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Finding Historical Term Repo Rates for Specific Treasuries

Article Quant Q&A · Author: A1122
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Summary

The document asks where to obtain historical daily term repo rates, particularly rates tied to specific on-the-run US Treasury securities. It contrasts this data need with the availability of historical overnight repo data from DTCC, which the questioner says does not cover term repo rates.

The answer points to Markit Securities Finance as a possible source and notes that academics may be able to access it through an institutional subscription to WRDS. It provides a lead rather than a detailed assessment of coverage, history, or security-level availability. Researchers should confirm directly whether the product supplies the desired daily observations and Treasury-specific breakdowns, since those details are not established here.

Key ideas

  • Markit Securities Finance is suggested as a source for historical term repo data.
  • Academic researchers may have access through an institutional WRDS subscription.
  • The answer does not verify data history, frequency, or coverage for specific on-the-run Treasuries.

Tags

Fixed incomeUS markets
Full text
# Where can I find historical daily term repo data?


# Where can I find historical daily term repo data?












DTCC appears to provide historical o/n repo data for US Treasuries but does not do so for term repo data. If I want to analyze the term repo curve, where would I be able to find historical term repo data?

More specifically, I'm wondering if I would be able to find term repo rate data for specific OTR US Treasuries in any data provider?

Thank you.

## Answer by LocalVolatility (score 1)

https://quant.stackexchange.com/a/30080

Have a look at Markit Securities Finance. If you are an academic, then your institution might have subscribed to it via WRDS.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.