Customized Calculations for Velliv
Velliv is one of Denmark's largest commercial pension companies and 100% customer owned. In 2017, Velliv was looking for a stable supplier of daily, automatic deliveries with the entire Danish mortgage universe and a range of master data – and Scanrate was able to deliver.
Interest rate shocks for the Solvency II engine. That was the headline when life insurance and pension corporation Velliv contacted Scanrate at the end of 2017.
The intention was to expand their Solvency II setup on the asset side with tailored calculations for Danish mortgage bonds. Velliv had previously been in contact with other potential suppliers, but as Ph.D. Morten Bakkedal, Chief Quantitative Analyst at Velliv, explains:
"Scanrate had the huge advantage of being able to offer us independent calculations. At that time, we touched base with other suppliers with a thorough insight into our work processes. But given the fact that our collaborations with other vendors were close, they could not offer calculations with no strings attached. That made Scanrate the obvious choice.”
Performance: No Problem
In addition to independence, it was an absolute requirement for Velliv that deliveries would not be limited by performance reasons. Morten Bakkedal says:
"We had ambitious plans to build a Solvency II engine that had to run on an extensive number of interest rate shocks for both parallel interest rate shocks and selected key rates. We wanted daily, automatic deliveries with the entire Danish mortgage universe and a range of master data. Therefore, we were well aware that we had to find a supplier who could handle comprehensive calculations. Here, Scanrate proved to be able to deliver to full satisfaction."
A Focus on Needs
And on the performance side, Scanrate made an impression:
"Yes, when we talk about comprehensive calculations, Scanrate clearly showed off," says Morten Bakkedal with a smile and continues:
"But in the negotiation process it was also clear that they were not interested in selling calculations that might turn out not to be precise enough for our needs. For example, we had a good discussion about the challenges of triangular key rate shifts. Here we found that we would get some icky numerical issues for key rate durations with crazy forward rates if the shift sizes got too big. The key interest durations would also not add up to parallel shifts due to the convexity of the bonds. So Scanrate not only showed off, but also showed consideration for our actual needs," emphasizes Morten Bakkedal.
Stable Deliveries and Support
And Velliv's needs are inextricably linked to their customer focus. As a 100% customer-owned pension company, it is crucial that their data and calculations come from a reliable and stable supplier, says Velliv's Morten Bakkedal:
"We look after real people's money. Our customers need to be able to trust us to increase their assets in order for them to look forward to a financially secure old age. That is why it is simply imperative that we can count on stable, reliable deliveries. Scanrate gives us that. Our communication with them is excellent, but we actually rarely need to reach out to their support. It just works," says Morten Bakkedal.