Illumination invests primarily in high yielding Non-Agency RMBS with additional attention to agency RMBS, CMBS, CDOs and other forms of structured credit. Illumination buys intrinsic cash flows at attractive yields with limited leverage and downside protection, using proprietary models to project cash flows, determine value and identify market price anomalies. Illumination invests across capital structure and credit quality spectrum; seeks to match liquidity of underlying investments with appropriate vehicle structure offered to investors. Illumination focuses on opportunistic smaller trade sizes and transacts with an extensive network of regional broker dealers to avoid competition from larger peers and front-running by bulge-bracket dealers. Illumination hedges certain interest rate risks and seeks to capture excess yield of highly diversified RMBS portfolio with limited beta exposure. Illumination's investment process combines fundamental macro research with bottom-up security selection, and involves four distinct steps: idea generation; screening and sourcing; security analysis; and portfolio construction.
The funds AUM is a combined AUM of the Onshore and Offshore funds.