  $Local^{3}$ Index Theorem means $Local(Local(Local \;Index \; Theorem)))$.
$Local \; Index \; Theorem$ is the Connes-Moscovici local index theorem
\cite{Connes-Moscovici1}, \cite{Connes-Moscovici2}. The second "Local" refers
to the cyclic homology localised to a certain separable subring of the ground
algebra, while the last one refers to Alexander-Spanier type cyclic homology.
The Connes-Moscovici work is based on the operator $R(A) = \mathbf{P} -
\mathbf{e}$ associated to the elliptic pseudo-differential operator $A$ on the
smooth manifold $M$, where $\mathbf{P}$, $\mathbf{e}$ are idempotents, see
\cite{Connes-Moscovici1}, Pg. 353. The operator $R(A)$ has two main merits: it
is a smoothing operator and its distributional kernel is situated in an
arbitrarily small neighbourhood of the diagonal in $M \times M$. The operator
$R(A)$ has also two setbacks: -i) it is not an idempotent (and therefore it
does not have a genuine Connes-Chern character); -ii) even if it were an
idempotent, its Connes-Chern character would belong to the cyclic homology of
the algebra of smoothing operators (with \emph{arbitrary} supports, which is
\emph{trivial}. This paper presents a new solution to the difficulties raised
by the two setbacks. For which concerns -i), we show that although $R(A)$ is
not an idempotent, it satisfies the identity $ (\mathbf{R}(A))^{2} \;=\;
\mathbf{R}(A) - [\mathbf{R}(A) . e + e .\mathbf{R}(A) ]. $ We show that the
operator $R(A)$ has a genuine Chern character provided the cyclic homology
complex of the algebra of smoothing operators is \emph{localised} to the
separable sub-algebra $\Lambda = \mathbb{C} + \mathbb{C} . e$, see Sect. 8.1.
For which concerns -ii), we introduce the notion of \emph{local} cyclic
homology; this is constructed on the foot-steps of the Alexander-Spanier
homology, i.e. by filtering the chains of the cyclic homology complex of the
algebra of smoothing operators by their distributional support, see Sect. 7.
Using these new instruments, we give a reformulation of the Connes-Moscovici
local Index Theorem, see Theorem 23, Sect. 9. As a corollary of this theorem,
we show that the \emph{local} cyclic homology of the algebra of smoothing
operators is at least as big as the Alexander-Spanier homology of the base
manifold. The present reformulation of Connes-Moscovici local index theorem
opens the way to new investigations, see Sect. 10.
