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.” Â 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
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