v3.19.3

Securitization Transactions (Tables) | 9 Months Ended
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Sep. 30, 2019
Securitization Transactions [Abstract] |
Securitization Transactions | The following table details the Company's investments in notes issued by the Ellington-sponsored CLO Securitizations:
Securitization Transaction |  | CLO Issuer(1) |  | CLO Pricing Date |  | CLO Closing Date |  | Total Face Amount of Notes Issued |  | Face Amount of Notes Initially Purchased |  | Aggregate Purchase Price of Notes Initially Purchased |  | Fair Value of Notes Held as of September 30, 2019
|  |  |  |  |  |  |  | (In thousands)
CLO I Securitization |  | CLO I Issuer |  | 8/18 |  | 8/18 |  | $ | 461,840 |  |  | $ | 36,579 |  | (2) |  | $ | 25,622 |  |  | $ | 14,071 |  | (3)
CLO II Securitization |  | CLO II Issuer |  | 12/17 |  | 1/18 |  | 452,800 |  |  | 18,223 |  | (4) |  | 16,621 |  |  | 12,079 |  | (3)
CLO III Securitization |  | CLO III Issuer |  | 6/18 |  | 7/18 |  | 407,100 |  |  | 35,480 |  | (4) |  | 32,394 |  |  | 13,886 |  | (5)
CLO IV Securitization |  | CLO IV Issuer |  | 2/19 |  | 3/19 |  | 478,488 |  |  | 12,700 |  | (4) |  | 10,618 |  |  | 9,176 |  | (5)
(1) | The Company is not deemed to be the primary beneficiary of the CLO Issuers, which are deemed to be VIEs, as discussed above.
(2) | The Company purchased secured and unsecured subordinated notes.
(3) | Includes secured and unsecured subordinated notes.
(4) | The Company purchased secured senior and secured and unsecured subordinated notes.
(5) | Includes secured senior and secured and unsecured subordinated notes.
The following table details the Company’s investments in notes issued by the Ellington-sponsored CLO Securitizations:
CLO Issuer(1) |  | CLO Pricing Date |  | CLO Closing Date |  | Total Face Amount of Notes Issued |  | Face Amount of Notes Initially Purchased |  | Aggregate Purchase Price |  | Notes Held(2) as of
|  |  |  |  |  | December 31, 2018
($ in thousands) |  |  |  |  |  |  |  |  |  |
CLO I Issuer(3)(4) |  | 5/17 |  | 6/17 |  | $ | 373,550 |  |  | $ | 36,606 |  | (5) |  | $ | 35,926 |  |  | $ | — |  |
CLO I Issuer(4) |  | 8/18 |  | 8/18 |  | 461,840 |  |  | 36,579 |  | (5) |  | 25,622 |  |  | 16,973 |  | (6)
CLO II Issuer |  | 12/17 |  | 1/18 |  | 452,800 |  |  | 18,223 |  | (7) |  | 16,621 |  |  | 14,721 |  | (6)
CLO III Issuer |  | 6/18 |  | 7/18 |  | 407,100 |  |  | 35,480 |  | (7) |  | 32,394 |  |  | 19,071 |  | (8)
(1) | The Company does not have the power to direct the activities of the CLO Issuers that most significantly impact their economic performance.
(2) | Included on the Company's Consolidated Condensed Schedule of Investments in Collateralized Loan Obligations.
(3) | Excludes the Company's equity investment in the CLO I Risk Retention Vehicle, as discussed above.
(4) | In August 2018, the notes originally issued by the CLO I Issuer in 2017 were fully redeemed, and the CLO I Issuer simultaneously issued new notes in conjunction with this full redemption.
(5) | The Company purchased secured and unsecured subordinated notes.
(6) | Includes secured and unsecured subordinated notes.
(7) | The Company purchased secured senior and secured and unsecured subordinated notes.
(8) | Includes secured senior and secured and unsecured subordinated notes.
Schedule of Residential Loan Securitizations | The following table details the Company's consolidated residential mortgage loan securitizations:
Issuing Entity |  | Closing Date |  | Principal Balance of Loans Transferred to the Depositor |  | Total Face Amount of Certificates Issued
|  |  |  | (In thousands)
Ellington Financial Mortgage Trust 2017-1 |  | 11/17 |  | $ | 141,233 |  |  | $ | 141,233 |  | (1)
Ellington Financial Mortgage Trust 2018-1 |  | 11/18 |  | 232,518 |  |  | 232,518 |  | (2)
Ellington Financial Mortgage Trust 2019-1 |  | 6/19 |  | 226,913 |  |  | 226,913 |  | (3)
(1) | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
(2) | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
(3) | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 6.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.2 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
The following table details the residential mortgage loan securitizations:
Issuing Entity |  | Closing Date |  | Principal Balance of Loans Transferred to the Depositor |  | Total Face Amount of Certificates Issued
|  |  |  | (In thousands)
Ellington Financial Mortgage Trust 2017-1 |  | 11/15/2017 |  | $ | 141,233 |  |  | $ | 141,233 |  | (1)
Ellington Financial Mortgage Trust 2018-1 |  | 11/13/2018 |  | 232,518 |  |  | 232,518 |  | (2)
(1) | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.1% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $0.7 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
(2) | In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value equal to 5.7% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.3 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties.
Schedule of Assets and Liabilities of Consolidated Securitization Trusts | The following table details the assets and liabilities of the consolidated securitization trusts included in the Company's Condensed Consolidated Balance Sheet as of September 30, 2019:
(In thousands) |  | September 30, 2019
Assets: |  |
Loans, at fair value |  | $ | 466,297 |
Real estate owned |  | 658 |
Investment related receivables |  | 4,750 |
Liabilities: |  |
Other secured borrowings, at fair value |  | 438,629 |
The following table details the assets and liabilities of the consolidated securitization trusts included in the Company’s Consolidated Statement of Assets, Liabilities, and Equity as of December 31, 2018:
|  | As of
(In thousands) |  | December 31, 2018
Assets: |  |
Cash and cash equivalents |  | $ | — |
Investments, at fair value |  | 314,202 |
Interest and dividends receivable |  | 3,527 |
Liabilities: |  |
Interest and dividends payable |  | 103 |
Other secured borrowings, at fair value |  | 297,948 |

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