We’d hate to let down followers of the Pimco mortgage fund story, so as per usual for the past several quarters, here are the performance numbers on PIMCO Distressed Mortgage Fund I, L.P., a $2.8 billion pool designated to invest in secondary distressed mortgage securities.
I’d like to point out first that since our last update of this fund’s negative performance, we’ve learned that Pimco is earning $3 million per quarter to manage the government’s commercial paper funding facility (CPFF) program. We’ve also seen Bill Gross, Pimco’s head, come under more criticism for his influence over government policy. On Pimco’s mortgage trading activities, he said he “assumes that Pimco traders working on behalf of the government don’t talk to their peers trading for Pimco’s own accounts, The New York Times reported, adding, “Then again, he said he doesn’t know for sure what happens after hours.” From the NY Times:
“I don’t drink beer with these guys; I have no idea what happens in the privacy of their own homes,” he says. He says that when he encounters traders working for the Fed outside the office, he doesn’t talk to them.
All that said, the second quarter brought (slightly) better news for investors in Pimco’s first distressed mortgage fund, relatively speaking. Since it’s inception on Oct. 31, 2007, the fund has earned a return of -25.5% before fees. That’s better than its year-end-mark of -33.03% and its Q1 mark of -34.2%. The second quarter saw gains of 14.2% before fees.
The firm attributed the gain to improvement in systemic liquidity, and TALF, as well as slowed RMBS downgrades from the ratings agencies.
No word on the progress of the firm’s second distressed mortgage fund, which is in the market with a $3 billion target.
See images of some key data below.