The S&P Forward Rate Arbitrage Indices constitute an index family that models the outcome of a forward interest rate arbitrage strategy that seeks to profit from the commonly observed tendency for forward interest rates to be overstated by the spot yield curve. The indices seek to model the outcome of holding a long position in three month interest rate futures contracts with one year remaining maturity.

The S&P Forward Interest Rate Arbitrage indices consist of indices that represent the G10 currencies for which a liquid futures contract on an applicable three-month interest rate exists. The indices include:

• S&P U.S. Dollar Forward Arbitrage Index
• S&P Canadian Dollar Forward Arbitrage Index
• S&P Euro Forward Arbitrage Index
• S&P Swiss Franc Forward Arbitrage Index
• S&P British Pound Forward Arbitrage Index
• S&P Japanese Yen Forward Arbitrage Index
• S&P Australian Dollar Forward Arbitrage Index

Index Governance and Policy
These indices are maintained by the S&P Fixed Income Index Committee. They follow a set of published rules and policies that provide the transparent methodologies used to maintain the indices.

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