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UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
WASHINGTON, D.C. 20549
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FORM 8 - K
CURRENT REPORT
PURSUANT TO SECTION 13 OR 15(D) OF THE SECURITIES EXCHANGE ACT OF 1934
Date of Report (Date of earliest event reported): October 13, 2005
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S&P MANAGED FUTURES INDEX FUND, LP
(Exact name of registrant as specified in its charter)
DELAWARE 000-50565 90-0080448
(State or other (Commission (IRS Employer
jurisdiction File Number) Identification
of incorporation) Number)
C/O REFCOFUND HOLDINGS, LLC
ONE WORLD FINANCIAL CENTER 200
LIBERTY STREET - TOWER A
NEW YORK, NEW YORK 10281
(Address of principal executive offices)
(212) 693-7000
(Registrant's telephone number, including area code)
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Check the appropriate box below if the Form 8-K filing is intended to
simultaneously satisfy the filing obligation of the registrant under any of the
following provisions:
/ / Written communications pursuant to Rule 425 under the Securities Act (17
CFR 230.425)
/ / Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17
CFR 240.14a- 12)
/ / Pre-commencement communications pursuant to Rule 14d-2(b) under the
Exchange Act (17 CFR 240.14d-2(b))
/ / Pre-commencement communications pursuant to Rule 13e-4(c) under the
Exchange Act (17 CFR 240.13e-4(c))
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ITEM 8.01. OTHER EVENTS.
CURRENT STATUS OF FUND OPERATIONS.
On October 10, 2005, Refco, Inc., the ultimate parent of RefcoFund Holdings, LLC
(the "General Partner"), the general partner of the S&P Managed Futures Index
Fund, LP (the "Fund") announced that it had discovered through an internal
review a receivable owed to Refco, Inc., by an entity controlled by Phillip R.
Bennett, the then Chief Executive Officer and Chairman of the Board of Directors
of Refco, Inc., in the amount of approximately $430 million. Mr. Bennett has
been charged with securities fraud in connection with this matter and various
actions have been filed against Refco, Inc. Thereafter, on October 13, 2005,
Refco Inc. announced that the liquidity within Refco Capital Markets, Ltd.
("RCM") was no longer sufficient to continue operations and that RCM had imposed
a fifteen (15) day moratorium on all of its activities in an attempt to protect
the value of that enterprise. On October 18, 2005, Refco, Inc. and RCM, filed
for bankruptcy protection in the Southern District of New York. A portion of the
Fund's assets (less than 3%, based upon current market value) are exposed to RCM
through the Fund's investment in the SPhinX Managed Futures Fund SPC (the
"SPhinX Fund"), for which RCM served as foreign currency broker.
Attached as Exhibit 99.1 to this Form 8-K, and incorporated herein by reference,
is a Notice to Investors that was distributed by the Fund on October 17, 2005;
that portion of the Notice to Investors which details changes in the composition
of the Managers and Officers of the general partner was previously the subject
of the Fund's filing on Form 8-K dated October 14, 2005. Attached as Exhibit
99.2 to this Form 8-K, and incorporated herein by reference, is a Notice to
Investors that was distributed by the Fund on October 18, 2005, concerning RCM's
filing for bankruptcy protection.
In light of the events outlined herein, the SPhinX Fund is in the process of
moving all of the assets from Refco, LLC, and has engaged Lehman Brothers and
its affiliated entities to act as futures commission merchant. As of the close
of business on October 17, 2005, the SPhinX Fund no longer has assets on deposit
with Refco, LLC. The SPhinX Fund plans to move the remaining assets held at RCM
if and when such assets become available.
The General Partner does not believe that these actions will have a material
impact upon the operations of the Fund or the SPhinX Fund, or either's ability
to satisfy a request for redemption. In this regard, the operations of the Fund
and the SPhinX Fund, including
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the trading activities of the underlying asset managers, have continued with
minimal interruption. Investors are cautioned, however, that there can be no
assurances (i) that the SPhinX Fund will have access to any or all of its assets
in accounts held at RCM, (ii) with respect to the amount or value of those
assets, when and if the SPhinX Fund obtains them, or (iii) the effect upon the
SPhinX Fund of future actions by RCM or others, any of which may ultimately
impact the SPhinX Fund's ability to value that portion of its assets held at RCM
and/or delay the payment of an investor's pro rata share of such assets upon
redemption.
In particular, the SPhinX Fund has informed the Fund that, with respect to
redemptions made as of October 14, 2005 or any date thereafter, the SPhinX Fund
intends to make payment in the ordinary course with respect to not less than 95%
of the proceeds of such redemptions, while reserving the payment of not more
than 5% of the proceeds until such time as it may establish a reasonable
valuation with respect to the foreign currency contracts to which RCM is the
counterparty. As such, the Fund may reserve payment with respect to not more
than 5% of any redemption proceeds until these monies are remitted to the Fund
by the SPhinX Fund.
ITEM 9.01. FINANCIAL STATEMENTS AND EXHIBITS
(d) EXHIBITS
99.1 Notice to Investors dated October 17, 2005.
99.2 Notice to Investors dated October 18, 2005.
This Current Report on Form 8-K, including the documents incorporated by
reference herein, contains forward-looking statements within the meaning of
Section 21A of the Securities Exchange Act of 1934 and the Private Securities
Litigation Reform Act of the 1995. In this Current Report on Form 8-K, including
the documents incorporated by reference herein, all statements other than
statements of historical fact are forward looking statements that involve risks
and uncertainties and actual results could differ. These forward-looking
statements are based on assumptions that we have made in light of our experience
and on our perceptions of historical events, current conditions, expected future
developments and other factors we believe are appropriate under the
circumstances. Although we believe that these forward-looking statements have a
reasonable basis, you should be aware that numerous factors, including the
outcome of Refco Inc.'s Audit Committee's investigation; its ability to obtain
financing arrangement or alternatives; changes in domestic and international
market conditions; competition; its ability to attract and retain customers; its
relationships with introducing brokers; retention of its management team; its
ability to manage its growth or integrate future acquisitions, its exposure to
significant credit risks with respect to its customers, international operations
and exchange membership requirements, the effectiveness of compliance and risk
management methods, potential litigation or investigations, employee or
introducing broker misconduct or errors, reputational harm, and changes in
capital requirements, could cause actual results to differ materially from our
expectations. Because of these
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factors, we caution that you should not place undue reliance on any of our
forward-looking statements. Further, any forward looking statement speaks only
as of today. It is impossible for us to predict how new events or developments
may affect us. We disclaim any intention or obligation to update or revise any
forward-looking statements, either to reflect new information or developments or
for any other reason.
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SIGNATURE
S&P Managed Futures Index Fund, LP
By: RefcoFund Holdings, LLC,
as General Partner
(Registrant)
By: /s/ Richard C. Butt
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Date: October 18, 2005 Name: Richard C. Butt
Title: President and Manager