Securitization Transactions (Tables)

3 Months Ended

Mar. 31, 2023

Securitization Transactions [Abstract]

Schedule of Residential Loan Securitizations - Consolidated

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(1)
		(In thousands)
Ellington Financial Mortgage Trust 2019-2	11/19	$	267,255	$	267,255
Ellington Financial Mortgage Trust 2020-1	6/20	259,273		259,273
Ellington Financial Mortgage Trust 2020-2	10/20	219,732		219,732
Ellington Financial Mortgage Trust 2021-1	2/21	251,771		251,771
Ellington Financial Mortgage Trust 2021-2	6/21	331,777		331,777
Ellington Financial Mortgage Trust 2021-3	10/21	257,645		257,645
Ellington Financial Mortgage Trust 2022-1	1/22	417,188		417,188
Ellington Financial Mortgage Trust 2022-2	4/22	425,651		425,651
Ellington Financial Mortgage Trust 2022-3	7/22	345,652		345,652

(1)The Sponsor purchased various classes of Certificates issued by each Issuing Entity in order to comply with the Risk Retention Rules.

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 March 31, 2023 and December 31, 2022:

(In thousands)	March 31, 2023		December 31, 2022
Assets:
Loans, at fair value	$	1,662,848	$	1,665,070
Investment related receivables	9,103		4,464
Liabilities:
Other secured borrowings, at fair value	1,534,592		1,539,881

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.

Schedule of Residential Loan Securitizations - Non Consolidated

The following table provides details on outstanding non-consolidated residential mortgage loan securitizations in which the Company has participated:

Issuing Entity	Closing Date	Principal Balance of Loans Sold By the Company		Principal Balance of Loans Sold By the Non-QM Co-Participants		Total Face Amount of Certificates Issued(1)
		(In thousands)
Ellington Financial Mortgage Trust 2022-4	12/22	$	309,998	$	55,264	$	365,262
Ellington Financial Mortgage Trust 2023-1	2/23	176,218		154,149		330,367