropolitan statistical areas, or MSAs, as outlined in the agreement.

The fair value of our interest rate cap agreement is determined using the market standard methodology of discounting the future expected cash receipts that would occur if variable interest rates rise above the strike rate of the interest rate cap. The variable interest rates used in the calculation of projected receipts on the cap are based on an expectation of future interest rates derived from observable market interest rate curves and volatilities. To comply with the provisions of ASC 820, Fair Value Measurements and Disclosures, the Company incorporates credit valuation adjustments to appropriately reflect the respective counterparty's nonperformance risk in the fair value measurements.

The following tables set forth the fair value of our interest rate cap agreement, the contingently convertible Series E units liability and preferred shares derivative liability as of December 31, 2015 and 2014 (in thousands):



	December 31, 2015
Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets:
Interest rate cap agreement	$	—	$	—	$	—	$	—

Liabilities:
Contingently convertible Series E units liability	$	—	$	—	$	69,957	$	69,957
Preferred shares derivative liability	$	—	$	—	$	62,790	$	62,790



	December 31, 2014
Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Assets:
Interest rate cap agreement	$	—	$	14	$	—	$	14

Liabilities:
Contingently convertible Series E units liability	$	—	$	—	$	72,057	$	72,057
Preferred shares derivative liability	$	—	$	—	$	57,960	$	57,960

The following table presents changes in the fair values of our Level 3 financial instruments, consisting of our contingently convertible Series E units liability and preferred shares derivative liability, which are measured on a recurring basis with changes in fair value recognized in remeasurement of Series E convertible units and remeasurement of preferred shares, respectively, in the consolidated statements of operations, for the years ended December 31, 2015 and 2014 (in thousands):



Description	January 1, 2015		Issuances		Remeasurement included in earnings			December 31, 2015
Liabilities:
Contingently convertible Series E units liability	$	72,057	$	—	$	(2,100	)	$	69,957
Preferred shares derivative liability	$	57,960	$	—	$	4,830		$	62,790



Description	January 1, 2014		Issuances		Remeasurement included in earnings		December 31, 2014
Liabilities:
Contingently convertible Series E units liability	$	66,938	$	—	$	5,119	$	72,057
Preferred shares derivative liability	$	28,150	$	23,652	$	6,158	$	57,960

Changes in inputs or assumptions used to value the contingently convertible Series E units liability and preferred shares derivative liability may have a material impact on the resulting valuation.