v3.20.4

Securitization Transactions (Tables) | 12 Months Ended
--- | ---
Dec. 31, 2020
Securitization Transactions [Abstract] |
Securitization Transactions | 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) (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 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 2019-1 |  | 6/19 |  | $ | 226,913 |  |  | $ | 226,913 |  | (1)
Ellington Financial Mortgage Trust 2019-2 |  | 11/19 |  | 267,255 |  |  | 267,255 |  | (2)
Ellington Financial Mortgage Trust 2020-1 |  | 6/20 |  | 259,273 |  |  | 259,273 |  | (3)
Ellington Financial Mortgage Trust 2020-2 |  | 11/20 |  | 219,732 |  |  | 219,732 |  | (4)
(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 as of the settlement date 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. (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 as of the settlement date equal to 6.4% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.7 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 as of the settlement date equal to 8.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased another subordinated class of Certificates with an aggregate value equal to 3.5% of the fair value of all Certificates issued as of the settlement date. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.9 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (4)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 as of the settlement date equal to 7.6% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $1.4 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 Consolidated Balance Sheet as of December 31, 2020 and 2019:
(In thousands) |  | December 31, 2020 |  | December 31, 2019
Assets: |  |  |  |
Loans, at fair value |  | $ | 801,343 |  |  | $ | 628,415 |
Real estate owned |  | — |  |  | 658 |
Investment related receivables |  | 15,544 |  |  | 10,409 |
Liabilities: |  |  |  |
Other secured borrowings, at fair value |  | 754,921 |  |  | 594,396 |
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: |  |
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 |
Schedule of Repurchase Agreements [Table Text Block] | The following table details the Company's outstanding borrowings under repurchase agreements for Agency RMBS and credit assets (which can include non-Agency RMBS, CMBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), by remaining maturity as of December 31, 2020 and 2019:
|  | December 31, 2020 |  | December 31, 2019
|  |  |  | Weighted Average |  |  |  | Weighted Average
Remaining Maturity |  | Outstanding Borrowings |  | Interest Rate |  | Remaining Days to Maturity |  | Outstanding Borrowings |  | Interest Rate |  | Remaining Days to Maturity
Agency RMBS: |  | (In thousands) |  |  |  |  |  | (In thousands) |  |  |  |
30 Days or Less |  | $ | 265,556 |  |  | 0.28 | % |  | 17 |  | $ | 511,996 |  |  | 2.08 | % |  | 17
31-60 Days |  | 385,141 |  |  | 0.25 | % |  | 44 |  | 744,387 |  |  | 1.93 | % |  | 47
61-90 Days |  | 174,586 |  |  | 0.28 | % |  | 70 |  | 594,738 |  |  | 1.96 | % |  | 76
91-120 Days |  | — |  |  | — | % |  | — |  |  | 10,270 |  |  | 2.24 | % |  | 93
121-150 Days |  | 2,692 |  |  | 0.27 | % |  | 126 |  | — |  |  | — | % |  | — |
151-180 Days |  | 59,857 |  |  | 0.32 | % |  | 162 |  | 3,082 |  |  | 2.67 | % |  | 171
181-360 Days |  | 34,030 |  |  | 0.32 | % |  | 252 |  | — |  |  | — | % |  | — |
Total Agency RMBS |  | 921,862 |  |  | 0.27 | % |  | 57 |  | 1,864,473 |  |  | 1.98 | % |  | 48
Credit: |  |  |  |  |  |  |  |  |  |  |  |
30 Days or Less |  | 37,795 |  |  | 2.11 | % |  | 17 |  | 16,549 |  |  | 3.38 | % |  | 25
31-60 Days |  | 84,554 |  |  | 2.23 | % |  | 50 |  | 104,491 |  |  | 3.14 | % |  | 48
61-90 Days |  | 152,426 |  |  | 2.11 | % |  | 75 |  | 138,837 |  |  | 3.03 | % |  | 73
91-120 Days |  | 89,931 |  |  | 2.47 | % |  | 106 |  | — |  |  | — | % |  | — |
121-150 Days |  | 66,412 |  |  | 4.75 | % |  | 125 |  | 7,460 |  |  | 3.89 | % |  | 123
151-180 Days |  | 11,063 |  |  | 2.27 | % |  | 165 |  | 31,498 |  |  | 3.87 | % |  | 173
181-360 Days |  | 38,640 |  |  | 2.90 | % |  | 289 |  | 186,661 |  |  | 3.80 | % |  | 250
> 360 Days |  | 94,248 |  |  | 2.99 | % |  | 447 |  | 95,331 |  |  | 4.52 | % |  | 678
Total Credit Assets |  | 575,069 |  |  | 2.69 | % |  | 155 |  | 580,827 |  |  | 3.61 | % |  | 229
Total |  | $ | 1,496,931 |  |  | 1.20 | % |  | 94 |  | $ | 2,445,300 |  |  | 2.37 | % |  | 91
The following table details the Company's outstanding borrowings under reverse repurchase agreements for Agency RMBS, credit assets (which include non-Agency MBS, CLOs, consumer loans, corporate debt, residential mortgage loans, and commercial mortgage loans and REO), and U.S. Treasury securities, by remaining maturity as of December 31, 2018:
(In thousands) |  | December 31, 2018
|  |  |  | Weighted Average
Remaining Maturity |  | Outstanding Borrowings |  | Interest Rate |  | Remaining Days to Maturity
Agency RMBS: |  |  |  |  |  |
30 Days or Less |  | $ | 245,956 |  |  | 2.46 | % |  | 17
31-60 Days |  | 415,379 |  |  | 2.58 | % |  | 46
61-90 Days |  | 255,421 |  |  | 2.74 | % |  | 76
91-120 Days |  | 506 |  |  | 3.31 | % |  | 91
Total Agency RMBS |  | 917,262 |  |  | 2.59 | % |  | 47
Credit: |  |  |  |  |  |
30 Days or Less |  | 30,426 |  |  | 2.55 | % |  | 22
31-60 Days |  | 189,937 |  |  | 3.32 | % |  | 48
61-90 Days |  | 93,202 |  |  | 3.21 | % |  | 74
121-150 Days |  | 26,222 |  |  | 4.60 | % |  | 123
151-180 Days |  | 9,491 |  |  | 4.64 | % |  | 166
181-360 Days |  | 91,730 |  |  | 4.54 | % |  | 316
> 360 Days |  | 140,306 |  |  | 5.15 | % |  | 636
Total Credit Assets |  | 581,314 |  |  | 3.98 | % |  | 240
U.S. Treasury Securities: |  |  |  |  |  |
30 Days or Less |  | 273 |  |  | 3.10 | % |  | 2
Total U.S. Treasury Securities |  | 273 |  |  | 3.10 | % |  | 2
Total |  | $ | 1,498,849 |  |  | 3.13 | % |  | 122

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- Definition Tabular disclosure of the amounts included in the Consolidated Statement of Assets, Liabilities, and Equity attributable to securitization trusts that have been consolidated by the Company. + References No definition available. + Details
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- Definition The entire disclosure for repurchase agreements. + References Reference 1: http://fasb.org/us-gaap/role/ref/legacyRef -Publisher FASB -Name Accounting Standards Codification -Topic 235 -SubTopic 10 -Section S99 -Paragraph 1 -Subparagraph (SX 210.4-08.(m)(1)) -URI http://asc.fasb.org/extlink&oid=26873400&loc=d3e23780-122690 + Details
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