Posts by buffalobuilt

Introduction Ellington Income Opportunities (EIO) achieved a net performance of +1.88% in the fourth quarter1. Credit assets rallied as central banks cut interest rates and economic growth expectations accelerated. U.S. rates bear steepened after the election, and the 10-year Treasury sold off 89 bps intra-quarter. Structured product spreads benefitted from this risk-on environment, tightening in…

Introduction Ellington Income Opportunities (EIO) achieved a net performance of +2.55% in the third quarter1. Markets were hit with multiple periods of volatility this quarter as economic data releases and global monetary policy movements created brief periods of tumult for risk assets. Structured product spreads held up well in this environment despite facing a glut…

Introduction Ellington Income Opportunities (EIO) achieved a net performance of +3.80% in the second quarter1. This quarter was characterized by relatively calm markets, punctuated by periods of volatility. In June, escalating global political turmoil led to risk-off sentiment. Credit markets were negatively impacted by the selloff in European sovereign bonds and widening credit spreads. U.S.…

Introduction Ellington Income Opportunities (EIO) achieved a net performance of +4.26% in the first quarter1. Risk assets steadily marched tighter over the last few months, continuing a trend from October when short-term interest rate expectations hit their peak. The rally in risk assets has been broad-based, with notable appetite for credit exposure across asset classes…

Introduction Ellington Income Opportunities (EIO) had a net performance of +4.48% in the fourth quarter and +17.45% year-to-date . Financial markets staged a dramatic turnaround after September’s sell-off. Five-year Treasury yields rallied 76 bps, CDX HY rallied 124 bps, and CDX IG rallied 17 bps. Structured product spreads tightened throughout the quarter alongside the macro…

Introduction Ellington Income Opportunity’s (EIO) performance was positive in the third quarter. Structured product spreads were mixed as hawkish central bank posturing and concerns over Treasury supply drove a sharp bear steepening in the yield curve. In Residential Mortgage-Backed Securities (RMBS) credit, spreads widened out modestly at the top of the capital stack. Credit Risk…

Introduction Ellington Income Opportunities (EIO) performance was positive in the second quarter despite broader market volatility. During the quarter, regional bank instability as well as a potential United States default dominated headlines. Immediate concern over both risks subsided by quarter-end, boosting risk appetite, even as interest rates were driven higher by hawkish Fed sentiment. The…

Introduction  Ellington Income Opportunities (EIO) performance was relatively flat in the third quarter with volatile market conditions persisting. After rallying in late July and the beginning of August, interest rates and credit spreads sold off as investors priced in hawkish central bank developments. Credit spreads, as measured by the corporate high yield index, tightened over…

Introduction  Ellington Income Opportunities (EIO) generated negative performance in the second quarter with extreme volatility across capital markets. From interest rates to credit, a large repricing of risk has occurred across markets as the prospect of a less supportive Federal Reserve and potential for a recessionary environment quickly shifted market attitudes towards defensive posture. Intra-quarter,…

Introduction  The early months of the third quarter were characterized by slower trading volumes after nearly 18 months of frenzied activity post-March 2020. However, trading activity picked up as summer came to a close and volatility returned to the markets. The yield on the 10-year U.S. Treasury note closed nearly 18 basis points (bps) higher…