A new report from one of the chief rating agencies has said that 23 bank sponsored conduits or funding vehicles operating in Europe, Middle East and Africa could have close to $40bn (€28.1bn) worth of exposure to securities linked to the crisis stricken US sub-prime mortgage market.

The report is the first time since the turbulence in the credit markets violently erupted in June that Moody's has published a report detailing the structure and asset composition, particularly to the US residential mortgage market, of the 68 Emea funding vehicles it rates.