“Pimco Boosts Mortgage Holdings”, by Min Zeng, Wall Street Journal (subscription), October 20, 2008.

Pimco’s Total Return Fund, the world’s largest bond fund, raised its holdings of mortgage-backed securities to 79% by the end of September, a level not seen since at least June 2000, from 69% a month earlier, according to data from the company’s web site.

In contrast, Pimco continued to snub U.S. government debt, reducing its holdings for the ninth straight month, even though Treasurys have benefited over the past couple of months from massive safe-haven flows.

Igor says, “Worried,” and I concur.