Hedge fund investor Anthony Scaramucci on Tuesday refuted reports that Citibank has cut ties with his investment firm.

"When they say 'cut ties,' the Wall Street Journal actually got that wrong. They issued a 'sell' on the fund," the founder and managing partner of SkyBridge said.

The Journal on Saturday published a report that Citigroup's private bank decided to discontinue its relationship with SkyBridge after the company's flagship fund suffered a loss of more than 20% in March. It cited a person familiar with the matter, who said Citigroup thinks the fund has "too much exposure to credit and mortgage-related securities."

Scaramucci, however, said there are "a lot of bargains" and noted that his firm has been involved in structured credit for 15 years.

"We're holding the portfolio, it's unrealized losses," he said in an interview with CNBC's "Capital Connection" this week.