德意志银行风险管理课件.pptVIP

* * * * * * * * The slide describes how LEMGs internal transfer pricing procedures are embedded into the loan approval process at Deutsche Bank. 1) The loans approval process at DB requires that loans be approved by a Loan Screening Committee (LSC) and Credit Risk Management (CRM). 2) Loans are first proposed to a Loan Screening Committee - The LSC voting members consist of the regional heads of the business units (Global Banking, Global Markets, Global Transactions Bank, Global Equities) - The sole function of LEMG in the LSC is to provide a market (or mark-to-hedge) price at which it will buy the loan - The mandate of the LSC is to decide whether DB wants to use its capital to underwrite this loan or, more specifically, whether DB wishes to support this customer relationship by extending the proposed loan - Since investment grade loans are typically originated at prices below the cost to hedge, a decision to originate a loan will typically require that LEMG be paid a subsidy or “shortfall” to accept the asset - Thus, the LSC must decide: a) Do the business units want to support this customer relationship by extending the loan? Is this loan good use of the bank’s capital from the perspective of the business units? b) How the required “shortfall” payment that must be paid to LEMG will be divided among the business units? No loan is deemed “approved” by the LSC until there is agreement among the business units to pay the full amount of the shortfall. 3) Upon approved by the LSC, the loan is submitted to CRM for a credit approval. 4) Upon approval by CRM, the loan is officially “approved” at DB 5) When the loan is booked, it is booked in LEMG – and LEMG receives the income from the loan plus the shortfall payments agreed in the LSC 6) At that point, LEMG owns the asset and receives enough revenue from the asset to hedge its credit risk in the capital market. As explained in later slides, LEMG is required to hedge concentration risk at t