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A corridor floater – also known as a range note, fairway note or accrual note – is a structured note paying an above-market rate for each day the underlying spot rate stays within a specified range (the accrual corridor). This higher yield is achieved by effectively selling an embedded corridor option. The corridor may be reset on given dates, either by the buyer or according to the prevailing value of the reference rate.
If the underlying trades outside the corridor, the investor receives no interest for that day. Alternatively, the instrument may be knocked out altogether – this is a barrier floater or knock-out range note. The holder will therefore benefit in stable market periods when volatility is low and the underlying is more likely to stay within the corridor.