Accessible Version
Measuring Mutual Fund Liquidity with N-PORT, Accessible Data
Figure 1. Short-Term Liquid Assets Ratio (SLAR) of Corporate Bond Mutual Funds
This is a percentile band chart showing quarterly data from Q4 2019 through Q3 2023. The y-axis displays percentages ranging from 0% to approximately 11%. The chart illustrates the distribution of Short-Term Liquid Assets Ratio with four data elements: the 15-85 percentile range (light pink shaded area), the 25-75 percentile range (darker pink shaded area), the median (solid black line), and the average (dashed black line).
Throughout the period, the median SLAR fluctuates between approximately 3% and 4%, while the average (dashed line) remains consistently higher, ranging between 4% and 5.5%. The 25-75 percentile band (darker pink) generally spans from about 2% to 6%, showing moderate dispersion. The wider 15-85 percentile band (light pink) shows greater variation, ranging from approximately 1% to 10%, with the upper bound reaching its highest point (about 10%) in early 2023. Both the median and average lines show similar patterns of fluctuation over time, with a slight increase in variability during 2022-2023 compared to earlier periods. By Q3 2023, the median SLAR stands at approximately 3.5%, with the average at about 4.8%.
Note: SLAR is defined as short-term liquid assets as a percentage of total net assets. We begin the sample in 2019 Q4, when total assets in our sample reach roughly 90% of the level observed in 2020 Q2, the first quarter with full coverage.
Source: SEC form N-PORT and staff calculations.
Figure 2. Asset Composition of Short-Term Liquid Assets Ratio (SLAR) in Corporate Bond Mutual Funds
This is a stacked area chart showing quarterly data from Q4 2019 through Q3 2023. The y-axis shows percentage values ranging from 0% to approximately 6.5%. The chart displays the composition of Short-Term Liquid Assets Ratio (SLAR) with four components: Domestic STIVs (blue, bottom layer), Repos (orange, second layer), Cash (green, third layer), and ST T-Bills (red, top layer).
The total SLAR starts at approximately 6.5% in Q1 2020, decreases to about 4.9% in Q1 2020, then fluctuates between approximately 4.3% and 5.8% throughout the remaining period. Domestic STIVs consistently form the largest component, generally ranging between 2.6% and 3.8%, with notable dips in Q1 2020 and Q3 2022. Repos form the second largest component, with Cash and ST T-Bills comprising smaller portions. The proportion of each component shows some variability over time, with occasional shifts in relative importance, particularly during early 2020 and mid-2022. By Q3 2023, the total SLAR stands at approximately 4.3%, with Domestic STIVs making up the majority of this total.
Note: SLAR is defined as short-term liquid assets (SLA) as a percentage of total net assets. In this figure, we compute SLAR using aggregate values for both the numerator (SLA) and the denominator (total net assets) across all corporate bond mutual funds in our sample. We begin the sample in 2019 Q4, when total assets in our sample reach roughly 90% of the level observed in 2020 Q2, the first quarter with full coverage.
Source: SEC form N-PORT and staff calculations.