v3.20.1

Securitization Transactions (Tables) | 3 Months Ended
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Mar. 31, 2020
Securitization Transactions [Abstract] |
Securitization Transactions | The following table provides details of the Ellington-sponsored CLO Securitizations and the Company's initial 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 |  | Notes Initially Purchased by the Company
Securitization Transaction |  |  |  |  |  | Face Amount |  | Aggregate Purchase Price
|  |  |  |  |  |  |  | (In thousands)
CLO I Securitization |  | CLO I Issuer |  | 8/18 |  | 8/18 |  | $ | 461,840 |  |  | $ | 36,579 |  | (2) |  | $ | 25,622 |
CLO II Securitization |  | CLO II Issuer |  | 12/17 |  | 1/18 |  | 452,800 |  |  | 18,223 |  | (3) |  | 16,621 |
CLO III Securitization |  | CLO III Issuer |  | 6/18 |  | 7/18 |  | 407,100 |  |  | 35,480 |  | (3) |  | 32,394 |
CLO IV Securitization |  | CLO IV Issuer |  | 2/19 |  | 3/19 |  | 478,488 |  |  | 12,700 |  | (3) |  | 10,618 |
(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) The Company purchased secured senior and secured and unsecured subordinated notes.
Schedule of Residential Loan Securitizations | The following table details the Company's outstanding 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 2018-1 |  | 11/18 |  | $ | 232,518 |  |  | $ | 232,518 |  | (1)
Ellington Financial Mortgage Trust 2019-1 |  | 6/19 |  | 226,913 |  |  | 226,913 |  | (2)
Ellington Financial Mortgage Trust 2019-2 |  | 11/19 |  | 267,255 |  |  | 267,255 |  | (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 5.7% 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.
(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 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.
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 March 31, 2020 and December 31, 2019:
(In thousands) |  | March 31, 2020 |  | December 31, 2019
Assets: |  |  |  |
Loans, at fair value |  | $ | 581,181 |  |  | $ | 628,415 |
Real estate owned |  | 658 |  |  | 658 |
Investment related receivables |  | 9,819 |  |  | 10,409 |
Liabilities: |  |  |  |
Other secured borrowings, at fair value |  | 549,668 |  |  | 594,396 |

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