RT Journal Article
SR Electronic
T1 The Lehman Brothers Swap Indexes
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 28
OP 42
DO 10.3905/jfi.2002.319322
VO 12
IS 2
A1 Lev Dynkin
A1 Yuri Greenfield
A1 Dev Joneja
YR 2002
UL https://pm-research.com/content/12/2/28.abstract
AB This article discusses two families of total return indexes based on swaps. Bellwether swap indexes track the performance of swaps with specific maturities. Mirror swap indexes provide excess returns of popular Lehman sector indexes with respect to swaps. The results show that swap spreads are highly correlated with corporate spreads, except when the yield curve is exceptionally steep. For the Lehman Aggregate Index, the lowest tracking error is obtained if Treasury futures and swaps, respectively, are used to replicate the Treasury and spread portions of the index.