S&P offers interest rate arbitrage indexes

The index series comprises indexes for seven currencies that have an active interest rate futures contracts, including the S&P Australian dollar Forward Arbitrage, the British pound, the Canadian dollar, the euro, the Japanese yen, the Swiss franc and the US dollar indexes. The indexes roll on a quarterly basis in March, June, September and December, based on the settlement schedule of three-month interest rate futures contracts.

"In most markets, long-term interest rates tend to be higher than s

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: