The Federal reseve system provides access to variety data on market instruments including Loans, Mortgages, Commercial papers, Treasury Bills etc.
Selected Interest Rates (H.15 Daily Update)
Historical Interest Rates
FRED® (Federal Reserve Economic Data) is a database of U.S. economic time series from Federal reserve Bank of St. Louis. Additional historical interest data are avilable from FRED® on many instruments including corporate bonds, Eurodollar deposits etc.
TreasuryDirect has a link to U.S. Treasury marketable securities as well as historical auction results starting in 1980.