MINNETONKA, Minn.--(BUSINESS WIRE)--Pine River Capital Management L.P. (“Pine River”) announced today 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% 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 and is based on a methodology we developed in consultation with them. The index values and full methodology are available on Pine River’s website, www.pinerivercapital.com.
For inclusion in the index, constituents must meet the following criteria:
1) A residential mortgage REIT whose principal business consists of originating, servicing, or investing in residential mortgage interests;
2) A market capitalization of at least $250 million;
3) An average daily trading value for the last three months of greater than $2.5 million; and
4) 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 includes the following constituents: Annaly Capital Management (NYSE: NLY), American Capital Agency Corp (NASDAQ: AGNC), Hattaras Financial Corp (NYSE: HTS), Capstead Mortgage Corp (NYSE: CMO), Anworth Mortgage Asset Corp (NYSE: ANH), Cypress Sharpridge Investments (NYSE: CYS), Armour Residential REIT (NYSE: ARR), Chimera Investment Corp (NYSE: CIM), MFA Financial Inc (NYSE: MFA), Invesco Mortgage Capital Inc (NYSE: IVR), Two Harbors Investment Corp (NYSE: TWO), Dynex Capital Inc (NYSE: DX), Redwood Trust Inc (NYSE: RWT), Walter Investment Management (AMEX: WAC), and Pennymac Mortgage Investment (NYSE: PMT).
About Pine River Capital Management L.P.
Pine River Capital Management L.P. is a registered investment advisor that offers a set of relative value investment strategies. Founded in 2002, Pine River currently manages approximately $4.9 billion. The firm is headquartered in Minnesota with offices in New York, London, San Francisco, Beijing and Hong Kong.
The Pine River™ Mortgage REIT Index (the “Index”) is the exclusive property of Pine River Capital Management L.P., which has contracted with Standard & Poor’s Financial Services LLC (“S&P”) to maintain and calculate the Index. Standard & Poor’s® and S&P® are registered trademarks of Standard & Poor’s Financial Services LLC. “Calculated by S&P Custom Indices” and its related stylized mark(s) are service marks of Standard & Poor’s Financial Services LLC and have been licensed for use by Pine River Capital Management L.P. S&P and its affiliates shall have no liability for any errors or omissions in calculating the Index.
Pine River Capital Management L.P. is an affiliate of PRCM Advisors LLC, which manages Two Harbors Investment Corp., a residential mortgage REIT and one of the 15 components currently comprising the Index.