One of the main channels of propagation and amplification of the financial market turmoil proved to be the off-balance sheet vehicles created by banks for clients or for themselves to invest in structured finance products.
Money-market fund managers and other investors apparently had underestimated the exposure they were incurring towards the risks in US sub-prime mortgages by purchasing asset-backed commercial paper (ABCP) issued by these vehicles. Box 8 of the Review provides a detailed explanation of the various ABCP structures and how they were affected by the market turmoil.