PT - JOURNAL ARTICLE AU - Lev Dynkin AU - Jay Hyman AU - Vadim Konstantinovsky AU - Nancy Roth TI - MBS Index Returns AID - 10.3905/jfi.1999.319241 DP - 1999 Mar 31 TA - The Journal of Fixed Income PG - 9--23 VI - 8 IP - 4 4099 - https://pm-research.com/content/8/4/9.short 4100 - https://pm-research.com/content/8/4/9.full 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.