11.70% p.a. Multi Barrier Reverse Convertible — Alcon / Roche / Straumann / Swiss Re (Callable, CHF)

Headline Simulation Results

7.44%

Expected Annualized Return

13.87%

Probability of Negative Annualized Return

−26.46%

99% Confidence VaR (1 year, annualized)

17.11 months

Expected Holding Period (~1.43 years)

9.98%

Expected Total Return over Realized Holding Period

The product pays a fixed 11.70% p.a. coupon (quarterly, CHF 29.25 per CHF 1,000) regardless of underlying performance, while redemption at maturity depends on a 55% barrier monitored continuously on all four underlyings. The Issuer additionally holds the right to call the product early (quarterly from March 2027).

Basic Product Information

Type	Yield-Enhancement Reverse Convertible (SSPA 1230), issuer-callable, continuous multi-barrier observation
Underlyings (CHF)	Alcon Inc, Roche Holding, Straumann Holding, Swiss Re — payoff depends on the worst performer at maturity, while barrier survival requires all four to stay above 55% of their initial level
Coupon	11.70% p.a. → CHF 29.25 per quarter per CHF 1,000 (7 coupon dates: Dec-2026 → Jun-2028); paid in any case unless the product is called early
Barrier	55% of initial fixing level, continuous observation 11/09/2026 – 09/06/2028
Maturity	Final fixing 09/06/2028; redemption 16/06/2028
Currency / Denomination	CHF / CHF 1,000 (Issue Price 100%)

How it works (layman explanation)

You lend CHF 1,000 and receive a high quarterly coupon of CHF 29.25 (2.925% per quarter, ~11.7% per year) for up to ~21 months. In exchange you accept two types of risk:

Issuer call risk: the Issuer may repay your CHF 1,000 early (on a quarterly observation date, starting Mar-2027, together with the coupon then due) and stop paying coupons thereafter. This usually happens when markets are healthy.
Barrier / delivery risk: if any one of the four stocks ever closes at or below 55% of its starting level during the observation period, your capital is no longer guaranteed at maturity. If, in addition, the worst-performing stock finishes below its start level (100%), you receive shares (or equivalent cash) of that worst stock — worth less than your CHF 1,000. If the worst stock has recovered to at/above its start level, you still get your full CHF 1,000 back.

So the coupon is attractive, but in a tail scenario where one of the four stocks collapses and stays depressed, you can lose part of your capital. Upside is capped: you never participate in stock gains beyond the fixed coupon.

Key Statistics (Annualized)

Metric	Structured Product	Underlying basket (total return)¹
Expected annualized return	7.44%	12.02%
Expected annualized volatility	10.08%	16.60%
Probability of loss	13.87%	24.47%
99% confidence VaR (1 year)	−26.46%	−17.00%
Median annualized return	11.23%	9.57%

¹ Equal-weight basket of the four underlyings (Alcon, Roche, Straumann, Swiss Re), including dividends (~2.16% p.a.).

Additional realized-horizon figures: expected total return over the realized holding period ≈ 9.98% (product) vs 11.51% (underlying basket incl. dividends); expected holding period ≈ 17.11 months; average number of coupons received ≈ 5.70; probability of being held to maturity (Jun-2028) ≈ 65.66%; probability of early issuer call ≈ 34.34%.

Note on annualization: because the product can end early (most often after 6–21 months), annualized figures for short-holding scenarios can look extreme. Total return and holding period should be read together with the annualized numbers.

Charts

Simulation outcomes scatter

Each dot is one simulated path; the 1:1 line marks what the investor would have earned if the product simply tracked the equal-weight underlying basket.

Each dot is one simulated path. The 1:1 line marks the return the investor would have earned if the product simply tracked the equal-weight underlying basket. The product clusters at its fixed-coupon levels while the left tail reflects barrier/delivery losses.

Product return distribution

Underlying basket return distribution

Annualized return distributions (1% bins), coloured by the number of months the position was held.

Scenario probabilities

Risk-return scatter

Box plot comparison

Holding period distribution

Coupon count distribution

Investment Commentary

Positives worth noting

High, contractual coupon of 11.70% p.a. paid regardless of underlying performance — far above the CHF risk-free rate (~−0.05%).
Coupons are paid even after a barrier event; the coupon stream meaningfully cushions barrier-triggered losses (e.g. ~20.5 index-points over the full 21-month term).
Lower probability of loss (13.87%) and lower volatility (10.08%) than direct investment in the equal-weight basket of the same stocks (24.47% / 16.60%).
Median annualized return of ~11.2% — in most scenarios the investor collects close to the full coupon rate.
Conditional downside protection: the 55% barrier means a loss of capital requires one of the four names to fall >45% at some point and the worst name to finish below its start level at maturity.

Considerations

Upside is capped: no participation in stock appreciation; expected annualized return (7.44%) is below the expected return of holding the stocks directly (12.02%) because the embedded barrier puts and issuer-call feature are monetised through the coupon.
The left tail is severe: 99% VaR of −26.46% (annualized) is worse than the underlying basket's −17.00%, driven by loss scenarios where the worst stock finishes well below its start level (simulated redemption values as low as ~19 index-points).
Issuer-call feature shortens the average holding period to ~17 months and stops the coupon stream early in healthy markets (~34% of scenarios) — modelled here as an economically motivated issuer call (no market trigger is defined in the term sheet).
The product carries issuer credit risk (Leonteq, BBB-).

This document is a quantitative evaluation only and does not constitute investment advice or a suitability assessment.