The Serious Fraud Office (SFO) is investigating the disappearance of up to £103m of clients' money at the insolvent investment company Keydata.
Keydata was put into administration by the Financial Services Authority (FSA) in early June.
But the administrators PwC have discovered that some investors' money has been put into assets that have now gone missing.
About 5,500 people are affected, with others unable to withdraw their cash.
"The FSA is now working closely with the administrators to reach a solution for investors as fast as possible and is also in discussions with the Serious Fraud Office about the potentially missing assets underlying some of these products," said an FSA statement.
"If it emerges that Keydata has caused customers to suffer a financial loss and cannot meet its liabilities, the Financial Services Compensation Scheme (FSCS) may be able to help," it added.
Keydata, which has offices in London, Glasgow and Reading, specialised in selling "structured investment products" and has about 43,000 customers.
PwC was intending to sell the business but says this will now not be possible.
The £103m that is now missing had been channelled by Keydata to an investment company in Luxembourg called SLS.
But in the last few days PwC discovered that SLS had not made any payments back to Keydata since October 2008, and that Keydata had used its own funds to make up the shortfall in income payments to its clients.
"The administrators have been unable to satisfy themselves as to the safe custody of the underlying assets in SLS and, indeed, information received over the weekend suggests that the assets have been liquidated and may have been misappropriated," said PwC.
"The Administrators are now working with the authorities in an effort to trace the funds.
"For the time being no income payments or redemptions on these products will be possible," PwC added.
Other irregularities have been discovered which mean that, for the time being, 23,000 investors cannot trigger the early redemption of £349m invested in the company's Lifemark policies, although the underlying assets exist and income from them is still being paid.
The same applies to a further £2m invested on behalf of 80 investors in other Lifemark bonds.
But about 240 investors with money channelled by Keydata to another investment fund called Hometrak will not receive any income for the time being.
The existence of the assets is still being verified and PwC said Hometrak had not made any repayments Keydata since February 2008, with Keydata again making up the difference with its own funds.
"We understand how worrying this new information must be for investors but would like to reassure all of them that we very much have their interests at the forefront of our minds as we seek to fully understand all the issues," said Dan Schwarzmann of PwC.
"We are working very hard in conjunction with the FSA and other authorities to obtain information regarding the whereabouts of the underlying funds in SLS.
"I would also reiterate my earlier confirmation regarding funds held by Keydata. The funds, which totalled £70m at the date of our appointment, are all held in secure segregated client bank accounts and are not affected by the insolvency of Keydata," he added.
The FSA revealed that it had had its own concerns about Keydata, which started its investment management business in 2001.
"The FSA has been investigating Keydata since discovering that the firm had been targeting investors with potentially misleading advertising materials," the regulator said.
When PwC was first appointed the first thing the administrators discovered was that some polices that had been sold as being tax-free under the regulations for ISAs (Individual Savings Accounts) did not in fact conform to the rules.
As a result, where income is still being paid to investors, it is being taxed at source, while the tax status of the policies is sorted out.
If customers lose money as a result of Keydata going bust then the FSCS would pay 100% of the first £30,000 lost, and 90% of the next £20,000.