·
|
This pricing supplement relates to two separate note offerings. Each issue of the notes is linked to one, and only one, Underlying Asset named below. You may participate in either offering or, at your election, both. This pricing supplement does not, however, allow you to purchase a single note linked to a basket of the Underlying Assets below.
|
·
|
An investor in the notes may lose up to 80% of their principal amount at maturity.
|
·
|
The notes are designed for investors who seek a one-for-one positive return based on the appreciation in the share price of the applicable Underlying Asset. Investors should be willing to accept a payment at maturity that is capped at the applicable Maximum Redemption Amount (as defined below), be willing to forgo periodic interest, and be willing to lose 1% of their principal amount for each 1% that the price of the applicable Underlying Asset decreases by more than 20% from its price on the Pricing Date.
|
·
|
Any payment at maturity is subject to the credit risk of Bank of Montreal.
|
·
|
The notes will be issued in minimum denominations of $1,000 and integral multiples of $1,000.
|
·
|
Our subsidiary, BMO Capital Markets Corp. (“BMOCM”), is the agent for this offering. See “Supplemental Plan of Distribution (Conflicts of Interest)” below.
|
Pricing Date:
|
March 13, 2013
|
Maturity Date:
|
March 18, 2015
|
Settlement Date:
|
March 18, 2013
|
Buffer Percentage:
|
20%
|
Valuation Date:
|
March 13, 2015
|
Buffer Level:
|
80% of the Initial Level
|
Underlying Asset
|
Cap
|
Maximum
Redemption
Amount
|
Initial
Level |
CUSIP
|
Principal
Amount
|
Price to
Public(1)
|
Agent’s
Commission(1)
|
Proceeds to Bank
of Montreal
|
||||||||
iShares® MSCI EAFE
Index Fund (EFA) |
15.50%
|
$1,155
|
59.18
|
06366RMH5
|
US$740,000
|
100%
US$740,000
|
0%
US$0.00
|
100%
US$740,000
|
||||||||
iShares® MSCI
Emerging Markets Index Fund (EEM) |
14.00%
|
$1,140
|
42.98
|
06366RMJ1
|
US$1,559,000
|
100%
US$1,559,000
|
0%
US$0.00
|
100%
US$1,559,000
|
(1)
|
In addition to the agent’s commission, the price to the public specified above includes the profit that we would recognize earned by hedging our exposure under the notes.
|
Key Terms of Each of the Notes:
|
|
General:
|
This pricing supplement relates to two separate offerings of notes. Each offering is a separate offering of notes linked to one, and only one, Underlying Asset. If you wish to participate in both of the offerings, you must purchase each of the notes separately. The notes offered by this pricing supplement do not represent notes linked to a basket of the Underlying Assets.
|
Payment at Maturity:
|
If the Percentage Change is greater than or equal to the applicable Cap, then the amount that the investors will receive at maturity for each $1,000 in principal amount of the notes will equal the applicable Maximum Redemption Amount.
If the Percentage Change is positive but is less than the applicable Cap, then the amount that the investors will receive at maturity for each $1,000 in principal amount of the notes will equal:
|
Principal Amount + [Principal Amount × Percentage Change]
|
|
If the Percentage Change is between 0% and -20% inclusive, then the amount that the investors will receive at maturity will equal the principal amount of the notes.
|
|
If the Percentage Change is less than -20%, then the payment at maturity will equal:
|
|
Principal Amount + [Principal Amount × (Percentage Change + Buffer Percentage)]
|
|
Initial Level:
|
The closing price of one share of the applicable Underlying Asset on the Pricing Date, as set forth below.
|
Final Level:
|
The closing price of one share of the applicable Underlying Asset on the Valuation Date.
|
Buffer Level:
|
80% of the Initial Level of the applicable Underlying Asset (rounded to two decimal points), as forth below.
|
Buffer Percentage:
|
20%. Accordingly, you will receive the principal amount of your notes at maturity only if the price of the applicable Underlying Asset does not decrease by more than 20%. If the Final Level is less than the Buffer Level, you will receive less than the principal amount of your notes at maturity, and you could lose up to 80% of the principal amount of your notes.
|
Percentage Change:
|
Final Level – Initial Level, expressed as a percentage.
Initial Level
|
Pricing Date:
|
March 13, 2013
|
Settlement Date:
|
March 18, 2013.
|
Valuation Date:
|
March 13, 2015.
|
Maturity Date:
|
March 18, 2015.
|
Automatic Redemption:
|
Not applicable.
|
Calculation Agent:
|
BMOCM
|
Selling Agent:
|
BMOCM
|
Key Terms of the Notes Linked to the iShares® MSCI Emerging Markets Index Fund:
|
|
Underlying Asset:
|
iShares® MSCI Emerging Markets Index Fund (NYSE Arca symbol: EEM). See the section below entitled “The Underlying Asset— iShares® MSCI Emerging Markets Index Fund” for additional information about the Underlying Asset.
|
Initial Level
|
42.98
|
Buffer Level:
|
34.38
|
Cap:
|
14.00%
|
Maximum Redemption
Amount: |
$1,140
|
CUSIP:
|
06366RMJ1
|
Key Terms of the Notes Linked to the iShares® MSCI EAFE Index Fund:
|
|
Underlying Asset:
|
iShares® MSCI EAFE Index Fund (NYSE Arca symbol: EFA). See the section below entitled “The Underlying Asset— iShares® MSCI EAFE Index Fund” for additional information about the Underlying Asset.
|
Initial Level:
|
59.18
|
Buffer Level:
|
47.34
|
Cap:
|
15.50%
|
Maximum Redemption
Amount: |
$1,155
|
CUSIP:
|
06366RMH5
|
We may use this pricing supplement in the initial sale of the notes. In addition, BMO Capital Markets Corp. or another of our affiliates may use this pricing supplement in market-making transactions in any notes after their initial sale. Unless our agent or we inform you otherwise in the confirmation of sale, this pricing supplement is being used in a market-making transaction.
|
|
·
|
Product supplement dated June 23, 2011:
|
|
·
|
Prospectus supplement dated June 22, 2011:
|
|
·
|
Prospectus dated June 22, 2011:
|
|
·
|
Your investment in the notes may result in a loss. — You may lose some or substantially all, of your investment in the notes. The minimum percentage of your principal that you are entitled to receive under the terms of the notes is only 20%. The payment at maturity will be based on the applicable Final Level, and whether the applicable Final Level of the applicable Underlying Asset on the Valuation Date is less than the applicable Buffer Level. You will lose 1% of the principal amount of your notes for each 1% that the Final Level is less than the Buffer Level. Accordingly, you could lose up to 80% of the principal amount of your notes.
|
|
·
|
Your return on the notes is limited to the applicable Maximum Redemption Amount, regardless of any appreciation in the share price of the applicable Underlying Asset. — You will not receive a payment at maturity with a value greater than the applicable Maximum Redemption Amount per $1,000 in principal amount of the notes. This will be the case even if the Percentage Change of the applicable Underlying Asset exceeds the applicable Cap.
|
|
·
|
Your investment is subject to the credit risk of Bank of Montreal. — Our credit ratings and credit spreads may adversely affect the market value of the notes. Investors are dependent on our ability to pay the amount due at maturity, and therefore investors are subject to our credit risk and to changes in the market’s view of our creditworthiness. Any decline in our credit ratings or increase in the credit spreads charged by the market for taking our credit risk is likely to adversely affect the value of the notes.
|
|
·
|
Potential conflicts. — We and our affiliates play a variety of roles in connection with the issuance of the notes, including acting as calculation agent. In performing these duties, the economic interests of the calculation agent and other affiliates of ours are potentially adverse to your interests as an investor in the notes. We or one or more of our affiliates may also engage in trading of shares of the Underlying Assets or securities included in the Underlying Assets on a regular basis as part of our general broker-dealer and other businesses, for proprietary accounts, for other accounts under management or to facilitate transactions for our customers. Any of these activities could adversely affect the prices of the Underlying Assets and, therefore, the market value of the notes. We or one or more of our affiliates may also issue or underwrite other securities or financial or derivative instruments with returns linked or related to changes in the performance of the Underlying Assets. By introducing competing products into the marketplace in this manner, we or one or more of our affiliates could adversely affect the market value of the notes.
|
|
·
|
The inclusion of the hedging profits, if any, in the initial price to public of the notes, as well as our hedging costs, is likely to adversely affect the price at which you can sell your notes. — Assuming no change in market conditions or any other relevant factors, the price, if any, at which BMOCM or any other party may be willing to purchase the notes in secondary market transactions may be lower than the initial price to public. The initial price to public includes, and any price quoted to you is likely to exclude, the hedging profits that we expect to earn with respect to hedging our exposure under the notes. In addition, any such price is also likely to reflect a discount to account for costs associated with establishing or unwinding any related hedge transaction, such as dealer discounts, mark-ups and other transaction costs.
|
|
·
|
Owning the notes is not the same as owning the applicable Underlying Asset or a security directly linked to the applicable Underlying Asset. — The return on your notes will not reflect the return you would realize if you actually owned the applicable Underlying Asset or a security directly linked to the performance of the applicable Underlying Asset and held that investment for a similar period. Your notes may trade quite differently from the applicable Underlying Asset. Changes in the price of the applicable Underlying Asset may not result in comparable changes in the market value of your notes. Even if the price of the applicable Underlying Asset increases during the term of the notes, the market value of the notes prior to maturity may not increase to the same extent. It is also possible for the market value of the notes to decrease while the price of the applicable Underlying Asset increases. In addition, any dividends or other distributions paid on the applicable Underlying Asset will not be reflected in the amount payable on the notes.
|
|
·
|
You will not have any shareholder rights and will have no right to receive any shares of the applicable Underlying Asset at maturity. — Investing in your notes will not make you a holder of any shares of the applicable Underlying Asset or any securities held by the applicable Underlying Asset. Neither you nor any other holder or owner of the notes will have any voting rights, any right to receive dividends or other distributions or any other rights with respect to the applicable Underlying Asset or such other securities.
|
|
·
|
Changes that affect the applicable index underlying an Underlying Asset will affect the market value of the notes and the amount you will receive at maturity. —The policies of MSCI Inc. (the “Index Sponsor”) of the MSCI Emerging Markets Index and the MSCI EAFE Index and the Russell 2000 Index (each, the applicable underlying index of the applicable Underlying Asset), concerning the calculation of the applicable underlying index, additions, deletions or substitutions of the components of the applicable underlying index and the manner in which changes affecting those components, such as stock dividends, reorganizations or mergers, may be reflected in the applicable underlying index, and therefore, could affect the share price of the applicable Underlying Asset, the amount payable on the notes at maturity, and the market value of the notes prior to maturity. The amount payable on the notes and their market value could also be affected if the Index Sponsor changes these policies, for example, by changing the manner in which it calculates the applicable underlying index, or if the Index Sponsor discontinues or suspends the calculation or publication of the underlying index.
|
|
·
|
An investment in the notes linked to either the iShares® MSCI EAFE Index Fund or the iShares® MSCI Emerging Markets Index Fund is subject to risks associated with foreign securities markets. —The underlying indices of these funds track the value of certain foreign equity securities. You should be aware that investments in securities linked to the value of foreign equity securities involve particular risks. The foreign securities markets comprising either of these Underlying Indices may have less liquidity and may be more volatile than U.S. or other securities markets and market developments may affect foreign markets differently from U.S. or other securities markets. Direct or indirect government intervention to stabilize these foreign securities markets, as well as cross-shareholdings in foreign companies, may affect trading prices and volumes in these markets. Also, there is generally less publicly available information about foreign companies than about those U.S. companies that are subject to the reporting requirements of the U.S. Securities and Exchange Commission, and foreign companies are subject to accounting, auditing and financial reporting standards and requirements that differ from those applicable to U.S. reporting companies.
|
|
·
|
An investment in the notes linked to the iShares® MSCI EAFE Index Fund and the iShares® MSCI Emerging Markets Index Fund is subject to foreign currency exchange rate risk. — The share prices of these funds will fluctuate based upon their respective net asset value, which will in turn depend in part upon changes in the value of the currencies in which the stocks held by these funds are traded. Accordingly, investors in the applicable notes will be exposed to currency exchange rate risk with respect to each of the currencies in which the stocks held by these funds are traded. An investor’s net exposure will depend on the extent to which these currencies strengthen or weaken against the U.S. dollar. If the dollar strengthens against these currencies, the net asset value of these funds will be adversely affected and the price of the applicable Underlying Asset may decrease.
|
|
·
|
Adjustments to the applicable Underlying Asset could adversely affect the notes. — BlackRock, Inc. (collectively with its affiliates, “BlackRock”), in its role as the sponsor and advisor of the Underlying Assets, is responsible for calculating and maintaining each of the Underlying Assets. BlackRock can add, delete or substitute the stocks comprising the applicable Underlying Asset or make other methodological changes that could change the share price of the applicable Underlying Asset at any time. If one or more of these events occurs, the calculation of the amount payable at maturity may be adjusted to reflect such event or events. Consequently, any of these actions could adversely affect the amount payable at maturity and/or the market value of the applicable notes.
|
|
·
|
We and our affiliates do not have any affiliation with the investment advisor of the Underlying Assets and are not responsible for its public disclosure of information. —We and our affiliates are not affiliated with BlackRock in any way and have no ability to control or predict its actions, including any errors in or discontinuance of disclosure regarding its methods or policies relating to any of the Underlying Assets. BlackRock is not involved in the offerings of the notes in any way and has no obligation to consider your interests as an owner of the applicable notes in taking any actions relating to the applicable Underlying Asset that might affect the value of those notes. Neither we nor any of our affiliates has independently verified the adequacy or accuracy of the information about BlackRock or any of the Underlying Assets contained in any public disclosure of information. You, as an investor in the applicable notes, should make your own investigation into the applicable Underlying Asset.
|
|
·
|
The correlation between the performance of the applicable Underlying Asset and the performance of the applicable underlying index may be imperfect. — The performance of the applicable Underlying Asset is linked principally to the performance of the applicable underlying index. However, because of the potential discrepancies identified in more detail in the product supplement, the return on the applicable Underlying Asset may correlate imperfectly with the return on the applicable underlying index.
|
|
·
|
The applicable Underlying Asset is subject to management risks. — The applicable Underlying Asset is subject to management risk, which is the risk that its investment strategy, the implementation of which is subject to a number of constraints, may not produce the intended results. For example, BlackRock may invest a portion of the applicable Underlying Asset’s assets in securities not included in the relevant industry or sector but which the investment advisor believes will help the applicable Underlying Asset track the relevant industry or sector.
|
|
·
|
Lack of liquidity. — The notes will not be listed on any securities exchange. BMOCM may offer to purchase the notes in the secondary market, but is not required to do so. Even if there is a secondary market, it may not provide enough liquidity to allow you to trade or sell the notes easily. Because other dealers are not likely to make a secondary market for the notes, the price at which you may be able to trade your notes is likely to depend on the price, if any, at which BMOCM is willing to buy the notes.
|
|
·
|
Hedging and trading activities. — We or any of our affiliates may have carried out or may carry out hedging activities related to the notes, including purchasing or selling the securities included in the applicable Underlying Asset, or futures or options relating to the applicable Underlying Asset, or other derivative instruments with returns linked or related to changes in the performance of the applicable Underlying Asset. We or our affiliates may also engage in trading of shares of the applicable Underlying Asset or securities included in the applicable underlying index from time to time. Any of these hedging or trading activities on or prior to the pricing date and during the term of the notes could adversely affect our payment to you at maturity.
|
|
·
|
Many economic and market factors will influence the value of the notes. — In addition to the price of the applicable Underlying Asset and interest rates on any trading day, the value of the notes will be affected by a number of economic and market factors that may either offset or magnify each other, and which are described in more detail in the product supplement.
|
|
·
|
You must rely on your own evaluation of the merits of an investment linked to the applicable Underlying Asset. — In the ordinary course of their businesses, our affiliates from time to time may express views on expected movements in the price of the applicable Underlying Asset or the securities held by the applicable Underlying Asset. One or more of our affiliates have published, and in the future may publish, research reports that express views on the applicable Underlying Asset or the applicable notes. However, these views are subject to change from time to time. Moreover, other professionals who deal in the markets relating to the applicable Underlying Asset at any time may have significantly different views from those of our affiliates. You are encouraged to derive information concerning the applicable Underlying Asset from multiple sources, and you should not rely on the views expressed by our affiliates.
|
|
·
|
Significant aspects of the tax treatment of the notes are uncertain. — The tax treatment of each of the notes is uncertain. We do not plan to request a ruling from the Internal Revenue Service or from any Canadian authorities regarding the tax treatment of each of the notes, and the Internal Revenue Service or a court may not agree with the tax treatment described in this pricing supplement.
|
Hypothetical Final Level
|
Percentage Change
|
Return on the Notes
|
|||
$0.00
|
-100.00%
|
-80.00%
|
|||
$50.00
|
-50.00%
|
-30.00%
|
|||
$75.00
|
-25.00%
|
-5.00%
|
|||
$80.00
|
-20.00%
|
0.00%
|
|||
$95.00
|
-5.00%
|
0.00%
|
|||
$100.00
|
0.00%
|
0.00%
|
|||
$105.00
|
5.00%
|
5.00%
|
|||
$110.00
|
10.00%
|
10.00%
|
|||
$115.00
|
15.00%
|
15.00%
|
|||
$120.00
|
20.00%
|
17.00%
|
|||
$130.00
|
30.00%
|
17.00%
|
|||
$150.00
|
50.00%
|
17.00%
|
|||
$175.00
|
75.00%
|
17.00%
|
|||
$200.00
|
100.00%
|
17.00%
|
|
·
|
defining the equity universe;
|
|
·
|
determining the market investable equity universe for each market;
|
|
·
|
determining market capitalization size segments for each market;
|
|
·
|
applying index continuity rules for the MSCI Standard Index;
|
|
·
|
creating style segments within each size segment within each market; and
|
|
·
|
classifying securities under the Global Industry Classification Standard (the “GICS”).
|
|
·
|
Identifying Eligible Equity Securities: the equity universe initially looks at securities listed in any of the countries in the MSCI Global Index Series, which will be classified as either Developed Markets (“DM”) or Emerging Markets (“EM”). All listed equity securities, or listed securities that exhibit characteristics of equity securities, except mutual funds, ETFs, equity derivatives, limited partnerships, and most investment trusts, are eligible for inclusion in the equity universe. Real Estate Investment Trusts (“REITs”) in some countries and certain income trusts in Canada are also eligible for inclusion.
|
|
·
|
Classifying Eligible Securities into the Appropriate Country: each company and its securities (i.e., share classes) are classified in only one country.
|
|
·
|
Equity Universe Minimum Size Requirement: this investability screen is applied at the company level. In order to be included in a market investable equity universe, a company must have the required minimum full market capitalization.
|
|
·
|
Equity Universe Minimum Free Float-Adjusted Market Capitalization Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have a free float-adjusted market capitalization equal to or higher than 50% of the equity universe minimum size requirement.
|
|
·
|
DM and EM Minimum Liquidity Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security must have adequate liquidity. The twelve-month and three-month Annual Traded Value Ratio (“ATVR”), a measure that screens out extreme daily trading volumes and takes into account the free float-adjusted market capitalization size of securities, together with the three-month frequency of trading are used to measure liquidity. In the calculation of the ATVR, the trading volumes in depository receipts associated with that security, such as ADRs or GDRs, are also considered. A minimum liquidity level of 20% of three- and twelve-month ATVR and 90% of three-month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market investable equity universe of a DM, and a minimum liquidity level of 15% of three- and twelve-month ATVR and 80% of three-month frequency of trading over the last four consecutive quarters are required for inclusion of a security in a market investable equity universe of an EM.
|
|
·
|
Global Minimum Foreign Inclusion Factor Requirement: this investability screen is applied at the individual security level. To be eligible for inclusion in a market investable equity universe, a security’s Foreign Inclusion Factor (“FIF”) must reach a certain threshold. The FIF of a security is defined as the proportion of shares outstanding that is available for purchase in the public equity markets by international investors. This proportion accounts for the available free float of and/or the foreign ownership limits applicable to a specific security (or company). In general, a security must have an FIF equal to or larger than 0.15 to be eligible for inclusion in a market investable equity universe.
|
|
·
|
Minimum Length of Trading Requirement: this investability screen is applied at the individual security level. For an initial public offering (“IPO”) to be eligible for inclusion in a market investable equity universe, the new issue must have started trading at least four months before the implementation of the initial construction of the index or at least three months before the implementation of a semi−annual index review (as described below). This requirement is applicable to small new issues in all markets. Large IPOs are not subject to the minimum length of trading requirement and may be included in a market investable equity universe and the Standard Index outside of a Quarterly or Semi−Annual Index Review.
|
|
·
|
Investable Market Index (Large + Mid + Small);
|
|
·
|
Standard Index (Large + Mid);
|
|
·
|
Large Cap Index;
|
|
·
|
Mid Cap Index; or
|
|
·
|
Small Cap Index.
|
|
·
|
defining the market coverage target range for each size segment;
|
|
·
|
determining the global minimum size range for each size segment;
|
|
·
|
determining the market size−segment cutoffs and associated segment number of companies;
|
|
·
|
assigning companies to the size segments; and
|
|
·
|
applying final size−segment investability requirements.
|
|
(i)
|
Semi−Annual Index Reviews (“SAIRs”) in May and November of the Size Segment and Global Value and Growth Indices which include:
|
|
·
|
updating the indices on the basis of a fully refreshed equity universe;
|
|
·
|
taking buffer rules into consideration for migration of securities across size and style segments; and
|
|
·
|
updating FIFs and Number of Shares (“NOS”).
|
|
(ii)
|
Quarterly Index Reviews (“QIRs”) in February and August of the Size Segment Indices aimed at:
|
|
·
|
including significant new eligible securities (such as IPOs that were not eligible for earlier inclusion) in the index;
|
|
·
|
allowing for significant moves of companies within the Size Segment Indices, using wider buffers than in the SAIR; and
|
|
·
|
reflecting the impact of significant market events on FIFs and updating NOS.
|
|
(iii)
|
Ongoing Event−Related Changes: changes of this type are generally implemented in the indices as they occur. Significantly large IPOs are included in the indices after the close of the company’s tenth day of trading.
|
High ($)
|
Low ($)
|
|||||
2010
|
First Quarter
|
57.96
|
50.45
|
|||
Second Quarter
|
58.03
|
46.29
|
||||
Third Quarter
|
55.42
|
47.09
|
||||
Fourth Quarter
|
59.46
|
54.25
|
||||
2011
|
First Quarter
|
61.91
|
55.31
|
|||
Second Quarter
|
63.87
|
57.10
|
||||
Third Quarter
|
60.80
|
46.66
|
||||
Fourth Quarter
|
55.57
|
46.45
|
||||
2012
|
First Quarter
|
55.80
|
49.15
|
|||
Second Quarter
|
55.51
|
46.55
|
||||
Third Quarter
|
55.15
|
47.62
|
||||
Fourth Quarter
|
56.88
|
51.96
|
||||
2013
|
First Quarter (through the Pricing Date)
|
59.56
|
56.90
|
High ($)
|
Low ($)
|
|||||
2010
|
First Quarter
|
43.22
|
36.83
|
|||
Second Quarter
|
43.98
|
36.16
|
||||
Third Quarter
|
44.77
|
37.59
|
||||
Fourth Quarter
|
48.58
|
44.77
|
||||
2011
|
First Quarter
|
48.69
|
44.63
|
|||
Second Quarter
|
50.21
|
45.50
|
||||
Third Quarter
|
48.46
|
34.95
|
||||
Fourth Quarter
|
42.80
|
34.36
|
||||
2012
|
First Quarter
|
44.76
|
38.23
|
|||
Second Quarter
|
43.54
|
36.68
|
||||
Third Quarter
|
42.37
|
37.42
|
||||
Fourth Quarter
|
44.35
|
40.14
|
||||
2013
|
First Quarter (through the Pricing Date)
|
45.20
|
42.70
|