Thomas H Lee, the US buy-out firm, has been hit by a loss of $1.36bn (€1.1bn) on its investment in Refco, the US broker that collapsed late last year amid allegations of fraud. The investment was the largest in its $6.1bn buy-out fund.

The firm said in a filing to the US Securities and Exchange Commission that its almost 49 million shares in Refco were worth $21.5m. In November it had recorded the value of the same shares as $1.38bn. The loss represents a 99% fall in the value of its residual shareholding in Refco.