Autocallable on WTI Oil (CL1) with 60% Barrier and Cumulative Coupon of up to 60% p.a. in USD

"Autocallable on WTI Oil (CL1) with 60% Barrier and Cumulative Coupon of up to 60.00% p.a. in USD"

WTI Crude Oil currently sits at the center of the geopolitical risk premium: after US strikes on Iranian oil tankers and Iranian threats to establish a new restricted zone off the Strait of Hormuz, Iran-aligned Houthi militants recently struck Saudi energy facilities, driving WTI above $92 and Brent to near $100. Several major banks raised their forecasts accordingly, as the reopening of the Strait of Hormuz is now expected to take longer than initially anticipated, while the US Strategic Petroleum Reserve remains at its lowest level since 1982 – a structural supply buffer with little remaining capacity to absorb further shocks.

As the US benchmark, WTI (CL1) captures the strongest price reaction to this escalation, since its closer link to domestic inventories and Cushing dynamics has historically driven higher volatility than the more globally diversified Brent.

With a Snowball Autocallable Note (1-year term) on WTI, investors can benefit from a cumulative coupon of up to 60.00% p.a. in USD. The autocall is observed monthly, starting from the first month: as soon as WTI reaches the 100% autocall barrier, the note terminates with capital repayment plus the coupon accrued up to that point (60.00% p.a. × i/12 months). If WTI never reaches the 100% threshold over the full term but remains above the barrier, capital is repaid in full at 100% at maturity, with no coupon. If the barrier is breached, however, the investor receives at maturity only as much as the oil price is still worth relative to the starting level – with no further protection, exactly as if they had invested directly and unprotected in WTI.

Conclusion: A structure that translates the historically high oil volatility driven by the escalating Middle East crisis into an attractive, time-growing coupon, with monthly opportunities for early redemption and a solid 40-percentage-point buffer down to the barrier.