Field definitions and conventions

The registry stores the terms of each US structured note as its final pricing supplement (SEC Form 424B2) states them. For every term below the list gives what it means, the unit it is stored in, where it is found in a filing, and what a blank means. Levels are percentages of the underlier's initial level, and amounts are percentages of the note's principal, usually a $1,000 denomination. A value the filing prints in another form, such as a barrier printed as an index level, is computed from the numbers the filing prints; the registry never fills a gap with an estimate.

Where a filing can be read two ways, the registry follows a written convention. The conventions are listed after the terms, each with the date it was adopted.

By Verio Labs. Updated 23 October 2026.

How we check the data

Structure Single or basket Underliers Coupon rate Coupon frequency Coupon barrier Call level First call date Kind of downside protection Barrier or buffer level Upside participation Cap Term Price to public Issuer's estimated value Call premium Call type Call observation dates Call payment dates Coupon observation dates Coupon payment dates Coupon memory Barrier monitoring Issuer call Conventions What the audit does not cover

Terms the weekly audit compares

Structure

What it is: The payoff family the note is filed under: autocallable, reverse convertible, leveraged participation, digital, principal protected, dual directional or other.
Unit: One of the seven family names.
In the filing: The summary of terms and the payment at maturity. A call feature, a coupon, the upside formula and any principal protection decide the family.
When it is blank: Never blank on a published note.
Also: Coupon notes the issuer may call at its own option are filed as reverse convertibles, except Morgan Stanley's, which are filed as autocallable; this follows the registry's first schema.
Conventions: V2, V4
Audit: Compared in the weekly blind audit.

Single or basket

What it is: How the underliers combine in the payoff: a single underlier, worst of (the payoff follows the weakest of several), best of (the strongest), an equal-weight basket or a weighted basket.
Unit: One of the five kinds.
In the filing: The list of underliers and the payoff wording, such as "Least Performing Underlier", "Basket Return" or a table of component weights.
When it is blank: Never blank on a published note.
Also: Components with equal weights make an equal-weight basket even when the filing calls the basket weighted.
Audit: Compared in the weekly blind audit.

Underliers

What it is: The stocks, funds or indices the payoff depends on.
Unit: Tickers as the filing prints them, without exchange codes, so "CG UW" is stored as CG. An index the filing names without a ticker is stored by its name.
In the filing: The key terms table ("Underlying", "Reference Asset", "Underliers") and the table of initial levels.
When it is blank: Never blank on a published note.
Audit: Compared in the weekly blind audit.

Coupon rate

What it is: The periodic coupon, stated as a yearly rate.
Unit: Percent of principal a year. A monthly coupon of 0.75% is stored as 9.00% a year.
In the filing: "Contingent Coupon Rate", "Interest Rate" or the coupon amount per note, converted to a percent of principal.
When it is blank: The note pays no periodic coupon. A call-premium autocallable pays a premium when it is called, and that premium is not a coupon.
Audit: Compared in the weekly blind audit.

Coupon frequency

What it is: How often a coupon can be paid.
Unit: Monthly, quarterly, semiannual or annual, and on a few notes bimonthly or biweekly.
In the filing: The stated frequency, or the spacing of the coupon payment dates.
When it is blank: The note pays no periodic coupon.
Audit: Compared in the weekly blind audit.

Coupon barrier

What it is: The underlier level at or above which a contingent coupon is paid for the period.
Unit: Percent of the initial level. When the filing prints only a price, the percent is that price over the initial level, to two decimals.
In the filing: "Coupon Barrier", "Interest Barrier", "Coupon Threshold" or "Coupon Trigger Level".
When it is blank: The note pays no coupon, or it pays a fixed coupon whatever the underliers do.
Audit: Compared in the weekly blind audit.

Call level

What it is: The level at or above which the note is called automatically on a call observation date.
Unit: Percent of the initial level.
In the filing: "Call Threshold Level", "Autocall Barrier", "Call Value" or "Redemption Trigger".
When it is blank: The note cannot be called; the issuer calls it at its own option, so no level applies; or the level changes from one date to the next.
Conventions: V3
Audit: Compared in the weekly blind audit.

First call date

What it is: The first date on which a call can be triggered or decided.
Unit: A date.
In the filing: The call observation table (review, observation or determination dates), or the sentence naming the first date on which the notes may be called.
When it is blank: The note cannot be called.
Also: It is an observation or decision date, never the date the redemption is paid. It is the only date among the terms the weekly audit compares.
Conventions: V1, V6
Audit: Compared in the weekly blind audit.

Kind of downside protection

What it is: How a fall in the underlier reaches the principal. Contingent: below the barrier the loss counts from the initial level, the full decline. Buffered: only the fall beyond the buffer is lost. Protected: all or a stated part of the principal is repaid whatever the underlier does.
Unit: Contingent, buffered or protected.
In the filing: The payment at maturity formula. The registry reads the formula, not the label, so a "trigger buffer level" that loses the full decline is contingent.
When it is blank: Never blank on a published note.
Conventions: V2
Audit: Compared in the weekly blind audit.

Barrier or buffer level

What it is: The level at which the downside protection is measured.
Unit: Percent of the initial level. A 70% barrier is 70 and a 10% buffer is 90. For a protected note it is the share of principal repaid, 100 for full protection. A note with no barrier that loses 1% for every 1% fall from the initial level is stored as 100.
In the filing: "Downside Threshold", "Barrier Level", "Trigger Value", "Buffer Amount" or "Buffer Level".
When it is blank: Never blank on a published note.
Also: A barrier is named by its level and a buffer by the fall it absorbs. A 60% barrier protects a fall of up to 40%; some desks call it a 60% knock-in, or 40% downside protection. A 10% buffer, stored as 90, absorbs the first 10% of a fall and is never shown as a 90% buffer.
Audit: Compared in the weekly blind audit.

Upside participation

What it is: The share of the underlier's gain the note pays at maturity.
Unit: Percent of the gain. 100 is one for one, and an upside gearing of 3.00 is 300.
In the filing: "Upside Participation Rate", "Upside Gearing" or the payment at maturity formula. When the formula pays the underlier's return with no multiplier, the participation is 100.
When it is blank: The note pays no share of the gain, as with coupon notes and plain digitals. A digital that pays only its fixed return above the barrier has no participation.
Audit: Compared in the weekly blind audit.

Cap

What it is: The most the note can return above principal at maturity.
Unit: Percent of principal above 100. A maximum payment of $1,275 per $1,000 is a cap of 27.5. For a plain digital it is the digital return.
In the filing: "Maximum Return", "Cap Level", "Maximum Upside Return" or a sentence such as "in no event will the payment at maturity exceed".
When it is blank: The note's return is not capped.
Also: The fixed amount in "the greater of a fixed return and the underlier's gain" is a floor under the gain and not a cap. On a dual-directional note the limit on the return from a fall is not the note's cap; the corrections log shows the repair of notes stored the other way.
Conventions: V5
Audit: Compared in the weekly blind audit.

Term

What it is: The time from the pricing date to the maturity date.
Unit: Years, to two decimals (days divided by 365.25).
In the filing: Computed from the "Pricing Date" or "Trade Date" and the "Maturity Date".
When it is blank: Never blank on a published note.
Audit: Compared in the weekly blind audit.

Price to public

What it is: The issue price per note, as the cover page of the filing states it.
Unit: Percent of principal, usually 100.
In the filing: The "Price to public" or "Issue price" line of the cover page.
When it is blank: Never blank on a published note.
Audit: Compared in the weekly blind audit.

Issuer's estimated value

What it is: The issuer's own estimate of the note's value on the pricing date.
Unit: Percent of principal. An estimated value of $983.60 per $1,000 is stored as 98.36.
In the filing: The "Estimated value" or "Estimated initial value" line on the cover page or in the summary.
When it is blank: The filing prints no number. Some filings state only that the estimated value is not less than the face amount; the registry records that statement and leaves the value blank.
Audit: Compared in the weekly blind audit.

Schedules and other terms

Call premium

What it is: What a call-premium autocallable, often called a growth autocall, pays if it is called, stated as a yearly rate. The note pays nothing else unless it is called, so it is compared with other call-premium notes and never with coupon notes.
Unit: Percent of principal a year. When the premium rises by the same step at each call date, it is the step times the call dates a year, the rate the filing quotes: 3.375% a quarter is 13.5% a year. When it rises unevenly, it is the rise from the first to the last premium, spread over the years between their dates. A note with one call date shows its premium spread over the years to that date, marked as a single call, because that figure is not a quoted yearly rate.
In the filing: The call premium schedule, "Early Redemption Payment" or "Call Premium" in the summary of terms.
When it is blank: The note pays a periodic coupon instead, or cannot be called.
Conventions: V8
Audit: Checked against the filing sentence quoted for it; no blind audit compares it yet.

Call type

What it is: How the note can be called early: automatically, when the underliers are at or above the call level on a call date; at the issuer's option; or not at all. An issuer tends to call when the note is costly to keep, so issuer-callable notes pay more than automatic ones on the same terms, and the registry compares each kind only with its own.
Unit: Automatic, issuer or none.
In the filing: The early redemption or call terms. A redemption the filing allows only after a market disruption or a change in law does not count.
When it is blank: Never blank: none when the note cannot be called.
Also: Issuers file issuer-callable coupon notes under different structures (Morgan Stanley's as autocallable, the others as reverse convertibles). The call type is the same whatever the structure is called.
Audit: Checked against the filing sentence quoted for it; no blind audit compares it yet.

Call observation dates

What it is: Every date on which a call can be triggered or decided, in order.
Unit: A list of dates.
In the filing: The call schedule table. Dates the filing gives by a rule, such as "the 13th of each February, May, August and November", are listed by applying the rule.
When it is blank: The note cannot be called.
Conventions: V1, V6
Audit: Measured by the schedule audit; not yet in a weekly figure.

Call payment dates

What it is: The date the redemption is paid after each call observation date.
Unit: A list of dates.
In the filing: The call schedule table, or the sentence that sets the payment date after each observation.
When it is blank: The note cannot be called, or the filing gives the payment dates by a rule (for example "the third business day after each valuation date") and the list has not been filled yet; the corrections log tracks that gap.
Audit: Measured by the schedule audit; not yet in a weekly figure.

Coupon observation dates

What it is: The dates on which the coupon condition is checked.
Unit: A list of dates.
In the filing: The coupon schedule table, or the rule that names the observation dates.
When it is blank: The note pays no coupon, or it pays a fixed coupon with no condition.
Audit: Measured by the schedule audit; not yet in a weekly figure.

Coupon payment dates

What it is: The dates on which coupons are paid.
Unit: A list of dates.
In the filing: The coupon schedule table, or the sentence that sets the payment date after each observation.
When it is blank: The note pays no coupon, or the filing gives the payment dates by a rule and the list has not been filled yet.
Audit: Measured by the schedule audit; not yet in a weekly figure.

Coupon memory

What it is: Whether a coupon missed in one period is paid later, when the coupon condition is met again.
Unit: Yes or no.
In the filing: Wording such as "memory", "catch-up" or "plus any previously unpaid contingent coupons".
When it is blank: The note pays no coupon.
Audit: Checked against the filing sentence quoted for it; no blind audit compares it yet.

Barrier monitoring

What it is: When the downside barrier is observed: on the final valuation date only, or at the close of every trading day during the term.
Unit: Final date only, or daily close.
In the filing: The definition of the final value, or wording such as "on any trading day during the term of the notes".
When it is blank: Never blank. When the filing does not say the barrier is observed during the term, final date only is recorded.
Also: The market calls a barrier observed on the final date only European, as in a 60% EKI (European knock-in), and one observed at every daily close American.
Audit: Checked against the filing sentence quoted for it; no blind audit compares it yet.

Issuer call

What it is: Whether the issuer may redeem the note early at its own option, on the dates the filing sets.
Unit: Yes or no.
In the filing: "Optional Early Redemption", "Redemption at the option of the issuer" or "callable by the issuer".
When it is blank: No such right. An early redemption the filing allows only after a market disruption or a change in law does not count as an issuer call.
Conventions: V1, V6
Audit: Checked against the filing sentence quoted for it; no blind audit compares it yet.

Conventions

Where a filing can be read two ways, the registry and its audit follow these written rules. Each was adopted on the date shown, while settling audit findings.

V1

An issuer call's first date is the date the call is noticed or decided (the review date), not the date the redemption is paid.

Adopted 12 October 2026. Reviewed by the owner: pending.

V2

A note that repays all or a stated part of its principal whatever the underlier does is filed as principal protected, even when it can be called or pays a coupon.

Adopted 12 October 2026. Reviewed by the owner: pending.

V3

A term that changes by date, such as a call level that steps up each year, has no single value. The registry leaves it blank and does not store the first date's value.

Adopted 12 October 2026. Reviewed by the owner: pending.

V4

A note that gains when its underlier falls is filed as other. Leveraged participation is kept for notes that gain when the underlier rises.

Adopted 21 October 2026. Reviewed by the owner: pending.

V5

The fixed amount a call-premium autocallable pays at maturity is the last entry of its premium schedule, not a cap, so the cap is blank.

Adopted 21 October 2026. Reviewed by the owner: pending.

V6

When an issuer call has no fixed decision date, because the issuer decides on a day a set number of business days before the redemption date, the first call date is the first redemption date, the only date the filing fixes.

Adopted 22 October 2026. Reviewed by the owner: pending.

V8

The call premium a year is read from the premium schedule: the even step times the call dates a year, else the rise from the first to the last premium spread over the years between them, else the first premium spread over the years to the first call. A note with one call date is marked as a single call.

Adopted 24 October 2026. Reviewed by the owner: pending.

What the audit does not cover

The weekly blind audit compares the 15 terms in the first list. A second reader reads each sampled filing fresh from SEC EDGAR without seeing the registry's values, code compares the two readings, and a judge settles each disagreement against the filing's own words, following the conventions above. When both readings leave a term blank, that term is not counted in the figures.

The call and coupon date lists were measured once, on 600 notes on 22 October 2026, by a separate schedule audit. No published date was wrong, and the gap it found was completeness: payment dates the filing states by a rule were often left as an empty list. The date lists join the weekly audit with its new sample mix, 300 notes a week, from the first Sunday run of that mix; until then no weekly figure covers them.

Coupon memory, barrier monitoring, the issuer call, initial levels and the other secondary terms are checked against the filing sentence quoted for each of them, and no blind audit compares them yet. A value that both readers get wrong in the same way agrees, so an audit cannot see it; checks that run over every published note each week look for the kinds of error found so far. Notes held for review are not published and are not audited.

Which notes were audited

Every Sunday the audit draws about 400 notes at random from the whole registry, and only those count toward the accuracy figure on the Method page. The public id and SEC accession number of every note drawn this way in the last eight weekly audits are published in the samples feed. The latest audit in it, on 1 November 2026, drew 505 notes.

Each entry gives a note's public id in the registry and the accession number SEC EDGAR files its pricing supplement under. To check one, find the filing on EDGAR by its accession number, read the terms in it, and compare them with the note's terms in the registry, using the field definitions for what each term means.

Samples feed: /api/public/method/samples.

All terms as data: /api/public/definitions.