Presenting The Holdings Of Pimco's $240 Billion Flagship Total Return Fund
In light of Mr. Gross' earlier very humanitarian letter, we decided it would be sensible to demonstrate the holdings of PIMCO's flagship Total Return Fund (all 249 pages thereof) which at last check were just under $240 billion, and had a 4.92 effective duration. Setting aside Mr. Gross concerns for the broader society, we looked at what the suggested 300-400 bps adverse impact on just the the TRF's P&L would be: taking the $240 billion notional, and applying a 350 bps average hit to the fund's effective duration implies a hit of just over 17%, or a loss of about $40 billion. Assuming a comparable duration for Pimco's remaining $800 billion in AUM held in other vehicles, and one can see why Mr. Gross would be concerned about losing government backstops. We believe Mr. Gross may have forgotten to mention this slight tidbit from his letter.
And for those who enjoy digging through letter appendices, oddly excluded in this case, here is the full breakdown of the TRF holdings.