It stands for banking on overall stability, which is one of the numerous names for . By definition, it is a path-dependent option that is typically embedded in a structured note (range note), allowing the holder to receive a coupon at maturity, provided that the spot rate (a fixing rate or a reference index) is observed within a predetermined spot range (known as the accrual corridor).
In other words, for each day the spot rate remains within the specified spot range, interest accrues in the tune of one day’s worth of coupon payment. At maturity date, the accrued coupon is paid out (the settlement of the payoff is based on the time the spot rate or reference index spends within the range).
There are a number of variations on this option, including the wall option and the knock-out corridor option.
This option is also known as a corridor accrual option, a range accumulation option, hope for a market stabilization in a given range (HAMSTER), index range note, or expected to accrue return on nominal (EARN).
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