A typical note is a zero-coupon bond plus an option package. The bond portion accretes toward par to provide whatever protection is promised; the option portion provides the market-linked upside, and the difference between what the components cost and what the investor pays is the distribution and structuring margin.
Three features define any structure: the underlying, the payoff formula including caps, buffers and barriers, and the issuer. All three must be understood, because a good-looking payoff on a weak issuer is a credit position in disguise. See issuer-credit-risk.
Liquidity before maturity is limited and priced at the issuer's bid, often well below the theoretical value in the early years because embedded costs are recovered up front. Structured notes are designed to be held to maturity, and pricing behaves accordingly.
Related: principal-protected-note, autocallable-note, reverse-convertible, issuer-credit-risk, barrier-option, exchange-traded-note