v3.21.2

Securitization Transactions (Tables) | 9 Months Ended
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Sep. 30, 2021
Securitization Transactions [Abstract] |
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 2019-2 |  | 11/19 |  | $ | 267,255 |  |  | $ | 267,255 |  | (1)
Ellington Financial Mortgage Trust 2020-1 |  | 6/20 |  | 259,273 |  |  | 259,273 |  | (2)
Ellington Financial Mortgage Trust 2020-2 |  | 11/20 |  | 219,732 |  |  | 219,732 |  | (3)
Ellington Financial Mortgage Trust 2021-1 |  | 2/21 |  | 251,771 |  |  | 251,771 |  | (4)
Ellington Financial Mortgage Trust 2021-2 |  | 6/21 |  | 331,777 |  |  | 331,777 |  | (5)
(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 6.4% 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. (2)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.1% of the fair value of all Certificates issued. Additionally, the Sponsor purchased two other subordinated classes of Certificates with an aggregate value equal to 6.4% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold one such subordinated class of Certificates to a third party. 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. (3)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.2% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 2.4% of the fair value of all Certificates issued. Finally, 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. (4)In order to comply with the Risk Retention Rules, the Sponsor purchased the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.4% of the fair value of all Certificates issued. Additionally, the Sponsor purchased the most subordinated class of Certificates with an aggregate value as of the settlement date equal to 0.4% of the fair value of all Certificates issued. Finally, the Sponsor also purchased, for an aggregate purchase price of $1.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (5)In order to comply with the Risk Retention Rules, the Sponsor purchased the most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.5% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $2.1 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, 2021 and December 31, 2020:
(In thousands) |  | September 30, 2021 |  | December 31, 2020
Assets: |  |  |  |
Loans, at fair value |  | $ | 917,275 |  |  | $ | 801,343 |
Investment related receivables |  | 26,871 |  |  | 15,544 |
Liabilities: |  |  |  |
Other secured borrowings, at fair value |  | 872,306 |  |  | 754,921 |

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