October 2026 Structured Notes Review: The 20 That Passed the Screen

Fifth month of the same exercise: read every structured note on the new-issue calendar, run each one through the same stated criteria, write down the ones that passed. June gave us 36 passes, July 16, August 23, September 22. October gives us 20. The list is mostly familiar names again, but this time the terms moved in one direction more than the other. Nearly every repeat paid more than it did in September. The exceptions were the crypto notes and the megacap basket.

The usual reminder on how I count protection: I state the decline a note protects you against, so "a 50% barrier" here means you're safe until the underlying falls more than 50%. Offering documents quote the same thing as a level. My 40% barrier is their "60% of the initial level." Bigger number in my framing means more protection.

October 2026 in numbers

Twenty passed: six snowball, five boost, five growth, three hybrid, one income. Income was again the biggest bucket on the calendar and again produced a single pass. The capped bucket had its fourth straight shutout. Two September passes did not come back in any form (BMO's 3x boost and Morgan Stanley's Europe worst-of), and one new issuer joined the list with a structure we already liked.

Every note's terms and one-line screening notes live in the screen results section at the bottom of this page, served straight from our notes database.

Growth

BNP's five-year note on its Multi-Asset index (09664WFQ5) is the headline growth pass for the fourth month running, and the jump this time was real: 7x participation, uncapped, 100% of principal protected. July paid 6x, August 6.05x, September 6.1x. The index is a slow, diversified grinder that would never pass as an unprotected growth note, but seven times a modest grind with nothing at risk is a strong return over five years.

The protected S&P 500 Futures notes got better too. JP Morgan's five-year (46661DNS9) pays 1.65x uncapped with full principal protection, up from 1.4x on September's version. Morgan Stanley and BMO both had five-year protected notes on the same index at about 1.6x, and Morgan Stanley's six-year paid 1.82x for the extra year. JP Morgan's is the best-paid five-year version on the calendar.

The unprotected side followed. BNP's five-year on the same futures index (09664WJ24) pays 2.475x uncapped behind a 30% barrier, up from 2.2255x. Its three-year sibling (09664WD20) is 1.39x uncapped, up from 1.35x, with the same dual-directional leg that turns a decline of up to 30% into a positive return. The usual warning applies to the whole family: the futures index runs a few percent a year behind the headline S&P, and part of the extra participation pays for that drag.

BofA's two-year Euro Stoxx 50 note is back unchanged (09712HPD8), 1.25x uncapped with a hard 10% buffer.

Boost

BofA's 18-month buffered family passed for the fifth month, still 1.5x participation with the first 10% of any loss absorbed. Two of the three caps went up. The S&P 500 note (09712H4N9) caps at 17.75%, up from 17.25%. The Russell 2000 (09712HTN2) caps at 23.25%, up from 23%. The Nasdaq-100 (09712HE40) holds at 23.5%.

JP Morgan's 15-month S&P note (46661PFN2) also improved, 2x to an 11.75% cap over a 10% buffer, half a point better than September. It still suits a market that grinds up rather than runs.

The bitcoin note went the other way. JP Morgan's three-year on IBIT (46661P6U6) pays 1.5x to a 124% cap, protected unless the fund falls more than 30%. That cap was 158% in September and 168% in June. It still passes, because 124% of headroom on three years of bitcoin with a 30% cushion is a different thing from a bare position, but it is the weakest version we have seen.

Income

One pass again, and it is the same structure as every month since June. BNP's three-year note on the S&P 500 Futures 35% Defined Volatility index (09664WG50) pays 19.5% annualized, monthly, as long as the index hasn't fallen more than 30% from its start, with principal protected to the same 30%. That is a point more than September's 18.5%, and the note can call from month six. On a leveraged index the bar is the same as always: either the trigger is easy or the coupon is very large. This one clears it on the coupon.

Nothing on a multi-index worst-of or a single stock came close. Several worst-of notes paid 7% to 10% on three indices with a 25% to 30% barrier, which is not enough for the risk of the weakest index deciding the outcome.

Snowball

Six passes, all repeat structures, and every one of them pays more than in September. The two five-year BNP autocalls on the defined-volatility S&P futures indices accrue 28% (09664WG68) and 30% (09664WG92) a year, up from 26.75% and 29%. Each calls quarterly from year one when its index is merely flat, and each is protected unless the index falls more than 50%. JP Morgan's five-year on MQUSLVA (46661P4Y0) does the annual version at 32%, up from 30%, also behind a 50% barrier. That is the highest snowball premium on the October calendar.

The fully protected notes on BNP's Multi-Asset index moved the most. The five-year digital (09664WHW0) pays a one-time 90% if the index is at or above its start at maturity, up from 77.75%. The five-year annual snowball (09664WHY6) accrues 20.6% a year, up from 17.9%. The seven-year (09664WHZ3) accrues 23.4% a year with 2x uncapped participation as the backup, up from 20.4%. None of these can lose principal. The index has finished a year flat or higher about 80% of the time, so the call condition is not hard to meet, and on a note that will probably call early the seven-year tenor matters less than it looks.

Hybrid

New this month: Barclays' five-year hybrid on the S&P 500 Futures index (06749LDK9) pays a one-time 18% if the index is flat or up at the one-year mark. If it isn't, you get 2.5x uncapped participation at maturity behind a 30% barrier. It is the same shape as the BNP note that passed in September at 15.95%, now from a different bank and at a better premium.

The Apple / Microsoft / Nvidia note is back (09664WH83) with a smaller headline again: 28.5% if the basket is at or above its start at year one, down from 34.7% in September and 40.15% in August. The rest is unchanged: 3x uncapped participation at maturity if it never calls, protection unless the basket has fallen more than 40%, and a dual-directional leg that pays a moderate decline as a gain. Three stable megacaps are still not an index, and a stock that falls hard can stay down.

The ether note also paid less. JP Morgan's three-year on ETHA (46661PGW1) pays 32% for the fund being flat or up at year one, 1.5x uncapped as the backup, protected to a 40% decline. September paid 35.25%.

The criteria

Same filters as every month, applied to a new calendar. Fee-based notes only; anything commissioned is out before we read the terms. Buffers beat barriers of the same size. Growth notes must sit on real, broad indices; income and snowball notes may sit on engineered ones, because those structures only need flat, and the engineered indices carry the best terms. Every note is judged against its peers in the same month, and a dominated note is dropped. Issuer calls count against unprotected notes and are forgiven on fully protected ones.

October's lesson: watch the repeats. When the same structure comes back from the same bank month after month, the change in its terms is the most useful information on the calendar. This month most of that change was in the buyer's favor, especially on the protected notes. The crypto and single-stock notes moved the other way. Next month we'll do it again.

This screen is impersonal research for financial professionals and education only. It is not investment advice, a recommendation, or an offer to buy or sell any security, and a note passing the screen means it met our stated criteria, not that it suits any client. Every note listed carries the credit risk of its issuing bank and is not FDIC insured, except for genuine market-linked CDs. Terms are summarized from the October 2026 calendar and may change; confirm all details in each note's official offering documents before acting on anything here.