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Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds

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In this note, we examine the liquidity profiles of a sample of bank loan and high-yield open-end mutual funds. Among other things, we find that the ten largest bank loan mutual funds have increased their holdings of the hardest-to-value, generally most illiquid assets over the past decade.

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  • Kenechukwu E. Anadu & Fang Cai, 2019. "Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds," Supervisory Research and Analysis Notes, Federal Reserve Bank of Boston, issue 02, pages 1-11, August.
    • Handle: RePEc:fip:b00001:97276
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    File URL: https://www.bostonfed.org/publications/supervisory-research-and-analysis-notes/2019/liquidity-transformation-risks-in-us-bank-loan-and-high-yield-mutual-funds
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