Macquarie Fortress, the $1bn (€730m) US loans fund, lost 27% of its value during the credit turmoil over the summer, even more than it warned it would lose when it first flagged trouble at the beginning of August.

The fund is managed by Four Corners Capital Management, a fund manager based in Los Angeles in which Macquarie Bank holds 67%. It invests in senior secured loans, which are loans made to corporate borrowers to finance mergers and acquisitions or stock repurchases.