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

Kenechukwu Anadu () and Fang Cai
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Fang Cai: https://www.federalreserve.gov/econres/fang-cai.htm

Supervisory Research and Analysis Notes, 2019, issue 02, 11

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 (search for similar items in EconPapers)
Date: 2019
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Working Paper: Liquidity Transformation Risks in U.S. Bank Loan and High-Yield Mutual Funds (2019)
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