Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

The world's largest bond fund has moved out almost entirely from US debt and into that of emerging markets and corporations, Pimco's Bill Gross told CNBC.

Getty Images

Speaking a day after news broke that Pacific Investment Management Company had dumped its Treasurys holdings from its $236.9 billion Total Return fund, the Newport Beach, Calif.-based firm's managing director said it would return once yields grew more attractive.

"It's not a question of dissing the United States or questioning the credit of the United States, but simply a maturity reflection," Gross said. Treasurys are "mispriced relative to the inflationary environment and the growth we see ahead and there are better alternatives in order to capture yield."

Gross primarily based his evaluation on the reduction in yields caused by the Federal Reserve's buying of close to $2 trillion in Treasurys, with more slated before the second leg of the program—often called QE 2—comes to an end.

"When a trillion and a half dollars worth of annualized purchasing power disappears I simply question as to who will buy them and at what yield," he said. "We're suggesting at these yields it might be problematic."

Instead, the firm has moved its money to other debt until the rate structure changes.

"Those would be corporate bonds, those would be a smattering of high yield bonds and a growing proportion of emerging market debt which yields in the 5 to 6 percent category," he said. "Are these bonds as safe as Treasurys? No, they are not triple-A types of investments but they're not overvalued based on quantitative easing procedures that we've seen over the past 12 months.

"So we've moved into Brazil and Mexico and moved money, yes, at the margin into Spain, which has a better balance sheet than the United States."

He said the Total Return fund has returned about 5 percent, whereas a Treasurys portfolio would yield about 2 percent.

by Jeff Cox CNBC.com March 10, 2011

Gross: Why Pimco Dumped Treasurys From Biggest Fund - CNBC

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

Exclusive: Bill Gross Dumps All Treasuries, Brings Total "Government Related" Holdings To Zero, Flees To Cash - No QE3? | zero hedge

And many thought Bill Gross was only posturing when he said he is getting the hell out of dodge. Based on still to be publicly reported data by Pimco's flagship Total Return Fund, the world's largest bond fund, in the month of January, has taken its bond holdings to zero (and -14% on a Duration Weighted Exposure basis). The offset, not surprisingly, is cash. After sporting $28.6 billion in "government related" securities, TRF dropped to $0.0, while its cash holdings surged from $11.9 billion to a whopping $54.5 billion (based on total TRF holdings of $236.9 billion as of February 28). This is the most cash the flagship fund has ever held, and the lowest amount in Treasury holdings since January 2009 before it was made clear that the Fed was going to adjust QE1 to include Treasurys in addition to Mortgage Backed Securities. PIMCO's Treasury holdings peaked in June 2010 at $147.4 billion and have declined consistently ever since. And while we expected that the spike in MBS holdings (at times on margin) was indicative of an expectation that QE3 would monetize mortgage backed securities, the ongoing decline in that asset class now leads us to believe that Bill Gross is now convinced there will be no QE3 at all, at least based on his just putting his money where his monthly pen is! And if Bill Gross, the most connected person to the upcoming actions by the Fed, believes there is no more quantitative easing, it is really time to get the hell out of dodge in all security classes - bonds, and most certainly, equities.

Note the plunge in Treasury holdings in the chart below (blue line), offset by the surge in cash (dotted pink line). Time to panic.

And when it comes to duration adjusted holdings, something wierd is going on: PIMCO has increased its holdings of securities with a 0-1 duration to 14%, quite possibly the highest ever, and certainly the most to where our records go back. The effective duration on the entire portfolio dropped to 3.89, the lowest since December 2008.

Source:

By Tyler Durden ZeroHedge March 9, 2011

http://www.zerohedge.com/article/exclusive-bill-gross-dumps-all-treasuries-brings-total-government-related-holdings-zero-flee

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market

El-Erian Says Opportunities Still Exist in Bond Market

Jan. 21 (Bloomberg) -- Mohamed El-Erian, chief executive officer at Pacific Investment Management Co., talks about investment opportunities in the bond market. El-Erian, speaking with Tom Keene on Bloomberg Radio's "Surveillance," also discusses the outlook for the World Economic Forum in Davos, Switzerland, next week. (This is an excerpt of the full interview. Source: Bloomberg)

El-Erian Says Opportunities Still Exist in Bond Market