To improve the efficiency of the control and management of its credit exposures, Rabobank International wanted to develop a system to enable it to record on a globally consistent basis the credit risks in its Treasury and Capital Market businesses.
In the past traders worked under individual product and location credit limits and had to use a variety of methods to be able to check on counterparty credit limit availability. This information required considerable effort to administrate and it also made calculating the credit risk of a prospective transaction an unnecessarily time-consuming process for the traders.
Key deliverables were to provide a single global credit risk limit for each counterparty, an improved credit exposure calculation methodology, the provision of associated credit risk monitoring and reporting controls and functionality to manage the collateralisation of counterparty derivative portfolios, along with analytics to speed up the traders interaction with the system. This solution would have to provide a worldwide infrastructure to link the bank’s 5 main trading locations and front-office systems into one centralised Web-enabled system.
The bank opted for an evolutionary approach, as a team of developers from ISV Raft International and Rabobank's own IT department worked side-by-side to provide a number of discrete applications using the COM components in Microsoft Visual Basic 6.0.
The initial 12 week phase included roll-out to 70 users in Rabobank’s largest branches in London and Utrecht. This first phase of development was the initial step towards achieving the key goal of bringing together individually controlled branch credit lines into a global structure. After this first phase, the solution was improved upon every 8-10 weeks as more sophisticated components were designed and added.
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