v3.20.4

Securitization Transactions Narrative (Details) - USD ($) $ in Thousands | 1 Months Ended | 12 Months Ended
--- | --- | ---
Nov. 30, 2020 | May 31, 2017 | Aug. 31, 2016 | Dec. 31, 2020 | Dec. 31, 2019 | Dec. 31, 2018
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Securities, at fair value(1)(2) | [1],[2] |  |  |  | $ 1,514,185 | $ 2,449,941 |
Face amount of notes distributed from Risk Retention Vehicle |  |  |  |  |  |  | $ 5,600
Proceeds received from equity investment in risk retention vehicle (liquidation) |  |  |  |  |  |  | $ 5,700
Minimum economic interest required to be retained |  |  |  |  |  |  | 5.00%
Fair Value |  |  |  |  |  |  | $ 2,939,311
Investment in unconsolidated entities, at fair value | [1] |  |  |  | 141,620 | $ 71,850 |
CLO I Securitization [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Loss on securitization of financial assets |  |  | $ 200 |  |  |  |
Participation in Multi-Seller Consumer Loan Securitization [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Aggregate unpaid principal balance of loans sold |  | $ 205,100 |  | $ 124,000 |  |  |
Company's share of loans sold |  | 56.30% |  | 51.00% |  |  |
Co-participants share of loans sold |  | 43.70% |  | 49.00% |  |  |
Loss on securitization of financial assets |  |  |  | $ (100) |  |  |
Senior notes issued in securitization transaction |  | $ 158,400 |  | 87,000 |  |  |
Subordinated notes issued in securitization transaction |  | $ 35,200 |  | $ 18,700 |  |  |
Company's initial percentage ownership of jointly owned entity |  | 56.30% |  | 51.00% |  |  |
Affiliated co-participants initial percentage ownership of jointly owned entity |  | 43.70% |  | 49.00% |  |  |
Investment in unconsolidated entities, at fair value |  |  |  |  | $ 19,100 |  |
Company's current percentage ownership of jointly owned entity |  |  |  |  | 56.30% |  | 62.00%
The Company [Member] | CLO I Securitization [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Corporate loans transferred into CLO securitization |  |  | 62,000 |  |  |  |
Affiliated Entity [Member] | CLO I Securitization [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Corporate loans transferred into CLO securitization |  |  | $ 141,700 |  |  |  |
CLOs |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Fair Value |  |  |  |  |  |  | $ 123,893
CLOs | CLO I Securitization [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Fair Value |  |  |  |  |  |  | 0
CLOs | Distributed from Risk Retention Vehicle [Member] |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Fair Value |  |  |  |  |  |  | $ 4,300
Non-QM loan securitization |  |  |  |  |  |  |
Securitization Transactions [Line Items] |  |  |  |  |  |  |
Threshold for exercising Optional Redemption |  |  |  |  | 30.00% | 30.00% |
Percentage used to calculate servicing administrator fee |  |  |  |  | 0.03% | 0.03% |
[1] | Ellington Financial Inc.'s Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.
[2] | Includes assets pledged as collateral to counterparties. See Note 11 for additional details on the Company's borrowings and related collateral.

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