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Investment in Loans (Narrative) (Details)
$ in Thousands
 3 Months Ended 6 Months Ended 12 Months Ended
Jun. 30, 2022
USD ($)
loan
Mar. 31, 2022
USD ($)
Jun. 30, 2021
USD ($)
Jun. 30, 2022
USD ($)
loan
Jun. 30, 2021
USD ($)
Dec. 31, 2021
USD ($)
loan
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value [1],[2] $ 3,490,820     $ 3,490,820   $ 2,415,321
Unpaid Principal Balance 3,627,673     3,627,673   2,366,724
Debt Securities, Available-for-sale, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date       $ 300   300
Investment in Loans       Investment in Loans
The Company invests in various types of loans, such as residential mortgage, commercial mortgage, consumer, and corporate loans. As discussed in Note 2, the Company has elected the FVO for its investments in loans. The following table is a summary of the Company's investments in loans as of June 30, 2022 and December 31, 2021:
As of
(In thousands)June 30, 2022December 31, 2021
Loan TypeUnpaid Principal BalanceFair
Value		Unpaid Principal BalanceFair
Value
Residential mortgage loans$3,130,882 $2,995,584 $1,969,874 $2,016,228 
Commercial mortgage loans478,842 477,378 326,438 326,197 
Consumer loans7,501 7,410 59,881 62,365 
Corporate loans10,448 10,448 10,531 10,531 
Total$3,627,673 $3,490,820 $2,366,724 $2,415,321 
The Company is subject to credit risk in connection with its investments in loans. The two primary components of credit risk are default risk, which is the risk that a borrower fails to make scheduled principal and interest payments, and severity risk, which is the risk of loss upon a borrower default on a mortgage loan or other secured or unsecured loan. Severity risk includes the risk of loss of value of the property or other asset, if any, securing the loan, as well as the risk of loss associated with taking over the property or other asset, if any, including foreclosure costs. Credit risk in our loan portfolio can be amplified by exogenous shocks impacting our borrowers such as man-made or natural disasters, such as the COVID-19 pandemic.
The following table provides details, by loan type, for loans that are 90 days or more past due as of June 30, 2022 and December 31, 2021:
As of
June 30, 2022December 31, 2021
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
90 days or more past due—non-accrual status
Residential mortgage loans$31,079 $28,338 $36,528 $33,288 
Commercial mortgage loans31,500 31,465 15,500 15,462 
Consumer loans226 191 600 589 
Residential Mortgage Loans
The tables below detail certain information regarding the Company's residential mortgage loans as of June 30, 2022 and December 31, 2021.
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$3,130,882 $45,714 $3,176,596 $4,351 $(185,363)$2,995,584 5.80 %4.71 %4.17
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $1.562 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $12 thousand and $(135.4) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCouponYield
Life (Years)(1)
Residential mortgage loans, held-for-investment(2)
$1,958,807 $45,462 $2,004,269 $13,792 $(13,173)$2,004,888 5.63 %4.67 %2.06
Residential mortgage loans, held-for-sale11,067 (1,423)9,644 1,707 (11)11,340 4.58 5.94 %0.08
Total residential mortgage loans$1,969,874 $44,039 $2,013,913 $15,499 $(13,184)$2,016,228 5.63 %4.68 %2.05
(1)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
(2)Includes $1.042 billion of non-QM loans that have been securitized and are held in consolidated securitization trusts. Such loans had $11.5 million and $(3.7) million of gross unrealized gains and gross unrealized losses, respectively. See Residential Mortgage Loan Securitizations in Note 10 for additional information.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's residential mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2022 and December 31, 2021:
Property Location by U.S. StateJune 30, 2022December 31, 2021
California36.7 %40.2 %
Florida16.3 %14.9 %
Texas10.4 %11.9 %
Utah3.4 %2.9 %
Arizona3.0 %2.1 %
Colorado2.1 %2.0 %
Nevada2.1 %1.9 %
North Carolina2.1 %1.8 %
Georgia2.0 %1.5 %
Illinois1.9 %2.0 %
Massachusetts1.9 %2.2 %
Tennessee1.9 %1.6 %
Washington1.7 %1.5 %
New Jersey1.5 %1.1 %
New York1.5 %1.7 %
Oregon1.5 %1.8 %
Connecticut1.2 %1.2 %
Pennsylvania1.2 %— %
Other7.6 %7.7 %
100.0 %100.0 %
The following table presents information on the Company's residential mortgage loans by re-performing or non-performing status, as of June 30, 2022 and December 31, 2021.
As of
June 30, 2022December 31, 2021
(In thousands)Unpaid Principal BalanceFair ValueUnpaid Principal BalanceFair Value
Re-performing$10,385 $9,497 $20,712 $20,611 
Non-performing29,248 26,586 33,949 30,806 
As described in Note 2, the Company evaluates the cost basis of its residential mortgage loans for impairment on at least a quarterly basis. As of June 30, 2022 and December 31, 2021, the Company had expected future credit losses and other deterioration in future cash flows, which it tracks for purposes of calculating interest income, of $18.7 million and $3.0 million, respectively, related to adverse changes in estimated future cash flows on its residential mortgage loans. Certain of the Company's residential mortgage loans, at the date of acquisition, have experienced or are expected to experience more-than-insignificant deterioration in credit quality since origination and the Company has established an initial estimate for credit losses on such loans; as of June 30, 2022 and December 31, 2021, the estimated credit losses on such loans was $36 thousand and $0.1 million, respectively.
The Company has determined for certain of its residential mortgage loans that a portion of such loans' cost basis is not collectible. For the three- and six-month period ended June 30, 2021, the Company recognized realized losses on these loans of $33 thousand; no such realized losses were recognized during the three- or six-month periods ended June 30, 2022. Such losses are reflected in Realized gains (losses) on securities and loans, net, on the Consolidated Statement of Operations.
As of June 30, 2022 and December 31, 2021, the Company had residential mortgage loans that were in the process of foreclosure with a fair value of $11.7 million and $8.1 million, respectively.
Commercial Mortgage Loans
The tables below detail certain information regarding the Company's commercial mortgage loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$478,842 $— $478,842 $74 $(1,538)$477,378 7.52 %7.32 %1.26
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $31.5 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount) Amortized Cost GainsLossesFair ValueCoupon
Yield(1)
Life (Years)(2)
Commercial mortgage loans, held-for-investment$326,438 $— $326,438 $76 $(317)$326,197 7.05 %6.99 %1.33
(1)Excludes non-performing commercial mortgage loans, in non-accrual status, with a fair value of $15.5 million.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
The table below summarizes the geographic distribution of the real estate collateral underlying the Company's commercial mortgage loans as a percentage of total outstanding unpaid principal balance as of June 30, 2022 and December 31, 2021:
Property Location by U.S. StateJune 30, 2022December 31, 2021
Florida23.8 %32.3 %
Texas11.4 %— %
Arizona9.1 %9.3 %
New York8.8 %13.5 %
Georgia7.7 %— %
New Jersey5.2 %5.1 %
Michigan4.7 %4.9 %
Massachusetts4.6 %— %
North Carolina4.1 %5.9 %
Illinois4.0 %— %
Ohio3.9 %7.3 %
Oklahoma3.5 %— %
Tennessee2.3 %7.7 %
Connecticut1.9 %3.5 %
New Hampshire1.9 %3.5 %
Pennsylvania1.3 %— %
Rhode Island1.1 %— %
Washington0.7 %— %
Missouri— %7.0 %
100.0 %100.0 %
As of June 30, 2022, the Company had two non-performing commercial mortgage loans with an unpaid principal balance and fair value of $31.5 million and $31.5 million, respectively. As of December 31, 2021, the Company had one non-performing commercial mortgage loan with an unpaid principal balance and fair value of $15.5 million and $15.5 million, respectively.
As described in Note 2, the Company evaluates the cost basis of its commercial mortgage loans for impairment on at least a quarterly basis. As of June 30, 2022 and December 31, 2021, the expected future credit losses, which the Company tracks for purposes of calculating interest income, of $1.5 million and $0.3 million, related to adverse changes in estimated future cash flows on its commercial mortgage loans.
The Company did not have any commercial mortgage loans in the process of foreclosure as of June 30, 2022 or December 31, 2021.
Consumer Loans
The tables below detail certain information regarding the Company's consumer loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$7,501 $1,492 $8,993 $560 $(2,143)$7,410 0.909
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
December 31, 2021:
Gross UnrealizedWeighted Average
($ in thousands)Unpaid Principal BalancePremium (Discount)Amortized CostGainsLosses
Fair Value(1)
Life (Years)(2)
Delinquency (Days)
Consumer loans, held-for-investment$59,881 $3,212 $63,093 $809 $(1,537)$62,365 0.944
(1)Includes $0.3 million of charged-off loans for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
(2)Average lives of loans are generally shorter than stated contractual maturities. Average lives are affected by scheduled periodic payments of principal and unscheduled prepayments of principal.
During the six-month period ended June 30, 2022, the Company sold the majority of its performing consumer loans, with an unpaid principal balance of $47.7 million, to a securitization trust; see Note 10, Participation in Multi-Seller Consumer Loan Securitization. This sale resulted in a significant reduction in the size of our consumer loan portfolio as of June 30, 2022 as compared to December 31, 2021.
The table below provides details on the delinquency status as a percentage of total unpaid principal balance of the Company's consumer loans, which the Company uses as an indicator of credit quality, as of June 30, 2022 and December 31, 2021.
Days Past DueJune 30, 2022December 31, 2021
Current90.5 %96.0 %
30-59 Days3.9 %1.7 %
60-89 Days2.6 %1.3 %
90-119 Days2.9 %1.0 %
>120 Days0.1 %— %
100.0 %100.0 %
During the three-month periods ended June 30, 2022 and 2021, the Company charged off $0.9 million and $0.5 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. During the six-month periods ended June 30, 2022 and 2021, the Company charged off $2.2 million and $2.4 million, respectively, of unpaid principal balance of consumer loans that were greater than 120 days delinquent. As of both June 30, 2022 and December 31,
2021, the Company held charged-off consumer loans with an aggregate fair value of $0.3 million, for which the Company has determined that it is probable the servicer will be able to collect principal and interest.
As described in Note 2, the Company evaluates the cost basis of its consumer loans for impairment on at least a quarterly basis. As of June 30, 2022 and December 31, 2021, the Company had expected future credit losses, which it tracks for purposes of calculating interest income, of $1.6 million and $1.3 million, respectively, on its consumer loans. The Company has determined for certain of its consumer loans that a portion of such loans' cost basis is not collectible. For the three-month period ended June 30, 2022, the Company recognized realized losses on these loans of $(0.5) million; no such realized losses were recognized by the Company during the three-month period ended June 30, 2021. For the six-month periods ended June 30, 2022 and 2021, the Company recognized realized losses on these loans of $(0.5) million and $(1.3) million, respectively.
Corporate Loans
The tables below detail certain information regarding the Company's corporate loans as of June 30, 2022 and December 31, 2021:
June 30, 2022:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$10,448 $10,448 16.81 %3.49
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
December 31, 2021:
Weighted Average
($ in thousands)Unpaid
Principal Balance		Fair ValueRateRemaining Term (Years)
Corporate loans, held-for-investment(1)
$10,531 $10,531 16.14 %4.01
(1)See Note 21 for further details on the Company's unfunded commitments related to certain of its corporate loans.
    
Commercial mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 477,378     $ 477,378   326,197
Losses (1,538)     (1,538)   (317)
Unpaid Principal Balance 478,842     478,842   326,438
Financing Receivable, Allowance for Credit Loss 1,500     1,500   300
Residential mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 2,995,584     2,995,584   2,016,228
Losses           (13,184)
Mortgage Loans in Process of Foreclosure, Amount 11,700     11,700   8,100
Unpaid Principal Balance 3,130,882     3,130,882   1,969,874
Consumer loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 7,410     7,410   62,365
Losses (2,143)     (2,143)   (1,537)
Unpaid Principal Balance 7,501     7,501   59,881
Delinquent loans, charged off 900   $ 500 2,200 $ 2,400  
Financing Receivable, Allowance for Credit Loss   $ 1,300   1,600    
Fair value of charged-off loans 300     300   300
Non-performing | Commercial mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value $ 31,500     $ 31,500   $ 15,500
Number of loans | loan 2     2   1
Unpaid Principal Balance $ 31,500     $ 31,500   $ 15,500
Non-performing | Residential mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 26,586     26,586   30,806
Unpaid Principal Balance 29,248     29,248   33,949
Performing Financial Instruments [Member] | Residential mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 9,497     9,497   20,611
Unpaid Principal Balance 10,385     10,385   20,712
Performing Financial Instruments [Member] | Consumer loans | Participation in Multi-Seller Consumer Loan Securitization [Member]            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Aggregate unpaid principal balance of loans sold       47,700    
Loans held-for-investment [Member] | Residential mortgage loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Loans, at fair value 2,995,584     2,995,584   2,004,888
Losses (185,363)     (185,363)   (13,173)
Unpaid Principal Balance 3,130,882     3,130,882   1,958,807
Realized Losses, Write offs on loans         33  
Financing Receivable, Purchased with Credit Deterioration, Allowance for Credit Loss at Acquisition Date       36 100  
Financing Receivable, Allowance for Credit Loss $ 18,700     18,700   $ 3,000
Loans held-for-investment [Member] | Consumer loans            
Accounts, Notes, Loans and Financing Receivable [Line Items]            
Realized Losses, Write offs on loans       $ (500) $ (1,300)  
[1] Ellington Financial Inc.'s Condensed Consolidated Balance Sheet includes assets and liabilities of variable interest entities it has consolidated. See Note 9 for additional details on Ellington Financial Inc.'s consolidated variable interest entities.
[2] Includes assets pledged as collateral to counterparties. See Note 11 for additional details on the Company's borrowings and related collateral.