As a result of liquidation proceedings initiated against US clearing firm MF Global, there may be write-downs of 5 to 10 percent for some Superfund Managed Futures Funds. It is still unclear the impact, if any, the MF Global default will have on Superfund Managed Futures Funds. Due to this uncertainty, the net asset value (NAV) of the concerned funds cannot be calculated. Until the concerned funds can adequately value NAV, redemption requests for each fund have been suspended. The Superfund Blue funds are not affected by the MF Global default. Superfund is using its best efforts to keep clients informed.
On 31 October 2011, U.S. authorities instituted liquidation proceedings against the brokerage firm MF Global, Inc. immediately following a report by MF Global of a shortfall in customer accounts. Currently the U.S. Securities and Exchange Commission, U.S. Commodity Futures Trading Commission and the Federal Bureau of Investigation are investigating whether customer assets have been improperly diverted from customer accounts.
As part of its Risk Management, Superfund Managed Futures Funds use four different clearing firms. One of these clearing firms is MF Global, in which less than ten percent of the assets of the different funds were held. Specifically, of the 1.2 billion USD under management in all Superfund funds, only 5.6% were held by MF Global as of 31 October 2011.This represents between 4.3% and 9.8% of the affected Superfund Managed Futures funds.
All customer accounts at MF Global are currently frozen, including accounts belonging to Superfund funds. U.S. authorities are currently investigating if and to what extent customer money at MF Global has been improperly diverted. Any shortfall in customer accounts is the potential result of improper or fraudulent action by MF Global. The Superfund Blue funds did not have accounts at MF Global and are not affected by the liquidation proceedings.
The assets of customer funds, including Superfund funds, are required by law to be maintained in segregated accounts. U.S. regulatory authorities have reported an estimated 11.6% shortfall in the segregated accounts (see letter of the CFTC dated 2 November 2011). Based on these preliminary estimates, less than 8 million USD of the concerned funds’ total assets are currently unaccounted for. Provided that this estimated shortfall is applied on a prorated basis to all customer segregated accounts, this would mean for Superfund investors a loss of -0.6% to -1.1% of the respective NAV. These estimates are preliminary and could change based on the final results of the investigation by U.S. authorities.
As of 4 November 2011, all open Superfund futures positions have been transferred to the other clearing brokers. In the meantime, Superfund funds are fully able to continue trading though the three other clearing firms with which they maintain accounts.
Although the exact impact, if any, on Superfund funds cannot be currently determined, Superfund is optimistic that a significant portion of the assets will be recovered. At this time, it has been decided that the calculation of the NAVs of each affected fund cannot be resumed until U.S. authorities have made more precise determinations as to the extent of the possible shortfalls. As soon as the NAVs are calculated, Superfund will promptly pay all redemption proceeds.
Superfund Blue funds are generally not affected.
For Superfund, this is a highly unsatisfactory situation and we regret any inconvenience suffered by our customers. Superfund is committed to providing its investors with all timely information relating to this situation.