Markit quanto and cross-currency quotes (licensed)

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 and Markit CDS. A paper we distill uses them: Kremens, Martin & Varela 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.