A system for calculating the cost index of securities lending and borrowing according to the present invention includes a data collection part which collects a lending and borrowing balance history obtained by the engagement of lending and borrowing during a preset period, and lending and borrowing data including the lending and borrowing balance history; and an indexing calculation part which reflects the weighted average lending rate of each of individual stocks and a market price weighted value of each of the individual stocks of universe, based on the lending and borrowing data, indexes a lending and borrowing rate, and calculates a cost index.
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