Announcing SQX Structured Note Reference Data

What Is Structured Note Reference Data?

If you work with structured notes, you know that each note is defined by a prospectus — a legal document filed with the SEC that spells out every detail of how the note works. The prospectus covers the underlier(s), the payoff mechanics, the coupon structure, the autocall conditions, the issuer's call rights, and much more.

Unlike a plain-vanilla bond, where a CUSIP, coupon, and maturity date tell you most of what you need to know, a structured note's behavior depends on dozens of interlocking terms. Two notes with the same underlier and the same maturity can have completely different risk profiles depending on their barrier levels, autocall schedules, and payoff structures.

Reference data captures all of this. It's the structured, machine-readable version of everything in the prospectus — the "what," "when," and "how" behind every structured note.

Why Does This Matter?

Until now, getting this data has been a challenge. Prospectus filings vary in format from issuer to issuer. Extracting the relevant terms and normalizing them into a consistent structure requires significant effort. Many firms either do this work manually or simply go without.



We think the industry deserves better. That's why we decided to step in.

What's in the Feed?

Our Structured Note Reference Data feed is delivered as three pipe-delimited files, all joined by ISIN:

Reference Data: One row per note, with 61 fields covering everything you'd find on a term sheet. This includes identification (ISIN, CUSIP, issuer, currency, issue and maturity dates), classification (legal wrapper, payoff profile, tax treatment), product mechanics (settlement method, FX handling, dividend treatment, basket calculation method), autocall details (structure type, trigger levels, observation frequency, step-down schedules), coupon terms (rate type, frequency, barrier levels, memory features), issuer call provisions, and economics (offering price, estimated value, gross spread, selling concession, total offering amount, and more).

Underliers: One row per note and underlying asset. For single-underlier notes, there's one row. For multi-asset structures — like worst-of baskets — there's one row per constituent, capturing the underlier name, basket weight, initial fixing level, and fixing date.

Payoff Structure: A piecewise-linear map of each note's maturity payoff. Each row is a breakpoint: given a final underlier level (as a percentage of its initial fixing), the investor receives a corresponding payout (as a percentage of notional). Connect the breakpoints, and you've reconstructed the full payoff curve — buffers, caps, leverage, barriers, and all.

Who Is This For?

Structured note reference data supports a wide range of workflows across the front, middle, and back office:

• Portfolio managers and analysts who need to understand what's in their book — not just the price, but the mechanics, risks, and embedded optionality of each position.
• Risk and compliance teams responsible for monitoring barrier levels, autocall triggers, and coupon conditions — or for classifying notes by payoff profile and tax treatment.
• Operations and data teams looking to automate the ingestion of structured note attributes, replacing manual keying from prospectus PDFs.
• Quantitative teams who need payoff structure data to build scenario analyses, stress tests, or fair-value models.
• Wealth management platforms seeking to provide advisors and clients with clear, structured information about the notes they hold.

What Kinds of Notes Does It Cover?

Our feed covers notes issued by major dealers across the full spectrum of payoff structures, including autocallables, reverse convertibles, participation notes, principal-protected notes, leveraged and inverse products, dual-directional notes, digital payoffs, range accruals, and more.

Whether the note is a simple buffered growth product or a complex multi-asset autocallable with contingent coupons and a step-down call schedule, the reference data captures its structure in a consistent, normalized format.

Built on Our Structured Note Expertise

SQX has been a trusted provider of structured note pricing for years. We aggregate end-of-day prices from our global network of sell-side desks, covering over 100,000 structured notes — one of the most comprehensive offerings in the U.S.

Structured Note Reference Data is a natural extension of this work. We already understand the structured note landscape — the issuers, the product types, the data complexities. Building a comprehensive reference data feed was the next logical step.

And like everything we do at SQX, this product is built on the principles that have guided us since 2001: cost-effective data, transparent methodology, responsive service, and flexible delivery. Whether you receive data via SFTP or API, you'll get the same reliable, well-organized files our clients have come to expect.

Get Started

If you're interested in SQX Structured Note Reference Data — whether to complement your existing pricing feed or as a standalone product — we'd love to tell you more.

Visit our Structured Note Reference Data page or contact us directly. We'll be happy to answer your questions, walk through the data, or set up a sample file.

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