SEMI-ANNUAL FINANCIAL STATEMENTS BMO MSCI Emerging Markets Index ETF (ZEM)

June 30, 2021

BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Assets Income Interest income 0 0 Current Assets Dividend income 28,568 20,181 Cash 3,803 3,879 Distribution from investment trusts 371 666 Investments Other changes in fair value of Non-derivative financial assets 2,294,114 2,291,914 investments and derivatives Receivable for investments sold 1,037 39,599 Net realized gain (loss) 121 (32,905) Subscriptions receivable 1,244 8,285 Change in unrealized appreciation Interest receivable 0 — (depreciation) 82,670 (59,898) Dividends receivable 4,975 1,166 Net gain (loss) in fair value of Total assets 2,305,173 2,344,843 investments and derivatives 111,730 (71,956) Liabilities Securities lending (note 8) 169 60 Current Liabilities Foreign exchange loss (22) (348) Payable for investments purchased 2,261 8,222 Total other income (loss) 147 (288) Distributions payable — 38,546 Total income (loss) 111,877 (72,244) Accrued expenses 1,449 1,185 Total liabilities 3,710 47,953 Expenses Management fees (note 6) 2,770 1,437 Net assets attributable to holders of Independent review committee fees redeemable units 2,301,463 2,296,890 (note 6) 2 1 Withholding taxes 3,534 2,064 Net assets attributable to holders of ETF summary document fees 0 0 redeemable units per unit $ 24.82 $ 23.68 Unitholder reporting costs 1 — Commissions and other portfolio transaction costs (note 6) 320 637 Total expenses 6,627 4,139

Increase (decrease) in net assets attributable to holders of redeemable units 105,250 (76,383) Increase (decrease) in net assets attributable to holders of redeemable units per unit (note 8) 1.09 (0.96)

The accompanying notes are an integral part of these financial statements. BMO MSCI Emerging Markets Index ETF (unaudited)

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

June 30 June 30 For the periods ended 2021 2020 Net assets attributable to holders of redeemable units at beginning of period 2,296,890 1,213,018 Increase (decrease) in net assets attributable to holders of redeemable units 105,250 (76,383) Redeemable unit transactions Proceeds from redeemable units issued 281,398 618,321 Redemption of redeemable units (382,075) (60,150) Net (decrease) increase from redeemable unit transactions (100,677) 558,171 Net increase in net assets attributable to holders of redeemable units 4,573 481,788 Net assets attributable to holders of redeemable units at end of period 2,301,463 1,694,806

The accompanying notes are an integral part of these financial statements. BMO MSCI Emerging Markets Index ETF (unaudited)

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

June 30 June 30 For the periods ended 2021 2020

Cash flows from operating activities Increase (decrease) in net assets attributable to holders of redeemable units 105,250 (76,383) Adjustments for: Foreign exchange loss on cash 14 46 Net realized (gain) loss on sale of investments and derivatives (121) 32,905 Change in unrealized (appreciation) depreciation of investments and derivatives (82,670) 59,898 Increase in interest receivable (0) — Increase in dividends receivable (3,809) (3,699) Increase in accrued expenses 264 291 Return of capital dividends received — 25 Non-cash dividends (81) — Interest paid in-kind (6) — Purchases of investments+ (317,558) (534,457) Proceeds from sale and maturity of + investments 338,942 542,786 Cash outflows on derivatives — (7) Net cash from operating activities 40,225 21,405

Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (38,546) (29,708) Proceeds from issuances of redeemable + units 2,769 4,508 Amounts paid on redemption of + redeemable units (4,510) (652) Net cash used in financing activities (40,287) (25,852)

Foreign exchange loss on cash (14) (46) Net decrease in cash (62) (4,447) Cash at beginning of period 3,879 7,276 Cash at end of period 3,803 2,783

Supplementary Information Interest (paid) received, net of withholding taxes* (6) 0 Dividends received, net of withholding taxes* 21,513 14,497 Distribution received from investment trusts, net of withholding taxes* 189 700

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

The accompanying notes are an integral part of these financial statements. BMO MSCI Emerging Markets Index ETF (unaudited)

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

Fair Fair Par Value Cost Value Number of Cost+ Value (in thousands) ($) ($) Shar es or Units ($) ($)

BONDS & DEBENTURES Sul America S.A...... 39,313 ...... 551...... 341 India — 0.0% Suzano SA...... 197,291...... 2,360...... 2,941 Britannia Industries Limited, Unsecured, Telefonica Brasil SA ...... 77,156...... 1,272...... 808 5.500% Jun 3, 2024...... INR 380...... 6...... 6 TIM S.A...... 164,629...... 512...... 473 Total Bonds & Debentures — 0.0% ...... 6...... 6 Ultrapar Participacoes SA...... 130,482...... 1,361...... 598 Ultrapar Participacoes SA, Rights, Jul 26, 2021...... 160,952...... —...... 2 Fair Vale S.A...... 848,856...... 12,579...... 23,959 Number of Cost+ Value Via Varejo S.A...... 150,300...... 616...... 591 Shar es or Units ($) ($) Weg S.A...... 506,944...... 1,668...... 4,257 ...... 110,621...... 116,910 EQUITIES Argentina — 0.1% Chile — 0.3% Globant S.A...... 6,600 ...... 799 ...... 1,793 Banco de Chile...... 10,549,600...... 1,531...... 1,291 YPF Sociedad Anonima, Class D, ADR ...... 38,900 ...... 777 ...... 226 Banco de Credito e Inversiones S.A...... 1,437...... 124...... 75 ...... 1,576 ...... 2,019 Banco Santander Chile ...... 13,653,652...... 1,402...... 837 Cencosud S.A...... 139,500...... 540...... 344 Brazil — 5.1% Colbun S.A...... 1,371,600...... 421...... 238 Ambev S.A...... 859,188...... 5,557...... 3,655 Empresas CMPC S.A...... 128,000...... 628...... 378 B2W - Companhia Digital ...... 27,200...... 483...... 449 Empresas Copec S.A...... 15,100...... 304...... 184 B3 S.A. - Brasil, Bolsa, Balcao...... 1,620,861...... 5,972...... 6,795 Enel Americas S.A...... 6,051,200...... 1,655...... 1,101 Banco Bradesco S.A...... 145,135...... 1,183...... 791 Enel Chile SA...... 3,377,900...... 542...... 241 Banco Bradesco S.A., Preference...... 1,308,453...... 9,983...... 8,391 S.A.C.I. Falabella...... 60,300...... 745 ...... 333 Banco BTG Pactual S.A...... 53,700...... 1,199...... 1,634 Sociedad Quimica y Minera de Chile S.A., Banco do Brasil S.A...... 339,397...... 3,330...... 2,718 Preference...... 32,060...... 1,815...... 1,872 Banco Santander (Brasil) S.A...... 68,786...... 1,024...... 694 ...... 9,707...... 6,894 BB Seguridade Participacoes S.A...... 57,069...... 696...... 329 BRF S.A...... 179,396...... 1,601...... 1,222 China — 34.4% CCR S.A...... 128,372...... 825...... 430 3SBio Inc...... 591,017...... 1,082...... 906 Centrais Eletricas Brasileiras S.A...... 34,900...... 504...... 375 51job, Inc., ADR...... 1,893...... 261...... 183 Centrais Eletricas Brasileiras S.A., Preference...... 34,600...... 516...... 373 AAC Technologies Holdings Inc...... 386,960...... 3,259...... 3,590 Companhia de Saneamento Basico do Estado AECC Aero-Engine Control Co., Ltd...... 368,900...... 812...... 1,474 de Sao Paulo - SABESP...... 122,411...... 2,257...... 1,116 Agile Property Holdings Limited...... 570,000...... 967...... 916 Companhia Energetica de Minas Gerais, Agricultural Bank of China Limited, H Shares...... 3,252,507...... 2,019...... 1,400 Preference...... 81,447...... 335...... 246 Aier Eye Hospital Group Co., Ltd...... 131,810...... 609...... 1,796 Companhia Siderurgica Nacional S.A...... 289,500...... 1,853...... 3,174 Air China Limited, H Shares...... 82,000...... 74...... 75 Cosan S.A. Industria e Comercio...... 38,292...... 146...... 229 Alibaba Group Holding Limited...... 3,350,696...... 106,810 ...... 117,681 Engie Brasil Energia S.A...... 89,057...... 1,234...... 869 Alibaba Health Information Technology Equatorial Energia S.A...... 153,860...... 823...... 951 Limited ...... 878,600...... 1,774...... 2,416 Gerdau S.A., Preference ...... 138,100...... 867...... 1,019 A-Living Services Co., Ltd., H Shares...... 115,500...... 699...... 713 Hapvida Participacoes e Investimentos S.A...... 162,000...... 622...... 622 Aluminum Corporation of China Limited, H Hypermarcas S.A...... 37,032...... 481...... 318 Shares...... 160,024...... 173...... 117 Itau Unibanco Holding S.A., Preference ...... 1,094,715...... 11,178...... 8,130 Anhui Conch Cement Company Ltd...... 62,200...... 533...... 490 Itausa - Investimentos Itau S.A., Preference ...... 898,280...... 3,351...... 2,496 Anhui Conch Cement Company Ltd., H Shares ...... 279,538...... 1,865...... 1,839 JBS S.A...... 449,000...... 2,565...... 3,256 Anta Sports Products Limited ...... 346,000...... 3,302...... 10,098 Klabin S.A...... 153,300...... 1,026...... 1,006 Autohome Inc., ADR...... 4,451...... 451...... 353 Localiza Rent a Car S.A...... 146,470...... 1,610...... 2,336 AVIC Shenyang Aircraft Company Limited, A Lojas Americanas S.A., Preference ...... 77,387...... 568...... 416 Shares...... 36,400 ...... 270...... 421 Lojas Renner S.A...... 139,566...... 1,863...... 1,538 Avicopter PLC, Class A ...... 61,200 ...... 539...... 619 Magazine Luiza S.A...... 553,488...... 1,796...... 2,918 Baidu, Inc., Class A, ADR ...... 59,270 ...... 13,451...... 14,981 Natura & Co Holding S.A...... 314,668...... 3,158...... 4,450 Bank of Chengdu Co., Ltd...... 381,400...... 615...... 925 Notre Dame Intermedica Participacoes S.A...... 166,600...... 3,161...... 3,526 Bank of China Limited, H Shares...... 14,271,360 ...... 8,235...... 6,351 Petrobras Distribuidora S.A...... 115,900...... 1,041...... 771 Bank of Communications Co., Ltd...... 625,900...... 730...... 588 Petroleo Brasileiro Petrobras S.A...... 826,287...... 6,717...... 6,238 Bank of Communications Co., Ltd., H Shares...... 656,995...... 656...... 547 Petroleo Brasileiro Petrobras S.A., Preference...... 871,899...... 6,562...... 6,395 Bank of Ningbo Co., Ltd...... 111,800...... 576 ...... 836 Raia Drogasil S.A...... 185,500...... 1,122...... 1,142 Rumo S.A...... 402,807...... 2,493...... 1,922 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Beijing Capital International Airport Company China Shenhua Energy Company Limited, H Limited, H Shares...... 196,000...... 296...... 161 Shares...... 882,047...... 2,590...... 2,143 BieGene, Ltd., ADR ...... 10,000...... 2,849...... 4,254 China Southern Airlines Company Limited, H Bilibili Inc., ADR ...... 26,300...... 1,972...... 3,972 Shares...... 136,373...... 215...... 105 BYD Company Limited...... 72,200...... 719...... 3,484 China Tower Corp Ltd, H Shares ...... 8,250,300...... 2,441...... 1,409 BYD Company Limited, H Shares ...... 191,752...... 2,727...... 7,109 China Vanke Co., Ltd...... 222,300...... 1,181...... 1,016 BYD Electronic (International) Company China Vanke Co., Ltd., H Shares...... 248,900...... 1,282...... 966 Limited ...... 112,500...... 297...... 916 China Yangtze Power Co., Ltd...... 316,278...... 1,059...... 1,252 China Aoyuan Group Limited ...... 447,000...... 700...... 467 Chongqing Rural Commercial Bank Co., Ltd., H China Cinda Asset Management Co., Ltd., H Shares...... 117,000...... 62...... 57 Shares...... 393,000...... 248...... 93 Chongqing Zhifei Biological Products Co., Ltd...... 40,600...... 1,109...... 1,456 China CITIC Bank Corporation Limited, H CIFI Holdings (Group) Co. Ltd...... 374,000...... 379...... 362 Shares...... 609,804...... 521...... 358 CITIC Limited ...... 895,319...... 1,561...... 1,197 China Communications Services Corp., Ltd., H CITIC Securities Company Limited...... 222,500...... 977...... 1,065 Shares...... 506,000...... 651...... 313 CITIC Securities Company Limited, H Shares ...... 774,741...... 2,178...... 2,406 China Conch Venture Holdings Limited...... 273,800...... 1,132...... 1,429 Contemporary Amperex Technology Co., Ltd...... 58,200...... 1,503...... 5,975 China Construction Bank Corporation, H COSCO SHIPPING Holdings Co., Ltd., H Shares ...... 906,500...... 1,115...... 2,831 Shares...... 22,064,882...... 24,326...... 21,485 Country Garden Holdings Co., Ltd...... 2,332,633...... 4,208...... 3,240 China Evergrande Group...... 671,695...... 1,889...... 1,085 Country Garden Services Holdings Company China Feihe Limited...... 224,000...... 682...... 599 Limited ...... 448,567...... 2,766...... 6,009 China Fortune Land Development Co., Ltd...... 141,310...... 550...... 142 CSC Financial Co., Ltd., Class A ...... 73,800...... 523...... 445 China Galaxy Securities Co., Ltd., H Shares ...... 127,000...... 168...... 94 CSPC Pharmaceutical Group Limited...... 2,655,316...... 3,571...... 4,765 China Hongqiao Group Limited ...... 563,000...... 616...... 946 Dong-E-E-Jiao Co., Ltd...... 28,400...... 229...... 196 China Huarong Asset Management Co., Ltd., H Dongfeng Motor Group Co., Ltd., H Shares...... 1,308,000...... 1,724...... 1,458 Shares* ...... 658,857...... 384...... 107 East Money Information Co., Ltd...... 513,480...... 1,499...... 3,232 China International Capital Corporation Limited, ENN Energy Holdings Limited ...... 199,700...... 2,651...... 4,712 H Shares ...... 311,744...... 894...... 1,040 EVE Energy Co., Ltd ...... 84,398...... 619...... 1,683 China International Travel Service Corp., Ltd...... 36,700...... 587...... 2,114 Everbright Securities Company Limited...... 149,300...... 720...... 512 China Life Insurance Company Limited, H Fiberhome Telecommunication Technologies Shares...... 2,050,446...... 6,715...... 5,033 Co., Ltd...... 96,000...... 458...... 343 China Literature Limited...... 122,600...... 1,290...... 1,690 Foshan Haitian Flavouring and Food Company China Longyuan Power Group Corporation Ltd...... 39,000...... 504...... 965 Limited, H Shares...... 152,000...... 172...... 325 Fosun International Limited...... 1,465,400...... 2,454...... 2,613 China Medical System Holdings, Limited...... 355,878...... 533...... 1,162 Fuyao Glass Industry Group Co., Ltd...... 75,300...... 323...... 807 China Mengniu Dairy Company Limited...... 837,306...... 3,694...... 6,276 Ganfeng Lithium Co., Ltd...... 98,800...... 414...... 2,297 China Merchants Bank Co., Ltd...... 362,900...... 2,386...... 3,774 Ganfeng Lithium Co., Ltd., H Shares ...... 38,200...... 654...... 708 China Merchants Bank Co., Ltd., H Shares ...... 918,713...... 5,287...... 9,718 Gaotu Techedu Inc., Class A, ADR ...... 16,200...... 1,506...... 297 China Merchants Shekou Industrial Zone GDS Holdings Limited, Class A, ADR ...... 4,347...... 213...... 423 Holdings Co., Ltd...... 190,500...... 673...... 400 Genscript Biotech Corporation ...... 145,185...... 484...... 786 China Minsheng Banking Corp., Ltd., H Shares...... 331,810...... 302...... 197 GF Securities Company Limited, H Shares...... 246,504...... 692...... 396 China Molybdenum Co., Ltd., H Shares...... 141,000...... 110...... 104 GigaDevice Semiconductor (Beijing) Inc., A China National Building Material Company Shares...... 19,880...... 492...... 716 Limited, H Shares...... 1,262,000...... 1,767...... 1,838 Goertek Inc., A Shares...... 74,500...... 600...... 611 China Oilfield Services Limited, Class H Shares...... 384,160...... 602...... 427 Great Wall Motor Co., Ltd., H Shares ...... 469,000...... 614...... 1,877 China Pacific Insurance (Group) Co., Ltd., A Guangzhou Automobile Group Co., Ltd., H Shares...... 113,500...... 745...... 631 Shares...... 606,800...... 922...... 675 China Pacific Insurance (Group) Co., Ltd., H Guangzhou Baiyunshan Pharmaceutical Shares...... 817,200...... 4,191...... 3,185 Holdings Co., Ltd...... 47,800...... 305...... 310 China Petroleum & Chemicals Corporation, H Guangzhou R&F Properties Co., Ltd., H Shares...... 1,222,000...... 2,275...... 1,729 Shares...... 4,769,327...... 4,343...... 2,998 Haidilao International Holding Ltd...... 209,000...... 1,719...... 1,365 China Railway Group Ltd., H Shares...... 417,406...... 365...... 270 Haier Smart Home Co., Ltd., H Shares ...... 898,057...... 1,811...... 3,886 China Resources Gas Group Limited ...... 167,400...... 1,001...... 1,245 Haitong Securities Co., Ltd., H Shares...... 504,806...... 849...... 548 China Resources Pharmaceutical Group Hansoh Pharmaceutical Group Company Limited ...... 257,000...... 466...... 199 Limited ...... 278,000...... 1,653...... 1,505 China Shenhua Energy Company Limited...... 156,200...... 565...... 585 Hengan International Group Company Limited...... 291,090...... 3,133...... 2,417 Hua Hong Semiconductor Limited ...... 143,000...... 685...... 975 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Huaneng Power International Inc., H Shares ...... 434,000...... 392...... 211 Ping An Bank Co., Ltd...... 507,100...... 1,409...... 2,201 Huatai Securities Co., Ltd...... 144,400...... 487...... 438 Ping An Insurance (Group) Company of China, Huatai Securities Co., Ltd., H Shares...... 171,273...... 453...... 312 Ltd...... 234,800...... 3,693...... 2,896 Huazhu Group Limited, ADR...... 10,114...... 577...... 662 Ping An Insurance (Group) Company of China, Hundsun Technologies Inc...... 61,490...... 658...... 1,100 Ltd., H Shares ...... 1,427,970...... 19,555...... 17,282 Iflytek Co., Ltd...... 110,100...... 869...... 1,426 Poly Developments and Holdings Group Co., Industrial and Commercial Bank of China Ltd...... 503,700...... 1,472...... 1,164 Limited, H Shares...... 13,372,021...... 12,975...... 9,725 Postal Savings Bank of China Co., Ltd., H Industrial Bank Co., Ltd...... 317,500...... 1,078...... 1,251 Shares...... 220,850...... 192...... 184 Inner Mongolia Yili Industrial Group Co., Ltd., S. F. Holding Co., Ltd...... 51,300...... 700...... 666 Class A ...... 45,400...... 277...... 321 SAIC Motor Corporation Limited...... 120,600...... 517...... 508 Innovent Biologics, Inc...... 289,500...... 2,160...... 4,185 Sany Heavy Industry Co., Ltd...... 263,100...... 772...... 1,468 iQIYI, Inc., Class A, ADR...... 34,900...... 1,107...... 674 Seazen Group Limited ...... 500,000...... 797...... 588 JD Health International Inc...... 46,500...... 720...... 826 Seazen Holdings Co., Ltd., Class A...... 102,400...... 696...... 817 JD.com Inc., ADR...... 197,148...... 11,017...... 19,504 Shandong Buchang Pharmaceuticals Co., Ltd ...... 60,375...... 228...... 260 Jiangsu Hengrui Medicine Co., Ltd...... 106,560...... 1,115...... 1,390 Shandong Gold Mining Co., Ltd...... 92,708...... 293...... 343 Jiangsu Yanghe Brewery Joint-Stock Co., Ltd...... 36,400...... 674...... 1,447 Shandong Weigao Group Medical Polymer, H Jiangxi Copper Company Limited ...... 311,500...... 838...... 1,343 Shares...... 260,000...... 425...... 752 Jiangxi Copper Company Limited, H Shares...... 92,603...... 148...... 235 Shanghai Fosun Pharmaceutical (Group) Co., Jilin Aodong Pharmaceutical Group Co., Ltd...... 210,508...... 621...... 626 Ltd., H Shares ...... 18,000...... 134...... 180 Jointown Pharmaceutical Group Co., Ltd...... 269,800...... 701...... 796 Shanghai Fosun Pharmaceutical Group ...... 217,500...... 1,157...... 3,011 JOYY Inc., Class A, ADR ...... 1,658...... 212...... 136 Shanghai International Airport Co., Ltd...... 29,425 ...... 400...... 272 KE Holdings Inc., ADR...... 25,600...... 1,747...... 1,513 Shanghai Lujiazui Finance & Trade Zone Kingdee International Software Group Development Co., Ltd., Class B...... 129,600...... 243...... 149 Company Limited ...... 713,213...... 2,050...... 2,995 Shanghai Pharmaceuticals Holding Co., Ltd., H Kingsoft Corporation Limited ...... 268,000...... 1,331...... 1,986 Shares...... 232,000...... 652...... 626 Kuaishou Technology, Class B ...... 47,300...... 1,866...... 1,471 Shanghai Pudong Development Bank Co., Ltd...... 397,500...... 892...... 763 Kweichow Moutai Co., Ltd...... 21,892...... 4,546...... 8,642 Shanxi Xinghuacun Fen Wine Factory Co.,Ltd...... 22,500...... 683...... 1,935 KWG Group Holdings Limited...... 571,000...... 793...... 948 Shenzhen Mindray Bio-Medical Electronics Co., Lenovo Group Limited ...... 938,300...... 894...... 1,338 Ltd., Class A ...... 15,000...... 739...... 1,382 Lens Technology Co., Ltd., A Shares...... 82,200...... 523...... 464 Shenzhou International Group Holdings Li Ning Company Limited ...... 597,000...... 2,432...... 9,036 Limited ...... 215,101...... 3,451...... 6,735 Logan Property Holdings Company Limited ...... 109,598...... 214...... 203 Sichuan Chuantou Energy Co., Ltd...... 189,500...... 323...... 448 Longfor Group Holdings Limited ...... 335,040...... 1,714...... 2,327 Silergy Corp...... 16,000...... 1,714...... 2,698 LONGi Green Energy Technology Co., Ltd., A Sinopharm Group Co. Ltd., H Shares ...... 163,896...... 864...... 604 Shares...... 119,980...... 1,341...... 2,042 Smoore International Holdings Limited...... 202,000...... 1,649...... 1,388 Luxshare Precision Industry Co., Ltd...... 195,938...... 1,630...... 1,725 Songcheng Performance Development Co., Luzhou Laojiao Co., Ltd...... 31,200...... 511...... 1,413 Ltd...... 182,520...... 406...... 588 Meituan Dianping, Class B ...... 794,100...... 19,740...... 40,656 Soochow Securities Co., Ltd...... 553,222...... 899...... 885 MicroPort Scientific Corporation ...... 169,000...... 1,046...... 1,879 Spring Airlines Co., Ltd...... 68,600...... 537...... 749 Midea Group Co., Ltd., Class A...... 66,200...... 655...... 907 Sunac China Holdings Limited...... 760,775...... 4,441...... 3,237 Momo Inc., Class A, ADR ...... 19,098...... 993...... 362 Sunac Services Holdings, Ltd...... 24,477...... 48...... 113 Muyuan Foods Co., Ltd...... 110,334...... 959...... 1,288 Sungrow Power Supply Co., Ltd...... 37,400...... 593...... 826 NetEase, Inc., ADR...... 91,815...... 7,853...... 13,117 Sunny Optical Technology (Group) Company New China Life Insurance Company Ltd...... 67,300...... 586...... 592 Limited ...... 239,219...... 4,844...... 9,347 New China Life Insurance Company Ltd., H TAL Education Group, ADR...... 84,276...... 4,497...... 2,636 Shares...... 231,200...... 1,299...... 978 Tencent Holdings Limited...... 1,247,387...... 79,365...... 116,308 New Hope Liuhe Co., Ltd., Class A ...... 195,200...... 1,145...... 550 Tencent Music Entertainment Group, ADR...... 109,500...... 2,328...... 2,101 New Oriental Education & Technology Group, Tingyi (Cayman Islands) Holding Corp...... 327,318...... 674...... 810 Inc., ADR...... 269,150...... 3,185...... 2,733 Tongwei Co., Ltd...... 90,900...... 602...... 755 NIO, Inc., ADR ...... 303,700...... 10,079...... 20,028 TravelSky Technology Limited...... 112,000...... 338...... 300 Nongfu Spring Co., Ltd., H Shares...... 96,200...... 652...... 598 Tsingtao Brewery Company Limited, H Shares...... 25,200...... 199...... 336 OFILM Group Co., Ltd...... 200,800...... 326...... 342 Uni-President China Holdings Ltd...... 132,000...... 170...... 181 PetroChina Company Limited, H Shares ...... 3,539,718...... 3,493...... 2,148 Universal Scientific Industrial (Shanghai) Co., PICC Property and Casualty Co. Ltd., H Shares...... 1,045,372...... 1,521...... 1,134 Ltd...... 117,600...... 496...... 379 Pinduoduo, Inc., ADR...... 89,900...... 11,268...... 14,155 Venus Medtech (Hangzhou) Inc., H Shares ...... 61,000...... 673...... 631 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Vipshop Holdings Limited, ADR...... 103,600...... 2,139...... 2,579 Komercni banka, A.S...... 48,374...... 2,393...... 2,111 Walvax Biotechnology Co., Ltd...... 73,000...... 832...... 865 MONETA Money Bank, a.s...... 132,552...... 641...... 624 Wanhua Chemical Group Co., Ltd...... 75,200...... 653...... 1,571 ...... 5,645...... 5,813 Want Want China Holdings Limited ...... 737,000...... 818...... 647 Weibo Corporation, Class A, ADR ...... 9,500...... 895...... 620 Greece — 0.1% Weichai Power Co., Ltd...... 313,300...... 555...... 863 Hellenic Telecommunications Organization Weifu High-Technology Group Co., Ltd...... 93,782...... 355...... 375 S.A...... 78,800...... 1,445...... 1,640 Weimob Inc...... 433,000...... 1,270...... 1,178 OPAP S.A...... 21,690...... 303...... 405 Wens Foodstuff Group Co., Ltd...... 118,680...... 653...... 327 ...... 1,748...... 2,045 Will Semiconductor Co., Ltd. Shanghai, A Shares...... 14,600...... 507...... 903 Wingtech Technology Co., Ltd...... 41,000...... 692...... 761 Hong Kong — 1.5% Wuhu Sanqi Interactive Entertainment Network Beijing Enterprises Holdings Limited...... 169,800...... 1,076...... 747 Technology Group Co., Ltd...... 98,500...... 885...... 454 Beijing Enterprises Water Group Limited...... 526,826...... 418...... 247 Brilliance China Automotive Holdings Limited*...... 489,487...... 753...... 378 Wuliangye Yibin Co., Ltd...... 79,300...... 2,400...... 4,534 China Common Rich Renewable Energy WuXi AppTec Co., Ltd., Class A...... 62,496...... 653...... 1,878 Investments Ltd.*...... 386,000...... 448...... 13 WuXi AppTec Co., Ltd., H Shares...... 25,000...... 656...... 724 China Everbright International Limited...... 494,000...... 679...... 347 Wuxi Biologics Cayman, Inc...... 793,476...... 5,402...... 18,028 China Everbright Limited...... 36,311...... 111...... 53 Xiaomi Corp...... 3,103,533...... 7,884...... 13,393 China Gas Holdings Limited ...... 485,800...... 2,273...... 1,838 Xinyi Solar Holdings Limited ...... 942,000...... 1,254...... 2,521 China Jinmao Holdings Group Limited ...... 956,596...... 779...... 397 XPeng, ADR...... 34,400...... 1,918...... 1,894 China Merchants Port Holdings Company Yantai Jereh Oilfield Services Group Co., Ltd...... 85,100...... 516...... 732 Limited ...... 720,374...... 1,572...... 1,304 Yanzhou Coal Mining Company Limited, H China Overseas Land & Investment Limited ...... 1,487,081...... 5,443...... 4,188 Shares...... 370,307...... 451...... 617 China Resources Beer (Holdings) Company Yihai International Holding Ltd...... 119,000...... 1,536...... 991 Limited ...... 403,200...... 3,226...... 4,485 Yonyou Network Technology Co.,Ltd., Class A...... 86,060...... 558...... 549 China Resources Cement Holdings Limited ...... 899,737...... 1,217...... 1,060 Yum China Holdings, Inc...... 90,393...... 5,231...... 7,423 China Resources Land Limited ...... 699,048...... 3,684...... 3,510 Yunnan Baiyao Group Co., Ltd...... 18,600...... 302...... 413 China Resources Power Holdings Company Zai Lab Limited, ADR ...... 15,800...... 2,180...... 3,467 Limited ...... 462,000...... 1,013...... 782 Zhangzhou Pientzehuang Pharmaceutical Co. China State Construction International Holdings Ltd...... 21,400...... 445...... 1,841 Limited ...... 306,207...... 436...... 259 Zhaojin Mining Industry Co., Ltd., H Shares...... 221,500...... 310...... 261 China Taiping Insurance Holdings Company Zhejiang Expressway Co., Ltd., H Shares ...... 345,963...... 348...... 381 Limited ...... 368,200...... 1,349...... 760 Zhejiang Semir Garment Co., Ltd...... 683,000...... 919...... 1,565 China Traditional Chinese Medicine Holdings ZhongAn Online P & C Insurance Co., Ltd., H Co., Ltd...... 177,813...... 212...... 151 Shares...... 229,200...... 1,352...... 1,608 Chong Sing Holdings Fintech Group Ltd.* ...... 1,293,392...... 220...... — Zhongjin Gold Corp., Ltd...... 186,900...... 309...... 310 COSCO SHIPPING Ports Limited ...... 42,000...... 59...... 41 Zhongsheng Group Holdings Ltd...... 133,500...... 676...... 1,377 Far East Horizon Limited...... 283,000...... 394...... 367 Zhuzhou CRRC Times Electric Co., Ltd., H Geely Automobile Holdings Limited ...... 1,588,720...... 4,300...... 6,185 Shares...... 49,000...... 253...... 359 Guangdong Investment Limited ...... 298,700...... 526...... 532 Zijin Mining Group Company Limited, H Kingboard Holdings Limited...... 45,942...... 315...... 316 Shares...... 1,640,000...... 1,702...... 2,734 Kunlun Energy Company Limited ...... 666,000...... 1,050...... 761 ZTE Corporation...... 209,500...... 1,512...... 1,336 Nine Dragons Paper (Holdings) Limited ...... 580,019...... 836...... 922 ZTE Corporation, H Shares ...... 191,000...... 791...... 738 Shenzhen International Holdings Limited ...... 315,518...... 894...... 541 ZTO Express (Cayman), Inc., Class A, ADR ...... 70,738...... 2,316...... 2,661 Shimao Property Holdings Limited ...... 210,000...... 848...... 638 ...... 606,458...... 791,439 Sino Biopharmaceutical Limited ...... 2,372,707...... 2,438...... 2,887 Sun Art Retail Group Limited ...... 661,000...... 991...... 610 Colombia — 0.1% Wharf (Holdings) Limited, The ...... 112,000...... 365...... 529 Bancolombia S.A., Preference...... 160,105 ...... 2,680 ...... 1,418 ...... 37,925...... 34,848 Ecopetrol S.A...... 1,507,784 ...... 2,267 ...... 1,356 Grupo de Inversiones Suramericana S.A...... 8,441 ...... 160 ...... 51 Hungary — 0.3% ...... 5,107 ...... 2,825 Gedeon Richter Plc...... 41,199...... 1,075...... 1,360 MOL Hungarian Oil and Gas Plc, Class A...... 253,528...... 2,418...... 2,501 Czech Republic — 0.3% OTP Bank Nyrt ...... 47,981...... 2,432...... 3,203 CEZ, a.s...... 83,700...... 2,611...... 3,078 ...... 5,925...... 7,064 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

India — 10.2% JSW Steel Limited ...... 140,800 ...... 571 ...... 1,613 Adani Enterprises Limited ...... 29,100...... 785...... 732 Jubilant FoodWorks Limited ...... 28,200 ...... 1,194 ...... 1,452 Adani Green Energy Ltd...... 85,600...... 1,678...... 1,593 Kotak Mahindra Bank Limited...... 143,000 ...... 4,571...... 4,069 Adani Ports and Special Economic Zone Larsen & Toubro Infotech Limited...... 21,500 ...... 1,380 ...... 1,461 Limited ...... 87,800...... 664...... 1,033 Larsen & Toubro Limited ...... 172,400 ...... 3,581 ...... 4,316 Adani Total Gas Limited...... 28,800...... 780...... 491 Lupin Limited...... 84,300...... 1,244 ...... 1,616 Adani Transmission Limited ...... 30,700...... 811...... 543 Mahindra & Mahindra...... 205,200...... 2,197 ...... 2,675 Apollo Hospitals Enterprise Limited...... 21,100...... 1,150...... 1,274 Marico Limited...... 125,800...... 843 ...... 1,115 Asian Paints Limited...... 73,700...... 2,457...... 3,692 Maruti Suzuki India Limited ...... 27,700...... 3,133 ...... 3,486 Aurobindo Pharma Limited ...... 90,900...... 1,064...... 1,464 Motherson Sumi Systems Limited ...... 485,600...... 1,413 ...... 1,965 Avenue Supermarts Limited ...... 29,900...... 1,107...... 1,671 Nestle India Limited...... 8,900...... 2,648 ...... 2,630 Axis Bank Limited...... 530,710...... 6,762...... 6,636 NTPC Limited ...... 1,560,300...... 2,810 ...... 3,029 Bajaj Auto Limited...... 12,400...... 686...... 857 Oil and Natural Gas Corporation Limited ...... 729,100...... 1,621 ...... 1,440 Bajaj Finance Limited ...... 61,000...... 4,961...... 6,118 Petronet LNG Limited...... 93,100...... 449 ...... 352 Bajaj Finserv Limited...... 6,800...... 1,131...... 1,372 PI Industries Limited ...... 19,600...... 893 ...... 956 Bandhan Bank Limited...... 296,600...... 2,250...... 1,634 Pidilite Industries Limited ...... 28,900...... 710 ...... 1,039 Berger Paints India Limited...... 33,500...... 313...... 451 Piramal Enterprises Limited ...... 37,100...... 1,099 ...... 1,498 Bharat Petroleum Corporation Limited...... 96,400...... 898...... 754 Power Grid Corporation of India Limited ...... 796,300...... 2,802 ...... 3,087 Bharti Airtel ...... 742,919...... 6,325...... 6,545 Reliance Industries Limited...... 41,932...... 1,033 ...... 1,039 Biocon Limited...... 188,300...... 1,239...... 1,270 Reliance Industries Limited, GDR...... 649,190...... 16,881 ...... 22,900 Britannia Industries Limited...... 13,100...... 779...... 798 SBI Cards and Payment Services Limited ...... 39,300...... 678 ...... 637 Cholamandalam Investment and Finance SBI Life Insurance Company Limited ...... 70,700...... 1,265 ...... 1,189 Company ...... 75,300...... 714...... 645 Shriram Transport Finance Company Limited...... 57,400...... 1,231 ...... 1,287 Cipla Limited...... 141,100...... 1,456...... 2,286 Siemens Limited...... 11,000...... 311 ...... 371 Coal India Limited...... 184,200...... 657...... 450 State Bank of India...... 356,700...... 1,936 ...... 2,497 Colgate-Palmolive (India) Limited ...... 48,400...... 1,263...... 1,362 Sun Pharmaceutical Industries Limited ...... 242,800...... 1,949 ...... 2,732 Container Corporation of India Limited...... 34,600...... 376...... 404 Tata Consultancy Services Limited...... 229,680...... 8,572 ...... 12,848 Dabur India Limited...... 70,200...... 589...... 665 Tata Consumer Products Limited ...... 112,000...... 858 ...... 1,413 Divi's Laboratories Limited ...... 37,600...... 1,948...... 2,763 Tata Motors Limited...... 414,600...... 1,465 ...... 2,354 DLF Limited...... 71,700...... 303...... 337 Tata Steel Limited...... 110,700...... 708 ...... 2,156 Dr. Reddy's Laboratories Limited ...... 30,100...... 1,811...... 2,716 Tech Mahindra Limited...... 152,900...... 2,107 ...... 2,799 Eicher Motors Limited ...... 21,000...... 742...... 938 Torrent Pharmaceuticals Limited ...... 17,400...... 888 ...... 839 GAIL (India) Limited...... 246,400...... 586...... 616 UltraTech Cement Limited...... 36,600...... 3,080 ...... 4,137 Godrej Consumer Products Limited ...... 105,400...... 1,437...... 1,531 United Spirits Limited...... 38,400...... 444 ...... 424 Grasim Industries Limited ...... 55,500...... 726...... 1,390 UPL Limited...... 107,200...... 1,156 ...... 1,421 Havells India Limited...... 47,900...... 598...... 785 Vedanta Limited ...... 327,800...... 899 ...... 1,443 HCL Technologies Limited ...... 291,200...... 2,736...... 4,788 Wipro Limited ...... 456,300...... 2,668 ...... 4,160 HDFC Asset Management Company Ltd...... 10,500...... 623...... 511 ...... 190,073...... 235,030 HDFC Life Insurance Company Limited ...... 155,300...... 1,728...... 1,784 Hero MotoCorp Limited ...... 31,700...... 1,687...... 1,537 Indonesia — 1.2% Hindalco Industries Limited ...... 390,300...... 1,682...... 2,427 Bank Rakyat Indonesia Persero Tbk PT ...... 11,041,415...... 3,848...... 3,719 Hindustan Petroleum Corporation Limited ...... 91,500...... 531...... 449 P.T. Unilever Indonesia Tbk...... 3,123,880...... 2,594...... 1,326 Hindustan Unilever Limited...... 202,688...... 8,058...... 8,373 Perusahaan Perseroan (Persero) PT Housing Development Finance Corporation Telekomunikasi Indonesia Tbk ...... 7,525,844...... 2,658...... 2,027 Limited ...... 363,455...... 13,152...... 15,047 PT Adaro Energy Tbk...... 445,500...... 75...... 46 ICICI Bank Limited ...... 1,146,087...... 10,440...... 12,090 PT Astra International Tbk...... 6,447,399...... 2,897...... 2,723 ICICI Lombard General Insurance Company PT Bank Central Asia Tbk...... 2,560,393...... 6,522...... 6,594 Limited ...... 37,600...... 905...... 982 PT Bank Mandiri (Persero) Tbk...... 5,616,300...... 2,877...... 2,827 ICICI Prudential Life Insurance Company PT Bank Negara Indonesia (Persero) Tbk ...... 1,375,000...... 1,081...... 543 Limited ...... 33,300...... 307...... 341 PT Barito Pacific Tbk ...... 3,530,500...... 471...... 258 Indian Oil Corporation Limited ...... 257,200...... 697...... 463 PT Charoen Pokphand Indonesia Tbk...... 1,300,500...... 823...... 695 Indus Towers Ltd...... 167,100...... 753...... 668 PT Gudang Garam TBK...... 873,489...... 3,732...... 3,300 Info Edge (India) Limited ...... 15,600...... 1,022...... 1,284 PT Indocement Tunggal Prakarsa Tbk...... 338,466...... 566...... 298 Infosys Limited ...... 779,914...... 11,121...... 20,394 PT Indofood CBP Sukses Makmur Tbk...... 282,700...... 303...... 197 InterGlobe Aviation Limited ...... 13,700...... 446...... 393 PT Indofood Sukses Makmur Tbk...... 544,128...... 421...... 287 ITC Limited ...... 957,300...... 3,851...... 3,238 PT Kalbe Farma Tbk ...... 841,785...... 132...... 101 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

PT Semen Indonesia (Persero) Tbk...... 316,600 ...... 325 ...... 257 Grupo Financiero Inbursa S.A.B. de C.V., PT United Tractors Tbk...... 1,237,260 ...... 2,285 ...... 2,142 Series O ...... 44,700 ...... 99 ...... 55 PT. Indah Kiat Pulp & Paper Tbk...... 291,556 ...... 486 ...... 186 Grupo Mexico, S.A.B. de C.V., Series B ...... 936,231...... 3,143 ...... 5,470 ...... 32,096 ...... 27,526 Grupo Televisa, S.A.B...... 633,442...... 2,287 ...... 2,244 Industrias Penoles, S.A.B. de C.V...... 5,600 ...... 182...... 96 Luxembourg — 0.0% Kimberly-Clark de Mexico, S.A.B. de C.V., Reinet Investments S.C.A...... 11,053 ...... 268 ...... 269 Series A ...... 126,077 ...... 280 ...... 278 Orbia Advance Corporation S.A.B. de CV ...... 142,080 ...... 579 ...... 460 Promotora y Operadora de Infraestructura, Malaysia — 1.1% S.A.B. de C.V...... 10,200 ...... 153 ...... 101 AMMB Holdings Berhad ...... 90,700...... 182 ...... 80 Wal-Mart de Mexico S.A.B. de C.V., Series V ...... 1,553,809 ...... 5,361 ...... 6,291 oup Berhad...... 89,600...... 201...... 100 Axiata Gr ...... 36,218 ...... 38,069 CIMB Group Holdings Berhad...... 896,300...... 1,711...... 1,234 Dialog Group Berhad...... 615,600...... 670...... 531 Digi.Com Berhad...... 236,200...... 387...... 292 Peru — 0.1% Genting Berhad ...... 762,800...... 1,481...... 1,124 Compania de Minas Buenaventura S.A.A., Genting Malaysia Berhad...... 96,400...... 106...... 80 ADR...... 8,156 ...... 134 ...... 91 Hap Seng Consolidated Berhad ...... 100,200...... 315...... 233 Credicorp Ltd...... 8,740 ...... 2,460 ...... 1,312 Hartalega Holdings Berhad...... 190,300...... 560...... 418 Southern Copper Corporation...... 15,400 ...... 908 ...... 1,228 Hong Leong Bank Berhad ...... 196,600...... 1,232...... 1,099 ...... 3,502...... 2,631 IHH Healthcare Berhad...... 136,200...... 180...... 223 IOI Corporation Berhad...... 88,700...... 122...... 100 Philippines — 0.6% Kuala Lumpur Kepong Berhad ...... 66,400...... 501...... 404 Aboitiz Equity Ventures, Inc...... 67,740...... 133...... 73 Malayan Banking Berhad...... 1,562,174...... 4,502...... 3,784 Ayala Corporation ...... 118,900...... 2,526...... 2,415 Malaysia Airports Holdings Berhad ...... 40,400...... 98...... 72 Ayala Land, Inc...... 1,112,900...... 1,148...... 1,019 Maxis Berhad...... 150,300...... 276...... 197 Banco De Oro Unibank, Inc...... 337,659...... 1,071...... 971 MISC Berhad ...... 402,900...... 979...... 816 Bank of the Philippine Islands...... 338,020...... 759...... 761 Nestle (Malaysia) Berhad ...... 16,600...... 795...... 661 Globe Telecom, Inc...... 1,860...... 71...... 87 PETRONAS Chemicals Group Berhad...... 615,200...... 1,727...... 1,481 GT Capital Holdings, Inc...... 18,113...... 480...... 279 Petronas Gas Berhad...... 39,100...... 257...... 181 International Container Terminal Services, Inc...... 187,150...... 491...... 777 PPB Group Berhad...... 97,200...... 527...... 531 JG Summit Holdings, Inc...... 457,201...... 760...... 722 Public Bank Berhad ...... 4,211,355...... 5,793...... 5,169 Jollibee Foods Corporation ...... 152,130...... 1,171...... 825 RHB Bank Berhad ...... 455,459...... 829...... 735 Manila Electric Company...... 69,640...... 620...... 490 Sime Darby Berhad ...... 171,000...... 133...... 111 Metro Pacific Investments Corporation ...... 550,500...... 95...... 54 Sime Darby Plantation Berhad...... 171,000...... 310...... 203 Metropolitan Bank & Trust Company...... 754,291...... 1,289...... 933 Supermax Corporation Berhad...... 233,782...... 617...... 230 Ping An Healthcare and Technology Company Tenaga Nasional Berhad ...... 892,012...... 3,926...... 2,609 Limited ...... 194,500...... 2,560...... 3,003 Top Glove Corporation BHD...... 1,482,500...... 2,217...... 1,847 PLDT Inc...... 12,405...... 556...... 407 ...... 30,634...... 24,545 SM Investments Corporation...... 27,035...... 575...... 686 SM Prime Holdings, Inc...... 1,127,500...... 802...... 1,046 Mexico — 1.7% Universal Robina Corporation ...... 115,660...... 401...... 424 America Movil, S.A.B. de C.V., Series L...... 7,329,425 ...... 7,712 ...... 6,837 ...... 15,508...... 14,972 Arca Continental, S.A.B. de C.V...... 83,100 ...... 678 ...... 596 CEMEX, S.A.B. de C.V...... 1,647,098 ...... 1,598...... 1,719 Poland — 0.5% Coca-Cola FEMSA, S.A.B. de C.V...... 14,100 ...... 116 ...... 92 Allegro.eu SA...... 57,200...... 1,497...... 1,220 Fibra Uno Administracion, S.A.B. de C.V...... 367,900 ...... 814 ...... 492 Bank Pekao SA ...... 23,439...... 1,055...... 709 Fomento Economico Mexicano, S.A.B. de C.V...... 475,778 ...... 5,388 ...... 4,989 CD Projekt S.A...... 10,996...... 863...... 661 Gruma, S.A.B. de C.V., Class B...... 64,244 ...... 900 ...... 895 KGHM Polska Miedz Spolka Akcyjna...... 47,415...... 1,658...... 2,891 Grupo Aeroportuario del Pacifico, S.A.B. de C.V., PGE Polska Grupa Energetyczna S.A...... 25,000...... 173...... 77 Class B ...... 67,800 ...... 918 ...... 900 PKO Bank Polski SA ...... 184,489 ...... 2,428...... 2,270 Grupo Aeroportuario del Sureste, S.A.B. de C.V., Polski Koncern Naftowy ORLEN S.A...... 52,562...... 1,723...... 1,313 Series B ...... 25,600 ...... 538 ...... 584 Polskie Gornictwo Naftowe I Gazownictwo SA ...... 74,786...... 168...... 162 Grupo Bimbo, S.A.B. de C.V., Series A...... 146,600 ...... 411 ...... 400 Powszechny Zaklad Ubezpieczen Spolka Grupo Financiero Banorte, S.A.B. de C.V., Akcyjna...... 266,629 ...... 3,201...... 3,182 Series O ...... 697,877 ...... 5,061 ...... 5,570 ...... 12,766...... 12,485 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Qatar — 0.6% Rabigh Refining and Petrochemical Company ...... 219,100...... 1,156 ...... 1,703 Industries Qatar Q.S.C...... 271,000 ...... 1,231 ...... 1,223 Riyad Bank...... 301,500...... 2,239 ...... 2,641 Masraf Al Rayan Q.S.C...... 1,193,100 ...... 1,650 ...... 1,812 Sahara International Petrochemical Company ...... 83,200...... 487 ...... 843 Ooredoo Q.P.S.C...... 176,200 ...... 446 ...... 438 Saudi Arabian Mining Company...... 157,800...... 2,298 ...... 3,297 Qatar Fuel Company Q.P.S.C...... 34,000...... 260 ...... 205 Saudi Arabian Oil Company...... 505,462...... 6,082 ...... 5,864 Qatar International Islamic Bank (Q.P.S.C.)...... 321,400 ...... 875 ...... 1,019 Saudi Basic Industries Corporation ...... 249,610...... 7,266 ...... 10,049 Qatar Islamic Bank (Q.P.S.C)...... 391,660 ...... 2,137 ...... 2,306 Saudi British Bank, The ...... 29,200...... 301...... 304 Qatar National Bank Q.P.S.C...... 951,087 ...... 6,081 ...... 5,813 Saudi Electricity Company...... 396,900...... 2,377 ...... 3,167 ...... 12,680 ...... 12,816 Saudi Kayan Petrochemical Company ...... 630,700...... 2,154...... 3,765 Saudi National Bank, The...... 390,154...... 6,238 ...... 7,428 Romania — 0.0% Saudi Telecom Company ...... 125,464...... 3,842 ...... 5,458 NEPI Rockcastle plc ...... 52,661 ...... 818 ...... 463 ...... 50,277 ...... 66,152

Russia — 3.5% Singapore — 0.0% Alrosa PJSC...... 748,083...... 1,279 ...... 1,702 BOC Aviation Limited...... 67,200...... 719 ...... 703 Gazprom PJSC ...... 2,627,154...... 10,157 ...... 12,517 Lukoil PJSC ...... 102,662...... 10,699 ...... 11,809 South Africa — 3.6% Magnit PJSC, GDR ...... 93,649...... 1,834 ...... 1,685 Absa Group Limited...... 318,739...... 3,952 ...... 3,753 Mail.ru Group Limited, GDR...... 63,500...... 2,076 ...... 1,785 Anglo American Platinum Limited...... 5,797...... 271 ...... 830 MMC Norilsk Nickel PJSC ...... 4,238...... 1,621 ...... 1,780 Anglogold Ashanti Limited...... 102,319...... 2,489 ...... 2,354 MMC Norilsk Nickel PJSC, (MICEX)...... 10,057...... 2,669 ...... 4,225 Aspen Pharmacare Holdings Limited ...... 109,376...... 1,474 ...... 1,539 Mobile TeleSystems PJSC, ADR...... 10,700...... 211 ...... 123 Bid Corporation Limited ...... 61,923...... 1,738 ...... 1,665 NovaTek OAO, GDR ...... 12,851...... 2,632 ...... 3,495 Bidvest Group Limited, The...... 40,855...... 810 ...... 675 Novolipetsk Steel PJSC ...... 169,495...... 528 ...... 661 Capitec Bank Holdings Ltd ...... 13,224...... 1,443 ...... 1,937 Ozon Holdings PLC, ADR...... 12,800...... 874...... 941 Clicks Group Limited...... 51,930...... 1,152 ...... 1,108 PJSC "Tatneft" ...... 492,751...... 5,906 ...... 4,448 Discovery Limited...... 60,390...... 967 ...... 662 Polymetal International, (London)...... 44,800...... 1,079 ...... 1,196 Exxaro Resources Limited ...... 29,573...... 478 ...... 432 Polymetal International, (MICEX)...... 30,700...... 803 ...... 822 FirstRand Limited ...... 1,160,377...... 5,695 ...... 5,400 Polyus PJSC ...... 6,313...... 686 ...... 1,513 Gold Fields Limited...... 220,900...... 1,552 ...... 2,452 Public Joint Stock Company "Inter Rao Ues" ...... 4,844,446...... 383 ...... 386 Growthpoint Properties Limited ...... 357,642...... 948 ...... 463 Public Joint Stock Company "Moscow Exchange Harmony Gold Mining Company Limited...... 93,100...... 813 ...... 426 Micex-Rts" ...... 792,200...... 1,419 ...... 2,288 Impala Platinum Holdings Limited...... 179,100...... 2,096 ...... 3,669 Public Joint Stock Company Rosneft Oil Mr Price Group Limited...... 64,254...... 1,301 ...... 1,174 Company ...... 188,376...... 1,675 ...... 1,826 MultiChoice Group ...... 245,675...... 2,237 ...... 2,504 Sberbank of Russia PJSC...... 2,436,956...... 10,180 ...... 12,589 Naspers Limited, N Shares...... 97,775...... 24,234 ...... 25,461 Severstal PJSC...... 48,411...... 1,014 ...... 1,287 Nedbank Group Limited ...... 111,015...... 2,389 ...... 1,647 Surgutneftegas PJSC...... 2,649,787...... 1,746 ...... 1,651 Northam Platinum Limited...... 34,000...... 353 ...... 640 Surgutneftegas PJSC, Preference ...... 1,267,900...... 1,026 ...... 995 Old Mutual Limited...... 1,077,471...... 2,260 ...... 1,262 TCS Group Holding PLC, GDR ...... 11,800...... 912 ...... 1,281 Rand Merchant Investment Holdings Ltd ...... 64,900...... 213 ...... 177 TCS Group Holding PLC, GDR, (MICEX) ...... 9,700...... 837 ...... 1,055 Remgro Limited...... 146,780...... 2,795 ...... 1,460 VTB Bank PJSC...... 1,820,751,800 ...... 1,453 ...... 1,498 Sanlam Limited...... 579,817...... 3,490 ...... 3,090 Yandex N.V., Class A ...... 84,700...... 7,154 ...... 7,434 Sasol Limited ...... 160,067...... 4,422 ...... 3,034 ...... 70,853...... 80,992 Shoprite Holdings Limited...... 100,357...... 1,640 ...... 1,354 Sibanye Stillwater ...... 663,000...... 2,826 ...... 3,439 Saudi Arabia — 2.9% SPAR Group Limited, The...... 84,671...... 1,494 ...... 1,330 Advanced Petrochemical Company ...... 30,100...... 493 ...... 719 Standard Bank Group Limited...... 266,600...... 4,525 ...... 2,954 Al Rajhi Bank ...... 306,962...... 6,984 ...... 11,262 Tiger Brands Limited ...... 12,216...... 418 ...... 222 Alinma Bank ...... 561,966...... 3,516 ...... 3,908 Vodacom Group Limited...... 317,379...... 3,550 ...... 3,547 Almarai Company JSC ...... 50,900...... 856 ...... 1,067 Woolworths Holdings Limited...... 597,292...... 1,544 ...... 2,796 Bank Albilad ...... 108,900...... 977 ...... 1,321 ...... 85,569 ...... 83,456 Bank AlJazira...... 239,700...... 1,232 ...... 1,466 Banque Saudi Fransi...... 36,000...... 456 ...... 457 South Korea — 13.2% Dar Al Arkan Real Estate Development Alteogen Inc...... 6,750...... 1,048 ...... 622 Company ...... 271,600...... 933 ...... 947 AmorePacific Corporation...... 6,244...... 1,843 ...... 1,730 Etihad Etisalat Company...... 44,400...... 390 ...... 486 Amorepacific Group...... 1,100...... 242 ...... 78 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

BGF Retail Co., Ltd...... 717 ...... 119 ...... 142 NAVER Corporation ...... 30,900...... 5,015 ...... 14,204 Celltrion Healthcare Co., Ltd...... 23,846 ...... 2,542 ...... 3,037 NCSoft Corporation...... 3,719 ...... 2,242 ...... 3,356 Celltrion Pharm Inc...... 6,324 ...... 936 ...... 1,094 Netmarble Corporation...... 7,775 ...... 929 ...... 1,147 Celltrion, Inc...... 23,065 ...... 4,473 ...... 6,818 Orion Corp...... 3,225 ...... 320 ...... 421 CJ CheilJedang Corporation...... 1,221 ...... 479 ...... 620 Pan Ocean Co., Ltd...... 20,842 ...... 137 ...... 196 CJ Corporation...... 2,678 ...... 653 ...... 316 Pearl Abyss Corp...... 5,500 ...... 304 ...... 458 CJ ENM Co., Ltd...... 1,581 ...... 348 ...... 318 POSCO ...... 21,819 ...... 5,686 ...... 8,323 Coway Co., Ltd...... 7,722 ...... 726 ...... 669 S-1 Corporation...... 2,300 ...... 253 ...... 207 DB Insurance Co., Ltd...... 4,382 ...... 345 ...... 264 Samsung Biologics Co., Ltd...... 4,368 ...... 1,946 ...... 4,042 Doosan Heavy Industries and Construction Co., Samsung C&T Corporation...... 16,291 ...... 1,938 ...... 2,448 Ltd...... 21,628 ...... 349 ...... 568 Samsung Electro-Mechanics Co., Ltd...... 7,115 ...... 985 ...... 1,384 E-MART Inc...... 656 ...... 156 ...... 116 Samsung Electronics Co., Ltd...... 1,036,332 ...... 59,816 ...... 92,077 Fila Holdings Corp...... 5,900 ...... 330 ...... 378 Samsung Electronics Co., Ltd., Preference...... 173,586 ...... 7,944 ...... 14,084 GS Engineering & Construction Corp...... 3,836 ...... 213 ...... 181 Samsung Engineering Co., Ltd...... 12,022 ...... 267 ...... 316 GS Holdings Corp...... 2,613 ...... 205 ...... 133 Samsung Fire & Marine Insurance Co. Ltd...... 1,844 ...... 512 ...... 448 Hana Financial Group Inc...... 70,239 ...... 3,037 ...... 3,557 Samsung Heavy Industries Co., Ltd...... 149,126 ...... 1,381 ...... 1,101 Hankook Tire Co., Ltd...... 6,104 ...... 327 ...... 347 Samsung Life Insurance Co., Ltd...... 16,457 ...... 1,358 ...... 1,445 Hanmi Pharm. Co., Ltd...... 1,024 ...... 538 ...... 377 Samsung SDI Co., Ltd...... 13,158 ...... 3,958 ...... 10,096 Hanon Systems...... 95,440 ...... 987 ...... 1,739 Samsung SDS Co., Ltd...... 3,221 ...... 852 ...... 656 Hanwha Chemical Corporation...... 35,700 ...... 1,198 ...... 1,751 Samsung Securities Co., Ltd...... 17,060 ...... 699 ...... 844 HLB Inc...... 23,798 ...... 1,469 ...... 875 Seegene, Inc...... 10,000 ...... 1,424 ...... 910 HMM Co., Ltd...... 61,000 ...... 2,928 ...... 2,948 Shinhan Financial Group Co., Ltd...... 102,820 ...... 4,919 ...... 4,590 Hotel Shilla Co., Ltd...... 12,600 ...... 1,270 ...... 1,346 Shinpoong Pharmaceutical Co., Ltd...... 13,500 ...... 1,266 ...... 1,278 Hyundai Engineering & Construction Co., Ltd...... 14,062 ...... 829 ...... 903 SHINSEGAE Inc...... 749 ...... 281 ...... 235 Hyundai Glovis Co., Ltd...... 500 ...... 127 ...... 115 SillaJen, Inc.*...... 4,136 ...... 456 ...... 55 Hyundai Heavy Industries Holdings Co., Ltd...... 5,705 ...... 488 ...... 445 SK Chemicals Co., Ltd...... 2,700 ...... 1,252 ...... 773 Hyundai Mobis Co., Ltd...... 11,181 ...... 2,990 ...... 3,595 SK Holdings Co., Ltd...... 9,527 ...... 2,971 ...... 2,963 Hyundai Motor Company...... 40,985 ...... 5,071 ...... 10,808 SK Hynix Inc...... 124,463 ...... 10,877 ...... 17,476 Hyundai Motor Company, Preference...... 785 ...... 52 ...... 100 SK Innovation Co., Ltd...... 13,266 ...... 1,901 ...... 4,317 Hyundai Motor Company, Second Preference ...... 4,755 ...... 432 ...... 602 SK Telecom Co., Ltd...... 10,996 ...... 3,167 ...... 3,874 Hyundai Steel Company...... 18,013 ...... 1,055 ...... 1,064 S-Oil Corporation ...... 25,709 ...... 2,089 ...... 2,903 Industrial Bank of Korea ...... 26,829 ...... 537 ...... 310 Woori Financial Group, Inc...... 135,822 ...... 1,607 ...... 1,711 Kakao Corp...... 58,000 ...... 3,029 ...... 10,404 Woori Investment & Securities Co., Ltd...... 24,969 ...... 464 ...... 355 Kangwon Land, Inc...... 15,536 ...... 583 ...... 460 ...... 203,282 ...... 303,014 KB Financial Group Inc...... 121,447 ...... 6,088 ...... 7,448 Kia Corporation...... 69,337 ...... 3,059 ...... 6,840 Taiwan — 13.5% KMW Co. Ltd...... 5,500 ...... 300 ...... 327 Acer Inc...... 360,786 ...... 372 ...... 470 Korea Aerospace Industries, Ltd...... 5,990 ...... 472 ...... 217 Advantech Co., Ltd...... 14,517 ...... 131 ...... 223 Korea Electric Power Corporation ...... 33,076 ...... 1,338 ...... 905 Airtac International Group ...... 25,000 ...... 476 ...... 1,196 Korea Investment Holdings Co., Ltd...... 6,509 ...... 525 ...... 738 ASE Technology Holding Co., Ltd...... 502,210 ...... 1,560 ...... 2,502 Korea Shipbuilding & Offshore Engineering Co., Asia Cement Corporation ...... 556,000 ...... 847 ...... 1,255 Ltd...... 3,596 ...... 597 ...... 532 ASUSTeK Computer Inc...... 41,513 ...... 481 ...... 686 Korea Zinc Company, Ltd...... 409 ...... 210 ...... 194 AU Optronics Corp...... 952,498 ...... 451 ...... 961 Korean Air Lines Co., Ltd...... 24,119 ...... 847 ...... 837 Catcher Technology Co., Ltd...... 60,000 ...... 802 ...... 486 KT&G Corporation ...... 33,782 ...... 3,501 ...... 3,138 Cathay Financial Holding Co., Ltd...... 1,506,660 ...... 2,890 ...... 3,610 Kumho Petrochemical Co., Ltd...... 1,744 ...... 199 ...... 421 Chailease Holding Co., Ltd...... 509,964 ...... 2,125 ...... 4,594 LG Chem, Ltd...... 11,018 ...... 4,635 ...... 10,311 Cheng Shin Rubber Ind. Co., Ltd...... 831,972 ...... 1,621 ...... 1,730 LG Chem, Ltd., Preference...... 1,208 ...... 313 ...... 510 China Development Financial Holding LG Corp...... 32,081 ...... 3,310 ...... 3,620 Corporation...... 6,794,973 ...... 2,726 ...... 3,975 LG Display Co., Ltd...... 27,676 ...... 778 ...... 747 China Life Insurance Company Limited...... 561,418 ...... 656 ...... 659 LG Electronics Inc...... 19,225 ...... 1,537 ...... 3,458 China Steel Corporation...... 2,548,182 ...... 3,193 ...... 4,490 LG Household & Health Care Ltd...... 1,582 ...... 2,214 ...... 3,069 Chunghwa Telecom Co., Ltd...... 828,000 ...... 4,107 ...... 4,189 LG Innotek ...... 2,390 ...... 339 ...... 587 Compal Electronics, Inc...... 214,700 ...... 196 ...... 213 Lotte Chemical Corporation...... 3,547 ...... 1,208 ...... 1,025 CTBC Financial Holding Co., Ltd...... 1,837,868 ...... 1,601 ...... 1,853 Lotte Shopping Co., Ltd...... 178 ...... 47 ...... 23 Delta Electronics, Inc...... 276,000 ...... 1,797 ...... 3,715 Mirae Asset Securities Co., Ltd...... 52,407 ...... 595 ...... 544 E.SUN Financial Holding Company, Ltd...... 3,184,151 ...... 3,503 ...... 3,720 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Eclat Textile Co., Ltd...... 44,160 ...... 751 ...... 1,289 Yageo Corporation...... 46,605 ...... 770 ...... 1,155 Evergreen Marine Corporation (Taiwan) Ltd...... 530,000 ...... 1,780 ...... 4,644 Yang Ming Marine Transport Corporation ...... 144,000 ...... 698 ...... 1,169 Far Eastern New Century Corporation...... 957,661 ...... 1,182 ...... 1,363 Yuanta Financial Holding Co., Ltd...... 1,184,341 ...... 1,157 ...... 1,415 Far EasTone Telecommunications Co., Ltd...... 625,531 ...... 2,004 ...... 1,796 Zhen Ding Technology Holding Limited ...... 33,000 ...... 95 ...... 154 First Financial Holding Co., Ltd...... 2,389,811 ...... 2,274 ...... 2,414 ...... 193,609 ...... 310,846 Formosa Chemicals & Fibre Corporation...... 1,138,368 ...... 4,186 ...... 4,287 Formosa Petrochemical Corporation...... 340,000 ...... 1,417 ...... 1,611 Thailand — 1.8% Formosa Plastics Corporation...... 1,219,913 ...... 4,707 ...... 5,573 Advanced Info Service Public Company Limited, Foxconn Technology Co., Ltd...... 489,126 ...... 1,311 ...... 1,427 Foreign Market...... 287,045 ...... 2,261 ...... 1,900 Fubon Financial Holding Co., Ltd...... 1,174,373 ...... 2,381 ...... 3,854 Airports of Thailand Public Company Limited, Giant Manufacturing Co., Ltd...... 57,000 ...... 512 ...... 808 Foreign Market...... 990,300 ...... 2,655 ...... 2,378 Globalwafers Co., Ltd...... 52,000 ...... 674 ...... 2,128 Asset World Corp Public Company Limited, HIWIN Technologies Corp...... 68,716 ...... 769 ...... 1,208 Foreign Shares ...... 4,286,200 ...... 820 ...... 720 Hon Hai Precision Industry Co., Ltd...... 2,682,934 ...... 10,420 ...... 13,369 Bangkok Bank Public Company Limited, Foreign Hotai Motor Co., Ltd...... 50,000 ...... 913 ...... 1,366 Market ...... 71,000 ...... 455 ...... 311 Hua Nan Financial Holdings Co., Ltd...... 337,929 ...... 309 ...... 277 Carabao Group Public Company Limited, InnoLux Display Corporation ...... 2,834,642 ...... 1,211 ...... 2,621 Foreign Shares ...... 267,100 ...... 1,372 ...... 1,463 Inventec Corporation...... 257,278 ...... 257 ...... 300 Central Pattana Public Company Limited, Largan Precision Co., Ltd...... 21,213 ...... 4,108 ...... 2,926 Foreign Market...... 337,500 ...... 714 ...... 686 Lite-On Technology Corporation...... 1,345,716 ...... 2,760 ...... 3,449 CP ALL Public Company Limited, Foreign MediaTek Inc...... 323,927 ...... 4,707 ...... 13,864 Market ...... 1,261,689 ...... 3,759 ...... 2,930 Mega Financial Holding Co., Ltd...... 1,309,513 ...... 1,589 ...... 1,914 Delta Electronics Thailand PCL ...... 97,200 ...... 1,059 ...... 2,173 Micro-Star International Company Limited...... 114,368 ...... 391 ...... 800 Electricity Generating Public Company Limited...... 342,600 ...... 3,003 ...... 2,321 Nan Ya Plastics Corporation ...... 1,003,613 ...... 3,130 ...... 3,707 Energy Absolute Public Limited Company, Nanya Technology Corp...... 241,153 ...... 703 ...... 855 Foreign Shares ...... 519,800 ...... 1,215 ...... 1,228 Novatek Microelectronics Corp...... 175,000 ...... 2,360 ...... 3,885 Global Power Synergy Public Company Oneness Biotech Co., Ltd...... 66,000 ...... 796 ...... 682 Limited ...... 757,900 ...... 2,203 ...... 2,138 Pegatron Corporation ...... 373,000 ...... 1,176 ...... 1,142 Glow Energy PCL* ...... 108,700 ...... 402 ...... — Phison Electronics Corp...... 30,979 ...... 363 ...... 662 Indorama Ventures Public Company Limited, Pou Chen Corporation...... 532,000 ...... 910 ...... 931 Foreign Market...... 742,500 ...... 993 ...... 1,172 Powertech Technology Inc...... 185,431 ...... 589 ...... 888 Intouch Holdings Public Company Limited ...... 407,000 ...... 1,168 ...... 1,024 President Chain Store Corporation...... 144,000 ...... 1,866 ...... 1,684 Kasikornbank Public Company Limited, Foreign Quanta Computer Inc...... 432,919 ...... 1,082 ...... 1,685 Market ...... 300,800 ...... 1,481 ...... 1,375 Realtek Semiconductor Corp...... 124,000 ...... 2,142 ...... 2,786 Krungthai Card Public Company Limited, Ruentex Development Co., Ltd...... 515,400 ...... 702 ...... 1,298 Foreign Shares ...... 519,400 ...... 1,450 ...... 1,347 Shanghai Commercial & Savings Bank, Ltd...... 513,000 ...... 1,016 ...... 1,032 Minor International Public Company Limited ...... 1,919,200 ...... 1,297 ...... 2,231 Shin Kong Financial Holding Co., Ltd...... 6,193,042 ...... 2,458 ...... 2,624 Minor International Public Company Limited, SinoPac Financial Holdings Co., Ltd...... 1,640,557 ...... 608 ...... 1,004 Warrants, Jul 21, 2023 ...... 87,236 ...... — ...... 32 Synnex Technology International Corporation...... 688,000 ...... 1,083 ...... 1,558 Minor International Public Company Limited, Taiwan Business Bank...... 4,685,460 ...... 1,624 ...... 1,969 Warrants, Feb 15, 2024 ...... 59,975 ...... 0 ...... 11 Taiwan Cement Corporation...... 1,647,171 ...... 2,578 ...... 3,739 Minor International Public Company Limited, Taiwan Cooperative Financial Holding Co., Ltd...... 1,102,100 ...... 1,005 ...... 1,042 Warrants, May 5, 2025 ...... 66,179 ...... 0 ...... 13 Taiwan High Speed Rail Corporation...... 1,093,000 ...... 1,559 ...... 1,451 Muangthai Capital Public Company Limited, Taiwan Mobile Co., Ltd...... 212,000 ...... 1,012 ...... 962 Foreign Shares ...... 495,100 ...... 1,187 ...... 1,102 Taiwan Semiconductor Manufacturing PTT Exploration and Production Public Company Company, Ltd...... 5,336,330 ...... 69,740 ...... 141,261 Limited, Foreign Market ...... 648,500 ...... 2,669 ...... 2,946 Unimicron Technology Corp...... 418,000 ...... 1,540 ...... 2,401 PTT Global Chemical Public Company Limited, Uni-President Enterprises Corp...... 1,095,080 ...... 3,330 ...... 3,568 Foreign Market...... 531,400 ...... 1,593 ...... 1,216 United Microelectronics Corporation ...... 2,634,763 ...... 4,091 ...... 6,224 PTT Oil and Retail Business Public Company Vanguard International Semiconductor Limited, Foreign Market ...... 608,500 ...... 733 ...... 719 Corporation...... 52,000 ...... 146 ...... 272 PTT Public Company Limited ...... 2,794,730 ...... 4,332 ...... 4,255 Walsin Technology Corporation...... 49,427 ...... 582 ...... 500 Siam Cement Public Company Limited, The, Win Semiconductors Corp...... 291 ...... 3 ...... 5 Foreign Market...... 161,287 ...... 2,358 ...... 2,699 Winbond Electronics Corp...... 152,858 ...... 164 ...... 236 Siam Commercial Bank Public Company Wistron Corporation ...... 784,732 ...... 788 ...... 1,083 Limited, Foreign Market ...... 183,800 ...... 987 ...... 697 WPG Holdings Limited...... 880,160 ...... 1,595 ...... 2,002 Srisawad Corporation Public Company Limited...... 766,200 ...... 2,356 ...... 2,039 BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

Srisawad Corporation Public Company Limited, Warrants, Aug 29, 2025...... 4,408 ...... — ...... 3 Thai Oil Public Company Limited, Foreign Market ...... 341,300 ...... 1,064 ...... 722 ...... 43,586 ...... 41,851

Turkey — 0.2% Akbank Turk A.S...... 582,104 ...... 1,434 ...... 439 Aselsan Elektronik Sanayi ve Ticaret Anonim Sirketi ...... 345,260 ...... 857 ...... 725 BIM Birlesik Magazalar A.S...... 36,246 ...... 411 ...... 321 Eregli Demir ve Celik Fabrikalari Turk Anonim Sirketi ...... 315,107 ...... 825 ...... 810 KOC Holding A.S...... 93,492 ...... 437 ...... 245 Turkcell Iletisim Hizmetleri Anonim Sirketi ...... 141,170 ...... 411 ...... 324 Turkiye Garanti Bankasi A.S...... 323,259 ...... 899 ...... 383 Turkiye Is Bankasi A.S...... 83,100 ...... 233 ...... 60 Turkiye Petrol Rafinerileri A.S...... 65,119 ...... 1,260 ...... 881 ...... 6,767 ...... 4,188

United Arab Emirates — 0.6% Abu Dhabi Commercial Bank PJSC ...... 930,000 ...... 2,036 ...... 2,157 Aldar Properties PJSC...... 270,700 ...... 240 ...... 349 Dubai Islamic Bank P.J.S.C...... 760,432 ...... 1,359 ...... 1,238 Emaar Properties PJSC...... 256,413 ...... 580 ...... 360 Emirates NBD Bank PJSC ...... 77,700 ...... 300 ...... 347 Emirates Telecommunications Group Company PJSC...... 571,271 ...... 3,474 ...... 4,241 National Bank of Abu Dhabi P.J.S.C...... 1,048,787 ...... 5,176 ...... 5,912 ...... 13,165 ...... 14,604 Total Equities — 97.5% ...... 1,787,102...... 2,244,469

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

HOLDINGS IN INVESTMENT FUNDS Emerging Markets Equity Funds — 2.2% iShares MSCI Emerging Markets ETF...... 627,260 ...... 41,779 ...... 42,882 IShares MSCI Kuwait ETF ...... 171,600 ...... 5,936 ...... 6,757 Total Holdings in Investment Funds — 2.2%...... 47,715...... 49,639

Total Investment Portfolio — 99.7%...... 1,834,823...... 2,294,114 Other Assets Less Liabilities — 0.3%...... 7,349 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — 100.0% ...... 2,301,463

+ 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 MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 1. The Fund balances may have been reclassified to conform with BMO MSCI Emerging Markets Index ETF (“the ETF”) is the current period presentation. an exchange-traded fund established as an open-ended trust by a Declaration of Trust under the laws of the 3. Summary of significant accounting policies Financial Instruments Province of Ontario. BMO Asset Management Inc. (“the Financial instruments include financial assets and Manager”) is the Manager and trustee of the ETF. The financial liabilities such as equity and debt securities, Manager is a wholly owned subsidiary of Bank of investment funds and derivatives. These investments Montreal. The address of the ETF’s registered office is are part of a group of financial instruments that are 100 King Street West, Toronto, Ontario, M5X 1A1. managed and their performance is evaluated on a fair The Statement of Financial Position and related notes value basis and in accordance with the ETF's for the ETF are as at June 30, 2021 and December 31, investment strategy. 2020, except for ETFs established in 2021, in which The ETF classifies and measures financial instruments case the information is only as at June 30, 2021. The in accordance with IFRS 9 Financial Instruments Statement of Comprehensive Income, Statement of (“IFRS 9”). Upon initial recognition, financial Changes in Net Assets Attributable to Holders of instruments are recorded at fair value. A financial Redeemable Units, Statement of Cash Flows and instrument is recognized when the ETF becomes a related notes are for the period(s) ended June 30, party to the contractual requirements of the instrument 2021 and June 30, 2020, except for ETFs established and is derecognized when the right to receive cash during either period, which is presented from the date flows from the instrument has expired or the ETF has of establishment (as noted in Note 8) to June 30, of the transferred substantially all risks and rewards of applicable period. Financial information provided for a ownership. As such, investment purchase and sale class of units established during the period(s) is transactions are recorded as of the trade date. presented from the establishment date as noted in Investments and derivatives are subsequently Note 8 to June 30 of the applicable period. measured at FVTPL, with changes in fair value The financial statements were authorized for issue by recognized in the Statement of Comprehensive Income the Manager on August 10, 2021. as “Change in unrealized appreciation (depreciation)”. These financial statements should be read in All financial assets and financial liabilities are conjunction with the annual financial statements for recognized in the Statement of Financial Position. the period ended December 31, 2020, which have been The ETF’s redeemable units, which are puttable prepared in accordance with International Financial instruments, are held by different types of unitholders Reporting Standards (“IFRS”), as issued by the that are entitled to different redemption rights. See International Accounting Standards Board ("IASB"). Note 5 for details of unitholders’ transactions in the 2. Basis of preparation and presentation units of the ETF. These unaudited interim financial statements have The different redemption features create equally been prepared in accordance with IFRS and in subordinate but not identical units or classes of the accordance with International Accounting Standard units of the ETF. Redemption of units at 95% of the Net ("IAS") 34 - Interim Financial Reporting, as issued by Asset Value (“NAV”) for some type of unitholders the IASB. The financial statements have been prepared redemptions also results in a situation where the on a historic cost basis, except for the revaluation of redemption value of this puttable instrument is not financial assets and financial liabilities (including based substantially on the net assets of the ETF. As a derivative financial instruments) measured at fair value through profit or loss ("FVTPL"). Certain prior period BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 result, the ETF’s obligations for net assets attributable on the Valuation Date (the “Valuation Date” is each day to holders of redeemable units ("Net Assets") are on which the Toronto Stock Exchange (“TSX”) is open classified as financial liabilities and presented at the for trading) and the fair value on the date the contract redemption amounts. originated.

Cost of investments For the Listed Hedged Units (the "Hedged Units"), the The cost of investments represents the amount paid for ETF enters into forward currency contracts to hedge each security and is determined on an average cost against foreign currency exposure and as a result the basis, and excludes commissions and other portfolio Hedged Units will be subject to less currency risk than transaction costs, which are reported separately in the the other classes of the ETF because their foreign Statement of Comprehensive Income. Realized gains currency exposure is hedged. However, the hedging and losses on disposition are determined based on the strategy may not achieve a perfect hedge of the foreign cost of the investments. currency exposure for the Hedged Units. Fair value measurement The ETF may engage in option contract transactions by Fair value is defined as the price that would be received purchasing (long positions) or writing (short positions) to sell an asset or paid to transfer a liability in an call or put option contracts. These contracts have orderly transaction between market participants at the different risk exposures for the ETF, whereas the risk measurement date. for long positions will be limited to the premium paid For exchange-traded securities, close prices are to purchase the option contracts, the risk exposure for considered to be fair value if they fall within the bid-ask the short positions is potentially unlimited until closed spread. In circumstances where the close price is not or expired. within the bid-ask spread, the Manager determines the The premium paid for purchasing an option is included point within the bid-ask spread that is most in "Derivative assets" in the Statement of Financial representative of fair value based on the specific facts Position. The option contract is valued on each and circumstances. Valuation Date at an amount equal to the fair value of Procedures are in place to fair value equities traded in the option that would have the effect of closing the countries outside of North America daily, to avoid stale position. The change in the difference between the prices and to take into account, among other things, premium and the fair value is shown as “Change in any significant events occurring after the close of a unrealized appreciation (depreciation)” in the foreign market. Statement of Comprehensive Income. For bonds, debentures, asset-backed securities and When a purchased option expires, the ETF 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 ETF 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 put option is exercised, the premium paid is subtracted The ETF may enter into forward currency contracts for from the proceeds from the sale of the underlying hedging purposes either directly or indirectly, or for security that had to be sold. non-hedging purposes. The fair value of forward currency contracts entered into by the ETF is recorded as the difference between the fair value of the contract BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 The premium received from writing an option is Credit default swap contracts are fair valued daily included in "Derivative liabilities" in the Statement of based upon quotations from independent security Financial Position. pricing sources. Premiums paid or received, if any, are included in “Net realized gain (loss)” in the Statement When a written option expires, the ETF will realize a of Comprehensive Income. Net periodic payments are gain equal to the premium received. When a written accrued daily and recorded as “Derivative income option is closed, the ETF will realize a gain or loss (loss)" in the Statement of Comprehensive Income. equal to the difference between the cost at which the When credit default swap contracts expire or are closed contract was closed and the premium received. When a out, gains or losses are recorded as “Net realized gain written call option is exercised, the premium received (loss)” in the Statement of Comprehensive Income. is added to the proceeds from the sale of the underlying investments to determine the realized gain or loss. For securities where market quotes are not available, When a written put option is exercised, the premium unreliable or not considered to reflect the current received is subtracted from the cost of the underlying value, the Manager may determine another value investments the ETF had purchased. which it considers to be fair and reasonable, or use a valuation technique that, to the extent possible, makes The gain or loss that the ETF realizes when a maximum use of inputs and assumptions based on purchased or written option is expired or closed is observable market data, including volatility, recorded as “Net realized gain (loss)” in the Statement comparable companies, NAV (for exchange-traded of Comprehensive Income. funds) and other applicable rates or prices. These A credit default swap contract is an agreement to estimation techniques include discounted cash flows, transfer credit risk from one party, a buyer of internal models that utilize observable data or protection, to another party, a seller of protection. The comparisons with other securities that are substantially ETF, as a seller of protection, would be required to pay similar. In limited circumstances, the Manager may use a notional or other agreed upon value to the buyer of internal models where the inputs are not based on protection in the event of a default by a third-party. In observable market data. return, the ETF would receive from the counterparty a Cash periodic stream of payments over the term of the Cash is comprised of cash and deposits with banks, contract provided that no event of default occurs. If no which include bankers’ acceptances and overnight default occurs, the ETF would keep the stream of demand deposits. The carrying amount of cash payments and would have no payment obligations. approximates its fair value because it is short-term in In connection with the agreement, securities or cash nature. may be identified as collateral or margin in accordance Other assets and other liabilities with the terms of the agreement to provide assets of Other assets and other liabilities generally include value in the event of default or bankruptcy/insolvency. receivable for investments sold, subscriptions The ETF, as a buyer of protection, would receive a receivable, dividends receivable, redemptions payable, notional or other agreed upon value from the seller of distributions payable and accrued expenses. These protection in the event of a default by a third-party. In financial assets and financial liabilities are short-term return, the ETF would be required to pay to the in nature and are measured at amortized cost, which counterparty a periodic stream of payments over the approximates their fair value. term of the contract provided that no event of default occurs. BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 Investments in subsidiaries, joint ventures and associates mortgage bankers, commercial banks and others. Subsidiaries are entities over which the ETF has Asset-backed securities are created from many types of control through its exposure or rights to variable assets, including auto loans, credit card receivables, returns from its investment and has the ability to affect home equity loans, and student loans. those returns through its power over the entity. The The ETF does not provide and has not committed to Manager has determined that the ETF is an investment providing any additional significant financial or other entity and as such, it accounts for subsidiaries, if any, at support to the unconsolidated structured entities other fair value. Joint ventures are investments where the than its investment in the unconsolidated structured ETF exercises joint control through an agreement with entities. other shareholders, and associates are investments in which the ETF exerts significant influence over Additional information on the ETF’s interest in operating, investing, and financing decisions (such as unconsolidated structured entities, where applicable, is entities in which the ETF owns 20% - 50% of voting provided in Note 8. shares), all of which, if any, have been classified at Offsetting of financial assets and financial liabilities FVTPL. Financial instruments are presented at net or gross Unconsolidated structured entities amounts on the Statement of Financial Position The Manager has determined that the underlying funds depending on the existence of intention and legal right in which the ETF may invest are unconsolidated to offset opposite positions of such instruments held structured entities. This determination is based on the with the same counterparties. Amounts offset in the fact that decision making about the underlying funds is Statement of Financial Position are related to not governed by the voting right or other similar right transactions for which the ETF has legally enforceable held by the ETF. Similarly, investments in rights to offset and intends to settle the positions on a securitizations, asset-backed securities and net basis. Amounts not offset in the Statement of mortgage-backed securities are determined to be Financial Position relate to positions where there is no interests in unconsolidated structured entities. legally enforceable right to offset, or the legal right to offset is only in the event of default, insolvency or The ETF may invest in underlying funds whose bankruptcy, or where the ETF has no intention to settle investment objectives range from achieving short-term on a net basis. Refer to Note 8 for details. to long-term income and capital growth potential. Underlying funds may use leverage in a manner Income recognition consistent with their respective investment objectives Dividend income and distributions received from and as permitted by Canadian securities regulatory investment trusts are recognized on the ex-dividend authorities. Underlying funds finance their operations and ex-distribution date, respectively. by issuing redeemable units which are puttable at the Interest income from interest bearing investments is holders’ option and entitles the holder to a recognized in the Statement of Comprehensive Income proportionate stake in the respective fund’s Net Assets. using the effective interest rate. Interest receivable The change in fair value of each of the underlying shown in the Statement of Financial Position is accrued funds during the periods is included in “Change in based on the interest bearing investments’ stated rates unrealized appreciation (depreciation)” in the of interest. Statement of Comprehensive Income. Interest on inflation-indexed bonds is paid based on a Mortgage-related securities are created from pools of principal value, which is adjusted for inflation. The residential or commercial mortgage loans, including inflation adjustment of the principal value is mortgage loans made by savings and loan institutions, recognized as part of "Interest income" in the Statement BMO MSCI Emerging Markets Index ETF (unaudited)

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

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

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

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 From time to time, the Manager may on behalf of the Separately, in the U.S. the transaction includes the ETF, enter into transactions or arrangements with or transfer to Columbia Threadneedle Investments involving subsidiaries and affiliates of Bank of (“CTI”), Ameriprise Financial’s global asset Montreal, or certain other persons or companies that management business, of certain asset management are related or connected to the Manager of the ETF. clients of BMO Asset Management Corp. or Taplin, These transactions or arrangements may include Canida & Habacht, LLC (together, “BMO GAM U.S.”), transactions or arrangements with or involving subject to client consent. An evaluation is currently subsidiaries and affiliates of Bank of Montreal, BMO underway between BMO GAM U.S. and CTI in relation Asset Management Corp., BMO Asset Management Inc., to the sub-advisory arrangements with BMO GAM BMO Nesbitt Burns Inc., BMO Private Investment U.S. for certain Funds. Counsel Inc., BMO InvestorLine Inc., BMO Investments Inc., or other investment funds offered by 7. Financial instruments risks The ETF’s activities expose it to a variety of risks Bank of Montreal and may involve the purchase or sale associated with the financial instruments, as of portfolio securities through or from subsidiaries or follows: market risk (including currency risk, interest affiliates of Bank of Montreal, the purchase or sale of rate risk and other market risk), credit risk and liquidity securities issued or guaranteed by subsidiaries or risk. The concentration table groups securities by asset affiliates of Bank of Montreal, entering into forward type, geographic location and/or market segment. The contracts with subsidiaries or affiliates of Bank of ETF’s risk management practice focuses on processes Montreal acting as counterparty, the purchase or and strategies to minimize the tracking error between redemption of units of other Bank of Montreal affiliated the ETF’s performance and the performance of its investment funds or the provision of services to the relevant index. Manager. (a) Currency risk BMO Nesbitt Burns Inc. is one of the designated brokers Currency risk is the risk that the fair value of financial that have entered into an underwriting agreement with instruments denominated in currencies, other than the the Manager. As a Designated Broker, under the functional currency of the ETF, will fluctuate due to underwriting agreement, BMO Nesbitt Burns Inc. may changes in foreign exchange rates. Investments in subscribe for and or be issued units of the ETF by the foreign markets are exposed to currency risk as the Manager from time to time. prices denominated in foreign currencies are converted On April 12, 2021, BMO Financial Group announced to the ETF’s functional currency in determining fair that it had reached a definitive agreement to sell the value. The ETF may enter into forward currency entities that represent its EMEA Asset Management contracts for hedging purposes to reduce foreign business to Ameriprise Financial, Inc. The transaction currency exposure. IFRS 7 considers the foreign is expected to close in the fourth quarter of 2021, exchange exposure relating to non-monetary assets and subject to regulatory approval and other customary liabilities to be a component of market price risk not closing conditions. After the transaction has closed, foreign currency risk. However, the Manager monitors Pyrford International Limited, LGM Investments the exposure on all foreign currency denominated Limited, BMO Global Asset Management (Asia) assets and liabilities. The ETF’s exposure to currency Limited and BMO Asset Management Limited will no risk, if any, is further disclosed in Note 8. longer be subsidiaries or affiliates of Bank of Montreal (b) Interest rate risk or related or connected to the Manager. Interest rate risk is the risk that the fair value of the ETF's interest bearing investments will fluctuate due to changes in market interest rates. The ETF's exposure to BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 interest rate risk is concentrated in its investment in The ETF may enter into securities lending transactions debt securities (such as bonds, money market with approved counterparties. Credit risk associated investments, short-term investments and debentures) with these transactions is considered minimal as all and interest rate derivative instruments, if any. Other counterparties have a sufficient approved credit rating assets and liabilities are short-term in nature and/or and the market value of collateral held by the ETF must non-interest bearing. The ETF's exposure to interest be at least 102% of the fair value of securities loaned, as rate risk, if any, is further discussed in Note 8. disclosed in Note 8, where applicable.

(c) Other market risk (e) Liquidity risk Other market risk is the risk that the fair value of a The ETF's exposure to liquidity risk is concentrated in financial instrument will fluctuate as a result of the daily redemptions of units, and other liabilities. changes in market prices (other than those arising from Since the settlement of redemptions is primarily by interest rate risk or currency risk), whether those delivery of securities, the ETF is not exposed to any changes are caused by factors specific to the individual significant liquidity risk. The ETF primarily invests in financial instrument or its issuer, or factors affecting all securities that are traded in active markets and can be similar financial instruments traded in a market or readily disposed. In addition, the ETF retains sufficient market segment. The Manager moderates this risk cash positions to maintain liquidity. The ETF may, from through the use of investment strategies that seek to time to time, enter into over-the-counter derivative minimize the ETF’s tracking error versus a market contracts or invest in unlisted securities, which are not index, within the parameters of the investment strategy. traded in an organized market and may be illiquid. The maximum risk resulting from financial Securities for which market quotation could not be instruments is equivalent to its fair value. obtained and may be illiquid are identified in the Schedule of Investment Portfolio. The proportion of The Manager monitors the ETF’s overall market illiquid securities to the NAV of the ETF is monitored positions on a daily basis and positions are maintained by the Manager to ensure it does not exceed the within established ranges. Other assets and liabilities regulatory limit and does not significantly affect the are monetary items that are short-term in nature, and liquidity required to meet the ETF's financial as such they are not subject to other market risk. The obligations. ETF's exposure to other market risk, if any, is further discussed in Note 8.

(d) Credit risk Credit risk is the risk that a loss could arise from a security issuer or counterparty to a financial instrument not being able to meet its financial obligations. The fair value of debt securities includes consideration of the credit worthiness of the debt issuer. Credit risk exposure for over-the-counter derivative instruments is based on the ETF's unrealized gain of the contractual obligations with the counterparty as at the reporting date. The credit exposure of other assets is represented by its carrying amount. The ETF's exposure to credit risk, if any, is further discussed in Note 8. BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 8. ETF specific information The outstanding accrued management fees due to the (a) ETF information and change in units Manager are included in “Accrued expenses” in the The ETF was established on May 12, 2009. The units Statement of Financial Position and as at June 30, are listed on the TSX under the symbol ZEM. 2021 amounted to $1,446 (December 31, 2020 — The last close price as at June 30, 2021 was $1,184). $24.79 (December 31, 2020 — $23.60). Brokerage commissions The number of units that have been issued and are Brokerage commissions paid (excluding transaction outstanding are disclosed in the table below. costs) on security transactions and amounts paid to related parties of the Manager for brokerage services

For the periods ended Jun. 30, Jun. 30, provided to the ETF for the periods are as follows: (in thousands of units) 2021 2020 Units issued and outstanding, Jun. 30, 2021 Jun. 30, 2020 beginning of period 97,015 58,965 For the periods ended ($) ($) Units issued 11,400 31,000 Total brokerage amounts paid 85 381 Redeemed during the period (15,700) (3,150) Total brokerage amounts paid to related Units issued and outstanding, parties — — end of period 92,715 86,815 There were no ascertainable soft dollars paid or (b) Reconciliation of NAV to Net Assets payable to dealers by the ETF during the periods. As at June 30, 2021 and December 31, 2020, there were (f) Financial instruments risks no differences between the ETF’s NAV per unit and its The ETF’s objective is to replicate, to the extent Net Assets per unit calculated in accordance with IFRS. possible, the performance of the MSCI Emerging (c) Increase (decrease) in net assets attributable to Markets Index, net of expenses. The investment holders of redeemable units per unit strategy of the ETF is to invest in and hold the The increase (decrease) in net assets attributable to constituent securities of MSCI Emerging Markets Index holders of redeemable units per unit for the periods in the same proportion as they are reflected in the MSCI ended June 30, 2021 and June 30, 2020 is calculated as Emerging Markets Index or securities intended to follows: replicate the performance of that index.

Jun. 30, Jun. 30, No changes affecting the overall level of risk of For the periods ended 2021 2020 investing in the ETF were made during the period. Increase (decrease) in net assets attributable to holders of redeemable units 105,250 (76,383) Currency risk Weighted average units outstanding during the period The ETF’s exposure to currency risk is summarized in (in thousands of units) 96,694 78,587 the tables below. Amounts shown are based on the Increase (decrease) in net assets attributable to holders of redeemable units per unit 1.09 (0.96) carrying value of monetary and non-monetary assets (including derivatives and the underlying principal (d) Income taxes (notional) amount of forward currency contracts, if As at the tax year-ended December 15, 2020, there were any). no capital and non-capital losses carried forward.

(e) Related party transactions Management fees The Manager is entitled to receive a management fee of 0.250% per annum of the NAV of the ETF, plus applicable taxes, accrued daily and paid quarterly in arrears. BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021

As at Jun. 30, 2021 As at Dec. 31, 2020 Cash and other Cash and other current Investments Forward current Investments Forward receivables (monetary & currency Net currency As a % of receivables (monetary & currency Net currency As a % of & payables non-monetary) contracts exposure Net Assets & payables non-monetary) contracts exposure Net Assets Currency ($) ($) ($) ($) (%) Currency ($) ($) ($) ($) (%) Brazilian Real 824 116,910 — 117,734 5.1 Pound Sterling 0 3,401 — 3,401 0.1 Chilean Peso 0 6,894 — 6,894 0.3 Qatari Rial 147 12,971 — 13,118 0.6 Chinese Yuan Russian Ruble 16 60,152 — 60,168 2.6 Renminbi Saudi Riyal 131 53,788 — 53,919 2.3 (onshore) 220 109,993 — 110,213 4.8 South African Rand 22 80,159 — 80,181 3.5 Colombian Peso 3 2,825 — 2,828 0.1 South Korean Won 10 297,212 — 297,222 12.9 Czech Republic Taiwan New Dollar 515 275,698 — 276,213 12.0 Koruna 106 5,813 — 5,919 0.3 Thai Baht 69 38,549 — 38,618 1.7 Euro 76 2,045 — 2,121 0.1 Turkish Lira 257 6,207 — 6,464 0.3 Hong Kong Dollar 2,965 596,425 — 599,390 26.0 UAE Dirham 0 11,594 — 11,594 0.5 Hungarian Forint 110 7,064 — 7,174 0.3 U.S. Dollar 39,966 405,220 — 445,186 19.4 Indian Rupee 338 235,036 — 235,374 10.2 Total 44,117 2,291,914 — 2,336,031 101.6 Indonesian Rupiah 142 27,526 — 27,668 1.2 Malaysian Ringgit 273 24,545 — 24,818 1.1 As at June 30, 2021 and December 31, 2020, if the Mexican Peso 3 38,069 — 38,072 1.7 Philippine Peso 3 11,969 — 11,972 0.5 Canadian dollar had strengthened or weakened by 5% Polish Zloty 274 12,486 — 12,760 0.6 in relation to all foreign currencies, with all other Pound Sterling 1 1,196 — 1,197 0.1 Qatari Rial 143 12,816 — 12,959 0.6 variables held constant, the Net Assets of the ETF could Russian Ruble 50 71,432 — 71,482 3.1 possibly have decreased or increased, respectively, by Saudi Riyal 47 66,152 — 66,199 2.9 approximately $115,139 (December 31, 2020 — South African Rand 144 84,188 — 84,332 3.7 South Korean Won 0 303,014 — 303,014 13.2 $116,802). In practice, actual results may differ from Taiwan New Dollar 849 313,544 — 314,393 13.7 this sensitivity analysis and the difference could be Thai Baht 56 41,851 — 41,907 1.8 Turkish Lira 744 4,188 — 4,932 0.2 material. UAE Dirham 61 14,604 — 14,665 0.6 U.S. Dollar 1,231 183,529 — 184,760 8.0 Interest rate risk As at June 30, 2021 and December 31, 2020, the ETF did Total 8,663 2,294,114 — 2,302,777 100.2 not have significant exposure to interest rate risk.

As at Dec. 31, 2020 Cash and other Other market risk current Investments Forward The ETF has a significant exposure to other market risk receivables (monetary & currency Net currency As a % of & payables non-monetary) contracts exposure Net Assets arising from its investment in equity securities. Using Currency ($) ($) ($) ($) (%) historical correlation between the ETF's return and the Brazilian Real 392 110,872 — 111,264 4.8 return of its benchmark, if the benchmark, MSCI Chilean Peso 1 7,675 — 7,676 0.3 Emerging Markets Index, had increased or decreased Chinese Yuan Renminbi by 10%, with all other variables held constant, the Net (onshore) 1,311 106,069 — 107,380 4.7 Assets of the ETF would have increased or decreased, Colombian Peso 16 3,421 — 3,437 0.1 Czech Republic respectively, by $224,292 (December 31, 2020 — Koruna 109 4,950 — 5,059 0.2 $226,572). Historical correlation may not be Euro 0 1,987 — 1,987 0.1 Hong Kong Dollar 300 477,424 — 477,724 20.8 representative of future correlation, and accordingly, Hungarian Forint 73 6,412 — 6,485 0.3 actual results may differ and the difference could be Indian Rupee 55 208,479 — 208,534 9.1 material. Indonesian Rupiah 51 31,642 — 31,693 1.4 Malaysian Ringgit 264 28,168 — 28,432 1.2 Credit risk Mexican Peso 5 34,493 — 34,498 1.5 Philippine Peso 11 12,928 — 12,939 0.6 As at June 30, 2021 and December 31, 2020, the ETF did Polish Zloty 396 12,443 — 12,839 0.6 not have significant exposure to credit risk. BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 Securities lending Jun. 30, Dec. 31, The ETF had assets involved in securities lending As at 2021 2020 transactions outstanding as at June 30, 2021 and Philippines 0.7% 0.7% Poland 0.5% 0.6% December 31, 2020 as follows: Qatar 0.6% 0.6% Romania 0.0% 0.0% Aggregate Value of Aggregate Value of Collateral Russia 3.6% 3.2% Securities on Loan Received for the Loan Saudi Arabia 3.0% 2.5% ($) ($) Singapore 0.0% 0.0% Jun. 30, 2021 12,035 12,909 South Africa 3.7% 3.6% Dec. 31, 2020 148,903 159,747 South Korea 13.5% 13.7% Taiwan 13.8% 12.7% The table below is a reconciliation of the gross amount Thailand 1.8% 1.8% Turkey 0.2% 0.3% generated from securities lending transactions to the United Arab Emirates 0.6% 0.5% security lending revenue for the periods ended June 30, United Kingdom —% 0.0% 2021 and June 30, 2020: Other Assets Less Liabilities 0.3% 0.2% 100.0% 100.0% For the periods ended Jun. 30, 2021 Jun. 30, 2020 % of Gross % of Gross (g) Fair value hierarchy Securities Securities The ETF classifies its financial instruments into three Lending Lending Amount Revenue Amount Revenue levels based on the inputs used to value the financial instruments. Level 1 securities are valued based on Gross securities lending revenue 225 100.0 80 100.0 Withholding taxes — — — — quoted prices in active markets for identical securities. 225 100.0 80 100.0 Level 2 securities are valued based on significant Payment to securities lending agents 56 25.0 20 25.0 observable market inputs, such as quoted prices from Net securities lending revenue 169 75.0 60 75.0 similar securities and quoted prices in inactive markets Concentration risk or based on observable inputs to models. Level 3 The ETF's concentration risk is summarized in the securities are valued based on significant unobservable following table: inputs that reflect the Manager's determination of assumptions that market participants might reasonably

Jun. 30, Dec. 31, use in valuing the securities. The tables below show the As at 2021 2020 relevant disclosure. Bonds & Debentures India 0.0% —% As at Jun. 30, 2021 Equities Financial assets Level 1 Level 2 Level 3 Total Argentina 0.1% 0.1% Debt Securities — 6 — 6 Brazil 5.2% 5.1% Equity Securities 179,725 2,064,731 13 2,244,469 Chile 0.3% 0.4% Investment Funds 49,639 — — 49,639 China 34.8% 36.9% Colombia 0.1% 0.2% Total 229,364 2,064,737 13 2,294,114 Czech Republic 0.2% 0.2% Egypt —% 0.0% As at Dec. 31, 2020 Greece 0.1% 0.1% Financial assets Level 1 Level 2 Level 3 Total Hong Kong 1.8% 1.7% Equity Securities 54,653 2,100,619 14 2,155,286 Hungary 0.3% 0.3% Investment Funds 136,628 — — 136,628 India 10.4% 9.8% Indonesia 1.2% 1.5% Total 191,281 2,100,619 14 2,291,914 Kuwait 0.3% 0.2% Luxembourg 0.0% 0.0% Malaysia 1.1% 1.3% Mexico 1.7% 1.6% Peru 0.1% 0.2% BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021 Transfers between levels Changes in Level 3 fair value measurements Transfers are made between the various fair value The following table presents a reconciliation of all hierarchy levels due to changes in the availability of Level 3 financial instruments during the periods ended quoted market prices or observable inputs due to June 30, 2021 and December 31, 2020, including changing market conditions. Transfers of assets and realized and unrealized gains (losses) included in liabilities between fair value hierarchy levels are earnings. recorded at their fair values as at the end of each Jun. 30, Dec. 31, reporting period, consistent with the date of the For the periods ended 2021 2020 determination of fair value. Financial Assets During the period from January 1, 2021 to June 30, Equity Securities 2021, the valuation of certain investment funds traded Opening Balance 14 14 Purchase issuance — — outside of North America were changed from being fair Sales/settlements — — valued using close prices to being fair valued by Realized and unrealized gains/ factoring in the impact of significant events occurring (losses) included in earnings (1) (0) Transfers in — — after the close of the relevant market. As a result of this Transfers out — — change, $4,054 of investment funds were transferred Closing Balance 13 14 from Level 1 to Level 2. Change in unrealized gains or losses for Level 3 assets held at year end and included in other During the period from January 1, 2021 to June 30, changes in fair value of investments and 2021, the valuation of certain securities traded outside derivatives (1) (0) of North America were changed from fair valuing these The Manager has assessed the effect of changing the securities to using close prices. As a result of this inputs to possible alternatives and determined that they change, $126,628 of securities were transferred from would not have a significant impact on Net Assets of Level 2 to Level 1. the ETF.

During the period from January 1, 2020 to December 31, Level 3 additional disclosures: 2020, the valuation of certain securities traded outside The Level 3 positions held in the ETF were not of North America were changed from being valued considered significant. using close prices to being fair valued by factoring in (h) Unconsolidated structured entities the impact of significant events occurring after the Information on the carrying amount and the size of the close of the relevant market. As a result of this change, investments in structured entities are shown in the $119,618 of securities were transferred from Level 1 to following tables: Level 2. Carrying Carrying amount as a amount % of the underlying As at Jun. 30, 2021 ($) fund's Net Assets Securities iShares MSCI Emerging Markets ETF 42,882 0.1 IShares MSCI Kuwait ETF 6,757 31.2 Total 49,639

BMO MSCI Emerging Markets Index ETF (unaudited)

Notes to the Financial Statements (cont'd) (All amounts in thousands of Canadian dollars, except per unit data) June 30, 2021

Carrying Carrying amount as a amount % of the underlying As at Dec. 31, 2020 ($) fund's Net Assets Securities iShares MSCI Emerging Markets ETF 132,104 0.4 IShares MSCI Kuwait ETF 4,524 23.8 Total 136,628

9. Significant event The current spread of the novel coronavirus (COVID-19) has caused a global pandemic and the unprecedented responses taken by many governments, including closing borders, restricting international and domestic travel, and the imposition of prolonged social distancing or similar restrictions, as well as the forced or voluntary closure of, or operational changes to many retail and other businesses, has resulted in fundamental changes in the business world with significant impacts on operations and world markets. The impacts on operations includes changes in work environments, inherent controls risk and cyber-risks; 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 COVID-19 on the ETF, to the extent possible. BMO Asset Management Inc. Independent Auditor First Canadian Place, 43rd Floor PricewaterhouseCoopers LLP 100 King Street West PwC Tower Toronto, Ontario M5X 1A1 18 York Street, Suite 2600 Toronto, Ontario M5J 0B2

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