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Pine River Capital Launches Pine River Mortgage REIT Index
Jun 22, 2011

Pine River Capital Management LP has announced the launch of the Pine River Mortgage REIT Index. The index provides a benchmark for investors interested in tracking the sector performance of publicly traded real estate investment trusts (REITs), whose principal business consists of originating, servicing or investing in residential mortgage interests, including residential mortgage-backed securities (RMBS). The Pine River Mortgage REIT Index was created to provide investors with a tool that allows them to quickly aggregate event-driven news and monitor long-term trends in the growing residential mortgage REIT sector, which has grown at a CAGR of 33 percent since 2008 to a market cap of nearly $36 billion today. The index uses a modified market capitalization weighted methodology. Index components are reviewed quarterly for eligibility, and index weights are rebalanced accordingly. The index is calculated and maintained by Standard & Poor’s (S&P) and is based on a methodology that Pine River develpped with S&P. For inclusion in the index, constituents must meet the following criteria: ►A residential mortgage REIT whose principal business consists of originating, servicing, or investing in residential mortgage interests; ►A market capitalization of at least $250 million; ►An average daily trading value for the last three months of greater than $2.5 million; and ►Listed on a major U.S. stock exchange. The Pine River Mortgage REIT Index is calculated on a price and a total return basis. The price return is calculated in real-time and disseminated via the Chicago Mercantile Exchange and market data vendors every day the U.S. equity markets are open. The total return is calculated on an end-of-day basis and disseminated to market data vendors via FTP. The index currently includes the following constituents: Annaly Capital Management, American Capital Agency Corp, Hattaras Financial Corporation, Capstead Mortgage Corporation, Anworth Mortgage Asset Corporation, Cypress Sharpridge Investments, Armour Residential REIT, Chimera Investment Corporation, MFA Financial Inc., Invesco Mortgage Capital Inc., Two Harbors Investment Corporation, Dynex Capital Inc., Redwood Trust Inc., Walter Investment Management, and Pennymac Mortgage Investment.
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