v3.22.2.2

Securitization Transactions (Tables) | 9 Months Ended
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Sep. 30, 2022
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 |  | 10/20 |  | 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)
Ellington Financial Mortgage Trust 2021-3 |  | 10/21 |  | 257,645 |  |  | 257,645 |  | (6)
Ellington Financial Mortgage Trust 2022-1 |  | 1/22 |  | 417,188 |  |  | 417,188 |  | (7)
Ellington Financial Mortgage Trust 2022-2 |  | 4/22 |  | 425,651 |  |  | 425,651 |  | (8)
Ellington Financial Mortgage Trust 2022-3 |  | 7/22 |  | 345,652 |  |  | 345,652 |  | (9)
(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 such subordinated classes of Certificates to third parties. 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. (6)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 6.3% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 2.0% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. The Sponsor also purchased, for an aggregate purchase price of $1.8 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (7)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 5.3% of the fair value of all Certificates issued. The Sponsor also purchased, for an aggregate purchase price of $3.6 million, the Certificates entitled to excess servicing fees, while the remaining classes of Certificates were purchased by unrelated third parties. (8)In order to comply with the Risk Retention Rules, the Sponsor purchased the two most subordinated class of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 5.6% 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. (9)In order to comply with the Risk Retention Rules, the Sponsor purchased the three most subordinated classes of Certificates and the excess cash flow certificates, with an aggregate value as of the settlement date equal to 6.0% of the fair value of all Certificates issued. Additionally, the Sponsor purchased one other subordinated class of Certificates with an aggregate value equal to 3.1% of the fair value of all Certificates issued as of the settlement date; the Company subsequently sold such subordinated class of Certificates to third parties. 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 September 30, 2022 and December 31, 2021:
(In thousands) |  | September 30, 2022 |  | December 31, 2021
Assets: |  |  |  |
Loans, at fair value |  | $ | 1,762,845 |  |  | $ | 1,041,545 |
Investment related receivables |  | 7,706 |  |  | 23,069 |
Liabilities: |  |  |  |
Other secured borrowings, at fair value |  | 1,635,829 |  |  | 984,168 |
Schedule of participation in consumer loan securitizations | The following table provides additional details for each such securitization.
Securitization Closing |  | UPB of Loans Sold to Consumer Securitization Issuer |  | % Contributed by the Company |  | Principal Amount of Notes Issued(1) |  | % Ownership of Consumer Risk Retention Vehicle
November 2020 |  | $ | 205,088 |  |  | 56.3 | % |  | $ | 193,650 |  |  | 56.3 | %
March 2022(2) |  | 193,450 |  |  | 24.7 | % |  | 400,000 |  |  | 24.6 | %
(1)Total principal amount of notes issued by the Consumer Securitization Issuer pursuant to the securitization. (2)UPB of loans sold to the Consumer Securitization Issuer represent the UPB of consumer loans sold by the Company and the Consumer Co-Participants. Such amount excludes $227.6 million of UPB of consumer loans sold to the Consumer Securitization Issuer by a third-party.

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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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