The SOFR-to-funds spread outranks the SOFR tail by 79 percentile points
The SOFR-to-funds spread sat at the 85.9th percentile of its own history in the week to Friday, against the 6.6th percentile for the SOFR tail, the 92.3th percentile of 209 gaps recorded since 2022.
- Reading
- 79.34 percentile points
- Observed
- 4 Sept 2026
- Percentile
- 92nd percentile
What it means
Both price the scarcity of Treasury collateral overnight. The spread is the average secured rate against the unsecured one, and the tail is the gap between the dearest one per cent of that same secured borrowing and its median, so the two normally widen together. M3 averages them into one funding composite; this asks whether that average is hiding a disagreement between them. The whole secured market has repriced while its expensive end has stayed with the middle, so collateral is dearer for everybody rather than scarce for a few.
How it was measured
Federal Reserve Bank of New York reference rates. Both legs print daily and are reduced to the week by the mean of their daily readings, because a single settlement day carries month-end and quarter-end mechanics that a week does not. Each leg is ranked against its own level history, because both are spreads and neither trends with the policy rate the way a repo rate does. Ranked over 209 shared weeks, 4 September 2026.