About Us

We are the leading independent specialist in Danish mortgage backed bonds and fixed income. Our aim is to provide you with a solid foundation when making strategic, financial decisions.

 

We provide our clients across banking and financial sectors with advanced software, data services, and consultancy. Our work draws on 30 years of true dedication and experience in combining advanced software technology, financial modelling, and academic research with vast amounts of data.

 

The Beginning

Scanrate Financial Systems A/S started 1986 as a spin-off from fixed income research at the Aarhus School of Business. Our present CEO and partner, Svend Jakobsen, and two fellow colleagues, turned their research into the software system RIO - which is an acronym for the Danish ‘Rentestruktur for Inkonverterbare Obligationer’ and translates as: Term Structure of Interest Rates for Non-Callable Bonds.

It was the first and - and for several years the only – program capable of estimating zero coupon yield curves for the Danish bond market. Within the first two years, almost all larger Danish banks and several pension funds were using RIO – and most still do.

 

Scanrate Today

Today, we are 24 financial analysts and software developers at our office in Aarhus. With our dedication and deep financial knowledge, we develop products and data services  that set new standards.

We believe in using complex programming to make life easier. For our customers as well as ourselves.

We believe in calculating the answers and automating the process. No matter if it is the analysis of risk and return features of Danish bonds or our daily Christmas draw for presents throughout December.

We believe in problem-solving.  And we believe in getting it right the first time, because this means we can focus all our energy on new challenges instead of retracing our own steps.

The Scanrate management is made up of Svend Jakobsen, Partner and CEO, Jens Hermann, Partner, COO, Chairman of the Board, and Troels Rasmussen, Partner, Head of Evaluated Pricing.

 

Do you want to join us? Please check out our job openings.

 

Get a detailed overview of our history below the image.

Our History

We Introduce a New Product: Lima

Our new software system Lima is released. Lima provides the complete overview of a company’s assets and long-term debts across loan type, counterparts, and subsidiaries.

August, 2016

May, 2016

Release of Danish Bond Data Portal

As part of the Danish Bond Data service, which we offer in co-operation with Thomson Reuters, we launch a new portal that customers can use to access the service. 

Release of SPV Website

We launch a new web for subscribers to the Scanrate Prepayment and Valuation (SPV) service 

June, 2015

December, 2014

Scanrate Partner and CEO Receives Honorary Award

Scanrate partner Svend Jakobsen receives an honorary award from the Danish Finance Society (Finansforeningen) for his long time work on the valuation of Danish mortgage backed securities.

Consultant on Refinancing Auction Risk

As a consultant for Danmarks Nationalbank, Scanrate analyses several proposals for a new law aimed at reducing the refinancing risk of Danish adjustable rate mortgage loans. Read the report (in Danish).

November, 2013

September, 2013

Scanrate Becomes Official Partner of Numerix

We have worked extensively with the Numerix CrossAsset analytics platform and the Numerix SDK library on several projects. Based on this experience we offer our consultancy services to clients building financial solutions involving the Numerix libraries.

Technical Report for the Money and Pension Panel

As expert consultant, Scanrate partner Svend Jakobsen writes a technical report for the Money and Pension Panel established by the Danish Parliament. The report develops a set of standard principles to use when scenario analyses (horisontberegninger) are used in mortgage loan counseling.

The recommendations of the report are approved by the panel, which includes representatives from the banking industry, the mortgage credit institutions, the consumer council, and a number of other experts.

September, 2013

September, 2012

Service Becomes ISAE 3402 Certified

The Evaluated Pricing Service jointly developed by SIX Financial Information and Scanrate is reviewed and ISAE 3402 certified by an international audit firm.

Scanrate develops New OAS Index Model

Since 2002, we have been involved in the pricing of illiquid Danish bonds by the use of bond spreads.

In 2011, we develop a new OAS Index model in which we pool bonds based on bond characteristics. For each pool we use prices from the available set of traded bonds (liquid bonds) to identify the relevant spread to use for the illiquid part of the market.

December, 2011

January, 2010

SIX' Evaluated Pricing Service Keeps Expanding 

Bonds with embedded call, put and make whole options are added to the SIX Financial Information Evaluated Pricing Service, extending the coverage to 125,000 bonds in 11 currencies.

Extensions of Evaluated Pricing Service 

The SIX Financial Information Evaluated Pricing Service is extended with six new currencies adding approximately 6,500 more bonds to the coverage of the service (January).

Later the same year, the service is extended with 28,000 floating rate notes and capped floaters (December).

January, 2008

February, 2007

Launch of Evaluated Pricing Service in Switzerland

SIX Financial Information Ltd., Zürich and Scanrate launch Evaluated Pricing Service - a new service based on the SIX Financial Information global fixed income database. 

Coverage includes daily calculation of fair value for 55,000 bonds in five currencies (EUR, USD, GBP, JPY and CHF) and five rating categories. The service provides full technical documentation and transparency by allowing access to the assumptions underlying each individual calculation.

New in RIO: Pricing Models for Interest Rate Derivatives

Pricing models for interest rate derivatives are added to RIO. Facilities include swaps, caps, swaptions, Bermudan and trigger options.

July, 2005

April, 2004

Delivery of Data to RiskMetrics Group Ltd, NY

We partner with RiskMetrics Group Ltd, New Yorkto deliver risk mappings of Danish Mortgage Bonds for use in Value-at-Risk (VaR) calculations.

Launch of Boligregner.dk

We launch Boligregner.dk - an advanced on-line mortgage calculator comparing total mortgage loan cost in different yield curve scenarios.

March, 2004

March, 2002

VP Security Services and Scanrate Develop Model for Fair Value Pricing of Illiquid Bonds

VP Securities Services (Værdipapircentralen) and Scanrate develop and launch a model for fair pricing of illiquid bonds. The fair values are part of the vpFact feed and used by Danmarks Nationalbank and market participants to calculate collateral values.

Cooperation with SimCorp 

We enter into an agreement with SimCorp to develop an interface to make RIO mortgage bond calculations available within SimCorp Dimension.

February, 2002

July, 2001

Launch of Danish Bond Data

We launch the Danish Bond Data Service. The service - originally named Danish Data Download - is developed by Scanrate and distributed by Thomson Reuters.

Release of RIO 4.0

We release RIO 4.0 - a new generation of the RIO System with capabilities to handle more asset classes, like caps, swaps, swaptions, FRAs, capped floaters (BoligX) and more.

May, 2001

June, 2000

Launch of Scanrate DMBS Model

The Scanrate Danish Mortgage Backed Securities Model (DMBS) is launched. Scanrate now provides real time Danish MBS analytics to Thomson Reuters global network.

Release of The Scanrate Prepayment and Valuation Service

The Scanrate Prepayment and Valuation (SPV) Service is launched. This service which is our first data service provides RIO customers with updated MBS models and new research topics on a quarterly basis.

July, 1999

1997-1998

RIO add-in for Excel 

A new line of Microsoft Excel add-in function libraries are launched. The libraries include facilities such as:

  • Access to all data in RIO's databases
  • Basic fixed income analysis
  • Zero-coupon term structure calculations
  • Mortgage backed bond analysis
  • VaR/RiskMetrics
  • Risk/return holding period analysis (scenario analysis)
  • Optimization of bond portfolios

Introduction of RIO/Horisont

We introduce RIO/Horisont which calculates risk profiles as well as holding period returns based on user-defined yield curve scenarios. The system has full support for Danish mortgage backed bonds including scenario specific prepayment forecasts, bucket analysis etc.

1996

1993

Introduction of RIO/Konvert

We introduce RIO/Konvert - an interactive program used by banks to perform detailed prepayment recommendations. The program is an instant success due to the rapid decline in interest rates and the implied pressure for refinancing of housing loans.

Introduction of RIO/Optikon

The new program module RIO/Optikon is presented. RIO/Optikon is a system for pricing Danish mortgage backed securities.

One advantage of the model is the speed of calculation which is facilitated by an innovative so-called mixture-of-distributions approach for the prepayment behavior.

In this approach the burnout effect is fully dealt with, with no requirement for time-consuming Monte Carlo simulations.

1991

1986/1988

RIO

RIO is sold to almost all larger Danish banks and several pension funds.

The idea of using estimated zero-coupon bond yield curves as an alternative to yield to maturity is propagated in the Danish financial community.

The First RIO System Sold

An early version of RIO is sold to Danish broker/investment bank Gudme Raaschou. At this time RIO is the only program on the market which can estimate zero-coupon term structures and use the results for bond arbitrage.

November, 1986

November, 1986

Scanrate Financial Systems A/S Founded

Scanrate is founded by Svend Jakobsen, Carsten Tanggaard, and Anders Grosen as a spin-off from fixed income research at the Aarhus School of Business.