Securitization Transactions (Tables)

9 Months Ended

Sep. 30, 2019

Securitization Transactions [Abstract]

Securitization Transactions

The following table details the Company's investments in notes issued by the Ellington-sponsored CLO Securitizations:

Securitization Transaction

CLO Issuer⁽¹⁾

CLO Pricing Date

CLO Closing Date

Total Face Amount of Notes Issued

Face Amount of Notes Initially Purchased

Aggregate Purchase Price of Notes Initially Purchased

Fair Value of Notes Held as of September 30, 2019

(In thousands)

CLO I Securitization

CLO I Issuer

8/18

461,840

36,579

⁽²⁾

25,622

14,071

⁽³⁾

CLO II Securitization

CLO II Issuer

12/17

1/18

452,800

18,223

⁽⁴⁾

16,621

12,079

⁽³⁾

CLO III Securitization

CLO III Issuer

6/18

7/18

407,100

35,480

⁽⁴⁾

32,394

13,886

⁽⁵⁾

CLO IV Securitization

CLO IV Issuer

2/19

3/19

478,488

12,700

⁽⁴⁾

10,618

9,176

⁽⁵⁾


(1)	The Company is not deemed to be the primary beneficiary of the CLO Issuers, which are deemed to be VIEs, as discussed above.


(2)	The Company purchased secured and unsecured subordinated notes.


(3)	Includes secured and unsecured subordinated notes.


(4)	The Company purchased secured senior and secured and unsecured subordinated notes.


(5)	Includes secured senior and secured and unsecured subordinated notes.

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

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)	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 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 2017-1	11/17	$	141,233	$	141,233	⁽¹⁾
Ellington Financial Mortgage Trust 2018-1	11/18	232,518		232,518		⁽²⁾
Ellington Financial Mortgage Trust 2019-1	6/19	226,913		226,913		⁽³⁾

(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.

(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 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.

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)

(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 Condensed Consolidated Balance Sheet as of September 30, 2019:



(In thousands)	September 30, 2019
Assets:
Loans, at fair value	$	466,297
Real estate owned	658
Investment related receivables	4,750
Liabilities:
Other secured borrowings, at fair value	438,629

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:
Cash and cash equivalents	$	—
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