Tri-Party Repo Pricing
---- Acknowledgments ----
We have benefited from comments from and discussions with Darrell Duffie, Haoxiang Zhu, Dmitry Orlov, Fan Yu, and seminar participants at the WFA 2015 and CICF 2015 meetings. We thank Bo Meng, Ai He, Xiang Yun and Yue Hu for excellent research assistance. The financial support from a Hong Kong RGC Research Grant (Project #17501014) is gratefully acknowledged. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.