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 participating preferred shares derivative liability is the only financial instrument 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 September 30, 2017, and December 31, 2016 (in thousands):



	September 30, 2017				December 31, 2016
	Carrying Value		Fair Value		Carrying Value		Fair Value
AH4R 2014-SFR1 securitization	$	—	$	—	$	456,074	$	465,343
AH4R 2014-SFR2 securitization	497,743		506,835		501,810		510,941
AH4R 2014-SFR3 securitization	513,361		523,653		517,827		530,549
AH4R 2015-SFR1 securitization	539,199		546,630		543,480		553,689
AH4R 2015-SFR2 securitization	468,461		477,401		472,043		483,901
Total asset-backed securitizations (1)	2,018,764		2,054,519		2,491,234		2,544,423
Exchangeable senior notes, net (2)	110,771		143,297		108,148		142,808
Secured note payable	49,107		49,383		49,828		50,053
Term loan facility (3)	200,000		200,000		325,000		325,000
Total debt	$	2,378,642	$	2,447,199	$	2,974,210	$	3,062,284


(1)	The carrying values of the asset-backed securitizations exclude $37.3 million and $48.4 million of deferred financing costs as of September 30, 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 $2.1 million and $3.3 million of deferred financing costs as of September 30, 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 0.90% to 1.75% or a base rate (generally determined according to a prime rate or federal funds rate) plus a margin ranging from 0.00% to 0.75%, 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 Series A and B participating preferred shares were converted into Class A common shares on October 3, 2017, and the related participating preferred shares derivative liability was therefore remeasured based on the actual liquidation value at September 30, 2017 (see Note 9).

The following tables set forth the fair value of the participating preferred shares derivative liability as of September 30, 2017, and December 31, 2016 (in thousands):



	September 30, 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	$	—	$	—	$	68,469	$	68,469



	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 within the condensed consolidated statements of operations for the nine months ended September 30, 2017 and 2016 (in thousands):



Description	January 1, 2017		Conversions		Remeasurement included in earnings			September 30, 2017
Liabilities:
Participating preferred shares derivative liability	$	69,810	$	—	$	(1,341	)	$	68,469



Description	January 1, 2016		Conversions			Gain and remeasurement included in earnings			September 30, 2016
Liabilities:
Contingently convertible Series E units liability	$	69,957	$	(58,494	)	$	(11,463	)	$	—
Participating preferred shares derivative liability	$	62,790	$	—		$	2,940		$	65,730

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