Ex-Pine River PM's Dundon E1 mortgage fund targets Q1 2027 launch

Victor Baev plans to launch Dundon E1, a multi-strategy mortgage fund, in the first quarter of 2027, he said in an Opalesque interview published Nov. 5. Baev ran non-agency RMBS, CMBS and whole-loan strategies at Pine River Capital Management for more than a decade and is now chief investment officer of Dundon Advisers Capital.

Non-agency RMBS issuance is running near $300 billion this year, up sharply from recent levels, driven by bonds backed by second liens and non-qualified mortgages, Baev said. He said the usual expectation was that higher U.S. mortgage rates would shrink mortgage lending. Instead, lenders pushed out of a contracting conventional business into second liens and non-qualified loans, and those are the loans behind the bonds.

The fund buys whole loans directly from mortgage lenders and securitizes them, so supply depends on lender relationships rather than secondary-market trading. For fund selectors weighing a mortgage-credit sleeve, loan sourcing is the key diligence point: the pipeline needs lenders willing to sell. Fee and redemption terms were not disclosed.

The fund will hold agency MBS, non-agency RMBS, CMBS, residential whole loans and mortgage REITs, split between tactical trading and opportunistic positions. Baev described the tactical sleeve as market-neutral, played for dislocations as they arise. The opportunistic book runs deeper in the capital structure and is used only when the team sees bigger dislocations. "The entry point really matters," he said.

The whole-loan strategy runs from lender to deal trust. The fund acquires loans from mortgage lenders, places them in securitization trusts, sells the investment-grade bonds and keeps the deal equity. Retaining that equity ties part of the fund's result to how the underlying loans perform, not only to price moves in the bonds.

Launch preparations are well advanced and the firm is on track to begin operations in the first quarter of 2027, Baev said.