NEW YORK: London-based hedge fund Rokos Capital Management told its investors in a letter that it has decided to de-risk, following double-digit losses this month, Bloomberg reported on Saturday.

“We have de-risked following this month’s market price action,” the hedge fund said, adding its cash remains “at healthy levels” and that counterparties have not requested additional margin, according to Bloomberg.

Rokos lost 15.3% this month through March 17, the report said.

Rokos, which manages roughly $15.5 billion, also told investors that it played no part in discussions about recent losses with bets on US government bonds between the US Securities and Exchange Commission and the UK Financial Conduct Authority.

On Friday, the Financial Times reported that SEC Chair Gary Gensler brought up Rokos in calls with UK regulators, following its losses.