In this paper we will analyze a time-stepping method for the numerical simulation of dynamical systems containing Coulomb friction or relay characteristics. Time-stepping techniques replace the original dynamical system by a sequence of algebraic problems, that have to be solved for each time-step. For relay systems the one-step problem can be reformulated as a linear complementarity problem for which a wide range of solution algorithms already exists. As the event times at which the relay switches are "overstepped", the consistency of the method in the sense of the convergence of a sequence of approximations to an actual solution of the relay system can be put into question. However, in this paper we show that the proposed method is consis...