It stands for step-up recovery floating-rate note; a floating-rate note (floater or FRN) that typically pays 50% of a Constant- Maturity Treasury (CMS) rate plus a specific spread and under which a floor is placed. The coupon of a step-up recovery floating-rate note is linked to the constant maturity treasuries (CMS) index rather than the shorter-term LIBOR. That is, the coupon payments are typically based on coupons provided by bonds with equivalent longer maturities. Therefore, this floating-rate note allows investors to obtain exposure to short-term investments while taking advantage of a positive sloping yield curve. Step-up recovery floating-rate notes provide higher returns to investors should the yield curve is upward-sloping and gaining more steepness.
Finance
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