Harley Bassman

Harley Bassman

Formal First Name
Nick Name
The Convexity Maven

Harley Bassman is best known for creating the MOVE Index, a recognized standard measure of Interest Rate Volatility. Now retired, he still continues his legacy on The Convexity Maven, a free blog where he shares his wisdom gained from decades of experience in the markets. During his tenure at Merrill Lynch, Bassman created, marketed, and traded a wide range of derivatives and structured products. He also supervised the issuance of Merrill’s first subprime securities.

Asset Classes

Fixed Income

Mentioned by the Following


MOVE Index

  • In 1985, Bassman created the OPOSSMS mortgage options product that facilitated risk transmission between MBS originators and financial institutions. 
  • He created PRESERV, Merrill's trademarked Prepayment Cap product.
  • He created Specialty Underwriting and Residential Finance (SURF), a self-contained Sub-Prime mortgage conduit. 
  • In 2006, he built the RateLab, a full spectrum US Rates Trading Desk Strategy Group. 
  • At Credit Suisse, he identified and integrated investment and hedging opportunities for sophisticated investors.
  • He has appeared as a guest on Real Vision.