SEMI-ANNUAL FINANCIAL STATEMENTS BMO Corporate Bond Index ETF (ZCB)

June 30, 2021

BMO Corporate Bond Index ETF (unaudited)

Statement of Financial Position Statement of Comprehensive Income (All amounts in thousands of Canadian dollars, except per unit data) (All amounts in thousands of Canadian dollars, except per unit data)

June 30 December 31 June 30 June 30 As at 2021 2020 For the periods ended 2021 2020

Assets Income Interest income 1,556 673 Current Assets Other changes in fair value of Cash 58 262 investments and derivatives Investments Net realized (loss) gain (623) 300 Non-derivative financial assets 152,451 138,430 Change in unrealized (depreciation) Receivable for investments sold — 827 appreciation (5,369) 1,562 Interest receivable 1,151 993 Net (loss) gain in fair value of Total assets 153,660 140,512 investments and derivatives (4,436) 2,535 Liabilities Securities lending (note 8) 1 0 Current Liabilities Total other income 1 0 Payable for investments purchased 474 — Total (loss) income (4,435) 2,535 Distributions payable 1,180 958 Accrued expenses 66 53 Expenses Total liabilities 1,720 1,011 Management fees (note 6) 129 39 Independent review committee fees Net assets attributable to holders of (note 6) 0 0 redeemable units 151,940 139,501 ETF summary document fees 0 0 Unitholder reporting costs 1 — Net assets attributable to holders of Total expenses 130 39 redeemable units per unit $ 51.51 $ 53.76

(Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 (Decrease) increase in net assets attributable to holders of redeemable units per unit (note 8) (1.56) 2.73

The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited)

Statement of Changes in Net Assets Attributable to Holders of Redeemable Units (All amounts in thousands of Canadian dollars)

June 30 June 30 For the periods ended 2021 2020 Net assets attributable to holders of redeemable units at beginning of period 139,501 46,212 (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 Distributions to holders of redeemable units from: Net investment income (2,039) (673) Return of capital (313) (113) Total distributions to holders of redeemable units (2,352) (786) Redeemable unit transactions Proceeds from redeemable units issued 51,835 18,594 Redemption of redeemable units (32,479) (10,320) Net increase from redeemable unit transactions 19,356 8,274 Net increase in net assets attributable to holders of redeemable units 12,439 9,984 Net assets attributable to holders of redeemable units at end of period 151,940 56,196

The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited)

Statement of Cash Flows (All amounts in thousands of Canadian dollars)

June 30 June 30 For the periods ended 2021 2020

Cash flows from operating activities (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 Adjustments for: Net realized loss (gain) on sale of investments and derivatives 623 (300) Change in unrealized depreciation (appreciation) of investments and derivatives 5,369 (1,562) Increase in interest receivable (158) (54) Increase in accrued expenses 13 2 Amortization of premium and discounts 685 48 Interest received in-kind 294 81 Purchases of investments+ (22,263) (3,124) Proceeds from sale and maturity of + investments 47,319 5,773 Net cash from operating activities 27,317 3,360

Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,130) (724) Proceeds from issuances of redeemable + units 1,890 36 Amounts paid on redemption of redeemable units+ (27,281) (2,550) Net cash used in financing activities (27,521) (3,238)

Net (decrease) increase in cash (204) 122 Cash at beginning of period 262 165 Cash at end of period 58 287

Supplementary Information Interest received, net of withholding taxes* 2,377 667

+ Excludes in-kind transactions, if any. * These items are from operating activities.

The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

BONDS & DEBENTURES Aeroports de Montreal, Senior, Secured, Notes, Corporate Bonds & Debentures — 99.3% 6.950% Apr 16, 2032...... 1 ...... 1 ...... 1 407 International Inc., Series 17-D1, Medium Aeroports de Montreal, Series D, Secured, Term Notes, Secured, Subordinated, Callable, Debentures, 6.550% Oct 11, 2033...... 10 ...... 14 ...... 14 2.470% Sep 8, 2022 ...... 25 ...... 25...... 25 Aeroports de Montreal, Series G, Senior, 407 International Inc., Series 14-A1, Medium Secured, Notes, 5.170% Sep 17, 2035 ...... 20 ...... 24 ...... 25 Term Notes, Senior, Secured, Callable, Aeroports de Montreal, Series H, Secured, 3.350% May 16, 2024 ...... 20 ...... 21...... 21 Notes, 5.670% Oct 16, 2037 ...... 20 ...... 26 ...... 27 407 International Inc., Senior, Secured, Notes, Aeroports de Montreal, Series R, Senior, Callable, 1.800% May 22, 2025 ...... 201 ...... 209...... 205 Secured, Callable, 3.030% Apr 21, 2050...... 680 ...... 692 ...... 671 407 International Inc., Series 16-A2, Medium Aeroports de Montreal, Secured, Notes, Term Notes, Secured, Callable, 2.430% Callable, 3.441% Apr 26, 2051...... 25 ...... 25 ...... 27 May 4, 2027 ...... 1,430 ...... 1,492...... 1,484 AIMCo Realty Investors L.P., Series 1, Senior, 407 International Inc., Medium Term Notes, Unsecured, Notes, Callable, 2.266% Jun 26, Senior, Secured, Callable, 3.140% Mar 6, 2024 ...... 26 ...... 27 ...... 27 2030 ...... 1,820 ...... 2,037...... 1,965 AIMCo Realty Investors L.P., Series 2, Senior, 407 International Inc., Senior, Secured, Notes, Unsecured, Notes, Callable, 3.043% Jun 1, Callable, 2.590% May 25, 2032 ...... 10 ...... 11...... 10 2028 ...... 205 ...... 208 ...... 218 407 International Inc., Medium Term Notes, Alberta Powerline L.P., Sinkable, Senior, Senior, Secured, Callable, 3.430% Jun 1, Secured, 4.065% Mar 1, 2054...... 10 ...... 12 ...... 11 2033 ...... 10 ...... 11...... 11 Alectra Inc., Senior, Unsecured, Debentures, 407 International Inc., Series 04-A3, Medium 3.033% Jul 25, 2022 ...... 20 ...... 21 ...... 21 Term Notes, Senior, Secured, 5.960% Dec 3, Alectra Inc., Series B, Senior, Unsecured, Notes, 2035 ...... 30 ...... 39...... 40 Callable, 3.239% Nov 21, 2024...... 20 ...... 22 ...... 21 407 International Inc., Series 06-D1, Medium Alectra Inc., Series A, Senior, Unsecured, Term Notes, Secured, Subordinated, 5.750% Debentures, Callable, 2.488% May 17, Feb 14, 2036 ...... 30 ...... 38...... 38 2027 ...... 30 ...... 30 ...... 31 407 International Inc., Series 11-A1, Medium Alectra Inc., Senior, Unsecured, Notes, Callable, Term Notes, Senior, Secured, Callable, 1.751% Feb 11, 2031 ...... 1,238 ...... 1,182...... 1,189 4.450% Nov 15, 2041...... 185 ...... 208...... 221 Algonquin Power Co., Senior, Unsecured, 407 International Inc., Series 12-A1, Medium Debentures, Callable, 4.600% Jan 29, 2029 ...... 10 ...... 12...... 12 Term Notes, Senior, Secured, Callable, Algonquin Power Co., Senior, Unsecured, Notes, 4.190% Apr 25, 2042...... 35 ...... 40...... 40 Callable, 2.850% Jul 15, 2031 ...... 93 ...... 93...... 95 407 International Inc., Series 17-A2, Medium Alimentation Couche-Tard Inc., Series 3, Senior, Term Notes, Senior, Secured, Callable, Unsecured, Notes, 3.899% Nov 1, 2022...... 55 ...... 55...... 57 3.650% Sep 8, 2044 ...... 35...... 36...... 38 Alimentation Couche-Tard Inc., Series 6, Senior, 407 International Inc., Medium Term Notes, Unsecured, Notes, Callable, 3.056% Jul 26, Senior, Secured, Callable, 3.300% Mar 27, 2024 ...... 88 ...... 91...... 92 2045 ...... 10 ...... 11...... 10 Alimentation Couche-Tard Inc., Series 5, Senior, 407 International Inc., Series 15-A2, Secured, Unsecured, Notes, Callable, 3.600% Jun 2, Notes, Callable, 3.830% May 11, 2046...... 191...... 230...... 212 2025 ...... 507 ...... 545...... 544 407 International Inc., Series 16-A1, Medium Allied Properties Real Estate Investment Trust, Term Notes, Secured, Callable, 3.600% Series C, Senior, Unsecured, Notes, Callable, May 21, 2047 ...... 305 ...... 352...... 328 3.636% Apr 21, 2025...... 38 ...... 41...... 40 407 International Inc., Series 18-A1, Medium Allied Properties Real Estate Investment Trust, Term Notes, Senior, Secured, Callable, Series H, Senior, Unsecured, Notes, Callable, 3.720% May 11, 2048 ...... 280...... 299...... 308 1.726% Feb 12, 2026 ...... 150 ...... 147...... 148 407 International Inc., Medium Term Notes, Allied Properties Real Estate Investment Trust, Senior, Secured, Callable, 3.670% Mar 8, Series E, Senior, Unsecured, Debentures, 2049 ...... 150 ...... 160...... 164 Callable, 3.113% Apr 8, 2027...... 100 ...... 100...... 104 407 International Inc., Medium Term Notes, Allied Properties Real Estate Investment Trust, Senior, Secured, Callable, 2.840% Mar 7, Series D, Senior, Unsecured, Debentures, 2050 ...... 260...... 266...... 244 Callable, 3.394% Aug 15, 2029...... 55 ...... 55...... 57 407 International Inc., Medium Term Notes, Allied Properties Real Estate Investment Trust, Senior, Secured, Callable, 3.980% Sep 11, Series F, Senior, Unsecured, Debentures, 2052 ...... 405...... 441...... 465 Callable, 3.117% Feb 21, 2030 ...... 410 ...... 421 ...... 415 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

AltaGas Canada Inc., Medium Term Notes, ATCO Ltd., Series 18-1, Fixed to Floating, Senior, Unsecured, Callable, 3.150% Apr 6, Unsecured, Notes, Subordinated, Callable, 2026 ...... 195 ...... 205 ...... 207 5.500% Nov 1, 2078...... 30 ...... 32 ...... 33 AltaGas Ltd., Medium Term Notes, Senior, Bank of Montreal, Deposit Notes, Senior, Unsecured, 2.609% Dec 16, 2022...... 62 ...... 64 ...... 64 Unsecured, 2.270% Jul 11, 2022# ...... 587 ...... 593...... 598 AltaGas Ltd., Series 10, Medium Term Notes, Bank of Montreal, Deposit Notes, Senior, Unsecured, Callable, 3.570% Jun 12, 2023...... 32 ...... 33 ...... 33 Unsecured, 2.890% Jun 20, 2023# ...... 87 ...... 90 ...... 91 AltaGas Ltd., Series 11, Medium Term Notes, Bank of Montreal, Senior, Unsecured, Notes, Senior, Unsecured, Callable, 4.400% Mar 15, 2.850% Mar 6, 2024# ...... 77 ...... 79 ...... 80 2024 ...... 10 ...... 11 ...... 11 Bank of Montreal, Senior, Unsecured, Notes, AltaGas Ltd., Medium Term Notes, Senior, 2.280% Jul 29, 2024#...... 72 ...... 74 ...... 74 Unsecured, 1.227% Mar 18, 2024...... 138 ...... 138 ...... 137 Bank of Montreal, Deposit Notes, Senior, AltaGas Ltd., Series 15, Medium Term Notes, Unsecured, 2.700% Sep 11, 2024# ...... 495 ...... 516 ...... 519 Senior, Unsecured, Callable, 3.840% Jan 15, Bank of Montreal, Medium Term Notes, Senior, 2025 ...... 52 ...... 54 ...... 56 Unsecured, Callable, 2.370% Feb 3, 2025#...... 62 ...... 63 ...... 64 AltaGas Ltd., Medium Term Notes, Senior, Bank of Montreal, Deposit Notes, Senior, Unsecured, Callable, 2.157% Jun 10, 2025...... 17 ...... 18 ...... 17 Unsecured, 4.609% Sep 10, 2025# ...... 60 ...... 65 ...... 68 AltaGas Ltd., Series 17, Medium Term Notes, Bank of Montreal, Deposit Notes, Senior, Senior, Unsecured, Callable, 4.120% Apr 7, Unsecured, 2.700% Dec 9, 2026# ...... 1,695 ...... 1,810 ...... 1,796 2026 ...... 20 ...... 21 ...... 22 Bank of Montreal, Deposit Notes, Senior, AltaGas Ltd., Medium Term Notes, Senior, Unsecured, 3.190% Mar 1, 2028# ...... 1,080 ...... 1,191 ...... 1,178 Unsecured, Callable, 2.166% Mar 16, 2027...... 350 ...... 350 ...... 350 Bank of Montreal, Fixed to Floating, Notes, AltaGas Ltd., Series 18, Medium Term Notes, Subordinated, Callable, 2.880% Sep 17, Senior, Unsecured, Callable, 3.980% Oct 4, 2029#...... 132 ...... 136 ...... 138 2027 ...... 105 ...... 118 ...... 115 Bank of Montreal, Unsecured, Notes, AltaGas Ltd., Medium Term Notes, Senior, Subordinated, Callable, 2.077% Jun 17, Unsecured, Callable, 2.075% May 30, 2028...... 505 ...... 511 ...... 494 2030#...... 1,082 ...... 1,109 ...... 1,099 AltaGas Ltd., Series 14, Medium Term Notes, Bank of Nova Scotia, The, Deposit Notes, Senior, Unsecured, Callable, 4.500% Aug 15, Senior, Unsecured, 2.360% Nov 8, 2022 ...... 142 ...... 143 ...... 145 2044 ...... 20 ...... 20 ...... 21 Bank of Nova Scotia, The, Deposit Notes, AltaLink, L.P., Series 2012-2, Medium Term Senior, Unsecured, 2.980% Apr 17, 2023 ...... 107 ...... 109 ...... 111 Notes, Secured, 2.978% Nov 28, 2022...... 288 ...... 298 ...... 297 Bank of Nova Scotia, The, Senior, Unsecured, AltaLink, L.P., Series 2013-4, Medium Term Notes, 2.380% May 1, 2023...... 904 ...... 930 ...... 928 Notes, Secured, 3.668% Nov 6, 2023 ...... 155 ...... 159 ...... 165 Bank of Nova Scotia, The, Deposit Notes, AltaLink, L.P., Series 2014-1, Medium Term Senior, Unsecured, 2.290% Jun 28, 2024 ...... 1,200 ...... 1,229 ...... 1,243 Notes, Secured, 3.399% Jun 6, 2024 ...... 35 ...... 37 ...... 37 Bank of Nova Scotia, The, Senior, Unsecured, AltaLink, L.P., Series 2016-1, Medium Term Notes, 2.490% Sep 23, 2024 ...... 572 ...... 593 ...... 594 Notes, Secured, Callable, 2.747% May 29, Bank of Nova Scotia, The, Senior, Unsecured, 2026 ...... 615 ...... 647 ...... 650 Notes, 2.160% Feb 3, 2025...... 62 ...... 63 ...... 64 AltaLink, L.P., Series 2006-1, Medium Term Bank of Nova Scotia, The, Deposit Notes, Notes, Secured, 5.249% Sep 22, 2036 ...... 10 ...... 13 ...... 13 Senior, Unsecured, 2.620% Dec 2, 2026...... 835 ...... 895 ...... 882 AltaLink, L.P., Series 2010-2, Medium Term Bank of Nova Scotia, The, Senior, Unsecured, Notes, Secured, 4.872% Nov 15, 2040...... 10 ...... 13 ...... 13 Notes, 1.400% Nov 1, 2027 ...... 200 ...... 194 ...... 194 AltaLink, L.P., Series 2012-1, Medium Term Bank of Nova Scotia, The, Deposit Notes, Notes, Secured, 3.990% Jun 30, 2042 ...... 280 ...... 335 ...... 319 Senior, Unsecured, 3.100% Feb 2, 2028...... 275 ...... 296 ...... 298 AltaLink, L.P., Series 2013-3, Medium Term Bank of Nova Scotia, The, Fixed to Floating, Notes, Secured, 4.922% Sep 17, 2043 ...... 40 ...... 48 ...... 52 Unsecured, Debentures, Subordinated, AltaLink, L.P., Medium Term Notes, Senior, Callable, 3.890% Jan 18, 2029 ...... 582 ...... 622 ...... 620 Secured, Callable, 4.090% Jun 30, 2045...... 100 ...... 107 ...... 117 Bank of Nova Scotia, The, Fixed to Floating, AltaLink, L.P., Series 2016-2, Medium Term Notes, Subordinated, Callable, 2.836% Jul 3, Notes, Senior, Secured, Callable, 3.717% 2029 ...... 1,172 ...... 1,235 ...... 1,220 Dec 3, 2046...... 510 ...... 636 ...... 566 BCI QuadReal Realty, Series 1, Senior, Secured, ARC Resources Ltd., Senior, Unsecured, Notes, Notes, Callable, 1.680% Mar 3, 2025 ...... 780 ...... 802 ...... 790 Callable, 2.354% Mar 10, 2026...... 175 ...... 175 ...... 176 BCI QuadReal Realty, Senior, Unsecured, Notes, ARC Resources Ltd., Senior, Unsecured, Notes, Callable, 1.747% Jul 24, 2030 ...... 155 ...... 157 ...... 149 Callable, 3.465% Mar 10, 2031...... 200...... 200...... 204 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($) bcIMC Realty Corp., Series A, Senior, Unsecured, Bell Canada, Medium Term Notes, Senior, Notes, Callable, 2.150% Aug 11, 2022 ...... 150 ...... 151 ...... 152 Unsecured, Debentures, Callable, 4.450% bcIMC Realty Corp., Medium Term Notes, Feb 27, 2047 ...... 10 ...... 11...... 11 Senior, Unsecured, Callable, 2.840% Jun 3, Bell Canada, Senior, Unsecured, Notes, 2025 ...... 61 ...... 64 ...... 64 Callable, 3.500% Sep 30, 2050 ...... 180 ...... 197 ...... 169 bcIMC Realty Corp., Medium Term Notes, Bell Canada, Medium Term Notes, Senior, Senior, Unsecured, Callable, 3.000% Mar 31, Unsecured, Callable, 4.050% Mar 17, 2051...... 536 ...... 534...... 556 2027 ...... 355 ...... 378 ...... 378 BMW Canada Inc., Series W, Senior, Unsecured, Bell Canada, Series M-26, Medium Term Notes, Notes, 0.630% Jan 16, 2023 ...... 300 ...... 300 ...... 299 Senior, Unsecured, 3.350% Mar 22, 2023 ...... 290 ...... 300 ...... 300 BMW Canada Inc., Series V, Senior, Unsecured, Bell Canada, Series M-29, Medium Term Notes, Notes, 2.410% Nov 27, 2023 ...... 105 ...... 109...... 108 Senior, Unsecured, Callable, 4.700% Sep 11, British Columbia Ferry Services Inc., 2023 ...... 10 ...... 10 ...... 11 Series 07-1, Senior, Secured, 5.021% Mar 20, Bell Canada, Series M-44, Medium Term Notes, 2037 ...... 10 ...... 13 ...... 13 Senior, Unsecured, Callable, 2.700% Feb 27, British Columbia Ferry Services Inc., 2024 ...... 720 ...... 741 ...... 746 Series 08-1, Senior, Secured, 5.581% Jan 11, Bell Canada, Medium Term Notes, Senior, 2038 ...... 10 ...... 14...... 14 Unsecured, Debentures, Callable, 2.750% British Columbia Ferry Services Inc., Jan 29, 2025...... 205 ...... 216 ...... 214 Series 14-1, Senior, Secured, Notes, Callable, Bell Canada, Series M-47, Medium Term Notes, 4.289% Apr 28, 2044...... 10 ...... 13 ...... 12 Senior, Unsecured, Callable, 3.350% Mar 12, British Columbia Ferry Services Inc., 2025 ...... 305 ...... 325 ...... 324 Series 19-1, Senior, Secured, Callable, Bell Canada, Series M-41, Medium Term Notes, 2.794% Oct 15, 2049...... 323 ...... 332 ...... 311 Senior, Unsecured, Callable, 3.550% Mar 2, Brookfield Asset Management Inc., Medium 2026 ...... 40 ...... 41 ...... 43 Term Notes, Senior, Unsecured, Callable, Bell Canada, Series M-43, Medium Term Notes, 5.040% Mar 8, 2024 ...... 30 ...... 32 ...... 33 Senior, Unsecured, Callable, 2.900% Aug 12, Brookfield Asset Management Inc., Medium 2026 ...... 40 ...... 40 ...... 42 Term Notes, Senior, Unsecured, Callable, Bell Canada, Medium Term Notes, Senior, 4.820% Jan 28, 2026 ...... 130 ...... 147 ...... 147 Unsecured, Callable, 1.650% Aug 16, 2027...... 30 ...... 30 ...... 29 Brookfield Asset Management Inc., Medium Bell Canada, Series M-46, Medium Term Notes, Term Notes, Senior, Unsecured, Callable, Senior, Unsecured, Callable, 3.600% Sep 29, 3.800% Mar 16, 2027...... 830 ...... 906 ...... 907 2027 ...... 470 ...... 513 ...... 508 Brookfield Asset Management Inc., Senior, Bell Canada, Medium Term Notes, Senior, Unsecured, Debentures, 5.950% Jun 14, Unsecured, Callable, 2.200% May 29, 2028...... 170 ...... 170 ...... 170 2035 ...... 35 ...... 41 ...... 44 Bell Canada, Series M-48, Medium Term Notes, Brookfield Infrastructure Finance ULC, Medium Senior, Unsecured, Callable, 3.800% Aug 21, Term Notes, Senior, Unsecured, Callable, 2028 ...... 55 ...... 58 ...... 60 3.315% Feb 22, 2024 ...... 1,310 ...... 1,382 ...... 1,376 Bell Canada, Medium Term Notes, Senior, Brookfield Property Finance ULC, Medium Term Unsecured, Callable, 2.900% Sep 10, 2029...... 299 ...... 321 ...... 308 Notes, Senior, Unsecured, Callable, 4.346% Bell Canada, Medium Term Notes, Senior, Jul 3, 2023...... 115 ...... 115 ...... 120 Unsecured, Callable, 2.500% May 14, 2030...... 10 ...... 10 ...... 10 Brookfield Property Finance ULC, Medium Term Bell Canada, Medium Term Notes, Senior, Notes, Senior, Unsecured, Callable, 3.926% Unsecured, Callable, 3.000% Mar 17, 2031...... 577 ...... 577 ...... 590 Aug 24, 2025 ...... 10 ...... 10 ...... 10 Bell Canada, Series M-11, Medium Term Notes, Brookfield Property Finance ULC, Medium Term Unsecured, 7.850% Apr 2, 2031 ...... 35 ...... 46 ...... 49 Notes, Senior, Unsecured, Callable, 3.930% Bell Canada, Series M-14, Medium Term Notes, Jan 15, 2027...... 10 ...... 10 ...... 10 Unsecured, 7.300% Feb 23, 2032...... 35 ...... 45 ...... 47 Brookfield Renewable Energy Partners ULC, Bell Canada, Series M-17, Medium Term Notes, Medium Term Notes, Senior, Unsecured, Senior, Unsecured, 6.100% Mar 16, 2035 ...... 485 ...... 639 ...... 622 Callable, 3.752% Jun 2, 2025 ...... 337 ...... 368 ...... 362 Bell Canada, Series M-34, Medium Term Notes, Brookfield Renewable Energy Partners ULC, Senior, Unsecured, 6.170% Feb 26, 2037...... 15 ...... 20 ...... 20 Medium Term Notes, Unsecured, Callable, Bell Canada, Series M-31, Medium Term Notes, 3.630% Jan 15, 2027 ...... 135 ...... 146 ...... 147 Senior, Unsecured, Callable, 4.750% Sep 29, Brookfield Renewable Partners ULC, Medium 2044 ...... 490 ...... 596 ...... 558 Term Notes, Senior, Unsecured, Callable, 3.380% Jan 15, 2030 ...... 1,100 ...... 1,223 ...... 1,185 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Brookfield Renewable Partners ULC, Senior, Canadian National Railway Company, Senior, Unsecured, Notes, Callable, 3.330% Aug 13, Unsecured, Notes, Callable, 3.200% Jul 31, 2050 ...... 10 ...... 10 ...... 10 2028 ...... 150 ...... 166...... 161 Bruce Power L.P., Series 2017-1, Senior, Canadian National Railway Company, Senior, Unsecured, Notes, Callable, 3.000% Jun 21, Unsecured, Notes, Callable, 3.000% Feb 8, 2024 ...... 42 ...... 43...... 44 2029 ...... 10 ...... 11...... 11 Bruce Power L.P., Senior, Unsecured, Notes, Canadian National Railway Company, Senior, Callable, 3.969% Jun 23, 2026 ...... 1,305 ...... 1,430...... 1,430 Unsecured, Notes, Callable, 3.950% Sep 22, Bruce Power L.P., Series 2017-2, Senior, 2045 ...... 125 ...... 151 ...... 135 Unsecured, Notes, Callable, 4.010% Jun 21, Canadian National Railway Company, Senior, 2029 ...... 500 ...... 576 ...... 556 Unsecured, Notes, Callable, 3.600% Aug 1, Bruce Power L.P., Series 2018-1, Senior, 2047 ...... 10 ...... 11...... 10 Unsecured, Notes, Callable, 4.132% Jun 21, Canadian National Railway Company, Senior, 2033 ...... 150 ...... 146...... 168 Unsecured, Notes, Callable, 3.600% Jul 31, Cameco Corporation, Series G, Senior, 2048 ...... 100 ...... 118...... 103 Unsecured, Notes, Callable, 4.190% Jun 24, Canadian National Railway Company, Senior, 2024 ...... 35 ...... 36 ...... 37 Unsecured, Notes, Callable, 3.600% Feb 8, Cameco Corporation, Series H, Senior, 2049 ...... 505 ...... 595...... 519 Unsecured, Notes, Callable, 2.950% Oct 21, Canadian National Railway Company, Senior, 2027 ...... 205 ...... 210 ...... 210 Unsecured, Notes, Callable, 3.050% Feb 8, Canadian Imperial Bank of Commerce, Deposit 2050 ...... 355 ...... 374...... 330 Notes, Senior, Unsecured, 2.300% Jul 11, Canadian Natural Resources Limited, Medium 2022 ...... 362 ...... 366 ...... 369 Term Notes, Senior, Unsecured, Callable, Canadian Imperial Bank of Commerce, Deposit 3.550% Jun 3, 2024 ...... 37 ...... 38...... 39 Notes, Senior, Unsecured, 2.470% Dec 5, Canadian Natural Resources Limited, Medium 2022 ...... 117 ...... 118 ...... 120 Term Notes, Senior, Unsecured, Callable, Canadian Imperial Bank of Commerce, Senior, 3.420% Dec 1, 2026 ...... 1,785 ...... 1,851...... 1,903 Unsecured, Notes, 2.430% Jun 9, 2023 ...... 67 ...... 68 ...... 69 Canadian Natural Resources Limited, Senior, Canadian Imperial Bank of Commerce, Deposit Unsecured, Notes, Callable, 2.500% Jan 17, Notes, Senior, Unsecured, 2.970% Jul 11, 2028 ...... 505 ...... 521 ...... 511 2023 ...... 197 ...... 205 ...... 206 Canadian Natural Resources Limited, Medium Canadian Imperial Bank of Commerce, Senior, Term Notes, Senior, Unsecured, Callable, Unsecured, Notes, 3.290% Jan 15, 2024 ...... 537 ...... 569 ...... 566 4.850% May 30, 2047 ...... 25 ...... 27 ...... 28 Canadian Imperial Bank of Commerce, Senior, Canadian Pacific Railway Company, Senior, Unsecured, Notes, 2.350% Aug 28, 2024...... 297 ...... 310 ...... 307 Unsecured, Notes, Callable, 3.150% Mar 13, Canadian Imperial Bank of Commerce, Senior, 2029 ...... 125 ...... 133...... 134 Unsecured, Notes, 2.000% Apr 17, 2025...... 357 ...... 370 ...... 365 Canadian Pacific Railway Company, Medium Canadian Imperial Bank of Commerce, Deposit Term Notes, Senior, Unsecured, 6.450% Notes, Senior, Unsecured, 3.300% May 26, Nov 17, 2039 ...... 25 ...... 33 ...... 36 2025 ...... 1,351 ...... 1,453 ...... 1,457 Canadian Pacific Railway Company, Senior, Canadian Imperial Bank of Commerce, Fixed to Unsecured, Notes, Callable, 3.050% Mar 9, Floating, Unsecured, Debentures, 2050 ...... 10 ...... 10...... 9 Subordinated, Callable, 3.450% Apr 4, 2028...... 127 ...... 134 ...... 132 Canadian Tire Corporation, Limited, Medium Canadian Imperial Bank of Commerce, Fixed to Term Notes, Senior, Unsecured, Callable, Floating, Unsecured, Debentures, 3.167% Jul 6, 2023 ...... 55 ...... 57...... 57 Subordinated, Callable, 2.950% Jun 19, Canadian Utilities Limited, Senior, Unsecured, 2029 ...... 412 ...... 434 ...... 430 Debentures, 3.122% Nov 9, 2022...... 12 ...... 12...... 12 Canadian Imperial Bank of Commerce, Canadian Western Bank, Deposit Notes, Senior, Unsecured, Notes, Subordinated, Callable, Unsecured, 2.924% Dec 15, 2022...... 11 ...... 11...... 11 2.010% Jul 21, 2030 ...... 560 ...... 570 ...... 566 Canadian Western Bank, Deposit Notes, Senior, Canadian Imperial Bank of Commerce, Unsecured, Callable, 2.597% Sep 6, 2024...... 720 ...... 754 ...... 746 Unsecured, Debentures, Subordinated, Canadian Western Bank, Deposit Notes, Senior, Callable, 1.960% Apr 21, 2031...... 225 ...... 225 ...... 225 Unsecured, Callable, 1.926% Apr 16, 2026 ...... 5 ...... 5...... 5 Canadian National Railway Company, Senior, Canadian Western Bank, Deposit Notes, Senior, Unsecured, Notes, Callable, 2.800% Sep 22, Unsecured, Callable, 1.818% Dec 16, 2027...... 200 ...... 193...... 196 2025 ...... 35 ...... 35 ...... 37 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Canadian Western Bank, Series F, Fixed to Choice Properties Real Estate Investment Trust, Floating, Unsecured, Subordinated, Callable, Series M, Unsecured, Notes, Callable, 3.532% 3.668% Jun 11, 2029...... 62 ...... 61 ...... 65 Jun 11, 2029...... 208 ...... 225 ...... 222 Capital City Link General Partnership, Sinking Choice Properties Real Estate Investment Trust, Funds, Secured, Notes, 4.386% Mar 31, Series N, Senior, Unsecured, Debentures, 2046 ...... 23 ...... 25 ...... 26 Callable, 2.981% Mar 4, 2030 ...... 10 ...... 11 ...... 10 Capital Power Corporation, Medium Term CI Financial Corp., Senior, Unsecured, Notes, Senior, Unsecured, Callable, 4.284% Debentures, Callable, 3.215% Jul 22, 2024 ...... 322 ...... 318 ...... 336 Sep 18, 2024...... 35 ...... 36...... 38 CI Financial Corp., Senior, Unsecured, Notes, Capital Power Corporation, Medium Term Callable, 3.759% May 26, 2025 ...... 10...... 11 ...... 11 Notes, Senior, Unsecured, Callable, 4.986% CI Financial Corp., Series 144A, Senior, Jan 23, 2026...... 610 ...... 697 ...... 687 Unsecured, Notes, 3.904% Sep 27, 2027 ...... 100 ...... 105 ...... 107 Capital Power Corporation, Senior, Unsecured, CIBC Capital Trust, Series B, Tier 1 Notes, Fixed Notes, Callable, 3.147% Oct 1, 2032 ...... 10 ...... 10 ...... 10 to Floating, Callable, 10.250% Jun 30, 2108 ...... 50 ...... 64 ...... 53 Caterpillar Financial Services Limited, Medium Cogeco Communications Inc., Series 4, Senior, Term Notes, Senior, Unsecured, 2.090% Secured, Notes, Callable, 4.175% May 26, Sep 12, 2022...... 122 ...... 124 ...... 124 2023 ...... 20 ...... 20 ...... 21 CCL Industries Inc., Series 1, Senior, Unsecured, Concentra Bank, Deposit Notes, Senior, Notes, Callable, 3.864% Apr 13, 2028 ...... 15 ...... 16 ...... 16 Unsecured, 1.462% May 17, 2024...... 393 ...... 393 ...... 393 Cenovus Energy Inc., Senior, Unsecured, Notes, Co-operators Financial Services Limited, Senior, Callable, 3.550% Mar 12, 2025...... 317 ...... 333 ...... 335 Unsecured, Notes, Debentures, Callable, Cenovus Energy Inc., Senior, Unsecured, Notes, 3.327% May 13, 2030 ...... 110 ...... 113 ...... 109 Callable, 3.600% Mar 10, 2027...... 430 ...... 437 ...... 454 Crombie Real Estate Investment Trust, Series E, Cenovus Energy Inc., Senior, Unsecured, Notes, Senior, Unsecured, Notes, Callable, 4.800% Callable, 3.500% Feb 7, 2028 ...... 200 ...... 201 ...... 210 Jan 31, 2025...... 10 ...... 11 ...... 11 Central 1 Credit Union, Deposit Notes, Senior, Crombie Real Estate Investment Trust, Series F, Unsecured, 2.600% Nov 7, 2022 ...... 62 ...... 62 ...... 63 Senior, Unsecured, Notes, Callable, 3.677% Central 1 Credit Union, Senior, Unsecured, Aug 26, 2026 ...... 510 ...... 542 ...... 545 Notes, 2.584% Dec 6, 2023 ...... 232 ...... 241 ...... 240 CT Real Estate Investment Trust, Series B, Central 1 Credit Union, Senior, Unsecured, Senior, Unsecured, Notes, Callable, 3.289% Notes, 1.323% Jan 29, 2026 ...... 60 ...... 60 ...... 59 Jun 1, 2026...... 38 ...... 41 ...... 40 CHIP Mortgage Trust, Series 2020-1, Senior, CT Real Estate Investment Trust, Series F, Notes, Secured, 1.738% Dec 15, 2025 ...... 300 ...... 298 ...... 298 Senior, Unsecured, Notes, Callable, 3.865% Choice Properties L.P., Series 10, Senior, Dec 7, 2027...... 100 ...... 104 ...... 109 Unsecured, Notes, Callable, 3.600% Sep 20, CU Inc., Medium Term Notes, Senior, 2022 ...... 10 ...... 10 ...... 10 Unsecured, 5.896% Nov 20, 2034 ...... 10 ...... 14 ...... 13 Choice Properties Real Estate Investment Trust, CU Inc., Senior, Unsecured, Debentures, Series B, Senior, Unsecured, Notes, Callable, 4.543% Oct 24, 2041...... 40 ...... 46 ...... 48 4.903% Jul 5, 2023 ...... 10 ...... 11 ...... 11 CU Inc., Senior, Unsecured, Debentures, Choice Properties Real Estate Investment Trust, 3.805% Sep 10, 2042 ...... 140 ...... 160 ...... 154 Series D, Senior, Unsecured, Notes, Callable, CU Inc., Senior, Unsecured, Debentures, 4.293% Feb 8, 2024 ...... 10 ...... 11 ...... 11 Callable, 4.722% Sep 9, 2043 ...... 10 ...... 13 ...... 12 Choice Properties Real Estate Investment Trust, CU Inc., Senior, Unsecured, Debentures, Series K, Senior, Unsecured, Notes, Callable, Callable, 4.085% Sep 2, 2044 ...... 50 ...... 54 ...... 57 3.556% Sep 9, 2024 ...... 760 ...... 808 ...... 807 CU Inc., Senior, Unsecured, Debentures, Choice Properties Real Estate Investment Trust, Callable, 3.964% Jul 27, 2045 ...... 173 ...... 207 ...... 196 Series J, Senior, Unsecured, Debentures, CU Inc., Medium Term Notes, Senior, Callable, 3.546% Jan 10, 2025 ...... 30 ...... 30 ...... 32 Unsecured, Callable, 3.763% Nov 19, 2046 ...... 55 ...... 56 ...... 61 Choice Properties Real Estate Investment Trust, CU Inc., Medium Term Notes, Senior, Series F, Senior, Unsecured, Notes, Callable, Unsecured, Callable, 3.548% Nov 22, 2047 ...... 1,605 ...... 1,819 ...... 1,712 4.055% Nov 24, 2025...... 10 ...... 11 ...... 11 CU Inc., Senior, Unsecured, Debentures, Choice Properties Real Estate Investment Trust, Callable, 2.963% Sep 7, 2049 ...... 455 ...... 487 ...... 438 Series L, Senior, Unsecured, Debentures, CU Inc., Senior, Unsecured, Notes, Callable, Callable, 4.178% Mar 8, 2028 ...... 230 ...... 234 ...... 255 2.609% Sep 28, 2050 ...... 100 ...... 99 ...... 89 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

CU Inc., Medium Term Notes, Senior, Enbridge Gas Inc., Medium Term Notes, Senior, Unsecured, Debentures, 3.857% Nov 14, Unsecured, Callable, 2.500% Aug 5, 2026...... 205 ...... 213 ...... 214 2052 ...... 100 ...... 128 ...... 113 Enbridge Gas Inc., Medium Term Notes, Senior, CU Inc., Senior, Unsecured, Notes, Callable, Unsecured, Callable, 2.880% Nov 22, 2027 ...... 495 ...... 525 ...... 526 4.211% Oct 29, 2055...... 84 ...... 108...... 101 Enbridge Gas Inc., Medium Term Notes, Senior, Daimler Canada Finance Inc., Euro Medium Unsecured, Callable, 2.370% Aug 9, 2029...... 215 ...... 219 ...... 220 Term Notes, Senior, Unsecured, 3.300% Enbridge Gas Inc., Medium Term Notes, Senior, Aug 16, 2022 ...... 27 ...... 28 ...... 28 Unsecured, Callable, 2.900% Apr 1, 2030 ...... 205 ...... 226 ...... 216 Daimler Canada Finance Inc., Medium Term Enbridge Gas Inc., Medium Term Notes, Senior, Notes, Senior, Unsecured, 2.570% Nov 22, Unsecured, 6.160% Dec 16, 2033...... 10 ...... 14 ...... 13 2022 ...... 332 ...... 338 ...... 340 Enbridge Gas Inc., Medium Term Notes, Senior, Daimler Canada Finance Inc., Senior, Unsecured, 5.210% Feb 25, 2036...... 10 ...... 13 ...... 13 Unsecured, Notes, 2.540% Aug 21, 2023...... 175 ...... 181 ...... 180 Enbridge Gas Inc., Series 6, Medium Term Daimler Canada Finance Inc., Senior, Notes, Senior, Unsecured, 5.460% Sep 11, Unsecured, Notes, 2.970% Mar 13, 2024...... 32 ...... 33 ...... 33 2036 ...... 10 ...... 14 ...... 13 Daimler Canada Finance Inc., Medium Term Enbridge Gas Inc., Series 7, Medium Term Notes, Senior, Unsecured, 1.650% Sep 22, Notes, Senior, Unsecured, 6.050% Sep 2, 2025 ...... 510 ...... 510 ...... 511 2038 ...... 25 ...... 33 ...... 35 Dollarama Inc., Senior, Unsecured, Notes, Enbridge Gas Inc., Medium Term Notes, Senior, Callable, 2.203% Nov 10, 2022...... 55 ...... 54 ...... 56 Unsecured, 5.200% Jul 23, 2040...... 10 ...... 14 ...... 13 Dollarama Inc., Senior, Unsecured, Notes, Enbridge Gas Inc., Series 9, Medium Term Callable, 3.550% Nov 6, 2023...... 100 ...... 103 ...... 105 Notes, Unsecured, Callable, 4.880% Jun 21, Dollarama Inc., Senior, Unsecured, Notes, 2041 ...... 20 ...... 24 ...... 25 Callable, 1.871% Jul 8, 2026 ...... 243 ...... 243 ...... 243 Enbridge Gas Inc., Medium Term Notes, Senior, Dollarama Inc., Senior, Unsecured, Notes, Unsecured, Callable, 4.500% Nov 23, 2043 ...... 10 ...... 13 ...... 12 Callable, 1.505% Sep 20, 2027 ...... 10 ...... 10 ...... 10 Enbridge Gas Inc., Series 12, Medium Term Dollarama Inc., Senior, Unsecured, Notes, Notes, Senior, Unsecured, Callable, 4.200% Callable, 2.443% Jul 9, 2029 ...... 231 ...... 231 ...... 232 Jun 2, 2044...... 25 ...... 28 ...... 29 Dream Industrial Real Estate Investment Trust, Enbridge Gas Inc., Medium Term Notes, Senior, Series JUN, Senior, Unsecured, Debentures, Unsecured, Callable, 4.000% Aug 22, 2044...... 30 ...... 33 ...... 34 Callable, 1.662% Dec 22, 2025 ...... 520 ...... 520 ...... 517 Enbridge Gas Inc., Medium Term Notes, Senior, Dream Industrial Real Estate Investment Trust, Unsecured, Callable, 3.590% Nov 22, 2047 ...... 100 ...... 121 ...... 107 Series C, Senior, Unsecured, Debentures, Enbridge Gas Inc., Medium Term Notes, Senior, Callable, 2.057% Jun 17, 2027 ...... 240 ...... 240 ...... 239 Unsecured, Callable, 3.510% Nov 29, 2047 ...... 325 ...... 343 ...... 345 E-L Financial Corporation Limited, Senior, Enbridge Gas Inc., Medium Term Notes, Senior, Unsecured, Notes, Callable, 4.000% Jun 22, Unsecured, Callable, 3.010% Aug 9, 2049...... 425 ...... 451 ...... 413 2050 ...... 10 ...... 11 ...... 10 Enbridge Gas Inc., Medium Term Notes, Senior, Emera Incorporated, Series 2016-1, Senior, Unsecured, Callable, 3.650% Apr 1, 2050 ...... 455 ...... 558 ...... 496 Unsecured, Notes, 2.900% Jun 16, 2023...... 545 ...... 566 ...... 564 Enbridge Gas Inc., Medium Term Notes, Senior, Empire Life Insurance Company, The, Fixed to Unsecured, 4.950% Nov 22, 2050 ...... 10 ...... 15 ...... 13 Floating, Unsecured, Debentures, Enbridge Inc., Medium Term Notes, Senior, Subordinated, Callable, 3.664% Mar 15, Unsecured, 3.190% Dec 5, 2022...... 110 ...... 112 ...... 114 2028 ...... 22 ...... 23 ...... 23 Enbridge Inc., Medium Term Notes, Senior, Enbridge Gas Inc., Series 10, Medium Term Unsecured, 3.940% Jan 13, 2023...... 17 ...... 18 ...... 18 Notes, Unsecured, Callable, 3.790% Jul 10, Enbridge Inc., Medium Term Notes, Senior, 2023 ...... 61...... 65...... 64 Unsecured, Callable, 3.940% Jun 30, 2023...... 59 ...... 61 ...... 62 Enbridge Gas Inc., Medium Term Notes, Senior, Enbridge Inc., Medium Term Notes, Senior, Unsecured, Callable, 3.150% Aug 22, 2024...... 10 ...... 11 ...... 11 Unsecured, Callable, 3.950% Nov 19, 2024 ...... 52 ...... 54 ...... 56 Enbridge Gas Inc., Medium Term Notes, Senior, Enbridge Inc., Medium Term Notes, Senior, Unsecured, Callable, 3.310% Sep 11, 2025...... 35...... 38...... 38 Unsecured, Callable, 2.440% Jun 2, 2025...... 17 ...... 18 ...... 18 Enbridge Gas Inc., Series 13, Medium Term Enbridge Inc., Medium Term Notes, Senior, Notes, Senior, Unsecured, Callable, 3.190% Unsecured, Callable, 3.200% Jun 8, 2027...... 980 ...... 1,024 ...... 1,035 Sep 17, 2025...... 205 ...... 219 ...... 219 Enbridge Inc., Medium Term Notes, Senior, Enbridge Gas Inc., Medium Term Notes, Senior, Unsecured, Callable, 2.990% Oct 3, 2029 ...... 605 ...... 651 ...... 625 Unsecured, Callable, 2.810% Jun 1, 2026...... 105...... 113...... 111 Enbridge Inc., Medium Term Notes, Senior, Unsecured, 7.220% Jul 24, 2030...... 10 ...... 13 ...... 13 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Enbridge Inc., Medium Term Notes, Senior, EPCOR Utilities Inc., Medium Term Notes, Unsecured, 7.200% Jun 18, 2032...... 51 ...... 70...... 68 Senior, Unsecured, Callable, 3.554% Nov 27, Enbridge Inc., Medium Term Notes, Senior, 2047 ...... 95 ...... 110 ...... 102 Unsecured, 5.570% Nov 14, 2035 ...... 10 ...... 12...... 12 EPCOR Utilities Inc., Medium Term Notes, Enbridge Inc., Medium Term Notes, Unsecured, Senior, Unsecured, Callable, 3.106% Jul 8, 4.240% Aug 27, 2042...... 30...... 29...... 31 2049 ...... 400 ...... 434...... 396 Enbridge Inc., Medium Term Notes, Senior, Equitable Bank, Deposit Notes, Senior, Unsecured, Callable, 4.570% Mar 11, 2044...... 285 ...... 298...... 307 Unsecured, 2.948% Sep 26, 2022...... 22 ...... 22 ...... 23 Enbridge Inc., Medium Term Notes, Senior, Equitable Bank, Deposit Notes, Senior, Unsecured, Callable, 4.870% Nov 21, 2044 ...... 100 ...... 114 ...... 112 Unsecured, 1.774% Sep 21, 2023...... 10...... 10 ...... 10 Enbridge Pipelines Inc., Medium Term Notes, Equitable Bank, Deposit Notes, Senior, Senior, Unsecured, 2.930% Nov 30, 2022 ...... 12 ...... 12...... 12 Unsecured, 1.876% Nov 26, 2025 ...... 489 ...... 491 ...... 484 Enbridge Pipelines Inc., Medium Term Notes, Fairfax Financial Holdings Limited, Senior, Senior, Unsecured, Callable, 3.790% Aug 17, Unsecured, Notes, 4.950% Mar 3, 2025...... 45...... 47 ...... 50 2023 ...... 15 ...... 16...... 16 Fairfax Financial Holdings Limited, Senior, Enbridge Pipelines Inc., Medium Term Notes, Unsecured, Notes, Callable, 4.700% Dec 16, Senior, Unsecured, Callable, 3.450% Sep 29, 2026 ...... 35 ...... 37...... 39 2025 ...... 145 ...... 156...... 156 Fairfax Financial Holdings Limited, Senior, Enbridge Pipelines Inc., Medium Term Notes, Unsecured, Notes, Callable, 4.250% Dec 6, Senior, Unsecured, Callable, 3.000% Aug 10, 2027 ...... 29 ...... 29 ...... 32 2026 ...... 70 ...... 70...... 74 Fairfax Financial Holdings Limited, Senior, Enbridge Pipelines Inc., Medium Term Notes, Unsecured, Notes, Callable, 4.230% Jun 14, Unsecured, Callable, 3.520% Feb 22, 2029...... 55 ...... 58 ...... 60 2029 ...... 60...... 61 ...... 65 Enbridge Pipelines Inc., Medium Term Notes, Federated Co-Operatives Limited, Senior, Senior, Unsecured, Callable, 2.820% May 12, Unsecured, Notes, Callable, 3.917% Jun 17, 2031 ...... 100 ...... 100...... 101 2025 ...... 55...... 58 ...... 58 Enbridge Pipelines Inc., Medium Term Notes, Federation des caisses Desjardins du Quebec, Senior, Unsecured, 5.080% Dec 19, 2036 ...... 10 ...... 12 ...... 12 Medium Term Notes, Senior, Unsecured, Enbridge Pipelines Inc., Medium Term Notes, 2.394% Aug 25, 2022...... 102 ...... 103 ...... 104 Senior, Unsecured, 5.350% Nov 10, 2039 ...... 64 ...... 80...... 76 Federation des caisses Desjardins du Quebec, Enbridge Pipelines Inc., Medium Term Notes, Medium Term Notes, Senior, Unsecured, Senior, Unsecured, 5.330% Apr 6, 2040 ...... 30 ...... 36...... 36 3.056% Sep 11, 2023 ...... 332 ...... 346 ...... 348 Enbridge Pipelines Inc., Medium Term Notes, Federation des caisses Desjardins du Quebec, Senior, Unsecured, Callable, 4.550% Aug 17, Senior, Unsecured, Notes, 2.417% Oct 4, 2043 ...... 260 ...... 308...... 285 2024 ...... 72 ...... 74 ...... 75 Enbridge Pipelines Inc., Medium Term Notes, Federation des caisses Desjardins du Quebec, Senior, Unsecured, Callable, 4.550% Sep 29, Unsecured, Notes, Subordinated, Callable, 2045 ...... 15 ...... 17...... 17 2.856% May 26, 2030 ...... 510 ...... 534 ...... 531 Enbridge Pipelines Inc., Medium Term Notes, First Capital Real Estate Investment Trust, Unsecured, Callable, 4.330% Feb 22, 2049...... 1,465 ...... 1,728...... 1,572 Series P, Senior, Unsecured, Debentures, Enbridge Pipelines Inc., Medium Term Notes, 3.950% Dec 5, 2022 ...... 25 ...... 26 ...... 26 Senior, Unsecured, Callable, 4.200% May 12, First Capital Real Estate Investment Trust, 2051 ...... 125 ...... 125...... 132 Series Q, Senior, Unsecured, Debentures, Energir Inc., Series V, Senior, Secured, Callable, 3.900% Oct 30, 2023...... 46 ...... 47 ...... 48 2.100% Apr 16, 2027...... 10 ...... 11 ...... 10 First Capital Real Estate Investment Trust, ENMAX Corporation, Series 6, Senior, Series R, Senior, Unsecured, Debentures, Unsecured, Debentures, Callable, 3.331% 4.790% Aug 30, 2024...... 20 ...... 21 ...... 22 Jun 2, 2025...... 200 ...... 215 ...... 212 First Capital Real Estate Investment Trust, ENMAX Corporation, Series 4, Senior, Series S, Senior, Unsecured, Debentures, Unsecured, Debentures, Callable, 3.836% 4.323% Jul 31, 2025 ...... 870 ...... 906 ...... 941 Jun 5, 2028...... 50 ...... 54...... 54 First Capital Real Estate Investment Trust, EPCOR Utilities Inc., Medium Term Notes, Series T, Senior, Unsecured, Debentures, Senior, Unsecured, 5.750% Nov 24, 2039 ...... 10 ...... 14...... 14 Callable, 3.604% May 6, 2026 ...... 83...... 84...... 87 EPCOR Utilities Inc., Medium Term Notes, First Capital Real Estate Investment Trust, Senior, Unsecured, 4.550% Feb 28, 2042...... 20 ...... 23...... 24 Series U, Senior, Unsecured, Debentures, Callable, 3.753% Jul 12, 2027 ...... 246 ...... 265 ...... 260 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

First National Financial Corporation, Series 2, Granite REIT Holdings Limited Partnership, Senior, Unsecured, Notes, 3.582% Nov 25, Series 3, Senior, Unsecured, Notes, Callable, 2024 ...... 22 ...... 22 ...... 23 3.873% Nov 30, 2023...... 46 ...... 48 ...... 49 Fortis Inc., Senior, Unsecured, Notes, Callable, Granite REIT Holdings Limited Partnership, 2.850% Dec 12, 2023 ...... 50 ...... 51 ...... 52 Series 4, Senior, Unsecured, Debentures, Fortis Inc., Senior, Unsecured, Notes, Callable, Callable, 3.062% Jun 4, 2027 ...... 10 ...... 11 ...... 11 2.180% May 15, 2028 ...... 131 ...... 131 ...... 132 Granite REIT Holdings Limited Partnership, FortisAlberta Inc., Medium Term Notes, Senior, Series 5, Senior, Unsecured, Debentures, Unsecured, Callable, 3.300% Sep 30, 2024...... 10 ...... 11 ...... 11 Callable, 2.378% Dec 18, 2030 ...... 10 ...... 10...... 10 FortisAlberta Inc., Medium Term Notes, Senior, Greater Toronto Airports Authority, Series 20-1, Unsecured, Callable, 4.850% Sep 11, 2043...... 10 ...... 14 ...... 13 Secured, Notes, Callable, 1.540% May 3, FortisAlberta Inc., Medium Term Notes, Senior, 2028 ...... 500 ...... 509 ...... 489 Unsecured, Callable, 4.270% Sep 22, 2045...... 200 ...... 240 ...... 237 Greater Toronto Airports Authority, Senior, FortisAlberta Inc., Medium Term Notes, Senior, Secured, Notes, Callable, 2.730% Apr 3, Unsecured, Callable, 3.734% Sep 18, 2048...... 75 ...... 93 ...... 83 2029 ...... 1,407 ...... 1,526 ...... 1,476 FortisAlberta Inc., Senior, Unsecured, Notes, Greater Toronto Airports Authority, Series 99-1, Debentures, Callable, 2.632% Jun 8, 2051 ...... 466 ...... 455 ...... 418 Revenue Bonds, 6.450% Jul 30, 2029...... 5 ...... 7 ...... 6 FortisBC Energy Inc., Series 27, Medium Term Greater Toronto Airports Authority, Notes, Senior, Unsecured, Callable, 2.580% Series 2000-1, Medium Term Notes, Senior, Apr 8, 2026 ...... 105 ...... 112 ...... 110 Secured, 7.050% Jun 12, 2030...... 35 ...... 46 ...... 48 FortisBC Energy Inc., Medium Term Notes, Greater Toronto Airports Authority, Senior, Unsecured, Callable, 2.420% Jul 18, Series 2002-3, Medium Term Notes, Secured, 2031 ...... 100 ...... 100 ...... 101 6.980% Oct 15, 2032...... 35 ...... 48 ...... 49 FortisBC Energy Inc., Medium Term Notes, Greater Toronto Airports Authority, Unsecured, 6.000% Oct 2, 2037 ...... 160 ...... 215 ...... 221 Series 2018-1, Secured, Notes, Callable, FortisBC Energy Inc., Senior, Unsecured, 3.260% Jun 1, 2037 ...... 15 ...... 16 ...... 16 Debentures, 6.050% Feb 15, 2038 ...... 10 ...... 15 ...... 14 Greater Toronto Airports Authority, Series 19-2, FortisBC Energy Inc., Series 23, Medium Term Senior, Secured, Notes, Callable, 2.750% Notes, Unsecured, 5.800% May 13, 2038 ...... 160 ...... 212 ...... 217 Oct 17, 2039 ...... 605 ...... 616 ...... 586 FortisBC Energy Inc., Medium Term Notes, Greater Toronto Airports Authority, Senior, Unsecured, Debentures, Callable, Series 2011-1, Medium Term Notes, Senior, 3.375% Apr 13, 2045...... 10 ...... 11 ...... 10 Secured, 5.300% Feb 25, 2041 ...... 25 ...... 32 ...... 33 FortisBC Energy Inc., Medium Term Notes, Great-West Lifeco Inc., Senior, Unsecured, Senior, Unsecured, Callable, 3.850% Dec 7, Notes, Callable, 3.337% Feb 28, 2028...... 240 ...... 264 ...... 261 2048 ...... 75 ...... 78 ...... 85 Great-West Lifeco Inc., Senior, Unsecured, FortisBC Energy Inc., Medium Term Notes, Debentures, Callable, 2.379% May 14, Senior, Unsecured, Debentures, Callable, 2030 ...... 110 ...... 117 ...... 111 2.540% Jul 13, 2050 ...... 300 ...... 283 ...... 268 Great-West Lifeco Inc., Senior, Unsecured, Gaz Metro inc., Series J, First Mortgage, Notes, 6.740% Nov 24, 2031 ...... 19 ...... 27 ...... 26 Secured, 5.700% Jul 10, 2036...... 10 ...... 14 ...... 13 Great-West Lifeco Inc., Senior, Unsecured, General Motors Financial of Canada, Ltd., Notes, 5.998% Nov 16, 2039 ...... 35 ...... 45 ...... 48 Series 5, Senior, Unsecured, Notes, 3.250% Great-West Lifeco Inc., Senior, Unsecured, Nov 7, 2023...... 22 ...... 22 ...... 23 Notes, Callable, 2.981% Jul 8, 2050...... 310 ...... 294 ...... 292 General Motors Financial of Canada, Ltd., H&R Real Estate Investment Trust, Series O, Senior, Unsecured, Notes, 5.950% May 14, Senior, Unsecured, Notes, Callable, 3.416% 2024 ...... 100 ...... 114 ...... 112 Jan 23, 2023...... 26 ...... 26 ...... 27 General Motors Financial of Canada, Ltd., H&R Real Estate Investment Trust, Series N, Senior, Unsecured, Notes, Callable, 1.750% Senior, Unsecured, Notes, Callable, 3.369% Apr 15, 2026 ...... 200 ...... 197 ...... 198 Jan 30, 2024...... 31 ...... 31 ...... 32 Gibson Energy Inc., Medium Term Notes, H&R Real Estate Investment Trust, Series Q, Senior, Unsecured, Callable, 2.450% Jul 14, Senior, Unsecured, Notes, Callable, 4.071% 2025 ...... 355 ...... 367 ...... 364 Jun 16, 2025...... 10 ...... 11 ...... 11 Gibson Energy Inc., Medium Term Notes, H&R Real Estate Investment Trust, Series R, Senior, Unsecured, Callable, 3.600% Sep 17, Senior, Unsecured, Callable, 2.906% Jun 2, 2029 ...... 100 ...... 109 ...... 106 2026 ...... 100...... 100...... 101 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

HCN Canadian Holdings-1 LP, Senior, Unsecured, Hydro One Inc., Series 36, Medium Term Notes, Callable, 2.950% Jan 15, 2027 ...... 10 ...... 11 ...... 10 Senior, Unsecured, Callable, 3.910% Feb 23, Honda Canada Finance, Inc., Senior, Unsecured, 2046 ...... 100 ...... 102 ...... 113 Notes, 2.268% Jul 15, 2022 ...... 52 ...... 52 ...... 53 Hydro One Inc., Medium Term Notes, Senior, Honda Canada Finance, Inc., Senior, Unsecured, Unsecured, 5.000% Oct 19, 2046 ...... 75 ...... 104 ...... 100 Notes, 2.488% Dec 19, 2022 ...... 77 ...... 77...... 79 Hydro One Inc., Series 38, Medium Term Notes, Honda Canada Finance, Inc., Senior, Unsecured, Senior, Unsecured, Callable, 3.720% Nov 18, Notes, 2.537% Mar 1, 2023 ...... 50 ...... 50 ...... 51 2047 ...... 1,615 ...... 1,911 ...... 1,786 Honda Canada Finance, Inc., Senior, Unsecured, Hydro One Inc., Medium Term Notes, Senior, Notes, 3.176% Aug 28, 2023 ...... 22...... 23 ...... 23 Unsecured, Callable, 3.630% Jun 25, 2049...... 215 ...... 253 ...... 235 Honda Canada Finance, Inc., Senior, Unsecured, Hydro One Inc., Medium Term Notes, Senior, Notes, 2.500% Jun 4, 2024 ...... 32 ...... 33 ...... 33 Unsecured, Callable, 2.710% Feb 28, 2050...... 354 ...... 354 ...... 327 Honda Canada Finance, Inc., Senior, Unsecured, Hydro One Inc., Medium Term Notes, Senior, Notes, 3.444% May 23, 2025...... 117 ...... 123 ...... 126 Unsecured, Callable, 3.640% Apr 5, 2050 ...... 1,074 ...... 1,148...... 1,178 Honda Canada Finance, Inc., Senior, Unsecured, Hydro One Inc., Medium Term Notes, Senior, Notes, 1.646% Feb 25, 2028...... 738 ...... 738 ...... 724 Unsecured, 3.790% Jul 31, 2062...... 205 ...... 203 ...... 231 HSBC Bank Canada, Deposit Notes, Senior, Hydro One Limited, Senior, Unsecured, Notes, Unsecured, 2.253% Sep 15, 2022...... 292 ...... 298 ...... 297 Callable, 1.410% Oct 15, 2027...... 255 ...... 258 ...... 248 HSBC Bank Canada, Deposit Notes, Senior, Hyundai Capital Canada Inc., Series A, Senior, Unsecured, 2.542% Jan 31, 2023...... 912 ...... 925 ...... 937 Unsecured, Notes, Callable, 2.008% May 12, HSBC Bank Canada, Deposit Notes, Senior, 2026 ...... 46 ...... 46 ...... 46 Unsecured, 3.245% Sep 15, 2023...... 72 ...... 74 ...... 75 iA Financial Corporation Inc., Unsecured, Hydro One Inc., Medium Term Notes, Senior, Debentures, Subordinated, Callable, 2.400% Unsecured, 0.710% Jan 16, 2023...... 10 ...... 10 ...... 10 Feb 21, 2030 ...... 1,260 ...... 1,313 ...... 1,294 Hydro One Inc., Medium Term Notes, Senior, iA Financial Corporation Inc., Senior, Unsecured, Unsecured, Callable, 2.540% Apr 5, 2024 ...... 592 ...... 620 ...... 616 Notes, Subordinated, Callable, 3.072% Hydro One Inc., Medium Term Notes, Senior, Sep 24, 2031...... 100 ...... 107 ...... 105 Unsecured, Callable, 1.760% Feb 28, 2025...... 10 ...... 10 ...... 10 IGM Financial Inc., Senior, Unsecured, Notes, Hydro One Inc., Medium Term Notes, Senior, Callable, 3.440% Jan 26, 2027 ...... 50 ...... 53 ...... 54 Unsecured, Callable, 2.970% Jun 26, 2025...... 25 ...... 27 ...... 27 IGM Financial Inc., Senior, Unsecured, Notes, Hydro One Inc., Series 35, Medium Term Notes, Callable, 6.000% Dec 10, 2040 ...... 10 ...... 14 ...... 13 Senior, Unsecured, Callable, 2.770% Feb 24, IGM Financial Inc., Senior, Unsecured, Notes, 2026 ...... 105...... 103 ...... 111 Callable, 4.560% Jan 25, 2047 ...... 10 ...... 12 ...... 12 Hydro One Inc., Medium Term Notes, Senior, IGM Financial Inc., Senior, Unsecured, Unsecured, Callable, 3.020% Apr 5, 2029 ...... 140 ...... 149 ...... 150 Debentures, Callable, 4.115% Dec 9, 2047 ...... 100 ...... 106 ...... 111 Hydro One Inc., Medium Term Notes, Senior, IGM Financial Inc., Senior, Unsecured, Unsecured, Callable, 2.160% Feb 28, 2030...... 10 ...... 11 ...... 10 Debentures, Callable, 4.174% Jul 13, 2048 ...... 10 ...... 12...... 11 Hydro One Inc., Medium Term Notes, Senior, IGM Financial Inc., Senior, Unsecured, Notes, Unsecured, 6.930% Jun 1, 2032...... 15 ...... 21 ...... 21 Callable, 4.206% Mar 21, 2050...... 10 ...... 12 ...... 11 Hydro One Inc., Series 4, Medium Term Notes, Industrial Alliance Insurance and Financial Unsecured, 6.350% Jan 31, 2034...... 100 ...... 142 ...... 137 Services Inc., Fixed to Floating, Notes, Hydro One Inc., Series 9, Medium Term Notes, Subordinated, Callable, 3.300% Sep 15, Senior, Unsecured, 5.360% May 20, 2036...... 10 ...... 14 ...... 13 2028 ...... 57 ...... 59 ...... 60 Hydro One Inc., Series 12, Medium Term Notes, Intact Financial Corporation, Senior, Unsecured, Senior, Unsecured, 4.890% Mar 13, 2037 ...... 147 ...... 190 ...... 183 Notes, 1.207% May 21, 2024...... 36 ...... 36 ...... 36 Hydro One Inc., Series 17, Medium Term Notes, Intact Financial Corporation, Medium Term Senior, Unsecured, 6.030% Mar 3, 2039 ...... 69 ...... 101 ...... 97 Notes, Senior, Unsecured, Callable, 3.691% Hydro One Inc., Series 18, Medium Term Notes, Mar 24, 2025...... 1,110 ...... 1,215 ...... 1,198 Senior, Unsecured, 5.490% Jul 16, 2040...... 102 ...... 143 ...... 137 Intact Financial Corporation, Series 6, Medium Hydro One Inc., Series 23, Medium Term Notes, Term Notes, Senior, Unsecured, Callable, Senior, Unsecured, 4.390% Sep 26, 2041...... 10 ...... 13 ...... 12 3.770% Mar 2, 2026 ...... 200 ...... 220...... 218 Hydro One Inc., Series 29, Medium Term Notes, Intact Financial Corporation, Series 7, Medium Senior, Unsecured, Callable, 4.590% Oct 9, Term Notes, Senior, Unsecured, Callable, 2043 ...... 101...... 130 ...... 124 2.850% Jun 7, 2027 ...... 130 ...... 138 ...... 137 Intact Financial Corporation, Senior, Unsecured, Notes, Callable, 2.179% May 18, 2028 ...... 121 ...... 121 ...... 122 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Intact Financial Corporation, Series 2, Medium Loblaw Companies Limited, Series 2023, Term Notes, Senior, Unsecured, 6.400% Senior, Unsecured, Notes, Callable, 4.860% Nov 23, 2039 ...... 10 ...... 15 ...... 14 Sep 12, 2023...... 780 ...... 829 ...... 837 Intact Financial Corporation, Medium Term Loblaw Companies Limited, Senior, Unsecured, Notes, Senior, Unsecured, Callable, 2.954% Notes, Callable, 3.918% Jun 10, 2024 ...... 55 ...... 59 ...... 59 Dec 16, 2050...... 10 ...... 10 ...... 9 Loblaw Companies Limited, Senior, Unsecured, Intact Financial Corporation, Senior, Unsecured, Notes, Callable, 4.488% Dec 11, 2028 ...... 55 ...... 61 ...... 63 Notes, Callable, 3.765% May 20, 2053...... 47 ...... 47 ...... 51 Loblaw Companies Limited, Medium Term Inter Pipeline Ltd., Series 8, Medium Term Notes, Senior, Unsecured, 6.500% Jan 22, Notes, Senior, Unsecured, Callable, 2.608% 2029 ...... 18 ...... 23 ...... 23 Sep 13, 2023...... 132 ...... 135 ...... 136 Loblaw Companies Limited, Senior, Unsecured, Inter Pipeline Ltd., Series 7, Medium Term Notes, Callable, 2.284% May 7, 2030...... 10 ...... 10 ...... 10 Notes, Senior, Unsecured, Callable, 2.734% Loblaw Companies Limited, Medium Term Apr 18, 2024 ...... 62 ...... 62 ...... 64 Notes, Senior, Unsecured, 5.900% Jan 18, Inter Pipeline Ltd., Series 7, Medium Term 2036 ...... 25 ...... 29 ...... 32 Notes, Senior, Unsecured, Callable, 3.173% Lower Mattagami Energy Limited Partnership, Mar 24, 2025...... 40 ...... 40 ...... 42 Series 21-1, Senior, Secured, Notes, Callable, Inter Pipeline Ltd., Series 9, Medium Term 2.433% May 14, 2031 ...... 74 ...... 74 ...... 75 Notes, Senior, Unsecured, Callable, 3.484% Magna International Inc., Senior, Unsecured, Dec 16, 2026...... 130 ...... 136 ...... 138 Notes, Callable, 3.100% Dec 15, 2022 ...... 68 ...... 69 ...... 70 Inter Pipeline Ltd., Medium Term Notes, Senior, Manufacturers Life Insurance Company, The, Unsecured, Callable, 4.232% Jun 1, 2027...... 10 ...... 11 ...... 11 Fixed to Floating, Notes, Subordinated, Ivanhoe Cambridge II Inc., Series 1, Senior, Callable, 3.181% Nov 22, 2027...... 1,227...... 1,268 ...... 1,266 Unsecured, Debentures, Callable, 2.909% Manulife Bank of Canada, Deposit Notes, Jun 27, 2023...... 26 ...... 27 ...... 27 Senior, Unsecured, 2.844% Jan 12, 2023...... 92 ...... 94 ...... 95 Ivanhoe Cambridge II Inc., Series 2, Senior, Manulife Bank of Canada, Deposit Notes, Unsecured, Debentures, Callable, 2.296% Senior, Unsecured, 2.378% Nov 19, 2024 ...... 322 ...... 334 ...... 334 Dec 12, 2024...... 31 ...... 32 ...... 32 Manulife Bank of Canada, Deposit Notes, John Deere Canada Funding Inc., Medium Term Senior, Unsecured, 1.504% Jun 25, 2025 ...... 10 ...... 10 ...... 10 Notes, Senior, Unsecured, 2.630% Sep 21, Manulife Bank of Canada, Deposit Notes, 2022 ...... 155 ...... 154 ...... 159 Senior, Unsecured, 1.337% Feb 26, 2026...... 400 ...... 400 ...... 396 John Deere Canada Funding Inc., Series 18-01, Manulife Finance (Delaware), L.P., Fixed to Medium Term Notes, Senior, Unsecured, Floating, Unsecured, Debentures, 2.700% Jan 17, 2023 ...... 77 ...... 77 ...... 79 Subordinated, Callable, 5.059% Dec 15, John Deere Canada Funding Inc., Medium Term 2041 ...... 25 ...... 28 ...... 30 Notes, Senior, Unsecured, 3.020% Jul 13, Manulife Financial Corporation, Fixed to 2023 ...... 25 ...... 26 ...... 26 Floating, Unsecured, Debentures, John Deere Financial Inc., Medium Term Notes, Subordinated, Callable, 3.317% May 9, Senior, Unsecured, 2.460% Apr 4, 2024 ...... 500 ...... 521 ...... 519 2028 ...... 27...... 28 ...... 28 John Deere Financial Inc., Senior, Unsecured, Manulife Financial Corporation, Fixed to Notes, 2.410% Jan 14, 2025 ...... 232 ...... 245 ...... 241 Floating, Unsecured, Debentures, John Deere Financial Inc., Senior, Unsecured, Subordinated, Callable, 3.049% Aug 20, Notes, 1.630% Apr 9, 2026 ...... 12 ...... 12 ...... 12 2029 ...... 57 ...... 59 ...... 60 John Deere Financial Inc., Medium Term Notes, Manulife Financial Corporation, Unsecured, Senior, Unsecured, 2.580% Oct 16, 2026 ...... 325 ...... 341 ...... 340 Notes, Subordinated, Callable, 2.237% John Deere Financial Inc., Senior, Unsecured, May 12, 2030 ...... 10...... 10...... 10 Notes, 1.340% Sep 8, 2027...... 671 ...... 675 ...... 651 Manulife Financial Corporation, Unsecured, Keyera Corp., Medium Term Notes, Senior, Notes, Subordinated, Callable, 2.818% Unsecured, Callable, 3.934% Jun 21, 2028...... 100 ...... 109 ...... 108 May 13, 2035 ...... 360 ...... 383 ...... 368 Laurentian Bank of Canada, Deposit Notes, MCAP Commercial LP, Senior, Secured, Notes, Senior, Unsecured, 3.000% Sep 12, 2022...... 37 ...... 38 ...... 38 Callable, 3.384% Nov 26, 2027...... 196...... 199...... 198 Laurentian Bank of Canada, Deposit Notes, Metro Inc., Medium Term Notes, Senior, Senior, Unsecured, 3.450% Jun 27, 2023 ...... 32 ...... 33 ...... 33 Unsecured, Callable, 2.680% Dec 5, 2022...... 80 ...... 81 ...... 82 Liberty Utilities (Canada) LP, Senior, Unsecured, Metro Inc., Medium Term Notes, Senior, Debentures, Callable, 3.315% Feb 14, 2050 ...... 10 ...... 10 ...... 9 Unsecured, Callable, 3.390% Dec 6, 2027...... 2,285...... 2,473...... 2,464 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Metro Inc., Medium Term Notes, Senior, North West Redwater Partnership/NWR Unsecured, 5.970% Oct 15, 2035 ...... 35 ...... 42 ...... 45 Financing Company Ltd., Series N, Senior, Metro Inc., Medium Term Notes, Senior, Secured, Notes, Callable, 2.800% Jun 1, Unsecured, Callable, 5.030% Dec 1, 2044...... 10 ...... 13...... 12 2031 ...... 187 ...... 187...... 188 Metro Inc., Medium Term Notes, Senior, North West Redwater Partnership/NWR Unsecured, Callable, 4.270% Dec 4, 2047...... 25 ...... 25 ...... 27 Financing Company Ltd., Series H, Secured, Metro Inc., Senior, Unsecured, Notes, Callable, Notes, Callable, 4.150% Jun 1, 2033 ...... 310 ...... 351...... 343 3.413% Feb 28, 2050 ...... 150 ...... 137 ...... 143 North West Redwater Partnership/NWR Morguard Corporation, Series E, Senior, Financing Company Ltd., Series K, Senior, Unsecured, 4.715% Jan 25, 2024...... 100 ...... 100 ...... 102 Secured, Notes, Callable, 3.650% Jun 1, National Bank of Canada, Senior, Unsecured, 2035 ...... 40 ...... 40 ...... 42 Notes, 2.983% Mar 4, 2024 ...... 172 ...... 176 ...... 180 North West Redwater Partnership/NWR National Bank of Canada, Senior, Unsecured, Financing Company Ltd., Series G, Secured, Notes, 2.545% Jul 12, 2024 ...... 52 ...... 54 ...... 54 Notes, Callable, 4.750% Jun 1, 2037 ...... 130 ...... 147 ...... 152 National Bank of Canada, Senior, Unsecured, North West Redwater Partnership/NWR Notes, 2.580% Feb 3, 2025...... 32 ...... 34 ...... 33 Financing Company Ltd., Series I, Secured, National Bank of Canada, Senior, Unsecured, Notes, Callable, 4.350% Jan 10, 2039 ...... 6 ...... 7 ...... 7 Notes, Callable, 1.573% Aug 18, 2026 ...... 735 ...... 744 ...... 736 North West Redwater Partnership/NWR National Bank of Canada, Fixed to Floating, Financing Company Ltd., Series D, Secured, Medium Term Notes, Unsecured, Notes, Callable, 3.700% Feb 23, 2043...... 130 ...... 141 ...... 131 Subordinated, Callable, 3.183% Feb 1, 2028...... 62 ...... 63 ...... 64 North West Redwater Partnership/NWR NAV Canada, Series 21-2, Senior, Unsecured, Financing Company Ltd., Series B, Secured, Notes, 0.555% Feb 9, 2024...... 200 ...... 199 ...... 198 Notes, Callable, 4.050% Jul 22, 2044...... 52 ...... 54 ...... 55 NAV Canada, Series 21-1, Senior, Unsecured, North West Redwater Partnership/NWR Notes, Callable, 0.937% Feb 9, 2026...... 100 ...... 100 ...... 98 Financing Company Ltd., Series O, Senior, NAV Canada, Unsecured, Notes, Callable, Secured, Notes, Callable, 3.750% Jun 1, 2.063% May 29, 2030 ...... 271 ...... 282 ...... 270 2051 ...... 164 ...... 163 ...... 166 NAV Canada, Series 2016-1, Medium Term Northern Courier Pipeline Limited Partnership, Notes, Senior, Unsecured, Callable, 3.534% Senior, Secured, Notes, 3.365% Jun 30, Feb 23, 2046 ...... 80 ...... 96 ...... 88 2042 ...... 227 ...... 248 ...... 232 NAV Canada, Unsecured, Notes, Callable, Nouvelle Autoroute 30 Financement Inc., 2.924% Sep 29, 2051 ...... 800 ...... 810 ...... 791 Series B, Sinking Funds, Senior, Secured, North Battleford Power L.P., Series A, Senior, Notes, 4.114% Mar 31, 2042 ...... 10 ...... 12 ...... 11 Secured, 4.958% Dec 31, 2032...... 8 ...... 9 ...... 9 Nouvelle Autoroute 30 Financement Inc., North West Redwater Partnership/NWR Series A, Sinking Funds, Senior, Secured, Financing Company Ltd., Series L, Senior, Notes, 4.115% Jun 30, 2042 ...... 10 ...... 12...... 11 Secured, Notes, 1.200% Dec 1, 2023 ...... 179 ...... 179 ...... 179 Nova Scotia Power Incorporated, Series S, North West Redwater Partnership/NWR Medium Term Notes, Senior, Unsecured, Financing Company Ltd., Series A, Secured, 6.950% Aug 25, 2033...... 10 ...... 15 ...... 14 Notes, Callable, 3.200% Jul 22, 2024...... 17 ...... 18 ...... 18 Nova Scotia Power Incorporated, Medium Term North West Redwater Partnership/NWR Notes, Senior, Unsecured, 5.670% Nov 14, Financing Company Ltd., Series A, Secured, 2035 ...... 10 ...... 14...... 13 Notes, Callable, 3.200% Apr 24, 2026 ...... 420 ...... 451...... 445 Nova Scotia Power Incorporated, Series X, North West Redwater Partnership/NWR Medium Term Notes, Senior, Unsecured, Financing Company Ltd., Series M, Senior, 5.610% Jun 15, 2040...... 30 ...... 39 ...... 40 Secured, Notes, Callable, 2.000% Dec 1, Nova Scotia Power Incorporated, Series Y, 2026 ...... 75 ...... 75 ...... 75 Medium Term Notes, Senior, Unsecured, North West Redwater Partnership/NWR 4.150% Mar 6, 2042 ...... 10 ...... 12 ...... 11 Financing Company Ltd., Series J, Senior, Nova Scotia Power Incorporated, Series Z, Secured, Notes, Callable, 2.800% Jun 1, Medium Term Notes, Senior, Unsecured, 2027 ...... 150 ...... 152 ...... 156 Callable, 4.500% Jul 20, 2043 ...... 15 ...... 17 ...... 18 North West Redwater Partnership/NWR Nova Scotia Power Incorporated, Senior, Financing Company Ltd., Series F, Senior, Unsecured, Notes, Callable, 3.612% May 1, Secured, Notes, Callable, 4.250% Jun 1, 2045 ...... 200 ...... 228...... 210 2029 ...... 30 ...... 32 ...... 34 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

Nova Scotia Power Incorporated, Senior, Pembina Pipeline Corporation, Medium Term Unsecured, Notes, Callable, 3.571% Apr 5, Notes, Senior, Unsecured, Callable, 3.310% 2049 ...... 97 ...... 110 ...... 103 Feb 1, 2030 ...... 71 ...... 76...... 74 Nova Scotia Power Incorporated, Series 2020, Pembina Pipeline Corporation, Series 3, Senior, Unsecured, Notes, Callable, 3.307% Medium Term Notes, Unsecured, Callable, Apr 25, 2050 ...... 10 ...... 11 ...... 10 4.750% Apr 30, 2043...... 20 ...... 21 ...... 21 OMERS Realty Corporation, Series 2, Senior, Pembina Pipeline Corporation, Series 4, Unsecured, Notes, 3.358% Jun 5, 2023 ...... 155 ...... 162 ...... 162 Medium Term Notes, Senior, Unsecured, OMERS Realty Corporation, Series 12, Senior, Callable, 4.810% Mar 25, 2044...... 35 ...... 36 ...... 38 Unsecured, Debentures, 1.298% Sep 22, Pembina Pipeline Corporation, Series 9, 2023 ...... 56 ...... 57 ...... 56 Medium Term Notes, Senior, Unsecured, OMERS Realty Corporation, Series 7, Senior, Callable, 4.740% Jan 21, 2047 ...... 25 ...... 25 ...... 27 Unsecured, Notes, Callable, 2.858% Feb 23, Pembina Pipeline Corporation, Medium Term 2024 ...... 28 ...... 30...... 29 Notes, Senior, Unsecured, Callable, 4.540% OMERS Realty Corporation, Series 6, Senior, Apr 3, 2049 ...... 50 ...... 50 ...... 52 Unsecured, Notes, 3.328% Nov 12, 2024...... 926 ...... 977...... 991 Pembina Pipeline Corporation, Medium Term OMERS Realty Corporation, Series 10, Senior, Notes, Senior, Unsecured, Callable, 4.670% Unsecured, Debentures, Callable, 3.331% May 28, 2050 ...... 10 ...... 11 ...... 11 Jun 5, 2025...... 26 ...... 28...... 28 Penske Truck Leasing Canada Inc., Senior, OMERS Realty Corporation, Series 9, Senior, Unsecured, Notes, Callable, 2.850% Dec 7, Unsecured, Notes, Callable, 3.244% Oct 4, 2022 ...... 55 ...... 56 ...... 56 2027 ...... 55 ...... 59 ...... 59 Plenary Health Care Partnership Humber LP, OMERS Realty Corporation, Series 11, Senior, Sinking Funds, Senior, Notes, 4.895% Unsecured, Debentures, Callable, 3.628% May 31, 2039 ...... 1 ...... 1 ...... 1 Jun 5, 2030...... 445 ...... 501 ...... 496 Plenary Properties LTAP LP, Sinking Funds, Original Wempi Inc., Series B2, Senior, Secured, Senior, Notes, 6.288% Jan 31, 2044 ...... 50 ...... 64 ...... 67 4.056% Feb 13, 2024 ...... 1 ...... 1 ...... 1 Power Corporation of Canada, Senior, Original Wempi Inc., Series B1, Secured, Notes, Unsecured, Notes, Debentures, Callable, 1st Mortgage, 4.309% Feb 13, 2024 ...... 10 ...... 10 ...... 10 4.810% Jan 31, 2047 ...... 10 ...... 13 ...... 12 PACCAR Financial Ltd., Senior, Unsecured, Power Corporation of Canada, Senior, Notes, 0.985% May 14, 2024...... 172 ...... 172...... 171 Unsecured, Debentures, Callable, 4.455% Pembina Pipeline Corporation, Series 2, Jul 27, 2048...... 41 ...... 50 ...... 48 Medium Term Notes, Unsecured, 3.770% Reliance LP, Senior, Secured, Notes, Callable, Oct 24, 2022 ...... 647 ...... 671 ...... 671 3.836% Mar 15, 2025...... 82 ...... 87 ...... 88 Pembina Pipeline Corporation, Medium Term Reliance LP, Senior, Secured, Notes, Callable, Notes, Senior, Unsecured, 2.560% Jun 1, 3.750% Mar 15, 2026...... 30 ...... 30...... 32 2023 ...... 12 ...... 12 ...... 12 Reliance LP, Senior, Secured, Notes, Callable, Pembina Pipeline Corporation, Series 8, 2.680% Dec 1, 2027 ...... 10 ...... 10 ...... 10 Medium Term Notes, Senior, Unsecured, Reliance LP, Senior, Secured, Notes, Callable, Callable, 2.990% Jan 22, 2024 ...... 310 ...... 325...... 322 2.670% Aug 1, 2028...... 187 ...... 187 ...... 189 Pembina Pipeline Corporation, Series 5, RioCan Real Estate Investment Trust, Series Y, Medium Term Notes, Unsecured, Callable, Senior, Unsecured, Notes, 2.830% Oct 3, 3.540% Feb 3, 2025 ...... 107 ...... 113 ...... 114 2022 ...... 40 ...... 40...... 41 Pembina Pipeline Corporation, Series 7, RioCan Real Estate Investment Trust, Series T, Medium Term Notes, Senior, Unsecured, Senior, Unsecured, Notes, 3.725% Apr 18, Callable, 3.710% Aug 11, 2026...... 130 ...... 140...... 140 2023 ...... 66 ...... 69 ...... 69 Pembina Pipeline Corporation, Series 6, RioCan Real Estate Investment Trust, Series AA, Medium Term Notes, Unsecured, Callable, Senior, Unsecured, Debentures, Callable, 4.240% Jun 15, 2027...... 255 ...... 283 ...... 282 3.209% Sep 29, 2023 ...... 491 ...... 502 ...... 510 Pembina Pipeline Corporation, Series 10, RioCan Real Estate Investment Trust, Series W, Senior, Unsecured, Notes, Callable, 4.020% Senior, Unsecured, Notes, 3.287% Feb 12, Mar 27, 2028...... 180...... 194...... 197 2024 ...... 121 ...... 122...... 127 Pembina Pipeline Corporation, Medium Term RioCan Real Estate Investment Trust, Series AB, Notes, Senior, Unsecured, Callable, 3.620% Senior, Unsecured, Debentures, Callable, Apr 3, 2029 ...... 124 ...... 135 ...... 133 2.576% Feb 12, 2025 ...... 131 ...... 131 ...... 135 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

RioCan Real Estate Investment Trust, Series AD, Saputo Inc., Medium Term Notes, Senior, Senior, Unsecured, Callable, 1.974% Jun 15, Unsecured, Callable, 3.603% Aug 14, 2025...... 55 ...... 60 ...... 59 2026 ...... 35 ...... 35 ...... 35 Saputo Inc., Senior, Unsecured, Notes, Callable, RioCan Real Estate Investment Trust, Series AC, 1.415% Jun 19, 2026...... 455 ...... 457...... 445 Senior, Unsecured, Debentures, Callable, Saputo Inc., Senior, Secured, Notes, Callable, 2.361% Mar 10, 2027...... 100 ...... 101 ...... 100 2.242% Jun 16, 2027...... 28 ...... 29 ...... 28 Rogers Communications Inc., Senior, Saputo Inc., Senior, Unsecured, Notes, Callable, Unsecured, Notes, Callable, 4.000% Mar 13, 2.297% Jun 22, 2028...... 32 ...... 32 ...... 32 2024 ...... 805 ...... 855 ...... 857 Scotiabank Capital Trust, Scotia BaTS II Rogers Communications Inc., Senior, Series 2006-1, Fixed to Floating, Senior, Unsecured, Notes, Callable, 3.650% Mar 31, Unsecured, Notes, Callable, 5.650% Dec 31, 2027 ...... 355 ...... 394 ...... 381 2056 ...... 90 ...... 106 ...... 118 Rogers Communications Inc., Senior, SEC LP and Arci Ltd, Medium Term Notes, Unsecured, Notes, Callable, 3.250% May 1, Senior, Secured, 5.188% Aug 29, 2033 ...... 8 ...... 9 ...... 9 2029 ...... 199 ...... 202 ...... 209 SGTP Highway Bypass Limited Partnership, Rogers Communications Inc., Unsecured, Series A, Senior, Secured, 4.105% Jan 31, Notes, 6.680% Nov 4, 2039 ...... 55 ...... 72...... 74 2045 ...... 10 ...... 11 ...... 11 Rogers Communications Inc., Senior, Shaw Communications Inc., Senior, Unsecured, Unsecured, Notes, Callable, 6.110% Aug 25, Notes, Callable, 3.800% Nov 2, 2023 ...... 305 ...... 323 ...... 322 2040 ...... 40 ...... 51 ...... 51 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Deposit Notes, Senior, Notes, Callable, 4.350% Jan 31, 2024 ...... 40 ...... 41 ...... 43 Unsecured, 2.360% Dec 5, 2022...... 977 ...... 995 ...... 1,001 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Deposit Notes, Senior, Notes, Callable, 3.800% Mar 1, 2027 ...... 40 ...... 41 ...... 43 Unsecured, 2.949% May 1, 2023...... 242 ...... 250 ...... 252 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Senior, Unsecured, Notes, Callable, 4.400% Nov 2, 2028 ...... 305 ...... 356 ...... 343 Notes, 3.296% Sep 26, 2023 ...... 122 ...... 125 ...... 128 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Deposit Notes, Senior, Notes, Callable, 3.300% Dec 10, 2029 ...... 10 ...... 11 ...... 10 Unsecured, 2.333% Dec 5, 2023...... 500 ...... 510 ...... 517 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Senior, Unsecured, Notes, Callable, 2.900% Dec 9, 2030...... 10 ...... 11 ...... 10 Notes, 2.352% Jul 2, 2024...... 522 ...... 545 ...... 539 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Senior, Unsecured, Notes, 6.750% Nov 9, 2039 ...... 595 ...... 830 ...... 802 Notes, 2.609% Nov 1, 2024 ...... 547 ...... 564...... 570 Shaw Communications Inc., Senior, Unsecured, Royal Bank of Canada, Senior, Unsecured, Notes, Callable, 4.250% Dec 9, 2049...... 10 ...... 11 ...... 10 Notes, 1.936% May 1, 2025...... 32 ...... 33 ...... 33 SmartCentres Real Estate Investment Trust, Royal Bank of Canada, Deposit Notes, Senior, Series N, Senior, Unsecured, Notes, 3.556% Unsecured, 4.930% Jul 16, 2025...... 330 ...... 362...... 378 Feb 6, 2025 ...... 26 ...... 27 ...... 28 Royal Bank of Canada, Senior, Unsecured, SmartCentres Real Estate Investment Trust, Notes, 2.328% Jan 28, 2027 ...... 1,090 ...... 1,152 ...... 1,121 Series X, Senior, Unsecured, Debentures, Royal Bank of Canada, Unsecured, Notes, Callable, 1.740% Dec 16, 2025 ...... 10 ...... 10 ...... 10 Subordinated, Callable, 2.740% Jul 25, SmartCentres Real Estate Investment Trust, 2029 ...... 72 ...... 74 ...... 75 Series P, Senior, Unsecured, Notes, Callable, Royal Bank of Canada, Fixed to Floating, 3.444% Aug 28, 2026...... 337 ...... 351 ...... 357 Unsecured, Subordinated, Callable, 2.880% SmartCentres Real Estate Investment Trust, Dec 23, 2029...... 1,032 ...... 1,095 ...... 1,078 Series S, Senior, Unsecured, Debentures, Royal Bank of Canada, Unsecured, Notes, Callable, 3.834% Dec 21, 2027 ...... 105 ...... 109 ...... 113 Subordinated, Callable, 2.088% Jun 30, SmartCentres Real Estate Investment Trust, 2030 ...... 382 ...... 390 ...... 388 Series Y, Senior, Unsecured, Notes, Callable, Royal Bank of Canada, Unsecured, Notes, 2.307% Dec 18, 2028 ...... 700 ...... 703...... 680 Subordinated, Callable, 1.670% Jan 28, SmartCentres Real Estate Investment Trust, 2033 ...... 1,000 ...... 996 ...... 969 Series W, Senior, Unsecured, Notes, Callable, Sagen MI Canada Inc., Senior, Unsecured, 3.648% Dec 11, 2030 ...... 105 ...... 113 ...... 110 Debentures, Callable, 3.261% Mar 5, 2031...... 148 ...... 148 ...... 149 Sobeys Inc., Senior, Unsecured, Notes, Callable, Saputo Inc., Medium Term Notes, Senior, 4.700% Aug 8, 2023...... 10 ...... 11 ...... 11 Unsecured, Callable, 2.827% Nov 21, 2023 ...... 65 ...... 65 ...... 67 Sobeys Inc., Medium Term Notes, Senior, Saputo Inc., Medium Term Notes, Senior, Secured, 6.640% Jun 7, 2040...... 21 ...... 29...... 29 Unsecured, Callable, 2.876% Nov 19, 2024 ...... 155 ...... 164 ...... 162 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

SSL Finance Inc., Series A, Senior, Secured, TELUS Corporation, Series CQ, Unsecured, Notes, 4.099% Oct 31, 2045 ...... 146 ...... 149 ...... 161 Notes, Callable, 3.750% Jan 17, 2025 ...... 260 ...... 278...... 279 Stantec Inc., Senior, Unsecured, Notes, Callable, TELUS Corporation, Senior, Unsecured, Notes, 2.048% Oct 8, 2027...... 110 ...... 107 ...... 108 Callable, 3.750% Mar 10, 2026...... 90 ...... 91...... 98 Summit Industrial Income REIT, Series A, TELUS Corporation, Series CZ, Senior, Senior, Unsecured, Debentures, Callable, Unsecured, Notes, Callable, 2.750% Jul 8, 2.150% Sep 17, 2025 ...... 10 ...... 10 ...... 10 2026 ...... 30 ...... 32 ...... 31 Summit Industrial Income REIT, Series C, Senior, TELUS Corporation, Series CAC, Senior, Unsecured, Debentures, Callable, 2.250% Unsecured, Notes, Callable, 2.350% Jan 27, Jan 12, 2027...... 41 ...... 41 ...... 41 2028 ...... 50 ...... 52 ...... 51 Sun Life Financial Inc., Fixed to Floating, TELUS Corporation, Senior, Unsecured, Notes, Medium Term Notes, Unsecured, Callable, 3.625% Mar 1, 2028 ...... 10 ...... 11...... 11 Subordinated, Callable, 2.750% Nov 23, TELUS Corporation, Series CY, Senior, 2027 ...... 52 ...... 53 ...... 53 Unsecured, Notes, Callable, 3.300% May 2, Sun Life Financial Inc., Series 216-2, Fixed to 2029 ...... 148 ...... 154...... 157 Floating, Unsecured, Debentures, TELUS Corporation, Series CAA, Senior, Subordinated, Callable, 3.050% Sep 19, Unsecured, Notes, Callable, 3.150% Feb 19, 2028 ...... 907 ...... 940 ...... 945 2030 ...... 150 ...... 156 ...... 157 Sun Life Financial Inc., Unsecured, Debentures, TELUS Corporation, Senior, Unsecured, Notes, Subordinated, Callable, 2.380% Aug 13, Callable, 2.050% Oct 7, 2030...... 400 ...... 397 ...... 380 2029 ...... 32 ...... 33 ...... 33 TELUS Corporation, Series CL, Unsecured, Notes, Sun Life Financial Inc., Fixed to Floating, Callable, 4.400% Apr 1, 2043...... 25 ...... 25...... 27 Medium Term Notes, Unsecured, TELUS Corporation, Series CN, Senior, Subordinated, Callable, 2.580% May 10, Unsecured, Notes, Callable, 5.150% Nov 26, 2032 ...... 100 ...... 106 ...... 103 2043 ...... 10 ...... 13 ...... 12 Sun Life Financial Inc., Fixed to Floating, TELUS Corporation, Series CP, Senior, Unsecured, Medium Term Notes, Unsecured, Debentures, Notes, Callable, 4.850% Apr 5, 2044 ...... 925 ...... 1,127...... 1,051 Subordinated, Callable, 2.060% Oct 1, 2035 ...... 560 ...... 562 ...... 541 TELUS Corporation, Series CR, Senior, Sun Life Financial Inc., Series 27-1, Fixed to Unsecured, Notes, Callable, 4.750% Jan 17, Floating, Unsecured, Debentures, 2045 ...... 5 ...... 6...... 6 Subordinated, Callable, 5.400% May 29, TELUS Corporation, Series CU, Unsecured, 2042 ...... 10 ...... 13 ...... 13 Notes, Callable, 4.400% Jan 29, 2046 ...... 480 ...... 551 ...... 515 Suncor Energy Inc., Series 5, Medium Term TELUS Corporation, Series CW, Senior, Notes, Senior, Unsecured, Callable, 3.000% Unsecured, Notes, Callable, 4.700% Mar 6, Sep 14, 2026...... 140 ...... 146...... 148 2048 ...... 480 ...... 580 ...... 540 Suncor Energy Inc., Medium Term Notes, TELUS Corporation, Series CAB, Senior, Senior, Unsecured, Callable, 3.100% May 24, Unsecured, Notes, Callable, 3.950% Feb 16, 2029 ...... 1,345 ...... 1,425 ...... 1,408 2050 ...... 10 ...... 11...... 10 Suncor Energy Inc., Medium Term Notes, TELUS Corporation, Series CAE, Senior, Senior, Unsecured, Callable, 5.000% Apr 9, Unsecured, Notes, Callable, 4.100% Apr 5, 2030 ...... 10 ...... 12 ...... 12 2051 ...... 117 ...... 116...... 120 Suncor Energy Inc., Series 4, Medium Term Teranet Holdings LP, Series 2020, Senior, Notes, Unsecured, 5.390% Mar 26, 2037...... 10 ...... 12 ...... 12 Secured, Notes, Callable, 3.544% Jun 11, Suncor Energy Inc., Series 5, Medium Term 2025 ...... 10 ...... 11 ...... 11 Notes, Senior, Unsecured, Callable, 4.340% Teranet Holdings LP, Senior, Secured, Notes, Sep 13, 2046...... 30 ...... 32...... 32 5.754% Dec 17, 2040 ...... 45 ...... 48...... 54 Suncor Energy Inc., Medium Term Notes, Teranet Holdings LP, Secured, Notes, 6.100% Senior, Unsecured, Callable, 3.950% Mar 4, Jun 17, 2041...... 10 ...... 12...... 12 2051 ...... 125 ...... 123...... 125 Thomson Reuters Corporation, Senior, Sysco Canada, Inc., Senior, Unsecured, Notes, Unsecured, Notes, Callable, 2.239% May 14, Callable, 3.650% Apr 25, 2025...... 122 ...... 125 ...... 131 2025 ...... 455 ...... 473 ...... 467 TELUS Corporation, Series CJ, Unsecured, Notes, TMX Group Limited, Series D, Senior, Callable, 3.350% Mar 15, 2023...... 230 ...... 238 ...... 238 Unsecured, Debentures, Callable, 2.997% TELUS Corporation, Series CK, Unsecured, Dec 11, 2024...... 182 ...... 182 ...... 192 Notes, Callable, 3.350% Apr 1, 2024 ...... 355 ...... 367 ...... 373 TMX Group Limited, Series E, Senior, Unsecured, Debentures, Callable, 3.779% Jun 5, 2028 ...... 100 ...... 113 ...... 111 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($)

TMX Group Limited, Series F, Senior, Unsecured, Toyota Credit Canada Inc., Medium Term Notes, Callable, 2.016% Feb 12, 2031 ...... 8 ...... 8 ...... 8 Senior, Unsecured, 1.180% Feb 23, 2026...... 150 ...... 147 ...... 147 Toromont Industries Ltd., Senior, Unsecured, TransCanada PipeLines Limited, Medium Term Notes, Callable, 3.842% Oct 27, 2027 ...... 10 ...... 11...... 11 Notes, Senior, Unsecured, Callable, 3.690% Toronto-Dominion Bank, The, Deposit Notes, Jul 19, 2023...... 62 ...... 64...... 65 Senior, Unsecured, 3.005% May 30, 2023...... 100 ...... 104 ...... 104 TransCanada PipeLines Limited, Medium Term Toronto-Dominion Bank, The, Deposit Notes, Notes, Senior, Unsecured, Callable, 3.300% Senior, Unsecured, 1.909% Jul 18, 2023...... 427 ...... 427...... 436 Jul 17, 2025...... 357 ...... 375 ...... 380 Toronto-Dominion Bank, The, Senior, TransCanada PipeLines Limited, Senior, Unsecured, Notes, 2.850% Mar 8, 2024...... 472 ...... 493 ...... 494 Unsecured, Notes, Debentures, Callable, Toronto-Dominion Bank, The, Deposit Notes, 3.800% Apr 5, 2027...... 415 ...... 463 ...... 451 Senior, Unsecured, 3.226% Jul 24, 2024...... 395 ...... 417 ...... 420 TransCanada PipeLines Limited, Medium Term Toronto-Dominion Bank, The, Senior, Notes, Senior, Unsecured, Callable, 3.390% Unsecured, Notes, 2.496% Dec 2, 2024 ...... 22 ...... 23 ...... 23 Mar 15, 2028...... 655 ...... 705 ...... 698 Toronto-Dominion Bank, The, Senior, TransCanada PipeLines Limited, Medium Term Unsecured, Notes, 1.943% Mar 13, 2025...... 32 ...... 33 ...... 33 Notes, Senior, Unsecured, 6.890% Aug 7, Toronto-Dominion Bank, The, Senior, 2028 ...... 10 ...... 13...... 13 Unsecured, Notes, 1.128% Dec 9, 2025 ...... 510 ...... 512 ...... 501 TransCanada PipeLines Limited, Senior, Toronto-Dominion Bank, The, Senior, Unsecured, Notes, Callable, 3.000% Sep 18, Unsecured, Notes, 1.888% Mar 8, 2028...... 400 ...... 400 ...... 400 2029 ...... 505 ...... 543...... 523 Toronto-Dominion Bank, The, Fixed to Floating, TransCanada PipeLines Limited, Medium Term Medium Term Notes, Unsecured, Notes, Senior, Unsecured, Callable, 2.970% Subordinated, Callable, 3.589% Sep 14, Jun 9, 2031...... 350 ...... 350 ...... 354 2028 ...... 372 ...... 393 ...... 392 TransCanada PipeLines Limited, Medium Term Toronto-Dominion Bank, The, Medium Term Notes, Senior, Unsecured, 8.050% Feb 17, Notes, Fixed to Floating, Subordinated, 2039 ...... 30 ...... 45...... 45 Callable, 3.224% Jul 25, 2029 ...... 1,512 ...... 1,583 ...... 1,593 TransCanada PipeLines Limited, Medium Term Toronto-Dominion Bank, The, Fixed to Floating, Notes, Senior, Unsecured, 4.550% Nov 15, Medium Term Notes, Unsecured, 2041 ...... 50 ...... 54...... 54 Subordinated, Callable, 3.105% Apr 22, TransCanada PipeLines Limited, Medium Term 2030 ...... 32 ...... 34 ...... 34 Notes, Senior, Unsecured, Callable, 4.350% Toronto-Dominion Bank, The, Fixed to Floating, Jun 6, 2046...... 35 ...... 37 ...... 37 Medium Term Notes, Unsecured, TransCanada PipeLines Limited, Medium Term Subordinated, Callable, 4.859% Mar 4, Notes, Senior, Unsecured, Callable, 4.330% 2031 ...... 415 ...... 472...... 471 Sep 16, 2047...... 159 ...... 163 ...... 167 Toronto-Dominion Bank, The, Medium Term TransCanada PipeLines Limited, Medium Term Notes, Senior, Unsecured, Subordinated, Notes, Senior, Unsecured, Callable, 4.180% Callable, 3.060% Jan 26, 2032 ...... 1,990 ...... 2,117 ...... 2,099 Jul 3, 2048...... 260 ...... 292 ...... 267 Tourmaline Oil Corp., Series 1, Senior, TransCanada PipeLines Limited, Medium Term Unsecured, Notes, Callable, 2.077% Jan 25, Notes, Senior, Unsecured, Callable, 4.340% 2028 ...... 600 ...... 600 ...... 586 Oct 15, 2049 ...... 1,160 ...... 1,327 ...... 1,223 Toyota Credit Canada Inc., Medium Term Notes, Vancouver Airport Authority, Series I, Senior, Senior, Unsecured, 2.350% Jul 18, 2022...... 1,077 ...... 1,086 ...... 1,097 Unsecured, Notes, Callable, 1.760% Sep 20, Toyota Credit Canada Inc., Medium Term Notes, 2030 ...... 240 ...... 240 ...... 231 Senior, Unsecured, 2.620% Oct 11, 2022 ...... 27 ...... 28 ...... 28 Vancouver Airport Authority, Series G, Senior, Toyota Credit Canada Inc., Medium Term Notes, Unsecured, Debentures, Callable, 3.656% Senior, Unsecured, 2.700% Jan 25, 2023...... 55 ...... 55 ...... 57 Nov 23, 2048 ...... 80 ...... 95...... 88 Toyota Credit Canada Inc., Medium Term Notes, Vancouver Airport Authority, Series H, Senior, Senior, Unsecured, 3.040% Jul 12, 2023...... 47 ...... 49 ...... 49 Unsecured, Debentures, Callable, 2.874% Toyota Credit Canada Inc., Medium Term Notes, Oct 18, 2049 ...... 180 ...... 177...... 173 Senior, Unsecured, 2.640% Mar 27, 2024 ...... 11 ...... 12 ...... 11 Vancouver Airport Authority, Series I, Senior, Toyota Credit Canada Inc., Medium Term Notes, Unsecured, Notes, Callable, 2.800% Sep 21, Senior, Unsecured, 2.310% Oct 23, 2024 ...... 32 ...... 33 ...... 33 2050 ...... 10 ...... 10 ...... 9 Toyota Credit Canada Inc., Medium Term Notes, Vancouver Airport Fuel Facilities Corporation, Senior, Unsecured, 2.110% Feb 26, 2025...... 532 ...... 554 ...... 547 Series I, Secured, Callable, 2.168% Jun 23, 2025 ...... 275 ...... 274 ...... 271 BMO Corporate Bond Index ETF (unaudited)

Schedule of Investment Portfolio (cont'd) As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Par Fair Value Cost Value (in thousands) ($) ($)

Ventas Canada Finance Ltd., Series D, Senior, Unsecured, Notes, Callable, 2.550% Mar 15, 2023 ...... 126 ...... 124 ...... 129 VW Credit Canada, Inc., Senior, Unsecured, Notes, 3.700% Nov 14, 2022 ...... 27 ...... 28 ...... 28 VW Credit Canada, Inc., Senior, Unsecured, Notes, 3.250% Mar 29, 2023 ...... 50 ...... 50 ...... 52 VW Credit Canada, Inc., Senior, Unsecured, Notes, 2.850% Sep 26, 2024 ...... 32 ...... 34 ...... 33 VW Credit Canada, Inc., Senior, Unsecured, Notes, 1.500% Sep 23, 2025 ...... 670 ...... 669 ...... 667 Waste Management of Canada Corporation, Senior, Unsecured, Callable, 2.600% Sep 23, 2026 ...... 175 ...... 187 ...... 183 Wells Fargo Canada Corporation, Medium Term Notes, Unsecured, 3.460% Jan 24, 2023 ...... 345 ...... 356 ...... 359 Westcoast Energy Inc., Series 14, Medium Term Notes, Senior, Unsecured, 3.120% Dec 5, 2022 ...... 62 ...... 64 ...... 64 Westcoast Energy Inc., Series 15, Medium Term Notes, Senior, Unsecured, Callable, 3.430% Sep 12, 2024...... 37 ...... 38 ...... 39 Westcoast Energy Inc., Senior, Unsecured, Debentures, 8.850% Jul 21, 2025 ...... 10 ...... 13 ...... 13 Westcoast Energy Inc., Series 16, Medium Term Notes, Senior, Unsecured, Callable, 3.770% Dec 8, 2025...... 520 ...... 574 ...... 565 Westcoast Energy Inc., Series 12, Medium Term Notes, Senior, Unsecured, 4.791% Oct 28, 2041 ...... 10 ...... 12 ...... 11 WSP Global Inc., Senior, Unsecured, Notes, Callable, 2.408% Apr 19, 2028...... 67 ...... 67 ...... 68 ...... 152,741 ...... 150,976

Asset-Backed Securities — 1.0% CARDS II Trust, Series A, Credit Card Asset-Backed Notes, Secured, 2.427% Nov 15, 2024 ...... 740 ...... 773 ...... 768 Fortified Trust, Series A, Credit Card Asset-Backed Notes, Secured, 2.340% Jan 23, 2023...... 75 ...... 77 ...... 77 Fortified Trust, Series A, Credit Card Asset-Backed Notes, Secured, 2.558% Mar 23, 2024...... 175 ...... 184 ...... 182 Glacier Credit Card Trust, Credit Card Asset-Backed Notes, Senior, Secured, 1.388% Sep 22, 2025...... 450 ...... 454 ...... 448 ...... 1,488 ...... 1,475

Total Investment Portfolio — 100.3%...... 154,229...... 152,451 Other Assets Less Liabilities — (0.3)% ...... (511) NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — 100.0% ...... 151,940

# Investment in related party. BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 1. The Fund figures in the Statement of Cash Flows have been BMO Corporate Bond Index ETF (“the ETF”) is an revised to appropriately reflect the exclusion of interest exchange-traded fund established as an open-ended in-kind from “Purchases of investments”, “Proceeds trust by a Declaration of Trust under the laws of the from sale and maturity of investments”, “Proceeds from Province of Ontario. BMO Asset Management Inc. (“the issuances of redeemable units” and “Amounts paid on Manager”) is the Manager and trustee of the ETF. The redemption of redeemable units”. There is no net Manager is a wholly owned subsidiary of Bank of impact on the net assets attributable to holders of Montreal. The address of the ETF’s registered office is redeemable units of the ETF. The amounts revised are 100 King Street West, Toronto, Ontario, M5X 1A1. disclosed in Note 8. The Statement of Financial Position and related notes 3. Summary of significant accounting policies for the ETF are as at June 30, 2021 and December 31, Financial Instruments 2020, except for ETFs established in 2021, in which Financial instruments include financial assets and case the information is only as at June 30, 2021. The financial liabilities such as equity and debt securities, Statement of Comprehensive Income, Statement of investment funds and derivatives. These investments Changes in Net Assets Attributable to Holders of are part of a group of financial instruments that are Redeemable Units, Statement of Cash Flows and managed and their performance is evaluated on a fair related notes are for the period(s) ended June 30, value basis and in accordance with the ETF's 2021 and June 30, 2020, except for ETFs established investment strategy. during either period, which is presented from the date The ETF classifies and measures financial instruments of establishment (as noted in Note 8) to June 30, of the in accordance with IFRS 9 Financial Instruments applicable period. Financial information provided for a (“IFRS 9”). Upon initial recognition, financial class of units established during the period(s) is instruments are recorded at fair value. A financial presented from the establishment date as noted in instrument is recognized when the ETF becomes a Note 8 to June 30 of the applicable period. party to the contractual requirements of the instrument The financial statements were authorized for issue by and is derecognized when the right to receive cash the Manager on August 10, 2021. flows from the instrument has expired or the ETF has transferred substantially all risks and rewards of These financial statements should be read in ownership. As such, investment purchase and sale conjunction with the annual financial statements for transactions are recorded as of the trade date. the period ended December 31, 2020, which have been Investments and derivatives are subsequently prepared in accordance with International Financial measured at FVTPL, with changes in fair value Reporting Standards (“IFRS”), as issued by the recognized in the Statement of Comprehensive Income International Accounting Standards Board ("IASB"). as “Change in unrealized appreciation (depreciation)”. 2. Basis of preparation and presentation All financial assets and financial liabilities are These unaudited interim financial statements have recognized in the Statement of Financial Position. been prepared in accordance with IFRS and in accordance with International Accounting Standard The ETF’s redeemable units, which are puttable ("IAS") 34 - Interim Financial Reporting, as issued by instruments, are held by different types of unitholders the IASB. The financial statements have been prepared that are entitled to different redemption rights. See on a historic cost basis, except for the revaluation of Note 5 for details of unitholders’ transactions in the financial assets and financial liabilities (including units of the ETF. derivative financial instruments) measured at fair value through profit or loss ("FVTPL"). Certain comparative BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 The different redemption features create equally that falls within the bid-ask spread of the security. subordinate but not identical units or classes of the Short-term investments, if any, are held at amortized units of the ETF. Redemption of units at 95% of the Net cost, which approximates fair value due to their Asset Value (“NAV”) for some type of unitholders short-term nature. redemptions also results in a situation where the The ETF may enter into forward currency contracts for redemption value of this puttable instrument is not hedging purposes either directly or indirectly, or for based substantially on the net assets of the ETF. As a non-hedging purposes. The fair value of forward result, the ETF’s obligations for net assets attributable currency contracts entered into by the ETF is recorded to holders of redeemable units ("Net Assets") are as the difference between the fair value of the contract classified as financial liabilities and presented at the on the Valuation Date (the “Valuation Date” is each day redemption amounts. on which the Toronto Stock Exchange (“TSX”) is open Cost of investments for trading) and the fair value on the date the contract The cost of investments represents the amount paid for originated. each security and is determined on an average cost For the Listed Hedged Units (the "Hedged Units"), the basis, and excludes commissions and other portfolio ETF enters into forward currency contracts to hedge transaction costs, which are reported separately in the against foreign currency exposure and as a result the Statement of Comprehensive Income. Realized gains Hedged Units will be subject to less currency risk than and losses on disposition are determined based on the the other classes of the ETF because their foreign cost of the investments. currency exposure is hedged. However, the hedging Fair value measurement strategy may not achieve a perfect hedge of the foreign Fair value is defined as the price that would be received currency exposure for the Hedged Units. to sell an asset or paid to transfer a liability in an The ETF may engage in option contract transactions by orderly transaction between market participants at the purchasing (long positions) or writing (short positions) measurement date. call or put option contracts. These contracts have For exchange-traded securities, close prices are different risk exposures for the ETF, whereas the risk considered to be fair value if they fall within the bid-ask for long positions will be limited to the premium paid spread. In circumstances where the close price is not to purchase the option contracts, the risk exposure for within the bid-ask spread, the Manager determines the the short positions is potentially unlimited until closed point within the bid-ask spread that is most or expired. representative of fair value based on the specific facts The premium paid for purchasing an option is included and circumstances. in "Derivative assets" in the Statement of Financial Procedures are in place to fair value equities traded in Position. The option contract is valued on each countries outside of North America daily, to avoid stale Valuation Date at an amount equal to the fair value of prices and to take into account, among other things, the option that would have the effect of closing the any significant events occurring after the close of a position. The change in the difference between the foreign market. premium and the fair value is shown as “Change in For bonds, debentures, asset-backed securities and unrealized appreciation (depreciation)” in the other debt securities, fair value is determined as the last Statement of Comprehensive Income. traded market price or close price, or other such prices, When a purchased option expires, the ETF will realize a loss equal to the premium paid. When a purchased option is closed, the gain or loss the ETF will realize BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 will be the difference between the proceeds and the The ETF, as a buyer of protection, would receive a premium paid. When a purchased call option is notional or other agreed upon value from the seller of exercised, the premium paid is added to the cost of protection in the event of a default by a third-party. In acquiring the underlying security. When a purchased return, the ETF would be required to pay to the put option is exercised, the premium paid is subtracted counterparty a periodic stream of payments over the from the proceeds from the sale of the underlying term of the contract provided that no event of default security that had to be sold. occurs.

The premium received from writing an option is Credit default swap contracts are fair valued daily included in "Derivative liabilities" in the Statement of based upon quotations from independent security Financial Position. pricing sources. Premiums paid or received, if any, are included in “Net realized gain (loss)” in the Statement When a written option expires, the ETF will realize a of Comprehensive Income. Net periodic payments are gain equal to the premium received. When a written accrued daily and recorded as “Derivative income option is closed, the ETF will realize a gain or loss (loss)" in the Statement of Comprehensive Income. equal to the difference between the cost at which the When credit default swap contracts expire or are closed contract was closed and the premium received. When a out, gains or losses are recorded as “Net realized gain written call option is exercised, the premium received (loss)” in the Statement of Comprehensive Income. is added to the proceeds from the sale of the underlying investments to determine the realized gain or loss. For securities where market quotes are not available, When a written put option is exercised, the premium unreliable or not considered to reflect the current received is subtracted from the cost of the underlying value, the Manager may determine another value investments the ETF had purchased. which it considers to be fair and reasonable, or use a valuation technique that, to the extent possible, makes The gain or loss that the ETF realizes when a maximum use of inputs and assumptions based on purchased or written option is expired or closed is observable market data, including volatility, recorded as “Net realized gain (loss)” in the Statement comparable companies, NAV (for exchange-traded of Comprehensive Income. funds) and other applicable rates or prices. These A credit default swap contract is an agreement to estimation techniques include discounted cash flows, transfer credit risk from one party, a buyer of internal models that utilize observable data or protection, to another party, a seller of protection. The comparisons with other securities that are substantially ETF, as a seller of protection, would be required to pay similar. In limited circumstances, the Manager may use a notional or other agreed upon value to the buyer of internal models where the inputs are not based on protection in the event of a default by a third-party. In observable market data. return, the ETF would receive from the counterparty a Cash periodic stream of payments over the term of the Cash is comprised of cash and deposits with banks, contract provided that no event of default occurs. If no which include bankers’ acceptances and overnight default occurs, the ETF would keep the stream of demand deposits. The carrying amount of cash payments and would have no payment obligations. approximates its fair value because it is short-term in In connection with the agreement, securities or cash nature. may be identified as collateral or margin in accordance Other assets and other liabilities with the terms of the agreement to provide assets of Other assets and other liabilities generally include value in the event of default or bankruptcy/insolvency. receivable for investments sold, subscriptions receivable, dividends receivable, redemptions payable, BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 distributions payable and accrued expenses. These funds during the periods is included in “Change in financial assets and financial liabilities are short-term unrealized appreciation (depreciation)” in the in nature and are measured at amortized cost, which Statement of Comprehensive Income. approximates their fair value. Mortgage-related securities are created from pools of Investments in subsidiaries, joint ventures and associates residential or commercial mortgage loans, including Subsidiaries are entities over which the ETF has mortgage loans made by savings and loan institutions, control through its exposure or rights to variable mortgage bankers, commercial banks and others. returns from its investment and has the ability to affect Asset-backed securities are created from many types of those returns through its power over the entity. The assets, including auto loans, credit card receivables, Manager has determined that the ETF is an investment home equity loans, and student loans. entity and as such, it accounts for subsidiaries, if any, at The ETF does not provide and has not committed to fair value. Joint ventures are investments where the providing any additional significant financial or other ETF exercises joint control through an agreement with support to the unconsolidated structured entities other other shareholders, and associates are investments in than its investment in the unconsolidated structured which the ETF exerts significant influence over entities. operating, investing, and financing decisions (such as entities in which the ETF owns 20% - 50% of voting Additional information on the ETF’s interest in shares), all of which, if any, have been classified at unconsolidated structured entities, where applicable, is FVTPL. provided in Note 8.

Unconsolidated structured entities Offsetting of financial assets and financial liabilities The Manager has determined that the underlying funds Financial instruments are presented at net or gross in which the ETF may invest are unconsolidated amounts on the Statement of Financial Position structured entities. This determination is based on the depending on the existence of intention and legal right fact that decision making about the underlying funds is to offset opposite positions of such instruments held not governed by the voting right or other similar right with the same counterparties. Amounts offset in the held by the ETF. Similarly, investments in Statement of Financial Position are related to securitizations, asset-backed securities and transactions for which the ETF has legally enforceable mortgage-backed securities are determined to be rights to offset and intends to settle the positions on a interests in unconsolidated structured entities. net basis. Amounts not offset in the Statement of Financial Position relate to positions where there is no The ETF may invest in underlying funds whose legally enforceable right to offset, or the legal right to investment objectives range from achieving short-term offset is only in the event of default, insolvency or to long-term income and capital growth potential. bankruptcy, or where the ETF has no intention to settle Underlying funds may use leverage in a manner on a net basis. Refer to Note 8 for details. consistent with their respective investment objectives and as permitted by Canadian securities regulatory Income recognition authorities. Underlying funds finance their operations Dividend income and distributions received from by issuing redeemable units which are puttable at the investment trusts are recognized on the ex-dividend holders’ option and entitles the holder to a and ex-distribution date, respectively. proportionate stake in the respective fund’s Net Assets. The change in fair value of each of the underlying BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 Interest income from interest bearing investments is or guarantee by the Government of Canada or a recognized in the Statement of Comprehensive Income province thereof, or by the United States government or using the effective interest rate. Interest receivable its agencies, but it may include obligations of other shown in the Statement of Financial Position is accrued governments with appropriate credit ratings. Further, based on the interest bearing investments’ stated rates the program entered into provides for 100% of interest. indemnification by the securities lending agent and parties related to the ETF’s custodian, to the ETF for Interest on inflation-indexed bonds is paid based on a any defaults by borrowers. principal value, which is adjusted for inflation. The inflation adjustment of the principal value is For those ETFs participating in the program, aggregate recognized as part of "Interest income" in the Statement values of securities on loan and the collateral held as at of Comprehensive Income. If held to maturity, the ETF June 30, 2021 and December 31, 2020 and information will receive, in addition to a coupon interest payment, a about the security lending income earned by the ETF final payment equal to the sum of the par value and the are disclosed in Note 8, where applicable. inflation compensation accrued from the original issue Income from securities lending, where applicable, is date. Interest is accrued on each Valuation Date based included in the Statement of Comprehensive Income on the inflation adjusted par value at that time and is and is recognized when earned. The breakdown of the included in “Interest income” in the Statement of securities lending income is disclosed in Note 8, where Comprehensive Income. applicable. Foreign currency translation Increase or decrease in net assets attributable to holders of The fair value of investments and other assets and redeemable units per unit liabilities in foreign currencies are translated into the “Increase (decrease) in net assets attributable to ETF’s functional currency at the rates of exchange holders of redeemable units per unit” of a class in the prevailing at the period-end date. Purchases and sales Statement of Comprehensive Income represents the of investments, and income and expenses are increase (decrease) in net assets attributable to holders translated at the rates of exchange prevailing on the of redeemable units of the class divided by the respective dates of such transactions. Realized and weighted average number of units of the class unrealized foreign exchange gains (losses) on outstanding during the period. Refer to Note 8 for investment transactions are included in “Net realized details. gain (loss)” and in "Change in unrealized appreciation (depreciation)" respectively, in the Statement of Taxation The ETF qualifies as a mutual fund trust under the Comprehensive Income. Foreign exchange gains provisions of the Income Tax Act (Canada). (losses) relating to cash, receivables and payables are Distributions of all net taxable income and sufficient included in "Foreign exchange gain (loss)” in the amounts of net realized capital gains for each taxation Statement of Comprehensive Income. year will be paid to unitholders so that the ETF will not Securities lending be subject to income tax. As a result, the Manager has An ETF may engage in securities lending pursuant to determined that the ETF is in substance not taxable and the terms of an agreement with State Street (the therefore does not record income taxes in the “securities lending agent”). The aggregate market value Statement of Comprehensive Income nor does it of all securities on loan by an ETF cannot exceed 50% recognize any deferred tax assets or liabilities in the of the NAV of the ETF. An ETF will receive collateral of Statement of Financial Position. at least 102% of the value of the securities on loan. Collateral will generally be comprised of obligations of BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 The ETF may incur withholding taxes imposed by provides the most appropriate measurement and certain countries on investment income and capital presentation of the ETF’s investment portfolio. The gains. Such income and gains are recorded on a gross collection of principal and interest is incidental to the basis with the related withholding taxes shown as a fair value business model. separate expense in the Statement of Comprehensive Accounting estimates: Income. Fair value measurement of securities not quoted in an active market 4. Critical accounting judgements and estimates The Manager has established policies and control The preparation of financial statements requires the procedures that are intended to ensure these estimates use of judgement in applying the ETF's accounting are well controlled, independently reviewed, and policies and to make estimates and assumptions about consistently applied from period to period. The the future. The following discusses the most significant estimates of the value of the ETF’s assets and liabilities accounting judgements and estimates that the ETF has are believed to be appropriate as at the reporting date. made in preparing its financial statements. The ETF may hold financial instruments that are not Accounting judgements: Functional and presentation currency quoted in active markets. Note 3 discusses the policies The ETF’s unitholders are mainly Canadian residents, used by the ETF for the estimates used in determining with the subscriptions and redemptions of the fair value. redeemable units denominated in Canadian dollars. 5. Units and unit transactions The ETF invests in Canadian and U.S. dollars and other The redeemable units of the ETF are classified as foreign denominated securities, as applicable. The financial liabilities. The units have no par value and are performance of the ETF is measured and reported to entitled to distributions, if any. Upon redemption, a the investors in Canadian dollars. The Manager unit is entitled to a proportionate share of the ETF’s considers the Canadian dollar as the currency that most NAV. The ETF is required to pay distributions in an faithfully represents the economic effects of the amount not less than the amount necessary to ensure underlying transactions, events and conditions. The the ETF will not be liable for income taxes on realized financial statements are presented in Canadian dollars, capital gains, dividends and interest. The ETF has no which is the ETF's functional and presentation restrictions or specific capital requirements on the currency. subscriptions and redemptions of units except as Classification and measurement of investment portfolio disclosed in Note 8. The relevant movements in In classifying and measuring financial instruments redeemable units are shown in the Statement of held by the ETF, the Manager is required to make an Changes in Net Assets Attributable to Holders of assessment of the ETF’s business model for managing Redeemable Units. financial instruments and the Manager is also required In accordance with its investment objectives and to make significant judgements in determining the strategies, and the risk management practices outlined most appropriate classification in accordance with in Note 7, the ETF endeavours to invest the IFRS 9. The Manager has assessed the ETF’s business subscriptions received in appropriate investments, model with respect to the manner in which financial while maintaining sufficient liquidity to meet assets and financial liabilities are managed as a group redemptions, with such liquidity being augmented by and performance is evaluated on a fair value basis, and short-term borrowings or disposal of investments has concluded that FVTPL in accordance with IFRS 9 where necessary. BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 The ETF is authorized to issue an unlimited number of Instrument (“NI”) 81-106 Investment Fund Continuous units of each class. On any trading day, a designated Disclosure for the purpose of processing unitholder broker or underwriter may place a subscription or transactions. Net Assets are determined in accordance redemption order for an integral multiple of the with IFRS and may differ from the ETF’s NAV. Where prescribed number of units of a particular class of the an ETF’s NAV is not equal to its Net Assets, a ETF. A trading day is each day on which the TSX is reconciliation is shown in Note 8. opened for business. Expenses directly attributable to a class are charged to If the subscription or redemption order is accepted, the that class. Other expenses, income, realized and ETF will issue or redeem units to/from the designated unrealized gains and losses from investment broker or underwriter by no later than the third trading transactions are allocated proportionately to each class day after the date on which the subscription or based upon the relative NAV of each class. redemption order is accepted. For each prescribed number of units issued or redeemed, a designated 6. Related party transactions (a) Management fees broker or underwriter must deliver or receive payment The Manager is responsible for all other costs and consisting of: expenses of the ETF, including the fees payable to the • A basket of applicable securities and cash in an Custodian, Registrar and Transfer Agent and Plan amount sufficient so that the value of the securities, Agent fees payable to other service providers, including and the cash received is equal to the NAV of the units the index providers retained by the Manager. subscribed/redeemed; or The ETF will pay the Manager a management fee as • Cash in the amount equal to the NAV of the units disclosed in Note 8 based on the NAV of the class of the subscribed/redeemed. ETF. The management fee, plus applicable taxes, will On any trading day, unitholders may redeem units for be accrued daily and paid quarterly in arrears. The cash or exchange units for baskets of securities and Manager may, from time to time in its discretion, waive cash. Units redeemed for cash will be redeemed at a a portion of the management fee charged at any given redemption price per unit equal to 95% of the closing time. price for the units on the exchange on the effective day The Manager may agree to charge a reduced of the redemption. Units exchanged for baskets of management fee it otherwise would be entitled to securities will be exchanged at a price equal to the NAV receive from the ETF with respect to investments in the of the units on the effective date of the exchange ETF by certain unitholders. An amount equal to the request, payable by delivery of baskets of securities and difference between the fee otherwise chargeable and cash. the reduced fee of the ETF will be distributed in cash to Unitholders that redeem units prior to the distribution those unitholders as Management Fee Distributions. record date will not be entitled to receive the (b) Other related party transactions distribution. All expenses are recognized in the Statement of The NAV per unit of a class for the purposes of Comprehensive Income on the accrual basis. subscription or redemption is computed by dividing the The ETF is responsible for the costs and expenses NAV of the ETF (that is, the total fair value of the assets incurred in complying with NI 81-107 (including any attributable to the class of the ETF less the liabilities expenses related to the implementation and on-going attributable to the class) by the total number of units of operation of an Independent Review Committee), the class of the ETF outstanding at such time on each brokerage expenses and commissions, income and Valuation Day, in accordance with Part 14 National withholding taxes as well as other applicable taxes, the BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 costs of complying with any new governmental or Limited and BMO Asset Management Limited will no regulatory requirement introduced after the date the longer be subsidiaries or affiliates of Bank of Montreal ETF was established and extraordinary expenses. or related or connected to the Manager.

From time to time, the Manager may on behalf of the Separately, in the U.S. the transaction includes the ETF, enter into transactions or arrangements with or transfer to Columbia Threadneedle Investments involving subsidiaries and affiliates of Bank of (“CTI”), Ameriprise Financial’s global asset Montreal, or certain other persons or companies that management business, of certain asset management are related or connected to the Manager of the ETF. clients of BMO Asset Management Corp. or Taplin, These transactions or arrangements may include Canida & Habacht, LLC (together, “BMO GAM U.S.”), transactions or arrangements with or involving subject to client consent. An evaluation is currently subsidiaries and affiliates of Bank of Montreal, BMO underway between BMO GAM U.S. and CTI in relation Asset Management Corp., BMO Asset Management Inc., to the sub-advisory arrangements with BMO GAM BMO Nesbitt Burns Inc., BMO Private Investment U.S. for certain Funds. Counsel Inc., BMO InvestorLine Inc., BMO Investments Inc., or other investment funds offered by 7. Financial instruments risks The ETF’s activities expose it to a variety of risks Bank of Montreal and may involve the purchase or sale associated with the financial instruments, as of portfolio securities through or from subsidiaries or follows: market risk (including currency risk, interest affiliates of Bank of Montreal, the purchase or sale of rate risk and other market risk), credit risk and liquidity securities issued or guaranteed by subsidiaries or risk. The concentration table groups securities by asset affiliates of Bank of Montreal, entering into forward type, geographic location and/or market segment. The contracts with subsidiaries or affiliates of Bank of ETF’s risk management practice focuses on processes Montreal acting as counterparty, the purchase or and strategies to minimize the tracking error between redemption of units of other Bank of Montreal affiliated the ETF’s performance and the performance of its investment funds or the provision of services to the relevant index. Manager. (a) Currency risk BMO Nesbitt Burns Inc. is one of the designated brokers Currency risk is the risk that the fair value of financial that have entered into an underwriting agreement with instruments denominated in currencies, other than the the Manager. As a Designated Broker, under the functional currency of the ETF, will fluctuate due to underwriting agreement, BMO Nesbitt Burns Inc. may changes in foreign exchange rates. Investments in subscribe for and or be issued units of the ETF by the foreign markets are exposed to currency risk as the Manager from time to time. prices denominated in foreign currencies are converted On April 12, 2021, BMO Financial Group announced to the ETF’s functional currency in determining fair that it had reached a definitive agreement to sell the value. The ETF may enter into forward currency entities that represent its EMEA Asset Management contracts for hedging purposes to reduce foreign business to Ameriprise Financial, Inc. The transaction currency exposure. IFRS 7 considers the foreign is expected to close in the fourth quarter of 2021, exchange exposure relating to non-monetary assets and subject to regulatory approval and other customary liabilities to be a component of market price risk not closing conditions. After the transaction has closed, foreign currency risk. However, the Manager monitors Pyrford International Limited, LGM Investments the exposure on all foreign currency denominated Limited, BMO Global Asset Management (Asia) assets and liabilities. The ETF’s exposure to currency risk, if any, is further disclosed in Note 8. BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 (b) Interest rate risk counterparty as at the reporting date. The credit Interest rate risk is the risk that the fair value of the exposure of other assets is represented by its carrying ETF's interest bearing investments will fluctuate due to amount. The ETF's exposure to credit risk, if any, is changes in market interest rates. The ETF's exposure to further discussed in Note 8. interest rate risk is concentrated in its investment in The ETF may enter into securities lending transactions debt securities (such as bonds, money market with approved counterparties. Credit risk associated investments, short-term investments and debentures) with these transactions is considered minimal as all and interest rate derivative instruments, if any. Other counterparties have a sufficient approved credit rating assets and liabilities are short-term in nature and/or and the market value of collateral held by the ETF must non-interest bearing. The ETF's exposure to interest be at least 102% of the fair value of securities loaned, as rate risk, if any, is further discussed in Note 8. disclosed in Note 8, where applicable. (c) Other market risk Other market risk is the risk that the fair value of a (e) Liquidity risk The ETF's exposure to liquidity risk is concentrated in financial instrument will fluctuate as a result of the daily redemptions of units, and other liabilities. changes in market prices (other than those arising from Since the settlement of redemptions is primarily by interest rate risk or currency risk), whether those delivery of securities, the ETF is not exposed to any changes are caused by factors specific to the individual significant liquidity risk. The ETF primarily invests in financial instrument or its issuer, or factors affecting all securities that are traded in active markets and can be similar financial instruments traded in a market or readily disposed. In addition, the ETF retains sufficient market segment. The Manager moderates this risk cash positions to maintain liquidity. The ETF may, from through the use of investment strategies that seek to time to time, enter into over-the-counter derivative minimize the ETF’s tracking error versus a market contracts or invest in unlisted securities, which are not index, within the parameters of the investment strategy. traded in an organized market and may be illiquid. The maximum risk resulting from financial Securities for which market quotation could not be instruments is equivalent to its fair value. obtained and may be illiquid are identified in the The Manager monitors the ETF’s overall market Schedule of Investment Portfolio. The proportion of positions on a daily basis and positions are maintained illiquid securities to the NAV of the ETF is monitored within established ranges. Other assets and liabilities by the Manager to ensure it does not exceed the are monetary items that are short-term in nature, and regulatory limit and does not significantly affect the as such they are not subject to other market risk. The liquidity required to meet the ETF's financial ETF's exposure to other market risk, if any, is further obligations. discussed in Note 8.

(d) Credit risk Credit risk is the risk that a loss could arise from a security issuer or counterparty to a financial instrument not being able to meet its financial obligations. The fair value of debt securities includes consideration of the credit worthiness of the debt issuer. Credit risk exposure for over-the-counter derivative instruments is based on the ETF's unrealized gain of the contractual obligations with the BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 8. ETF specific information (e) Related party transactions (a) ETF information and change in units Management fees The ETF was established on February 2, 2018. The units The Manager is entitled to receive a management fee of are listed on the TSX under the symbol ZCB. 0.150% per annum of the NAV of the ETF, plus applicable taxes, accrued daily and paid quarterly in The last close price as at June 30, 2021 was arrears. $51.57 (December 31, 2020 — $53.86). The outstanding accrued management fees due to the The number of units that have been issued and are Manager are included in “Accrued expenses” in the outstanding are disclosed in the table below. Statement of Financial Position and as at June 30, For the periods ended Jun. 30, Jun. 30, 2021 amounted to $65 (December 31, 2020 — $53). (in thousands of units) 2021 2020 Units issued and outstanding, Brokerage commissions beginning of period 2,595 905 There were no brokerage commissions charged to the Units issued 980 355 ETF during the periods ended June 30, 2021 and Redeemed during the period (625) (200) June 30, 2020. Units issued and outstanding, end of period 2,950 1,060 (f) Financial instruments risks The ETF’s objective is to replicate, to the extent Revision to comparative information possible, the performance of a corporate bond index, The adjustment to exclude interest in-kind in the net of expenses. Currently, the ETF seeks to replicate Statement of Cash Flows in the prior period amounts to the performance of the FTSE Canada All Corporate $81. Bond Index. The investment strategy of the ETF is to (b) Reconciliation of NAV to Net Assets invest and hold the constituent securities of the FTSE As at June 30, 2021 and December 31, 2020, there were Canada All Corporate Bond Index in the same no differences between the ETF’s NAV per unit and its proportion as they are reflected in the FTSE Canada All Net Assets per unit calculated in accordance with IFRS. Corporate Bond Index or securities intended to (c) Increase (decrease) in net assets attributable to replicate the performance of the index. holders of redeemable units per unit No changes affecting the overall level of risk of The increase (decrease) in net assets attributable to investing in the ETF were made during the period. holders of redeemable units per unit for the periods ended June 30, 2021 and June 30, 2020 is calculated as Currency risk follows: As at June 30, 2021 and December 31, 2020, the ETF did not have significant exposure to currency risk as it

Jun. 30, Jun. 30, invested fully in Canadian denominated securities. For the periods ended 2021 2020 (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 Weighted average units outstanding during the period (in thousands of units) 2,926 913 (Decrease) increase in net assets attributable to holders of redeemable units per unit (1.56) 2.73

(d) Income taxes As at the tax year-ended December 15, 2020, there were no capital and non-capital losses carried forward. BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 Interest rate risk Aggregate Value of Aggregate Value of Collateral The ETF's exposure to interest rate risk, by remaining Securities on Loan Received for the Loan ($) ($) term to maturity, is summarized in the following table: Jun. 30, 2021 4,927 5,259 Dec. 31, 2020 917 977 Interest Rate Interest Rate Exposure as at Exposure as at The table below is a reconciliation of the gross amount Number of years Jun. 30, 2021 Dec. 31, 2020 generated from securities lending transactions to the Less than one year — — One to three years 26,456 27,771 security lending revenue for the periods ended June 30, Three to five years 30,085 24,792 2021 and June 30, 2020: Five to ten years 59,460 52,240 Greater than ten years 36,450 33,627 For the periods ended Jun. 30, 2021 Jun. 30, 2020 Total 152,451 138,430 % of Gross % of Gross Securities Securities As at June 30, 2021 and December 31, 2020, if the Lending Lending prevailing interest rates had been raised or lowered by Amount Revenue Amount Revenue 1%, assuming a parallel shift in the yield curve, with all Gross securities lending revenue 1 100.0 0 100.0 Withholding taxes — — — — other variables held constant, the Net Assets of the ETF could possibly have decreased or increased, 1 100.0 0 100.0 Payment to securities lending agents 0 24.7 0 24.5 respectively, by approximately $10,127 (December 31, Net securities lending revenue 1 75.3 0 75.5 2020 — $9,383). The ETF’s interest rate sensitivity was determined based on portfolio weighted duration. In Concentration risk The ETF's concentration risk is summarized in the practice, actual results may differ from this sensitivity following table: analysis and the difference could be material.

Other market risk Jun. 30, Dec. 31, As at 2021 2020 As at June 30, 2021 and December 31, 2020, the ETF did not have significant exposure to other market risk as it Bonds & Debentures Communication Services 8.6% 8.7% invested fully in fixed income securities. Consumer Discretionary 4.8% 4.0% Consumer Staples 7.3% 7.1% Credit risk Energy 14.1% 13.8% The ETF’s exposure to credit risk, grouped by credit Financials 34.8% 35.6% ratings, is summarized in the following table: Industrials 7.2% 5.6% Materials 0.2% 0.2% Real Estate 5.9% 4.4% As a % of Net Assets as at Utilities 17.4% 19.8% Credit Rating Jun. 30, 2021 Dec. 31, 2020 Other Assets Less Liabilities (0.3)% 0.8% AAA 1.2 0.3 100.0% 100.0% AA 7.1 10.7 A 44.2 45.1 (g) Fair value hierarchy BBB 47.8 43.1 The ETF classifies its financial instruments into three Total 100.3 99.2 levels based on the inputs used to value the financial Securities lending instruments. Level 1 securities are valued based on The ETF had assets involved in securities lending quoted prices in active markets for identical securities. transactions outstanding as at June 30, 2021 and Level 2 securities are valued based on significant December 31, 2020 as follows: observable market inputs, such as quoted prices from similar securities and quoted prices in inactive markets or based on observable inputs to models. Level 3 securities are valued based on significant unobservable BMO Corporate Bond Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 inputs that reflect the Manager's determination of The change in fair value of mortgage related and other assumptions that market participants might reasonably asset-backed securities are included in the Statement of use in valuing the securities. The tables below show the Comprehensive Income in “Change in unrealized relevant disclosure. appreciation (depreciation)”.

As at Jun. 30, 2021 9. Significant event Financial assets Level 1 Level 2 Level 3 Total The current spread of the novel coronavirus Debt Securities 151,934 517 — 152,451 (COVID-19) has caused a global pandemic and the

unprecedented responses taken by many governments, As at Dec. 31, 2020 Financial assets Level 1 Level 2 Level 3 Total including closing borders, restricting international and Debt Securities 138,430 — — 138,430 domestic travel, and the imposition of prolonged social distancing or similar restrictions, as well as the forced Transfers between levels or voluntary closure of, or operational changes to many There were no transfers between the levels during the retail and other businesses, has resulted in periods. fundamental changes in the business world with (h) Unconsolidated structured entities significant impacts on operations and world markets. Information on the carrying amount and the size of the The impacts on operations includes changes in work investments in structured entities are shown in the environments, inherent controls risk and cyber-risks; following table: while the main impacts on investments includes increase in market risks, market volatility and liquidity

Carrying amount risk, with its impacts on valuations. ($) Jun. 30, Dec. 31, Management has implemented and will continue to As at 2021 2020 review the situation with a view to implementing,

CARDS II Trust, Series A, Credit Card Asset-Backed additional controls and procedures to adequately Notes, Secured, 2.427% Nov 15, 2024 768 — address the risks and reduce the impacts of CHIP Mortgage Trust, Series 2020-1, Senior, Notes, COVID-19 on the ETF, to the extent possible. Secured, 1.738% Dec 15, 2025 298 —

CIBC Capital Trust, Series B, Tier 1 Notes, Fixed to Floating, Callable, 10.250% Jun 30, 2108 53 55 Fortified Trust, Series A, Credit Card Asset-Backed Notes, Secured, 2.340% Jan 23, 2023 77 — Fortified Trust, Series A, Credit Card Asset-Backed Notes, Secured, 2.558% Mar 23, 2024 182 — Glacier Credit Card Trust, Credit Card Asset-Backed Notes, Senior, Secured, 1.388% Sep 22, 2025 448 456 Scotiabank Capital Trust, Scotia BaTS II Series 2006-1, Fixed to Floating, Senior, Unsecured, Notes, Callable, 5.650% Dec 31, 2056 118 109 Total 1,944 620 The carrying value of mortgage related and other asset-backed securities are included in “Investments – Non-derivative financial assets” in the Statement of Financial Position. This amount also represents the maximum exposure to losses at that date. BMO Asset Management Inc. Independent Auditor First Canadian Place, 43rd Floor PricewaterhouseCoopers LLP 100 King Street West PwC Tower Toronto, Ontario M5X 1A1 18 York Street, Suite 2600 Toronto, Ontario M5J 0B2

BMO ETFs are managed and administered by BMO Asset Management Inc., an investment fund manager and portfolio manager and separate legal entity from Bank of Montreal. ®/TM Registered trade-marks/trade-mark of Bank of Montreal, used under license. www.bmo.com/etflegal For more information please call 1-800-361-1392