A U.S. futures regulator said on Tuesday that activity leading up to the bankruptcy of brokerage MF Global appears to be "either nefarious or illegal."

Bart Chilton, a Democratic commissioner at the U.S. Commodity Futures Trading Commission, said on CNBC that he could not comment specifically on the agency's investigation, but that the activity "looks suspicious as heck."

"It's either nefarious or illegal in my personal opinion," he said.

An MF Global representative was not immediately available for comment.

Neither MF Global nor its former head Jon Corzine has been charged with any wrongdoing.

MF Global filed for bankruptcy protection on October 31 after concerns over risky bets on European sovereign debt sped its collapse. The CFTC and other regulators are still searching for roughly $600 million in customer account funds.

When asked about whether customers will get their money back, Chilton said: "It depends on what is there."