Structured Product Evaluation

17.20% p.a. Callable Multi Barrier Reverse Convertible on Airbus, Bayer & thyssenkrupp (ISIN CH1607597544)

This report presents a Monte-Carlo based risk/return evaluation of the above yield-enhancement product, comparing it against an equal-weight basket of its three underlying shares.

Headline Simulation Results

11.32%

Expected annualized return

12.93%

Probability of a negative return

-41.47%

99% confidence VaR (1-year)

Metric	Result
Expected annualized return	11.32%
Expected total return over realized holding period	8.71% (median 17.20%)
Expected holding period	10.17 months (approx. 0.85 yr)
Probability of a negative return	12.93%
99% confidence VaR (1-year)	-41.47%
Probability of outperforming the risk-free rate (2.12%)	87.04%
Probability of achieving the maximum outcome (par + all 4 coupons = 17.2%)	52.05%

Because a meaningful share of paths are called early (approx. 26% at month 6, approx. 9% at month 9), short holding periods use linear annualization, which can amplify annualized figures. The total return (8.71% on average, median 17.20%) and the ~10-month expected holding period should be read together with the annualized number.

Product at a Glance

Issuer: Leonteq Securities AG (Guernsey Branch), rated Fitch BBB-. Currency: EUR (no FX exposure – all underlyings quote in EUR).
Denomination / Issue price: EUR 1,000 / 100%. Tenor: ~1 year (Issue 04/11/2026 → Redemption 04/11/2027).
Coupon: 17.20% p.a., paid as four quarterly coupons of EUR 43.00 (4.30% of notional each) on 05/02, 06/05, 05/08, 04/11/2027 – regardless of market performance.
Underlyings (worst-of): Airbus SE (AIR.PA), Bayer AG (BAYN.DE), thyssenkrupp AG (TKA.DE).
Barrier: 55% of starting level, continuously observed. Strike: 100%.
Issuer callable: on 29/04/2027 and 29/07/2027 (returns par + coupon).
Upside: capped at par; no equity participation.

How it works (in plain terms)

The product pays a high 17.20% annual coupon no matter what the three shares do. In exchange, you take on worst-of downside risk:

No share ever trades at or below 55% of its start → you get 100% of your money back at maturity (plus all coupons).
A share touches 55% at some point, but the worst-performing share still finishes at or above 100% → you still get 100% back (plus coupons).
A share touches 55% AND the worst share finishes below 100% → you receive that worst-performing share's value, i.e. you lose part of your capital in line with the worst share's decline.

In addition, the issuer may call the product early (at ~6 or ~9 months) and return your par plus the coupon; a call is more likely when the shares are performing well, which caps your upside.

Key Statistics (Annualized)

	Expected Return	Volatility	Prob. of Loss	99% VaR (1y)
Structured Product	11.32%	15.57%	12.93%	-41.47%
Underlying Basket (Total Return, incl. 1.00% dividend)	14.30%	30.43%	36.00%	-39.59%
Risk-free rate (1y EUR)	2.12%	-	-	-

The product offers a better risk-adjusted profile than the basket: a return/volatility ratio (Sharpe, vs 2.12% risk-free) of 0.59 versus 0.40 for the basket, with roughly half the volatility (15.6% vs 30.4%) and about a third of the loss frequency (12.9% vs 36.0%). In exchange, the tail (99% VaR) is as severe as the basket (-41.5% vs -39.6%), because in a breach losses track the single worst share.

Charts

Simulated outcomes – product vs underlying (colored by holding period)

Structured product – distribution of annualized returns (stacked by holding period)

Histogram of structured product annualized returns stacked by holding period

Underlying basket – distribution of annualized total returns

Histogram of underlying basket annualized total returns

Scenario probabilities

Risk / return positioning (return vs volatility)

Risk and return positioning scatter chart

Annualized return distribution – box plot

Box plot comparing annualized return distributions

Holding-period distribution (the product is frequently called early)

Pie chart of holding period distribution

Number of coupons paid

Investment Commentary

Strengths

High headline income: 17.20% p.a. is far above the ~2.12% EUR risk-free rate. About 87% of simulations return full principal (par) plus the applicable coupon – whether held to maturity or called early – and roughly 52% reach the maximum outcome of par plus all four coupons.
Deep, protective barrier: at 55%, the worst-of must fall more than 45% and still be below par at maturity before any capital is lost – a high hurdle that keeps the loss probability to ~13% versus ~36% for holding the basket outright.
Much lower volatility (approx. 15.6% vs approx. 30.4%) and a superior return-per-unit-of-risk than the underlying basket.
Frequent early redemption (~35% of paths) returns capital plus coupon within 6–9 months, so realized cash can come back quickly.

Risks / trade-offs

Worst-of tail concentration: downside is driven by the single weakest of Airbus, Bayer and thyssenkrupp; consequently the 1% worst-case (-41.5%) is comparable to – and slightly worse than – the diversified basket (-39.6%).
Barrier-recovery scenario is rare: a dip through 55% with a full recovery back above par is very uncommon, so most barrier breaches translate into a capital loss rather than a free pass.
Upside is capped at par: investors forgo any rally in the three shares beyond the coupons.
Callable / reinvestment risk: the issuer is likely to call in benign markets, ending the deal early and forcing reinvestment at potentially lower rates.
Issuer credit risk (Leonteq, BBB-) and idiosyncratic event risk in Bayer / thyssenkrupp (elevated single-name volatility).

All figures are simulation-based estimates (10,000 Monte-Carlo paths) and are not a forecast or investment recommendation.