PIMCO's Gross bought Thornburg paper recently-CNBC

NEW YORK (Reuters) - The manager of the world's biggest bond fund said on Friday he had bought hundreds of millions of dollars of Thornburg Mortgage's debt in the last few days.

Bill Gross, chief investment officer of Pacific Investment Management company or PIMCO, said on CNBC television he has been buying "high-quality" rated Thornburg paper with yields in the "9, 10, 11 percent range." Gross manages the $120 billion PIMCO Total Return Fund.

The Federal Reserve's term auction facility, which the Fed said earlier on Friday it would increase in size, would help ease credit conditions somewhat, Gross said.

"What really needs to be done is for the Fed to lower long term mortgage rates," he added, saying the Fed should sell Treasuries and buy mortgage assets.

(Reporting by John Parry and Jennifer Ablan; Editing by Gary Crosse)