Pimco has just released its May Total Return Fund holdings data, and we are delighted to discover that following all the recent debate over whether PIMCO is or is not short Treasurys, the firm has relented and has actually changed the way it reports it exposure, which in turn is precisely just as we had speculated: a modest long cash position offset by a substantially larger swap short. Yet combining the three (the firm now breaks out its "Government Related" category into Government- Treasury, Government- Agency and Swaps and Liquid Rates, which had been lumped before), we find that on a Market Value basis PIMCO is still short government securities to the tune of -3%, a minimal increase in its exposure from April when this was -4%. Yet on a duration weighted exposure basis, the firm's Swaps and Liquid Rates, the flagship fund's positioning is a whopping -31! Just as importantly, semantics aside, TRF's net cash position declined from 37% of its $243.2 billion in AUM to...35%, or $85 billion in cash. Hardly much of a vote of confidence in US government paper.
This is how PIMCO used to present its government-related holdings before:
And now (link):
Full breakdown (on blended MW basis):
TRF effective duration: up from 3.42 to 3.73 primarily due to a modest increase in the 5-10 and 10-20 duration.
And elsewhere, confirming that the mainstream media has no comprehension of the nuances of the cash vs synthetic market, we read the following from Reuters:
Contrary to popular
belief, bond manager Bill Gross' bet against the United States has not
been in the U.S. Treasury market but in interest-rate swaps, according
to PIMCO's website on Thursday.
Did Andrew Ross Sorking write this? Perhaps Reuters can explain just what is the underlying on a short position in IR Swaps since it is not US Treasurys?