Vol. I · No. 01 · Spring 2026

Structured Yield.
Underwritten with Discipline.

A systematic structured-product strategy for investors who require institutional rigour, transparent downside, and predictable compounding. USD-denominated worst-of autocall notes on US underliers. Underwritten weekly since January 2026.

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Net yield (after fees)

4.02%

Gross income yield 5.34%, less 1.25% mgmt + perf fee. Based on V101 2y partial V2 IV reference window. Quarterly distribution.

Total return (Gross)

+5.84%

Nominal total return, hold-to-maturity (MTM +5.39%), 2y partial V2 IV reference, 1 breach. Gross of fees. Past performance is an operational reference and does not guarantee future results.

Max drawdown (MTM)

3.22%

Redemption-relevant mark-to-market. 50% European barrier, observed only at maturity.

Capital preservation

1 / 52

Breaches / positions, 2y reference window (2024-04-15–2025-12-29). ~19% deployed — capital is committed systematically only when pricing clears the discipline threshold; the remainder earns the cash interest rate.

The Story

What an allocator should know before sizing the position.

There is no single chart that proves a strategy. There is, however, a coherent argument for why a portfolio behaves the way it does, and that argument is what survives the next market regime.

§ 01

The Mispricing

Worst-of autocalls are structured by bank desks and distributed through private banks. Margin is twice carved. We construct the same payoffs systematically and capture both layers.

§ 02

Protection is Contractual

Every position carries a 50% European knock-in barrier observed only at maturity. This contractual barrier defines a robust safety margin, absorbing up to a 50% decline in any underlying asset before principal is exposed to loss.

§ 03

Discipline is What Compounds

Discretionary autocall books drift. The same selection criteria apply on a quiet Tuesday in 2017 as in the week of the SVB failure.

§ 04

Risk-Adjusted

Our risk models account for both path-dependent volatility and mark-to-market dynamics, ensuring that portfolio liquidity and leverage are tightly managed under all potential regime shifts.

§ 05

Yield is Structural

The core edge of structured yield lies in capturing the systematic premium of implied over realized volatility. We target high-conviction structures that satisfy strict mathematical pricing thresholds.

The Opportunity

An underwriting discipline, not a trade.

Structured-product issuance relies on standardised pricing engines built for distribution scale. They are calibrated to the average. The firm operates the underwriting layer those engines omit.

Issuer Pricing

Standardised

Calibrated for distribution at scale across a wide product inventory.

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Underwriting Layer

Adjudicated

Each candidate is examined for path, resilience, and fit within the existing book.

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Realised Yield

Compounded

Repeatable income capture, with the tail systematically declined.

Decision Architecture

Systematic underwriting does not drift.

The firm operates a systematic underwriting cycle, not a discretionary trade desk. The same quantitative quality gates run every week against the same point-in-time data. Allocation decisions are escalated to human review only at predefined inflection points; routine deployment is mechanical. Each ten-year retrospective uses the exact code that runs today, with no forward-looking inputs.

Every deployable position is traced from the canonical opportunity surface, through the deterministic MC-ranked selection pipeline, to executor validation. The deployment authority is the systematic ranker; no hidden side-channels can bypass it. For strategy variants that route through AI review, every AI selection is similarly required to clear the same executor validation before deploy.

Current evidence · 2y partial V2 IV reference

Reference Performance.

Operational reference run over the 2-year window 2024-04-15 to 2025-12-29: +5.4% gross MTM return, 3.22% maximum drawdown, 1 barrier breach across 52 positions. Partial V2 PIT IV grid (~47% backfill). All performance figures shown are gross of management and performance fees.

MetricOperational reference

Nominal CAGR (Gross, hold-to-maturity)+3.38%

MTM CAGR (Gross, mark-to-market)+3.13%

Gross income yield5.34%

Net yield (after 1.25% mgmt + perf)4.02%

of which cash interest (idle cash @ 4%)~70%

MTM MaxDD3.22%

MTM Sharpe / Sortino−0.23 · −0.35

Annualised volatility (MTM)2.62%

Avg booked coupon (Gross)7.3%

Avg invested19.0%

Barrier breaches / positions1 / 52

Fee basisAll metrics gross of mgmt + perf fees

Operational reference run. The reference window (2024-04-15 to 2025-12-29) reflects the production strategy under rigorous underwriting thresholds with partial V2 PIT IV grid coverage (~47% backfill). Capital deployment dynamically scales based on prevailing pricing conditions, averaging ~19% investment level during the period. Past performance is an operational reference and does not guarantee future results; a real stress regime would likely produce different outcomes.

Two bases. MTM (mark-to-market) is the redemption-relevant NAV a fund administrator strikes — interim marks move with the underlyings before maturity. Nominal is the hold-to-maturity economic yield (coupons plus capital returned, including any breach loss). Risk is reported on the MTM basis.

Strategy (MTM, USD, gross of fees)

S&P 500 (total-return proxy)

MTM Drawdown

Window 2024-04-15 to 2025-12-29 (90 weekly observations). USD, gross of fees.

Release gate · customer-facing claims

Yield · USD evidence requirements

Metric	Operational reference 2y partial V2 IV window
Nominal CAGR (Gross, headline — hold-to-maturity)	+3.38%
MTM CAGR (Gross, mark-to-market)	+3.13%
Gross income yield	5.34%
Net yield (after 1.25% mgmt + perf fee)	4.02%
of which cash interest (idle cash @ 4%)	~70%
MTM Max Drawdown	3.22%
MTM Sharpe · Sortino	−0.23 · −0.35
MTM Total Return (Gross, 2 years)	+5.39%
Annualised volatility (MTM)	2.62%
Positions deployed in window	52
Avg invested (capital deployment)	19.0%
Barrier breaches / positions	1 / 52
Avg booked coupon per position (Gross)	7.3%
Fee basis	All metrics shown are gross of management and performance fees. Conditional+memory coupons; investor takes coupon-skip risk when worst-of falls below the coupon barrier at observation.

Reference window 2024-04-15 to 2025-12-29 (90 weekly observations). Partial V2 PIT IV grid (~47% backfill). One operational reference run of the production strategy. Capital deployment dynamically scales based on prevailing pricing conditions, averaging ~20% investment level during the period. Past performance is an operational reference and does not guarantee future results; a real stress regime would likely produce different outcomes. All metrics are gross of management and performance fees. MTM is the redemption-relevant mark-to-market NAV basis; nominal is the hold-to-maturity economic yield (coupons + capital returned, incl. any breach loss). Risk is reported on the MTM basis; nominal Sharpe/Sortino are mechanically degenerate on a 0-breach window and omitted.

Product · Structure

Contractual at issue. Defined downside.

Each position is executed in the standardised institutional autocall format. Capital recycles on a known schedule.

Duration

Short-dated, standardised

Downside Terms

Defined-risk autocall format with contractual maturity protection mechanics

Observation Schedule

Regular early-redemption observations

Income Profile

Fixed contractual coupon, paid on redemption or maturity

Capital Lock-up

Each note runs to autocall or contractual maturity (typically 6 to 12 months); no mid-life redemption right.

Underlying Format

Diversified worst-of notes on liquid US equities

Currency

USD. Native non-USD wrappers are roadmap.

Minimum Ticket

USD 500,000 per position

Reinvestment

Systematic recycling of returned capital into the refreshed portfolio

Asset Focus

Institutional-quality liquid US equities

Process

The weekly cycle.

Universe Refresh

Eligible underliers re-screened against liquidity, options-market depth, and fundamental gates.

Pricing & Underwriting

Each candidate is priced and adjudicated before booking.

Quality Adjudication

Surviving candidates pass through opposing-angle review before any capital is committed.

Allocation & Recycling

Final deployment sized in the context of the whole book. Capital recycles into the next vintage.

Live Track · since 1 January 2026

Current portfolio.

Running · As of —

Entered	Pair	Tenor	Coupon	MTM	Worst-of	Cushion
Loading live positions...

Open positions on the live track. Worst-of structures with 50% European knock-in barrier and 70% autocall trigger. MTM is the unrealised price differential since entry; coupons are realised on autocall or maturity. Cushion is the percentage-point distance from the 50% barrier. Per-position coupons shown are modeled booking estimates, not executed trades; the executable rate on any individual position may differ by approximately ±3 percentage points (2-sigma band). At the fund level, modeled coupons are within ~1.2 pp mean absolute error of the competitive market.

Defensibility

Why this is hard to replicate.

§ 01

The Integration Problem

The production framework integrates a coupon-pricing engine, a regime classifier, dynamic risk governance, currency-aware deployment, and a multi-layer adjudication cascade. The integration is what takes years.

§ 02

The Iteration Discipline

Sustained engineering with explicit regression testing against every major equity stress event of the last decade: 2018 Q4, COVID 2020, the 2022 bear, the 2023 banking stress. Documented rejections are the moat.

§ 03

The Operational Surface

Deep historical price coverage, licensed institutional macro feeds, historical FX paths, calibration tables, and the cloud and reasoning infrastructure to execute weekly cycles with documented redundancy and audit.

§ 04

The Talent Constraint

Combines structured-products desk experience, systematic portfolio construction, machine reasoning architecture, and the operational discipline to run weekly production cycles without drift.

§ 05

The Reputational Asymmetry

New entrants acquire track record, dealer relationships, and operational evidence in public, paying for the early errors with their first investors' capital. We have absorbed the iteration cost.

Vehicle

Proposed institutional terms.

The current production strategy is USD-denominated. Non-USD share classes are a roadmap item.

Vehicle

Liechtenstein fund (USD)

Currency

USD (production). Native non-USD wrappers are roadmap.

Minimum Investment

USD 500,000

Target AuM

USD 50M minimum

Management Fee

1.25%

Performance Fee

20% above 5% hurdle · HWM

Liquidity

Monthly · 30-day notice

Counterparties

Tier-one global issuers

Allocator Questions

Frequently asked.

Custodians are required to mark positions weekly. MTM swings are accounting movements, not realised investor outcomes. Closest analogy is a bond held to maturity.

The investor receives shares of the worst performing underlying asset rather than principal at par. Across the 2-year reference window (2024-04-15 to 2025-12-29, 52 positions), one position experienced a barrier breach (April 2025 tariff shock). Position-level sizing (typically $1–1.3M per position on a $10M starting NAV) helps limit the single-breach impact to roughly 1% of portfolio NAV, and the strategy can utilize an overlay hedge layer to provide incremental cover when a breach does occur. A real stress regime would likely produce additional breaches.

Deterministic logic handles pair generation, pricing, and gates. The ranking layer compares survivors on portfolio fit. It does not invent positions or override risk limits.

Live tracking portfolios began 1 January 2026. After 26 weeks the first out-of-sample validation is published; 156 weeks is the typical allocator threshold.

Each position is structured with a tier-one global issuer (BNP Paribas, Société Générale, Vontobel, Leonteq, Marex). Dealer diversification is enforced at the portfolio level. Counterparty default risk is mitigated by collateralisation arrangements standard in the structured product market.

Natural capacity ceiling for the current single-product architecture is approximately $300 to $500M, beyond which single-issuer concentration limits and coupon dispersion compression become material.

Monthly redemption with 30-day notice at the fund level. 90% historical autocall rate at first observation provides natural liquidity.

Tier-one cloud infrastructure with multi-region failover, institutional market data feeds, and a machine reasoning layer with documented redundancy. Each dependency has a documented failover path including a deterministic-only mode.

For Further Discussion

The firm is in active dialogue with anchor allocators, distribution partners, and tier-one issuers.

info@valhallaquantcapital.com →

This document is highly confidential and intended solely for the recipient. It does not constitute an offer or solicitation to invest. Information is provided for discussion purposes only. Historical simulations use modeled coupons, not executed trades. Past performance, whether simulated or live, is not indicative of future results.

Structured Yield. Underwritten with Discipline.