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I am looking to increase the robustness of some equity strategies that I am working on. Apart (maybe) from brokers is there anywhere online (and preferably for free) that has historic stock borrow percentages or abosulte borrow costs available for borrowing stocks? I want to factor the cost of borrowing a stock into whether I want to take a position (if the cost is high then there maybe not enough alpha to justify the position to be taken etc).

Thanks

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    $\begingroup$ The rates vary by broker, by client tier, by ticker, and by time of the day really (first come first serve). ADRs may be subject to additional fees when shorting, but those fees tend to be per transaction. $\endgroup$ Mar 24, 2021 at 11:37

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Unfortunately this data is usually very broker specific -- not least because a firm's borrow rates will be tied to its balance sheet, flows, repos, where it's able to currently finance its book (ie, is it a US, European or Asian bank) etc etc. As a result, anything that is not GC (General Collateral) borrow is going to be specific to the broker and, outside of Bloomberg or a broker portal, is going to be hard to find.

That said, you can download GC borrow rates from the New York Fed:

https://apps.newyorkfed.org/markets/autorates/bgcr

And, from there, you can probably bootstrap historical rates as some margin over LIBOR.

HTH.

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This website has detailed time series data for borrowing cost and shares available, sourced from IB. You can also retrieve the data using the following API endpoint: https://iborrowdesk.com/api/ticker/{symbol} (replacing {symbol} with the proper symbol ticker).

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