Autocallable Notes
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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
| 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.
| 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
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 / S0minus gross coupons paid and the notional fee.
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
| 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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