SEC Schedule, Article 12-29, Mortgage Loans on Real Estate

12 Months Ended

Dec. 31, 2021

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate [Abstract]

SEC Schedule, 12-29, Real Estate Companies, Investment in Mortgage Loans on Real Estate

Ellington Financial Inc.

Schedule IV—Mortgage Loans on Real Estate

December 31, 2021

Asset Type

Description

Number of Loans

Interest Rate

Maturity Date

Periodic Payment Terms

Prior Liens

Face Amount of Mortgages

Carrying Amount of Mortgages(1)(2)

Principal Amount of loans subject to delinquent principal or interest

Residential Mortgage Loans:

(In thousands)

Adjustable Rate Residential Mortgage Loan

$0–$249,999

115

2.00%–11.11%

5/25–7/58

n/a

12,753

4,285

Adjustable Rate Residential Mortgage Loan

$250,000–$499,999

2.00%–9.25%

3/27–6/59

n/a

12,977

7,029

Adjustable Rate Residential Mortgage Loan

$500,000–$749,999

3.00%–8.78%

7/35–12/56

n/a

5,492

5,194

Adjustable Rate Residential Mortgage Loan

$750,000–$999,999

4.00%–7.75%

3/47–5/49

n/a

2,265

2,573

Adjustable Rate Residential Mortgage Loan

$1,000,000–$1,249,999

4.24%–6.99%

7/48–11/61

n/a

3,286

996

Adjustable Rate Residential Mortgage Loan

$2,500,000–$2,749,999

4.25%

11/61

n/a

2,627

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$0–$249,999

267

4.00%–9.99%

8/46–4/50

n/a

44,786

1,193

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$250,000–$499,999

262

4.25%–8.88%

5/46–2/60

n/a

86,641

3,656

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$500,000–$749,999

4.50%–8.75%

9/46–3/60

n/a

52,388

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$750,000–$999,999

4.13%–8.38%

2/47–10/59

n/a

25,662

2,345

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$1,000,000–$1,249,999

4.62%–6.99%

10/46–12/59

n/a

22,193

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$1,250,000–$1,499,999

4.50%–6.88%

11/46–2/60

n/a

10,744

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$1,500,000–$1,749,999

5.13%–6.50%

12/47–7/59

n/a

8,604

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$2,250,000–$2,499,999

4.63%–5.99%

11/48–9/59

n/a

11,855

—

Adjustable Rate Residential Mortgage Loan Held in Securitization Trust

$2,500,000–$2,749,999

4.99%

7/49

n/a

2,602

—

Fixed Rate Residential Mortgage Loan

$0–$249,999

842

3.00%–16.00%

1/22–12/61

n/a

134,057

715

Fixed Rate Residential Mortgage Loan

$250,000–$499,999

685

3.25%–20.00%

1/22–1/62

n/a

236,517

1,521

Fixed Rate Residential Mortgage Loan

$500,000–$749,999

283

3.00%–11.90%

1/22–12/61

n/a

168,357

1,891

Fixed Rate Residential Mortgage Loan

$750,000–$999,999

130

3.25%–11.55%

1/22–12/61

n/a

107,014

2,663

Asset Type

Description

Number of Loans

Interest Rate

Maturity Date

Periodic Payment Terms

Prior Liens

Face Amount of Mortgages

Carrying Amount of Mortgages(1)(2)

Principal Amount of loans subject to delinquent principal or interest

Residential Mortgage Loans (Continued):

(In thousands)

Fixed Rate Residential Mortgage Loan

$1,000,000–$1,249,999

3.00%–11.99%

1/22–12/61

n/a

72,044

1,087

Fixed Rate Residential Mortgage Loan

$1,250,000–$1,499,999

3.25%–10.65%

1/22–1/62

n/a

73,721

—

Fixed Rate Residential Mortgage Loan

$1,500,000–$1,749,999

3.25%–11.90%

1/22–1/62

n/a

46,313

—

Fixed Rate Residential Mortgage Loan

$1,750,000–$1,999,999

3.25%–9.49%

2/22–12/61

n/a

30,899

—

Fixed Rate Residential Mortgage Loan

$2,000,000–$2,249,999

3.25%–10.50%

11/22–12/61

n/a

21,468

—

Fixed Rate Residential Mortgage Loan

$2,250,000–$2,499,999

3.63%–5.25%

1/52–11/61

n/a

9,714

—

Fixed Rate Residential Mortgage Loan

$2,500,000–$2,749,999

3.88%–7.35%

8/23–12/51

n/a

7,964

—

Fixed Rate Residential Mortgage Loan

$2,750,000–$2,999,999

3.25%–10.50%

5/22–11/61

n/a

10,298

—

Fixed Rate Residential Mortgage Loan

$3,000,000–$3,249,999

3.25%–4.88%

10/61–1/62

n/a

12,737

—

Fixed Rate Residential Mortgage Loan

$3,250,000–$3,499,000

4.50%

9/61

n/a

3,433

—

Fixed Rate Residential Mortgage Loan

$4,000,000–$4,249,999

9.99%

2/23

n/a

741

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$0–$249,999

662

3.38%–8.63%

1/47–8/61

n/a

117,024

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$250,000–$499,999

559

3.13%–8.38%

12/34–8/61

n/a

192,413

1,380

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$500,000–$749,999

207

3.13%–7.63%

11/47–8/61

n/a

128,197

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$750,000–$999,999

116

3.38%–7.63%

8/48–8/61

n/a

96,739

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$1,000,000–$1,249,999

3.63%–6.63%

10/48–8/61

n/a

67,823

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$1,250,000–$1,499,999

3.25%–6.24%

10/48–8/61

n/a

52,875

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$1,500,000–$1,749,999

3.38%–5.88%

11/47–7/61

n/a

34,224

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$1,750,000–$1,999,999

3.50%–6.13%

4/50–6/61

n/a

21,253

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$2,000,000–$2,249,999

3.88%–6.50%

4/50–4/61

n/a

11,564

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$2,250,000–$2,499,999

3.63%–6.00%

10/50–8/61

n/a

21,811

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$2,500,000–$2,749,999

3.25%–5.25%

1/51–7/61

n/a

13,570

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$2,750,000–$2,999,999

3.25%–3.50%

2/51–8/51

n/a

6,008

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$3,000,000–$3,249,000

3.63%–6.25%

10/50–6/61

n/a

9,239

—

Fixed Rate Residential Mortgage Loan Held in Securitization Trust

$3,250,000–$3,499,000

4.50%

4/51

n/a

3,336

—

Total Residential Mortgage Loans

2,016,228

36,528

Asset Type

Description

Number of Loans

Interest Rate

Maturity Date

Periodic Payment Terms

Prior Liens

Face Amount of Mortgages

Carrying Amount of Mortgages(1)(2)

Principal Amount of loans subject to delinquent principal or interest

Commercial Mortgage Loans:

(In thousands)

Adjustable Rate Commercial Mortgage Loan

$0–$4,999,999

5.75%–8.50%

1/22–12/23

n/a

40,230

—

Adjustable Rate Commercial Mortgage Loan

$5,000,000–$9,999,999

5.45%–8.00%

8/22–1/24

n/a

101,729

8,525

Adjustable Rate Commercial Mortgage Loan

$10,000,000–$14,999,999

5.75%–9.50%

1/22–11/23

n/a

76,976

—

Adjustable Rate Commercial Mortgage Loan

$15,000,000–$19,999,999

5.75%–9.00%

9/21–1/24

n/a

65,021

15,500

Adjustable Rate Commercial Mortgage Loan

$40,000,000–$44,999,999

5.25%

1/24

n/a

42,241

—

Total Commercial Mortgage Loans

326,197

24,025

Total Mortgage Loans

2,342,425

60,553

(1)Aggregate cost for federal income tax purposes is $686.5 million for commercial and non-securitized residential mortgage loans. Excluded from this amount is the cost basis for federal income tax purposes of $1.042 billion of securitized residential loans; such loans have been deemed to be sold for tax purposes but do not meet the requirements for true sale under U.S. GAAP.

(2)As of December 31, 2021, all of the Company's mortgage loans were carried at fair value. See Note 2 and Note 3 in the notes to our consolidated financial statements for additional details.

The following table presents a roll-forward of the fair value of the Company's mortgage loans on real estate for the years ended December 31, 2021, 2020, and 2019.


	Year Ended December 31,
	2021		2020		2019
(In thousands)
Beginning Balance	$	1,400,100	$	1,206,962	$	692,131
Additions:
Purchases	1,949,449		716,241		837,502
Net unrealized gain	—		11,427		6,717
Net realized gain	—		—		3,878
Deductions:
Cost of mortgages sold	(145,755)		(28,613)		(28,805)
Collections of principal	(812,988)		(496,186)		(275,520)
Amortization of premium and (discounts)	(13,754)		(6,317)		(6,363)
Foreclosures	(14,033)		(3,384)		(22,578)
Net unrealized loss	(119)		—		—
Net realized loss	(20,475)		(30)		—
Ending Balance	$	2,342,425	$	1,400,100	$	1,206,962