Amaranth Advisors’ multi-billion dollar hedge fund may suffer losses in excess of 35 percent because of a position on the natural gas markets, the fund said on Monday.
“Last week, the Amaranth multi-strategy funds experienced significant losses in their energy-related investments following a dramatic move in natural gas prices,” Amaranth said in a letter to investors obtained by Reuters.
Amaranth, created in September 2000, has more than $7.5 billion in capital under management, the company said on its Web site.
“In an effort to preserve investor capital, we have taken a number of steps, including aggressively reducing our natural gas exposure,” the fund said.
Amaranth said it anticipates year-to-date losses may top 35 percent as it liquidates its natural gas exposure.
“It looks like Amaranth went for the seasonal play on energy futures...on natural gas, it looks like they bet on hurricane-related supply problems,” said a New York-based energy futures broker.
Natural gas futures prices, which rose last year following supply disruptions caused by hurricanes, have fallen more than 40 percent since Aug. 1 high of $8.619 per million British thermal units.
“We have met every margin call to date. We are in discussions with our prime brokers and other counterparties and are working to protect our investors while meeting the obligations of our creditors,” the letter said.
Amaranth is the latest fund to be hit by big losses in the commodities markets. MotherRock LP’s fund collapsed in August after also taking heavy losses in the natural gas markets, according to trade sources.
The Amaranth fund last month denied rumors which had been circulating on New York and London trading floors that the fund was in trouble due to big losses in the natural gas markets.
