12.50% p.a. Multi Barrier Reverse Convertible on Kardex, Komax & Stadler Rail (CHF)

ISIN CH1607589244 · SIX Symbol AIAFTQ · Issuer: Leonteq Securities AG · SSPA 1230 (Yield Enhancement)

Headline Simulation Results

6.55%

Expected annualized return (simulated)

13.47%

Probability of a negative return

−43.89%

99% confidence VaR (1-year)

+4.71%

Expected total return over holding period

10.2

Average holding period (months)

12.50%

Fixed coupon p.a., paid quarterly

Using 10,000 Monte-Carlo simulations of the three underlyings over the product's one-year life:

Metric	Structured Product	Underlying Basket (3 stocks, equal-weight, total return)
Expected annualized return	6.55%	12.37%
Expected annualized volatility	15.43%	29.61%
Probability of a negative return	13.47%	40.97%
99% confidence VaR (1-year)	−43.89%	−38.40%

Expected total return over the realized holding period: +4.71% (average holding period ≈ 10.2 months).
Probability the issuer calls the note early: 25.12% at month 6 and 8.70% at month 9 (≈ 33.8% combined); otherwise it runs the full 12 months.
Probability of a barrier event (any underlying trading at/≤ 59% of its start at any time): 13.72%.
Probability of outperforming the CHF risk-free rate (≈ −0.05%): 86.53%.
Probability of earning ≥ 10% p.a.: 86.42%.

Because part of the population is redeemed after only 6 or 9 months, the annualized figures for those paths are amplified. Read the total return (+4.71%) and the ~10.2-month average holding period together with the annualized number.

Basic Product Information

Product	Multi Barrier Reverse Convertible (worst-of, 3 shares)
Underlyings	Kardex AG (KARN), Komax Holding AG (KOMN), Stadler Rail AG (SRAIL)
Currency / Denomination	CHF / CHF 1,000 (index 100)
Coupon	12.50% p.a., paid quarterly (3.125 index points = CHF 31.25 per quarter)
Barrier	59.00% of initial level, continuous observation, per underlying
Strike	100.00% (at-the-money)
Upside	Capped (fixed coupon only)
Early redemption	Issuer-callable at month 6 and month 9 (par + coupon)
Term	≈ 12 months (Issue 14/10/2026 → Redemption 14/10/2027)

How It Works (In Plain Terms)

You pay par (100) and receive a fixed 12.50% p.a. coupon paid quarterly, regardless of how the shares perform.
In exchange you accept downside exposure to the worst-performing of Kardex, Komax and Stadler Rail — but only after a protective trigger is broken.
A "Barrier Event" occurs if any of the three shares trades at or below 59% of its starting level at any time during the year (continuous monitoring).
If no barrier is ever hit: you get 100 back at maturity plus all coupons — capital protected (subject to issuer credit risk).
If the barrier is hit:
- the worst share finishes below its start → you receive that worst share (physical delivery), so you bear its full loss (e.g. worst ends at 70 → you receive ≈ 70, plus coupons);
- the worst share finishes at or above its start → you still get 100 back.
The issuer may redeem early on the two observation dates. If it does, you get par (100) + the coupon for that date and the product ends. The issuer is most likely to call when the shares are up — precisely when you would have liked to stay invested.

Charts

Simulation outcomes vs the underlying basket

Each point is one simulation: horizontal axis = basket total return, vertical axis = product total return, colour = years held. Points above the dashed 1:1 line represent the product beating the basket.

Annualized return distributions

Underlying basket (annualized, %):

Structured product annualized return distribution

Structured product (annualized, %), stacked by holding period:

Structured product annualized return histogram

Scenario probabilities

Risk / return comparison

Return dispersion (box plot)

Holding period

Distribution of realized holding periods:

Coupons paid

Number of coupons received depending on the path taken:

Investment Commentary

Strengths

A high 12.50% p.a. coupon — far above CHF deposit and money-market rates (≈ 0%).
A 41% barrier cushion (59% barrier) that is only breached on a genuinely large fall.
Conditional capital protection: even a volatile year leaves ~86% of paths with a positive return; a loss requires both a barrier breach and the worst share finishing below its starting level.
The three underlyings are positively correlated but the barrier must be breached by only one name, giving the barrier structure a meaningful "worst-of cushion".

Risks / Drawbacks

Worst-of downside: the payoff keys off the single worst of three high-volatility (≈ 30% annualized vol) industrial names. In a broad sell-off all three can fall together, and you bear the worst one.
Capped upside: you never participate in share rallies; the maximum outcome is the fixed coupon.
Issuer call: the product is likely to be redeemed exactly when the shares are up (≈ 34% of paths end early), so the high coupon is often earned over only 6–9 months.
Continuous barrier: a single intraday dip to 59% — even if the share recovers — locks in downside participation; the "protected" outcome is decided by whether the worst share recovers above its start.
Credit risk: you are exposed to the issuer (Leonteq Securities AG, Guernsey Branch).

Bottom Line

The note trades upside for a high fixed coupon and offers a large downside buffer, but it does not eliminate downside — in the ~14% of scenarios where the barrier breaks and the worst share does not recover, losses can be material (99% VaR ≈ −44% on an annualized basis). The simulated expected annualized return of ≈ 6.5% (≈ 4.7% on a total-return basis over an average 10-month holding period) is below the ≈ 12.4% expected return of holding the equal-weight basket outright, which is the compensation you give up for the coupon and the protective barrier.