At least four structured investment vehicles, which borrow in the commercial paper market to fund longer term investments, have seen their net asset values fall below 80%, according to Standard & Poor's. The rating agency downgraded Cheyne Finance as it started to wind down after losses earlier this week.

S&P said that of the SIVs it rates, some have fallen as low as 60%, with the remainder's net asset values within a range of 60% to 90% as of last Friday.