One month before Standard & Poor warned of downgrade US treasury debt’s AAA rating, Bill Gross, managing director and co-CIO of PIMCO, asks: “Who Will Buy Treasuries When The Fed Doesn’t?”
His Answer: “I Don’t Know”; And Now Gross is Out Of Risk
In March PIMCO was dumping everything related to US rates, Pimco’s flagship Total Return Fund (TRF) has now taken an active short position in US government debt: -3% on a Market Value basis (or $7.1 billion), and a whopping -18% on a Duration Weighted Exposure basis. See the allocation information from fund factsheet below:
The world’s largest “bond” fund now has cash, at a stunning $73 billion, or 31% of all assets, as its largest asset class on both a relative and absolute basis. Cash is more than PIMCO’s holdings of Treasurys and Mortgage securities ($66 billion) combined.