Harley Bassman
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.
Harley Bassman Professional Experience / Academic History
Professional Experience
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Author of Financial Commentary
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Managing Director
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Portfolio Manager
Academic History
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BA, Management Science
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MBA, Finance
- 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.