13.00% p.a. Multi Barrier Reverse Convertible on Gold & Silver

Simulation Report — SSPA 1230 Reverse Convertible with Multi Barrier (Continuous), Callable (ISIN CH1593775849)

Headline Results

7.19%

Expected Annualized Return

16.15%

Probability of Negative Return

-38.09%

99% Confidence VaR (1 Year)

Metric	Value
Expected annualized return	7.19%
Expected total return (realized holding period)	4.29% (median 6.50%)
Probability of negative return	16.15%
99% confidence VaR (1 year)	-38.09%
Expected holding period	9.32 months

The product pays a fixed 13.00% p.a. coupon (3.25% per quarter) on the worst-of Gold / Silver performance, with a 69% continuous barrier and an issuer call at months 6 and 9. Under the simulation, roughly 49.5% of paths are called early (par + coupon), and 83.4% of paths achieve an annualized return above 10%. A negative return results in about 16.15% of paths, which occurs when the barrier is breached and the worst performer finishes below its strike.

Basic Product Information

Type	SSPA 1230 Reverse Convertible with Multi Barrier (continuous barrier observation), callable (ISIN CH1593775849)
Underlyings	Gold (XAU/USD) and Silver (XAG/USD), payoff linked to the worst performer
Currency / Denomination	USD / USD 1,000 (Issue Price 100%)
Coupon	13.00% p.a., paid quarterly (USD 32.50 = 3.25 index points per USD 1,000)
Barrier	69% of initial fixing level, observed continuously over 03/09/2026 – 02/09/2027
Strike	100% of initial fixing level
Term	~12 months (Issue 09/09/2026 → Redemption 09/09/2027), issuer callable at 09/03/2027 and 09/06/2027

How it works (layman explanation)

The investor receives a quarterly coupon of 3.25% (13% p.a.) regardless of how gold and silver perform.
The issuer may call (early redeem) the product at month 6 or 9; this is modelled to occur when both metals are trading at or above their initial levels. The investor then receives par (100) plus the coupon for that period — the product ends.
If not called and held to maturity:
- If neither gold nor silver ever fell below 69% of its initial level (no barrier event), the investor receives par (100).
- If the barrier was breached but the worst performer is still at or above its initial level at maturity, the investor also receives par (100).
- Only if the barrier was breached and the worst performer finishes below its initial level does the investor lose money, receiving 100 × worst performance plus the final coupon.

Upside is capped at the coupon stream — the product does not participate in any rise in gold or silver prices.

Key Statistics (annualized)

Metric	Structured Product	Underlying Benchmark (50/50 Gold–Silver)
Expected annualized return	7.19%	11.25%
Expected annualized volatility	13.71%	32.41%
Probability of loss	16.15%	39.95%
99% VaR (1 year)	-38.09%	-42.09%
Expected total return	4.29%	2.97%

Risk-free rate used for comparison: 3.72% p.a.

Note on holding periods: Because the product is often called early (40% of paths end at 6 months), annualized figures are magnified relative to total returns. For example, a 6-month call pays a total return of 6.50%, which annualizes to 13.00%. The expected total return over the realized holding period is 4.29% with an expected holding period of 9.32 months.

Charts

Simulation Outcomes (Product vs Underlying Benchmark)

Scatter plot of simulated terminal outcomes for the structured product compared with the 50/50 gold–silver underlying benchmark.

Annualized Return Distributions

Distribution of annualized returns for the structured product and the underlying benchmark.

Scenario Probabilities

Probability of the main payoff scenarios: early call, redemption at par, and loss scenarios.

Risk / Return Profile

Expected return versus risk for the structured product relative to the underlying benchmark.

Return Distribution Comparison (Box Plot)

Box-plot comparison of total return distributions for the product and the underlying benchmark.

Holding Period & Coupon Outcomes

Distribution of realized holding periods and number of coupons received.

Investment Commentary

Key strengths of this product:

Attractive fixed coupon of 13.00% p.a. (3.25% quarterly), paid in all scenarios.
Conditional downside protection: capital is only at risk if the barrier (69%) is breached and the worst performer finishes below its initial level at maturity. This loss condition is triggered in about 16.7% of simulated paths; after the coupon cushion, about 16.2% of all paths end with a negative total return.
Frequent early exit: in about 49.5% of paths the issuer calls the product at month 6 or 9, returning par plus coupons (a total return of 6.50% or 9.75%).
Meaningfully lower volatility (13.71%) and lower probability of loss (16.15%) than the underlying 50/50 gold–silver basket (32.41% / 39.95%).

Considerations:

Upside is capped: total return is limited to the coupon stream, with no participation in gold/silver appreciation.
In loss scenarios (barrier breached and worst-of below strike at maturity), losses are leveraged to the worst performer — the simulated worst case is about -58.5%, which (since losses occur only at the 12-month maturity) represents both the total and annualized loss.
The continuous barrier is approximated at monthly frequency in this analysis; a daily-monitored barrier could trigger slightly more often.
As with all structured products, investors are exposed to the credit risk of the issuer/guarantor.

This report is for information only and does not constitute investment advice.