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What structured notes cost: price minus estimated value

The gap between the price to the public and the issuer's estimated value on US structured notes, by structure and term, October 2025 to September 2026.

By Verio Labs. Updated 2026-10-30. Figures as of 2026-10-30.

Every US structured note's pricing supplement prints the price to the public and the issuer's estimated value of the note on the pricing date. The gap between them, as a share of face, is what this page calls the fee. Across 53,300 notes priced October 2025 to September 2026, autocallables had a median gap of 3.29% of face (30,412 notes).

The estimated value is the issuer's own figure, made with its own models and funding rate, and the filings explain the gap as the selling commission, the cost of hedging the note and the issuer's expected profit, all included in the price. The second chart shows the gap by the note's term to maturity.

By structure

Median0%1%2%3%4%5%Digital notes: median 1.71%, 3,373 notesDigital notes1.7%3,373 notesReverse convertibles: median 2.05%, 8,170 notesReverse convertibles2.0%8,170 notesDual directional notes: median 2.49%, 2,438 notesDual directional notes2.5%2,438 notesLeveraged participation notes: median 2.70%, 6,116 notesLeveraged participation notes2.7%6,116 notesAutocallables: median 3.29%, 30,412 notesAutocallables3.3%30,412 notesPrincipal-protected notes: median 4.30%, 2,791 notesPrincipal-protected notes4.3%2,791 notes
Price minus estimated value, by structure (% of face). Based on 53,300 notes priced October 2025 to September 2026; every structure; the fee is the price to the public minus the issuer's estimated value, both as printed in the filing. Registry data as of 2026-10-30. Download PNG
StructureNotesMedian
Digital notes3,3731.71%
Reverse convertibles8,1702.05%
Dual directional notes2,4382.49%
Leveraged participation notes6,1162.70%
Autocallables30,4123.29%
Principal-protected notes2,7914.30%

Source: Verio Note Registry, noteregistry.com, as of 30 October 2026.

Autocallables by term

Median0%1%2%3%4%5%6%Under 1 year: median 1.61%, 104 notesUnder 1 year1.6%104 notes1 to 2 years: median 2.34%, 5,193 notes1 to 2 years2.3%5,193 notes2 to 3 years: median 2.67%, 5,977 notes2 to 3 years2.7%5,977 notes3 to 5 years: median 3.42%, 12,017 notes3 to 5 years3.4%12,017 notes5 years or more: median 5.80%, 7,121 notes5 years or more5.8%7,121 notes
Price minus estimated value for autocallables, by term to maturity (% of face). Based on 30,412 notes priced October 2025 to September 2026; autocallables, grouped by term from pricing to maturity. Registry data as of 2026-10-30. Download PNG
TermNotesMedian
Under 1 year1041.61%
1 to 2 years5,1932.34%
2 to 3 years5,9772.67%
3 to 5 years12,0173.42%
5 years or more7,1215.80%

Source: Verio Note Registry, noteregistry.com, as of 30 October 2026.

Figures are never broken out by issuer.

Download these figures (CSV)