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Is there any data source for historical repo and/or securities lending (SL) rates on different asset classes, or indices which seek to measure such costs?

I am not looking for granular data at instrument level, rather averages or indices for market segments: for example data which measures the average cost for executing repos on A+ corporate bonds, or SL rates for S&P500 constituents. An index which gives an indication of such costs is also useful (i.e. a bit like the VIX can be interpreted as a cost indicator on short-term S&P500 options).

While SOFR gives an indication of repo rates on Treasuries, I am not sure how do repo/SL rates on corporate bonds or stocks compare against those for Treasuries.

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  • $\begingroup$ For sovereigns the RepoFunds Rates indices are quite standard. Not sure about corporates. $\endgroup$
    – fes
    Commented Jun 17, 2023 at 12:17
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    $\begingroup$ Some years ago, contracts known as Total Return Futures have started to actively trade on some exchanges. They are mostly listed for European bluechip indices. If you have a view on the dividends and discount curve, then these instruments will give you the implied view on the repo margins (lending rates). $\endgroup$
    – Quantuple
    Commented Jun 29, 2023 at 19:16

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