Bill Gross of Janus Resources Team Inc. confirmed on CNBC on Wednesday that he recently began investing in Mexican government's debt securities.

"The best idea, and it hasn't worked yet, but it's only been under way for around a week or two, is in Mexico," Gross said. "Mexico has 7 percent nominal interest rates. Mexico has 3 percent real interest rates. That means, even though Mexican inflation is higher, 3 percent or so relative to the United States, that's all adjusted for in terms of a 'linker' or a TIP (Treasury Inflation Protected Securities)."

Mexico 10-year inflation-linked bond securities producing 3 percent compared to UNITED STATES 10-year IDEAS generating 0.5 percent gives a "2.5 percent spread between those 2. Believe me, the quality distinction doesn't validate it," Gross added.

Previously on Wednesday, Gross tweeted: "QEs (Measurable Easings) globally assisting economic properties: ECB + BOJ each $1 trillion. UNITED STATE Corp buybacks $1 trillion + too; China as well. Exactly what occurs when it stops?"

He was describing the European Central Bank and Financial institution of Japan.

On CNBC, Gross said, "Well, liquidity dries up. And if we assume that liquidity is inadequate now, it'll be worse two, three, four, five years from now when these maneuvers normally quit. You would certainly believe a main lender wouldn't quit if they knew that it would generate a crisis right now and great deals of volatility.