Structured Notes in 2026: What 95 SEC Pricing Supplements Say a $1,000 Note Is Worth on Day One

What a structured note is, in the regulators' words

A structured note is a debt security from a bank or its finance subsidiary with a payout tied to something else, usually a stock index, a single stock or a basket. FINRA, the brokers' regulator, describes the risk plainly: “Most structured notes don’t offer any principal protection, meaning that an investor could lose the entire amount invested as a result of the performance of the reference asset or assets to which the notes provide exposure.” (FINRA, Understanding Structured Notes With Principal Protection, April 12, 2023.)

On the price, the same FINRA page says: “The initial estimated value is generally less than the price of the note, meaning that you’re investing an amount per note that exceeds its estimated value.” That estimated value is printed on the cover of the pricing supplement. This page measures it, note by note. On the guarantee side, the SEC and FINRA said in a June 2, 2011 press release that “any guarantee is only as good as the financial strength of the company that makes that promise.”

How we read the 95 supplements

We used EDGAR full-text search for Form 424B2 filings from January 1 to September 30, 2026 by each issuer's finance entity, with the issuer's own estimated-value wording as the search phrase (“estimated value” and, for JPMorgan, Citigroup, Morgan Stanley and BofA, the exact phrase its final supplements use), and drew filings at random from the first 100 hits for each issuer and month. We downloaded each document and kept only final pricing supplements, those that print a single estimated value, not the “expected to be between” ranges of preliminary ones. A script then pulled, for each note, the estimated value, the price to the public and the selling commission or fee from the cover table, and it stopped if a number it pulled was not found in the saved text. Six final supplements (two GS Finance, four JPMorgan) whose cover table the script could not read were dropped. Notes sold in $10 units (BofA Finance and one JPMorgan note) are scaled to $1,000 of price. Selling fee is price minus proceeds to the issuer, as the table shows it.

Limits. This is a sample of 95, not every note; it is not weighted by dollars sold; eight issuers; and the note-type labels are our keyword rule on the cover text. Market-linked certificates of deposit, which banks issue as FDIC-insured deposits, do not appear in this filing type: our EDGAR search for the phrase found no 424B2 filing. Wells Fargo's note program in the sample is Wells Fargo Finance LLC, not the bank's deposit products.

The gap: price versus the issuer's estimated value

Source: 95 final Form 424B2 pricing supplements on SEC EDGAR, accession numbers in the CSV. Gap, medians and ranges are our arithmetic. Four UBS notes are too few to compare issuers.

Most gaps sit between 1% and 5%. The ten notes with gaps of 5% or more come from six of the eight issuers, so no single bank owns the top of the range. Two of them are GS Finance callable notes due 2031 and 2032: a GS Finance “$640,000 Leveraged Callable S&P 500 ® Futures Excess Return Index-Linked Notes due 2032” shows an estimated value of $913 on a $1,000 price and a selling fee of $41.25; a Citigroup autocallable contingent coupon note on Tesla stock due February 28, 2029 shows $945.40 and a $40.00 underwriting fee. At the other end, a UBS capped leveraged buffered S&P 500 note due September 22, 2027 shows $997.50 with no underwriting discount.

Who gets paid: commission, fee-based accounts and what is left

The selling commission is on the cover. In the sample it runs from $0 to $41.25 per $1,000 (0% to 4.12%), median 1.04%. It is not the whole gap. Barclays spells out the rest in its own words: the difference “results from several factors”, including commissions and selling concessions, “the estimated profit that we or any of our affiliates expect to earn in connection with structuring the Notes” and “the estimated cost that we may incur in hedging our obligations under the Notes.” On our numbers, the median gap exceeds the fee by 1.09 percentage points. In 4 notes the estimated value is above the proceeds the issuer receives after the fee, so the gap there is smaller than the commission.

Thirteen notes show a $0 fee, and 17 supplements mention fee-based accounts. The wording matters: Morgan Stanley's supplement of February 12, 2026 states “The price to public for investors purchasing the notes in fee-based advisory accounts will be $996 per note.” A Barclays supplement says “Because dealers who purchase the Notes for sale to certain fee-based advisory accounts may forgo some or all selling concessions”. If a note is held inside an advisory account, the commission can be removed from the note and charged as the account's advisory fee instead. The estimated-value gap remains: the 13 zero-fee notes still show gaps of 0.25% to 4.70%. Our guide to what a financial advisor costs covers the account-level fee.

Longer notes cost more

Source: maturity dates from the cover or key terms of 91 of the 95 supplements (two plain callable notes and two JPMorgan notes give no parsable date); term measured from the filing date; our arithmetic.

By note type

Source: same 95 supplements; type assigned by keywords on the cover text (autocall, contingent coupon, buffer, barrier or trigger, issuer call), so a note with two features sits in one row; our arithmetic.

The four issuer-callable notes are all GS Finance and all run to 2031 or 2032. The GS Finance note above says: “We may redeem your notes at 100% of their face amount plus an amount equal to the product of $1,000 times the applicable call premium amount”.

Twelve notes, term by term

The cover of a supplement is a short contract. These twelve show how different the notes behind the same label are. Every term below is quoted or restated from the saved supplement.

Source: the Form 424B2 pricing supplements by accession number. Estimated value and fee are normalized to $1,000 of price; for BofA Finance, from $10 units. Rounding follows the filing.

Two things stand out. A 19.60% or 18.65% coupon is the reward for a barrier at 50% of the starting level on a single volatile stock, and it is paid only on days the stock holds above that level. And the Barclays NVIDIA note says it plainly: investors should be “willing to receive shares of the Underlier at maturity that will likely be worth significantly less than their investment and could be worth nothing.”

Credit risk: you are lending to the bank

A structured note is not a fund, and the underlying index is not what you own. You hold an unsecured bond. All 95 supplements state that payments depend on the issuer's credit risk, and all 95 say they will not be listed on an exchange. JPMorgan's wording is typical: “Any payment on the notes is subject to the credit risk of JPMorgan Financial, as issuer of the notes, and the credit risk of JPMorgan Chase & Co., as guarantor of the notes.” Notes from the finance subsidiaries (JPMorgan Financial, Morgan Stanley Finance, GS Finance, BofA Finance, Wells Fargo Finance, Citigroup Global Markets Holdings) carry a parent guarantee, so the credit you are exposed to is the parent group. Barclays Bank PLC and UBS AG issue directly. Of the 93 market-linked notes, none returns 100% of principal in all outcomes (a keyword search for protection and minimum-payment wording): the closest are three Barclays Bank notes with a 90% floor. The exceptions are two Morgan Stanley Finance fixed-rate callable notes, which pay stated principal plus accrued interest at maturity and are still “subject to our credit risk”, as their cover says.

Fully principal-protected notes exist, and FINRA writes that “structured notes with principal protection typically have costs that can be relatively high and sometimes difficult to determine or understand”. We found none in this sample.

Tax, as the supplements state it

Source: tax sections of the 95 supplements; counts are our arithmetic. This is what the issuer tells you it intends or what its tax counsel believes, not a ruling.

Fifty-one supplements add that the treatment is uncertain or that no authority addresses it. Which treatment applies changes when you are taxed, so the tax section belongs on your checklist before you buy, and a tax professional should read it for your situation.

Selling before maturity

The estimated value is not a bid. JPMorgan's supplement says “the price, if any, at which JPMS will be willing to buy the notes from you in secondary market transactions, if at all, is likely to be lower than the original issue price”. Morgan Stanley's says it “may, but is not obligated to, make a market in the securities, and, if it once chooses to make a market, may cease doing so at any time”, and that during an amortization period it would buy “based on values higher than the estimated value”. FINRA adds that if you sell before maturity, “you might suffer a loss relative to your principal investment.”

Verdict: what the paperwork shows

The headline is arithmetic, not an opinion: on the day you buy, the issuer values what you hold at a median of about 97.7 cents on the dollar, and lower the longer the note runs. In exchange the note offers a defined payoff, a coupon, a buffer or a barrier, subject to the issuer's credit risk and to an exit the issuer controls. Whether that trade suits you depends on the specific terms; the filings give you the numbers to ask about.

What a buyer can do with this

• Ask for the pricing supplement, not the brochure. Search EDGAR for the CUSIP or the issuer's name and form 424B2. The cover shows the estimated value and the commission.
• Do the subtraction. Price minus estimated value is the day-one gap. Compare it with the figures above: the median is 2.34%, and above 5% is in the top ten of 95.
• Read three lines of the key terms. The barrier or buffer level, the cap or maximum payment, and the call feature. Our twelve-note table shows how much they differ behind similar names.
• Ask what happens in an advisory account. If the note sits in a fee-based account, ask what the account fee is on top, and whether the note's commission was removed.
• Check concentration in one issuer. A note, a bond and a deposit from the same bank are the same name at risk. Our pages on private credit fund redemptions and private equity access cover other places where a price and a value differ.

FAQ

Sources: 95 final Form 424B2 pricing supplements filed on SEC EDGAR between January 12 and September 29, 2026 by JPMorgan Chase Financial Company LLC, Barclays Bank PLC, Citigroup Global Markets Holdings Inc., Morgan Stanley Finance LLC, GS Finance Corp., BofA Finance LLC, Wells Fargo Finance LLC and UBS AG (accession numbers in the CSV); FINRA, "Understanding Structured Notes With Principal Protection" (April 12, 2023); SEC press release 2011-118, "SEC, FINRA Warn Retail Investors About Investing in Structured Notes with Principal Protection" (June 2, 2011); retrieved October 7, 2026. Gaps, medians, ranges, counts by issuer, type and term, and tax counts are our arithmetic from those filings. This is analysis of public documents, not investment, legal or tax advice.