Lehman Brothers Aggregate Bond Index | 1 Page Guide

Lehman Brothers Aggregate Bond Index

Lehman Brothers Aggregate Bond Index Overview

Composed of securities from Lehman Brothers Government/Corporate Bond Index, Mortgage-Backed Securities Index, and the Asset-Backed Securities Index. The index's total return consistes of price appreciation/depreciation plus income as a percentage of the original investment. Indexes are rebalanced monthly by market capitalization.

The component indexes are:

Lehman Brothers Government/Corporate Bond Index

Composed of all bonds that are investment grade (rated Baa or higher by Moody's or BBB or higher by S&P, if unrated by Moody's). Issues must have at least one year to maturity. Total return comprises price appreciation/depreciation and income as a percentage of the original investment. Indexes are rebalanced monthly by market capitalization.

Lehman Brothers Mortgage-Backed Securities Index

Composed of all fixed-rate, securitized mortgage pools by GNMA, FNMA, and the FHLMC, including GNMA graduated payment mortgages. The minimum principal amount required for inclusion is $50 million. Total return comprises price appreciation/depreciation and income as a percentage of the original investment. Indexes are rebalanced monthly by market capitalization.

Lehman Brothers Asset-Backed Securities Index

Composed of credit card, auto, and home equity loans. Included in the index are pass-through, bullet (noncallable), and controlled amortization structures; no subordinated tranches are included. All securities have an average life of at least one year.


For over 1,000 additional terms and definitions please see our Investment Glossary Guide.

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