Rabobank to close carry trade CPDO

Rabobank is planning to close a structured foreign exchange product next week that invests in the carry trade while using the leverage mechanism of a CPDO (constant proportion debt obligation).

The bank is hoping to initially place at least €100 million of notes, which will have a maturity of 10 years. The product, dubbed ‘Diversifex’, will also be 100% principal protected.

Nicholas Gibbins, London-based senior structurer at Rabobank, explains that, like a CPDO, Diversifex has a target spread

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