1. Headline Simulation Results

The distribution is strongly bimodal: 53.3% of all paths are redeemed early by the issuer with a clean, certain gain of +6.00% / +9.00% / +12.00% / +15.00%, while the 46.7% of paths that survive to maturity lose -21.81% on average (the 18% of accumulated coupons do not compensate for an average ~40% hit on the redemption amount). The median investor earns the coupon (11.8% annualized); the mean is pulled below zero by the knock-in tail.

2. Basic Product Information — How It Works

A worst-of barrier reverse convertible: the investor lends CHF 1,000, receives a fixed 12.00% p.a. coupon (CHF 30 per quarter), and in exchange sells the issuer a put on the worse of two stocks — NVIDIA and SpaceX.

In plain terms:

1. The coupon is paid unconditionally — CHF 30 per CHF 1,000 every quarter (6 coupons, 18% in total), regardless of what the stocks do, unless the product has already been redeemed.
2. If neither stock ever trades at or below 49% of its starting level (observed continuously over the whole 1.5 years), the investor gets 100% of the denomination back at maturity — even if one stock ends 40% lower. Total return: +18%.
3. If either stock touches 49% at any moment (a knock-in / "barrier event"), the protection disappears. At maturity the investor then receives the worse-performing stock: par back only if that stock has recovered to at least its starting level, otherwise a 1:1 loss on it (physical delivery of shares, fractions cash-settled).
4. The issuer may call the product on four quarterly dates (months 6, 9, 12, 15) and repay par plus the coupon of that date. The investor has no such right.
5. Upside is capped: the maximum redemption is par — the investor participates in none of the stocks' upside, only in their downside.
6. Quanto CHF: the USD exposure of both stocks is currency-hedged into CHF at a fixed rate, so there is no USD/CHF risk.

3. Key Statistics

Volatility for the underlying rows is the dispersion of per-simulation annualized returns; it is amplified for individual names because a large share of paths is annualised over a short (6-month) holding period and is therefore not the 83% input volatility of the SpaceX leg. The arithmetic mean of the basket is inflated by extreme right-tail outcomes (SpaceX at 83% volatility has a 95th-percentile terminal value of 5.5x its starting level); the median is the more instructive comparison. The product deliberately gives up that right tail — its upside is capped at +18%.

Return decomposition by holding period

4. Charts

4.1 Simulation outcomes — product vs underlying basket

Product returns are capped at +18% and cannot fall below roughly -80%; the equal-weight basket has a far wider dispersion. The horizontal band structure reflects the discrete coupon steps (2, 3, 4, 5, 6 coupons) and the vertical line at 0% underlying return marks the strike.

4.2 Distribution of the product's annualized returns

Only 0.2% of paths fall between +15% and +18%: the return is almost always either an exact coupon-driven gain (called at 6/9/12/15 months) or a loss driven by the worst-performing stock.

4.3 Distribution of the underlying basket's annualized returns

Long right tail (5% of paths above +200%); the left tail is comparable in depth to the product's, which is why the note does not eliminate equity risk.

4.4 Scenario probabilities

4.5 Risk / return profile

The product converts an ~82%-volatility exposure into a ~21%-volatility exposure, at the cost of giving up the upside and of a mean return slightly below the CHF money-market rate.

4.6 Annualized return distributions

4.7 Holding period and coupon count probabilities

5. Sensitivities

The result is sensitive to the volatility of the SpaceX leg, which has only four months of trading history: at a normalised 60% volatility the expected return turns slightly positive (+2.10%) and the probability of a negative return falls to 26.03%.

6. Investment Commentary

Attractive features

• The headline coupon is high relative to CHF cash. 12.00% p.a. versus a CHF money-market rate of about 0.0% — the note yields roughly 12 percentage points more per year than 18-month CHF cash, paid in six quarterly instalments.
• The coupon is unconditional. Coupons are paid even if the barrier is breached; only the redemption amount carries risk. In 65.75% of simulations the investor earns at least 10% annualized and in 68.19% of simulations the return beats the risk-free rate.
• Wide 49% barrier with a 1.5-year cap on tenor. A stock must fall more than 51% and be traded at that level before it can damage the redemption — and the worst case is limited to holding the worse of two large-cap technology names, not to a total loss of capital in normal market conditions.
• Quanto structure removes currency risk on top of the equity exposure, and the maximum tenor is short (18 months), with four chances to be repaid early at par plus coupon.
• Volatility reduction is substantial. Annualized return volatility of 20.96% against 81.65% for simply holding the two stocks equally weighted; the median annualized return (11.83%) is delivered with one quarter of the dispersion.

Risks and drawbacks

• The mean is below the risk-free rate. The 12% coupon is the price of the worst-of put the investor sells, not extra expected return: the simulated expected total return is -5.92% and the expected annualized return -1.38%. The bulk of the payoff sits in a minority of adverse paths.
• Asymmetric, "called when winning" structure. Every early redemption locks in a modest, certain gain (+6% to +15%), while paths that are not called — i.e. exactly those where the stocks are struggling — are the ones that carry the -21.81% average loss at maturity. The investor keeps the risk precisely when the position is losing.
• Worst-of, low-correlation exposure doubles the risk. Knock-in needs only one of the two names to breach 49% (realised correlation 0.20, and 0.26 across the simulated paths). The probability of a barrier event is 41.08%, and the 1% worst case is -57.09% annualized — a deeper tail than the underlying basket itself (-51.54%), because the investor is short a put on the worse performer.
• SpaceX is a very young, extremely volatile listing (83% annualized volatility since its June 2026 IPO, with single months of -37% and +33% already observed, and lock-up expiry still ahead). Model risk on this leg is material — a normalised 60% volatility already shifts the expected return by roughly 3.5 percentage points.
• No upside participation: the return is capped at +18.00% in the best case, whereas 25% of basket paths return more than roughly +75% annualized.
• Dividends are forgone (NVIDIA 0.47%, SpaceX none) and the investor is exposed to the credit risk of the issuer (Leonteq, BBB-) for the entire term.

Simulated with 10,000 monthly Monte Carlo paths over the 18-month term, applying the contractual payoff, the continuous 49% knock-in and the issuer's discretionary call. Values are in index points, 100 = par.