Bill Roth, who ran a Citigroup proprietary trading effort in mortgage-and asset-backed securities, has joined Pine River Capital Management to serve as a mortgage portfolio manager and co-chief investment officer of a new real estate investment trust the firm has formed under its Two Harbors Investment subsidiary. From 1981 to 2004, Roth was part of the Salomon Brothers/Citi mortgage sales team.
Roth will co-manage the vehicle with Steve Kuhn, head of fixed-income trading and portfolio manager of Pine River’s high-performing Nisswa Fixed Income Fund. Kuhn joined the $1.3 billion Pine River from Goldman Sachs Asset Management in January 2008. Two Harbors will pursue a relative value strategy targeting residential mortgage-backed securities.
The Nisswa Fixed Income vehicle, which takes a relative value approach to the mortgage-backed securities market, began trading in February 2008. With $328 million, it has an annualized compound return of about 95%.
Two Harbors announced on Monday morning that shareholders had approved its proposed merger with Capitol Acquisition, a publicly traded special purpose acquisition company. Once the deal is closed, about $132 million before expenses will be used by Two Harbors to invest in residential mortgage-backed securities.
Pine River was founded in 2002 by Brian Taylor, the former head of the convertible arbitrage group at EBF & Associates. It manages six hedge fund strategies, which include global multistrategy, pan-Asian convertible arbitrage, MBS relative value, SPAC warrant arbitrage, multistrategy credit and U.S. convertible arbitrage. The firm is headquartered in Minnetonka, Minn., and recently opened up a New York office.
--Katrina Dean Allen