In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment...

The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However,...

This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS). The empirical specification controls for various calendar effects that have been shown to cause...

This paper uncovers trends in payment timing in Canada's Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009. Ordinary least squares...

This paper presents simulation results for Canada's new large-value payments system: Lynx. We simulate the settlement process of Lynx using a large sample of payments observed in the current system (LVTS), taking the initial level of liquidity as given. We calculate the resulting liquidity...

A new wholesale payments system will launch in Canada in 2021. This real-time gross settlement system called Lynx will have two types of settlement mechanisms, one allowing offsetting and the other not. This paper studies the decision problem of the Bank of Canada: which of the two settlement...

This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system. Such transactions are currently unobtainable. The simulation procedure, though demonstrated in the realm of payments systems, has tremendous potential for helping with...