Securitization Transactions (Tables)

12 Months Ended

Dec. 31, 2020

Securitization Transactions [Abstract]

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