Replication package for "Settlement Deadlines and the Boundaries of Financial Intermediation"

Replication package for the theoretical article "Settlement Deadlines and the Boundaries ofFinancial Intermediation". Shortening securities settlement reduces counterparty exposure but can remove information onwhich legally separate intermediaries could condition an enforceable transfer before paymentfalls due. Separate firms exactly reproduce common control when timely information and transfersets coincide. Otherwise the failure of replication is an exact projection loss in the signedimbalance across books, scaled by funding-cost curvature. Heterogeneous governance costs turnthat loss into an integration cutoff, and the same primitive prices customer-flowcomplementarity. Dealer concentration is ambiguous, depending on differential exposure andpre-existing cost asymmetry. Optimal settlement balances settlement loss against liquidity costunder endogenous organization. The package contains the executable model code, the parameter file, the deterministic numericalresults and both publication figures, 76 formal tests of the model's identities and inequalities,the citation and status audits, the complete LaTeX sources and compiled PDFs of the article andits separate Online Appendix, and the build and reference-engagement documentation. A singlescript, run_all.sh, runs the tests, regenerates every JSON and CSV result and both figures,enforces the citation audit, compiles the PDFs and verifies that each one parses. The article is theory-only and reports no estimates. It uses no licensed transaction rows, and nodata from any commercial provider is an input to any result. The values in the results files andfigures are deterministic implications of the stated model at the stated parameters: theoremdiagnostics, not estimates, fitted values or calibration targets. The documentation records whythe dealer-level empirical application originally contemplated was abandoned, namely that theavailable transaction products contain no stable two-sided dealer panel of the kind identifyingthe organisational mechanism would require. Reproduction requires Python 3.12 with the three pinned dependencies in requirements.txt(numpy 2.3.5, PyYAML 6.0.3, matplotlib 3.10.8) and a LaTeX distribution providing latexmk. Fromthe archive root: python -m pip install -r requirements.txt, then ./run_all.sh. The script setsSOURCE_DATE_EPOCH so repeated builds are byte-stable wherever the toolchain honours it, andMANIFEST_SHA256.txt records the SHA-256 of every file.All results are derived analytically and verified numerically. tests/test_model_identities.pycontains 76 tests that check the model's identities, inequalities and corner conditions directlyrather than checking that the pipeline runs: the statewise cost identity behind the projectionresult, the conditional-expectation Pythagorean identity, the orthogonality of the optimaltransfer, the bounded-transfer projection and its capacity penalty, the one-sidedemergency-funding correspondence and its buffer first-order condition, the negative-assortativeexchange inequalities, the supporting-fee intervals and the integrality-gap counterexamples at sixcustomers, the Hotelling and Salop pricing solutions and the sign of the Herfindahl derivative,and the welfare envelope. model/model_counterexamples.py constructs the explicit counterexamplesestablishing where the results stop, in particular the concentration cases in which a largercontractual gap raises, lowers and leaves concentration unchanged.scripts/build_publication_figures.py regenerates both figures from the same saved parameters, sono figure value is entered by hand.