---
title: "Markit quanto and cross-currency quotes (licensed)"
description: >-
  Markit quanto (cross-currency) derivative quotes from S&P Global (IHS Markit),
  used to extract the quanto-implied covariance between exchange rates and equity
  returns. It is licensed: this page documents the access path and the gotchas,
  but the data was not exercised here.
sidebar:
  label: Markit quanto
tags: [derivatives, exchange-rates, risk-premia, licensed, data:markit-quanto]
---

:::caution[Licensed: not exercised here]
**Markit quanto quotes are a paid licensed product** (S&P Global / IHS Markit), so they carry **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 quanto quotes** are dealer-derived prices for **quanto** (cross-currency)
derivatives, where the payoff references a foreign asset but settles in the
domestic currency. Quanto-versus-vanilla price differences pin down the
risk-neutral **covariance between the exchange rate and the underlying asset's
return**, which is otherwise hard to observe. They are part of the Markit
composite-quote franchise alongside [Markit bond pricing](/wiki/commercial/markit/)
and [Markit CDS](/wiki/commercial/markit-cds/). A paper we distill uses them:
[Kremens, Martin & Varela](/wiki/papers/jf/2025/kremens-long-horizon-exchange-rate-2025/)
use Markit quanto forwards on the S&P 500 (24-month quotes from December 2009
onward) to construct a quanto-implied risk premium (the risk-neutral covariance
between FX and equity).

- **Cost:** licensed, subscription. No free tier.
- **Vendor:** S&P Global (IHS Markit).
- **Coverage:** quanto/cross-currency quotes for major currency-equity pairs,
  with history that thickens after the late 2000s; availability depends on dealer
  contributions.

## Access (when licensed)

- **Through a Markit / S&P Global feed.** Quotes are delivered as part of a Markit
  pricing entitlement, keyed by the underlying, currency pair, and tenor.
- **Composite dealer quotes, not exchange trades.** Like other Markit pricing
  products, the values are composites built from contributing dealers, not
  executed-trade prints. Confirm the methodology for the series you use.
- 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.

- **Composite quotes carry a methodology, not a trade.** The quote is a modeled
  composite from dealer contributions; thin contribution makes a tenor unreliable.
  Check the contributor count and the staleness of each quote.
- **The signal is a difference, so it is noise-sensitive.** The quanto-implied
  covariance comes from differencing quanto and vanilla prices; small quote errors
  are amplified in the difference. Treat short samples and illiquid tenors with
  care.
- **Tenor and history availability.** Long tenors (for example 24-month) exist
  only for some pairs and only from the late 2000s; do not assume a balanced panel
  across pairs and tenors. Pin the available window per pair.
- **Currency-pair conventions.** Quote direction (domestic vs foreign) and the
  settlement currency must be read carefully, or the sign of the implied
  covariance flips. Confirm the convention before interpreting.
- **Reconciliation with vanilla quotes.** The vanilla leg used to difference
  against the quanto leg must come from a consistent source and tenor; mismatched
  legs contaminate the estimate. Source both legs consistently.

## Citation

Cite the vendor and product, e.g.: *Markit quanto quotes / S&P Global (IHS
Markit), accessed YYYY-MM-DD.* State the underlying, currency pair, tenor, and the
vanilla source used for the differencing.