Tri-Party Repo Pricing
研究抵押品在三方回购定价中的核心作用，发现安全抵押品市场竞争激烈，而风险抵押品市场严重分割，基金家族是分割的主要来源，抵押品集中度决定定价差异。
Abstract We document the central role of collateral in the pricing of tri-party repos. Markets are competitive for repos with safe collateral but are severely segmented for repos with risky collateral, such as equities and low-grade corporate bonds. Fund families are the sole contributors to the segmentation, and collateral concentration is the main determinant in the substantial variation in repo pricing, both across and within segments. The segmented structure points to Fidelity as a systemically important player and the markets potential fragility. Facing market segmentation, dealers optimize financing costs by allocating their collateral across fund families.