Diamonds are only available in the sub-tropical climate. They are produced by Diamond Mines and must be transported to banks. In the sub-tropical climate the banks do not produce valuable-bags.
Strategies
A good strategy may be to transport diamonds by air. Aeroplanes are fast and so the payment rate is high, but you will need large planes to keep up with supply (at least 150 passengers capacity, refitted obviously). One difficulty in this is that banks are located in towns, so it may be difficult to build an airport near them.
Using feeder systems can solve this problem. The airports near the towns can be used by both gold-transports and passanger-services, if they have enough capacity.
Another useful side effect of using airports is that only two airports are allowed per town. This means that if you build many airports near diamond mines and banks your competitors cannot build so many airports. So on maps with few towns, this prevents them from creating many airlines.