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Keywords:

  • E58;
  • G21;
  • G28
  • interbank money market;
  • intraday credit;
  • term structure;
  • liquidity crisis

Based on trade data from the Swiss franc overnight interbank repo market, we gain valuable insights into the daytime value of money. In analogy to Baglioni and Monticini (2008), we provide evidence that an implicit intraday money market exists. We further show that the introduction of foreign exchange settlement system, Continuous Linked Settlement, increased the implicit value of intraday liquidity during settlement cycle hours, thus providing further evidence of the cost of immediacy. Finally, we provide evidence that during the financial market turmoil the implicit intraday interest in a secured money market was less affected than that in an unsecured money market.