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PIMCO's MBS Purge Continues As Foreign Bond Holdings Hit Record, Cash Rules
The latest data released by PIMCO's Total Return Fund indicates that the firm's flagship fund added another $8 billion in AUM, which at January 31 stood at $210 billion. This is a $74 billion increase in AUM compared to January 2009. More importantly, the composition of TRF demonstrated that the recent trend away from MBS and Treasuries and into cash and non-USD denominated foreign bonds persists. Gross has now booked $88 billion in profits in MBS since QE started, which brings his MBS holdings to an all time low of $31 billion. All the extra cash has gone into foreign non-US denom bond holdings, which hit a new high of $38 billion, presumably mostly in Bunds, Brazilian and Russian Sov holdings, and, well, cash, which at $19 billion hit the highest level since June 2008.
The market-weighted maturity profile of holdings was little changed: a slight increase in the "under 3 year" maturities was offset by a decline in the 3-5 year bracket.
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i agree with PIMCO - but my damn 401k wont let me be a playa like them
Is there some reason that your charts are linked to Treasury auction results?
Tyler Durden, need to fix clicking on the PIMCO charts bringing up Treasury Auction results.
Nice little way to kick off Failure Friday. PIMCO isn't alone though, from Moody's:
"The delinquency rate on CMBS conduit and fusion loans increased by more than 50 basis points in January, bringing the total rate to 5.42%. The total delinquent balance is now more than $36 billion, a $3 billion increase over the month before. By dollar and basis points, this is the largest increase in the delinquency rate thus far in the downturn, as measured by the Moody’s Delinquency Tracker (DQT)."
<< Gross has now booked $88 billion in profits in MBS since QE started, >>
sorry Tyler but you got a few extra zeros on that 'profit ' ... i suspect you simply meant he was $88 billion lighter in GSE mbs ......... and trust me , with GSE mbs closing today at +65/10yr ( i'll send you the Bloomberg graph if ya give me your e-mail address ) which is tightest spread in almost 30 years , Bill Gross left ALOT of money bailing on GSE mbs when he did and he and about 100 other big boyss all short GSE mbs vs their indices they get measured by are screaming in rage that mbs keep getting even richer in their face vs when they sold because they getting killed as that happens .
And if Bernanke decides to sit on his 1.25 trillion awhile ( you want to add up the carry on about 350bps of positive carry on 1.25 trillion ? ) , all these guys short GSE mbs are screwed to the wall .
Now don't get me wrong , i too believed like Gross that this huge GSE mbs buying would end in tears but i was wrong and so was Gross and now he owns alot of corporate bonds that are rich as hell because away from UST , what else was he going to buy ? he and hundreds of guys want to cash in their corporate bonds , junk bonds , emerging markets bonds and buy GSE mbs much cheaper ...... but they can't because markts keep running away from them .
the problem is that GSE mbs still on moon but junk bonds , emerging mkts and even corps are weakening !
think i'm wrong ?
look at MBB ( its the GSE mbs ETF ) 1% away from alltime high ......
now look at TLH ( 10yr UST ETF ) ......way below recent highs
look at HYG ( junk bond ETF ) ....well off recent highs
ya got spoonfed some real bad data on this one Tyler .....sorry about that
Looking at PTTRX Pimco has a large percentage of interest rate swaps. How are we supposed to interpret that?
Two words - Positive Carry
As interest rate swaps?
So at least that other guy above pointed out some of the main flaws in this post's analysis. There are others:
PIMCO Total Return continues to perform HIGHER than other bond indices YTD, and monthly, weeklies. This means he has some spread + carry that is delivering those returns bc cash/UST bills is the worst (0-10bps annual).
PIMCO TR is up 1.8% YTD. This is likely coming from corp spreads on high-quality assets and 2-3-4yr dur where the roll is richest (even some leverage there) and then opportunistic trading (which PIMCO does best).
Certainly... he is not in "all cash"... cuz then he would carry at 1bp/month.
-BBH
The next shoe to drop? China's Move to Curb Inflation: Good News for the Mainland, BAD NEWS for U.S., Strategist Says
^^ Mark it Junk ... It's yet another Cetin "I am Ned" Hakimoglu phantom-post spam which redirects to his blog!
>Gross has now booked $88 billion in profits in MBS since QE started, which brings his MBS holdings to an all time low of $31 billion. All the extra cash has gone into foreign non-US denom bond holdings, which hit a new high of $38 billion, presumably mostly in Bunds, Brazilian and Russian Sov holdings, and, well, cash<
Let me add to the "i call bullshit" posts. Any radical tilt of Pimco Total Return toward non-US dollar denominated bonds would have shown up in negative performance over the past few weeks as the dollar rallied. Hasn't happened....I watch it like a hawk as TR is really a fancy-pants AGG substitute, except one hopes Gross will hit one out of the park once in a while. Not saying Gross will NOT transform it over time, but don't kid yourself at how quickly this
battleship will be turned. His benchmark is AGG....Gross
might have laced TR with some Bunds, Brazil, Russia, etc
but any transition from plain vanilla US will take years. Gross is not about to mess with the golden goose very quickly, even on the basis of his own musings. Enhanced AGG?
Sure, go for it, Bill. Just don't make any performance
errors that send the sheeple to the exits.
There has to be some punishment - in heaven or hell - for such investing timidity!
Anyone sitting in USD or other fiat cash or in any kind of bond given the projection elsewhere that the entire WORLD may eventually become insolvent deserves no less.
I can only pray that, when enetually PIMCO's ultimate recipients get their hands on this cash, a wheelbarrow-full of it buys the proverbial loaf of bread...
Makes sense to hoard cash in anticipation of QE2.0. Won't buy until BB makes his move.
Can't wait till Bill buys all those new 10 and 30 year treasuries at 10-15% yields. It's coming, exactly when I don't know, but soon. Rates are going to skyrocket. Then I can just sit back and reap 30yrs of yields never having to put one penny in the crooked stock market, while I make massive returns sitting 100% in PTR fund. I actually have some money also waiting in the wings at Treasury Direct to load some 10 and 30 yr notes at super duper yields. Just a matter of time.
Uh, okay. What say I hook you up with some
Japanese guys who have been waiting for
the same thing over there since 1989.
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