Rabobank in the Netherlands launched the Rabobank Rentelift Note last month. The capital-protected note has a maturity of 10 years and is callable half-yearly from the end of year one. It is targeted at investors who have a view that six-month Euribor will increase.
The note pays a coupon every six months and the first coupon is fixed at 6%. Subsequent coupons will be determined by the preceding coupon plus twice six-month Euribor minus the "step up" coupon. The initial step-up coupon rate is