Pine River Fixed Income

Master Fund Ltd

Fund Investment Objectives

The Pine River Fixed Income Fund's objective is to profit from pricing inefficiencies by dynamically allocating to various sectors of the residential mortgage market, within a relative value framework. The fund invests in Agency and Non-Agency Mortgages, including derivatives. The focus is to capitalize on pricing discrepancies in these sectors, including active portfolio monitoring and trading. Hedging instruments include using TBA pools, Eurodollar futures, treasury futures, options on treasure futures, swaptions, etc. We take a top-down approach among multiple strategies from all sectors of the mortgage market, drilling down to subsectors first and then focusing on security selection. Portfolio construction is driven by consideration of correlation benefits among multiple sub-strategies. This fund was formerly known as the Nisswa Fixed Income Fund.