Scanrate started December 1985 as a spin-off from fixed income research at the Aarhus School of Business. Our main product, RIO was the first - and for several years the only - program able to estimate zero coupon yield curves for the Danish bond market. (RIO is a Danish acronyme for Rentestruktur for Inkonverterbare Obligationer - Term Structure of Interest Rates for Non Callable Bonds)
Back in 1985 market makers used yield-to-maturity and Macauley duration as their main pricing tools unaware that various coupon and bond type effects lead to serious mispricing. The first RIO customers were able to identify and capture huge arbitrage profits and the RIO customer base soon included most major Danish banks.
To cope with the complex risk and return characteristics of Danish mortgage backed bonds RIO was extended in 1991 with a pricing model developed by Scanrate partner Svend Jakobsen. RIO's "required gain" prepayment model has since been an established benchmark for Danish mortgage bond pricing.
In 1999 Scanrate developed the Scanrate Prepayment and Valuation Service (SPV) to provide quarterly updated prepayment models to RIO customers. Two years later Scanrate and Thomson Reuters launched the Scanrate Danish Mortgage Backed Securities (DMBS) model providing real time pricing of Danish MBS to fund managers and traders world wide.
In 2002 Scanrate and VP Securities developed pricing service used for collateral pricing by the Danish Central Bank. The service covers most Danish bonds including callable and inflation-linked bonds.
In 2006 SIX Telekurs launched a global bond pricing service developed and operated by Scanrate. The SIX Telekurs Fair Value Pricing Service covers more than 115.000 bonds in 12 currencies.
Today the RIO program has developed into a large library of fixed income tools covering bonds, mortgage backed securities, interest rate derivatives and mortgage loans. Scanrate is a leading independent specialist on fair value pricing and Danish mortgage bonds.
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