Skittish investors appear to have turned a spotlight on the credit risks linked to ANZ Bank's comparatively heavy exposure to borrowers in the oil and gas industry.The bank's scrip was the worst performer among ASX listed banks on Wednesday closing down almost A$1.76 or 10 per cent to a decade-low close of $16.62.ANZ is the largest lender to the financially stressed fossil fuels sector, with around a $20 billion exposure to oil and gas extractors in Australia and overseas.Disclosures in ANZ's 2019 climate report show the bank's exposure to providers of air passenger and freight services is comparatively small at around $3.9 billion.While recent media reports have focused on the economic harm to airlines and tourism operators wrought by Covid-19, recent movements in US credit spreads on bonds issued by oil and gas producers suggest that the big flashpoints of credit risk presently lie in the fossil fuels sector.Average credit spreads for energy corporates blew to out to as much as 369 basis points in the US in the last week. And the average for lowest investment grade borrowers in the sector has ranged even higher.The oil industry's poor credit standing has hit extreme levels, especially when one considers that the average spread for US corporate bonds issued by transport providers, including airlines, has blown out to 211 basis points.ANZ's exposure to oil and gas borrowers has increased since 2017 as peers such as NAB and Westpac have reduced lending to the sector because of environmental concerns.Oil and gas borrowers now account for 8.2 per cent of all corporate and business lending exposures at ANZ compared to 7 per cent in 2017.The wisdom of ANZ's decision to expand its exposure to the industry is about to be tested as lenders and investors respond to an expected surge in oil bankruptcies in the US.If the oil price war between Saudi Arabia and Russia succeeds in keeping a lid on the oil price below $US50 a barrel beyond June when oil price hedges expire, many business cases could unravel, including some to which ANZ is exposed.ANZ's credit exposures to the sector include a $60 million loan to Indonesian gas producer, Medco Energi. Medco's recent bond issues were rated as sub-investment grade by Moody's and Standard & Poor's.ANZ is also a member of a syndicate of banks that funds a debt facility for controversial Australian oil and gas producer, Horizon Oil.Recent reports in the AFR have linked Horizon to an alleged $15 million bribery scandal associated with its liquid natural gas project in Papua New Guinea.Horizon's ASX listed scrip closed near a 30 year low on Wednesday at 5 cents.