TY - JOUR T1 - MBS Index Returns JF - The Journal of Fixed Income SP - 9 LP - 23 DO - 10.3905/jfi.1999.319241 VL - 8 IS - 4 AU - Lev Dynkin AU - Jay Hyman AU - Vadim Konstantinovsky AU - Nancy Roth Y1 - 1999/03/31 UR - https://pm-research.com/content/8/4/9.abstract N2 - 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. ER -