No, Actually Bill Gross IS Short Treasurys

Tyler Durden's picture

In the funniest piece of news today, we have Bill Gross accusing a "blogger" of spreading misinformation that Pimco, and especially the firm's Total Return Fund is short Treasurys, in order to defend himself from CNBC that he is underperforming the market in the current bond rally (somehow Roswell flying saucers got mixed up too). While it is unfortunate that Gross will actually not man up and tell the truth (and yes, you can be off by a month or a year in what is a correct call Bill - there is no shame in that, and you certainly don't have to defend your view to a bunch of teleprompter reading CNBC marionettes). Well, guess what: PIMCO is short Treasury, as disclosed by both Market Value and Duration Weighted Exposure. And while one can hide, if one so desires for disgruntled LP purposes, behind semantics, and Gross can say he is not notionally short cash Treasurys, he most certainly has a sizable synthetic short exposure. Those who actually wish to do the forensic analysis on the April TRF portfolio, will not that that his duration of the various sectors shows he is selling some long dated swaps/swaptions to obtain his negative US Govt exposure given his market value of govt holdings was -9,628 MM, dollar duration was -189,340 resulting in an avg duration of 19.7 yrs. And while HY exposure has been moving out the maturity spectrum as well, from 2.6 yrs to 3.0 yrs to 3.4 yrs, his cash has grown shorter from 5.6 yrs to 4.3 yrs to 4.0 yrs over the past 3 months. Perhaps next time anyone interviewing Gross will ask something more substantial than textbook "finance for retards/CNBC anchors" questions and demand an answer from the bond titan just how many hundreds of billions in UST short equivalent eurodollar notionals he has on his books? And while we wish we had an updated TRF holding (the last one is as of December 31, 2010), even using even stale data, we find that at the end of 2010 TRF had $608.3 billion in Net Futures held SHORT (link), and $588 billion in Eurodollar positions, which is precisely where his marginal synthetic rate bias/exposure is contained. Yes. This is a short equivalent position.

So yes - we are confident that the semantic sticklers, to whom Greece is merely undergoing a Sovereign Liability Management exercise, will buy Gross' attempt at a mea culpa hook line and sinker (and we urge them to read something like Eurodollars for Idiots so they can understand what is going on here). To everyone else, who has moved beyond Finance 101 and understands that cash and synthetic exposure can actually be combined to lead to a specific result, Gross is not only short (in the TRF), but in the case of his Unconstrained Bond Fund, massively so, to the tune of -42% in Market Value (link).

Here is Gross' comedic defense of his conviction short in US paper.

And elsewhere, during an interview with Bloomberg, Gross went so far to basically insult people's intelligence. When asked if he is short on Treasuries, his response:

We are not. To a certain extent, it may be our fault because we have a category in terms of our monthly release that is called treasury or treasury related securities. It could be Treasuries, it could be agencies, it could be swaps which sophisticated bond investors know are entirely different from Treasuries so the extent that it shows up as a short then it's almost entirely been in the swap category as opposed to the Treasuries. The Total Return Fund has had tens of billions of dollars worth of treasuries, to some extent in short-term Treasuries and bills and and collateralized repo. It has never been a question of Pimco in terms of the Treasury's reputation and its potential to default. It has always been a question of value in terms of interest rates relative to other alternatives."

So.... in the hypothetical example where you are long $10 million Greek bonds, and are "hedged" by being long $1 trillion in Greek CDS, you are still "long"Greece... Bill? Bill?

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66Sexy's picture

fuckin scumbag

Weisbrot's picture

so many disasters man made & others

so much turmoil all over the globe

conspiracy or happenstance it almost doesnt matter

I am convinced that the powers that be, believe something much worse will happen

various theories and reasons abound, based on strings or piles of truth

things will never be what they were

may what ever it is or the series of events that lead to it

be quick, be concise, and have the best possible outcome for the worse of all possible situations


until then enjoy all the side shows

and remember that everything is temporary

Guy Fawkes Mulder's picture

conspiracy or happenstance it almost doesnt matter

It matters.

Oh! would that I could prove for everyone what it is!

66Sexy's picture

"I NEVER had sexual relations with that woman..."

hbjork1's picture

Ah yes, the truth will out.  Actually, Gross does not have an obligation to the public to tell what he is doing.  Clinton, considering he was an employee if the people in his roll as President (IMO) did have an ethical obligation to be honest with the people. 

But, oh wait!  Bill did not have Coitus with that woman!  Maybe he thought that ment he did not have sexual relations. 

Just a little misunderstanding. 

Dejean Splicer's picture

"Oh! would that I could prove for everyone what it is!"

Wanna know?

GOTO: 1:44:00 and watch for about 5 minutes.

It's coming back. It did not change our gravitational orbit but it did accelerate polar shift within the earth. The poles are now shifting at a rate about 100x faster than expected.

And keep watching for a few minutes to see his evidence of the sun pulsing.

Guy Fawkes Mulder's picture

Thanks for the share. Watching it now.

Sounds like you're talking about the "destroyer" celestial object that returns periodically to cause cataclysmic, civilization-destroying events on Earth.

I watched Lucus' "rabbit hole" presentation last year and that's how I got introduced to the idea -- unless you can count 1994's SNES video game "Illusion of Gaia". I did further searches from the armchair from which I use my computer for evidence of this object.

Let me point out that my words were "would that I could prove for everyone" -- by which I specifically mean that what is sufficient for proof for some men is insufficient for others... just like your link today is not sufficient proof for everyone.

I look at a lot of things as possible but neither proven true nor proven false. For all I've seen, which is not much in the great scheme of things, I still consider an imminent astronomic apocalypse to be not proven true -- and not proven false. And I'm including the link you gave, since I've finished it by now.

Here's a theory for you to consider: the feudalistic bankers and robber barons don't believe in imminent astronomic apocalypse, but they encourage others to believe in it (along with a thousand other ideas and theories) so that others will relent just a little in the pursuit of justice against the banksters and robber barons on the planet right now at this moment.

In other words, imagine David Rockefeller is cornered by law enforcement agents, who want to try him for crimes against humanity. He then offers them compelling "evidence" that convinces them that a comet is coming to destroy the world. They believe him and they suddenly want to join his team. He laughs his sick ass off at getting away with murder with some evidence that his science propaganda department cooked up.

This, too, is possible, although not provably true or false.

FOC 1183's picture

the roswell comment was one in a string of increasingly bizarre statements from Bill

4shzl's picture

He lies.  It's really just that simple: HE LIES -- all the time, in whatever way he thinks will improve his book.  End of story.

Cognitive Dissonance's picture

It was a very poor attempt to disparage "the blogger" by trying to connect 'the blogger" to so-called outlandish conspiracy theories. I love the smell of desperation in the morning.

Pegasus Muse's picture

Outlandish conspiracy theory you say.  Roswell?!  Surely you jest.  It is a proven fact; all quite extensively documented: 

gmrpeabody's picture

I miss the Beaker..., don't see too much of him anymore!

Too funny. And Jeff..., that was a blast from the past!

Thanks, Sofa.

DK Delta's picture

Excellent pick-up

DK Delta's picture

Why on earth is he denying it on national tv? What is he stupid?

Cognitive Dissonance's picture

Because most people will take his word for it rather than some 'blogger'.

And no, he is not stupid. This is an accepted business practice in America. Straw man building is so much fun when you can knock them down as well.

TruthInSunshine's picture

Finance for retards/CNBC anchors.


Damnit, Zero Hedge, you just killed another of my projects I had in the works.

It was going to be a pictogram book, and williambanzai was going to do the illustration for me.

People on CNBsC can legitimately say, to crib a line from There's Something About Mary, that they "work with retards."

RobotTrader's picture

Trading in pretty much everything is outright maniacal in currencies, metals, energy, etc.

However, the stalwart issues such as COF, DFS, AXP are unfazed and punching up to 52-week highs, as "electronic payment" boom is about to hit the Smartphone market.

Careless Whisper's picture


race for the exits today.

hope no one bought that JCP on the open.  whoa!

Internet Tough Guy's picture

And AAPL, which he doesn't talk about any more. Momofade was a perfect fade on gold this morning too. He's as good a fade as Cramer.

The Axe's picture

Holy no Volume....what no charts on AAPL<CRM OR PCLN  today

Careless Whisper's picture

MCP down 25% in two weeks. missed that short, prolly too late now. LULU worth keeping in the radar. seems a little top heavy.  and then there's NFLX.....


Careless Whisper's picture

oops, looks like i was wrong on the "too late now" short on MCP

lieutenantjohnchard's picture
by RobotTrader
on Mon, 05/16/2011 - 08:40


Yet again, retailers buck off the bad news.

JCP up 7% premarket after blowout earnings.


yet again you're wrong which is why you don't trust yourself to trade anything but widows and orphans stocks like vz, mo and hd. jcp high $41 today. current $37.75. guess the retailers bucked off the good news before they bucked on the bad news.

The Axe's picture

Market--high betas act SICK.....I smell fear and loathing

Ponzi Unit's picture

Doesn't want to shout "Fire!" in a crowded theater?

Zing's picture

He is about to go down in flames because deflation is going to take rates down

akak's picture

Good luck with your unicorn hunt.

earnyermoney's picture

Ben Bernanke and the bankstas do not want deflation. They want inflation and they're going to print money until the reach their objectives.

Mercury's picture

Perhaps next time anyone interviewing Gross will ask something more substantial than textbook "finance for retards/CNBC anchors" questions and demand an answer from the bond titan just how many hundreds of billions in UST short equivalent eurodollar notionals he has on his books?

And that is (one of the reasons) why CNBC's periodic "full disclosure" announcements are bullshit.

Come on Bill, listen to Marla and tell your audience that they should simply assume that you stand to benefit from being right.

NOTW777's picture

cnbc back to touting that OBL had porn, this from the channel that has a melissa lee porn special every few months (usually when the market is weak) oh well, whatever it takes to relect barack. nbc also taking out trump

Quinvarius's picture

I am sure he got a phone call asking him to say something nice about Treasuries.

InconvenientCounterParty's picture

Half-truths depending on the fact that almost no one understands these derivatives.

Old school rules of misinformation. Rules that benefit the dilligent.

In the context of outright fraud and DSK-ing, it seems tame.


6 String's picture

The "law" can shut even Gross and Pimco down if they get too loud about the great Ponzi scheme. I guarantee you any money management firm can be flogged in HFT time by the regulators should they get "the call" to do so.

And in other news, even Yahoo is reporting the technical default on U.S. debt and it has been met with the complete yawn. And to think, PM's are DOWN today.

The world has officially gone apeshit. At least we know we're not to far away from an official default.

Ponzi Unit's picture

Second take: If you are the "blogger", Tyler, then you are proving influential indeed.

Vergeltung's picture

yeah, I think that's the real take from all of this........

plocequ1's picture

Breaking news from Joe Weisenthal... The Dow is down.

Josh Randall's picture

Breaking news from CNBC - Liesman is still at Shoney's

ssp2s's picture

Bill's nervous that his short is a short-term miss.  And it may be a miss for a bit more.

No difference in being early and wrong, Bill.  But surely you have enough confidence to handle that for awhile.  Right, Bill?  Right?

Cognitive Dissonance's picture

He is defending his real currency.......credibility. As long as the dollar is still considered stronger than the other toilet paper, he needs to be on the right side of opinion while also being on the right side of the trade, two positions that rarely are on the same side.

With $200+ Million in AUM he can't turn on a dime. He must take positions before they pay off. So he must do some PR to defend his new positions. This tells me he knows something is going to happen. You don't stake out something like this on just a hunch or whim. He knows something.

Ponzi Unit's picture


That's deep, Cognitve. You live up to your name.

DK Delta's picture

So it does sound like Gross expects this inflation to continue? 

NOTW777's picture

disinformation monday - i've got some gold, no wait a minute; i'm not short treasuries even tho thats what i said last week;  i could be flat, I could be short, i could be underperforming; no wait - i'm mad at ben

DK Delta's picture

damn euro is getting a nice little bounce today. taking a breather for another dip i reck'n

Leanin_Left's picture

No difference between Gross and Juncker:

"When it becomes serious, you have to lie"

firstdivision's picture

he was defending himself on BBTV today with the same reasoning as well. 

lizzy36's picture

If memory serves Eisman was early as well. Everyone laughed at him.

Courage of ones convictions matters.

As for CNBC anchors, useless as tits on a bull.


slaughterer's picture

Michael Burry was early, too, as well as Eisman, and even Paulson.  All good shorts enter too early. 


Question: WHEN should one really start shorting Treasuries?  My hunch is July, 2011.