SOFR 99th Percentile

Think of it this way

It is what the last person to arrive at the auction paid, when there was little left. That price shoots up long before the average moves, and that is why it warns before anything else.

What is SOFR 99th Percentile?

Of all the repo transactions carried out yesterday, the 99th percentile is the rate paid by the most desperate 1%. It measures the tail of the market, not the center.

How to read SOFR 99th Percentile

It usually runs a few basis points above average SOFR. When that gap widens, it means specific participants are paying much more than the rest to get cash. Lag: none; a rate is priced in on the same day.

What SOFR 99th Percentile means for the market

It is an early warning system. In the stress episodes of 2019 and 2025, the 99th percentile started to break away days before the average showed signs. A trader who watches the tail finds out before one who only looks at the headline.

Where the money flows

The same path as SOFR, from a fund with cash to a dealer that needs financing, but looking at the most expensive transactions of the day. Example: if in the morning dealers are financing themselves at 4.30% and the last one to arrive ends up paying 4.55% because nobody is left willing to lend more cheaply, that 4.55% is this figure.

What to watch in SOFR 99th Percentile

Look at the difference between the 99th percentile and IORB. That is the most leading funding stress indicator that can be built from public data.

It is the most expensive transaction of the day. It comes under strain before the average does.