Pine River launches REIT index for residential mortgage sector

By Toni Weeks

San Diego, June 21 - Pine River Capital Management LP has launched the Pine River Mortgage Real Estate Investment Trust index, according to a press release.

The index provides a benchmark for investors interested in tracking the sector performance of publicly traded real estate investment trusts with primary businesses of originating, servicing or investing in residential mortgage interests and residential mortgage-backed securities.

Using a market capitalization-weighted methodology, the index provides investors with a tool that allows them to monitor event-driven news and long-term trends in the growing residential mortgage REIT sector, which has grown to a market capitalization of nearly $36 billion, according to the press release.

The index is calculated and maintained by Standard & Poor's. Index components are reviewed quarterly for eligibility, and index weights are rebalanced accordingly.

For inclusion in the index, constituents must be a residential mortgage REIT with a market capitalization of at least $250 million, have an average daily trading value for the previous three months of more than $2.5 million and be listed on a major U.S. stock exchange.

The Pine River Mortgage REIT index is calculated on both a price and total return basis and currently includes the following constituents:

• Annaly Capital Management;

• American Capital Agency Corp.;

• Hattaras Financial Corp.;

• Capstead Mortgage Corp.;

• Anworth Mortgage Asset Corp.;

• Cypress Sharpridge Investments;

• Armour Residential REIT;

• Chimera Investment Corp.;

• MFA Financial Inc.;

• Invesco Mortgage Capital Inc.;

• Two Harbors Investment Corp.;

• Dynex Capital Inc.;

• Redwood Trust Inc.;

• Walter Investment Management; and

• Pennymac Mortgage Investment

Pine River is an asset management firm based in Minnetonka, Minn.

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