Board of Governors of the Federal Reserve System

Figure 1. Net Assets of Bank Loan and High-Yield Mutual Funds

This figure contains two side-by-side stacked area charts comparing the composition of net assets for bank loan mutual funds (Panel A) and high-yield mutual funds (Panel B) from 2019Q4 to 2026Q1. Data points are quarterly.

Panel A: Bank Loan Funds. The chart shows net assets ranging from approximately $60 billion to $120 billion across the time period. The assets are divided into four categories (listed from bottom to top):

• Bank Loan (blue): The largest component, ranging from approximately $40 billion to $80 billion, showing relatively stable levels with a peak around 2021-2022.
• Other (orange): A smaller component, ranging from approximately $13 billion to $25 billion.
• Corporate Bond (red): A minor component, ranging from approximately $4 billion to $8 billion.
• Cash, T-Bill, and STIV (green): Another small component, ranging from approximately $2 billion to $10 billion.

Total net assets peaked at approximately $120 billion in 2022, then declined to around $70 billion by 2025.

Panel B: High-Yield Funds. The chart shows significantly larger net assets ranging from approximately $220 billion to $290 billion. The assets are divided into the same four categories:

• Bank Loan (blue): The smallest component, remaining relatively flat but ranging from approximately $9 billion to $17 billion.
• Other (orange): A small but consistent component at approximately $15-20 billion.
• Corporate Bond (red): The dominant component, ranging from approximately $170 billion to $225 billion, showing a peak around 2021.
• Cash, T-Bill, and STIV (green): A minor component, ranging from approximately $10 billion to $17 billion.

Total net assets peaked at approximately $288 billion in 2021, then declined to around $220 billion in 2022-2023, before recovering to approximately $250 billion by 2025.

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Figure 2. Liquidity and Illiquidity Ratios for Bank Loan Mutual Funds

This figure contains two side-by-side line charts with shaded area distributions showing liquidity and illiquidity ratios for bank loan mutual funds from 2019Q4 to 2026Q1.

Panel A: Liquidity Ratio. This chart displays liquidity ratios as percentages from 0% to 20% on the vertical axis. The chart includes:

• A blue shaded area representing the 5th to 95th percentile range of the liquidity ratio distribution.
• A solid black line showing the median liquidity ratio.
• A dashed black line showing the mean liquidity ratio

Key observations:

• The 5th and 95th percentile range started around 10 - 18% in 2019, peaked at approximately 1 - 20% in 2021, then narrowed to approximately 0.5 - 10% by 2025.
• The median liquidity ratio (solid line) fluctuated significantly, starting at approximately 5% in early 2020, peaking at around 10% in 2021, then declining and stabilizing between 4-5% from 2023 to 2025.
• The mean liquidity ratio (dashed line) followed a similar pattern to the median, ranging from approximately 4-6% throughout most of the period, with a notable peak around 2021 at approximately 10%.

Panel B: Illiquidity Ratio. This chart displays illiquidity ratios as percentages from 0% to 16% on the vertical axis. The chart includes:

• A red shaded area representing the 5th to 95th percentile range of the illiquidity ratio distribution.
• A solid black line showing the median illiquidity ratio.
• A dashed black line showing the mean illiquidity ratio

Key observations:

• The 5th and 95th percentile range started around 0 - 15% in 2020, then generally narrowed to approximately 0 - 10% by 2025, with some fluctuation in between.
• The median illiquidity ratio (solid line) remained relatively low and stable, ranging from approximately 0.5-1.2% throughout the entire period.
• The mean illiquidity ratio (dashed line) started at approximately 4% in 2020, declined to around 2% by 2021, and remained relatively stable between 2-3% from 2021 to 2025.

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Figure 3. Liquidity and Illiquidity Ratios for High-Yield Mutual Funds

This figure contains two side-by-side line charts with shaded area distributions showing liquidity and illiquidity ratios for high-yield mutual funds from 2019Q4 to 2026Q1.

Panel A: Liquidity Ratio. This chart displays liquidity ratios as percentages from 0% to 20% on the vertical axis. The chart includes:

• A blue shaded area representing the distribution range of the liquidity ratio.
• A solid black line showing the median liquidity ratio.
• A dashed black line showing the mean liquidity ratio.

Key observations:

• The 5th and 95th percentile range started at approximately 0-15% in 2019, narrowed to approximately 0-10% by 2021, and remained relatively stable between 0-13% through 2025.
• The median liquidity ratio (solid line) started at approximately 4.5% in 2019, declined to around 3% in 2020, and remained relatively stable between 3.5-4% from 2020 to 2025.
• The mean liquidity ratio (dashed line) started at approximately 5.5% in 2019, declined to around 4% in 2020, then gradually increased to approximately 4.5-5% by 2025, remaining consistently above the median throughout the period.

Panel B: Illiquidity Ratio. This chart displays illiquidity ratios as percentages from 0% to 8% on the vertical axis. The chart includes:

• A red shaded area representing the distribution range of the illiquidity ratio.
• A solid black line showing the median illiquidity ratio.
• A dashed black line showing the mean illiquidity ratio.

Key observations:

• The 5th and 95th percentile range started at approximately 0-5% in 2019 with a peak around 0-7% in 2020 and showed significant variation through 2021 (ranging approximately 0-7%), then declined steadily to approximately 0-3% by 2025.
• The median illiquidity ratio (solid line) remained very low and stable throughout the entire period, consistently staying near or below 0.2%.
• The mean illiquidity ratio (dashed line) started at approximately 1% in 2019, peaked at 1.2% in 2022, then declined gradually to approximately 0.8% by 2025

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