Harley Bassman
Harley Bassman, a.k.a. The Convexity Maven, is an industry thought leader and commentator on macroeconomic issues spanning decades. He is best known for creating the MOVE Index, the treasury volatility cousin of the VIX and a recognized standard measure of Interest Rate Volatility. A legend among bond investors, he has a 35-year career in the investment industry, and was responsible for the creation and implementation of several of the more innovative approaches that have shaped the ways in which investors access and use options, derivatives and structured products. Bassman held numerous senior roles during 26 years with Merrill Lynch, including leading the firm’s efforts in OTC bond options, where he made Merrill Lynch the category leader within a year. Since he has “retired,” he has continued to make a name for himself giving away decades of accrued wisdom for free on his popular blog, The Convexity Maven. He also serves as Managing Partner at Simplify Asset Management, a fast-growing provider of options-based Exchange Traded Funds.
Harley Bassman Professional Experience / Academic History
Professional Experience
-
Managing Partner
-
Author of Convexity Maven
-
Executive Vice President and Portfolio Manager
-
Managing Director
MERRILL LYNCH CAREER
In 1985, Bassman created the OPOSSMS mortgage options product that facilitated risk transmission between Mortgage Backed Securities originators and financial institutions.
In 1988, he assumed responsibility for trading and marketing IO/PO and other levered prepayment securities.
He also started purchasing RTC auctioned MBS Servicing rights and repackaged them for the securities market as BIGS.
He created PRESERV, Merrill's trademarked Prepayment Cap product. Merrill was a leader in this product category writing protection that covered the risk on tens of billions of notional mortgage servicing rights.
From 1995 to 2000, he focused on creating hedge strategies for MBS servicers and portfolio optimization techniques for Total Return and Index investors.
In 2006, he built the RateLab, a full spectrum US Rates Trading Desk Strategy Group.
CAREER HIGHLIGHTS
In 2011, he joined Credit Suisse Global Rates business where he identified and integrated investment and hedging opportunities for sophisticated investors.
He also served as an Executive Vice President and Portfolio Manager at PIMCO, where managed investments for the Liquid Alternative products.
He also supervised the issuance of Merrill Lynch's first subprime securities.
EDUCATION
B.A., Management Science, University of California, San Diego
M.B.A., Finance and Marketing, The University of Chicago
MEDIA & APPEARANCES
He has been profiled or featured in Business Insider, Bloomberg, Forbes, Blockworks, and Real Vision.