I think all the larger investment banks offer them. Ray J, Merrill, GS, etc. Smaller banks can probably also offer them via other investment banks. They can be customized by tenor, value, and underlying risk. I like pegging mine to S&P 40% drop because (no risk of loss if S&P drops <40%) I believe that has never happened in a 13 month period. The rates fluctuate with volatility. In times of low volatility, you'll see upper single-digit rates. In higher volatility, you'll see low double-digit rates.
Edit: Here's some basics on Structured Notes from my FA last year. He used S&P minus 10% in his example, but you can use whatever number you're comfortable with:
* There are various types of structured notes, but typically they can be thought of as a debt instrument issued by a financial institution whose return is tied to the performance of another asset (equity/index/commodity/currency).
* For our separately managed account in particular, the strategy invests in several equity-linked structured notes across various maturities and issuers in what are often referred to as "contingent coupon notes." For example, they might invest in a structured note issued by JP Morgan with a maturity of 13 months, which offers an investor ~10% coupon (sometimes refer to as the "cap" or "max return"), as long as the S&P 500 is not 10% below current levels (which is referred to as a "buffer") when the note matures. In this scenario, if the S&P 500 has returned better than -10%, then you receive your 10% coupon (even if the market was up more). If the market ended up being down more than -10% when the note matures, your would have participated at an enhanced rate after the -10%. For example, if the enhanced rate was 1.1x participation and the S&P 500 returned -15% when the note matures, it would have returned -5.5% (you didn't begin participating in the downside until -10%, however you participated at a faster rate thereafter).
* Market Risk: This particular notes may underperform long equity in an appreciating market since upside potential is capped. Additionally, the market could be down more than your buffer on the particular day your note matures, and rally the next day. This is why it is why it can be beneficial to have notes with diversified maturities.
* Issuer/Credit Risk: Additionally, these notes include zero coupon bonds and, like other bonds, have risk of issuer default. This is why it is also important to diversify risk amongst different issuers.
* Other things to contemplate when considering structured notes relative to bonds or traditional long equity exposure:
* When the structured note matures it is a forced taxable event, albeit at long-term capital gains/losses rates
* Notes do not produce income until maturity because it is a zero coupon bond, versus long equities paying dividends and bonds paying interest, generally on a more frequent basis
* These note portfolios generally fall in-between the risk spectrum of equities and bonds and target ~2/3 the volatility of equities
* While these investments can be attractive and make sense in a broader portfolio, they should not be thought of as a replacement for cash which has daily liquidity or for investment grade fixed income, which in our view is the only asset class that offers a deflation hedge.
* These are often designed to be held to maturity, however there are secondary market opportunities, although these instruments have mark to market and liquidity risk.
