Contrary to popular belief, bond manager Bill Gross' bet against the United States has not been in the U.S. Treasury market but in interest-rate swaps, according to PIMCO's website on Thursday.

Gross, the manager of the world's largest bond fund, in May maintained his exhibiting short position without any adjustments even as Treasury prices soared.

As of May 31, Gross' $243 billion Total Return fund
held a negative 9 percent short position in swaps and liquid rates sector, which will now include U.S. dollar-denominated interest rates swaps, swaptions, options, and other derivatives.

PIMCO's spokespeople declined to comment.

Gross' move to ratchet up his bearishness in March by taking his initial short position in U.S. government-related debt -- which then had been categorized as Treasuries, TIPS, agencies, interest rate swaps, Treasury futures and options and FDIC-guaranteed corporate securities -- has been the subject of market criticism given the furious rally in U.S. Treasuries.

But the Total Return fund, as illustrated, has not been short in those U.S. government securities.

Last week, a source familiar with the matter told Reuters that Gross is not short Treasuries, but swaps. Swaps are an agreement between two parties that receives a fixed rate of interest and pays a floating rate (three-month LIBOR).