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.

Keywords: leveraged loans; high-yield corporate bonds; open-end mutual funds; liquidity transformation risks;

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Bibliographic Information

Provider: Federal Reserve Bank of Boston

Part of Series: Supervisory Research and Analysis Notes

Publication Date: 2019-08-09

Issue: 02

Pages: 11