PIMCO Total Return Fund MBS Holdings Hit Record $137 Billion As Fund Rises To All Time High AUM

Tyler Durden's picture

Not many changes in this month's Total Return Fund (PIMCO) flagship fund update: Bill Gross kept his MBS exposure at 53%, while lowering his net margin cash position from -23% to -18%, courtesy of a decline in Emerging Markets exposure from 10% to 7%. Exposure to all other products remained relatively flat. The one major difference is that TRF AUM rose from $252.5 billion to $258.7 billion, a $6 billion inflow in one month, and an all time high for the fund. As a result, the proportional exposure to MBS rose to $137 billion from $134 billion in absolute notional: also an all time record. Despite recent jawboning by both good and bad Fed cops, Gross is not wavering and is certain that when QE comes, and it will, it will not be some sterilized intervention (which is impossible as the Fed no longer has short-term bonds to sell), but outright MBS/QE, most likely in a 5/3 ratio. Additionally, we also learned that the effective duration of the TRF portfolio slumped to 4.61 years, the lowest since July 2011, when Gross was convinced America was going to hell. This one is somewhat confusing although we attribute the duration crunch to the ongoing surge in MBS holdings, and to a repositioning toward short-dated TSY paper.

Monthly TRF holdings:

TRF maturity and duration distribution:

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LongSoupLine's picture

Gross is loading his cargo on the HMS QEIII

Clint Liquor's picture

The FED must be ready to buy MBS with QE3.

I heard Pimco has a mole in the FED or maybe it was on their ass. It was one of the two anyway.

LetThemEatRand's picture

The Fed will have no choice but to support MBS's because otherwise its member banks will go bust when the CDS's on the MBS's blow up.  Everything the Fed is doing -- contrary to what we hear on main stream media all day that somehow it is trying to protect the people -- is to protect the bankers who are its owners and masters.

P.S.  the mole lives in The Bernanke's ass.  Similar to the Richard Gere rumor, or so I've heard.  

tom a taxpayer's picture

Alan Greespan has been consulting for PIMCO. And Alan's spirit (ghost) has been haunting the halls and boardrooms of the Mariner Eccles building Federal Reserve Board. So Alan could be both Pimco's mole in the FED and a mole PIMCO's ass.


LetThemEatRand's picture

Greenspan was an Ayn Rand protege and even wrote a chapter of one of her books.  I refuse to believe that someone who believes in and literally taught her philosophy would -- in reality -- be a corrupt self-interested kleptocrat.   That would suggest that the entire philosophy is fundamentally flawed because it fails to account for human nature.

Cursive's picture


I find it hard to believe that anyone who tried to exist in Any Rand's sick objectivist power vortex would be anything other than a sychophantic, corrupt self-interested kleptocrat.

Joe The Plumber's picture

Ultimately john galt wanted to make a living and take responsibility for himself. He didnt go galt until the government and parasites went completely out of control and essentially attempted to enslave the productive people. He didnt mind paying a modest level of taxes.

When taxes and the claims of the nonproductive become ridiculous then going galt is a virtue

LetThemEatRand's picture

John Galt is a fictional character.

Alan Greenspan is a real person who claimed he believed in the principles of John Galt.  And he wasn't just some guy who read Ayn's books.  He was in the inner circle.

Which one is real to you?   Which one should we look to as an example of Ayn's philosophy in the real world where real, living, breathing human beings exist?

LetThemEatRand's picture

Yes!  I got a down vote for pointing out that John Galt is a fictional character.  In a book.  Filed under Fiction!!!!

shuckster's picture

Randian philosophy is about as viable in reality as Communism. It's still subject to corruption and abuse. Look at some of the South American countries where full blown capitalism rules. It's every man for himself and dictatorship isn't inhibited whatsoever by the free market. Communism and Capitalism are the exact same thing - the rule of many by the few (and a specific type of few to boot)

Dr.Engineer's picture

Wake up.  The people at the top are all self-centered narcissist. Greenspan just created his own language to confuse us. 


Cursive's picture

@tom a taxpayer

Bernanke, Greenspan - they are all pawns.  Sure, once they've figuratively made it across the board, they get "queened" and thereby take on these special powers of the Chairman; but don't kid yourself, they serve their banking masters.  Now, the Fed could buy MBS, but it wouldn't be to improve housing.  There is nothing that is going to clear the housing market except for a a really long time span or an old fashioned jubilee.  So, Bill Gross is betting - and I strongly emphasize BETTING - on the Fed to bail him out of a losing position.

Cursive's picture

Let me get this straight - Bill "The Low Spark of High Heeled Boys" Gross is levered and loaded up on MBS to the tune of 53%?  Bwahahahahahaha!  I guess Pimpco believes the Jim Grant line about the Fed's "moral responsibility."  Fine.  They can both keep waiting for the fucking helicopter.  I'm over here clinging to my guns and my religion....

Joe The Plumber's picture

I am thinking emerging market corporate bond EMCB looks pretty good. Wisdom tree emerging market etf WMSY and DGS DES in that order

Bill gross is paring down emerging market bonds. Why specifically that area?

The only real growth the next twenty years is the under regulated, overworked, underpaid, third world in my view

chunga's picture

The MBS racket is quite lucrative but a little bit fraudy/crimey.


Can you dig this commitment schedule?

Tyler weigh in please.


LetThemEatRand's picture

This is exactly why Gross is betting that the Banker in Chief will ultimately bail out the MBS's.  As MBS's go, so go Citi, BofA, JPMorgan, etc.

chunga's picture

fraud bailout crime bubble pop bang surprise

monkeyshine's picture

So how does an average Joe investor position himself to profit IF what Bil Gross has predicted by his jockeying comes to pass?  We can't really buy MBS' and if there is a QE we should expect stock market rally, and if there is nobody to lend money to (either due to lack of demand or lack of credit-worthiness or both) then that QE money goes where? 

Piranhanoia's picture

I think the man must think he is brilliant for loading up on MoreBullShit.  He has to believe that special someone feeding him what he thinks is inside information that the country is about to make securities fraud legal.  These securities have no clothes, but the head guys at Pimpco do.  They will be easy to spot in Newport Beach. You can't wear a full length mink PimpCoat to your limo without having the locals turn their heads and raise their noses.

lolmao500's picture

How can treasuries go lower in yield?? Are they THAT determined to crush the retirees and the pension funds??

fonzannoon's picture

the pension funds have a better chance of getting crushed by green mountain than by treasuries these days. Probably both though.

lolmao500's picture

Well treasuries got no yield... so you're screwed if you depend on that yield.

Lost Wages's picture

Treasuries can still go lower and they've even talked about negative rate Treasuries.

slaughterer's picture

Buy Fanny and Freddy!  Time for Ben to buy these Motherships!

Joe The Plumber's picture

So why pare back on emerging market bonds? Their debt to equity ratios and potential growth are all better than Europe.

If we agree that risk is mispriced in the first world why cut back on EM bonds?

Seasmoke's picture

Someone give Gross a CAT Scan, he has gone crazy and lost his mind

HD's picture

Hate to admit it - but I'd like to be in on the next round of funny money. I can't bring myself to BTFD but I agree that MBS is the Feds next move. I think the current sell off is (in part) a controlled move down to get commodity prices in check and then Fed will be in the clear to fire up the presses in the name of "improving employment".

Are ETFs the way to play this?


Lost Wages's picture

All aboard the gravy trolley.

deki's picture

That fucker better be right my whole 401k is in his fund. Every time I see Total Return Fund in ZH headline I wanna have a heart attack. Man I wish I could get my 401k out without quiting my job.

The Alarmist's picture

Take a loan from it or take a hardship withdrawal if you are so bummed. Don't worry about retirement, 'cos I've apparently got you covered.

deki's picture

i already did take a loan out and bought PHYSICAL gold with it. i guess i maxed out my credit limit. Fuck it, i will probably get Corzined with the rest of the money. 

disabledvet's picture

here's what actually is going on inside the Mariner C Eccles building during Fed meetings now and for the forseeable future:
there will be no more QE Bill Gross! ESPECIALLY in Real Estate since THOSE ARE THE CLOWNS WHO GOT ALL THE BAILOUT MONEY!
Now "let's talk the bankruptcy of Countrywide Financial" so that BofA can start doing some asset sales, etc...etc...

WallowaMountainMan's picture

so.....since, if they did not buy the mbs's, the credit default market bust will bust the tbtf.....does that mean buying these non performing mbs's allows time for the cds market to unwind? or do the banks just reissue gobszilloins more, knowing that the first batch has been played to the endgame holding pen of make believe no default vault at the fed's?

The Alarmist's picture

So we start mailing our mortgage payments to PIMCO now? Those who are still paying, that is.

boeing747's picture

Bill is front-running Ben or he threat to blow up himself with entire housing market. Ben's face lately turned to light blue from my observation.