CORRECTED - UPDATE 1-Bill Gross: PIMCO 'never' short US Treasuries-CNBC

(Corrects first paragraph to "U.S. Treasuries" from "government debt")

* Gross tells CNBC PIMCO has never bet against Treasuries

* Says PIMCO "very underweight" U.S. Treasury market

(Adds background)

NEW YORK, May 16 (Reuters) - PIMCO's Bill Gross, manager of the world's largest bond fund, said on Monday it was a "misconception" the firm was short on U.S. Treasuries, saying the fund never actually bet against U.S. Treasuries.

Gross told CNBC the firm was "very underweight" the U.S. Treasury market and holds other bonds that are doing better than Treasury securities.

The company's website in May showed PIMCO's $240 billion Total Return fund (PTTRX.O) was short U.S. government-related debt -- this includes Treasuries, TIPS, agencies, interest rate swaps, Treasury futures and options, and FDIC-guaranteed corporate securities.

PIMCO started betting against U.S. government-related debt in April, with a short position equivalent to 3 percent of the assets in its Total Return fund, on concerns about the U.S. fiscal outlook.

The fund increased that short position to 4 percent this month as the Federal Reserve's bond purchase program neared its scheduled end in June, raising worries as to who will support the government bond market after that. (Editing by Padraic Cassidy)