tokenengine.ai|Structured Product Evaluator

11.30% p.a. Multi Barrier Reverse Convertible — Performance & Risk Evaluation

Product: Callable Multi Barrier Reverse Convertible (Worst-of) on dormakaba, Georg Fischer and OC Oerlikon — ISIN CH1607614075, CHF, maturity 24/04/2028.

Headline Simulation Results

6.09%

Expected annualized return (median 11.00%)

15.87%

Probability of a negative total return

−32.87%

99% confidence VaR (1-year, annualized)

5.07%

Expected total return over realized holding period

13.18 mo

Expected holding period (1.10 years)

48.45%

Probability called early

Metric	Value
Expected annualized return	6.09% (median outcome 11.00%)
Expected total return over realized holding period	5.07%
Expected holding period	13.18 months (1.10 years)
Probability of a negative total return	15.87%
99% confidence VaR (1-year, annualized)	−32.87%
Worst simulated outcome (total return)	−62.84%
Probability called early	48.45%

The outcome distribution is bimodal: in roughly 84% of scenarios the investor earns the full coupon (≈11% annualized / par back), while ~16% of scenarios suffer a material capital loss when the worst-performing stock breaches its 55% barrier and does not recover. This left tail pulls the mean annualized return (6.09%) well below the median (11.00%).

What This Product Is & How It Works

This is a yield-enhancement, capital-protection-conditional note linked to the worst of three Swiss industrial stocks (dormakaba, Georg Fischer, OC Oerlikon).

You are paid a high fixed coupon of 11.30% p.a. (~2.825% per quarter, 6 quarterly payments) regardless of how the stocks perform, as long as you hold the note.
Downside protection is conditional. If no stock ever trades at or below 55% of its starting level (monitored continuously over the life), you get your full par (100%) back at maturity. If any stock touches its 55% barrier, protection is lost and your principal is exposed to the worst-performing stock at maturity.
Upside is capped. You never receive more than par plus the coupons — you do not participate in any rise in the shares.
The note is callable by the issuer, quarterly from month 6. If called, you receive par + that quarter's coupon and the note ends. In practice the issuer tends to call when the stocks are flat-to-up, which caps your upside in strong markets (48% of simulations were called early).

In short: you are selling downside protection on the worst of three stocks to collect an attractive coupon, while giving up equity upside.

Key Statistics

Structured Product vs. Equal-Weight Benchmark

Simulated, over matched holding periods.

Metric	Structured Product	Benchmark (Equal-Weight Basket, total return)
Expected annualized return	6.09%	15.42%
Expected annualized volatility	12.08%	24.79%
Probability of loss (negative return)	15.87%	29.60%
99% VaR (1-year, annualized)	−32.87%	−31.11%

Underlyings (20-Year History)

Underlying	Last price (CHF)	20-yr annualized price return	20-yr annualized volatility	Dividend yield
dormakaba	66.20	5.90%	26.65%	1.44%
Georg Fischer	58.30	5.05%	32.50%	≈2.20% (est.)
OC Oerlikon	5.84	−4.50%	52.35%	3.50%
Equal-weight basket	—	—	—	≈2.38%

Risk-free rate (CHF): ≈ 0.00% (1-year average short-term CHF rate, −0.05%).
Barrier event (worst-of) frequency: 17.35% of simulations. Loss-producing scenarios (barrier hit and worst-of finishing at/below strike): 16.12%.
The product roughly halves volatility (12.08% vs 24.79%) and lowers loss probability (15.87% vs 29.60%) versus holding the equal-weight basket — at the cost of giving up the basket's upside.

Charts

Simulation outcomes — product vs. equal-weight benchmark

Colour = holding period.

Structured product annualized return distribution

Benchmark annualized total return distribution

Risk / return profile

Expected return vs. volatility.

Annualized return distribution — product vs. benchmark

Box plot of annualized returns, product vs. benchmark

Scenario probabilities

Holding-period distribution

Callable — the note is not always held to maturity.

Number of coupons paid

A Note on Annualized Figures

Interpreting the 6.09% annualized figure

Because the note is callable, ~29% of simulations end at month 6 and ~38% end within 12 months. For these short holding periods the annualized figure is a linear scaling of the holding-period return, which can appear elevated in strong (called-early) markets. The cleaner "money made" measure is the expected total return of 5.07% over an average 1.10-year holding period. Interpret the annualized 6.09% together with this total return and holding period.

Investment Commentary

Strengths

Attractive coupon (11.30% p.a., paid quarterly) that is well above the near-zero CHF risk-free rate and the basket's dividend yield.
Meaningful conditional buffer: the 55% barrier sits far below spot; full par is returned unless a stock falls 45% and remains impaired at maturity.
Lower risk than direct equity: roughly half the volatility and a markedly lower loss probability than the equal-weight basket, with a comparable 99% VaR.
Diversification across three distinct industrial/technology franchises.

Considerations / Risks

Capped upside: no participation in equity rallies; returns are limited to coupon + par.
Worst-of exposure concentrates risk in the single weakest name. OC Oerlikon is by far the most volatile (≈52% historical vol) and had a negative 20-year return, making it a likely driver of barrier breaches.
Issuer call risk: called early in ~48% of paths, mostly in rising markets — reinvestment risk and truncated upside.
Fat left tail: worst simulated total return −62.84% and 99% VaR −32.87%; a sharp single-stock collapse overwhelms the coupon.
Credit risk of the issuer (Basler Kantonalbank).

Simulation-based analysis; figures are estimates from a Monte-Carlo study, not guarantees. Not investment advice.