Ellington Income Opportunities Fund · NASDAQ:EIOAX
Ellington Income Opportunities Fund — Investor Presentation (September 2019)
18 slides from Ellington Income Opportunities Fund's investor presentation, September 2019
Slide 1: An alternative credit solution for high net worth investors
An alternative credit solution for high net worth investors SYMBOLS Class I Class A Class C Class M EIOIX EIOAX EIOCX EIOMX The Ellington Income Opportunities Fund is a is a continuously offered, non-diversified, closed-end investment management company operating as an interval fund.
Slide 2: Disclosures
Disclosures Past performance does not guarantee future results. Beginning November 13, 2018, the Fund was offered through a confidential private placement memorandum and became registered under the Investment Company Act of 1940. On June 10, 2019, the Fund became registered under the Securities and
Slide 3: Why EIOF?
Why EIOF? Faced with a lower yield environment and a more muted outlook for equities, investors must look for ways to: ➢ Maintain yield integrity ➢ Pursue increased total return ➢ Lower correlations to broader credit markets and equity markets ➢ Diversify credit risk in bond portfolios with consumer
Slide 4: Quarterly Liquidity Allows for Core-Satellite Strategy
Quarterly Liquidity Allows for Core- Satellite Strategy Core: Satellite: Income focused investments Private credit instruments to provide liquidity and current to provide diversification and income uncorrelated return stream Consumer Lending • Balance sheet lenders targeting niche market segments St
Slide 5: Core Strategies
Core Strategies RMBS CMBS CLOs ➢ RMBS provides exposure to ➢ CMBS is a major provider ➢ CLOs present a compelling both the U.S. housing of capital to U.S. way to access the bank loan market and its underlying commercial real estate, market borrowers which, like RMBS, provides ➢ Historically, CLOs ha
Slide 6: Satellite Strategies
Satellite Strategies NPL/RPL Real Estate Consumer Lending Opportunistic Credit ➢ Purchase and proactively ➢ Target originators that have ➢ Ellington will pursue service non- and sub- scarce or expensive capital, opportunities across its performing legacy loans in or mortgage platforms with diversifi
Slide 7: Ellington Income Opportunities Fund (EIOMX)
Ellington Income Opportunities Fund (EIOMX) As of September 30, 2019 Performance 1-Month QTD YTD ITD1 M Class 0.02% 1.57% 8.20% 8.28% BBgBarc US Corp High Yield 0.36% 1.33% 11.41% 8.19% S&P/LSTA Leveraged Loan 0.47% 0.99% 6.79% 3.06% 1) Inception date for the M share class is 11/13/2018. Returns gre
Slide 8: Fund Characteristics
Fund Characteristics US Portfolio Characteristics CMBS Effective Duration 1.30 8% CLO 12% Weighted Avg Life 3.50 Opportunistic Credit Distributions1 15% US RMBS 65% YTD Annualized Distribution Rate2 4.99% Latest Distribution ($ Share)3 $0.06197100 YTD Distributions ($ Share)4 $0.38881145 Portfolio c
Slide 9: Corporate Credit has been Highly Correlated to Equities
Corporate Credit has been Highly Correlated to Equities Correlation to S&P 5001 0.70 0.59 0.48 Corporate credit may not provide the diversification investors are hoping for during an equity drawdown 0.21 -0.01 -0.14 High Yield Bank Loans CLOs Non-Agency Non-Agency ABS RMBS CMBS 1) Data calculated fo
Slide 10: EIOF Seeks Lower Correlation to Equities
EIOF Seeks Lower Correlation to Equities Correlation to S&P 5001 1.00 0.94 0.82 0.80 0.60 0.40 0.26 0.20 0.00 High Yield Bank Loans EIOMX 1) Data calculated for the period 12/1/2018 - 9-30-2019. High Yield is represented by the BBgBarc US Corporate High Yield Index. Bank Loans are represented by the
Slide 11: EIOF Seeks Low Correlation to Broader Credit Markets
EIOF Seeks Low Correlation to Broader Credit Markets EIOMX Correlation to Broader Credit Markets1 1.00 0.80 0.60 0.40 0.29 0.22 0.20 0.11 0.00 Bank Loans High Yield Agg 1) Data calculated for the period 12/1/2018 - 9-30-2019. High Yield is represented by the BBgBarc US Corporate High Yield Index. Ba
Slide 12: Corporate Debt Growth has Significantly Outpaced Mortgage Debt
Corporate Debt Growth has Significantly Outpaced Mortgage Debt Total U.S. Mortgage Debt vs. HY & Leveraged Loan Corporate Debt1 (Normalized to 100% in Jan 2007) 250% 200% Size vs. Jan 2007 Size 150% 100% 50% 0% 2001 2002 2003 2004 2005 2006 2007 2008 2009 2010 2011 2012 2013 2014 2015 2016 2017 2018
Slide 13: Residential Mortgages – A Potentially More Attractive Credit Profile
Residential Mortgages – A Potentially More Attractive Credit Profile Corporate Investment Grade Debt by Credit Rating1 $7 $6 Total Market Cap (Trillions) $5 $4 Aaa Aa $3 A $2 Baa $1 $0 Mortgage Originations by Credit Score2 1,200 1,000 800 760+ USD Billions 600 720-759 660-719 400 620-659 200 <620 0
Slide 14: Why Ellington? An Institutional Platform
Why Ellington? An Institutional Platform Founded in 1994, Ellington has one of the longest histories of $8.51 3 Billion in Global offices: structured credit investing in the alternative asset management Assets Under Old Greenwich, CT industry and has navigated multiple credit cycles. Management New
Slide 15: Why an Interval Fund?
Why an Interval Fund? Empowering Structure ➢ Enhanced Return Potential ➢ Diversification Potential ➢ Liquidity Advantage • Ability to invest in less liquid • Smaller, niche areas of the • Not subject to the daily fund assets that may offer an credit market are less liquid flows that can lead to forc
Slide 16: Fund Terms
Fund Terms Investment Objective Seeks total return, including capital gains and current income. Ticker Symbols Class A: EIOAX; Class C: EIOCX; Class I: EIOIX; Class M: EIOMX Structure 1940 & 1933 Act registered interval fund Adviser Princeton Fund Advisors, LLC Sub-Adviser Ellington Global Asset Man
Slide 17: Important Notice
Important Notice Disclaimers This presentation (“Presentation”) is provided for information purposes and reference only and is not intended to be, and must not be, taken as the basis for an investment decision. The contents hereof should not be construed as investment, legal, tax or other advice and
Slide 18: Important Notice (continued)
Important Notice (continued) YIELDS, RUN RATES, AND OTHER FACTORS The strategies discussed herein invest in non-agency Collateralized Mortgage Obligations (CMOs), Collateralized Loan Obligations (CLOs) and other asset-backed securities (together with CMOs and CLOs, "ABS"). The yield and average life
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