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 participating preferred shares derivative liability are the only financial instruments recorded at fair value on a recurring basis in the condensed consolidated financial statements.

Our revolving credit facility, 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 March 31, 2017, and December 31, 2016 (in thousands):



	March 31, 2017				December 31, 2016
	Carrying Value		Fair Value		Carrying Value		Fair Value
AH4R 2014-SFR1 securitization	$	455,385	$	465,034	$	456,074	$	465,343
AH4R 2014-SFR2 securitization	500,527		507,508		501,810		510,941
AH4R 2014-SFR3 securitization	516,144		523,943		517,827		530,549
AH4R 2015-SFR1 securitization	542,099		546,653		543,480		553,689
AH4R 2015-SFR2 securitization	470,849		478,496		472,043		483,901
Total asset-backed securitizations (1)	2,485,004		2,521,634		2,491,234		2,544,423
Exchangeable senior notes, net (2)	108,988		157,465		108,148		142,808
Secured note payable	49,583		50,074		49,828		50,053
Term loan facility (3)	350,000		350,000		325,000		325,000
Total debt	$	2,993,575	$	3,079,173	$	2,974,210	$	3,062,284


(1)	The carrying values of the asset-backed securitizations exclude $46.4 million and $48.4 million of deferred financing costs as of March 31, 2017, and December 31, 2016, 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 $3.1 million and $3.3 million of deferred financing costs as of March 31, 2017, and December 31, 2016, respectively. 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 reasonably approximates fair value.

Valuation of the participating preferred shares derivative liability considers scenarios in which the participating 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 following tables set forth the fair value of the participating preferred shares derivative liability as of March 31, 2017, and December 31, 2016 (in thousands):



	March 31, 2017
Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total
Liabilities:
Participating preferred shares derivative liability	$	—	$	—	$	75,220	$	75,220



	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:
Participating preferred shares derivative liability	$	—	$	—	$	69,810	$	69,810

The following tables present changes in the fair values of our Level 3 financial instruments that are measured on a recurring basis with changes in fair value recognized in remeasurement of participating preferred shares in the condensed consolidated statements of operations for the three months ended March 31, 2017 and 2016 (in thousands):



Description	January 1, 2017		Issuances		Conversions		Remeasurement included in earnings		March 31, 2017
Liabilities:
Participating preferred shares derivative liability	$	69,810	$	—	$	—	$	5,410	$	75,220



Description	January 1, 2016		Issuances		Conversions			Gain and remeasurement included in earnings			March 31, 2016
Liabilities:
Contingently convertible Series E units liability	$	69,957	$	—	$	(58,494	)	$	(11,463	)	$	—
Participating preferred shares derivative liability	$	62,790	$	—	$	—		$	300		$	63,090

Changes in inputs or assumptions used to value the participating preferred shares derivative liability may have a material impact on the resulting valuation.