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Keywords:liquidity transformation risks 

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

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.
Supervisory Research and Analysis Notes , Issue 02 , Pages 11

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