Harley Bassman, a managing director at Credit Suisse Group AG’s securities arm who calls himself “The Convexity Maven,” said he is leaving the bank.
“Today closes my thirty-year career on the ‘sell side’ of Wall Street,” he wrote in a note to clients that was obtained by Bloomberg News. “Serendipitously as I become an empty nester, I am moving to the ‘buy side’ where I can more directly implement my ideas for broad-minded investors.”
Bassman referred questions to Drew Benson, a spokesman for Credit Suisse in New York, who declined to comment. Pacific Investment Management Co., the world’s largest bond manager, said in a statement today that Bassman will join its firm in July and will be based at its Newport Beach, California, headquarters.
Convexity is a measure of the change in duration of a bond, or its sensitivity to interest-rate fluctuations, as market yields rise or fall. The concept carries importance in the valuation of interest-rate options and mortgage-backed securities.
Bassman joined Credit Suisse in 2011, after working on derivatives and structured products at Bank of America Corp.’s Merrill Lynch & Co. unit and predecessors since 1985, according to Financial Industry Regulatory Authority records and his personal website. He created Merrill Lynch’s MOVE index tracking anticipated rate volatility in 1998.
At Credit Suisse, he both “transacts and opines about global markets under the moniker of The Convexity Maven,” identifying “investment and hedging opportunities for sophisticated and qualified professionals,” his website says.
Bassman will report to Josh Thimons and Steve Rodosky at Pimco, the bond manager said today in a statement. Thimons focuses on interest rate derivatives and Rodosky is the lead portfolio manager for long-duration strategies, according to Pimco’s website.
Pimco, which had $1.9 trillion in assets as of Dec. 31, has been under pressure in the past 12 months amid withdrawals and underperformance by its largest fund, Bill Gross’s Total Return, and a leadership shakeup spurred by the announced resignation of its Chief Executive Officer Mohamed El-Erian in January.