This quote suggests that fear is the source of morality. Nietzsche is recommending that people are driven to act ethically out of fear of penalty or retribution. He is indicating that morality is not always an intrinsic quality, but rather something that is discovered and implemented through worry.
"When I started to sing, my mother would have me engaged to perform at the Women's Christian Temperance Union national or annual meetings. I would hate doing this because I wanted to play baseball or go off skiing"