State Street, the American bank, has been identified as having $22 billion (£10.9 billion) of exposure to asset-backed commercial paper conduits, the off-balance sheet vehicles that have caused severe problems for rivals in recent weeks amid turmoil in credit markets.

According to regulatory filings, the Boston-based bank has credit lines to at least six conduits, which account for 17 per cent of its total assets. That proportion makes State Street the most highly exposed bank to conduits among its European and American peers.

IKB, of Germany, which was forced to accept emergency funding for its conduit last month, had credit lines worth 15 per cent of its total assets. Deutsche Bank and WestLB each have exposure of 6 per cent.

These conduits – packages of retail and commercial loans financed by short-term debt raised in the commercial paper market – have become of increasing concern to investors amid fears that banks will have to fund the debt from their own balance sheets if these vehicles are unable to sell on their maturing paper.

Shares in HBOS fell almost 4 per cent last week after it said that it would finance Grampian Funding, its $35 billion conduit, from its own resources until commercial paper market prices returned to more normal levels.

Standard Chartered’s share price also came under pressure last week, amid rumours that Whistlejacket Capital, its $18 billion structured investment vehicle, was in trouble.

The resignation last week of Edward Cahill, head of Barclays Capital’s collateralised debt obligation operations in Europe, has only added to fears that banks may face as-yet undisclosed liabilities from conduits and related investment vehicles.

Elsewhere, it has emerged that the Raptor Global Fund of Tudor Investment, the hedge fund, has lost 8 per cent this year after turbulent market conditions in August. Losses at the $8.5 billion fund, run by James Pallotta, widened dramatically in the first weeks of August. Some of his investments were “simply crushed” in the market turmoil, he has told his investors. Mr Pallotta, who runs Tudor’s stock portfolio from Boston, has delivered annual returns of 19.2 per cent to the fund’s investors since 1993.

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