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BMO Covered Call High Dividend ETF Fund (the “Fund”) For the 12-month period ended September 30, 2020 (the “Period”) Manager: BMO Investments Inc. (the “Manager” or “BMOII”) Portfolio manager: BMO Asset Management Inc., Toronto, (the “portfolio manager”)

2020 Annual Management Report of Fund Performance

This annual management report of fund performance contains financial highlights but does not contain the complete annual financial statements of the Fund. If the annual financial statements of the Fund do not accompany the mailing of this report, you may obtain a copy of the annual financial statements at your request, and at no cost, by calling 1-800-665-7700 and 1-800-668-7327, by writing to us at BMO Investments Inc., First Canadian Place, 100 King Street West, 43rd Floor, Toronto, Ontario, M5X 1A1 or by visiting our website at www.bmo.com/mutualfunds and www.bmo.com/gam/ca or SEDAR at www.sedar.com. You may also contact us using one of these methods to request a copy of the Fund’s interim financial report, proxy voting policies and procedures, proxy voting disclosure record and/or quarterly portfolio disclosure.

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

Investment Objective and Strategies Results of Operations The Fund’s objective is to provide a return that is similar to During the Period, the Fund’s total asset value changed the return of one or more exchange traded funds that invest from approximately $30 million to approximately primarily in dividend paying Canadian equities while $33 million. Series A units of the Fund returned -14.53%. mitigating downside risk. The Fund invests primarily, Please see the Past Performance section for information on directly or indirectly, in dividend paying Canadian equities the performance returns of the Fund’s other series. by investing all or a portion of its assets in one or more During the Period, Canadian stocks rallied at the end of exchange traded funds, by investing directly in the underlying 2019. However, as COVID-19 spread in early 2020, concern securities held by the exchange traded funds and/or by about an economic recession weighed on expectations for using derivatives to provide the Fund with a return business and consumer spending. Stock markets sold off determined by reference to the exchange traded funds. significantly in response. After reaching their bottom in The portfolio manager invests up to 100% of the Fund’s March 2020, Canadian stocks were supported by assets in securities of BMO Canadian High Dividend unprecedented support of monetary and fiscal policy from Covered Call ETF, which will primarily invest in and hold the federal government and the Bank of Canada. During dividend paying equity securities of Canadian companies. the second quarter and part of the third quarter of 2020, a In addition, depending on market volatility and other gradual loosening of pandemic-related restrictions also factors, BMO Canadian High Dividend Covered Call ETF began to bring economic activity back to businesses that will write covered call options on these securities. had been temporarily shut down, helping to create jobs and improve consumer sentiment. Information Technology Risk stocks led the S&P/TSX Composite Index (“S&P/TSX”) in The risks associated with an investment in the Fund remain response to the increasing role of e-commerce. Conversely, as disclosed in the Fund’s most recent simplified the Health Care, Energy, Financials and Real Estate sectors prospectus or any amendments thereto and fund facts. underperformed. Canadian equities, as represented by the During the Period there were no changes to the Fund that S&P/TSX, were little changed over the Period. materially affected the overall risk level associated with an investment in the Fund. On May 22, 2020, the Manager The Fund’s underperformance was mainly driven by stock reviewed the Fund using the standardized investment risk selection, notably not having a position in Inc., classification methodology prescribed by National Trillium Therapeutics Inc. and certain gold stocks that Instrument 81-102 Investment Funds and determined that rallied during the Period and drove the S&P/TSX’s the risk rating of the Fund had not changed. The Manager performance. reviews the Fund’s investment risk level and reference index, if any, at least annually. BMO Covered Call Canada High Dividend ETF Fund

Holdings in the Energy and Financials sectors also RELATED PARTY TRANSACTIONS detracted from the Fund’s performance. The Energy sector BMO Investments Inc., an indirect, wholly-owned subsidiary has been mired by over-supply management and low of (“BMO”), is the Manager of the Fund. demand issues that have capped the potential for positive From time to time, the Manager may, on behalf of the Fund, returns. As such, the sector did not perform well during the enter into transactions or arrangements with or involving Period, although recently there have been some positive other members of BMO Financial Group, or certain other factors for the sector, including oil and gas strikes in persons or companies that are related or connected to the Norway. The Financials sector, as part of value factors Manager (each a “Related Party”). The purpose of this investing, had relatively weak performance over the Period section is to provide a brief description of any transaction as the result of the low interest rate environment and loan involving the Fund and a Related Party. losses accumulated by companies in the sector. Portfolio Manager On an individual securities basis, the main detractors The Fund’s portfolio manager is BMO Asset Management Inc. from the Fund’s performance were TC Energy Corp., (“BMOAM”), an affiliate of the Manager. BMOAM provides Inc. and Inc. Individual portfolio management services to the Fund. BMOAM receives contributors to the Fund’s performance included Great- from the Manager a management fee based on assets under West Lifeco Inc., Inc. and management, calculated daily and payable monthly. Financial Corp. Operating Expenses New positions added to the Fund during the Period were The Fund pays all of its operating expenses directly. These Hydro One Ltd. and Brookfield Infrastructure Partners L.P. operating expenses include administration expenses and Also during the Period, the portfolio manager decreased the fund expenses. These operating expenses are allocated Fund’s existing positions in Inc., Vermilion proportionately among the relevant series. Operating Energy Inc. and Ltd. expenses that are specific to a series are allocated to that series. Operating expenses, include expenses incurred in The Manager confirms that the Fund did not borrow money respect of preparing and distributing fund facts, interest or during the Period. other borrowing expenses, all reasonable costs and expenses For information on the Fund’s performance and composition, incurred in relation to compliance with National please refer to the Past Performance section and Summary of Instrument 81-107 Independent Review Committee for Investment Portfolio section of this report. Investment Funds, including compensation and expenses payable to the Fund’s independent review committee (“IRC”) Recent Developments members, taxes to which the Fund is or might be subject, and The Canadian economy has long been tied to the U.S. costs associated with compliance with any new economy, and the fate of both economies has never been governmental or regulatory requirement introduced after much more intertwined than since the COVID-19 pandemic. December 1, 2007. The Manager may, at their discretion, Canada has better managed the fallouts of COVID-19 with absorb all or a portion of the operating expenses at any limited contaminations, a lower death toll rate. In addition, given time. Separate fees and expenses are negotiated and the country has a federal government that actively supports paid directly by each Series I investor. Further details about the economy and has pledged to continue doing so with the Fund’s operating expenses can be found in the Fund’s additional stimulus measures. Nonetheless, what happens in most recent simplified prospectus at the U.S. still has a significant impact on the Canadian economy www.bmo.com/mutualfunds and www.bmo.com/gam/ca and will determine how Canada fares in the coming quarters. or www.sedar.com. The portfolio manager sees multiple source of risks in the U.S., including from the continued challenges managing the pandemic, the latest breakdown in negotiations for additional COVID-19 relief and the presidential election, all of which may introduce heightened volatility going into year-end. The portfolio manager also believes that volatility will remain elevated through to December 2020. This environment may benefit the Fund to some extent as it allows the Fund’s covered calls overlay to extract higher option premiums. BMO Covered Call Canada High Dividend ETF Fund

Buying and Selling Securities Brokerage Commissions During the Period, the Fund relied on standing instructions The Fund pays standard brokerage commissions at market provided by the IRC for any of the following related party rates to BMO Nesbitt Burns Inc., an affiliate of the Manager, transactions that may have occurred in the Fund: for executing a portion of its trades. The brokerage commissions charged to the Fund (excluding exchange and (a) investments in securities issued by BMO, an affiliate of other fees) during the periods indicated, were as follows: the Manager, or any other issuer related to the Manager; Period ended Period ended (b) investments in a class of non-government debt securities Sep. 30, 2020 Sep. 30, 2019 $000 $000 and/or equity securities of an issuer during the period of distribution of those securities to the public and/or the Total brokerage commissions 14 14 60-day period following the distribution period where Brokerage commissions paid BMO Nesbitt Burns Inc., an affiliate of the Manager, or to BMO Nesbitt Burns Inc. 6 4 any other affiliate of the Manager acted as an underwriter in the distribution; Distribution Services The Manager markets and distributes the Fund through (c) trades in debt securities in the secondary market with BMO branches and/or (depending on the series) through BMO Nesbitt Burns Inc., or any other affiliate of the registered dealers and brokers, including BMO InvestorLine Manager, that is trading with the Fund as principal; and Inc. and BMO Nesbitt Burns Inc., both affiliates of the (d) inter-fund trades Manager. The Manager pays to these affiliates a service fee called a “trailing commission” based on the average daily (each, a “Related Party Transaction”). value of the units and/or shares that are held in investor In accordance with the IRC’s standing instructions, in accounts. This service fee is paid monthly or quarterly and making a decision to cause the Fund to make a Related varies by purchase option and by series. Party Transaction, the Manager and the portfolio manager of the Fund are required to comply with the Manager’s FINANCIAL HIGHLIGHTS written policies and procedures governing the Related Party The following tables show selected key financial information Transaction and report periodically to the IRC, describing about the Fund and are intended to help you understand each instance that the Manager relied on the standing the Fund’s financial performance for the periods indicated. instructions and its compliance or non-compliance with the (1) governing policies and procedures. The governing policies The Fund’s Net Assets per Unit and procedures are designed to ensure that each Related Series A Units Periods ended Sep. 30 (5) Party Transaction (i) is made from any influence of 2020 2019 2018) BMO, BMO Nesbitt Burns Inc. or an associate or affiliate Net assets, beginning of period $ 9.83 9.76 10.00)* of BMO and/or BMO Nesbitt Burns Inc. and without taking Increase (decrease) into account any considerations relevant to BMO, from operations: Total revenue $ 0.45 0.69 0.35 BMO Nesbitt Burns Inc. or an associate or affiliate of BMO Total expenses (2) $ -0.10 -0.10 -0.07 and/or BMO Nesbitt Burns Inc., (ii) represents the business Realized gains (losses) judgment of the Manager, uninfluenced by considerations for the period $ -0.38 -0.01 — other than the best interests of the Fund, and (iii) achieves a Unrealized gains (losses) for the period $ -1.45 0.13 -0.88 fair and reasonable result for the Fund. Total increase (decrease) from operations (3) $ -1.48 0.71 -0.60 Distributions: From income (excluding dividends) $ — — — From dividends $ 0.24 0.31 0.09 From capital gains $ — 0.01 — Return of capital $ 0.33 0.22 — Total Annual Distributions (4) $ 0.57 0.54 0.09 Net assets, end of period $ 7.85 9.83 9.76 BMO Covered Call Canada High Dividend ETF Fund

Advisor Series Units Series D Units Periods ended Sep. 30 Periods ended Sep. 30 (5) (5) 2020 2019 2018) 2020 2019 2018)

Net assets, beginning of period $ 9.73 9.69 10.00)* Net assets, beginning of period $ 9.78 9.70 10.00)* Increase (decrease) Increase (decrease) from operations: from operations: Total revenue $ 0.45 0.69 0.30 Total revenue $ 0.46 0.71 0.30 Total expenses (2) $ -0.09 -0.10 -0.06 Total expenses (2) $ -0.02 -0.01 -0.03 Realized gains (losses) Realized gains (losses) for the period $ -0.37 -0.01 — for the period $ -0.38 — — Unrealized gains (losses) Unrealized gains (losses) for the period $ -1.51 0.12 -0.60 for the period $ -0.70 0.17 -0.68 Total increase (decrease) Total increase (decrease) from operations (3) $ -1.52 0.70 -0.36 from operations (3) $ -0.64 0.87 -0.41 Distributions: Distributions: From income From income (excluding dividends) $ — — — (excluding dividends) $ — — — From dividends $ 0.24 0.30 0.18 From dividends $ 0.34 0.38 0.20 From capital gains $ — 0.01 — From capital gains $ — 0.01 — Return of capital $ 0.34 0.23 — Return of capital $ 0.28 0.21 — Total Annual Distributions (4) $ 0.58 0.54 0.18 Total Annual Distributions (4) $ 0.62 0.60 0.20 Net assets, end of period $ 7.76 9.73 9.69 Net assets, end of period $ 7.83 9.78 9.70

Series F Units Series I Units Periods ended Sep. 30 Periods ended Sep. 30 (5) (5) 2020 2019 2018) 2020 2019 2018)

Net assets, beginning of period $ 9.71 9.68 10.00)* Net assets, beginning of period $ 9.73 9.69 10.00)* Increase (decrease) Increase (decrease) from operations: from operations: Total revenue $ 0.44 0.69 0.34 Total revenue $ 0.43 0.63 0.25 Total expenses (2) $ -0.01 -0.01 -0.02 Total expenses (2) $ 0.04 -0.02 -0.01 Realized gains (losses) Realized gains (losses) for the period $ -0.38 -0.01 — for the period $ -0.37 -0.01 — Unrealized gains (losses) Unrealized gains (losses) for the period $ -1.55 0.24 -0.70 for the period $ -1.34 0.04 -0.33 Total increase (decrease) Total increase (decrease) from operations (3) $ -1.50 0.91 -0.38 from operations (3) $ -1.24 0.64 -0.09 Distributions: Distributions: From income From income (excluding dividends) $ 0.00 — — (excluding dividends) $ 0.03 — — From dividends $ 0.34 0.36 0.22 From dividends $ 0.32 0.37 0.22 From capital gains $ — 0.01 — From capital gains $ — 0.01 — Return of capital $ 0.33 0.29 — Return of capital $ 0.31 0.29 — Total Annual Distributions (4) $ 0.67 0.66 0.22 Total Annual Distributions (4) $ 0.66 0.67 0.22 Net assets, end of period $ 7.73 9.71 9.68 Net assets, end of period $ 7.80 9.73 9.69

* Initial net assets. (1) This information is derived from the Fund’s audited financial statements. (2) Includes commissions and other portfolio transaction costs and withholding taxes. (3) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The increase/decrease from operations is based on the weighted average number of units outstanding over the financial period. This table is not intended to be a reconciliation of beginning to ending net assets per unit. (4) Distributions were either paid in cash or reinvested in additional units of the Fund, or both. The allocation of the distributions from each of income, dividends, capital gains and return of capital is based on the Manager’s estimate as at September 30 of the period shown, as applicable, which is the Fund’s financial year-end. However, the actual allocation of distributions is determined as at December 15, the Fund’s tax year-end. Accordingly, the actual allocation among income, dividends, capital gains and return of capital may differ from these estimates. (5) The information shown in this column is for the period beginning May 4, 2018 (the series’ inception date) and ending September 30, 2018. BMO Covered Call Canada High Dividend ETF Fund

Ratios and Supplemental Data Series I Units Periods ended Sep. 30 (5) Series A Units 2020 2019 2018)

Periods ended Sep. 30 (1) (5) Total net asset value (000’s) $ 0 0 0 2020 2019 2018) Number of units (1) Total net asset value (000’s) $ 9,058 9,339 2,022 outstanding (000’s) (1) 0 0 0 Number of units Management expense ratio + % — — — (1) outstanding (000’s) 1,154 950 207 Management expense ratio (2) Management expense ratio % 1.75 1.67 1.72 before waivers or absorptions + % — — — Management expense ratio Trading expense ratio (3) % 0.33 0.42 0.45

before waivers or absorptions % 1.83 1.69 2.46 Portfolio turnover rate (4) % 18.38 6.04 — (3) Trading expense ratio % 0.33 0.42 0.45 Net asset value per unit $ 7.80 9.73 9.69 Portfolio turnover rate (4) % 18.38 6.04 — Net asset value per unit $ 7.85 9.83 9.76 + Operating expenses are paid by BMOII and management fees are paid directly to BMOII as negotiated with the investor. (1) This information is provided as at September 30 of the period shown. Advisor Series Units (2) Periods ended Sep. 30 Management expense ratio is based on total expenses (excluding commissions and other portfolio (5) transaction costs) for the stated period and is expressed as an annualized percentage of daily average net 2020 2019 2018) asset value during the period. Total net asset value (000’s) (1) $ 8,467 7,717 1,568 (3) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as an Number of units annualized percentage of daily average net asset value during the period. (4) outstanding (000’s) (1) 1,092 793 162 The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio manager manages its portfolio (2) investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the Management expense ratio % 1.75 1.68 1.72 securities in its portfolio once in the course of the year. The higher a fund’s portfolio turnover rate in a year, Management expense ratio the greater the trading costs payable by the fund in the year, and the greater the chance of an investor before waivers or absorptions % 1.79 1.68 2.60 receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover (3) rate and the performance of a fund. For the financial period-ended September 30, 2018, no sales of portfolio Trading expense ratio % 0.33 0.42 0.45 securities were made by the Fund. As a result, the portfolio turnover rate for this period was nil. Portfolio turnover rate (4) % 18.38 6.04 — (5) The information shown in this column is for the period beginning May 4, 2018 (the series’ inception date) Net asset value per unit $ 7.76 9.73 9.69 and ending September 30, 2018.

Series F Units Management Fees Periods ended Sep. 30 (5) 2020 2019 2018) The Manager is responsible for the day-to-day management Total net asset value (000’s) (1) $ 14,877 12,441 1,682 of the business and operations of the Fund. The Manager Number of units monitors and evaluates the Fund’s performance, pays for the (1) outstanding (000’s) 1,924 1,282 174 investment advice provided by the Fund’s portfolio manager Management expense ratio (2) % 0.73 0.73 0.73 Management expense ratio and provides certain administrative services required by the before waivers or absorptions % 0.87 0.77 1.29 Fund. As compensation for its services, the Manager is entitled (3) Trading expense ratio % 0.33 0.42 0.45 to receive a management fee payable monthly, calculated Portfolio turnover rate (4) % 18.38 6.04 — Net asset value per unit $ 7.73 9.71 9.68 based on the daily net asset value of each series of the Fund at the annual rate set out in the table below. Series D Units Periods ended Sep. 30 (5) As a Percentage 2020 2019 2018) of Management Fees Total net asset value (000’s) (1) $ 163 80 4 General Number of units Annual Administration, (1) outstanding (000’s) 21 8 0 Management Dealer Investment Management expense ratio (2) % 0.85 0.82 0.83 Fee Rate* Compensation Advice and Profit Management expense ratio % % % before waivers or absorptions % 1.44 2.84 13.35 (3) Series A Units 1.45 68 32 Trading expense ratio % 0.33 0.42 0.45 Advisor Series Units 1.45 63 37 (4) Portfolio turnover rate % 18.38 6.04 — Series F Units 0.55 0 100 Net asset value per unit $ 7.83 9.78 9.70 Series D Units 0.65 33 67 Series I Units — — —

* For Series I Units, separate Series I fees are negotiated and paid directly by each Series I investor. The management fee for Series I Units will not exceed the management fee charged for Advisor Series or Series A Units. BMO Covered Call Canada High Dividend ETF Fund

PAST PERFORMANCE Series F Units The Fund’s performance information assumes that all 20% distributions made by the Fund in the periods shown were 10% 7.47 used to purchase additional securities of the Fund and is based on the net asset value of the Fund. 0% -1.00 The performance information does not take into account -10% sales, redemption, distribution or other optional charges -13.68 -20% that, if applicable, would have reduced returns or performance. Please remember that how the Fund has -30% 2018(1) 2019 2020 performed in the past does not indicate how it will perform in the future. Series D Units

The returns of each series may differ from one another for a 20% number of reasons, including if the series was not issued 10% 7.34 and outstanding for the entire reporting period and because of the different levels of management fees and expenses 0% -1.03 allocated and payable by each series. -10% Year-by-Year Returns -13.77 -20% The following bar charts show the performance of each series of the Fund for each of the financial years shown. -30% 2018(1) 2019 2020 The charts show in percentage terms how an investment made on the first day of each financial year would have Series I Units increased or decreased by the last day of each financial year. 20% Series A Units 10% 7.65 20% 0% 10% 6.43 -0.96 -10% 0% -13.20 -1.37 -20% -10% -14.53 -30% -20% 2018(1) 2019 2020 (1) For the period beginning with the performance launch date of May 14, 2018 to September 30, 2018. -30% 2018(1) 2019 2020

Advisor Series Units

20%

10% 6.41

0% -1.37 -10% -14.55 -20%

-30% 2018(1) 2019 2020 BMO Covered Call Canada High Dividend ETF Fund

Annual Compound Returns This table compares the historical annual compound returns of the Fund with its benchmark, the S&P/TSX Composite Total Return Index (“S&P/TSX”), a broad-based index.

The S&P/TSX is a market capitalization-weighted index of securities of the largest and most liquid companies on the .

Series A Units 1 3 5 10 Since year years years years Inception(1) BMO Covered Call Canada High Dividend ETF Fund % -14.53 -4.44 S&P/TSX % -0.03 3.67

Advisor Series Units 1 3 5 10 Since year years years years Inception(1) BMO Covered Call Canada High Dividend ETF Fund % -14.55 -4.46 S&P/TSX % -0.03 3.67

Series F Units 1 3 5 10 Since year years years years Inception(1) BMO Covered Call Canada High Dividend ETF Fund % -13.68 -3.51 S&P/TSX % -0.03 3.67

Series D Units 1 3 5 10 Since year years years years Inception(1) BMO Covered Call Canada High Dividend ETF Fund % -13.77 -3.61 S&P/TSX % -0.03 3.67

Series I Units 1 3 5 10 Since year years years years Inception(1) BMO Covered Call Canada High Dividend ETF Fund % -13.20 -3.19 S&P/TSX % -0.03 3.67

(1) Return from the performance launch date of May 14, 2018 to September 30, 2020.

A commentary on the market and/or information regarding the relative performance of the Fund as compared to its benchmark can be found under the Results of Operations section of this report. BMO Covered Call Canada High Dividend ETF Fund

SUMMARY OF INVESTMENT PORTFOLIO As at September 30, 2020 % of Net Top 25 Holdings+ % of Net Portfolio Allocation Asset Value Issuer Asset Value Financials 36.29 Short Positions Communication Services 13.81 Metro Inc., Call Option, Oct 16, 2020, $62.00 -0.02 Energy 13.45 Restaurant Brands International Inc., Utilities 11.24 Call Option, Oct 16, 2020, $78.00 -0.02 Consumer Discretionary 8.09 Corporation, Industrials 5.74 Call Option, Nov 20, 2020, $110.00 -0.02 Consumer Staples 5.27 Canadian National Railway Company, Materials 3.71 Call Option, Oct 16, 2020, $145.00 -0.02 Cash/Receivables/Payables 1.56 Algonquin Power & Utilities Corp., Information Technology 1.12 Call Option, Oct 16, 2020, $19.00 -0.02 Call Options -0.28 Brookfield Infrastructure Partners L.P., Total Portfolio Allocation 100.00 Call Option, Nov 20, 2020, $67.00 -0.02 Fortis Inc., Call Option, Nov 20, 2020, $55.00 -0.02 Top 25 Holdings+ % of Net Hydro One Limited, Call Option, Oct 16, 2020, $28.00 -0.02 Issuer Asset Value Magna International Inc., Call Option, Nov 20, 2020, $68.00 -0.01 Enbridge Inc., Call Option, Nov 20, 2020, $43.00 -0.01 Long Positions BCE Inc., Call Option, Nov 20, 2020, $58.00 -0.01 Canadian Imperial Bank of Commerce 4.48 Incorporated, Call Option, Nov 20, 2020, $56.00 -0.01 Manulife Financial Corporation 4.18 Shaw Communications Inc., Call Option, Nov 20, 2020, $26.00 -0.01 BCE Inc. 4.16 Great-West Lifeco Inc., Call Option, Nov 20, 2020, $28.00 -0.01 Bank of Nova Scotia, The 4.11 Toronto-Dominion Bank, The, Call Option, Nov 20, 2020, $66.00 -0.01 Canadian National Railway Company 3.88 Power Corporation of Canada, Call Option, Nov 20, 2020, $28.00 -0.01 Enbridge Inc. 3.88 Corporation, Limited, Shaw Communications, Inc., Class B 3.86 Call Option, Oct 16, 2020, $140.00 -0.01 Bank of Montreal 3.78 Manulife Financial Corporation, Call Option, Oct 16, 2020, $21.00 -0.01 Ltd. 3.71 Manulife Financial Corporation, Call Option, Nov 20, 2020, $21.00 -0.01 Toronto-Dominion Bank, The 3.57 Open Text Corporation, Call Option, Oct 16, 2020, $58.00 -0.01 TC Energy Corporation 3.54 Power Corporation of Canada, Call Option, Nov 20, 2020, $28.50* -0.00 Corporation 3.49 Saputo Inc., Call Option, Nov 20, 2020, $36.00* -0.00 3.45 National Bank of Canada, Call Option, Oct 16, 2020, $70.00* -0.00 Corporation 3.37 TELUS Corporation, Call Option, Oct 16, 2020, $24.50* -0.00 Fortis Inc. 3.37 Emera Incorporated, Call Option, Oct 16, 2020, $56.00* -0.00 Inc. 3.33 Great-West Lifeco Inc. 3.28 Short Positions as a Percentage of Total Net Asset Value -0.28 3.27 Top Holdings as a Percentage of Total Net Asset Value 84.73 Emera Incorporated 3.23 Total Net Asset Value $32,564,865 Power Corporation of Canada 2.82 Canadian Tire Corporation, Limited, Class A 2.82 +The Fund obtains its exposure to equity securities of dividend paying Restaurant Brands International Inc. 2.69 Canadian companies primarily through investment in BMO Canadian High Magna International Inc. 2.58 Dividend Covered Call ETF. The listed holdings represent the Fund’s exposure , Inc., Class B 2.30 as a result of this ETF holding. Thomson Reuters Corporation 1.86 *Holdings of less than 0.005% and greater than -0.005% are rounded to 0.00%. Top Holdings as a Percentage of Total Net Asset Value 85.01 The summary of investment portfolio may change due to the Fund’s ongoing portfolio transactions. Updates are available quarterly. BMO Investments Inc. First Canadian Place, 43rd Floor 100 King Street West Toronto, Ontario M5X 1A1 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].

This document may contain forward-looking statements relating to anticipated future events, results, circumstances, performance or expectations that are not historical facts but instead represent our beliefs regarding future events. By their nature, forward-looking statements require us to make assumptions and are subject to inherent risks and uncertainties. There is significant risk that predictions and other forward-looking statements will not prove to be accurate. We caution readers of this document not to place undue reliance on our forward-looking statements as a number of factors could cause actual future results, conditions, actions or events to differ materially from the targets, expectations, estimates or intentions expressed or implied in the forward-looking statements. Actual results may differ materially from management expectations as projected in such forward-looking statements for a variety of reasons, including but not limited to market and general economic conditions, interest rates, regulatory and statutory developments, the effects of competition in the geographic and business areas in which the Fund may invest in and the risks detailed from time to time in BMO Mutual Funds’ simplified prospectus. We caution that the foregoing list of factors is not exhaustive and that when relying on forward-looking statements to make decisions with respect to investing in the Fund, investors and others should carefully consider these factors, as well as other uncertainties and potential events, and the inherent uncertainty of forward-looking statements. Due to the potential impact of these factors, BMO Investments Inc. does not undertake, and specifically disclaims, any intention or obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, unless required by applicable law.

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