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PIMCO Treasury Holdings Plunge To Two Year Low, Cash Holdings Surge, Total Return Fund AUM At Lowest Since June 2010

Tyler Durden's picture


Did Larry Meyer (the one man Fed "expert network") lose Bill Gross as a client? Because looking at PIMCO's latest holdings shows a dramatic shift in strategy and leaves one wondering just what PIMCO is doing. After the firm had been buying MBS on margin like it was going out of style, peaking in June when the company's cash margin balances hit a local record of 15%, resulting in MBS holdings surging to 51% of the company's flagship Total Return Fund, ever since then it seems Gross' bet on MBS as benefiting from either massive putbacks to the banks, or QE3 being focused on mortgage backed securities has fizzled. Most notable in the January update is the huge change in Treasury holdings, which have plunged from 22% in December to 12% in January, a $24 billion drop. This is the lowest relative holding of government securities by PIMCO since January of 2009 when it was a 2% short exposure. The other result: cash has surged from a 7% short position to a 5% positive: the firm no longer is utilizing margin for the first time since August 2010. The other issue: the company's holdings of Muni securities continues to be a black eye, resulting in a continued decling in total TRF AUM: in January it hit the lowest since June 2010 of $238.5 billion (it peaked at $255.9 billion in October). Bill Gross can not be too happy about these various developments.

Total monthly spread of TRF:

And just as troubling, PIMCO's average duration of holdings was at 4.42 years, the lowest since April 2009!


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Mon, 02/14/2011 - 09:53 | Link to Comment Oh regional Indian
Oh regional Indian's picture

Bill Gross might be setting up to the Kenneth Lay of this decade.

Bond market implosion, dead ahead?

He sure has sidelined all his "friends" with his recent "open" letters.

Mon, 02/14/2011 - 11:29 | Link to Comment A Man without Q...
A Man without Qualities's picture

It's out of order to compare him to Ken Lay.  His letter suggested he is genuinely worried about his investors, who the Fed seems determined to set up as the bagholders for recapitalizing the banks...

Mon, 02/14/2011 - 12:04 | Link to Comment Oh regional Indian
Oh regional Indian's picture

Seriously? After his 30-40 year seat at the inside making those 'investors" more than they deserved.

His letters were a sham.


Mon, 02/14/2011 - 09:54 | Link to Comment plocequ1
plocequ1's picture

Whos Bill Gross? Is he the POMO guy?

Mon, 02/14/2011 - 13:17 | Link to Comment VegasBD
VegasBD's picture

He is a headless thrusting mantis.

Mon, 02/14/2011 - 10:02 | Link to Comment whatz that smell
whatz that smell's picture

happy valentine day massacre, billy G.

Mon, 02/14/2011 - 10:03 | Link to Comment Temporalist
Temporalist's picture

That is so March of 2009 something else happened...I can't remember what though it was so long ago and so much recovery has happened since then.

Mon, 02/14/2011 - 10:17 | Link to Comment lizzy36
lizzy36's picture

Bill is just mad. So he has decided to hold hold his breath and refuse to buy Treasuries, until the promised Muni bailout comes through.......duh.


Mon, 02/14/2011 - 10:48 | Link to Comment gwar5
gwar5's picture

I guess Bill Gross really meant what he said about the Fed (not propaganda).

Guess he bailed and doesn't want to hold the bag or got bounced. 

Mon, 02/14/2011 - 10:50 | Link to Comment Dr. No
Dr. No's picture

I know it is fun to bash Bill as some of the posters above have done.  However, Bill is part of the elite and has made more money than most of us by properly calling the market direction.  It is too early to be critical of Bill until this plays out.  My guess is he has insider info and is playing it correct.

Mon, 02/14/2011 - 10:57 | Link to Comment sudzee
sudzee's picture

QE3 mmmm gross.

Mon, 02/14/2011 - 13:36 | Link to Comment Cleanclog
Cleanclog's picture

Despite the recent PIMCO Viewpoint on Munis, I bet he's punting a bunch of them.  Selling especially VRDOs that may not have their LOCs renewed.  

Mon, 02/14/2011 - 14:37 | Link to Comment thepigman
thepigman's picture

You know how BillG works. By the

time you get a report he's sold, he

may already have already bought again.

Mon, 02/14/2011 - 20:52 | Link to Comment Buck Johnson
Buck Johnson's picture

I'm starting to believe now that Bill Gross was made assurances on those MBS's and he bought them like crazy.  Now they aren't going through with their promises and he's mad as hell, in fact it shows through his letters he's put out last year.  I think they act as two things.  One to show that he was concerened about the market awhile ago and to act as his alibi when this whole game implodes.  And two, to push Bernanke and the govt. to bail him out from buying this junk.


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