Markit Securities Finance: securities-lending data (licensed)

Licensed: not exercised here

Markit Securities Finance is a paid licensed product (S&P Global / IHS Markit), so it carries no provenance badge: the access path below was not run in this session (no Markit credentials were available). The page documents the access route and the gotchas; treat it as unverified until someone exercises it through a licensed account. This is the honest grade under the institute’s Verified discipline.

Markit Securities Finance (the former Data Explorers securities-lending database) is the standard source for short-selling cost and supply: stock borrow fees, utilization, lendable supply, and on-loan quantities, aggregated from a large contributor base of lenders and prime brokers. It is the data behind most empirical work on borrow costs, the short-sale-cost wedge in anomaly returns, and crowded shorts. A paper we distill uses it: Muravyev, Pearson & Pollet use the Markit Securities Finance Buy Side Analytics feed (daily from June 28, 2006) for the indicative borrow fee (the buy-side expected borrow cost) and utilization when measuring how short-sale costs erode anomaly returns.

• Cost: licensed, subscription. No free tier.
• Vendor: S&P Global (IHS Markit); lineage through Data Explorers.
• Coverage: global equities (and some other securities) with daily borrow fees, utilization, and supply; deeper and broader from the mid-2000s onward.

Access (when licensed)

• Through a Markit / S&P Global feed or WRDS. The data is reached via a Markit entitlement (for example the Buy Side Analytics data feed) or, where the institution licenses it, through WRDS. Check which route your institution provides.
• Keyed by security and date. An extract is borrow fee, utilization, and supply by security over a date range. Distinguish indicative (buy-side) fees from other fee concepts in the product.
• Terminal or API credentials are required. Keep any credentials in .env, never hard-coded.

Gotchas (the ones that bite pipelines)

These are the failure modes to expect; they are documented, not verified here.

• Several fee concepts, not one. The product reports multiple fee measures (indicative buy-side fee, value-weighted average fee, and others); they differ in level and timing. Use the fee concept that matches your question and state it.
• Contributor-based, so coverage is uneven. Fees and supply come from contributing lenders/brokers; a hard-to-borrow name with thin contribution is noisily measured. Check contributor depth before trusting a fee.
• Fees are stale and sticky for some names. Indicative fees update on contribution cycles and can lag the true marginal borrow cost, especially for specials around events. Treat event-window fees cautiously.
• Utilization needs the supply denominator. Utilization depends on the lendable-supply estimate, which is itself contributor-based; a low-supply name inflates utilization mechanically. Read utilization with supply.
• History start and the proxy fallback. The daily series starts in the mid-2000s; for earlier periods or without access, researchers proxy borrow cost with the short-interest-to-institutional-ownership ratio, which is a coarse substitute. Do not splice the proxy and the Markit fee without care.
• Identifier linking. Securities must be linked to CRSP/Compustat identifiers; the join has known mismatches across reorganizations. Verify the link.

Citation

Cite the vendor and product, e.g.: Markit Securities Finance / S&P Global (IHS Markit), accessed YYYY-MM-DD. State the fee concept used (for example indicative buy-side fee), the security universe, and the date range.