Pine River Capital ‘Passing Through’ The Mortgage Market

Sep 29 2010 | 10:20am ET

Pine River Capital Management has launched its second new hedge fund this year, a mortgage vehicle focusing on the “pass-through” market.

The Liquid Mortgage Fund was launched at the beginning of the month. The new fund invests in mortgages with superior pre-payment characteristics, and may also invest in Treasury spreads, HFMWeek reports.

The fund is helmed by Steve Kuhn, who joined Pine River almost three years ago after stints at Cargill Financial, Citadel Investment Group and Goldman Sachs Asset Management. Kuhn will be assisted by Jiayi Chen, with whom he worked at Goldman, and Jae Choi.

Minnesota-based Pine River, which has $2.5 billion in assets under management, seeded the Liquid Mortgage fund with $80 million from its Nisswa Fixed Income fund. All told, the fund debuted with $88 million in initial capital. It has a $1 million minimum invest requirement.

Liquid Mortgage charges 2% for management and 20% for performance and features monthly liquidity and no gates. JPMorgan Chase serves as prime broker.

In June, Pine River launched an insurance product hedge fund.

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