Christian Dailly has returned to West Ham as Southampton cannot afford to keep the on-loan Scotland defender for a further month.
"The player is going back - we can't afford to keep him," boss George Burley told Saints' official website.
"We just move on and adjust accordingly. It's a financial thing so we won't be getting anyone to replace him.
"I can't influence financial things but I have had full backing from the board and that is all I can ask."