This paper models an unexplored source of liquidity risk large broker-dealers face: a withdrawal of collateral providers. By setting different contracting terms on repurchase agreements with cash borrowers and lenders, dealers can source funds for their own activities. Cash borrowers internalize the risk of losing their collateral in case their dealer defaults, prompting them to withdraw it. This incentive creates strategic complementarities among collateral providers, reducing a dealer’s liquidity position and compromising their solvency. Collateral runs are triggered by a contraction in dealers’ assets making them markedly different than traditional wholesale funding runs. Mitigating these risks involves different policy recommendations.

中文翻译：

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附带奔跑

本文模拟了大型经纪交易商面临的无法探索的流动性风险来源：抵押提供者的退出。通过与现金借款人和贷方订立不同的回购协议订约条款，交易商可以为自己的活动筹集资金。如果交易商违约，现金借款人会内部承担失去抵押品的风险，从而促使他们撤回抵押品。这种激励在抵押品提供者之间建立了战略互补，从而减少了交易者的流动性头寸并损害了其偿付能力。抵押资产奔跑是由交易商资产收缩引起的，这使其与传统的批发融资方式明显不同。减轻这些风险涉及不同的政策建议。