It stands for short-term structured note; a structured note whose maturity does not typically exceed 9-12 months (though at times, up to 2-3 years). The note combines an equity element and one derivative or more, and offers a return potential (performance) linked to an underlying equity price (e.g., a stock price/ stock index, or an equity basket). For example, a short-term structured note may be packaged out of a two year floating rate note (FRN) with a quanto element- i.e., the note is denominated in a domestic currency, while it embeds a short position in a call option (a short call) on a foreign equity index. The option’s strike is a foreign currency and the payoff is denominated in an foreign equity index (equity exposure).

For longer maturities, the note is a long-term structured note (LSN).