Stats › Intraday and market microstructure › September 2019 repo
The September 2019 repo spike was not a quarter end, and its size depends on which rate you quote
| Measure | Figure | Source |
|---|---|---|
| SOFR rise on 17 September | Approximately 3 percentage points, reaching over 5% | New York Fed Economic Policy Review, 2021 |
| SOFR 99th percentile | 9% | Same |
| SOFR rise, 2026 restatement | Over 280bp, to 5.25% | Federal Reserve Board FEDS Note, 2026 |
| Intraday repo over the target range | More than 300bp, about 30 times the prior week's spread | Office of Financial Research, 2023 |
| Tri-party intraday maximum, 16 September | About 4% | Same |
| Interdealer intraday maximum, 16 September | About 8% | Same |
| SOFR on 16 September | 2.43%, 13bp above the previous day | Federal Reserve Board FEDS Note, 2020 |
| Effective fed funds on 17 September | 2.3%, 5bp above the top of the target range | Same |
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.
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