Alpha Exchange Interview: Harley Bassman on Long-Term Treasury Yields and the Trust Story
Alpha Exchange released an interview on October 6, 2026, featuring Harley Bassman, creator of the MOVE Index. The show notes indicate that Bassman argues the rise in long-term yields is less an inflation story than a trust story, driven by fiscal deficits and borrowing from AI hyperscalers. He also provides a tutorial on the MOVE Index he created in 1994.
Alpha Exchange published a notable macro-rates interview on October 6, 2026, with guest Harley Bassman. Known as "The Convexity Maven," Bassman created the widely recognized MOVE Index during his tenure at Merrill Lynch and has held senior roles at PIMCO and Simplify Asset Management. This episode focuses on a central market contradiction: the persistent rise in long-term US Treasury yields.
According to the official episode description, Bassman offers a perspective distinct from mainstream narratives: he views the increase in long-term yields not merely as an inflation issue, but as a "trust story." With expanding US government fiscal deficits, growing interest expenses, and a massive supply of Treasuries coming to market, investors are demanding greater compensation to hold long-duration government debt. This supply-demand pressure is further exacerbated by substantial borrowing from AI hyperscalers and a shifting global buyer base.
Beyond the macro narrative, the content includes specific technical insights. Bassman revisits the origins of the MOVE Index, which he created in 1994 using data extending back to 1988. He explains what a MOVE reading above 100 actually signifies and compares current rate volatility levels with history, discussing why seemingly extreme levels can sometimes represent a return to an older market regime. For professional readers focused on fixed-income strategies and risk management, this episode offers a chance to examine current bond market structural changes through the lens of a seasoned practitioner.