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Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds
Abstract: 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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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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https://www.bostonfed.org/-/media/Documents/Workingpapers/PDF/2019/sra-note-1902.pdf
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Provider: Federal Reserve Bank of Boston
Part of Series: Supervisory Research and Analysis Notes
Publication Date: 2019-08-09
Issue: 02
Pages: 11