An index of sub-prime rated debt has fallen to a record low of less than half its value at the start of the year, as Bear Stearns told investors the total loss on its two hedge funds invested in the securities amounted to $1.5bn (€1.1bn).

The ABX-HE-BBB- 07-1 index, which references bonds backed by mortgages originated in the second half of last year, fell to 45.02 cents in the dollar, according to data provider Markit, its lowest level on record.