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Structured Product Evaluator

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Structured Product Analysis Report

10.80% p.a. Multi Barrier Reverse Convertible on Lonza, Sandoz, Straumann

ISIN: CH1550429463 SSPA Type: 1230 (Barrier Reverse Convertible) Currency: CHF

3.99%
Expected Annualized Return

18.93%
Probability of Negative Return

-33.19%
99% Confidence VaR (1 Year)

12.15%
Expected Annualized Volatility

Headline Results

3.99%

Expected Annualized Return

4.22%

Expected Total Return (avg 14.1 months)

18.93%

Probability of Negative Return

-33.19%

99% Confidence VaR (1 Year)

12.15%

Expected Annualized Volatility

14.1 mo

Expected Holding Period

Product Overview

This is a Multi Barrier Reverse Convertible on three Swiss equities: Lonza Group AG, Sandoz Group AG, and Straumann Holding AG. It offers a fixed quarterly coupon of 2.70% (10.80% p.a.) regardless of underlying performance, combined with conditional downside protection.

How It Works

Coupon Payments: The investor receives a fixed coupon of CHF 27.00 per CHF 1,000 Denomination every quarter (6 payments in total if held to maturity).
Issuer Callable: The Issuer has the right to call (early redeem) the product on quarterly observation dates (months 6, 9, 12, 15) if it is advantageous. When called, the investor receives the full Denomination plus the coupon for that period.
Barrier Protection: A Barrier Event occurs if any of the three underlyings trades at or below 59% of its initial level at any time during the product's life.
Maturity Redemption (if not called early):
- No Barrier Event: Full Denomination (100%) returned.
- Barrier Event occurred + Worst performer ≥ Strike: Full Denomination returned.
- Barrier Event occurred + Worst performer < Strike: Physical delivery of the worst-performing underlying (value = its final price).

The product runs for 18 months (May 2026 – November 2027).

Key Statistics Comparison

Metric	Structured Product	Benchmark (SSMI + Dividends)
Expected Annualized Return	3.99%	7.15%
Expected Annualized Volatility	12.15%	11.51%
Probability of Loss	18.93%	30.28%
99% Confidence VaR (1 Year)	-33.19%	-20.41%

Distribution of Outcomes

Holding Period

Called early: 40.8%

Held to maturity: 59.2%

Expected holding period: 14.1 months

Coupons Received

Average coupons received: 4.7 out of 6 possible

Average coupon total: 12.69 index points

Scenario Probabilities

Negative total return: 18.9%

Positive total return: 81.1%

Outperforming risk-free rate (0.40%): 81.1%

Charts

Simulation Outcome Scatter

Each point represents one simulation. The 1:1 line shows where product returns equal underlying returns. Points above the line indicate the product outperformed the worst-of underlying.

Return Distributions

Structured Product annualized return distribution, stacked by holding period.

Underlying Return Distribution

Underlying (Worst-of) annualized return distribution, stacked by holding period.

Risk/Return Profile

Risk-return comparison between the structured product, the benchmark (SSMI + dividends), and the risk-free rate.

Box Plot Comparison

Annualized return distribution comparison.

Scenario Probabilities

Probabilities of key scenarios for the structured product.

Holding Period Distribution

Distribution of how long the product was held (pie chart).

Coupon Count Distribution

Distribution of number of coupons received (pie chart).

Investment Commentary

Key Strengths

High coupon yield 10.80% p.a. (paid quarterly) provides attractive income regardless of underlying performance.

Downside buffer Barrier set at 59% provides meaningful protection against moderate declines.

Positive expected return The product shows a positive expected annualized return of 3.99%, with a relatively low probability of loss (18.9%).

Reduced volatility compared to direct equity investment The product's annualized volatility (12.15%) is lower than the worst-of underlying's volatility (18.95%).

Key Risks

Worst-of structure The payoff depends on the worst-performing underlying, making it significantly riskier than a single-name or best-of structure.

Barrier risk If any underlying breaches the 59% barrier, the downside protection is lost and the investor may receive physically delivered shares worth less than the initial investment.

Issuer call feature The issuer can call the product early, limiting the investor's ability to collect coupons over the full term.

Credit risk The product is unsecured and depends on the creditworthiness of the Issuer (Leonteq Securities AG, guaranteed by PostFinance Ltd).