Structured Product Simulation Report

13.00% p.a. Multi Barrier Reverse Convertible (Callable) — Simulation Analysis

Kuehne + Nagel · Sulzer · VAT Group (Worst-Of)

ISIN CH1607597080 CHF SIX Swiss Exchange

Headline Simulation Results

5.29%

Expected annualized return

24.68%

Probability of a negative return (realized total return < 0)

-32.94%

99% confidence VaR (1-year, annualized)

13.7 mo

Expected holding period (median 18 months)

3.77%

Expected total return over realized holding period (median 6.50%)

44.43%

Probability of early call (any observation date)

The product is a capital-at-risk yield note. Roughly one in four simulated outcomes ends with a loss, driven by the worst-of barrier. Annualized figures below should always be read together with the realized total return and holding period (see notes).

Product Overview & How It Works (Layman)

This is a 13.00% p.a. fixed-coupon note linked to the worst performer of three Swiss stocks (Kuehne + Nagel, Sulzer, VAT Group). It pays a generous coupon every quarter regardless of how the stocks move, in exchange for the investor taking downside risk on the weakest of the three names.

Coupon: 13.00% p.a. (six quarterly coupons of CHF 32.50 per CHF 1,000, i.e. 3.25 points each; 19.5 points total if held to maturity).
Downside protection (barrier 59%): If no stock ever trades at or below 59% of its starting level (observed continuously over the ~18-month life), capital is returned in full (100%).
Knock-in risk: If any one stock touches the 59% barrier, protection is removed. At maturity you then receive par only if the worst-performing stock recovers to ≥100%; otherwise you are effectively delivered that worst stock and absorb its loss (value ≈ 100% × worst-stock performance).
Issuer call: The issuer may redeem early (at par + the due coupon) on any of four quarterly observation dates. Calls typically happen when the worst-of is at/above its starting level — i.e. you get forced out precisely when the market is strong, capping your upside.
Upside is capped: Beyond the fixed coupons, you do not participate in any rally.

Key Statistics (Annualized, per-horizon)

Metric	Structured Product	Underlying Basket (total return)*
Expected annualized return	5.29%	15.24%
Expected annualized volatility	13.55%	25.93%
Probability of loss	24.68%	31.94%
99% confidence VaR (1-year)	-32.94%	-28.64%

* Equal-weight basket of the three stocks, including blended dividend yield (~2.24%). The basket's high per-horizon annualized return is not a full-period figure — see note.

Reading the numbers together: The structured product delivers a lower expected return than simply holding the basket, but with roughly half the volatility (13.55% vs 25.93%). Over the realized holding period the product's average total return is 3.77% versus 6.51% for the basket, and its worst-tail VaR (-32.94%) is only marginally deeper than the basket's (-28.64%) — a consequence of the worst-of barrier, which is harsher than a plain basket.

Note on annualization: ~44% of paths terminate early (called) during strong rallies; linearly annualizing those short holding periods inflates both instruments' mean annualized returns. As a sanity check, a fixed 18-month buy-and-hold of the basket averages ≈5.1% annualized price return (~7.3% with dividends), in line with the ~6% equity risk premium assumed.

Charts

Simulation Outcomes — Product vs Underlying (per-path, same holding period)

Each dot is one simulation; the diagonal is the 1:1 line. Points below the line are paths where the product underperformed the basket; the dense cluster near the top-left reflects the capped, coupon-driven return profile.

Scatter plot of product versus underlying simulation outcomes

Annualized Return Distribution — Underlying Basket

Histogram of annualized returns for the underlying basket

Annualized Return Distribution — Structured Product

A tight distribution: outcomes are capped near ~+13% annualized (full coupons) with a fat left tail when the barrier is triggered.

Histogram of annualized returns for the structured product

Scenario Probabilities

Risk / Return Profile

The product sits far left of the basket: lower expected return, but materially lower volatility.

Annualized Return Comparison (Box Plot)

Holding Period Distribution

Number of Coupons Paid

Investment Commentary

Potential merits

High, unconditional coupon of 13.00% p.a. — paid quarterly even in flat or moderately declining markets, provided a call/barrier loss does not dominate.
Meaningful barrier buffer (59%): each name can fall ~41% before protection is lost; with the barrier observed on a deep level, the majority of paths (~71%) finish with capital intact.
Lower volatility than direct equity: expected annualized volatility ≈13.55% vs ≈25.93% for the basket, offering a smoother return stream and only a marginally worse 99% tail.
Frequent early calls (≈44%): many paths return par + accrued coupons within 6–12 months, shortening exposure.

Considerations / risks

Capped upside: investors forgo rallies above the fixed coupon; in strong markets the basket clearly out-earns the note.
Worst-of downside: loss tracks the weakest of three correlated (0.32–0.40) stocks; a single name breaching 59% removes protection for the whole note.
Discretionary issuer call: the issuer can force early redemption, so the attractive coupon may not run for the full term.
Credit exposure to the issuer/guarantor (Leonteq / PostFinance) and a hard downside tail (99% VaR ≈-32.94% annualized) — capital is at risk.

Not financial advice. Figures are model-based estimates from a Monte Carlo simulation with an assumed ~6% equity risk premium; actual outcomes will differ.