BMO Mutual Funds 2020 Semi-Annual Financial Statements

March 31, 2020

BMO Global Strategic Bond Fund

NOTICE OF NO AUDITOR REVIEW OF THE SEMI-ANNUAL FINANCIAL STATEMENTS BMO Investments Inc., the Manager of the Fund, appoints independent auditors to audit the Fund’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice. The Fund’s independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Chartered Professional Accountants of Canada. BMO Global Strategic Bond Fund (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) March 31 September 30 March 31 March 31 As at 2020 2019 For the periods ended 2020 2019

ASSETS INCOME Interest income 7,265 6,009 CURRENT ASSETS Derivative income 11,332 1,023 Cash Collateral 10,060 4,080 Dividend income 52 — Investments Other changes in fair value of investments and Non-derivative financial assets 271,142 282,852 derivatives Derivative assets 10,318 8,223 Net realized (loss) gain (4,192) 3,111 Receivable for investments sold 34,967 29 Change in unrealized (depreciation) Futures margin receivable 7,556 155 appreciation (37,678) 2,067 Subscriptions receivable 544 1,311 Net (loss) gain in fair value of investments and Interest receivable 3,495 3,431 derivatives (23,221) 12,210 Dividends receivable 48 64 Securities lending revenue (note 8) 4 7 Total assets 338,130 300,145 Foreign exchange loss (1,044) (921) LIABILITIES Total other loss (1,040) (914) CURRENT LIABILITIES Total (loss) income (24,261) 11,296 indebtedness 3,787 2,158 Payable for investments purchased 43,558 3,323 EXPENSES Redemptions payable 197 482 Management fees (note 6) 1,966 1,834 Interest payable 488 — Fixed administration fees (note 6) 374 349 Derivative liabilities 25,827 3,328 Independent review committee fees (note 6) 0 1 Distributions payable 483 287 Withholding taxes 2 2 Accrued expenses 381 39 Interest expense 2 1 Fund facts fees 0 0 Total liabilities 74,721 9,617 ETF summary document fees 0 0 Net assets attributable to holders of Commissions and other portfolio transaction redeemable units 263,409 290,528 costs (note 6) 20 3 Operating expenses absorbed by the Manager Net assets attributable to holders of redeemable units (note 6) (17) (16) Series A Units 109,236 129,177 Advisor Series Units 36,103 43,205 Total expenses 2,347 2,174 ETF Series Units 46,520 30,488 (Decrease) increase in net assets attributable Series F Units 68,404 65,034 to holders of redeemable units (26,608) 9,122 Series D Units 2,793 424 (Decrease) increase in net assets attributable to holders of redeemable Series I Units 353 22,200 units Net assets attributable to holders of redeemable units per unit Series A Units (11,101) 4,203 Series A Units $ 5.88 $ 6.71 Advisor Series Units (3,631) 1,369 Advisor Series Units $ 11.40 $ 13.05 ETF Series Units (5,297) 590 ETF Series Units $ 27.86 $ 31.11 Series F Units (6,838) 2,082 Series F Units $ 12.56 $ 14.44 Series D Units (382) 11 Series D Units $ 9.27 $ 10.44 Series I Units 641 867 Series I Units $ 8.98 $ 10.35 (Decrease) increase in net assets attributable to holders of redeemable units per unit (note 8) Series A Units (0.59) 0.22 Advisor Series Units (1.11) 0.38 ETF Series Units (4.52) 1.23 Series F Units (1.38) 0.51 Series D Units (1.43) 0.33 Series I Units 0.54 0.42

The accompanying notes are an integral part of these financial statements. BMO Global Strategic Bond Fund (unaudited)

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (All amounts in thousands of Canadian dollars) March 31 March 31 March 31 March 31 For the periods ended 2020 2019 For the periods ended 2020 2019

Series A Units ETF Series Units Net assets attributable to holders of Net assets attributable to holders of redeemable units at beginning of period 129,177 122,950 redeemable units at beginning of period 30,488 12,055 (Decrease) increase in net assets attributable to (Decrease) increase in net assets attributable to holders of redeemable units (11,101) 4,203 holders of redeemable units (5,297) 590 Distributions to holders of redeemable units from: Distributions to holders of redeemable units from: Net investment income (4,105) (1,189) Net investment income (1,335) (159) Net realized gains on investments and Net realized gains on investments and derivatives (532) — derivatives (90) — Return of capital (5) (1,119) Return of capital (127) (128) Total distributions to holders of redeemable Total distributions to holders of redeemable units (4,642) (2,308) units (1,552) (287) Redeemable unit transactions Redeemable unit transactions Proceeds from redeemable units issued 6,357 15,600 Proceeds from redeemable units issued 53,251 5,382 Reinvestments of distributions to holders of Reinvestments of distributions to holders of redeemable units 4,614 2,289 redeemable units 675 — Redemption of redeemable units (15,169) (13,066) Redemption of redeemable units (31,045) (589) Net (decrease) increase from redeemable unit Net increase from redeemable unit transactions (4,198) 4,823 transactions 22,881 4,793 Net (decrease) increase in net assets Net increase in net assets attributable to attributable to holders of redeemable units (19,941) 6,718 holders of redeemable units 16,032 5,096 Net assets attributable to holders of Net assets attributable to holders of redeemable units at end of period 109,236 129,668 redeemable units at end of period 46,520 17,151

Advisor Series Units Series F Units Net assets attributable to holders of Net assets attributable to holders of redeemable units at beginning of period 43,205 47,522 redeemable units at beginning of period 65,034 60,494 (Decrease) increase in net assets attributable to (Decrease) increase in net assets attributable to holders of redeemable units (3,631) 1,369 holders of redeemable units (6,838) 2,082 Distributions to holders of redeemable units from: Distributions to holders of redeemable units from: Net investment income (1,459) (366) Net investment income (3,217) (421) Net realized gains on investments and Net realized gains on investments and derivatives (181) — derivatives (250) — Return of capital (2) (383) Return of capital (8) (439) Total distributions to holders of redeemable Total distributions to holders of redeemable units (1,642) (749) units (3,475) (860) Redeemable unit transactions Redeemable unit transactions Proceeds from redeemable units issued 5,814 2,528 Proceeds from redeemable units issued 18,918 6,761 Reinvestments of distributions to holders of Reinvestments of distributions to holders of redeemable units 1,366 630 redeemable units 3,062 755 Redemption of redeemable units (9,009) (6,856) Redemption of redeemable units (8,297) (12,294) Net decrease from redeemable unit Net increase (decrease) from redeemable unit transactions (1,829) (3,698) transactions 13,683 (4,778) Net decrease in net assets attributable to Net increase (decrease) in net assets holders of redeemable units (7,102) (3,078) attributable to holders of redeemable units 3,370 (3,556) Net assets attributable to holders of Net assets attributable to holders of redeemable units at end of period 36,103 44,444 redeemable units at end of period 68,404 56,938

The accompanying notes are an integral part of these financial statements. BMO Global Strategic Bond Fund (unaudited)

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (cont'd) (All amounts in thousands of Canadian dollars) March 31 March 31 March 31 March 31 For the periods ended 2020 2019 For the periods ended 2020 2019

Series D Units Total Fund Net assets attributable to holders of Net assets attributable to holders of redeemable units at beginning of period 424 346 redeemable units at beginning of period 290,528 264,137 (Decrease) increase in net assets attributable to (Decrease) increase in net assets attributable to holders of redeemable units (382) 11 holders of redeemable units (26,608) 9,122 Distributions to holders of redeemable units from: Distributions to holders of redeemable units from: Net investment income (67) (3) Net investment income (11,093) (2,355) Net realized gains on investments and Net realized gains on investments and derivatives (3) — derivatives (1,146) — Return of capital (0) (3) Return of capital (144) (2,292) Total distributions to holders of redeemable Total distributions to holders of redeemable units (70) (6) units (12,383) (4,647) Redeemable unit transactions Redeemable unit transactions Proceeds from redeemable units issued 3,806 43 Proceeds from redeemable units issued 88,146 30,314 Reinvestments of distributions to holders of Reinvestments of distributions to holders of redeemable units 69 5 redeemable units 10,788 4,116 Redemption of redeemable units (1,054) (67) Redemption of redeemable units (87,062) (33,662) Net increase (decrease) from redeemable unit Net increase from redeemable unit transactions 2,821 (19) transactions 11,872 768 Net increase (decrease) in net assets Net (decrease) increase in net assets attributable to holders of redeemable units 2,369 (14) attributable to holders of redeemable units (27,119) 5,243 Net assets attributable to holders of Net assets attributable to holders of redeemable units at end of period 2,793 332 redeemable units at end of period 263,409 269,380

Series I Units Net assets attributable to holders of redeemable units at beginning of period 22,200 20,770 Increase in net assets attributable to holders of redeemable units 641 867 Distributions to holders of redeemable units from: Net investment income (910) (217) Net realized gains on investments and derivatives (90) — Return of capital (2) (220) Total distributions to holders of redeemable units (1,002) (437) Redeemable unit transactions Reinvestments of distributions to holders of redeemable units 1,002 437 Redemption of redeemable units (22,488) (790) Net decrease from redeemable unit transactions (21,486) (353) Net (decrease) increase in net assets attributable to holders of redeemable units (21,847) 77 Net assets attributable to holders of redeemable units at end of period 353 20,847

The accompanying notes are an integral part of these financial statements. BMO Global Strategic Bond Fund (unaudited)

STATEMENT OF CASH FLOWS (All amounts in thousands of Canadian dollars) March 31 March 31 For the periods ended 2020 2019

Cash flows from operating activities (Decrease) increase in net assets attributable to holders of redeemable units (26,608) 9,122 Adjustments for: Foreign exchange (gain) loss on cash (226) 8 Net realized loss (gain) on sale of investments and derivatives 4,192 (3,111) Change in unrealized depreciation (appreciation) of investments and derivatives 37,678 (2,067) Increase in futures margin receivable (7,401) (596) Increase in interest receivable (64) (89) Decrease in dividends receivable 16 — Increase in accrued interest on money market investments — (12) Increase in interest payable 488 — Increase in accrued expenses 342 351 Amortization of premium and discounts (547) (325) Purchases of investments (243,044) (240,507) Proceeds from sale and maturity of investments 241,932 241,294 Cash (outflows) inflows on derivatives (2,800) 667 Net cash from operating activities 3,958 4,735

Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (1,399) (486) Proceeds from issuances of redeemable units 85,222 29,377 Amounts paid on redemption of redeemable units (83,656) (33,143) Cash collateral proceeds (5,980) 744 Net cash from financing activities (5,813) (3,508)

Foreign exchange gain (loss) on cash 226 (8) Net (decrease) increase in cash (1,855) 1,227 Bank indebtedness at beginning of period (2,158) (986) (Bank indebtedness) cash at end of period (3,787) 233

Supplementary Information Interest received, net of withholding taxes* 7,140 5,580 Dividends received, net of withholding taxes* 68 — Interest expense paid* 2 1 * These items are from operating activities.

The accompanying notes are an integral part of these financial statements. BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

MONEY MARKET INVESTMENTS Government, Treasury Bills, Federal — 21.0% 1.417% May 28, 2020...... USD 415...... 553...... 583 Government of Canada, Treasury Bills, 1.624% ...... 55,133...... 55,267 Apr 2, 2020 ...... 153...... 153...... 153 Government of Canada, Treasury Bills, 1.638% Total Money Market Investments — 21.0%...... 55,133...... 55,267 Apr 2, 2020 ...... 300...... 300...... 300 Government of Canada, Treasury Bills, 1.640% BONDS & DEBENTURES Apr 2, 2020 ...... 5,200...... 5,200...... 5,200 Government of Canada, Treasury Bills, 1.625% Argentina — 1.6% Apr 16, 2020 ...... 4,600...... 4,597...... 4,597 Argentina Bonar Bonds, Unsecured, Floating Government of Canada, Treasury Bills, 1.633% Rate, Apr 3, 2022...... ARS 12,970...... 166...... 172 Apr 16, 2020 ...... 900...... 899...... 899 Pan American Energy LLC, Series XI, Senior, Government of Canada, Treasury Bills, 0.401% Unsecured, Floating Rate, Feb 26, 2021...... ARS 1,451...... 31...... 32 Apr 30, 2020 ...... 8,400...... 8,397...... 8,397 Provincia de Buenos Aires, Series 20, Senior, Government of Canada, Treasury Bills, 0.452% Unsecured, Floating Rate, Jan 23, 2022...... ARS 5,730...... 123...... 93 Apr 30, 2020 ...... 3,400...... 3,399...... 3,399 Provincia de Buenos Aires, Unsecured, Floating Government of Canada, Treasury Bills, 0.572% Rate, May 31, 2022...... ARS 51,600...... 1,467...... 664 Apr 30, 2020 ...... 12,700...... 12,694...... 12,694 Republic of Argentina, Senior, Unsecured, Government of Canada, Treasury Bills, 0.578% 3.875% Jan 15, 2022...... EUR 4,800...... 6,721...... 2,058 Apr 30, 2020 ...... 2,200...... 2,199...... 2,199 Republic of Argentina, Senior, Unsecured, Government of Canada, Treasury Bills, 0.597% 4.625% Jan 11, 2023...... USD 5...... 6...... 2 Apr 30, 2020 ...... 300...... 300...... 300 Republic of Argentina, Sinking Funds, Senior, Government of Canada, Treasury Bills, 0.868% Unsecured, 7.820% Dec 31, 2033...... EUR 947...... 1,629...... 470 Apr 30, 2020 ...... 200...... 200...... 200 Republic of Argentina, Sinking Funds, Senior, Government of Canada, Treasury Bills, 1.168% Unsecured, Multi-Couponed, 3.380% Dec 31, Apr 30, 2020 ...... 1,500...... 1,499...... 1,499 2038 ...... EUR 1,388...... 1,264...... 556 Government of Canada, Treasury Bills, 1.353% Republic of Argentina, Sinkable, Unsecured, Apr 30, 2020 ...... 300...... 300...... 300 3.750% Dec 31, 2038...... USD 300...... 245...... 118 Government of Canada, Treasury Bills, 1.598% Republic of Argentina, Series NY, Senior, Apr 30, 2020 ...... 100...... 100...... 100 Unsecured, Notes, 3.750% Dec 31, 2038...... USD 200...... 163...... 79 Government of Canada, Treasury Bills, 1.613% YPF Sociedad Anonima, Series XLVI, Senior, Apr 30, 2020 ...... 4,500...... 4,494...... 4,494 Unsecured, Floating Rate, Mar 4, 2021...... ARS 2,010...... 52...... 44 Government of Canada, Treasury Bills, 1.620% ...... 11,867...... 4,288 Apr 30, 2020 ...... 1,400...... 1,398...... 1,398 Government of Canada, Treasury Bills, 1.623% Australia — 0.0% Apr 30, 2020 ...... 1,400...... 1,398...... 1,398 Goodman US Finance Three, LLC, Series 144A, Government of Canada, Treasury Bills, 1.633% Senior, Unsecured, Notes, Callable, 4.500% Apr 30, 2020 ...... 1,600...... 1,598...... 1,598 Oct 15, 2037 ...... USD 24...... 29...... 39 Government of Canada, Treasury Bills, 1.650% Apr 30, 2020 ...... 800...... 799...... 799 Barbados — 0.1% Government of Canada, Treasury Bills, 0.150% Banco Daycoval S.A., Euro Medium Term Notes, Jun 11, 2020...... 1,200...... 1,200...... 1,200 Senior, Unsecured, 4.250% Dec 13, 2024...... USD 300...... 398...... 393 Letras del Tesoro en Pesos Badlar, Treasury Bills, 34.250% May 28, 2020...... ARS 2,743...... 61...... 62 Brazil — 0.7% United States Government, Treasury Bills, Odebrecht Drilling Norbe VIII/IX Ltd., Sinking 0.162% Apr 14, 2020...... USD 302...... 428...... 425 Funds, Senior, Secured, Notes, Callable, United States Government, Treasury Bills, 6.350% Dec 1, 2021...... USD 10...... 13...... 14 0.000% Apr 28, 2020...... USD 720...... 1,012...... 1,013 Odebrecht Offshore Drilling Finance Limited, United States Government, Treasury Bills, Senior, Secured, Notes, Callable, 6.720% 1.548% Apr 30, 2020...... USD 545...... 724...... 766 Dec 1, 2022...... USD 26...... 32...... 33 United States Government, Treasury Bills, Petrobras Global Finance B.V., Senior, 1.564% May 7, 2020...... USD 53...... 70...... 74 Unsecured, Notes, 6.125% Jan 17, 2022...... USD 41...... 56...... 57 United States Government, Treasury Bills, Petrobras Global Finance B.V., Euro Medium 0.762% May 28, 2020...... USD 404...... 541...... 568 Term Notes, Senior, Unsecured, 6.250% United States Government, Treasury Bills, Dec 14, 2026...... GBP 440...... 844...... 710 1.169% May 28, 2020...... USD 464...... 620...... 652 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Rio Oil Finance Trust, Series 144A, Sinking Republic of Chile, Series 144A, Senior, Funds, Secured, Notes, 9.250% Jul 6, 2024...... USD 557 ...... 610 ...... 855 Unsecured, Notes, Callable, 2.704% Jan 9, Vale Overseas Limited, Senior, Unsecured, 2025 ...... USD 200 ...... 259 ...... 287 Notes, 6.250% Aug 10, 2026 ...... USD 88 ...... 127 ...... 135 ...... 1,127 ...... 1,169 Vale Overseas Limited, Senior, Unsecured, Notes, 6.875% Nov 21, 2036 ...... USD 19 ...... 28 ...... 29 China — 0.5% Vale Overseas Limited, Senior, Unsecured, CDBL Funding 1, Euro Medium Term Notes, Notes, 6.875% Nov 10, 2039 ...... USD 69 ...... 113 ...... 106 Senior, Unsecured, Floating Rate, 0.000%, ...... 1,823 ...... 1,939 Nov 15, 2021 ...... USD 1,000...... 1,335...... 1,409

Canada — 0.9% Denmark — 0.4% 1011778 B.C. ULC/New Red Finance, Inc., AG, Euro Medium Term Notes, Series 144A, Secured, Notes, Callable, Senior, Unsecured, 1.625% Jan 20, 2027...... EUR 800...... 1,179...... 1,040 4.375% Jan 15, 2028...... USD 15 ...... 20 ...... 20 Advanz Pharma Corp., Series 2018 USD Term

Loan B, Sep 6, 2024...... USD 194 ...... 250 ...... 232 Dominican Republic — 0.7%

Bombardier Inc., Series 144A, Senior, Dominican Republic, Series 144A, Senior, 994...... 1,327...... 1,217 Unsecured, Notes, Callable, 6.000% Oct 15, Unsecured, 6.400% Jun 5, 2049...... USD Dominican Republic International Bond, Senior, 2022 ...... USD 116 ...... 149 ...... 122

Bombardier Inc., Series 144A, Senior, Unsecured, 5.500% Jan 27, 2025...... USD 400...... 519...... 529 ...... 1,846...... 1,746 Unsecured, Notes, 6.125% Jan 15, 2023...... USD 437 ...... 574 ...... 434 Bombardier Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.500% Dec 1, Ecuador — 0.1% 2024 ...... USD 436 ...... 575 ...... 426 Republic of Ecuador, Series 144A, Senior, Bombardier Inc., 7.875% Apr 15, 2027...... USD 22 ...... 27 ...... 21 Unsecured, 10.750% Jan 31, 2029...... USD 501...... 732...... 198 Brookfield Finance Inc., Senior, Unsecured, Notes, Callable, 3.900% Jan 25, 2028 ...... USD 6 ...... 8 ...... 9 Egypt — 1.7% Brookfield Finance Inc., Senior, Unsecured, Arab Republic of Egypt, Series 144A, Senior, Notes, Callable, 4.850% Mar 29, 2029 ...... USD 15 ...... 20 ...... 21 Unsecured, 4.750% Apr 11, 2025 ...... EUR 900...... 1,355...... 1,210 Brookfield Finance Inc., Senior, Unsecured, Arab Republic of Egypt, Senior, Unsecured, Notes, Callable, 4.700% Sep 20, 2047...... USD 48 ...... 59 ...... 65 4.750% Apr 11, 2025...... EUR 600...... 912...... 806 Canadian Government Bond, Unsecured, Arab Republic of Egypt, Series 144A, Senior, 3.500% Jun 1, 2020...... 1,000...... 1,004 ...... 1,005 Unsecured, 6.375% Apr 11, 2031 ...... EUR 2,050...... 3,081...... 2,498 Fairfax Financial Holdings Limited, Senior, ...... 5,348...... 4,514 Unsecured, Notes, Callable, 4.850% Apr 17, 2028 ...... USD 12 ...... 15 ...... 18 France — 1.3% ...... 2,701 ...... 2,373 Altice France S.A., Series 144A, Secured, Notes, Callable, 7.375% May 1, 2026 ...... USD 2,050...... 2,735...... 2,881 Cayman Islands — 0.8% Altice France S.A., Term Loan B13, Floating Ambac LSNI LLC, Series 144A, Senior, Secured, Rate, Aug 14, 2026 ...... USD 99...... 127...... 130 Notes, Callable, Floating Rate, Feb 12, 2023...... USD 219 ...... 289 ...... 290 Societe Generale S.A., Series 144A, Fixed to QNB Finance Ltd., Euro Medium Term Notes, Floating, Junior, Unsecured, Notes, Senior, Unsecured, Floating Rate, Feb 12, Subordinated, Perpetual, Callable, 7.375% 2022 ...... USD 1,200 ...... 1,594 ...... 1,691 Dec 31, 2099...... USD 300...... 392...... 363 ...... 1,883 ...... 1,981 ...... 3,254...... 3,374

Chile — 0.4% Germany — 1.3% Chile, Series 144A, Senior, Aroundtown S.A., Euro Medium Term Notes, Unsecured, Notes, Callable, 2.700% Jan 10, Senior, Unsecured, Callable, 5.375% Mar 21, 2025 ...... USD 150 ...... 195 ...... 189 2029 ...... USD 400...... 529...... 632 Latam Airlines 2015-1 Pass Through Trust A, CPI Property Group S.A., Senior, Unsecured, Series B, Sinking Funds, Secured Notes, 4.750% Mar 8, 2023...... USD 230...... 311...... 337 Extendible to Aug 15, 2025, 4.500% Aug 15, CPI Property Group S.A., Euro Medium Term 2025 ...... USD 387 ...... 464 ...... 521 Notes, Senior, Unsecured, Callable, 2.125% Latam Airlines 2015-1 Pass Through Trust A, Oct 4, 2024...... EUR 200...... 297...... 303 Senior, Secured, 4.200% Aug 15, 2029 ...... USD 153 ...... 209 ...... 172 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Deutsche Bank Aktiengesellschaft, Senior, Park Aerospace Holdings Limited, Series 144A, Unsecured, Notes, Callable, 3.961% Nov 26, Senior, Unsecured, Notes, 4.500% Mar 15, 2025 ...... USD 520 ...... 693 ...... 677 2023 ...... USD 590 ...... 759 ...... 689 IHO Verwaltungs GmbH, 6.000% May 15, Park Aerospace Holdings Limited, Series 144A, 2027 ...... USD 748 ...... 1,005 ...... 747 Senior, Unsecured, Notes, 5.500% Feb 15, IHO Verwaltungs GmbH, 6.375% May 15, 2024 ...... USD 80 ...... 102 ...... 94 2029 ...... USD 653 ...... 877 ...... 671 ...... 3,535...... 3,399 TLG Immobilien AG, Senior, Unsecured, Notes, Callable, 1.375% Nov 27, 2024...... EUR 100 ...... 150 ...... 154 Israel — 0.6% ...... 3,862 ...... 3,521 Teva Pharmaceutical Finance Netherlands II B.V., Senior, Unsecured, Notes, Callable, Ghana — 1.2% 0.375% Jul 25, 2020 ...... EUR 424 ...... 620 ...... 643 Republic of Ghana, Series 144A, Senior, Teva Pharmaceutical Finance Netherlands II Unsecured, Notes, 6.375% Feb 11, 2027 ...... USD 600 ...... 797 ...... 614 B.V., Senior, Unsecured, Notes, Callable, Republic of Ghana, Series 144A, Sinking Funds, 2.200% Jul 21, 2021 ...... USD 238 ...... 306 ...... 318 Senior, Unsecured, 7.875% Mar 26, 2027 ...... USD 690 ...... 918 ...... 714 Teva Pharmaceutical Finance Netherlands II Republic of Ghana, Series 144A, Sinking Funds, B.V., Senior, Unsecured, Notes, Callable, Unsecured, 10.750% Oct 14, 2030 ...... USD 500...... 791 ...... 714 3.650% Nov 10, 2021...... USD 69...... 90 ...... 93 Republic of Ghana, Series 144A, Sinking Funds, Teva Pharmaceutical Finance Netherlands II Senior, Unsecured, 8.125% Mar 26, 2032 ...... USD 621 ...... 826 ...... 613 B.V., Senior, Unsecured, Notes, Callable, Republic of Ghana, Series 144A, Senior, 3.250% Apr 15, 2022...... EUR 200 ...... 305 ...... 295 Unsecured, 7.875% Feb 11, 2035...... USD 400 ...... 526 ...... 394 Teva Pharmaceutical Finance Netherlands II Republic of Ghana, Series 144A, Senior, B.V., Senior, Unsecured, Notes, Callable, Unsecured, 8.750% Mar 11, 2061...... USD 200 ...... 262 ...... 195 1.250% Mar 31, 2023...... EUR 100 ...... 127 ...... 137 ...... 4,120 ...... 3,244 Teva Pharmaceutical Finance Netherlands II B.V., Series 144A, Senior, Unsecured, Notes, Hong Kong — 0.2% Callable, 6.000% Jan 31, 2025 ...... EUR 100 ...... 147 ...... 151 Melco Resorts Finance Limited, Series 144A, ...... 1,595 ...... 1,637 Senior, Unsecured, Notes, Callable, 5.375% Dec 4, 2029...... USD 400 ...... 546 ...... 468 Italy — 0.7% Banca Carige S.p.A., Senior, Secured, Notes, Ireland — 1.3% Floating Rate, Feb 25, 2021 ...... EUR 200 ...... 302 ...... 307 AIB Group Public Limited Company, 4.263% S.p.A., Series 144A, Senior, Apr 10, 2025 ...... USD 200 ...... 267 ...... 271 Unsecured, Notes, 7.830% Dec 4, 2023 ...... USD 1,110 ...... 1,476 ...... 1,673 Avolon Holdings Funding Limited, Series 144A, ...... 1,778...... 1,980 Senior, Unsecured, Notes, Callable, 5.500% Jan 15, 2023...... USD 52...... 67 ...... 63 Jersey — 0.3% Avolon Holdings Funding Limited, Series 144A, AA Bond Co Limited, Series A8, Senior, Secured, Senior, Unsecured, Notes, Callable, 5.250% Notes, Callable, 5.500% Jul 31, 2050...... GBP 461 ...... 749 ...... 688 May 15, 2024...... USD 64 ...... 85 ...... 73 Avolon Holdings Funding Limited, Series 144A, Kenya — 0.7% Senior, Unsecured, Notes, Callable, 2.875% Republic of Kenya, Series 144A, Senior, Feb 15, 2025...... USD 64 ...... 83 ...... 69 Unsecured, 7.000% May 22, 2027...... USD 800 ...... 1,075 ...... 1,033 Avolon Holdings Funding Limited, Series 144A, Republic of Kenya, Series 144A, Senior, Senior, Unsecured, Notes, Callable, 3.250% Unsecured, 8.000% May 22, 2032...... USD 700...... 941 ...... 911 Feb 15, 2027...... USD 13 ...... 17 ...... 14 ...... 2,016 ...... 1,944 Dell Bank International Designated Activity Company, Senior, Unsecured, Notes, Callable,

0.625% Oct 17, 2022...... EUR 100 ...... 146 ...... 152 Luxembourg — 3.3% AI Convoy (Luxembourg) S.A.R.L, Term Loan B, Harvest CLO XIV DAC, 0.630% Nov 18, 2029...... EUR 331 ...... 495 ...... 492 Jan 17, 2027 USD 212 279 276 Park Aerospace Holdings Limited, Series 144A, ...... Alr Senior, Unsecured, Notes, Callable, 3.625% osa Finance S.A., Series 144A, Notes,

Mar 15, 2021...... USD 28 ...... 34 ...... 37 7.750% Nov 3, 2020...... USD 468...... 453 ...... 664

Park Aerospace Holdings Limited, Series 144A, Altice Financing S.A., Series 144A, Senior, Secured, Callable, 2.250% Jan 15, 2025...... EUR 100 ...... 145 ...... 138 Senior, Unsecured, Notes, 5.250% Aug 15, 2022 ...... USD 1,165 ...... 1,480 ...... 1,445 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Altice Financing S.A., Series 144A, Secured, Petroleos Mexicanos, Series 144A, Senior, Notes, Callable, 7.500% May 15, 2026...... USD 600 ...... 754 ...... 821 Unsecured, Notes, Callable, 6.950% Jan 28, Altice Financing S.A., Senior, Secured, Callable, 2060 ...... USD 220 ...... 288 ...... 205 3.000% Jan 15, 2028...... EUR 600 ...... 869 ...... 819 ...... 6,573 ...... 4,747 Bevco Lux S.a.r.l., Senior, Unsecured, Notes, 1.750% Feb 9, 2023 ...... EUR 100...... 154 ...... 152 Netherlands — 4.0% Blackstone Property Partners Europe Holdings Cairn CLO B.V., Series 2016-6X, Class AR, Sarl, Euro Medium Term Notes, Senior, Collateral Loan Obligation, Floating Rate, Unsecured, Callable, 1.400% Jul 6, 2022...... EUR 100 ...... 153 ...... 154 Jul 25, 2029...... EUR 280 ...... 425 ...... 417 Emerald Bay S.A., Series 4F, Class F, EMF-NL BV, Series 2008-APRX, Class A2, Pass-Through Certificates, Secured, 0.010% Collateral Mortgage Obligation, Floating Rate, Oct 8, 2020...... EUR 1,500 ...... 2,142 ...... 2,255 Apr 17, 2041 ...... EUR 470 ...... 491 ...... 668 Eurofins Scientific SE, Senior, Unsecured, Notes, NE Property B.V., 2.625% May 22, 2023 ...... EUR 300 ...... 445 ...... 441 Callable, 2.125% Jul 25, 2024 ...... EUR 430 ...... 624 ...... 642 NE Property B.V., Euro Medium Term Notes, Intelsat (Luxembourg) S.A., Senior, Unsecured, Senior, Unsecured, Callable, 1.875% Oct 9, Notes, Callable, 7.750% Jun 1, 2021 ...... USD 994 ...... 1,280 ...... 700 2026 ...... EUR 1,600 ...... 2,311 ...... 2,061 Intelsat Connect Finance S.A., Series 144A, NXP BV/NXP Funding LLC/NXP USA, Inc., Senior, Unsecured, Notes, Callable, 9.500% 4.300% Jun 18, 2029...... USD 200 ...... 265 ...... 290 Feb 15, 2023...... USD 60 ...... 77 ...... 31 Sigma Bidco BV, Jul 2, 2025 ...... EUR 690 ...... 1,100 ...... 965 Intelsat Jackson Holdings S.A., Term Loan B3, St Paul's CLO VI DAC, Series 6A, Class A1R, Floating Rate, Nov 27, 2023...... USD 300 ...... 397 ...... 385 Collateral Loan Obligation, Floating Rate, Intelsat Jackson Holdings S.A., Series 144A, Aug 20, 2030 ...... EUR 2,600 ...... 3,941 ...... 3,854 Secured, Notes, Callable, 8.000% Feb 15, Stichting AK Certificaten, Unsecured, 2024 ...... USD 40 ...... 54 ...... 55 Subordinated, Perpetual, 6.500% Dec 29, Intelsat Jackson Holdings S.A., Series 144A, 2049 ...... EUR 81 ...... 151 ...... 113 Senior, Unsecured, Notes, Callable, 8.500% United Group B.V., Senior, Secured, Notes, Oct 15, 2024 ...... USD 626 ...... 798 ...... 555 Callable, 4.875% Jul 1, 2024 ...... EUR 900 ...... 1,355 ...... 1,261 Intelsat Jackson Holdings S.A., Series 144A, United Group B.V., Series 144A, Senior, Senior, Unsecured, Notes, Callable, 9.750% Secured, Notes, Callable, 4.875% Jul 1, Jul 15, 2025...... USD 200 ...... 267 ...... 176 2024 ...... EUR 192 ...... 289 ...... 269 Negara, Euro Medium Term Notes, Senior, United Group B.V., Series 144A, Senior, Unsecured, Callable, 2.250% May 13, 2025...... EUR 100 ...... 149 ...... 155 Secured, Callable, 3.125% Feb 15, 2026 ...... EUR 100 ...... 145 ...... 131 Sunshine Luxembourg VII SARL, Term Loan B1, United Group B.V., Series 144A, Senior, Oct 1, 2026...... USD 631 ...... 820 ...... 804 Secured, Callable, 3.625% Feb 15, 2028 ...... EUR 100 ...... 145 ...... 125 ...... 9,415 ...... 8,782 ...... 11,063 ...... 10,595

Macau — 0.4% Norway — 0.3% Sands China Ltd., 5.400% Aug 8, 2028 ...... USD 714 ...... 922 ...... 942 Norwegian Air Shuttle ASA Pass Through Trust, Series 144A, Senior, Secured, 4.875% Mexico — 1.8% Nov 10, 2029 ...... USD 712 ...... 927 ...... 771 Petroleos Mexicanos, Euro Medium Term Notes, Senior, Unsecured, 4.875% Feb 21, 2028...... EUR 1,800 ...... 2,776 ...... 2,008 Oman — 0.8% Petroleos Mexicanos, 4.750% Feb 26, 2029...... EUR 2,000 ...... 2,982 ...... 2,142 Sultanate of Oman, Series 144A, Senior, Petroleos Mexicanos, Series 144A, Senior, Unsecured, Notes, 4.875% Feb 1, 2025 ...... USD 900 ...... 1,181 ...... 978 Unsecured, Notes, Callable, 6.840% Jan 23, Sultanate of Oman, Series 144A, Senior, 2030 ...... USD 170 ...... 225 ...... 169 Unsecured, Notes, 6.000% Aug 1, 2029...... USD 1,100 ...... 1,448 ...... 1,103 Petroleos Mexicanos, Series 144A, Senior, ...... 2,629 ...... 2,081 Unsecured, Notes, Callable, 5.950% Jan 28, 2031 ...... USD 130 ...... 170 ...... 127

Petroleos Mexicanos, Senior, Unsecured, Notes, Panama — 0.1% Republic of Panama, Senior, Unsecured, 6.750% Sep 21, 2047 ...... USD 10 ...... 13 ...... 9 ...... 100 ...... 155 ...... 204 Petroleos Mexicanos, Series 144A, Senior, 8.125% Apr 28, 2034 USD Unsecured, Notes, Callable, 7.690% Jan 23, 2050 ...... USD 90 ...... 119 ...... 87 Paraguay — 0.6% Bioceanico Sovereign Certificate, Ltd., 0.010% Jun 5, 2034...... USD 1,550 ...... 1,363 ...... 1,222 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Republic of Paraguay, Series 144A, Senior, UBS Group AG, Fixed to Floating, Junior, Notes, Unsecured, Notes, Callable, 5.400% Mar 30, Subordinated, Perpetual, Callable, 5.750% 2050 ...... USD 200 ...... 301 ...... 252 Dec 29, 2049...... EUR 500 ...... 710 ...... 757 ...... 1,664 ...... 1,474 ...... 1,425 ...... 1,590

Peru — 0.5% Turkey — 1.1% Banco de Credito del Peru, Series 144A, Senior, Republic of Turkey, Series INTL, Senior, Unsecured, Notes, Callable, 4.650% Sep 17, Unsecured, 3.250% Jun 14, 2025...... EUR 1,100...... 1,610 ...... 1,465 2024 ...... PEN 3,200 ...... 1,265 ...... 1,325 Republic of Turkey, Senior, Unsecured, 5.750% May 11, 2047...... USD 1,400 ...... 1,494 ...... 1,456 Romania — 0.5% ...... 3,104 ...... 2,921 Globalworth Real Estate Investments Limited, Senior, Unsecured, Notes, 2.875% Jun 20, Ukraine — 2.2% 2022 ...... EUR 200 ...... 298 ...... 311 Government of Ukraine, Senior, Unsecured, RCS & RDS SA, Series 144A, Senior, Secured, 7.750% Sep 1, 2022 ...... USD 1,000 ...... 1,290 ...... 1,327 Callable, 2.500% Feb 5, 2025 ...... EUR 100 ...... 145 ...... 140 Government of Ukraine, Series 144A, Senior, RCS & RDS SA, Series 144A, Senior, Secured, Unsecured, 6.750% Jun 20, 2026...... EUR 800 ...... 1,202 ...... 1,098 Callable, 3.250% Feb 5, 2028 ...... EUR 200 ...... 291 ...... 266 Government of Ukraine, Senior, Unsecured, Republic of Romania, Series 144A, Senior, 7.750% Sep 1, 2026 ...... USD 2,000 ...... 2,628 ...... 2,561 Unsecured, 3.500% Apr 3, 2034 ...... EUR 390 ...... 581 ...... 612 Government of Ukraine, Series 144A, Senior, ...... 1,315 ...... 1,329 Unsecured, Notes, 4.375% Jan 27, 2030...... EUR 631 ...... 920 ...... 782 ...... 6,040 ...... 5,768 Russia — 1.7% ABH Financial Ltd via Alfa Holding Issuance plc, United Arab Emirates — 0.7% Euro Medium Term Notes, Senior, Unsecured, DAE Funding LLC, Series 144A, Senior, 2.626% Apr 28, 2020...... EUR 392 ...... 564 ...... 607 Unsecured, Notes, Callable, 4.000% Aug 1, Gazprom Neft OAO via GPN Capital SA, 2020 ...... USD 104 ...... 137 ...... 143 Series 144A, Loan Participation Notes, DAE Funding LLC, Series 144A, Senior, Senior, Unsecured, 4.375% Sep 19, 2022...... USD 1,000 ...... 1,299 ...... 1,401 Unsecured, Notes, Callable, 5.250% Nov 15, Gazprom Neft OAO Via GPN Capital SA, Senior, 2021 ...... USD 109 ...... 144 ...... 140 Unsecured, 6.000% Nov 27, 2023 ...... USD 300 ...... 430 ...... 438 DAE Funding LLC, Series 144A, Senior, Gazprom via Gaz Capital S.A., Series 144A, Unsecured, Notes, Callable, 4.500% Aug 1, Series 2, Loan Participation Notes, Senior, 2022 ...... USD 13 ...... 16 ...... 17 Unsecured, 8.625% Apr 28, 2034 ...... USD 600 ...... 968 ...... 1,161 DAE Funding LLC, Series 144A, Senior, Sberbank of Russia Via SB Capital S.A., Unsecured, Notes, Callable, 5.750% Nov 15, Unsecured, Notes, Subordinated, 5.125% 2023 ...... USD 82 ...... 107 ...... 107 Oct 29, 2022 ...... USD 400 ...... 553 ...... 558 DAE Funding LLC, Series 144A, Senior, Sberbank Via SB Capital S.A., Unsecured, Notes, Unsecured, Notes, Callable, 5.000% Aug 1, Subordinated, 5.250% May 23, 2023 ...... USD 200 ...... 279 ...... 279 2024 ...... USD 40 ...... 50 ...... 51 ...... 4,093 ...... 4,444 DP World PLC, Series 144A, Senior, Unsecured, Notes, 1.000% Sep 30, 2022 ...... USD 983 ...... 1,213 ...... 1,273 Spain — 0.1% ...... 1,667 ...... 1,731 Autonomous Community of Catalonia, The, Euro Medium Term Notes, Senior, Unsecured, United Kingdom — 13.5% 4.900% Sep 15, 2021 ...... EUR 100 ...... 146 ...... 165 AA Bond Company Ltd., Euro Medium Term Notes, Senior, Secured, Callable, 2.750% Switzerland — 0.6% Jul 31, 2043...... GBP 100 ...... 167 ...... 156 AG, Series 144A, Notes, AA Bond Company Ltd., Euro Medium Term Subordinated, 6.500% Aug 8, 2023...... USD 400 ...... 453 ...... 570 Notes, Secured, 2.875% Jul 31, 2043 ...... GBP 473 ...... 794 ...... 778 Credit Suisse Group AG, Series 144A, Fixed to Alba plc, Series 2005-1, Class A3, Floating, Unsecured, Notes, Subordinated, Mortgage-Backed Securities, Floating Rate, Perpetual, Callable, 7.500% Dec 31, 2099 ...... USD 200 ...... 262 ...... 263 Nov 25, 2042 ...... GBP 1,838 ...... 2,871 ...... 2,872 Annington Funding PLC, Euro Medium Term Notes, Senior, Unsecured, Callable, 1.650% Jul 12, 2024...... EUR 200 ...... 294 ...... 311 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Annington Funding PLC, Euro Medium Term RMAC Securities PLC, Series 06-NS2X, Notes, Senior, Unsecured, Callable, 2.646% Class M1A, 0.700% Jun 12, 2044...... GBP 1,323 ...... 2,177 ...... 1,960 Jul 12, 2025...... GBP 100 ...... 168 ...... 173 Group plc, The, Fixed to Ardonagh Midco 3 PLC, 8.375% Jul 15, 2023...... GBP 1,600 ...... 2,912 ...... 2,373 Floating, Euro Medium Term Notes, Senior, Avon International Capital PLC, 6.500% Aug 15, Unsecured, Callable, 3.162% May 15, 2023...... USD 200 ...... 273 ...... 250 2022 ...... USD 34 ...... 45 ...... 41 Royal Bank of Scotland Group plc, The, Fixed to Barclays PLC, Fixed to Floating, Junior, Floating, Euro Medium Term Notes, Senior, Unsecured, Notes, Subordinated, Perpetual, Unsecured, Callable, 3.498% May 15, 2023...... USD 200 ...... 273 ...... 282 Callable, 7.625% Nov 21, 2022...... USD 1,400 ...... 1,615 ...... 2,015 Royal Bank of Scotland Group plc, The, Fixed to Barclays PLC, Fixed to Floating, Junior, Floating, Euro Medium Term Notes, Senior, Unsecured, Notes, Subordinated, Perpetual, Unsecured, Callable, 5.076% Jan 27, 2030...... USD 300 ...... 388 ...... 457 Callable, 3.072% May 16, 2024 ...... USD 200 ...... 257 ...... 269 Royal Bank of Scotland Group plc, The, Fixed to Barclays PLC, Senior, Unsecured, Notes, Floating, Euro Medium Term Notes, Senior, Callable, 4.337% Jan 10, 2028 ...... USD 200 ...... 282 ...... 287 Unsecured, Callable, 8.625% Dec 29, 2049...... USD 2,590 ...... 3,467 ...... 3,554 Barclays PLC, Fixed to Floating, Junior, Santander UK Group Holdings plc, Fixed to Unsecured, Notes, Subordinated, Perpetual, Floating, Junior, Notes, Subordinated, Callable, 7.875% Dec 29, 2049...... GBP 1,752 ...... 2,737 ...... 2,664 Perpetual, Callable, 7.375% Dec 29, 2049 ...... GBP 900 ...... 1,663 ...... 1,286 Barclays PLC, Fixed to Floating, Junior, Santander UK Group Holdings plc, Fixed to Unsecured, Notes, Subordinated, Perpetual, Floating, Junior, Notes, Subordinated, Callable, 7.250% Dec 31, 2099...... GBP 200 ...... 330 ...... 312 Perpetual, Callable, 6.750% Dec 31, 2099 ...... GBP 600 ...... 1,095 ...... 843 Connect Finco SARL/Connect US Finco LLC, Tesco Property Finance 3 PLC, 5.744% Apr 13, Series 144A, Senior, Secured, Notes, Callable, 2040 ...... GBP 183 ...... 339 ...... 397 6.750% Oct 1, 2026...... USD 26 ...... 34 ...... 30 TP ICAP PLC, 5.250% May 29, 2026...... GBP 300 ...... 510 ...... 486 Eurosail Plc, Series 2007-5X, Class A1A, Unique Pub Finance Company PLC, The, Residential Mortgage-Backed Securities, Series M, Sinking Funds, Secured, Notes, Floating Rate, Sep 13, 2045 ...... GBP 1,204 ...... 1,868 ...... 1,736 7.395% Mar 28, 2024...... GBP 40 ...... 72 ...... 75 Finsbury Square 2020-1 PLC, Series 20-1A, Uropa Securities plc, Series 2008-1, Class A, Class A, Mortgage-Backed Securities, 1.510% Mortgage-Backed Securities, Floating Rate, Mar 16, 2070...... GBP 500 ...... 864 ...... 843 Jun 10, 2059...... GBP 1,388 ...... 2,164 ...... 2,169 Froneri International PLC, 1.000% Jan 29, Uropa Securities plc, Series 2008-1, Class M2, 2027 ...... USD 32 ...... 42 ...... 43 Mortgage-Backed Securities, Floating Rate, Froneri International PLC, 1.000% Jan 31, Jun 10, 2059...... GBP 265 ...... 389 ...... 387 2028 ...... USD 16 ...... 21 ...... 20 Uropa Securities plc, Series 2008-1, Class M1, HSBC Holdings plc, Senior, Unsecured, Notes, Mortgage-Backed Securities, Floating Rate, Callable, Floating Rate, Mar 11, 2025...... USD 2,000 ...... 2,662 ...... 2,561 Jun 10, 2059...... GBP 339 ...... 511 ...... 518 Kennedy Wilson Europe Real Estate plc, Senior, Uropa Securities plc, Series 2008-1, Class B, Unsecured, Notes, Callable, 3.950% Jun 30, Mortgage-Backed Securities, Floating Rate, 2022 ...... GBP 720 ...... 1,296 ...... 1,268 Jun 10, 2059...... GBP 282 ...... 401 ...... 404 plc, Senior, Unsecured, Valaris PLC, Senior, Unsecured, Notes, Callable, Notes, 4.050% Aug 16, 2023 ...... USD 200 ...... 261 ...... 291 5.750% Oct 1, 2044...... USD 88 ...... 58 ...... 11 Lloyds Banking Group plc, Senior, Unsecured, ...... 37,213 ...... 35,575 Notes, 7.875% Dec 29, 2049 ...... GBP 400 ...... 682 ...... 631 Lloyds Banking Group plc, Unsecured, Notes, United States — 33.2% Subordinated, Perpetual, Callable, 5.125% Adams Mill CLO Ltd., Series 2014-1A, Dec 31, 2099...... GBP 200 ...... 341 ...... 257 Class A1R, Collateral Loan Obligation, Mitchells & Butlers Finance PLC, 6.013% Floating Rate, Jul 15, 2026 ...... USD 1,324 ...... 1,756 ...... 1,828 Dec 15, 2030...... GBP 21 ...... 41 ...... 43 Adjustable Rate Mortgage Trust, Series 2007-3, Nationwide Building Society, Series CCDS, Class 2A1, Floating Rate, Nov 25, 2037...... USD 438 ...... 358 ...... 472 Unsecured, Subordinated, Perpetual, Aircraft Certificate Backed Notes, 10.250% Dec 31, 2049...... GBP 10 ...... 2,376 ...... 2,157 Series 2003-A, Class E, Asset Backed, Nationwide Building Society, Unsecured, 7.001% Sep 20, 2022 ...... USD 69 ...... 68 ...... 104 Subordinated, Perpetual, Callable, 5.875% Albertsons Companies Inc./Safeway Inc./New Dec 31, 2099...... GBP 240 ...... 397 ...... 339 Albertsons L.P./Albertson's LLC, Series 144A, Noble Holdings International Limited, Senior, Unsecured, Notes, Callable, 4.625% Series 144A, Senior, Unsecured, Notes, Jan 15, 2027...... USD 3 ...... 4 ...... 4 Callable, 7.875% Feb 1, 2026 ...... USD 71 ...... 76 ...... 26 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Albertsons Cos Inc/Safeway Inc/New Cantor Fitzgerald, L.P., Series 144A, Senior, Albertsons LP/ Albertsons LLC, Series 144A, Unsecured, Notes, Callable, 4.875% May 1, Senior, Unsecured, Notes, Callable, 4.875% 2024 ...... USD 39 ...... 52 ...... 56 Feb 15, 2030...... USD 6 ...... 8 ...... 8 CBL & Associates Limited Partnership, Senior, Albertsons Cos Inc/Safeway Inc/New Unsecured, Notes, Callable, 5.950% Dec 15, Albertsons LP/Albertsons LLC, Series 144A, 2026 ...... USD 194 ...... 192 ...... 60 Senior, Unsecured, Notes, Callable, 3.500% CCO Holdings, LLC/CCO Holdings Capital Corp., Feb 15, 2023...... USD 6 ...... 8 ...... 8 Series 144A, Senior, Unsecured, Notes, Ally Financial Inc., Senior, Unsecured, Notes, Callable, 4.750% Mar 1, 2030...... USD 73 ...... 98 ...... 102 4.250% Apr 15, 2021...... USD 62 ...... 82 ...... 86 CCO Holdings, LLC/CCO Holdings Capital Corp., Ally Financial Inc., Senior, Unsecured, Notes, Series 144A, Senior, Unsecured, Notes, 4.625% May 19, 2022...... USD 105 ...... 144 ...... 143 Callable, 4.500% Aug 15, 2030...... USD 57 ...... 76 ...... 78 Ally Financial Inc., 3.875% May 21, 2024...... USD 248 ...... 331 ...... 321 Centene Corporation, Series 144A, Senior, Ally Financial Inc., Senior, Unsecured, Notes, Unsecured, Notes, Callable, 4.750% Jan 15, 8.000% Nov 1, 2031...... USD 126 ...... 196 ...... 205 2025 ...... USD 62 ...... 85 ...... 89 American Homes 4 Rent, Senior, Unsecured, Centene Corporation, Series 144A, Senior, Notes, Callable, 4.250% Feb 15, 2028...... USD 8 ...... 10 ...... 11 Unsecured, Notes, Callable, 4.625% Dec 15, Ancestry.com Operations, Inc., Term Loan B, 2029 ...... USD 40 ...... 53 ...... 57 Aug 27, 2026 ...... USD 99 ...... 131 ...... 115 Centene Corporation, Series 144A, Senior, Arconic Corp., Series 144A, Secured, Notes, Unsecured, Notes, Callable, 3.375% Feb 15, Callable, 6.125% Feb 15, 2028...... USD 16 ...... 21 ...... 23 2030 ...... USD 152 ...... 202 ...... 199 Arconic Rolled Products Corporation, Senior Centex Home Equity Loan Trust, Series 2004-D, Secured First-Lien Term B Loan Facility, Feb 4, Class MV1, Floating Rate, Sep 25, 2034...... USD 314 ...... 287 ...... 392 2027 ...... USD 16 ...... 21 ...... 20 CenturyLink, Inc., Series 144A, Senior, Secured, Argent Securities Inc., Series 2006-M1, Notes, Callable, 4.000% Feb 15, 2027...... USD 14 ...... 18 ...... 19 Class A2C, Asset-Backed Securities, Floating Charter Communications Operating, LLC/Charter Rate, Jul 25, 2036...... USD 1,227 ...... 599 ...... 619 Communications Operating Capital Corp., Assurant, Inc., Senior, Unsecured, Notes, Floating Rate, Feb 1, 2027...... USD 668 ...... 873 ...... 899 Callable, 4.200% Sep 27, 2023...... USD 14 ...... 18 ...... 21 CHS/Community Health Systems, Inc., Secured, Avolon TLB Borrower 1 US LLC, Term Loan B3, Notes, Callable, 6.250% Mar 31, 2023...... USD 1,205 ...... 1,551 ...... 1,611 Floating Rate, Jan 15, 2025...... USD 28 ...... 43 ...... 36 CHS/Community Health Systems, Inc., Avolon TLB Borrower 1 US LLC, 1.000% Feb 12, Series 144A, Senior, Secured, Notes, Callable, 2027 ...... USD 14 ...... 19 ...... 18 8.625% Jan 15, 2024...... USD 371 ...... 496 ...... 517 AXA Equitable Holdings, Inc., Series 144A, CHS/Community Health Systems, Inc., Senior, Unsecured, Notes, Callable, 3.900% Series 144A, Senior, Secured, Notes, Callable, Apr 20, 2023 ...... USD 8 ...... 10 ...... 11 6.625% Feb 15, 2025...... USD 1,118 ...... 1,468 ...... 1,475 Bausch Health Companies Inc., Series 144A, CHS/Community Health Systems, Inc., Secured, Notes, Callable, 6.500% Mar 15, Series 144A, Senior, Secured, Notes, Callable, 2022 ...... USD 30 ...... 41 ...... 43 8.000% Mar 15, 2026...... USD 254 ...... 328 ...... 340 Bausch Health Companies Inc., Term Loan B, CIT Group Inc., Senior, Unsecured, Notes, Floating Rate, Nov 27, 2025...... USD 34 ...... 44 ...... 45 Callable, 4.125% Mar 9, 2021...... USD 16 ...... 21 ...... 22 Beacon Roofing Supply Inc., Term Loan B, Inc., Senior, Unsecured, Notes, Floating Rate, Jan 2, 2025...... USD 10 ...... 12 ...... 12 Callable, Floating Rate, Jul 24, 2023...... USD 9 ...... 12 ...... 12 Alt-A Trust, Series 2006-5, Citrix Systems, Inc., Senior, Unsecured, Notes, Class 1A1, Collateral Mortgage Obligation, Callable, 3.300% Mar 1, 2030...... USD 30 ...... 40 ...... 39 Floating Rate, Aug 25, 2036...... USD 264 ...... 170 ...... 278 City of Chicago, Series B, General Obligation, BGC Partners, Inc., Senior, Unsecured, Notes, Sinkable, 7.750% Jan 1, 2042...... USD 51 ...... 65 ...... 81 Callable, 3.750% Oct 1, 2024...... USD 150 ...... 198 ...... 189 CityCenter Holdings, LLC, Term Loan B, Floating Broadcom Corp./Broadcom Cayman Finance Rate, Apr 18, 2024...... USD 89 ...... 116 ...... 109 Ltd., Senior, Unsecured, Notes, Callable, Clear Channel Outdoor Holdings, Inc., Floating 3.875% Jan 15, 2027...... USD 28 ...... 37 ...... 37 Rate, Aug 21, 2026...... USD 99 ...... 131 ...... 125 Caesars Entertainment Corporation, Senior, Corning Incorporated, Senior, Unsecured, Unsecured, Notes, 5.000% Oct 1, 2024...... USD 57 ...... 106 ...... 82 Notes, Callable, 5.450% Nov 15, 2079...... USD 17 ...... 22 ...... 25 Caesars Resort Collection LLC, Term Loan B, Countrywide Asset-Backed Certificates, Floating Rate, Dec 23, 2024...... USD 98 ...... 122 ...... 111 Series 2005-21, Class A3, Floating Rate, Jun 25, 2035...... USD 445 ...... 379 ...... 542 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Countrywide Asset-Backed Certificates, Envision Healthcare Corp., Series 144A, Senior, Series 2006-23, Class A1, Floating Rate, Unsecured, Notes, Callable, 8.750% Oct 15, May 25, 2037...... USD 535 ...... 576 ...... 641 2026 ...... USD 143 ...... 185 ...... 49 Countrywide Home Loans Trust, Equifax Inc., Senior, Unsecured, Notes, Floating Series 2006-19, Class 1A7, Rate, Aug 15, 2021...... USD 26 ...... 33 ...... 37 Mortgage-Backed, 6.000% Jan 25, 2037...... USD 673 ...... 571 ...... 681 Equifax Inc., Senior, Unsecured, Notes, 3.600% Countrywide Home Loans Trust, Aug 15, 2021 ...... USD 10 ...... 13 ...... 14 Series 2007-HYB2, Class 3A1, Equifax Inc., Senior, Unsecured, Notes, Callable, Mortgage-Backed, Floating Rate, Feb 25, 2.875% Mar 15, 2024...... EUR 100 ...... 157 ...... 149 2047 ...... USD 77 ...... 61 ...... 88 Eyecare Partners LLC, Feb 5, 2027...... USD 22 ...... 29 ...... 25 CS First Mortgage Securities Corp., Eyecare Partners LLC, Feb 18, 2027...... USD 5 ...... 7 ...... 6 Series 2005-12, Class 8A1, 6.000% Jan 25, Fannie Mae, TBA 30 Year, Single Family 2036 ...... USD 114 ...... 96 ...... 114 Mortgage, 2.500% Jun 1, 2050...... USD 6,000 ...... 8,833 ...... 8,714 Daimler Finance North America LLC, Flex Ltd., Senior, Unsecured, Notes, Callable, Series 144A, Senior, Unsecured, Notes, 4.875% Jun 15, 2029...... USD 19 ...... 26 ...... 26 2.700% Jun 14, 2024...... USD 150 ...... 198 ...... 205 Ford Motor Credit Company LLC, Senior, Dealer Tire LLC/DT Issuer LLC, Series 144A, Unsecured, Notes, Floating Rate, Jan 7, Senior, Unsecured, Notes, Callable, 8.000% 2021 ...... USD 200 ...... 270 ...... 259 Feb 1, 2028...... USD 14 ...... 18 ...... 16 Ford Motor Credit Company LLC, Senior, Dell International L.L.C./EMC Corporation, Unsecured, Notes, Floating Rate, Jan 7, Series 144A, Secured, Notes, Callable, 2022 ...... USD 200 ...... 270 ...... 227 6.020% Jun 15, 2026...... USD 900 ...... 1,182 ...... 1,316 Ford Motor Credit Company LLC, Medium Term Diamond Resorts International, Inc., Notes, Senior, Unsecured, 3.550% Oct 7, Series 144A, Secured, Notes, Callable, 2022 ...... USD 200 ...... 265 ...... 264 7.750% Sep 1, 2023...... USD 254 ...... 329 ...... 255 Ford Motor Credit Company LLC, Senior, Diamond Resorts International, Inc., Term Loan Unsecured, Notes, 3.087% Jan 9, 2023...... USD 200 ...... 259 ...... 253 B, Floating Rate, Sep 2, 2023...... USD 1,069 ...... 1,308 ...... 1,113 Fortress Transportation and Infrastructure Digital Realty Trust, L.P., Senior, Unsecured, Investors LLC, Series 144A, Senior, Notes, Callable, 3.600% Jul 1, 2029...... USD 227 ...... 301 ...... 312 Unsecured, Notes, Callable, 6.750% Mar 15, Doctors Company, The, Series 144A, Surplus 2022 ...... USD 194 ...... 250 ...... 255 Notes, Subordinated, 6.500% Oct 15, 2023...... USD 500 ...... 518 ...... 783 Fortress Transportation and Infrastructure ECMC Group Student Loan Trust, Investors LLC, Series 144A, Senior, Series 2017-2A, Class A, Floating Rate, Unsecured, Notes, Callable, 6.500% Oct 1, May 25, 2067...... USD 1,336 ...... 1,681 ...... 1,818 2025 ...... USD 350 ...... 464 ...... 360 Edison International, 2.400% Sep 15, 2022...... USD 84 ...... 106 ...... 113 Front Range BidCo, Inc., Series 144A, Senior, Edison International, Senior, Unsecured, Notes, Secured, Notes, Callable, 4.000% Mar 1, Callable, 3.125% Nov 15, 2022...... USD 33 ...... 44 ...... 48 2027 ...... USD 182 ...... 241 ...... 245 Edison International, 2.950% Mar 15, 2023...... USD 9 ...... 11 ...... 12 Front Range BidCo, Inc., Series 144A, Senior, Edison International, Senior, Unsecured, Notes, Unsecured, Notes, Callable, 6.125% Mar 1, Callable, 3.550% Nov 15, 2024...... USD 33 ...... 44 ...... 46 2028 ...... USD 43 ...... 57 ...... 57 Edison International, 5.750% Jun 15, 2027...... USD 86 ...... 117 ...... 126 Frontier Communications Corporation, Elanco Animal Health, Inc., Term Loan B, Feb 4, Series 144A, Senior, Secured, Notes, Callable, 2027 ...... USD 50 ...... 66 ...... 67 8.000% Apr 1, 2027...... USD 40 ...... 53 ...... 55 Energy Transfer Operating, L.P., Senior, Gallatin Funding Ltd., Series 2018-1A, Class A, Unsecured, Notes, Callable, 2.900% May 15, Collateral Loan Obligation, Floating Rate, 2025 ...... USD 16 ...... 21 ...... 19 Jan 21, 2028...... USD 600 ...... 778 ...... 820 Energy Transfer Operating, L.P., Senior, Gardner Denver Inc., Term Loan B1, Floating Unsecured, Notes, Callable, 3.750% May 15, Rate, Jul 30, 2024...... USD 0 ...... 0 ...... 0 2030 ...... USD 32 ...... 42 ...... 35 GCB T Mobile USA, Inc., 4.750% Feb 1, 2028...... USD 7 ...... 0 ...... 0 Energy Transfer Operating, L.P., Senior, GE Capital European Funding Unlimited, Euro Unsecured, Notes, Callable, 5.000% May 15, Medium Term Notes, Senior, Unsecured, 2050 ...... USD 32 ...... 42 ...... 35 2.250% Jul 20, 2020 ...... EUR 8 ...... 12 ...... 12 Ensco Jersey Finance Limited, Senior, GE Capital International Funding Company Unsecured, 3.000% Jan 31, 2024...... USD 36 ...... 34 ...... 12 Unlimited Company, Euro Medium Term Envision Healthcare Corp., Series 144A, Senior, Notes, Senior, Unsecured, 2.342% Nov 15, Unsecured, Notes, Callable, 1.000% Oct 10, 2020 ...... USD 200 ...... 268 ...... 280 2025 ...... USD 2,170 ...... 2,475 ...... 1,542 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

GE Commercial Mortgage Corporation Trust, Hunt Companies, Inc., Series 144A, Senior, Series 2007-C1, Class AMFX, 5.540% Dec 10, Secured, Notes, Callable, 6.250% Feb 15, 2049 ...... USD 276 ...... 357 ...... 323 2026 ...... USD 10 ...... 12 ...... 11 General Electric Company, Medium Term Notes, Hyundai Capital America, Series 144, Senior, Senior, Unsecured, 5.550% May 4, 2020...... USD 1 ...... 1 ...... 1 Unsecured, Notes, Floating Rate, Sep 18, General Electric Company, Medium Term Notes, 2020 ...... USD 52 ...... 68 ...... 73 Senior, Unsecured, 5.550% Jan 5, 2026...... USD 154 ...... 198 ...... 240 iHeartCommunications, Inc., May 1, 2026...... USD 2,553 ...... 3,371 ...... 3,030 General Electric Company, Global Medium Term IHS Markit Ltd., Series 144A, Senior, Unsecured, Notes, Senior, Unsecured, 6.150% Aug 7, Notes, Callable, 4.000% Mar 1, 2026...... USD 2 ...... 3 ...... 3 2037 ...... USD 35 ...... 45 ...... 58 Indymac IMSC Mortgage Loan Trust, General Electric Company, Global Medium Term Series 2007-HOA1, Class A11, Floating Rate, Notes, Senior, Unsecured, 6.875% Jan 10, Jul 25, 2047...... USD 285 ...... 154 ...... 289 2039 ...... USD 27 ...... 37 ...... 49 Indymac INDX Mortgage Loan Trust, General Motors Acceptance Corporation, Senior, Series 2005-AR23, Class 2A1, Floating Rate, Unsecured, Notes, Unsubordinated, 8.000% Nov 25, 2035 ...... USD 562 ...... 634 ...... 653 Nov 1, 2031...... USD 22 ...... 33 ...... 36 Ingersoll Rand Co., Ltd., Term Loan B, Mar 1, Genworth Holdings, Inc., Senior, Unsecured, 2027 ...... USD 16 ...... 21 ...... 21 Notes, 7.200% Feb 15, 2021...... USD 950 ...... 1,278 ...... 1,277 Ingersoll Rand Co., Ltd., 1st Lien Term Loan B, GLP Capital, L.P./GLP Financing II, Inc., Senior, Mar 1, 2027...... USD 459 ...... 613 ...... 604 Unsecured, Notes, Callable, 5.300% Jan 15, Internet Brands, Term Loan, Floating Rate, 2029 ...... USD 46 ...... 60 ...... 55 Sep 13, 2024...... USD 39 ...... 49 ...... 47 Goodman US Finance Three, LLC, Series 144A, Iowa Tobacco Settlement Authority, Senior, Unsecured, Notes, Callable, 3.700% Series 2005 A, Tobacco Settlement, Mar 15, 2028...... USD 48 ...... 59 ...... 73 Asset-Backed, Sinking Funds, Callable, Griffon Corporation, Series 144A, Senior, 6.500% Jun 1, 2023...... USD 915 ...... 855 ...... 1,294 Unsecured, Notes, Callable, 5.750% Mar 1, iStar Inc., Senior, Unsecured, Notes, Callable, 2028 ...... USD 16 ...... 21 ...... 21 5.250% Sep 15, 2022...... USD 7 ...... 9 ...... 9 GSAMP Trust, Series 04-OPT, Class M1, Floating Jefferies Finance LLC, Floating Rate, Jun 3, Rate, Nov 25, 2034...... USD 134 ...... 135 ...... 171 2026 ...... USD 17 ...... 22 ...... 20 GSAMP Trust, Series 07-HE1, Class A2C, JP Morgan Mortgage Trust, Series 2007-A4, Floating Rate, Mar 25, 2047...... USD 346 ...... 436 ...... 449 Class 3A1, Collateral Mortgage Obligation, GSR Mortgage Loan Trust, Series 2005-AR3, Floating Rate, Jun 25, 2037...... USD 132 ...... 124 ...... 140 Class 6A1, Mortgage-Backed, Floating Rate, Kennedy-Wilson, Inc., Senior, Unsecured, May 25, 2035...... USD 596 ...... 518 ...... 720 Notes, Callable, 5.875% Apr 1, 2024 ...... USD 22 ...... 28 ...... 28 GSR Mortgage Loan Trust, Series 2005-AR7, Ladder Capital Finance Holdings LLLP/Ladder Class 2A1, Collateral Mortgage Obligation, Capital Finance Corp., Series 144A, Senior, Floating Rate, Nov 25, 2035...... USD 13 ...... 11 ...... 17 Unsecured, Notes, Callable, 4.250% Feb 1, GSR Mortgage Loan Trust, Series 2005-AR7, 2027 ...... USD 11 ...... 14 ...... 12 Class 6A1, Collateral Mortgage Obligation, Lamar Media Corp., Series 144A, Senior, Floating Rate, Nov 25, 2035...... USD 358 ...... 368 ...... 442 Unsecured, Notes, Callable, 3.750% Feb 15, Harley Marine Financing LLC, Series 2018-1A, 2028 ...... USD 10 ...... 13 ...... 13 Class A2, Asset-Backed Security, 5.682% Lehman Brothers Holdings, Inc., Series I, May 15, 2043...... USD 751 ...... 966 ...... 936 Medium Term Notes, Senior, Unsecured, HCA Inc., Senior, Unsecured, Notes, Callable, Floating Rate, Apr 22, 2020...... USD 700 ...... 616 ...... 12 3.500% Sep 1, 2030...... USD 44 ...... 58 ...... 56 Level 3 Financing, Inc., Series 144A, Senior, HD Supply, Inc., Term Loan B, Floating Rate, Secured, Notes, Callable, 3.400% Mar 1, Aug 1, 2024...... USD 14 ...... 17 ...... 17 2027 ...... USD 8 ...... 11 ...... 11 Howard Hughes Corporation, The, Series 144A, Level 3 Financing, Inc., Series 144A, Senior, Senior, Unsecured, Notes, Callable, 5.375% Secured, Notes, Callable, 3.875% Nov 15, Mar 15, 2025...... USD 59 ...... 79 ...... 80 2029 ...... USD 30 ...... 40...... 40 HSI Asset Securitization Corporation Trust, LifePoint Health, Inc., Series 144A, Senior, Series 2007-NC1, Class A3, Floating Rate, Secured, Notes, Callable, 4.375% Feb 15, Apr 25, 2037 ...... USD 377 ...... 363 ...... 431 2027 ...... USD 20 ...... 27 ...... 27 Hudson Pacific Properties, L.P., Senior, LifeStorage LP, Senior, Unsecured, Notes, Unsecured, Notes, 3.950% Nov 1, 2027...... USD 11 ...... 14 ...... 16 Callable, 3.875% Dec 15, 2027...... USD 10 ...... 13 ...... 14 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Mallinckrodt International Finance Omega Healthcare Investors, Inc., Senior, S.A./Mallinckrodt CB LLC, Series 144A, Senior, Unsecured, Notes, Callable, 4.950% Apr 1, Unsecured, Notes, Callable, 5.500% Apr 15, 2024 ...... USD 200 ...... 220 ...... 277 2025 ...... USD 314 ...... 334 ...... 88 Omega Healthcare Investors, Inc., Senior, Mattel, Inc., Series 144A, Senior, Unsecured, Unsecured, Notes, Callable, 5.250% Jan 15, Notes, Callable, 5.875% Dec 15, 2027...... USD 9 ...... 12 ...... 13 2026 ...... USD 240 ...... 316 ...... 335 McDermott International, Inc., Term Loan B, Omega Healthcare Investors, Inc., Senior, Floating Rate, May 9, 2025...... USD 399 ...... 358 ...... 156 Unsecured, Notes, Callable, 4.500% Apr 1, McDermott Technology (Americas), Inc., 2027 ...... USD 140 ...... 177 ...... 189 Floating Rate, Oct 21, 2021...... USD 210 ...... 281 ...... 269 Omega Healthcare Investors, Inc., Senior, McDermott Technology Americas Inc., Floating Unsecured, Notes, Callable, 3.625% Oct 1, Rate, Term Loan, Oct 22, 2020...... USD 9 ...... 12 ...... 13 2029 ...... USD 150 ...... 196 ...... 184 Messer Industries USA, Inc., Term Loan B, Oppenheimer Holdings Inc., Secured, Notes, Floating Rate, Mar 1, 2026...... USD 32 ...... 40 ...... 39 Callable, 6.750% Jul 1, 2022...... USD 12 ...... 16 ...... 16 Micron Technology, Inc., Senior, Unsecured, Ortho-Clinical Diagnostics, Inc., Series 144A, Notes, Callable, 4.185% Feb 15, 2027...... USD 100 ...... 135 ...... 142 Senior, Unsecured, Notes, Callable, 6.625% Micron Technology, Inc., Senior, Unsecured, May 15, 2022...... USD 279 ...... 342 ...... 365 Notes, Callable, 4.663% Feb 15, 2030...... USD 194 ...... 264 ...... 287 Pacific Drilling First Lien Escrow Issuer Ltd., , Series 2007-HE1, Class A2C, Series 144A, Senior, Secured, Notes, Callable, Mortgage Pass-Through Certificates, Floating 8.375% Oct 1, 2023...... USD 609 ...... 711 ...... 245 Rate, Nov 25, 2036...... USD 1,130 ...... 708 ...... 889 Pacific Gas and Electric Company, Senior, MSCI Inc., Series 144A, Senior, Unsecured, Unsecured, Notes, Callable, 3.500% Oct 1, Notes, Callable, 3.625% Sep 1, 2030...... USD 16 ...... 21 ...... 21 2020 ...... USD 207 ...... 263 ...... 291 Nascar Holdings, LLC, Floating Rate, Oct 19, Pacific Gas and Electric Company, Senior, 2026 ...... USD 29 ...... 38 ...... 36 Unsecured, Notes, Callable, 4.250% May 15, Navient Corporation, Senior, Unsecured, Notes, 2021 ...... USD 52 ...... 63 ...... 73 6.500% Jun 15, 2022...... USD 139 ...... 186 ...... 190 Pacific Gas and Electric Company, Senior, NCL Corporation Ltd., Series 144A, Senior, Unsecured, Notes, Callable, 3.250% Sep 15, Unsecured, Notes, Callable, 3.625% Dec 15, 2021 ...... USD 64 ...... 77 ...... 90 2024 ...... USD 5 ...... 7 ...... 4 Pacific Gas and Electric Company, Senior, Neiman Marcus Group Ltd LLC/Neiman Marcus Unsecured, Notes, Callable, 2.450% Aug 15, Group LLC/Mariposa Borrower/NMG, Oct 25, 2022 ...... USD 185 ...... 211 ...... 259 2023 ...... USD 1,525 ...... 1,763 ...... 773 Pacific Gas and Electric Company, Senior, Neiman Marcus Group Ltd LLC/Neiman Marcus Unsecured, Notes, Callable, 3.250% Jun 15, Group LLC/Mariposa Borrower/NMG, Term 2023 ...... USD 357 ...... 446 ...... 485 Loan, Oct 25, 2023...... USD 967 ...... 1,102 ...... 517 Pacific Gas and Electric Company, Series 144A, Netflix, Inc., Series 144A, Senior, Unsecured, Senior, Unsecured, Notes, Callable, 4.250% Notes, 3.625% May 15, 2027...... EUR 200 ...... 297 ...... 307 Aug 1, 2023...... USD 100 ...... 129 ...... 143 Netflix, Inc., Senior, Unsecured, Notes, 4.625% Pacific Gas and Electric Company, Senior, May 15, 2029...... EUR 100 ...... 150 ...... 158 Unsecured, Notes, Callable, 3.850% Nov 15, Netflix, Inc., Series 144A, Senior, Unsecured, 2023 ...... USD 32 ...... 37 ...... 45 Notes, 3.875% Nov 15, 2029...... EUR 261 ...... 393 ...... 395 Pacific Gas and Electric Company, Senior, Netflix, Inc., Senior, Unsecured, Notes, Callable, Unsecured, Notes, Callable, 3.750% Feb 15, 3.625% Jun 15, 2030...... EUR 100 ...... 146 ...... 151 2024 ...... USD 33 ...... 37 ...... 46 Netflix, Inc., 4.875% Jun 15, 2030...... USD 100 ...... 131 ...... 144 Pacific Gas and Electric Company, Senior, Newell Brands, Inc., Senior, Unsecured, Notes, Unsecured, Notes, Callable, 3.400% Aug 15, Callable, 4.100% Apr 1, 2023...... USD 200 ...... 272 ...... 286 2024 ...... USD 349 ...... 405 ...... 481 Newmark Group, Inc., Senior, Unsecured, Pacific Gas and Electric Company, Senior, Notes, Callable, 6.125% Nov 15, 2023...... USD 66 ...... 89 ...... 94 Unsecured, Notes, Callable, 3.500% Jun 15, Nielsen Company (Luxembourg) Sarl, The, 2025 ...... USD 209 ...... 231 ...... 285 Series 144A, Senior, Unsecured, Notes, Pacific Gas and Electric Company, Senior, Callable, 5.500% Oct 1, 2021...... USD 1,200 ...... 1,236 ...... 1,657 Unsecured, Notes, Callable, 2.950% Mar 1, Omega Healthcare Investors, Inc, Senior, 2026 ...... USD 278 ...... 301 ...... 379 Unsecured, Notes, Callable, 4.500% Jan 15, Pacific Gas and Electric Company, Senior, 2025 ...... USD 140 ...... 179 ...... 190 Unsecured, Notes, Callable, 3.300% Mar 15, 2027 ...... USD 142 ...... 149 ...... 193 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Pacific Gas and Electric Company, Senior, PTC Inc., Series 144A, Senior, Unsecured, Unsecured, Notes, Callable, 6.050% Mar 1, Notes, Callable, 4.000% Feb 15, 2028...... USD 30 ...... 40 ...... 40 2034 ...... USD 27 ...... 31 ...... 38 Pug LLC, USD Term Loan, Floating Rate, Jan 29, Pacific Gas and Electric Company, Senior, 2027 ...... USD 16 ...... 21 ...... 19 Unsecured, Notes, Callable, 5.800% Mar 1, Radiate Holdco LLC/Radiate Finance Inc., 2037 ...... USD 43 ...... 49 ...... 62 Series 144A, Senior, Unsecured, Notes, Pacific Gas and Electric Company, Senior, Callable, 6.875% Feb 15, 2023...... USD 2 ...... 2 ...... 3 Unsecured, Notes, Callable, 6.350% Feb 15, Radiology Partners, Inc., Series 144A, Senior, 2038 ...... USD 74 ...... 98 ...... 106 Unsecured, Notes, Callable, 9.250% Feb 1, Pacific Gas and Electric Company, Senior, 2028 ...... USD 14 ...... 18 ...... 17 Unsecured, Notes, Callable, 6.250% Mar 1, Range Resources Corporation, Series 144A, 2039 ...... USD 58 ...... 69 ...... 83 Senior, Unsecured, Notes, Callable, 9.250% Pacific Gas and Electric Company, Senior, Feb 1, 2026...... USD 14 ...... 18 ...... 11 Unsecured, Notes, Callable, 5.400% Jan 15, RBS Greenwich Capital Mortgage Loan Trust, 2040 ...... USD 6 ...... 7 ...... 9 Series 2008-A, Class A1, RBSGC Mortgage Pacific Gas and Electric Company, Senior, Pass-Through Certificates, Floating Rate, Unsecured, Notes, Callable, 4.500% Dec 15, Nov 25, 2035 ...... USD 669 ...... 562 ...... 862 2041 ...... USD 18 ...... 18 ...... 24 Refinitiv US Holdings, Inc., Term Loan B, Pacific Gas and Electric Company, Senior, Floating Rate, Oct 1, 2025...... USD 235 ...... 304 ...... 316 Unsecured, Notes, Callable, 3.750% Aug 15, Refinitiv US Holdings, Inc., Senior, Secured, 2042 ...... USD 56 ...... 56 ...... 70 Notes, Callable, 4.500% May 15, 2026...... EUR 500 ...... 750 ...... 765 Pacific Gas and Electric Company, Senior, Residential Funding Mortgage Securities I, Inc., Unsecured, Notes, Callable, 4.600% Jun 15, Series 2005-SA2, Class 4A, Mortgage 2043 ...... USD 12 ...... 12 ...... 17 Pass-Through Certificates, Floating Rate, Pacific Gas and Electric Company, Senior, Jun 25, 2035...... USD 149 ...... 138 ...... 187 Unsecured, Notes, Callable, 5.125% Nov 15, RPI 2019 Intermediate Finance Trust, Feb 11, 2043 ...... USD 91 ...... 101 ...... 128 2027 ...... USD 20 ...... 27 ...... 26 Pacific Gas and Electric Company, Senior, RPI Intermediate Finance Trust, Feb 11, 2027...... USD 10 ...... 13 ...... 13 Unsecured, Notes, Callable, 4.750% Feb 15, Sabra Health Care LP/Sabra Capital Corp., 2044 ...... USD 76 ...... 82 ...... 107 4.800% Jun 1, 2024...... USD 53 ...... 71 ...... 79 Pacific Gas and Electric Company, Senior, Santander Holdings USA, Inc., Senior, Unsecured, Notes, Callable, 4.300% Mar 15, Unsecured, Notes, Callable, 3.400% Jan 18, 2045 ...... USD 15 ...... 15 ...... 20 2023 ...... USD 24 ...... 31 ...... 32 Pacific Gas and Electric Company, Senior, Santander Holdings USA, Inc., Senior, Unsecured, Notes, Callable, 4.000% Dec 1, Unsecured, Notes, Callable, 3.500% Jun 7, 2046 ...... USD 7 ...... 7 ...... 9 2024 ...... USD 200 ...... 268 ...... 267 Pacific Gas and Electric Company, Term Loan, Santander Holdings USA, Inc., Senior, Floating Rate, Feb 22, 2049...... USD 302 ...... 338 ...... 450 Unsecured, Notes, Callable, 4.400% Jul 13, Par Pharmaceutical, Inc., Series 144A, Senior, 2027 ...... USD 8 ...... 10 ...... 11 Secured, Notes, Callable, 7.500% Apr 1, SBA Communications Corporation, Series 144A, 2027 ...... USD 36 ...... 48 ...... 50 Senior, Unsecured, Notes, Callable, 3.875% PetSmart, Inc., Series 144A, Senior, Secured, Feb 15, 2027...... USD 36 ...... 47 ...... 51 Notes, Callable, 1.000% Mar 11, 2022...... USD 15 ...... 18 ...... 21 Sealed Air Corporation, Series 144A, Senior, PetSmart, Inc., Series 144A, Senior, Secured, Unsecured, Notes, Callable, 4.000% Dec 1, Notes, Callable, 5.875% Jun 1, 2025...... USD 29 ...... 39 ...... 41 2027 ...... USD 7 ...... 9 ...... 9 Physicians Realty L.P., Senior, Unsecured, Sensata Technologies, Inc., Series 144A, Senior, Notes, Callable, 3.950% Jan 15, 2028...... USD 21 ...... 27 ...... 27 Unsecured, Notes, Callable, 4.375% Feb 15, Ply Gem Holdings, Term Loan B, Floating Rate, 2030 ...... USD 46 ...... 60 ...... 58 Apr 12, 2025 ...... USD 108 ...... 139 ...... 131 Sequa Mezzanine Holdings L.L.C., Term Loan B, Post Holdings, Inc., Series 144A, Senior, Floating Rate, Nov 28, 2021...... USD 3,664 ...... 4,861 ...... 4,073 Unsecured, Notes, Callable, 4.625% Apr 15, SG Mortgage Securities Trust, 2030 ...... USD 31 ...... 41 ...... 42 Series 2006-FRE2, Class A2C, Floating Rate, Prime Security Services Borrower, LLC/Prime Jul 25, 2036...... USD 527 ...... 253 ...... 201 Finance Inc., Series 144A, Secured, Notes, Silgan Holdings Inc., Series 144A, Senior, Callable, 6.250% Jan 15, 2028...... USD 26 ...... 34 ...... 31 Unsecured, Notes, Callable, 4.125% Feb 1, PTC Inc., Series 144A, Senior, Unsecured, 2028 ...... USD 13 ...... 17 ...... 17 Notes, Callable, 3.625% Feb 15, 2025...... USD 30 ...... 40 ...... 40 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Sinclair Television Group, Inc., Term Loan B2B, Starwood Property Trust, Inc., Senior, Sep 30, 2026...... USD 26 ...... 34 ...... 33 Unsecured, Notes, Callable, 4.750% Mar 15, SL Green Operating Partnership L.P., Senior, 2025 ...... USD 19 ...... 24 ...... 24 Unsecured, Notes, Callable, 3.250% Oct 15, State of Illinois, General Obligation Unlimited, 2022 ...... USD 6...... 7 ...... 8 Sinkable, 5.100% Jun 1, 2033 ...... USD 30...... 37 ...... 41 Sotera Health Holdings, LLC, 5.500% Dec 11, State of Illinois, Build America Bonds, Series 3, 2026 ...... USD 73 ...... 96 ...... 90 General Obligation Unlimited, Sinkable, Southern California Edison Company, Senior, Callable, 6.725% Apr 1, 2035...... USD 10 ...... 14 ...... 15 Unsecured, Notes, 6.650% Apr 1, 2029...... USD 31 ...... 46 ...... 50 State of Illinois, Build America Bonds, General Southern California Edison Company, Senior, Obligation Unlimited, Sinkable, 7.350% Jul 1, Secured, 6.000% Jan 15, 2034...... USD 2 ...... 3 ...... 4 2035 ...... USD 10 ...... 14 ...... 16 Southern California Edison Company, Station Casinos LLC, Series 144A, Senior, Series 04-G, Senior, Secured, 5.750% Apr 1, Unsecured, Notes, Callable, 4.500% Feb 15, 2035 ...... USD 2 ...... 3 ...... 3 2028 ...... USD 2 ...... 3 ...... 2 Southern California Edison Company, Senior, STORE Capital Corporation, Senior, Unsecured, Secured, Callable, 3.650% Feb 1, 2050 ...... USD 16 ...... 21 ...... 22 Notes, Callable, 4.625% Mar 15, 2029 ...... USD 13 ...... 17 ...... 19 Southern California Gas Company, Series XX, Syniverse Holdings, Inc., Mar 9, 2023...... USD 32 ...... 40 ...... 29 Senior, Secured, Callable, 2.550% Feb 1, Talen Energy Supply, LLC, 6.625% Jan 15, 2030 ...... USD 32 ...... 41 ...... 44 2028 ...... USD 24 ...... 32 ...... 28 Springleaf Finance Corp., Senior, Unsecured, Tech Data Corporation, Senior, Unsecured, Notes, 6.125% Mar 15, 2024 ...... USD 188 ...... 261 ...... 261 Notes, Callable, 3.700% Feb 15, 2022...... USD 5 ...... 7 ...... 7 Springleaf Finance Corporation, Senior, TEGNA Inc., Series 144A, Senior, Unsecured, Unsecured, Notes, 8.250% Dec 15, 2020...... USD 185 ...... 241 ...... 262 Notes, Callable, 4.625% Mar 15, 2028 ...... USD 40 ...... 52 ...... 50 Springleaf Finance Corporation, Senior, Tobacco Settlement Finance Authority, West Unsecured, Notes, 6.125% May 15, 2022 ...... USD 227 ...... 308 ...... 324 Virginia, Series 2007A, Taxable Tobacco Springleaf Finance Corporation, Senior, Settlement, Asset-Backed Bonds, 7.467% Unsecured, Notes, 5.625% Mar 15, 2023...... USD 396 ...... 503 ...... 544 Jun 1, 2047...... USD 2,245 ...... 1,636 ...... 3,096 Springleaf Finance Corporation, Senior, Topaz Solar Farms LLC, Series 144A, Sinking Unsecured, Notes, 6.875% Mar 15, 2025...... USD 73 ...... 94 ...... 103 Funds, Senior, Secured, Notes, 4.875% Sprint Communications Inc., Senior, Unsecured, Sep 30, 2039...... USD 24 ...... 30 ...... 34 Notes, 7.000% Aug 15, 2020 ...... USD 550 ...... 725 ...... 777 Topaz Solar Farms LLC, Series 144A, Sinking Sprint Communications Inc., Senior, Unsecured, Funds, Senior, Secured, Notes, 5.750% Notes, 6.000% Nov 15, 2022 ...... USD 452 ...... 630 ...... 662 Sep 30, 2039...... USD 1,255 ...... 1,857 ...... 1,951 Sprint Communications Inc., Term Loan B, TransDigm Inc., Series 144A, Senior, Floating Rate, Feb 2, 2024 ...... USD 970 ...... 1,262 ...... 1,355 Unsecured, Notes, Subordinated, Callable, Sprint Corporation, Senior, Unsecured, Notes, 5.500% Nov 15, 2027...... USD 16...... 21 ...... 20 7.875% Sep 15, 2023 ...... USD 506...... 731 ...... 782 Transocean Inc., Series 144A, Senior, Sprint Corporation, Senior, Unsecured, Notes, Unsecured, Notes, Callable, 7.250% Nov 1, 7.125% Jun 15, 2024...... USD 306 ...... 428 ...... 470 2025 ...... USD 184 ...... 224 ...... 126 Sprint Corporation, Senior, Unsecured, Notes, Transocean Inc., Series 144A, Senior, Callable, 7.625% Mar 1, 2026...... USD 17 ...... 22 ...... 27 Unsecured, Notes, Callable, 7.500% Jan 15, Sprint Corporation, Series 144A, Senior, 2026 ...... USD 108 ...... 132 ...... 71 Unsecured, Notes, Callable, 7.250% Feb 1, Transocean Inc., Series 144A, Senior, 2028 ...... USD 112 ...... 146 ...... 158 Unsecured, Notes, Callable, 8.000% Feb 1, Sprint Spectrum Co. LLC/Sprint Spectrum Co. II 2027 ...... USD 32 ...... 42 ...... 21 LLC/Sprint Spectrum Co. III LLC, Series 144A, Transocean Phoenix 2 Limited, Series 144A, Sinking Funds, Senior, Secured, Notes, Sinking Funds, Secured, Notes, Callable, 5.152% Sep 20, 2029 ...... USD 200 ...... 259 ...... 300 7.750% Oct 15, 2024...... USD 9 ...... 12 ...... 11 Ss&C Technologies Holdings Europe Sarl, Term Transocean Pontus Limited, Series 144A, Loan B4, Floating Rate, Apr 16, 2025 ...... USD 76 ...... 97 ...... 101 Senior, Secured, Notes, Callable, 6.125% Ss&C Technologies Inc., Term Loan B3, Floating Aug 1, 2025...... USD 44 ...... 58 ...... 51 Rate, Apr 16, 2025...... USD 114 ...... 146 ...... 151 Transocean Poseidon, Ltd., Series 144A, Sinking Stantec Inc., Series 144A, Senior, Secured, Funds, Senior, Secured, Notes, Callable, Notes, Callable, 7.500% Apr 15, 2026...... USD 5 ...... 7 ...... 6 6.875% Feb 1, 2027 ...... USD 40 ...... 53 ...... 46 Starfruit US Holdco LLC, Term Loan B, Floating Transocean Proteus Limited, Series 144A, Rate, Oct 1, 2025...... USD 96 ...... 124 ...... 122 Sinking Funds, Secured, Notes, Callable, 6.250% Dec 1, 2024...... USD 92 ...... 124 ...... 104 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

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

Transocean Sentry Ltd, Series 144A, Senior, Western Midstream Operating, LP, Senior, Secured, Notes, Callable, 5.375% May 15, Unsecured, Notes, Callable, 3.100% Feb 1, 2023 ...... USD 100...... 134...... 118 2025 ...... USD 14 ...... 18 ...... 10 Triumph Group, Inc., Senior, Unsecured, Notes, Western Midstream Operating, LP, Senior, Callable, 5.250% Jun 1, 2022 ...... USD 8...... 10...... 9 Unsecured, Notes, Callable, 4.050% Feb 1, Triumph Group, Inc., Series 144A, Secured, 2030 ...... USD 14...... 18 ...... 9 Notes, Callable, 6.250% Sep 15, 2024...... USD 43...... 57...... 54 Western Midstream Operating, LP, Senior, U.S. Renal Care, Inc., Term Loan B, Jun 26, Unsecured, Notes, Callable, 5.250% Feb 1, 2026 ...... USD 179...... 236...... 223 2050 ...... USD 16 ...... 21 ...... 9 United Rentals (North America), Inc., Senior, Whatabrands, LLC, Term Loan B, Aug 2, 2026...... USD 9 ...... 12 ...... 11 Unsecured, Notes, Callable, 4.000% Jul 15, Windstream Services, LLC, Floating Rate, 2030 ...... USD 16...... 21...... 20 Feb 17, 2024...... USD 2,280 ...... 2,940 ...... 1,925 Uniti Group LP/Uniti Fiber Holdings Inc/CSL WP Carey, Inc., 3.850% Jul 15, 2029 ...... USD 25 ...... 33 ...... 34 Capital LLC, Series 144A, Senior, Secured, WPC Eurobond B.V., Senior, Unsecured, Notes, Notes, Callable, 7.875% Feb 15, 2025...... USD 937...... 1,245...... 1,226 Callable, 2.250% Apr 9, 2026...... EUR 100 ...... 147 ...... 152 Univision Communications Inc., Series 144A, WPC Eurobond B.V., Senior, Unsecured, Callable, Secured, Notes, Callable, 5.125% May 15, 2.125% Apr 15, 2027...... EUR 100 ...... 155 ...... 149 2023 ...... USD 8...... 10...... 10 Wyndham Destinations, Inc., Senior, Secured, Univision Communications Inc., Series 144A, Notes, Callable, 4.250% Mar 1, 2022 ...... USD 2 ...... 3 ...... 2 Secured, Notes, Callable, 5.125% Feb 15, Wyndham Destinations, Inc., Senior, Secured, 2025 ...... USD 2,667...... 3,244...... 3,200 Notes, Callable, 3.900% Mar 1, 2023 ...... USD 4 ...... 5 ...... 5 US Renal Care Inc., Series 144A, Senior, Wyndham Destinations, Inc., Series 144A, Unsecured, Notes, Callable, 10.625% Jul 15, Senior, Secured, Notes, Callable, 4.625% 2027 ...... USD 109...... 145...... 127 Mar 1, 2030...... USD 17 ...... 22 ...... 18 Valeant Pharmaceuticals International, Inc., Wyndham Worldwide Corporation, Senior, 4.463% Jun 2, 2025...... USD 116...... 148...... 155 Unsecured, Notes, Callable, 5.400% Apr 1, ViaSat, Inc., Series 144A, Senior, Unsecured, 2024 ...... USD 15 ...... 20 ...... 18 Notes, Callable, 5.625% Sep 15, 2025...... USD 75...... 91...... 99 Zayo Group Holdings, Inc., Floating Rate, VICI Properties LP/VICI Note Co Inc, Feb 19, 2027...... USD 100...... 132 ...... 130 Series 144A, Senior, Unsecured, Notes, Zayo Group Holdings, Inc., Term Loan, Feb 19, Callable, 4.250% Dec 1, 2026 ...... USD 100...... 133...... 127 2027 ...... EUR 1,000 ...... 1,434 ...... 1,381 VICI Properties LP/VICI Note Co Inc, ...... 88,725 ...... 87,546 Series 144A, Senior, Unsecured, Notes, Callable, 4.625% Dec 1, 2029 ...... USD 100...... 133...... 128 Venezuela — 0.2% VMware, Inc., Senior, Unsecured, Notes, Bolivarian Republic of Venezuela, 7.750% Callable, 3.900% Aug 21, 2027...... USD 20...... 25...... 28 Oct 13, 2019 ...... USD 710 ...... 934 ...... 100 Voyager Aviation Holdings LLC/Voyager Finance Bolivarian Republic of Venezuela, Senior, Co., Series 144A, Senior, Unsecured, Notes, Unsecured, 8.250% Oct 13, 2024 ...... USD 300 ...... 208 ...... 42 Callable, 8.500% Aug 15, 2021...... USD 140 ...... 182 ...... 171 Bolivarian Republic of Venezuela, Senior, Wachovia Bank Commercial Mortgage Trust, Unsecured, 9.250% Sep 15, 2027...... USD 108 ...... 51 ...... 15 Series 2007-C33, Class AJ, Collateral Strip Petroleos de Venezuela, S.A., Senior, Interest, Floating Rate, Feb 15, 2051 ...... USD 272...... 362 ...... 299 Unsecured, Notes, 5.375% Apr 12, 2027...... USD 324 ...... 203 ...... 27 WaMu Mortgage Pass-Through Certificates, Petroleos de Venezuela, S.A., Senior, Series 2006-AR9, Class 1A, Collateral Unsecured, Notes, 5.500% Apr 12, 2037...... USD 3,700 ...... 1,882 ...... 313 Mortgage Obligation, Floating Rate, Aug 25, ...... 3,278 ...... 497 2046 ...... USD 143 ...... 88 ...... 175 Washington Prime Group, L.P., Senior, Virgin Islands, British — 0.6% Unsecured, Notes, Callable, 6.450% Aug 15,

2024 ...... USD 176 ...... 218 ...... 145 Horse Gallop Finance, Ltd., 3.250% May 30, USD 1,000 1,341 1,462 West Corporation, Term Loan, Floating Rate, 2022 ...... Oct 10, 2024 ...... USD 17 ...... 21 ...... 18 Western Digital Corporation, Senior, Unsecured, Total Bonds & Debentures — 81.7%...... 234,683...... 215,293 Notes, Callable, 4.750% Feb 15, 2026...... USD 102 ...... 126 ...... 145 Western Midstream Operating, LP, Senior, Unsecured, Notes, Floating Rate, Jan 13, 2023 ...... USD 14 ...... 18 ...... 10 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Fair Number of Cost+ Value Shares or Units ($) ($)

EQUITIES Mexico — 0.0% Desarrolladora Homex S.A.B. de C.V...... 266,703 ...... 2,527 ...... 1 Urbi, Desarrollos Urbanos S.A.B. de C.V...... 3,814 ...... 231 ...... 0 ...... 2,758 ...... 1

United States — 0.2% Caesars Entertainment Corporation...... 11,823 ...... 174 ...... 112 Clear Channel Outdoor Holdings, Inc...... 90,459 ...... 566 ...... 81 iHeartMedia, Inc., Warrants** ...... 32,732...... 791 ...... 335 iHeartMedia, Inc., Class A ...... 5,025 ...... 121 ...... 52 iHeartMedia, Inc., Class B ...... 67 ...... 2 ...... 1 ...... 1,654 ...... 581

Total Equities — 0.2% ...... 4,412 ...... 582

Total Investment Portfolio — 102.9%...... 294,228 ...... 271,142 Total Unrealized Gain on Forward Currency Contracts — 0.4%...... 1,062 Total Unrealized Loss on Forward Currency Contracts — (6.2)% ...... (16,203) Credit Default Swap Contracts — (0.7)%...... (1,801) Interest Rate Swap Contracts — 0.5%...... 1,395 Total Purchased Put Option Contracts at Fair Value — 0.0%...... 38 Other Assets Less Liabilities — 3.1%...... 7,776 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — 100.0% ...... 263,409 + Where applicable, distributions received from holdings as a return of capital are used to reduce the adjusted cost base of the securities in the portfolio. ** These securities have no quoted market value and are valued using valuation techniques (note 3). BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS

Settlement Currency Currency Contract Credit Unrealized Date Buy Position Sell Position Rate Counterparty Rating** Gain 2-Apr-20...... CAD...... 2,298...... USD...... (1,606)...... 1.4307...... Bank USA...... A-1...... 38 2-Apr-20...... CAD...... 5,388...... USD...... (3,744)...... 1.4392...... ...... A-1+...... 120 2-Apr-20...... EUR...... 783...... CAD...... (1,210)...... 0.6469...... Citibank N.A...... A-1...... 5 2-Apr-20...... EUR...... 1,278...... CAD...... (1,972)...... 0.6482...... Bank...... A-1...... 12 2-Apr-20...... EUR...... 1,386...... CAD...... (2,122)...... 0.6533...... Standard Chartered Bank...... A-1...... 30 2-Apr-20...... EUR...... 905...... CAD...... (1,345)...... 0.6726...... Goldman Sachs Bank USA...... A-1...... 59 2-Apr-20...... USD...... 356...... CAD...... (500)...... 0.7112...... State Street Bank and Trust Company...... A-1+...... 0 2-Apr-20...... USD...... 358...... CAD...... (500)...... 0.7149...... Goldman Sachs Bank USA...... A-1...... 3 2-Apr-20...... USD...... 288...... CAD...... (393)...... 0.7335...... Citibank N.A...... A-1...... 13 2-Apr-20...... USD...... 305...... CAD...... (409)...... 0.7459...... Standard Chartered Bank...... A-1...... 20 2-Apr-20...... USD...... 1,738...... CAD...... (2,373)...... 0.7324...... Standard Chartered Bank...... A-1...... 73 13-Apr-20...... USD...... 13...... TRY...... (86)...... 0.1510...... JPMorgan Chase Bank N.A...... A-1...... 0 13-Apr-20...... USD...... 19...... TRY...... (122)...... 0.1521...... Bank of America N.A...... A-1...... 0 13-Apr-20...... USD...... 31...... TRY...... (196)...... 0.1554...... JPMorgan Chase Bank N.A...... A-1...... 1 13-Apr-20...... USD...... 64...... TRY...... (421)...... 0.1529...... Citibank N.A...... A-1...... 1 13-Apr-20...... USD...... 65...... TRY...... (422)...... 0.1543...... Standard Chartered Bank...... A-1...... 2 13-Apr-20...... USD...... 134...... TRY...... (847)...... 0.1580...... Goldman Sachs Bank USA...... A-1...... 9 13-Apr-20...... USD...... 268...... TRY...... (1,693)...... 0.1582...... Goldman Sachs Bank USA...... A-1...... 18 22-Apr-20...... USD...... 104...... TRY...... (684)...... 0.1523...... Standard Chartered Bank...... A-1...... 2 22-Apr-20...... USD...... 119...... TRY...... (782)...... 0.1525...... JPMorgan Chase Bank N.A...... A-1...... 3 4-May-20 ...... CAD...... 10,688...... USD...... (7,584)...... 1.4093...... Toronto Dominion Bank, The...... A-1+...... 19 4-May-20...... CAD...... 87,811...... USD...... (62,299)...... 1.4095...... Citibank N.A...... A-1...... 173 4-May-20...... CAD...... 42,846...... USD...... (30,330)...... 1.4127...... Toronto Dominion Bank, The...... A-1+...... 180 4-May-20...... CAD...... 47,663...... EUR...... (30,524)...... 1.5615...... Bank of America N.A...... A-1...... 246 15-May-20...... GBP...... 700...... CAD...... (1,216)...... 0.5756...... Royal Bank of Canada...... A-1+...... 8 15-May-20...... GBP...... 172...... CAD...... (290)...... 0.5939...... Morgan Stanley & Co. International PLC...... A-1...... 11 15-May-20...... GBP...... 381...... CAD...... (651)...... 0.5849...... Toronto Dominion Bank, The...... A-1+...... 15 17-Jun-20 ...... USD...... 1,008...... INR...... (77,444)...... 0.0130...... State Street Bank and Trust Company...... A-1+...... 1 Total Unrealized Gain on Forward Currency Contracts...... 1,062

UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS

Settlement Currency Currency Contract Credit Unrealized Date Buy Position Sell Position Rate Counterparty Rating** Loss 2-Apr-20...... CAD ...... 103,048 ...... USD ...... (77,334) ...... 1.3325 ...... Citibank N.A...... A-1...... (5,783) 2-Apr-20...... CAD ...... 63,954 ...... USD ...... (47,960) ...... 1.3335 ...... State Street Bank and Trust Company...... A-1+...... (3,539) 2-Apr-20...... CAD ...... 53,787 ...... EUR ...... (36,602) ...... 1.4695 ...... BNP Paribas SA ...... A-1...... (3,023) 2-Apr-20...... CAD ...... 3,511 ...... USD ...... (2,563) ...... 1.3700 ...... Goldman Sachs Bank USA...... A-1...... (96) 2-Apr-20...... CAD ...... 1,857 ...... USD ...... (1,381) ...... 1.3447 ...... Citibank N.A...... A-1...... (86) 2-Apr-20...... CAD ...... 2,770 ...... USD ...... (2,007) ...... 1.3802 ...... Toronto Dominion Bank, The...... A-1+...... (54) 2-Apr-20...... CAD ...... 1,520 ...... USD ...... (1,101) ...... 1.3801 ...... Standard Chartered Bank...... A-1...... (30) 2-Apr-20...... CAD ...... 1,125 ...... USD ...... (820) ...... 1.3724 ...... Royal Bank of Canada...... A-1+...... (29) 2-Apr-20...... CAD ...... 1,333 ...... USD ...... (958) ...... 1.3916 ...... Toronto Dominion Bank, The...... A-1+...... (15) 2-Apr-20...... CAD ...... 306 ...... USD ...... (222) ...... 1.3802 ...... Toronto Dominion Bank, The...... A-1+...... (6) 2-Apr-20...... EUR ...... 30,524 ...... CAD ...... (47,613) ...... 0.6411 ...... Bank of America N.A...... A-1...... (237) 2-Apr-20...... EUR ...... 1,726 ...... CAD ...... (2,685) ...... 0.6428 ...... Standard Chartered Bank...... A-1...... (6) 2-Apr-20...... USD ...... 7,987 ...... CAD ...... (11,463) ...... 0.6967 ...... Goldman Sachs Bank USA...... A-1...... (223) 2-Apr-20...... USD ...... 5,562 ...... CAD ...... (8,033) ...... 0.6924 ...... Goldman Sachs Bank USA...... A-1...... (206) 2-Apr-20...... USD ...... 30,316 ...... CAD ...... (42,846) ...... 0.7076 ...... Toronto Dominion Bank, The...... A-1+...... (182) 2-Apr-20...... USD ...... 62,277 ...... CAD ...... (87,811) ...... 0.7092 ...... Citibank N.A...... A-1...... (169) 2-Apr-20...... USD ...... 16,670 ...... CAD ...... (23,543) ...... 0.7081 ...... Goldman Sachs Bank USA...... A-1...... (84) 2-Apr-20...... USD ...... 1,444 ...... CAD ...... (2,080) ...... 0.6944 ...... Goldman Sachs Bank USA...... A-1...... (48) 2-Apr-20...... USD ...... 1,191 ...... CAD ...... (1,709) ...... 0.6969 ...... Bank of America N.A...... A-1...... (33) 2-Apr-20...... USD ...... 585 ...... CAD ...... (844) ...... 0.6931 ...... Goldman Sachs Bank USA...... A-1...... (21) 2-Apr-20...... USD ...... 579 ...... CAD ...... (829) ...... 0.6989 ...... Goldman Sachs Bank USA...... A-1...... (14) BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

Settlement Currency Currency Contract Credit Unrealized Date Buy Position Sell Position Rate Counterparty Rating** Loss 2-Apr-20...... USD...... 1,247...... CAD...... (1,765)...... 0.7067...... Bank of America N.A...... A-1...... (10) 2-Apr-20...... USD...... 139...... CAD ...... (200) ...... 0.6948 ...... Goldman Sachs Bank USA ...... A-1 ...... (4) 2-Apr-20...... USD...... 246...... CAD ...... (348)...... 0.7068...... Royal Bank of Canada...... A-1+...... (2) 2-Apr-20...... USD...... 969...... CAD ...... (1,364)...... 0.7102...... Royal Bank of Canada...... A-1+...... (1) 2-Apr-20...... USD...... 70...... CAD ...... (100)...... 0.7026...... Morgan Stanley & Co. International PLC...... A-1...... (1) 13-Apr-20...... MXN...... 3,105...... USD ...... (162)...... 19.1655...... State Street Bank and Trust Company...... A-1+...... (44) 13-Apr-20...... TRY...... 2,339...... USD...... (381)...... 6.1485...... JPMorgan Chase Bank N.A...... A-1...... (39) 13-Apr-20...... TRY...... 1,691...... USD ...... (275)...... 6.1445...... JPMorgan Chase Bank N.A...... A-1...... (29) 13-Apr-20...... TRY...... 1,640...... USD ...... (266)...... 6.1550...... JPMorgan Chase Bank N.A...... A-1...... (27) 13-Apr-20...... TRY...... 19...... USD ...... (3)...... 6.1664...... JPMorgan Chase Bank N.A...... A-1...... (0) 15-Apr-20...... RUB...... 173,805...... USD ...... (2,717)...... 63.9786...... Goldman Sachs Bank USA...... A-1...... (706) 15-Apr-20...... RUB...... 35,615...... USD...... (575)...... 61.9018...... Goldman Sachs Bank USA...... A-1...... (171) 15-Apr-20...... USD...... 2,605...... RUB ...... (209,420)...... 0.0124...... Goldman Sachs Bank USA...... A-1...... (90) 22-Apr-20...... USD...... 1,740...... MXN ...... (43,343)...... 0.0401...... HSBC Bank USA...... A-1+...... (115) 4-May-20...... EUR...... 3,947...... CAD...... (6,165)...... 0.6402...... JPMorgan Chase Bank N.A...... A-1...... (34) 4-May-20...... USD...... 866...... CAD...... (1,232)...... 0.7032...... Goldman Sachs Bank USA...... A-1...... (13) 5-May-20...... MXN...... 39,439...... USD...... (2,010)...... 19.6185...... HSBC Bank USA...... A-1+...... (500) 15-May-20...... CAD...... 29,454...... GBP ...... (17,053)...... 1.7272...... Morgan Stanley & Co. International PLC...... A-1...... (368) 15-May-20...... CAD...... 1,704...... GBP ...... (989)...... 1.7233...... Standard Chartered Bank...... A-1...... (25) 15-May-20...... CAD...... 680...... GBP ...... (398)...... 1.7094...... Standard Chartered Bank...... A-1...... (16) 15-May-20...... GBP...... 1,298...... CAD ...... (2,270)...... 0.5718...... JPMorgan Chase Bank N.A...... A-1...... (0) 15-May-20...... PEN...... 1,782...... USD...... (525)...... 3.3926...... Citibank N.A...... A-1...... (10) 20-May-20...... USD...... 150...... RUB...... (12,061)...... 0.0124...... Goldman Sachs Bank USA...... A-1...... (5) 17-Jun-20 ...... INR...... 76,513...... USD...... (1,057)...... 72.3650...... BNP Paribas SA ...... A-1...... (88) 13-Jul-20 ...... USD...... 1,654...... PEN ...... (5,751)...... 0.2876...... Citibank N.A...... A-1...... (21) Total Unrealized Loss on Forward Currency Contracts...... (16,203)

CREDIT DEFAULT SWAP CONTRACTS Receive/ Fair Buy/Sell Referenced (Pay) Expiry Credit Notional Value Protection Entity Fixed Rate Date Counterparty Rating** Amount (Asset) Sell ...... Sprint Communications Inc...... 5.000%..... 20-Dec-21 ...... Morgan Stanley and Co. LLC ...... A-1 ...... 600...... 49 Buy...... Newell Brands, Inc., Senior ICE ...... (1.000)%...... 20-Jun-23 ...... Morgan Stanley and Co. LLC ...... A-1 ...... 200...... 2 Total Credit Default Swap Contracts at Fair Value...... 51

CREDIT DEFAULT SWAP CONTRACTS Receive/ Fair Buy/Sell Referenced (Pay) Expiry Credit Notional Value Protection Entity Fixed Rate Date Counterparty Rating** Amount (Liability) Sell ...... General Electric Company ...... 1.000%..... 20-Dec-23 ...... Morgan Stanley and Co. LLC ...... A-1 ...... 200 ...... (9) Sell ...... Markit CDX North America High Yield Index ...... 5.000%..... 20-Dec-24 ...... Morgan Stanley and Co. LLC ...... A-1 ...... 14,504 ...... (1,293) Sell ...... Republic of Turkey ...... 1.000%..... 20-Dec-24 ...... JPMorgan Chase Bank N.A ...... A-1 ...... 2,200 ...... (550) Total Credit Default Swap Contracts at Fair Value...... (1,852)

INTEREST RATE SWAP CONTRACTS Fair Pay/Receive Notional Value Floating Rate Floating Rate lndex Fixed Rate Maturity Date Amount (Asset) Receive...... USD-LIBOR-BBA-Bloomberg 3 month ...... 3.000% ...... 19-Dec-28 ...... 26,800 ...... 7,522 Receive...... USD-LIBOR-BBA-Bloomberg 3 month ...... 2.250% ...... 20-Jun-28 ...... 9,800 ...... 1,778 Total Interest Rate Swap Contracts at Fair Value...... 9,300 BMO Global Strategic Bond Fund (unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2020 (All amounts in thousands of Canadian dollars, unless otherwise noted)

INTEREST RATE SWAP CONTRACTS Fair Pay/Receive Notional Value Floating Rate Floating Rate lndex Fixed Rate Maturity Date Amount (Liability) Pay...... EUR-EURIBOR-BBA-Bloomberg 6 month...... (0.250)% ...... 18-Mar-50 ...... 200 ...... (7) Pay...... GBP-LIBOR-BBA-Bloomberg 6 month...... (0.750)% ...... 18-Mar-50 ...... 1,000 ...... (75) Pay...... USD-LIBOR-BBA-Bloomberg 3 month...... (1.750)% ...... 18-Dec-26 ...... 69,500 ...... (7,582) Pay...... GBP-LIBOR-BBA-Bloomberg 6 month...... (1.000)% ...... 17-Jun-50 ...... 1,200 ...... (241) Total Interest Rate Swap Contracts at Fair Value ...... (7,905)

Underlying Number of Strike Expiry Premium Fair Security Contracts Price Date Received Value PURCHASED PUT OPTION CONTRACTS US 10 Year Treasury Note (CBT) Futures ...... 770 ...... 119.50 ...... May 22, 2020...... 7 ...... 34 US 10 Year Treasury Note (CBT) Futures ...... 124 ...... 107.50 ...... May 22, 2020...... 3 ...... 3 US 10 Year Treasury Note (CBT) Futures ...... 50 ...... 107.00 ...... May 22, 2020...... 1 ...... 1 Total Purchased Put Option Contracts at Fair Value...... 11 ...... 38

FUTURES CONTRACTS Fair Number of Contract Notional Market Country Contract Expiry Date Contracts Rate Cost ($) Value ($) United States...... U.S. Treasury 10 Year Notes...... Jun 2020 ...... 944 ...... 138.6875 USD...... 167,193 ...... 184,245 Total Futures Contracts...... 167,193 ...... 184,245 ** Credit Rating provided by Standard & Poor’s. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 1. The Fund prepared in accordance with International Financial BMO Global Strategic Bond Fund (the “Fund”) is an Reporting Standards (“IFRS”), as issued by the open-ended mutual fund established under the laws of International Accounting Standards Board ("IASB"). the province of Ontario by Declaration of Trust. The Master Declaration of Trust was amended on 2. Basis of preparation and presentation October 23, 2008 and November 3, 2009 to permit These unaudited interim financial statements have certain Funds to offer a multi-series structure. In been prepared in accordance with IFRS and in addition to the existing Series A Units, certain Funds accordance with International Accounting Standard are permitted to offer Series A Hedged Units, Advisor (“IAS”) 34 – Interim Financial Reporting, as issued by Series Units, Advisor Series Hedged Units, ETF the IASB. The financial statements have been prepared Series Units, Series T4 Units, Series T5 Units, Series T6 on a historic cost basis, except for the revaluation of Units, Series T8 Units, Series M Units, Series F Units, financial assets and financial liabilities (including Series F Hedged Units, Series F2 Units, Series F4 Units, derivative financial instruments) measured at fair value Series F6 Units, Series D Units, Series G Units, Series I through profit or loss ("FVTPL"). Units, Series N Units, Series NBA Units, Series O Units, 3. Summary of significant accounting policies Series L Units, Series R Units, Series S Units and/or Financial instruments Classic Series Units. Each series is intended for Investments include financial assets and financial different kinds of investors and has different liabilities such as equity and debt securities, management fees and fixed administration fees. Refer investment funds and derivatives. These financial to Note 8 for the series issued for this Fund as well as instruments are part of a group of financial instruments the management and administration fee rates for each that are managed and their performance is evaluated series. on a fair value basis and in accordance with the Fund's BMO Investments Inc. (“the Manager”) is the Manager investment strategy. and Trustee of the Fund. The Manager is a wholly owned subsidiary of . The address of The Fund classifies and measures financial the Fund’s registered office is 100 King Street West, instruments in accordance with IFRS 9 Financial

Toronto, Ontario, M5X 1A1. Instruments (“IFRS 9”). Upon initial recognition, financial instruments are recorded at fair value. A The Statement of Financial Position and related notes financial instrument is recognized when the Fund of each of the Funds are as at March 31, 2020 and becomes a party to the contractual requirements of the September 30, 2019, as applicable. The Statement of instrument and is derecognized when the right to Comprehensive Income, Statement of Changes in Net receive cash flows from the instrument has expired or Assets Attributable to Holders of Redeemable Units, the Fund has transferred substantially all risks and Statement of Cash Flows and related notes are for the rewards of ownership. As such, investment purchase period(s) ended March 31, 2020 and March 31, 2019, and sale transactions are recorded as of the trade date. except for a Fund established during the period(s), Investments and derivatives are subsequently which is presented from the date of inception (as noted measured at FVTPL, with changes in fair value in Note 8) to March 31 of the applicable period. recognized in the Statement of Comprehensive Income Financial information provided for a series established as “Change in unrealized appreciation (depreciation)”. during the period(s) is presented from the inception date as noted in Note 8 to March 31 of the applicable All financial assets and financial liabilities are period. recognized in the Statement of Financial Position.

These financial statements were authorized for The Fund’s outstanding redeemable units, which are issuance by the Board of Directors of the Manager on puttable instruments, are entitled to a contractual

May 20, 2020. obligation of annual distribution of any net income and net realized capital gains by the Fund. This annual These financial statements should be read in distribution can be in cash at the option of the conjunction with the annual financial statements for unitholders, and therefore the ongoing redemption the period ended September 30, 2019, which have been feature is not the redeemable units’ only contractual obligation. Also, the Fund has issued multiple series of BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 redeemable units, which are equally subordinated but The Fund may enter into forward currency contracts are not identical and consequently, do not meet the for hedging purposes either directly or indirectly or for conditions to be classified as equity. As a result, the non-hedging purposes. The fair value of forward Fund’s obligations for net assets attributable to holders currency contracts entered into by the Fund is recorded of redeemable units (“Net Assets”) are classified as as the difference between the fair value of the contract financial liabilities and presented at the redemption on the Valuation Date and the fair value on the date the amounts. contract originated. Cost of investments For the Series A Hedged Units, Advisor Series Hedged The cost of investments represents the amount paid for Units and Series F Hedged Units (the “Hedged Series”), each security and is determined on an average cost the Fund enters into forward currency contracts to basis, and excludes commissions and other portfolio hedge against foreign currency exposure and as a result transaction costs, which are reported separately in the the Hedged Series will be subject to less currency risk Statement of Comprehensive Income. Realized gains than the other series of the Fund because their foreign and losses on disposition are determined based on the currency exposure is hedged. However, the hedging cost of the investments. strategy may not achieve a perfect hedge of the foreign currency exposure for the Hedged Series. Fair value measurement Fair value is defined as the price that would be received The Fund may engage in option contract transactions to sell an asset or paid to transfer a liability in an by purchasing (long positions) or writing (short orderly transaction between market participants at the positions) call or put option contracts. These contracts measurement date. have different risk exposures for the Fund, whereas the risk for long positions will be limited to the premium For exchange-traded securities, close prices are paid to purchase the option contracts, the risk exposure considered to be fair value if they fall within the bid-ask for the short positions are potentially unlimited until spread. In circumstances where the close price is not closed or expired. within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most The premium paid for purchasing an option is recorded representative of fair value based on the specific facts as an asset in the Statement of Financial Position. The and circumstances. option contract is valued on each Valuation Date at an amount equal to the fair value of the option that would Procedures are in place to fair value equities traded in have the effect of closing the position. The change in countries outside of North America daily, to avoid stale the difference between the premium and the fair value prices and to take into account, among other things, is shown as “Change in unrealized appreciation any significant events occurring after the close of a (depreciation)” in the Statement of Comprehensive foreign market. Income. For bonds, debentures, asset-backed securities and When a purchased option expires, the Fund will realize other debt securities, fair value is determined as the last a loss equal to the premium paid. When a purchased traded market price or close price, or other such prices, option is closed, the gain or loss the Fund will realize that falls within the bid-ask spread of the security. will be the difference between the proceeds and the Short-term investments, if any, are held at amortized premium paid. When a purchased call option is cost, which approximates fair value due to their exercised, the premium paid is added to the cost of short-term nature. acquiring the underlying security. When a purchased Mutual fund units held as investments are valued at put option is exercised, the premium paid is subtracted their respective Net Asset Value (“NAV”) on each from the proceeds from the sale of the underlying Valuation Date (the “Valuation Date” is each day on security that had to be sold. which the Toronto Stock Exchange is open for trading), The premium received from writing a call or put option as these values are the most readily and regularly is recorded as a liability in the Statement of Financial available. Position. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 When a written option expires, the Fund will realize a Credit default swap contracts are fair valued daily gain equal to the premium received. When a written based upon quotations from independent security option is closed, the Fund will realize a gain or loss pricing sources. Premiums paid or received, if any, are equal to the difference between the cost at which the included in “Net realized gain (loss)” in the Statement contract was closed and the premium received. When a of Comprehensive Income. Net periodic payments are written call option is exercised, the premium received accrued daily and recorded as “Derivative income is added to the proceeds from the sale of the underlying (loss)” in the Statement of Comprehensive Income. investments to determine the realized gain or loss. When credit default swap contracts expire or are closed When a written put option is exercised, the premium out, gains or losses are recorded as “Net realized gain received will be subtracted from the cost of the (loss)” in the Statement of Comprehensive Income. underlying investment the Fund had to purchase. Interest rate swap contracts are agreements between The gain or loss that the Fund realizes when a two parties to exchange periodic interest payments purchased or written option is expired or closed is based on a notional principal amount. The net periodic recorded as “Net realized gain (loss)” in the Statement payments received or paid from interest rate swap of Comprehensive Income. contracts are recorded as “Derivative income (loss)” in the Statement of Comprehensive Income. Payments Futures contracts are financial agreements to purchase received or paid when the Fund enters into the contract or sell a financial instrument at a contracted price on a are recorded as a liability or asset in the Statement of specified future date. Futures contracts are valued at Financial Position. When the contract is terminated or the gain or loss that would arise as a result of closing expires, the payments received or paid are recorded as the position at the Valuation date. Any difference “Net realized gain (loss)” in the Statement of between the notional value on each Valuation Date is Comprehensive Income. Payments received or paid recorded as “Derivative income (loss)” in the Statement upon early termination are recorded as “Net realized of Comprehensive Income. Treasury bills or cash are gain (loss)” in the Statement of Comprehensive Income. held as margin against futures contracts. Interest rate swap agreements are valued based upon A credit default swap contract is an agreement to quotations from independent sources. The change in transfer credit risk from one party, a buyer of value is included in “Change in unrealized protection, to another party, a seller of protection. The appreciation (depreciation)” in the Statement of Fund, as a seller of protection, would be required to pay Comprehensive Income. a notional or other agreed upon value to the buyer of protection in the event of a default by a third-party. In The Fund enters into interest rate swap agreements to return, the Fund would receive from the counterparty a manage the exposure to interest rates. periodic stream of payments over the term of the Unlisted warrants, if any, are valued based on a pricing contract provided that no event of default occurs. If no model which considers factors such as the market default occurs, the Fund would keep the stream of value of the underlying security, strike price and terms payments and would have no payment obligations. of the warrant. In connection with the agreement, securities or cash For securities where market quotes are not available, may be identified as collateral or margin in accordance unreliable or not considered to reflect the current with the terms of the agreement to provide assets of value, the Manager may determine another value value in the event of default or bankruptcy/insolvency. which it considers to be fair and reasonable, or use a The Fund, as a buyer of protection, would receive a valuation technique that, to the extent possible, makes notional or other agreed upon value from the seller of maximum use of inputs and assumptions based on protection in the event of a default by a third-party. In observable market data including volatility, return, the Fund would be required to pay to the comparable companies, NAV (for exchange-traded counterparty a periodic stream of payments over the funds) and other applicable rates or prices. These term of the contract provided that no event of default estimation techniques include discounted cash flows, occurs. internal models that utilize observable data or BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 comparisons with other securities that are substantially The Fund may invest in underlying funds whose similar. In limited circumstances, the Manager may use investment objectives range from achieving short-term internal models where the inputs are not based on to long-term income and capital growth potential. observable market data. Underlying funds may use leverage in a manner consistent with their respective investment objectives Cash and as permitted by Canadian securities regulatory Cash is comprised of cash and deposits with , authorities. Underlying funds finance their operations which include bankers’ acceptances and overnight by issuing redeemable units which are puttable at the demand deposits. The carrying amount of cash holders’ option and entitles the holder to a approximates its fair value because it is short-term in proportionate stake in the respective fund’s Net Assets. nature. The change in fair value of each of the underlying Other assets and other liabilities funds during the periods is included in “Change in Other assets and other liabilities generally include unrealized appreciation (depreciation)” in the receivables for investments sold, subscriptions Statement of Comprehensive Income. receivable, interest receivable, dividend receivable, Mortgage-related securities are created from pools of distribution receivable from investment trusts, payable residential or commercial mortgage loans, including for investments purchased, redemptions payable, mortgage loans made by savings and loan institutions, distributions payable and accrued expenses. These mortgage bankers, commercial banks and others. financial assets and financial liabilities are short-term Asset-backed securities are created from many types of in nature and are subsequently measured at amortized assets, including auto loans, credit card receivables, cost, which approximates their fair value. home equity loans and student loans. Investments in subsidiaries, joint ventures and associates The Fund does not provide and has not committed to Subsidiaries are entities over which the Fund has providing any additional significant financial or other control through its exposure or rights to variable support to the unconsolidated structured entities other returns from its investment and has the ability to affect than its investment in the unconsolidated structured those returns through its power over the entity. The entities. Manager has determined that the Fund is an Additional information on the Fund’s interest in investment entity and as such, it accounts for unconsolidated structured entities, where applicable, is subsidiaries, if any, at fair value. Joint ventures are provided in Note 8. investments where the Fund exercises joint control through an agreement with other shareholders, and Offsetting of financial assets and financial liabilities associates are investments in which the Fund exerts Financial instruments are presented at net or gross significant influence over operating, investing, and amounts in the Statement of Financial Position financing decisions (such as entities in which the Fund depending on the existence of intention and legal right owns 20% - 50% of voting shares), all of which, if any, to offset opposite positions of such instruments held have been classified at FVTPL. with the same counterparties. Amounts offset in the

Unconsolidated structured entities Statement of Financial Position are related to transactions for which the Fund has legally enforceable The Manager has determined that the underlying funds rights to offset and intends to settle the positions on a in which the Fund may invest are unconsolidated net basis. Amounts not offset in the Statement of structured entities. This determination is based on the Financial Position relate to positions where there is no fact that decision making about the underlying funds is legally enforceable right to offset, or the legal right to not governed by the voting right or other similar right offset is only in the event of default, insolvency or held by the Fund. Similarly, investments in bankruptcy, or where the Fund has no intention to securitizations, asset-backed securities and settle on a net basis. mortgage-backed securities are determined to be interests in unconsolidated structured entities. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Income recognition Fund will receive collateral of at least 102% of the Dividend income and distributions received from value of securities on loan. Collateral will generally be investment trusts are recognized on the ex-dividend comprised of obligations of or guarantee by the and ex-distribution date, respectively. Government of Canada or a province thereof, or by the United States government or its agencies, but it may Interest income from interest bearing investments is include obligations of other governments with recognized in the Statement of Comprehensive Income appropriate credit ratings. Further, the program using the effective interest rate. Interest receivable entered into provides for 100% indemnification by the shown in the Statement of Financial Position is accrued securities lending agent and parties related to the based on the interest bearing investments’ stated rates Fund’s custodian, to the Fund for any defaults by of interest. borrowers.

Interest on inflation-indexed bonds is paid based on a For those Funds participating in the program, aggregate principal value, which is adjusted for inflation. The values of securities on loan, the collateral held as at inflation adjustment of the principal value is March 31, 2020 and September 30, 2019 and recognized as part of interest income in the Statement information about the security lending income earned of Comprehensive Income. If held to maturity, the Fund by the Fund are disclosed in Note 8, where applicable. will receive, in addition to a coupon interest payment, a final payment equal to the sum of the par value and the Income from securities lending, where applicable, is inflation compensation accrued from the original issue included in the Statement of Comprehensive Income date. Interest is accrued on each Valuation Date based and is recognized when earned. The breakdown of the on the inflation adjusted par value at that time and is securities lending income is disclosed in Note 8, where included in “Interest income” in the Statement of applicable. Comprehensive Income. Short-term trading penalty Foreign currency translation To discourage excessive trading, the Fund may, at the The fair value of investments and other assets and Manager’s sole discretion, charge a short-term trading liabilities in foreign currencies are translated into the penalty. This penalty is paid directly to the Fund and is Fund’s functional currency at the rates of exchange included in “Short-term penalty fees” in the Statement prevailing at the period-end date. Purchases and sales of Comprehensive Income. of investments, and income and expenses are Increase or decrease in net assets attributable to holders of translated at the rates of exchange prevailing on the redeemable units per unit respective dates of such transactions. Realized foreign exchange gains (losses) on investment transactions are “Increase (decrease) in net assets attributable to included in “Net realized gain (loss)” in the Statement holders of redeemable units per unit” of a series in the of Comprehensive Income and unrealized foreign Statement of Comprehensive Income represents the exchange gains (losses) are included in “Change in increase (decrease) in net assets attributable to holders unrealized appreciation (depreciation)” in the of redeemable units of the series divided by the

Statement of Comprehensive Income. Foreign weighted average number of units of the series exchange gains (losses) relating to cash, receivables outstanding during the period. Refer to Note 8 for and payables are included in "Foreign exchange gain details. (loss)" in the Statement of Comprehensive Income. Taxation Securities lending The Fund qualifies as a unit trust under the provisions

A Fund may engage in securities lending pursuant to of the Income Tax Act (Canada). Distributions of all net the terms of an agreement with State Street and BNY taxable income and sufficient amounts of net realized

Mellon (the “security lending agent” and the “former capital gains for each taxation year will be paid to security lending agent”, respectively). BNY Mellon was unitholders so that the Fund will not be subject to the security lending agent until December 3, 2018, income tax. As a result, the Fund has determined that it when State Street became the lending agent. The is in substance not taxable and therefore does not aggregate market value of all securities loaned by the Fund cannot exceed 50% of the NAV of the Fund. The BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 record income taxes in the Statement of Classification and measurement of investment portfolio Comprehensive Income nor does it recognize any In classifying and measuring financial instruments deferred tax assets or liabilities in the Statement of held by the Fund, the Manager is required to make an Financial Position. assessment of the Fund's business model for managing

The Fund may incur withholding taxes imposed by financial instruments. In classifying and measuring certain countries on investment income and capital financial instruments held by the Fund, the Manager is gains. Such income and capital gains are recorded on a required to make significant judgements in gross basis with the related withholding taxes shown as determining the most appropriate classification in a separate expense in the Statement of Comprehensive accordance with IFRS 9. The Manager has assessed the

Income. Fund’s business model with respect to the manner in which financial assets and financial liabilities are Fund mergers managed as a group and performance is evaluated on a The Manager has adopted the purchase method of fair value basis, and has concluded that FVTPL in accounting for certain fund mergers which occurred accordance with IFRS 9 provides the most appropriate during the periods. Under this method, one of the measurement and presentation of the Fund’s Funds in each merger is identified as the acquiring investment portfolio. The collection of principal and fund, and is referred to as the “Continuing Fund”, and interest is incidental to the fair value business model. the other Fund involved in the merger is referred to as Accounting estimates: the “Terminated Fund”. This identification is based on Fair value measurement of securities not quoted in an the comparison of the relative NAV of the funds as well active market as consideration of the continuation of such aspects of the Continuing Fund as: investment advisors, The Fund has established policies and control investment objectives and practices, type of portfolio procedures that are intended to ensure these estimates securities, and management fees and expenses. Where are well controlled, independently reviewed, and applicable, refer to Note 8 for the details of the merger consistently applied from period to period. The transactions. estimates of the value of the Fund’s assets and liabilities are believed to be appropriate as at the 4. Critical accounting judgements and estimates reporting date. The preparation of financial statements requires the The Fund may hold financial instruments that are not use of judgement in applying the Fund's accounting quoted in active markets. Note 3 discusses the policies policies and to make estimates and assumptions about used by the Fund for the estimates used in determining the future. The following discusses the most significant fair value. accounting judgements and estimates that the Manager has made in preparing the Fund's financial statements. 5. Units and unit transactions The redeemable units of the Fund are classified as Accounting judgements: financial liabilities. The units have no par value and are Functional and presentation currency entitled to distributions, if any. Upon redemption, a

The Fund’s unitholders are mainly Canadian residents, unit is entitled to a proportionate share of the Fund’s with the subscriptions and redemptions of the NAV. The Fund is required to pay distributions in an redeemable units denominated in Canadian dollars. amount not less than the amount necessary to ensure

The Fund invests in Canadian and U.S. dollars and the Fund will not be liable for income taxes on realized other foreign denominated securities, as applicable. capital gains, dividends and interest. The Fund has no

The performance of the Fund is measured and reported restrictions or specific capital requirements on the to the investors in Canadian dollars. The Manager subscriptions and redemptions of units except as considers the Canadian dollar as the currency that most disclosed in Note 8. The relevant movements in faithfully represents the economic effects of the redeemable units are shown in the Statement of underlying transactions, events and conditions. The Changes in Net Assets Attributable to Holders of financial statements are presented in Canadian dollars, Redeemable Units. which is the Fund's functional and presentation currency. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 In accordance with its investment objectives and • A basket of applicable securities and cash in an strategies, and the risk management practices outlined amount sufficient so that the value of the securities and in Note 7, the Fund endeavours to invest the the cash received is equal to the NAV of the ETF subscriptions received in appropriate investments, Series Units subscribed/redeemed; while maintaining sufficient liquidity to meet • Cash in the amount equal to the NAV of the ETF redemptions, with such liquidity being augmented by Series Units subscribed/redeemed; or short-term borrowings or disposal of investments where necessary. • A combination of securities and cash, as determined by the Manager, in an amount sufficient so that the Redeemable units of the Fund are offered for sale on a value of the securities and cash received is equal to the continuous basis and may be purchased or redeemed NAV of the ETF Series Units subscribed/redeemed. on any Valuation Date at the NAV per unit of a particular series. The NAV per unit of a series for the On any trading day, unitholders may redeem ETF purposes of subscription or redemption is computed by Series Units for cash or exchange ETF Series Units for dividing the NAV of the Fund attributable to the series baskets of securities and cash. ETF Series Units (that is, the total fair value of the assets attributable to redeemed for cash will be redeemed at a redemption the series less the liabilities attributable to the series) price per ETF Series Unit equal to the lesser of (i) 95% by the total number of units of the series of the Fund of the closing price for the ETF Series Units on the TSX outstanding at such time on each Valuation Date, in on the effective day of the redemption; and (ii) the NAV accordance with Part 14 of National Instrument (“NI”) per unit of the ETF Series Units on the effective day of 81-106 Investment Fund Continuous Disclosure for the the redemption. ETF Series Units exchanged for purpose of processing unitholder transactions. Net baskets of securities will be exchanged at a price equal Assets are determined in accordance with IFRS and to the NAV of the ETF Series Units on the effective day may differ to the Funds' NAV. Where the Fund's NAV is of the exchange request, payable by delivery of baskets not equal to its Net Assets, a reconciliation is shown in of securities and cash. Note 8. Unitholders that redeem ETF Series Units prior to the ETF Series Units distribution record date will not be entitled to receive On any trading day, a designated broker or an ETF the distribution. dealer may place a subscription or redemption order Expenses directly attributable to a series are charged to for an integral multiple of the prescribed number ETF that series. Other expenses, income, realized and Series Units of the Fund as permitted by the Manager. unrealized gains and losses from investment If the subscription or redemption order is accepted, the transactions are allocated proportionately to each Fund will issue or redeem ETF Series Units to/from the series based upon the relative NAV of each series. The designated broker or the ETF dealer by no later than gain (loss) of certain forwards in Funds with Hedged the third trading day after the date on which the Series is allocated only to the hedged series. subscription or redemption order is accepted, in the case of a fund that invests a portion of its portfolio 6. Related party transactions (a) Management fees assets in T+3 securities; by no later than the second trading date after the date on which the subscription or The Manager is responsible for the day-to-day redemption order is accepted, in the case of a fund that management of the Fund and its investment portfolio in does not invest a portion of its portfolio assets in T+3 compliance with the Fund’s constating documents. The securities or a shorter period as may be determined by Manager provides key management personnel to the the Manager in response to changes in applicable law Fund, monitors and evaluates the performance of the or general changes to settlement procedures in Fund, pays for the services of applicable markets. the investment advisors and provides all related administrative services required by the Fund. For each prescribed number of ETF Series Units issued or redeemed, a designated broker or an ETF dealer The management fees for the ETF Series includes costs must deliver or receive payment consisting of: related to the administration expenses and other operating expenses, other than the fund expenses. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 As compensation for its services, the Manager is with NI 81-107, including compensation and expenses entitled to receive a fee payable monthly, calculated at payable to Independent Review Committee ("IRC") the maximum annual rates included in Note 8. members and any independent counsel or other advisors employed by the IRC, the costs of the (b) Fixed administration fees orientation and continuing education of IRC members The Manager pays certain operating expenses of each and the costs and expenses associated with IRC Fund except for BMO Ascent Income Portfolio, BMO meetings; taxes of all kinds to which the Fund is or Ascent Conservative Portfolio, BMO Ascent Balanced might be subject; and costs associated with compliance Portfolio, BMO Ascent Growth Portfolio, BMO Ascent with any new governmental or regulatory requirement Equity Growth Portfolio, BMO FundSelect Balanced introduced after December 1, 2007. Portfolio (Series NBA only), BMO FundSelect Growth Portfolio (Series NBA only), BMO FundSelect Equity The Manager may, in some years and in certain cases, Growth Portfolio (Series NBA only), BMO Covered Call absorb a portion of management fees, fixed Canadian Banks ETF Fund, BMO Covered Call administration fees or certain specified expenses of the U.S. High Dividend ETF Fund, BMO Covered Call Fund or series of the Fund. The decision to absorb Europe High Dividend ETF Fund, BMO Sustainable these expenses is reviewed periodically and Opportunities Global Equity Fund, BMO Tactical determined at the discretion of the Manager, without Global Asset Allocation ETF Fund, BMO Tactical notice to unitholders.

Global Growth ETF Fund, BMO Women in Leadership (d) Variable administration fees Fund, BMO International Value Fund, BMO Japan The Variable Operating Expense Series pay all of its Fund, BMO Covered Call Canada High Dividend ETF expenses directly. These operating expenses include Fund, BMO Concentrated Global Equity Fund, BMO Administration Expenses and Fund Expenses. Crossover Bond Fund, BMO Global Multi-Sector Bond Fund, BMO U.S. Small Cap Fund, BMO Multi-Factor (e) Commissions and other portfolio transaction costs Equity Fund, BMO SIA Focused Canadian Equity Fund, The Fund may execute trades with and through BMO BMO SIA Focused North American Equity Fund, BMO Nesbitt Burns Inc., an affiliate of the Manager, based on Concentrated U.S. Equity Fund and BMO Low Volatility established standard brokerage agreements at market Canadian Equity ETF Fund (the “Variable Operating prices. These fees are included in “Commissions and Expense Series”), including audit and legal fees and other portfolio transaction costs” in the Statement of expenses; custodian and transfer agency fees; costs Comprehensive Income. Refer to Note 8 for related attributable to the issue, redemption and change of party fees charged to the Fund during the period(s) securities, including the cost of the securityholder ended March 31, 2020 and March 31, 2019, where record keeping system; expenses incurred in respect of applicable. preparing and distributing prospectuses, financial reports and other types of reports, statements and (f) Initial investments communications to securityholders; fund accounting In order to establish a new Fund, the Manager, makes and valuation costs; filing fees, including those an initial investment in the Fund. Pursuant to the incurred by the Manager (collectively the policies of the Canadian Securities Administrators, an “Administration Expenses”). In return, the Fund pays a initial investor cannot redeem its investments until an fixed administration fee to the Manager. The fixed additional $500 has been received from other investors administration fee is calculated daily as a fixed annual with respect to the same class of units. Refer to Note 8 percentage of the average NAV of the Fund. Refer to for the investment in units of the Fund held by the Note 8 for the fixed administration fee rates charged to Manager as at March 31, 2020 and September 30, 2019, the Fund, where applicable. where applicable. (c) Fund expenses (g) Other related party transactions The Fund also pays certain operating expenses directly From time to time, the Manager may on behalf of the ("Fund Expenses"), including expenses incurred in Fund, enter into transactions or arrangements with or respect of preparing and distributing fund facts; involving subsidiaries and affiliates of Bank of interest or other borrowing expenses; all reasonable Montreal, or certain other persons or companies that costs and expenses incurred in relation to compliance are related or connected to the Manager of the Fund. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 These transactions or arrangements may include foreign markets are exposed to currency risk as the transactions or arrangements with or involving prices denominated in foreign currencies are converted subsidiaries and affiliates of Bank of Montreal, BMO to the Fund’s functional currency in determining fair Investments Inc., BMO Nesbitt Burns Inc., BMO Asset value. The Fund may enter into forward currency Management Corp., BMO Private Investment contracts for hedging purposes to reduce foreign Counsel Inc., BMO Asset Management Inc., BMO currency exposure or to establish exposure to foreign InvestorLine Inc., Pyrford International Limited, LGM currencies. IFRS 7 considers the foreign exchange Investments Limited, BMO Trust Company, BMO Asset exposure relating to non-monetary assets and liabilities Management Limited, BMO Global Asset Management to be a component of market price risk not foreign (Asia) Limited, Taplin, Canida & Habacht LLC, BMO currency risk. However, the Manager monitors the Capital Markets Corp., or other investment funds exposure on all foreign currency denominated assets offered by Bank of Montreal, and may involve the and liabilities. The Fund’s exposure to currency risk, if purchase or sale of portfolio securities through or from any, is further disclosed in Note 8. subsidiaries or affiliates of Bank of Montreal, the (b) Interest rate risk purchase or sale of securities issued or guaranteed by subsidiaries or affiliates of Bank of Montreal, the Interest rate risk is the risk that the fair value of the purchase or redemption of units or shares of other Bank Fund's interest bearing investments will fluctuate due of Montreal investment funds or the provision of to changes in market interest rates. The Fund's services to the Manager. exposure to interest rate risk is concentrated in its investment in debt securities (such as bonds, money 7. Financial instruments risks market investments, short-term investments and The Fund’s activities expose it to a variety of risks debentures) and interest rate derivative instruments, if associated with the financial instruments, as any. Other assets and liabilities are short-term in nature follows: market risk (including currency risk, interest and/or non-interest bearing. The Fund's exposure to rate risk and other market risk), credit risk and liquidity interest rate risk, if any, is further discussed in Note 8. risk. The concentration table groups securities by asset (c) Other market risk type, geographic location and/or market segment. The Other market risk is the risk that the fair value of a Fund’s risk management practice outlines the financial instrument will fluctuate as a result of monitoring of compliance to investment guidelines. changes in market prices (other than those arising from The Manager manages the potential effects of these interest rate risk or currency risk), whether those financial risks on the Fund’s performance by changes are caused by factors specific to the individual employing and overseeing professional and financial instrument or its issuer, or factors affecting all experienced portfolio managers that regularly monitor similar financial instruments traded in a market. Other the Fund’s positions, market events, and diversify assets and liabilities are monetary items that are investment portfolios within the constraints of the short-term in nature, as such they are not subject to investment guidelines. other market risk. The Fund's exposure to other market risk, if any, is further discussed in Note 8. Where the Fund invests in other investment fund(s), it may be indirectly exposed to the financial risks of the (d) Credit risk underlying fund(s), depending on the investment Credit risk is the risk that a loss could arise from a objectives and the type of securities held by the security issuer or counterparty to a financial underlying fund(s). The decision to buy or sell an instrument not being able to meet its financial underlying fund is based on the investment guidelines obligations. The fair value of debt securities includes and positions, rather than the exposure of the consideration of the credit worthiness of the debt underlying fund(s). issuer. Credit risk exposure for over-the-counter

(a) Currency risk derivative instruments is based on the Fund's unrealized gain of the contractual obligations with the Currency risk is the risk that the fair value of financial instruments denominated in currencies, other than the functional currency of the Fund, will fluctuate due to changes in foreign exchange rates. Investments in BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 counterparty as at the reporting date. The credit exposure of other assets is represented by its carrying amount. The Fund's exposure to credit risk, if any, is further discussed in Note 8. The Fund may enter into securities lending transactions with approved counterparties. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient approved credit rating and the market value of collateral held by the Fund must be at least 102% of the fair value of securities loaned, as disclosed in Note 8, where applicable. (e) Liquidity risk The Fund's exposure to liquidity risk is concentrated in the daily cash redemptions of units, and other liabilities. The Fund primarily invests in securities that are traded in active markets and can be readily disposed. In addition, the Fund retains sufficient cash positions to maintain liquidity. The Fund may, from time to time, enter into over-the-counter derivative contracts or invest in unlisted securities, which are not traded in an organized market and may be illiquid. Securities for which a market quotation could not be obtained and may be illiquid are identified in the Schedule of Investment Portfolio. The proportion of illiquid securities to the NAV of the Fund is monitored by the Manager to ensure it does not exceed the regulatory limit and does not significantly affect the liquidity required to meet the Fund's financial obligations. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 8. Fund specific information The number of units of each series that have been (a) Fund and Series information and change in units issued and are outstanding are disclosed in the table The Fund is authorized to issue an unlimited number of below. units in each of Series A Units, Advisor Series Units, ETF Series Units, Series F Units, Series D Units and For the periods ended Mar. 31, Mar. 31, Series I Units, which are redeemable at the unitholders’ (in thousands of units) 2020 2019 option. Series A Units Units issued and outstanding, Series Inception Date beginning of period 19,250 18,895 Series A Units September 6, 2000 Issued 960 2,451 Advisor Series Units October 24, 2008 Issued on reinvestment of distributions 696 355 ETF Series Units May 4, 2018 Redeemed during the period (2,319) (2,025) Series F Units October 24, 2008 Units issued and outstanding, Series D Units April 7, 2014 end of period 18,587 19,676 Series I Units May 9, 2008 Series A Units are offered on a no-load basis and are Advisor Series Units available to all investors. Units issued and outstanding, beginning of period 3,312 3,773 Advisor Series Units are available to all investors Issued 447 202 through registered dealers. Issued on reinvestment of distributions 106 50 ETF Series Units are available to investors that Redeemed during the period (697) (550) purchase such securities over the TSX or another Units issued and outstanding, exchange or marketplace. The units are listed on the end of period 3,168 3,475 TSX under the symbol ZGB. The last close price at March 31, 2020 was $28.12 (September 30, 2019 — ETF Series Units $31.13). Units issued and outstanding, Series F Units are available for purchase by investors beginning of period 980 405 who are enrolled in dealer-sponsored wrap programs Issued 1,680 180 or flat fee accounts. Instead of paying a commission on Issued on reinvestment of distributions 21 — each transaction, these investors pay an annual fee to Units consolidated (21) — the Manager based on the value of their assets. Redeemed during the period (990) (20) Series D Units are available to investors who have an Units issued and outstanding, account with a discount brokerage. A reduced trailing end of period 1,670 565 commission is paid to discount brokerages in respect to Series D Units which means a lower management fee Series F Units can be charged. Units issued and outstanding, Series I Units are available only to institutional beginning of period 4,504 4,412 investors and other investment funds as determined by Issued 1,318 494 the Manager from time to time and on a case-by-case Issued on reinvestment of distributions 217 55 basis, and who have entered into an agreement with the Redeemed during the period (591) (904)

Manager. No management fees and fixed Units issued and outstanding, administration fees are charged to the Fund in respect end of period 5,448 4,057 of the Series I Units as each investor or dealer negotiates a separate fee with the Manager. BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 For the periods ended Mar. 31, Mar. 31, Mar. 31, Mar. 31, (in thousands of units) 2020 2019 For the periods ended 2020 2019 Series D Units Series A Units Units issued and outstanding, (Decrease) increase in net assets attributable beginning of period 41 35 to holders of redeemable units (11,101) 4,203 Issued 365 4 Weighted average units outstanding during Issued on reinvestment of distributions 7 1 the period (in thousands of units) 18,973 19,343 Redeemed during the period (112) (7) (Decrease) increase in net assets attributable Units issued and outstanding, to holders of redeemable units per unit (0.59) 0.22 end of period 301 33 Advisor Series Units

Series I Units (Decrease) increase in net assets attributable to holders of redeemable units (3,631) 1,369 Units issued and outstanding,

beginning of period 2,145 2,105 Weighted average units outstanding during the period (in thousands of units) 3,243 3,578 Issued — 45 Issued on reinvestment of distributions 99 — (Decrease) increase in net assets attributable to holders of redeemable units per unit (1.11) 0.38 Redeemed during the period (2,205) (81) Units issued and outstanding, ETF Series Units end of period 39 2,069 (Decrease) increase in net assets attributable to holders of redeemable units (5,297) 590 Unit consolidation Weighted average units outstanding during The units of the Fund are consolidated immediately the period (in thousands of units) 1,175 478 after a distribution is reinvested so that the number of (Decrease) increase in net assets attributable units of the Fund held by investors after the to holders of redeemable units per unit (4.52) 1.23 consolidation is the same as before the distribution. Series F Units This does not result in a disposition of the investors’ units. On consolidation, the aggregate Adjusted Cost (Decrease) increase in net assets attributable Base (“the ACB”) of units held by the investors will not to holders of redeemable units (6,838) 2,082 change, but the ACB per unit will increase. Weighted average units outstanding during the period (in thousands of units) 4,949 4,015 (b) Reconciliation of NAV to Net Assets (Decrease) increase in net assets attributable As at March 31, 2020 and September 30, 2019, there to holders of redeemable units per unit (1.38) 0.51 were no differences between the Fund’s NAV per unit and its Net Assets per unit calculated in accordance Series D Units with IFRS. (Decrease) increase in net assets attributable to holders of redeemable units (382) 11 (c) Increase (decrease) in net assets attributable to holders Weighted average units outstanding during of redeemable units per unit the period (in thousands of units) 269 32 The increase (decrease) in net assets attributable to holders of redeemable units per unit is calculated as (Decrease) increase in net assets attributable follows: to holders of redeemable units per unit (1.43) 0.33 BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Mar. 31, Mar. 31, The outstanding accrued fixed administration fees due For the periods ended 2020 2019 to the Manager are included in “Accrued expenses” in the Statement of Financial Position and as at March 31, Series I Units 2020 amounted to $58 (September 30, 2019 — $6). Increase in net assets attributable to holders of redeemable units 641 867 Expenses Weighted average units outstanding during The Manager pays the administration and operating the period (in thousands of units) 1,201 2,089 expenses of the Series I Units. Increase in net assets attributable to holders Brokerage commissions and soft dollars of redeemable units perunit 0.54 0.42 Brokerage commissions paid (excluding transaction costs) on security transactions and amounts paid to (d) Income taxes related parties of the Manager for brokerage services As at the tax year-ended December 2019, the Fund had provided to the Fund for the periods are as follows: the following capital and non-capital losses for income tax purposes: Mar. 31, 2020 Mar. 31, 2019 For the periods ended ($) ($) Non-Capital Losses Total brokerage amounts paid 8 1 That Expire in Total brokerage amounts paid to Total Total 2033 related parties — — Capital Non-Capital and Losses Losses 2031 2032 thereafter There were no ascertainable soft dollars paid or ($) ($) ($) ($) ($) payable to dealers by the Fund during the periods. —70——70Units held by the Manager There were no units held by the Manager as at (e) Related party transactions March 31, 2020 and September 30, 2019. Management fees and administration fees The Manager is entitled to receive the following fees (f) Financial instruments risks payable monthly, calculated at the following maximum The Fund’s objective is to provide a fixed monthly annual rates: distribution and capital appreciation potential by investing primarily in debt instruments issued by Management Fixed governments and corporations around the world. The Fees Administration Fund invested in a diversified pool of fixed income Series (%) Fees (%) securities, which primarily includes investment grade Series A Units 1.750 0.280 securities with a credit rating of BBB or higher, high yield securities with a credit rating below BBB and Advisor Series Units 1.750 0.280 emerging market debt. ETF Series Units 0.730 — Series F Units 0.450 0.280 No changes affecting the overall level of risk of Series D Units 0.850 0.280 investing in the Fund were made during the period. ** Series I Units Currency risk * Negotiated and paid by each Series I investor directly to the Manager. The Fund’s exposure to currency risk is summarized in the tables below. Amounts shown are based on the The outstanding accrued management fees due to the carrying value of monetary and non-monetary assets Manager are included in “Accrued expenses” in the (including derivatives and the underlying principal Statement of Financial Position and as at March 31, (notional) amount of forward currency contracts, if 2020 amounted to $322 (September 30, 2019 — $33). any). BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 As at Mar. 31, 2020 As at Sep. 30, 2019 Cash and Invest- Cash and Invest- other ments other ments current (monetary & Forward Net Asa% current (monetary & Forward Net Asa% receivables non- currency currency of Net receivables non- currency currency of Net &payables monetary) contracts exposure Assets & payables monetary) contracts exposure Assets Currencies ($) ($) ($) ($) (%) Currencies ($) ($) ($) ($) (%) Argentine Australian Peso 175 1,067 — 1,242 0.5 Dollar 2 — — 2 0.0 Australian Brazilian Real 14 — — 14 0.0 Dollar 2 — — 2 0.0 Euro 855 47,971 (49,177) (351) (0.1) Brazilian Real 9 — — 9 0.0 Hungarian Euro 758 40,170 (41,285) (357) (0.1) Forint 0 — — 0 0.0 Hungarian Mexican Forint 0 — — 0 0.0 Peso 0 2 2,803 2,805 1.0 Indian Rupee — — (17) (17) (0.0) New Zealand Mexican Dollar 0 — — 0 0.0 Peso 0 1 (52) (51) (0.0) Peruvian New Zealand Nuevo Sol 298 6,013 (2,254) 4,057 1.4 Dollar 0 — — 0 0.0 Polish Zloty 2 — — 2 0.0 Peruvian Pound Nuevo Sol 271 1,325 (1,618) (22) (0.0) Sterling 736 32,961 (33,756) (59) (0.0) Polish Zloty 2 — — 2 0.0 Russian Pound Ruble — — 4,255 4,255 1.5 Sterling 729 26,208 (27,786) (849) (0.3) Singapore Russian Dollar 9 — — 9 0.0 Ruble — — (216) (216) (0.1) South African Singapore Rand 0 — — 0 0.0 Dollar 9 — — 9 0.0 Swedish South African Krona 0 — — 0 0.0 Rand 0 — — 0 0.0 Turkish Lira 0 — 1,508 1,508 0.5 Swedish U.S. Dollar (4,432) 176,904 (176,297) (3,825) (1.3) Krona 0 — — 0 0.0 Total (2,293) 264,252 (252,918) 9,041 3.2 Turkish Lira 0 — 93 93 0.0 U.S. Dollar (1,490) 149,874 (150,124) (1,740) (0.7) As at March 31, 2020 and September 30, 2019, if the Canadian dollar had strengthened or weakened by 5% Total 465 218,645 (221,005) (1,895) (0.7) in relation to all foreign currencies, with all variables held constant, the Net Assets of the Fund could possibly As at Sep. 30, 2019 have decreased or increased, respectively, by Cash and Invest- approximately $95 (September 30, 2019 — $452). In other ments practice, actual results may differ from this sensitivity current (monetary & Forward Net Asa% analysis and the difference could be material. receivables non- currency currency of Net &payables monetary) contracts exposure Assets Interest rate risk Currencies ($) ($) ($) ($) (%) The Fund’s exposure to interest rate risk by remaining term to maturity is summarized in the following table: Argentine Peso 223 401 — 624 0.2 BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Interest Rate Interest Rate Securities lending Exposure as at Exposure as at The Fund had assets involved in securities lending Number of years Mar. 31, 2020 Sep. 30, 2019 transactions outstanding as at March 31, 2020 and September 30, 2019 as follows: Less than one year 64,383 30,800 One to three years 33,629 44,326 Aggregate Value of Aggregate Value of Collateral Three to five years 40,392 41,072 Securities on Loan Received for the Loan Five to ten years 58,588 80,030 ($) ($) Greater than ten years 73,568 85,386 Mar. 31, 2020 399 435 Total 270,560 281,614 Sep. 30, 2019 17,892 19,191 As at March 31, 2020 and September 30, 2019, if the The table below is a reconciliation of the gross amount prevailing interest rates had been raised or lowered by generated from securities lending transactions to the 1%, assuming a parallel shift in the yield curve, with all security lending revenue for the periods ended other variables held constant, the Net Assets of the March 31, 2020 and March 31, 2019: Fund could possibly have decreased or increased, respectively, by approximately $6,258 (September 30, For the periods ended Mar. 31, 2020 Mar. 31, 2019 2019 — $8,235). The Fund’s interest rate sensitivity was % of Gross % of Gross determined based on portfolio weighted duration. In Securities Securities practice, actual results may differ from this sensitivity Lending Lending analysis and the difference could be material. Amount Revenue Amount Revenue Other market risk Gross securities lending As at March 31, 2020 and September 30, 2019, the Fund revenue 5 100.0 9 100.0 was not significantly exposed to other market risk as it Withholding taxes — — 2 19.7 was invested fully in fixed income securities. 5 100.0 7 80.3 Credit risk Payment to securities The Fund’s exposure to credit risk, grouped by credit lending agents 1 25.0 2 22.3 ratings, is summarized in the following table: Net securities lending revenue* 4 75.0 5 58.0 As a % of Net Assets as at Mar. 31, Sep. 30, *Amount shown on the Statement of Comprehensive Income is gross of withholding taxes of $nil (March 31, 2019 — $2). Credit Rating 2020 2019 R-1 High 21.0 — Concentration risk R-1 Low — 8.1 The Fund's concentration risk is summarized in the AAA 9.5 8.4 following table: AA 0.9 1.7 A2.74.8 Mar. 31, Sep. 30, BBB 15.7 20.5 As at 2020 2019 BB 10.5 17.0 Money Market Investments B 24.0 26.8 Federal 21.0% 8.1% Below B 9.6 8.9 Unrated 9.0 2.4 Bonds & Debentures Argentina 1.6% 1.7% Total 102.9 98.6 Australia 0.0% 0.0% Barbados 0.1% —% Bermuda —% 0.0% Brazil 0.7% 1.5% BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Mar. 31, Sep. 30, Mar. 31, Sep. 30, As at 2020 2019 As at 2020 2019 Canada 0.9% 0.9% Equities Cayman Islands 0.8% 0.1% Mexico 0.0% 0.0% Chile 0.4% 0.2% United States 0.2% 0.4% China 0.5% 0.5% Derivatives Denmark 0.4% —% Credit Default Swaps (0.7)% 0.1% Dominican Republic 0.7% 0.7% Interest Rate Swaps 0.5% 1.2% Ecuador 0.1% 0.2% Purchased Put Option Contracts 0.0% —% Egypt 1.7% 1.5% France 1.3% 1.3% Other Assets Less Liabilities (2.7)% 1.3% Germany 1.3% 2.0% 100.0% 100.0% Ghana 1.2% 1.0% Hong Kong 0.2% 0.1% (g) Fair value hierarchy Indonesia —% 0.3% The Fund classifies its financial instruments into three Ireland 1.3% 1.2% levels based on the inputs used to value the financial instruments. Level 1 securities are valued based on Israel 0.6% 0.8% quoted prices in active markets for identical securities. Italy 0.7% 0.7% Level 2 securities are valued based on significant Jersey 0.3% —% observable market inputs, such as quoted prices from Kenya 0.7% 0.7% similar securities and quoted prices in inactive markets Luxembourg 3.3% 3.6% or based on observable inputs to models. Level 3 Macau 0.4% 0.4% securities are valued based on significant unobservable Mexico 1.8% 3.9% inputs that reflect the Manager's determination of Netherlands 4.0% 5.1% assumptions that market participants might reasonably Norway 0.3% —% use in valuing the securities. The tables below show the relevant disclosure. Oman 0.8% 0.9% Panama 0.1% 0.1% As at Mar. 31, 2020 Paraguay 0.6% 0.5% Financial assets Level 1 Level 2 Level 3 Total Peru 0.5% 2.1% Debt Securities 93,551 177,009 — 270,560 Qatar —% 0.9% Equity Securities 246 336 — 582 Romania 0.5% 0.3% Derivatives 38 10,413 — 10,451 Russia 1.7% 3.6% South Africa —% 1.4% Total 93,835 187,758 — 281,593 Spain 0.1% 0.0% Financial liabilities Sweden —% 0.0% Derivatives — (25,960) — (25,960) Switzerland 0.6% 0.6% Turkey 1.1% 3.9% Ukraine 2.2% 3.1% United Arab Emirates 0.7% 1.0% United Kingdom 13.5% 15.6% United States 33.2% 25.8% Venezuela 0.2% 0.2% Virgin Islands, British 0.6% 0.5% BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 As at Sep. 30, 2019 As at Mar. 31, 2020 Assets Liabilities Financial assets Level 1 Level 2 Level 3 Total Gross Amounts of Recognized Financial Debt Securities 111,953 169,661 — 281,614 Assets (Liabilities) 10,451 (25,960) Equity Securities 587 651 — 1,238 Amounts Set-off in the Statement of Derivatives — 8,283 — 8,283 Financial Position (133) 133 Total 112,540 178,595 — 291,135 Net Amounts Presented in the Statement of Financial Position 10,318 (25,827) Financial liabilities Related Amounts not Set-off in the Derivatives — (3,388) — (3,388) Statement of Financial Position Financial Instrument (770) 770 Transfers between levels Cash Collateral Received (Pledged) — — Transfers are made between the various fair value Net Amount 9,548 (25,057) hierarchy levels due to changes in the availability of quoted market prices or observable inputs due to As at Sep. 30, 2019 Assets Liabilities changing market conditions. Gross Amounts of Recognized Financial During the period from October 1, 2019 to March 31, Assets (Liabilities) 8,283 (3,388) 2020, $14,884 of debt securities were transferred from Amounts Set-off in the Statement of Level 2 to Level 1 due to increased availability of Financial Position (60) 60 quoted prices in the active market, and $1,016 of debt securities were transferred from Level 1 to Level 2 due Net Amounts Presented in the Statement of to reduced observability of the inputs used to value Financial Position 8,223 (3,328) these securities. Related Amounts not Set-off in the During the period from October 1, 2018 to Statement of Financial Position September 30, 2019, $2,878 of debt securities were Financial Instrument (1,014) 1,014 transferred from Level 2 to Level 1 due to increased Cash Collateral Received (Pledged) — — availability of quoted prices in the active market, and Net Amount 7,209 (2,314) $4,470 of debt securities were transferred from Level 1 to Level 2 due to reduced observability of the inputs (i) Collateral pledged used to value these securities. The Fund is required to maintain collateral with a (h) Offsetting financial assets and financial liabilities major Canadian financial institution in respect of The following tables present the amounts that have derivative transactions. This collateral is based on the been offset in the Statement of Financial Position. fair value of open derivative positions. As at March 31, Amounts offset in the Statement of Financial Position 2020, $2,148 (September 30, 2019 — $6,224) of include transactions for which the Fund has a legally collateral comprised of treasury bills was maintained. enforceable right to offset and intends to settle the (j) Unconsolidated structured entities positions on a net basis. Information on the carrying amount and the size of the investments in structured entities are shown in the following table:

Carrying amount Mar. 31, Sep. 30, As at 2020 2019 Adams Mill CLO Ltd.,Series 2014-1A, Class A1R, Collateral Loan Obligation, Floating Rate, Jul 15, 2026 1,828 — BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Carrying amount Carrying amount Mar. 31, Sep. 30, Mar. 31, Sep. 30, As at 2020 2019 As at 2020 2019 Adjustable Rate Mortgage Trust,Series 2007-3, Eurosail Plc,Series 2007-5X, Class A1A, Class 2A1, Floating Rate, Nov 25, 2037 472 527 Residential Mortgage-Backed Securities, Aircraft Certificate Backed Notes, Series 2003-A, Floating Rate, Sep 13, 2045 1,736 1,966 Class E, Asset Backed, 7.001% Sep 20, 2022 104 95 Fannie Mae, TBA 30 YR, Single Family Mortagage, Alba plc,Series 2005-1, Class A3, 2.500% Jun 1, 2050 8,714 — Mortgage-Backed Securities, Floating Rate, Finsbury Square 2020-1 PLC, Series 20-1A, Nov 25, 2042 2,872 2,951 Class A, Mortgage-Backed,1.510%Mar 16, 2070 843 — Argent Securities Inc.,Series 2006-M1, Class A2C, Gallatin Funding Ltd.,Series 2018-1A, Class A, Asset-Backed Securities, Floating Rate, Jul 25, Collateral Loan Obligation, Floating Rate, 2036 619 695 Jan 21, 2028 820 — Bear Stearns Alt-A Trust,Series 2006-5, Class 1A1, GE Commercial Mortgage Corporation Trust, Collateral Mortgage Obligation, Floating Rate, Series 2007-C1, Class AMFX, 5.540% Dec 10, Aug 25, 2036 278 305 2049 323 463 Cairn CLO B.V.,Series 2016-6X, Class AR, Collateral GSAMP Trust,Series 04-OPT, Class M1, Floating Loan Obligation, Floating Rate, Jul 25, 2029 417 404 Rate, Nov 25, 2034 171 186 Centex Home Equity Loan Trust,Series 2004-D, GSAMP Trust,Series 07-HE1, Class A2C, Floating Class MV1, Floating Rate, Sep 25, 2034 392 446 Rate, Mar 25, 2047 449 499 Countrywide Asset-Backed GSR Mortgage Loan Trust,Series 2005-AR3, Certificates,Series 2005-21, Class A3, Floating Class 6A1, Mortgage-Backed, Floating Rate, Rate, Jun 25, 2035 542 623 May 25, 2035 720 862 Countrywide Asset-Backed GSR Mortgage Loan Trust,Series 2005-AR7, Certificates,Series 2006-23, Class A1, Floating Class 6A1, Collateral Mortgage Obligation, Rate, May 25, 2037 641 721 Floating Rate, Nov 25, 2035 442 570 Countrywide Home Loans Trust, Series 2006-19, GSR Mortgage Loan Trust,Series 2005-AR7, Class 1A7, Mortgage-Backed, 6.000% Jan 25, Class 2A1, Collateral Mortgage Obligation, 2037 681 767 Floating Rate, Nov 25, 2035 17 22 Countrywide Home Loans Harley Marine Financing LLC, Series 2018-1A, Trust,Series 2007-HYB2, Class 3A1, Class A2, Asset-Backed Security, 5.682% Mortgage-Backed, Floating Rate, Feb 25, 2047 88 106 May 15, 2043 936 892 CS First Boston Mortgage Securities Corp., Harvest CLO XIV DAC, 0.630% Nov 18, 2029 492 361 Series 2005-12, Class 8A1, 6.000% Jan 25, HSI Asset Securitization Corporation 2036 114 132 Trust,Series 2007-NC1, Class A3, Floating Rate, ECMC Group Student Loan Trust,Series 2017-2A, Apr 25, 2037 431 441 Class A, Floating Rate, May 25, 2067 1,818 1,861 Indymac IMSC Mortgage Loan Emerald Bay S.A.,Series 4F, Class F, Pass-Through Trust,Series 2007-HOA1, Class A11, Floating Certificates, Secured, 0.010% Oct 8, 2020 2,255 — Rate, Jul 25, 2047 289 349 EMF-NL BV,Series 2008-APRX, Class A2, Collateral Indymac INDX Mortgage Loan Mortgage Obligation, Floating Rate, Apr 17, Trust,Series 2005-AR23, Class 2A1, Floating 2041 668 664 Rate, Nov 25, 2035 653 760 BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 Carrying amount Carrying amount Mar. 31, Sep. 30, Mar. 31, Sep. 30, As at 2020 2019 As at 2020 2019 Iowa Tobacco Settlement Authority, Series 2005 Uropa Securities plc,Series 2008-1, Class M1, A, Tobacco Settlement, Asset-Backed, Sinking Mortgage-Backed Securities, Floating Rate, Funds, Callable, 6.500% Jun 1, 2023 1,294 — Jun 10, 2059 518 552 JP Morgan Chace Commercial Mortgage Security, Uropa Securities plc,Series 2008-1, Class M2, Series 2005-CB13, Class AJ, Collateral Strip Mortgage-Backed Securities, Floating Rate, Interest, Floating Rate Jan 12, 2043 — 207 Jun 10, 2059 387 431 JP Morgan Mortgage Trust,Series 2007-A4, Uropa Securities plc,Series 2008-1, Class B, Class 3A1, Collateral Mortgage Obligation, Mortgage-Backed Securities, Floating Rate, Floating Rate, Jun 25, 2037 140 175 Jun 10, 2059 404 453 Latam Airlines 2015-1 Pass Through Trust A, VCL Multi-Compartment S.A., Series 28, Class A, Senior, Secured, 4.200% Aug 15, 2029 172 — Asset-Backed Securities, Floating Rate Jan 21, Morgan Stanley,Series 2007-HE1, Class A2C, 2025 — 118 Mortgage Pass-Through Certificates, Floating Wachovia Bank Commercial Mortgage Rate, Nov 25, 2036 889 1,083 Trust,Series 2007-C33, Class AJ, Collateral Strip North Westerly CLO B.V., Series IV-X, Class A2R, Interest, Floating Rate, Feb 15, 2051 299 307 Collateral Loan Obligation, Floating Rate Jan 15, WaMu Mortgage Pass-Through 2026 — 4,053 Certificates,Series 2006-AR9, Class 1A, RBS Greenwich Capital Mortgage Loan Collateral Mortgage Obligation, Floating Rate, Trust,Series 2008-A, Class A1, RBSGC Mortgage Aug 25, 2046 175 203 Pass-Through Certificates, Floating Rate, Total 45,472 37,532 Nov 25, 2035 862 964 The carrying value of mortgage related and other Residential Funding Mortgage Securities I, asset-backed securities are included in “Investments – Inc.,Series 2005-SA2, Class 4A, Mortgage Non-derivative financial assets” in the Statement of Pass-Through Certificates, Floating Rate, Jun 25, Financial Position. This amount also represents the 2035 187 205 maximum exposure to losses at that date. SG Mortgage Securities Trust,Series 2006-FRE2, The change in fair value of mortgage related and other Class A2C, Floating Rate, Jul 25, 2036 201 216 asset-backed securities are included in the Statement of Slate No.1 PLC, Series 1, Class C, Floating Rate Comprehensive Income in “Change in unrealized Jan 24, 2051 — 3,267 appreciation (depreciation)”. St Paul's CLO VI DAC,Series 6A, Class A1R, Collateral Loan Obligation, Floating Rate, 9. Subsequent event Aug 20, 2030 3,854 3,756 The current spread of the novel coronavirus Towd Point Mortgage Funding 2016-Vantage1 (COVID-19) has caused a global pandemic and the PLC,1.961%Feb 20, 2054 — 1,575 unprecedented responses taken by many governments, including closing borders, restricting international and Tobacco Settlement Finance Authority, West domestic travel, and the imposition of prolonged social Virginia, Series 2007A, Taxable Tobacco distancing or similar restrictions, as well as the forced Settlement, Asset-Backed Bonds, 7.467% or voluntary closure of, or operational changes to many Jun 1, 2047 3,096 — retail and other businesses, has resulted in Uropa Securities plc,Series 2008-1, Class A, fundamental changes in the business world with Mortgage-Backed Securities, Floating Rate, significant impacts on operations and world markets. Jun 10, 2059 2,169 2,299 The impacts on operations includes changes in work environments, inherent controls risk and cyber-risks; BMO Global Strategic Bond Fund (unaudited)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) March 31, 2020 while the main impacts on investments includes increase in market risks, market volatility and liquidity risk, with its impacts on valuations. Management has implemented and will continue to review the situation with a view to implementing, additional controls and procedures to adequately address the risks and reduce the impacts of the COVID-19 on the Fund, to the extent possible. BMO Investments 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 www.bmo.com/mutualfunds and www.bmo.com/gam/ca

If you have any questions, please give us a call as follows: • If you purchased BMO Mutual Funds through a BMO Bank of Montreal branch or BMO Online Banking, please call 1-800-665-7700. • If you purchased BMO Mutual Funds through a full-service or discount broker, please call 1-800-668-7327 or email [email protected].

®/™ Registered trade-marks/trade-mark of Bank of Montreal, used under licence. BMO Mutual Funds are offered by BMO Investments Inc., a firm and separate legal entity from Bank of Montreal.