Autocallable Notes

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Documentation snapshot 18 October 2026. Deployment · Audit Status

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A note pays a coupon only when the barrier holds at an observation. An early autocall returns principal; at maturity, a barrier breach exchanges that principal for Stock Tokens at the strike terms.

Definition

An autocallable barrier note is a fixed-term contract on an underlying price with four features:

Coupon. On each scheduled observation date the note pays a fixed coupon if the observed price is at or above the barrier.
Autocall. On any scheduled observation date except the strike and the maturity, if the observed price is at or above the autocall level the note ends immediately: principal is returned together with that observation’s coupon.
Barrier. At maturity, if the observed price is at or above the barrier the note repays principal in cash together with the final coupon.
Knock-in. At maturity, if the observed price is below the barrier the note repays principal in the underlying at the initial price. The holder therefore receives an asset worth less than principal.

In Note Systems the observation schedule is fixed at creation, the barrier is observed only on scheduled dates (a “European” or discrete barrier, not continuous), and knock-in is judged only at the final observation. There is no memory feature: a coupon missed at one observation is not recovered later.

Parameters

fact Parameters
Parameter	Meaning	Specification default	Label
`s0`	Initial level, the official close at the strike observation, 1e8 precision	Fixed per series at strike	fact
`autocallBps`	Autocall level as bps of `s0`	Code default 10 000 (100%); standing templates 10 500 or 11 000	fact
`barrierBps`	Barrier as bps of `s0`	Code default 6 500 (65%); standing templates 6 000 to 8 800	fact
`observations[]`	Strictly ascending official-close timestamps; index 0 is strike, last is maturity	Set per series	fact
`couponBps`	Coupon per observation as bps of matched notional	Discovered at strike within `[couponFloorBps, couponCapBps]`	fact
`couponCapBps`	Governance cap for coupon discovery, also sizes SHIELD's prefund	60 to 160 in the standing templates (0.60% to 1.60% per weekly observation); hard maximum 400	fact
`notionalCap`, `minTicket`	Series size limit and minimum deposit, USDG	Set per series	fact

Standing Templates

fact Values of the templates stored in RollPolicy on testnet deployment 12 (1 Oct 2026, the same values as deployment 11 carried since 29 Sep 2026). Every template rolls one new series a week (maxOpenSeries 1 since 14 Oct 2026; one per trading day before that), the next opening on the closing day of the current one, with a five trading day subscription, a one day strike lag and thirteen observations five trading days apart (the strike plus twelve weekly coupon observations, 66 trading days end to end). The app reads every series’ own values from chain; this table is the shape of what rolls, not a promise about a given series.

fact Standing Templates Reference
Underlying	Autocall	Barrier	Coupon floor	Reference	Coupon cap	SHIELD prefund at cap (cap × 12 + 0.75%)
mAAPL	105%	88%	0.10%	0.30%	0.60%	7.95%
mMSFT	105%	85%	0.10%	0.45%	0.80%	10.35%
mAMZN	105%	85%	0.25%	0.50%	0.95%	12.15%
mNVDA	105%	80%	0.15%	0.45%	1.40%	17.55%
mMETA	105%	80%	0.30%	0.55%	1.00%	12.75%
mTSLA	110%	75%	0.30%	0.55%	1.50%	18.75%
mHOOD	110%	60%	0.25%	0.75%	1.30%	16.35%
mCOIN	110%	60%	0.40%	0.75%	1.60%	19.95%

Coupons are per observation as a percentage of matched notional. A balanced book discovers the reference coupon; the floor and cap bound discovery. Read the terms of the particular series rather than treating the template table as a return estimate. See Coupon discovery.

COUPON Payoff at Maturity

illustrative COUPON redemption at maturity per 100 USDG of matched notional, excluding coupons paid at earlier observations. The step at the barrier is the knock-in. A high maturity price does not imply that an earlier observation met the autocall trigger. Barrier 80% and autocall 105% are the mNVDA template; coupon shown at 0.45% per observation (illustrative).

SHIELD Payoff at Maturity

SHIELD is the mirror. Per 100 USDG of matched notional, SHIELD ends with:

Barrier holds: its Stock Tokens back, plus the unused part of its coupon prefund. Net USDG cost includes gross coupons paid and the notional fee.
Barrier breached at maturity: 100 USDG, and its Stock Tokens are delivered to COUPON holders. Relative to simply holding the stock, SHIELD has gained 100 − 100 × S_T / S0 minus gross coupons paid and the notional fee.

illustrative SHIELD value at maturity per 100 USDG notional when the series has not autocalled. The solid line assumes all 12 coupons were paid at 0.45% (5.4 per 100, illustrative; mNVDA template, barrier 80%). Below the barrier the put pays: SHIELD delivers stock and receives 100 USDG.

Why the Coupon Is High

The COUPON holder is short a down-and-in put struck at S0 and long a coupon stream. The coupon is the option premium, paid in instalments. Higher implied volatility, a higher barrier, or a longer time to maturity all raise the value of that put and therefore the coupon that clears the market. In Note Systems this is discovered per series from deposit imbalance rather than quoted by a dealer. See Coupon discovery.

Comparison with Adjacent Products

fact Comparison with Adjacent Products Reference
Product	Downside	Upside	Term
Autocallable barrier note (COUPON)	Stock below barrier at maturity: receive stock at S0	Capped at coupons; early termination requires the configured autocall trigger at an intermediate observation	Ends early on autocall
Reverse convertible	Same knock-in, usually no autocall	Capped at coupons	Fixed
Covered call	Full stock downside	Capped at strike plus premium	Rolling
Vanilla put (for SHIELD comparison)	Premium paid up front	Protection at strike from day one	Fixed
SHIELD	Pays coupons while barrier holds; protection off on autocall	Down-and-in put at S0	Ends early on autocall

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