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* Credit Suisse First Boston yesterday (Thursday) launched a Eu60.75m securitisation backed by Belgian real estate leased to the European Union. Confinimmo Lease Finance SA offered a single Eu60.75m tranche rated triple-A by Moody's and Standard & Poor's with a 16.5 year average life at 13bp over six month Euribor. The deal's expected maturity is January 2027, matching the length of the leases, and its legal maturity is July 2027.

HypoVereinsbank yesterday (Thursday) returned for the third time with its Geldilux programme, issuing a Eu1.5bn synthetic collateralised loan obligation (CLO) backed by small and medium sized corporates and private borrowers in Germany. Like its predecessors, Geldilux 2001-1 is a fully funded synthetic CLO designed to transfer credit risk from a revolving reference pool of short term Euroloans originated by the bank's Luxembourg subsidiary to the SPV.

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Several asbestos credits notched up this week, with reportedly more investor comfort now that liability cases have stabilized. Crown Cork & Seal traded at 87.25 to 88.25, up from the mid-80s. Owens Illinois traded at 93.5 to 94.25, up from the 92 range. US Industries traded at 82 to 83, up from the high 70s. Meanwhile, quotes for PacifiCare Health Systems's bank debt have dipped in the wake of a rocky refinancing deal. Levels landed in the 75-85 range from a previous level in the mid 90s.

This is the first article in a two-part series looking at the characteristics and applications of market models, and their advantage over traditional approaches in pricing interest-rate derivatives. This article reviews the literature and covers the relationship between the well-known Heath, Jarrowand Morton(HJM) approach and the market models approach. Next week's Learning Curve will examine application issues, namely the calibration of the market models to caps and swaptions, closed form solutions useful for calibration and pricing of Bermudan options with Monte Carlo in the context of the market models.

Brazil is looking to issue bonds with embedded derivatives to better manage its debt maturity profile and wants banks to pitch such structures to it, according to DW sister publication Emerging Markets Week. If market conditions are favorable the central bank would like to offer more deals with embedded puts, calls and warrants, said officials at the bank.

Credit Suisse First Boston has hired Sam Vulakh, a credit derivatives trader at Bear Stearns in Tokyo, in a similar position. The firm obtained a credit derivatives license for Japan in late March and has been building its operation since then, according to traders familiar with the firm. Vulakh could not be reached and a CSFB spokesman declined to comment.

Ernst & Young plans to hire approximately 20 risk managers to expand its financial services group. Tim Pagett, head of the financial services risk management practice in London, said it aims to bring the risk managers on board over the next 12 months because it anticipates increasing demand in the wake of the proposed Basel Capital Adequacy Accord and a more liquid credit market. He added, "Anybody who works in financial risk department needs to be conversant with all the risks associated with derivatives." There are currently 42 pros in the group.

Deutsche Genossenschaftsbank is pricing a EUR1 billion (USD877 million) synthetic securitization of loans to hit the market in the first 10 days of August. Joerg Huber, head of syndication in Frankfurt, said the portfolio consists of loans to small and medium sized companies refinanced by German credit agency KfW. The transaction is part of a long line of similar deals issued after KfW announced its intention to support the transaction in December (DW, 12/24). Huber is not deterred by bringing a EUR1 billion deal to the market during prime vacation time. He said he has already received a lot of demand for the CDO from DG's cooperative banks and European institutions and it only started pricing Thursday.