Collateralised liquidity, two-part tariff and settlement coordination

December 21, 2015
Issue 2015-13


This paper analyses the liquidity management game played in payment systems with free but collateralised intraday credit facilities, under the assumption that settlement risk is the driving force. Settlement equilibria are found to depend on the combination of the intraday liquidity facilities' design and the collateral policy applied by the central bank. The effectiveness of a two-part tariff in coordinating on early settlement depends on the same factors. Model predictions are consistent with stylised facts from a comparison of settlement behaviour in the Swiss Interbank Clearing and Fedwire funds.

Download file now

The file can be downloaded with the button below.

JEL classification:
E58, G21, G28
real-time gross settlement, large-value payment systems, intraday liquidity facility, collateralisation, settlement risk

Additional files

Related content


  • Dr. Thomas Nellen

Your settings

Required: These cookies (e.g. for storing your IP address) cannot be rejected as they are necessary to ensure the operation of the website. These data are not evaluated further.
Analytics: If you consent to this category, data such as IP address, location, device information, browser version and site visitor behaviour will be collected. These data are evaluated for the SNB's internal purposes and are kept for two years.
Third-party: If you consent to this category, third-party services (used, for example, to add social multimedia content to the SNB's website) will be activated which collect personal data, process these data, disclose them abroad - worldwide - and place cookies. The relevant data protection regulations are linked in the 'Privacy statement for the website of the Swiss National Bank'.

Choose your preferred settings:

This website uses cookies, analytics tools and other technologies to provide requested features, content and services, to personalise the content shown, to provide links to social media, and to analyse the use of the website in anonymised form for the purposes of improving usability. Personal data are also disclosed abroad - worldwide - to video service providers and the analytics tools of these providers are used. More information is available under 'Manage settings'.