Pimco Mortgage Fund Down Again in Q1

The distressed mortgage fund managed by Pacific Investment Management Co. (Pimco) hasn’t shown any signs of improvement in Q1. In fact, it declined ever-so-slightly again, according to confidential fund documents obtained by peHUB.

Last month we reported that the fund had earned a return of -34.5 since its inception in October 2007. That included a 25% drop in the fourth quarter. Well, in the first quarter it fell another 12.7%, dropping the total loss to -35.5 percent.

The total capital contributions to the fund’s offshore feeder is $1.58 billion (the total fund is $2.866 billion). The NAV of those assets is $849 million.

The firm’s explanation isn’t too different from its last one:

The performance in the first quarter was driven by exposure to cash subprime and pay-option ARMs which declined on downgrade related selling.

Activity in the quarter consisted of selling lower-yielding securities with a weighted-average dollar price of $56, and purchasing securities with better price convexity and/or significant base case yield, according to the firm’s quarterly report to LPs. The newly acquired securites had a weighted average dollar price of $35.

The fund is fully TALF-eligible and operationally equipped, the statement reads. Just waiting on those details, at which point “the Fund will be able to participate immediately.”  Meanwhile, PIMCO is still slugging along on its second distressed mortgage fund. The target is $3 billion, and its only accumulated $224.2 million to date.

Previously:
Pimco Mortgage Fund: No Wonder It’s Slow Going
Fundraising Updates: Pimco, Chart Capital, American PE Partners