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Stats › Intraday en marktmicrostructuur › September 2019 repo

The September 2019 repo spike was not a quarter end, and its size depends on which rate you quote

MaatstafCijferBron
SOFR rise on 17 SeptemberApproximately 3 percentage points, reaching over 5%New York Fed Economic Policy Review, 2021
SOFR 99th percentile9%Idem
SOFR rise, 2026 restatementBoven 280bp, to 5.25%Federal Reserve Board FEDS Note, 2026
Intraday repo over the target rangeMeer dan 300bp, about 30 times the prior week's spreadOffice of Financial Research, 2023
Tri-party intraday maximum, 16 SeptemberOver 4%Idem
Interdealer intraday maximum, 16 SeptemberOver 8%Idem
SOFR on 16 September2.43%, 13bp above the previous dayFederal Reserve Board FEDS Note, 2020
Effective fed funds on 17 September2.3%, 5bp above the top of the target rangeIdem

Published magnitudes for the same event from four official sources. The differences come from measuring different segments, different days and different points in the distribution, not from disagreement. Quoting a single number without naming the segment is the common error.

Four official accounts of the September 2019 repo spike give different magnitudes: about 300 basis points, over 280, more than 300 above the target range intraday, and a ninety ninth percentile print of 9%. All four are correct for the segment each measures.

About 300bpSOFR move on 17 September 2019, per the New York Fed
Over 280bp, to 5.25%The same event per a 2026 Federal Reserve note
About 8%Interdealer intraday maximum on 16 September
Under $1.4tnReserve balances at the time, against a 2014 peak of $2.8tn

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Below this point there are 5 sections and 4 named sources, roughly 700 words of it. Every figure carries the source it came from and the date the data is from.

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