RT Journal Article
SR Electronic
T1 MBS Index Returns
JF The Journal of Fixed Income
FD Institutional Investor Journals
SP 9
OP 23
DO 10.3905/jfi.1999.319241
VO 8
IS 4
A1 Lev Dynkin
A1 Jay Hyman
A1 Vadim Konstantinovsky
A1 Nancy Roth
YR 1999
UL https://pm-research.com/content/8/4/9.abstract
AB This article explains returns calculation of the Lehman Brothers MBS index, including aggregation of the individual mortgage pass-through pools into generic MBS used in the index; pricing of the MBS generics; conventions used to calculate returns on these generics; and aggregation of security returns into index returns. An appendix offers a mathematical formulation of the conventions used to calculate index returns of MBS.