Comprehensive structured note reference data derived directly from SEC 424B2 prospectus filings, providing detailed term-sheet-level information across structured note issuances from major dealers.
Coverage & Data Sources
The Structured Note Reference Data service is derived directly from SEC 424B2 prospectus filings and covers structured notes issued by major dealers, including:
- BMO
- Goldman Sachs
- JPMorgan
- Morgan Stanley
- BNP Paribas
The dataset supports analysis across a broad range of structured note types, including:
- Autocallables
- Reverse Convertibles
- Participation Notes
- Principal-Protected Notes
- Leveraged and Inverse Structures
- Digital Structures
- Range Accrual Structures
Structured Note Reference Data Files
The dataset is delivered through three standardized and joinable files, using ISIN as the primary key.
Reference Data:
60+ fields per note covering identification, payoff classification, coupon mechanics, autocall terms, issuer call rights, and full economics (gross spread, selling concession, estimated value, net proceeds).
Underliers
One row per ISIN per underlying asset, with initial fixing levels, fixing dates, basket weights, and credit reference flags, worst-of baskets, equal-weight rainbows, and single underliers, all handled cleanly.
Payoff Structure
A piecewise-linear payoff profile at maturity for every note, expressed as breakpoints you can plot directly. No reverse-engineering. No guesswork.
Dataset Structure & Standardization
Structured Note Reference Data is a machine-ready dataset built for quantitative and operational use across complex structured products. It standardizes key attributes such as legal wrapper, settlement method, FX mechanics, underlying return type, observation schedules, barrier logic, and income accrual treatment, enabling consistent cross-note analysis.
Delivered in a normalized format optimized for clean integration, the dataset allows teams to move from document review to data-driven workflows immediately.