Energy · USO US / WTI · EUR Quanto

Daily Autocall WTI Crude Oil

One year exposure to WTI (via United States Oil Fund LP, USO US), with a monthly coupon of 0.2917% (3.5% p.a.), a daily observed autocall from +10% et une barrière européenne à 65% which has not been breached over the 5 last years.

EUR Quanto1-Year MaturityCoupon 3.5% p.a.European Barrier 65%Daily autocall 110%

Underlying

USO US

United States Oil Fund LP, proxy WTI

Coupon

0.2917%

Monthly, 3.5% p.a. guaranteed

Maturity

1 Year

Autocall

110%

Daily observation, flat coupon 3.5%

Barrier

65%

European, at maturity only

Market Insight

Exploiting the return of the geopolitical risk premium

The market has shifted from a catastrophe scenario to a normalization scenario. It remains to be seen how long this calm will last.

Macro Rationale

A risk premium erased in a few sessions: the market had built an extreme scenario around a US / Iran escalation - potential closure of the Strait of Hormuz (≈20% of global oil), additional strikes, lasting disruption of Gulf exports.
The catalyst: the announcement of an agreement in principle between Washington and Tehran, supported by active mediation from Saudi Arabia, has changed market perception. Brent crude lost nearly 10% in one session, while WTI returned close to its pre-tension levels.

Product Payoff

Daily Autocall on WTI

Maturity	12 months
Currency	EUR Quanto
Stock	USO US (WTI proxy)
Coupon Frequency	Monthly
Coupon Type	Guaranteed
Autocall Level	110% (86.9$)
Autocall Frequency	Daily (from tomorrow)
European Barrier	65% (51.35$)
Coupon Guaranteed p.a.	3.50%
Coupon Flat (in case of autocall)	3.50%

Strategic Value

Why a Daily Autocall?

Although part of the geopolitical premium was recently purged, the underlying situation remains unresolved and no diplomatic agreement has been formally signed. A barrel "spike" following new tensions can occur very quickly. Being directly long spot fully exposes to short-term uncertainty.

A structure that monetizes waiting

In the event of conflict stabilization, and Crude stabilizing around current values, a guaranteed return of 3.5% per annum paid monthly.

Lingering threats, and an unresolved situation

The barrier lowered to 110% allows for rapid benefit from a resurgence of disagreement or conflict. Maximizes the return with a flat coupon of 3.5% at exit.

Why this barrier holds

The protection threshold is below the 5-year low

Key levels (indicative, USD)

Daily autocall (+10%)86.9$

110% of S(0)

Indicative Strike S(0)79$

100% of S(0)

Lowest over the last 5 years56.7$

Dec 2025

European barrier (-35%)51.35$

65% of S(0)

The barrier (51.35$) is located below the lowest observed over 5 years (56.7$): WTI would have to reach an unprecedented all-time low to breach it at maturity.

WTI levels over 5 years (USD)

Product Structure

How the Daily Autocall WTI works

EUR Quanto Structure, 1 year: a guaranteed monthly coupon, a daily observed autocall, a barrier observed only at maturity.

Coupon

0.2917% / month

3.5% p.a.

Paid every month (11 dates). An additional fixed coupon of 0.2917% is paid at maturity.

Autocall

110% · daily

Fallback to 3.5%

If WTI (via USO US) closes at or above 110% of its initial level on any given business day of the period, the product is redeemed early within 5 business days.

European barrier

65%

Observed only at maturity (Valuation Date 12). If breached, capital is reduced pro-rata to WTI performance.

Final rally bonus

+3.5%

If WTI closes at or above 110% on the final valuation day without having ever autocalled before (marginal case).

In practice

Every business day: autocall observation (110%).
Every month: guaranteed coupon payment (0.2917%).
At maturity only: observation of the barrier (65%).
Final WTI ≥ 65%: capital redeemed at 100% (+ bonus if ≥ 110%).
Final WTI < 65%: capital reduced pro-rata to WTI.

Interactive Simulator

Simulate the redemption

Choose whether the autocall was triggered during product life, or adjust the final WTI level to visualize the redemption at maturity.

Trigger day: 1Jour simulé : 15360

Breakdown

Base capital:100.0%

Flat coupon:+3.5%

Total paid out:103.5000%

Annualized Perf.

84%

p.a.

In case of early autocall, the combinaison du coupon flat de 3.5% and the very short redemption delay mechanically boosts the annualized yield.

WTI - Last 6 months (Daily in $)

Visualization illustrating recent volatility that could unexpectedly trigger the autocall threshold.

Scenarios at maturity

1-year maturity on WTI (USO US)

Scenario	WTI	Result	Redemption
Autocall triggered during product life	WTI ≥ 110% on any given day (≈ 86.9$)	Early exit within 5 business days; previously received coupons are retained.	103.5% + accrued coupons
Net rally undetected before maturity	Final WTI ≥ 110% (≈ 86.9$), never reached before	Marginal case: the autocall threshold should have been crossed earlier to produce this result.	103.5% + coupons
Stable market or slight increase	Final WTI between 65% and 110% (51.35$ - 86.9$)	Capital repaid at 100%, barrier not breached.	100% + coupons
Moderate pullback, tangent barrier	Final WTI close to 65% (≈ 51.35$-56$)	Capital protected as long as the final close remains above the barrier.	100% + coupons
Oil shock, barrier breached	Final WTI below 65% (e.g. 50%, ≈ 39.5$)	Loss pro-rata to the underlying; previously received coupons are retained.	≈ 50% + coupons

Le risque principal est une clôture finale du WTI sous 65% of its initial level: the capital is then reduced pro-rata, a level it has not reached in 5 years.

Please contact your Orizen representative for more information

Disclaimer

This document was prepared by Orizen SA, Chemin des Aulx 10, 1228 Plan-les-Ouates, Switzerland, a member of ARIF, acting as a non-clearing introducing broker. It summarizes, for information purposes only, the indicative terms of a Trigger Barrier Reverse Convertible Auto-Callable (SSPA 1230) on United States Oil Fund LP (USO US, WTI proxy). This document constitutes advertising material, is not a prospectus within the meaning of FinSA or the European Prospectus Regulation, and has not been approved by any regulatory authority. It does not constitute an offer, a personal recommendation, or a solicitation. Intended exclusively for professional clients and qualified investors within the meaning of FinSA. The legally binding terms are set out in the Final Terms, the Base Prospectus, and the issuer's KID; in case of discrepancy, these documents prevail. The levels, thresholds, and performance presented are indicative and illustrative, subject to change until the final fixing of conditions. Confidential document, reproduction prohibited without the written consent of Orizen SA.