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Report
Swing Pricing Calibration: A Simple Thought Exercise Using ETF Pricing Dynamics to Infer Swing Factors for Mutual Funds
This note uses pricing dynamics for exchange-traded funds that invest primarily in short-term debt to provide rough estimates of a range of swing-factor-proxies for mutual funds that invest in similar assets. These proxies could be useful for benchmarking stress-period swing factors in which mutual funds that invest substantially in short-term debt experience large net redemptions.
Report
Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds: a 2026 Update
We update the mutual fund (MF) liquidity monitoring metrics introduced by Anadu and Cai (2019). We show that the median liquidity ratio for bank loan (BL) MFs has remained relatively stable in recent years, while the median illiquidity ratio is near levels last observed during the pandemic. This dynamic suggests increased liquidity transformation risk, on balance. To be sure, our measure captures only one dimension of illiquidity, rather than the full illiquidity profile of an MF’s portfolio.
Discussion Paper
Stablecoins and (Non)Crypto Shocks: A 2026 Update
Stablecoins are digital assets whose value is pegged to that of a fiat currency, typically the U.S. dollar at a peg of $1.00 per token. In a previous blog post, we described the rapid growth of stablecoins through early 2025, highlighted changes in stablecoins’ reserve-asset composition, and examined their reactions to Bitcoin price shocks. In this post, we document the growth of stablecoins since our last post. Then, we examine how shocks from outside the crypto industry can impact the composition of stablecoins’ reserve assets. For our case study, we use the 2023 failure of Silicon ...
Discussion Paper
Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds: A 2026 Update
Mutual funds (MFs) and other open-ended collective investment funds engage in liquidity transformation—they offer investors daily redemptions while investing in assets that may take longer than a day to sell without significant price impact. This activity is particularly salient for corporate debt funds, where large investor redemptions during stress periods could result in fire sales that adversely affect underlying markets (see, e.g., Goldstein, Jiang, and Ng, 2017; Chernenko and Sunderam, 2020; Falato, Goldstein, and Hortaçsu, 2021; Federal Reserve Board, 2025).