In this study, we propose a microeconomics model to verify effects of the non-cash collateralization on the liquidity of the over-the-counter (OTC) derivatives markets accepting both cash and non-cash assets. Liquidity is measured as an equilibrium volume of the derivatives contract. The equilibrium volume is obtained by solving the utility maximization problem of a risk-averse collateral payer who wants to optimize her/his capital. The collateral payer’s capital depends on the non-cash asset used as collateral. We consider both option and forward contracts as examples. Our sensitivity analysis shows that the optimal combination of cash and non-cash collaterals can maximize the liquidity of derivatives. Especially for option contracts, the market requires both cash and non-cash collaterals for liquidity. The empirical result related to this finding is provided. Overall, the introduction of non-cash collateralization boosts the liquidity of derivatives contracts. We also show how the arrangements of collateralization can boost the liquidity of the OTC derivatives markets. Moreover, we demonstrate that the combination of cash and non-cash collaterals to maximize liquidity differs from that to maximize the participant’s utility. This indicates that the optimal combination is not efficient in terms of Pareto criteria.

在这项研究中，我们提出了一个微观经济学模型来验证非现金抵押对接受现金和非现金资产的场外交易 (OTC) 衍生品市场流动性的影响。流动性以衍生品合约的平衡量来衡量。均衡量是通过解决想要优化她/他的资本的厌恶风险的抵押品支付者的效用最大化问题而获得的。抵押品支付者的资本取决于用作抵押品的非现金资产。我们以期权和远期合约为例。我们的敏感性分析表明，现金和非现金抵押品的最佳组合可以最大限度地提高衍生品的流动性。特别是对于期权合约，市场需要现金和非现金抵押品来提供流动性。提供了与这一发现相关的经验结果。总体而言，非现金抵押的引入提高了衍生品合约的流动性。我们还展示了抵押安排如何提高场外衍生品市场的流动性。此外，我们证明了现金和非现金抵押品的组合以最大化流动性与最大化参与者效用的组合不同。这表明最优组合在帕累托准则方面是无效的。我们证明了现金和非现金抵押品的组合以最大化流动性不同于最大化参与者的效用。这表明最优组合在帕累托准则方面是无效的。我们证明了现金和非现金抵押品的组合以最大化流动性不同于最大化参与者的效用。这表明最优组合在帕累托准则方面是无效的。