Britain's markets watchdog said it had examined over 250,000 transactions done by firm Premier FX in an attempt to find missing cash in the collapsed company based in the Algarve, Portugal.
Andrew Bailey, the chief executive of the Financial Conduct Authority, told parliamentarians on Tuesday that "the first priority is to find the money", with an FCA investigation into what it suspects was illegal activity.
The Financial Conduct Authority asked the UK courts in August last year to declare Premier FX insolvent because after the death of the sole director and shareholder, the firm was unable to pay its debts.
"I am very concerned, obviously, that the money of individuals has been lost in this activity"
The firm encouraged British customers both in the UK and expats living in Portugal and Spain to leave large amounts of cash with it in the hope that they would benefit from exchange rates, helping them buy holiday homes. But Premier FX did not have the right regulatory licences to hold customer money beyond remittance.
"I am very concerned, obviously, that the money of individuals has been lost in this activity," Bailey said.
"The person involved in this is said to be dead. I think it's incumbent upon his relatives, his business partners to tell us where the money is," Bailey added.
It was regulated by the FCA for money transfers but not deposit-taking, meaning customers who put money into the firm are not covered by the UK's Financial Services Compensation Scheme and could see their savings wiped out.
The Attorney General's Office in Portugal has confirmed that a complaint has been received relating to the closure of Premier FX, according to local media.
An investigation by the Department of Investigation and Criminal Action (DIAP) in Faro has started, with the company now formally being administered by Geoffrey Martin & Co in the UK.