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Discussion Paper
Bank Lending to Private Credit: Size, Characteristics, and Financial Stability Implications
Private credit (or private debt) has emerged as one of the fastest-growing segments of nonbank financial intermediaries (NBFIs) over the past 15 years or so. Although there is no universal definition, private credit generally refers to direct loans made to mid-market businesses typically by non-bank vehicles such as private debt (PD) funds and Business Development Companies (BDCs) (Cai and Haque, 2024; Haque, Mayer, and Stefanescu, 2025). The asset class totaled $1.34 trillion in the U.S. (Exhibit 1) and nearly $2 trillion globally by 2024-Q2, and has grown roughly five times since 2009.
Discussion Paper
Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds
Net assets in open-end (non-money market) mutual funds (MFs) have increased notably over the past decades.
Working Paper
Transmission of volatility and trading activity in the global interdealer foreign exchange market: evidence from electronic broking services (EBS) data
This paper studies the transmission of volatility and trading activity in the foreign exchange market across trading regions for the euro-dollar and dollar-yen currency pairs, using high-frequency intraday data from Electronic Broking Services (EBS). In contrast with previous studies that use indicative quote frequency to proxy for trading activity, we use actual regional trading volume to identify five distinct trading regions in the foreign exchange market: Asia Pacific, the Asia-Europe overlap, Europe, the Europe-America overlap, and America. Based on realized volatility computed from ...
Journal Article
Improving the measurement of cross-border securities holdings: the Treasury International Capital SLT
In the wake of the financial crisis, growing interest in improving the measurement of cross-border securities positions and flows spurred the introduction of a new Treasury International Capital (TIC) reporting form, the TIC Security Long Term (SLT). This article reviews the existing structure of TIC cross-border position and flow data, the benefits that the new SLT can provide, and the incoming information from the first two reporting months of SLT data, September and December 2011. While some patterns and characteristics of the SLT data will become clear only after more data have ...
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
Bank Borrowings by Asset Managers Evidence from U.S. Open-End Mutual Funds and Exchange-Traded Funds
In this note, we look into investment funds' access to and usage of bank credit, based on a new dataset on credit line (and other types of loan) extension by top bank holding companies to open-end mutual funds and ETFs in the United States. We find that the aggregate amount of bank lending to open-end funds and ETFs was small and greatly fluctuated across time. Bank credit, particularly in the form of credit lines, has offered funds a flexible liquidity source from which they can draw down cash in times of excessive fund outflows, such as during the onset of the COVID-19 pandemic outbreak. In ...
Discussion Paper
New Insights from N-CEN: Liquidity Management at Open-End Funds and Primary Market Concentration of ETFs
Structural vulnerabilities associated with open-end funds have received increasing attention among academics and regulators over the past few years. Despite the effort by policymakers to enhance the liquidity risk management practices at these funds, evaluating the availability, use and effectiveness of liquidity management tools continues to be a challenging task in assessing vulnerabilities in open-end funds, largely because comprehensive data on open-end funds' access to liquidity management tools remain scarce.
Working Paper
Was there front running during the LTCM crisis
This paper uses a unique dataset of audit trail transactions to examine the trading behavior of market makers in the Treasury bond futures market when Long-Term Capital Management (LTCM) faced binding margin constraints in 1998. Although identities are concealed in the dataset, I find strong evidence that during the crisis market makers in the aggregate engaged in front running against customer orders from a particular clearing firm (coded "PI7") that closely match various features of LTCM's trades through Bear Stearns. That is, market makers traded on their own accounts in the same ...
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).