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Other Investments | 3 Months Ended
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Mar. 31, 2020
Investments, All Other Investments [Abstract] |
Other Investments | Other Investments Other investments at March 31, 2020 and December 31, 2019 are summarized in the following table. Table 10.1 – Components of Other Investments
(In Thousands) |  | March 31, 2020 |  | December 31, 2019
Servicer advance investments |  | $ | 298,946 |  |  | $ | 169,204 |
Shared home appreciation options |  | 40,642 |  |  | 45,085 |
Excess MSRs |  | 31,788 |  |  | 31,814 |
Mortgage servicing rights |  | 23,616 |  |  | 42,224 |
Investment in multifamily loan fund |  | 15,731 |  |  | 39,802 |
Other |  | 35,497 |  |  | 30,001 |
Total Other Investments |  | $ | 446,220 |  |  | $ | 358,130 |
Servicer advance investments In 2018, we and a third-party co-investor, through two partnerships (“SA Buyers”) consolidated by us, purchased the outstanding servicer advances and excess MSRs related to a portfolio of legacy residential mortgage-backed securitizations serviced by the co-investor (Refer to our Annual Report on Form 10-K for the year ended December 31, 2019 for additional information regarding the transaction). At March 31, 2020, we had funded $90 million of total capital to the SA Buyers (see Note 16 for additional detail). At March 31, 2020, our servicer advance investments had a carrying value of $299 million and were associated with a portfolio of residential mortgage loans with an unpaid principal balance of $10.25 billion. The outstanding servicer advance receivables associated with this investment were $283 million at March 31, 2020, which were financed with short-term non-recourse securitization debt (see Note 13 for additional detail on this debt). The servicer advance receivables were comprised of the following types of advances at March 31, 2020 and December 31, 2019: Table 10.2 – Components of Servicer Advance Receivables
(In Thousands) |  | March 31, 2020 |  | December 31, 2019
Principal and interest advances |  | $ | 113,612 |  |  | $ | 15,081 |
Escrow advances (taxes and insurance advances) |  | 117,876 |  |  | 96,732 |
Corporate advances |  | 51,255 |  |  | 39,769 |
Total Servicer Advance Receivables |  | $ | 282,743 |  |  | $ | 151,582 |
We account for our servicer advance investments at fair value and during the three months ended March 31, 2020 and 2019, we recorded $3 million of interest income associated with these investments for each of these periods, and recorded a net market valuation loss of $6 million and a net market valuation gain of $1 million, respectively, through Investment fair value changes, net in our consolidated statements of income (loss). Mortgage Servicing Rights We invest in mortgage servicing rights associated with residential mortgage loans and contract with licensed sub-servicers to perform all servicing functions for these loans. The majority of our investments in MSRs were made through the retention of servicing rights associated with the residential jumbo mortgage loans that we acquired and subsequently transferred to third parties. We hold our MSR investments at our taxable REIT subsidiaries. At March 31, 2020 and December 31, 2019, our MSRs had a fair value of $24 million and $42 million, respectively, and were associated with loans with an aggregate principal balance of $4.10 billion and $4.35 billion, respectively. The following table presents activity for MSRs for the three months ended March 31, 2020 and 2019. Table 10.3 – Activity for MSRs
|  | Three Months Ended March 31,
(In Thousands) |  | 2020 |  | 2019
Balance at beginning of period |  | $ | 42,224 |  |  | $ | 60,281 |
Additions |  | — |  |  | 104 |
Changes in fair value due to: |  |  |  |
Changes in assumptions (1) |  | (16,746 | ) |  | (3,586 | )
Other changes (2) |  | (1,862 | ) |  | (1,515 | )
Balance at End of Period |  | $ | 23,616 |  |  | $ | 55,284 |
(1) | Primarily reflects changes in prepayment assumptions due to changes in market interest rates.
(2) | Represents changes due to the realization of expected cash flows.
The following table presents the components of our MSR income (loss) for the three months ended March 31, 2020 and 2019. Table 10.4 – Components of MSR Income (Loss), net
|  | Three Months Ended March 31,
(In Thousands) |  | 2020 |  | 2019
Servicing income |  | $ | 3,311 |  |  | $ | 3,610 |
Cost of sub-servicer |  | (478 | ) |  | (503 | )
Net servicing fee income |  | 2,833 |  |  | 3,107 |
Market valuation changes of MSRs |  | (18,608 | ) |  | (5,101 | )
Market valuation changes of associated derivatives |  | 13,966 |  |  | 2,251 |
MSR Income (Loss), Net (1) |  | $ | (1,809 | ) |  | $ | 257 |
(1) | MSR income, net is included in Other income on our consolidated statements of income (loss).
Excess MSRs In association with our servicer advance investments described above, we (through our consolidated SA Buyers) invested in excess MSRs associated with the same portfolio of legacy residential mortgage-backed securitizations. Additionally, we own excess MSRs associated with specified pools of multifamily loans. We account for our excess MSRs at fair value and during the three months ended March 31, 2020 and 2019, we recognized $3 million and $2 million of interest income, respectively, through Other interest income, and recorded net market valuation loss es of $9 million and $0.4 million, respectively, through Investment fair value changes, net on our consolidated statements of income (loss). Investment in Multifamily Loan Fund In January 2019, we invested in a limited partnership created to acquire floating rate, light-renovation multifamily loans from Freddie Mac. We committed to fund an aggregate of $78 million to the partnership, and have funded approximately $54 million at March 31, 2020. During the three months ended March 31, 2020, we acquired $28 million of securities from the partnership's first securitization transaction. At March 31, 2020, the carrying amount of our investment in the partnership was $16 million. During the three months ended March 31, 2020, we recorded $1 million of income associated with this investment in Other income on our consolidated statements of income (loss). Shared Home Appreciation Options In the third quarter of 2019, we entered into a flow purchase agreement to acquire shared home appreciation options. At March 31, 2020, we had acquired $47 million of shared home appreciation options under this flow purchase agreement and had an outstanding commitment to fund up to an additional $3 million under this agreement. We account for these investments under the fair value option and during the three months ended March 31, 2020, we recorded a net market valuation loss of $8 million related to these assets through Investment fair value changes, net on our consolidated statements of income (loss).

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