We document market power in U.S. equity securities lending and examine its origins and consequences. We develop a dynamic model of securities lending and estimate it on the cross-section of U.S. equities, showing that the dominant custodian-intermediated market structure emerges as a response to short sellers' information-leakage concerns. Short sellers prefer this opaque market structure over a centralized alternative, particularly for smaller stocks, despite the associated non-competitive fees. This is because their trading strategies become unprofitable if information leaks prematurely. Thus, unlike in standard product markets, the demand side in securities lending values opacity, which is important for regulatory design.