BMO plans contingent risk absolute return notes on SPDR S&P Oil & Gas

By Devika Patel

Knoxville, Tenn., Dec. 14 – Bank of Montreal plans to price 0% contingent risk absolute return notes with digital upside due Dec. 31, 2018 linked to the SPDR S&P Oil & Gas Exploration & Production exchange-traded fund, according to an FWP filing with the Securities and Exchange Commission.

If the fund closes above its initial level, the payout at maturity will be par plus the digital return of 25%.

If the fund falls but not below the barrier level, 70% of its initial level, the payout at maturity will be par plus the absolute value of the return.

Otherwise, investors will lose 1% for each 1% decline.

BMO Capital Markets Corp. is the agent.

The notes (Cusip: 06367TPR5) will price on Dec. 22 and settle on Dec. 30.

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