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Fair Value | 12 Months Ended
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Dec. 31, 2016
Fair Value Disclosures [Abstract] |
Fair Value | 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 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 facilities, term loan 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. Our exchangeable senior notes are also financial instruments, which are classified as Level 2 in the fair value hierarchy as their fair value is estimated using observable inputs, based on the market value of the last trade at the end of the period. The following table displays the carrying values and fair values of our debt instruments as of December 31, 2016 and 2015 (in thousands):
| December 31, 2016 |  | December 31, 2015
| Carrying Value |  | Fair Value |  | Carrying Value |  | Fair Value
2014-SFR1 securitization | $ | 456,074 |  |  | $ | 465,343 |  |  | $ | 473,755 |  |  | $ | 472,258 |
2014-SFR2 securitization | 501,810 |  |  | 510,941 |  |  | 507,305 |  |  | 476,952 |
2014-SFR3 securitization | 517,827 |  |  | 530,549 |  |  | 523,109 |  |  | 489,448 |
2015-SFR1 securitization | 543,480 |  |  | 553,689 |  |  | 549,121 |  |  | 496,673 |
2015-SFR2 securitization | 472,043 |  |  | 483,901 |  |  | 476,920 |  |  | 433,633 |
Total asset-backed securitizations (1) | 2,491,234 |  |  | 2,544,423 |  |  | 2,530,210 |  |  | 2,368,964 |
Exchangeable senior notes, net (2) | 108,148 |  |  | 142,808 |  |  | — |  |  | — |
Secured note payable | 49,828 |  |  | 50,053 |  |  | 50,752 |  |  | 48,631 |
Term loan facility (3) | 325,000 |  |  | 325,000 |  |  | — |  |  | — |
Total debt | $ | 2,974,210 |  |  | $ | 3,062,284 |  |  | $ | 2,580,962 |  |  | $ | 2,417,595 |
(1) | The carrying values of the asset-backed securitizations exclude $48.4 million and $56.6 million of deferred financing costs as of December 31, 2016, and December 31, 2015, respectively.
(2) | The carrying value of the exchangeable senior notes, net is presented net of an unamortized discount.
(3) | The carrying value of the term loan facility excludes $3.3 million of deferred financing costs as of December 31, 2016. As our term loan facility bears interest at a floating rate based on an index plus a spread, which is a LIBOR rate plus a margin ranging from 1.70% to 2.30% or a base rate (generally determined according to a prime rate or federal funds rate) plus a margin ranging from 0.70% to 1.30%, management believes that the carrying value of the term loan facility as of December 31, 2016, reasonably approximates fair value.
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 MSAs as outlined in the agreement. The following tables set forth the fair value of the contingently convertible Series E units liability and preferred shares derivative liability as of December 31, 2016 and 2015 (in thousands):
|  | December 31, 2016
Description |  | Quoted Prices in Active Markets for Identical Assets (Level 1) |  | Significant Other Observable Inputs (Level 2) |  | Significant Unobservable Inputs (Level 3) |  | Total
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Preferred shares derivative liability |  | $ | — |  |  | $ | — |  |  | $ | 69,810 |  |  | $ | 69,810 |
|  | 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
Liabilities: |  |  |  |  |  |  |  |  |  |  |  |
Contingently convertible Series E units liability |  | $ | — |  |  | $ | — |  |  | $ | 69,957 |  |  | $ | 69,957 |
Preferred shares derivative liability |  | $ | — |  |  | $ | — |  |  | $ | 62,790 |  |  | $ | 62,790 |
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, 2016 and 2015 (in thousands):
Description |  | January 1, 2016 |  | Conversions |  | Gain and remeasurement included in earnings |  | December 31, 2016
Liabilities: |  |  |  |  |  |  |  |  |  |  |
Contingently convertible Series E units liability |  | $ | 69,957 |  |  | $ | (58,494 | ) |  | $ | (11,463 | ) |  | $ | — |
Preferred shares derivative liability |  | $ | 62,790 |  |  | $ | — |  |  | $ | 7,020 |  |  | $ | 69,810 |
Description |  | January 1, 2015 |  | Conversions |  | 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 |
Changes in inputs or assumptions used to value the preferred shares derivative liability may have a material impact on the resulting valuation.

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- Definition The entire disclosure for the fair value of financial instruments (as defined), including financial assets and financial liabilities (collectively, as defined), and the measurements of those instruments as well as disclosures related to the fair value of non-financial assets and liabilities. Such disclosures about the financial instruments, assets, and liabilities would include: (1) the fair value of the required items together with their carrying amounts (as appropriate); (2) for items for which it is not practicable to estimate fair value, disclosure would include: (a) information pertinent to estimating fair value (including, carrying amount, effective interest rate, and maturity, and (b) the reasons why it is not practicable to estimate fair value; (3) significant concentrations of credit risk including: (a) information about the activity, region, or economic characteristics identifying a concentration, (b) the maximum amount of loss the entity is exposed to based on the gross fair value of the related item, (c) policy for requiring collateral or other security and information as to accessing such collateral or security, and (d) the nature and brief description of such collateral or security; (4) quantitative information about market risks and how such risks are managed; (5) for items measured on both a recurring and nonrecurring basis information regarding the inputs used to develop the fair value measurement; and (6) for items presented in the financial statement for which fair value measurement is elected: (a) information necessary to understand the reasons for the election, (b) discussion of the effect of fair value changes on earnings, (c) a description of [similar groups] items for which the election is made and the relation thereof to the balance sheet, the aggregate carrying value of items included in the balance sheet that are not eligible for the election; (7) all other required (as defined) and desired information. + References Reference 1: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 820 -SubTopic 10 -Section 50 -Paragraph 2 -URI http://asc.fasb.org/extlink&oid=66048111&loc=d3e19207-110258 Reference 2: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 30 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14172-108612 Reference 3: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 28 -URI http://asc.fasb.org/extlink&oid=6957238&loc=d3e14064-108612 Reference 4: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 21 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13537-108611 Reference 5: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 16 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13504-108611 Reference 6: http://www.xbrl.org/2003/role/presentationRef -Publisher FASB -Name Accounting Standards Codification -Topic 825 -SubTopic 10 -Section 50 -Paragraph 10 -URI http://asc.fasb.org/extlink&oid=73719730&loc=d3e13433-108611 + Details
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