September 2026 Structured Notes Review: The 22 That Passed the Screen

Fourth 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 gives us 22, and the list looks a lot like August's. Most of the notes that cleared last month came back, a few paying a little more, more of them paying a little less, and three new shapes joined them.

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.

September 2026 in numbers

Income and snowball notes made up about half the calendar again, with growth next and capped, hybrid and boost the small buckets. Twenty-two passed: six boost, six growth, six snowball, three hybrid, one income. The boost bucket had the best hit rate of any bucket this year, with most of its notes passing. The capped bucket had its third straight shutout: none of those caps paid enough per year of holding to compete with an 18-month buffered boost.

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

The headline growth pass is the same one for the third month running, and it got a touch richer again. BNP's five-year note on its Multi-Asset index (09664MZ85) now pays 6.1x participation, uncapped, with 100% of principal protected. July paid 6x, August 6.05x. The case hasn't changed: the index is a mild, diversified grinder the screen would never accept on an unprotected growth note, but with principal off the table, six times a modest grind is a real return and a bad year costs you nothing. The three-year versions of the same structure are too short for the index to build up much, so they do not pass.

The S&P 500 Futures index family is flat to August. BNP's five-year at 2.2255x uncapped behind a 30% barrier (09664MZQ5) is a straight re-issue, and it still carries the highest participation of the five-year siblings. Same drag warning as always: the futures index runs a few percent a year behind the headline S&P, and the extra participation is partly rent for that. Its three-year sibling (09664MVH9) is also unchanged, 1.35x uncapped with a dual-directional leg that turns a decline of up to 30% into a positive return instead of a loss.

New in this family: JP Morgan's five-year on the same index with 100% principal protection at 1.4x uncapped (46661DKS2). Protected notes on this index usually pay 1.2x to 1.3x, and Morgan Stanley's competing five-year this month prints 1.31x, so 1.4x with no downside is the best-paid protected version we have seen.

Europe had a good month. BofA re-issued its two-year Euro Stoxx 50 note unchanged, 1.25x uncapped with a hard 10% buffer (09712GDA9), still the tidy way to hold international equity without a long commitment. And Morgan Stanley added a bigger swing at the same region (61781DS25): four and three-quarter years on the worst of the Euro Stoxx 50 and the EFA developed-markets fund, 2.05x uncapped, protected unless the worse of the two has fallen more than 30%. Two broad indices, no cap, and double participation. The price is worst-of exposure and a barrier instead of a buffer.

Boost

BofA's short buffered family passed for the fourth month, still at the 1.5x participation it moved to in August, with the first 10% of any loss absorbed. The caps drifted a bit. The 18-month S&P 500 note (09712GL28) holds at 17.25%, the Nasdaq-100 (09712CU35) slips to 23.5% from 25%, and the Russell 2000 (09712GT79) to 23% from 23.75%. On a per-year basis that is still roughly 11.5% to 15.7% of upside room, reached on a smaller index move than a 1x note would need.

JP Morgan's 15-month S&P note came back as well (46661MLE2), at 2x to an 11.25% cap over a 10% buffer, half a point below August. Same profile as before: it suits a market that grinds up modestly rather than runs.

BMO's two-year S&P note (06376MAV6) repeats at 3x participation, capped at 20.6% versus 21.11% in August, with a 10% buffer and an absolute-return leg that pays a decline inside the first 10% as a gain. At 3x you hit the cap on a 7% index move, so this is a note for a quiet market, in either direction.

The one boost pass that improved is the bitcoin one. JP Morgan's three-year note on IBIT (46661MMD3) pays 1.5x to a 158% cap, protected unless the fund falls more than 30%. August's version capped at 140%, June's at 168%, so the trade got cheaper again. The point stands: 158% of headroom on three years of bitcoin exposure with a 30% cushion is nothing like a bare position.

Income

One pass this month, out of the biggest bucket on the calendar. The bar is the same as before: on a leveraged or decrement index, either the trigger is easy or the coupon is enormous.

The pass is the enormous-coupon one. BNP's three-year note on the S&P 500 Futures 35% Defined Volatility index (09664MZK8) pays 18.5% annualized, monthly, as long as the index hasn't fallen more than 30% from its start, with principal protected to the same 30%. This structure has passed every month since June: 18.5%, then 18.75%, then 19% in August, now back to 18.5%. Still the top coupon on a leveraged index in the export, and still a demanding trigger that is paid for.

The five-year JP Morgan notes on the MerQube low-vol indices came back at the same 15% quarterly coupon and 40% barrier that passed in August, and this month they did not make the list. Nothing on a single stock cleared the screen either. No coupon this month was exceptional enough to carry the no-recovery risk a single company brings.

Snowball

Six passes, and every one of them is a repeat from August. The two five-year BNP autocalls on the defined-volatility S&P futures indices are back at 26.75% (09664MZL6) and 29% (09664MZP7) accruing premium, each calling quarterly from year one when its index is merely flat, each protected unless the index falls more than 50%. The 29% note is the highest snowball premium on the September calendar. JP Morgan's five-year on MQUSLVA (46661M7K4) does the annual version at 30%, also behind a 50% barrier, unchanged from August.

The fully protected side of the bucket gave a little back. BNP's five-year digital on the Multi-Asset index (09664MZA0) pays a one-time 77.75% if the index is at or above its start at maturity, a shade above August's 76.9%. The annual-snowball sibling (09664MZH5) accrues 17.9% a year, down from 18.35%. And the seven-year note (09664MZR3) pays a 20.4% annual snowball premium plus 2x uncapped participation as the backup, down from 21.15%, principal fully protected. The index has finished a year higher about 80% of the time, so the flat-or-better call condition is not a hard one. Seven years is a long time to lend a bank your money, but on an autocall that calls in most years the tenor matters less than it looks, and none of these can lose principal.

Barclays' monthly-call oddity from August, the note that pays its premium with the index down 10%, came back at the same 18.75% and did not pass this month.

Hybrid

The Apple / Microsoft / Nvidia note is back (09664MYX1) with a smaller headline: a single autocall observation at the one-year mark that pays 34.7% if the basket is at or above its start, down from 40.15% in August and 40.25% in July. 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. Still a good return for three stable megacaps, with the same warning attached: three stocks are not an index, and a cratered stock can stay cratered.

The ether note went the other way. JP Morgan's three-year on ETHA (46661MME1) pays 35.25% for the fund being flat or up at year one, 1.5x uncapped as the consolation, protected to a 40% decline. August's paid 32%, June's 38.25%.

The new face is BNP's five-year hybrid on the S&P 500 Futures index (09664MZU6): a one-time 15.95% payment if the index is flat or up at the one-year mark, and if it isn't, 2.5x uncapped participation at maturity behind a 30% barrier. Compare that with the plain growth notes on the same index above, which pay 2.2255x at best. The hybrid gives you more participation in the fallback case and a well-paid early exit in the likely one.

The criteria

Same filters as June, July and August, applied to a new month. 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.

That's how the calendar became the 22 in the screen results section below. September's lesson: the calendar is settling into a pattern. The same dozen structures keep coming back from the same issuers, and the work is mostly noticing which ones got a little better and which got a little worse. That is exactly the kind of work a written screen is for. 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 September 2026 calendar and may change; confirm all details in each note's official offering documents before acting on anything here.