SEMI-ANNUAL FINANCIAL STATEMENTS BMO Corporate Bond Index ETF (ZCB) June 30, 2021 BMO Corporate Bond Index ETF (unaudited) Statement of Financial Position Statement of Comprehensive Income (All amounts in thousands of Canadian dollars, except per unit data) (All amounts in thousands of Canadian dollars, except per unit data) June 30 December 31 June 30 June 30 As at 2021 2020 For the periods ended 2021 2020 Assets Income Interest income 1,556 673 Current Assets Other changes in fair value of Cash 58 262 investments and derivatives Investments Net realized (loss) gain (623) 300 Non-derivative financial assets 152,451 138,430 Change in unrealized (depreciation) Receivable for investments sold — 827 appreciation (5,369) 1,562 Interest receivable 1,151 993 Net (loss) gain in fair value of Total assets 153,660 140,512 investments and derivatives (4,436) 2,535 Liabilities Securities lending (note 8) 1 0 Current Liabilities Total other income 1 0 Payable for investments purchased 474 — Total (loss) income (4,435) 2,535 Distributions payable 1,180 958 Accrued expenses 66 53 Expenses Total liabilities 1,720 1,011 Management fees (note 6) 129 39 Independent review committee fees Net assets attributable to holders of (note 6) 0 0 redeemable units 151,940 139,501 ETF summary document fees 0 0 Unitholder reporting costs 1 — Net assets attributable to holders of Total expenses 130 39 redeemable units per unit $ 51.51 $ 53.76 (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 (Decrease) increase in net assets attributable to holders of redeemable units per unit (note 8) (1.56) 2.73 The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited) Statement of Changes in Net Assets Attributable to Holders of Redeemable Units (All amounts in thousands of Canadian dollars) June 30 June 30 For the periods ended 2021 2020 Net assets attributable to holders of redeemable units at beginning of period 139,501 46,212 (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 Distributions to holders of redeemable units from: Net investment income (2,039) (673) Return of capital (313) (113) Total distributions to holders of redeemable units (2,352) (786) Redeemable unit transactions Proceeds from redeemable units issued 51,835 18,594 Redemption of redeemable units (32,479) (10,320) Net increase from redeemable unit transactions 19,356 8,274 Net increase in net assets attributable to holders of redeemable units 12,439 9,984 Net assets attributable to holders of redeemable units at end of period 151,940 56,196 The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited) Statement of Cash Flows (All amounts in thousands of Canadian dollars) June 30 June 30 For the periods ended 2021 2020 Cash flows from operating activities (Decrease) increase in net assets attributable to holders of redeemable units (4,565) 2,496 Adjustments for: Net realized loss (gain) on sale of investments and derivatives 623 (300) Change in unrealized depreciation (appreciation) of investments and derivatives 5,369 (1,562) Increase in interest receivable (158) (54) Increase in accrued expenses 13 2 Amortization of premium and discounts 685 48 Interest received in-kind 294 81 Purchases of investments+ (22,263) (3,124) Proceeds from sale and maturity of + investments 47,319 5,773 Net cash from operating activities 27,317 3,360 Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (2,130) (724) Proceeds from issuances of redeemable + units 1,890 36 Amounts paid on redemption of redeemable units+ (27,281) (2,550) Net cash used in financing activities (27,521) (3,238) Net (decrease) increase in cash (204) 122 Cash at beginning of period 262 165 Cash at end of period 58 287 Supplementary Information Interest received, net of withholding taxes* 2,377 667 + Excludes in-kind transactions, if any. * These items are from operating activities. The accompanying notes are an integral part of these financial statements. BMO Corporate Bond Index ETF (unaudited) Schedule of Investment Portfolio As at June 30, 2021 (All amounts in thousands of Canadian dollars, unless otherwise noted) Par Fair Par Fair Value Cost Value Value Cost Value (in thousands) ($) ($) ( in thousands) ($) ($) BONDS & DEBENTURES Aeroports de Montreal, Senior, Secured, Notes, Corporate Bonds & Debentures — 99.3% 6.950% Apr 16, 2032...................................... .................. 1.....................1 .....................1 407 International Inc., Series 17-D1, Medium Aeroports de Montreal, Series D, Secured, Term Notes, Secured, Subordinated, Callable, Debentures, 6.550% Oct 11, 2033................. ............... 10...................14 ...................14 2.470% Sep 8, 2022 ....................................... ................ 25...................25........... ........25 Aeroports de Montreal, Series G, Senior, 407 International Inc., Series 14-A1, Medium Secured, Notes, 5.170% Sep 17, 2035 .......... .......... ...... 20...................24 ...................25 Term Notes, Senior, Secured, Callable, Aeroports de Montreal, Series H, Secured, 3.350% May 16, 2024 .................................... ................ 20...................21........... ........21 Notes, 5.670% Oct 16, 2037 .......................... .......... ...... 20...................26 ...................27 407 International Inc., Senior, Secured, Notes, Aeroports de Montreal, Series R, Senior, Callable, 1.800% May 22, 2025 ..................... .............. 201.................209........... ......205 Secured, Callable, 3.030% Apr 21, 2050........ .......... .... 680.................692 .................671 407 International Inc., Series 16-A2, Medium Aeroports de Montreal, Secured, Notes, Term Notes, Secured, Callable, 2.430% Callable, 3.441% Apr 26, 2051....................... .......... ...... 25...................25 ...................27 May 4, 2027 .................................................... ........... 1,430............. 1,492............. 1,484 AIMCo Realty Investors L.P., Series 1, Senior, 407 International Inc., Medium Term Notes, Unsecured, Notes, Callable, 2.266% Jun 26, Senior, Secured, Callable, 3.140% Mar 6, 2024 ................................................................ ................ 26...................27 ...................27 2030 ................................................................ ........... 1,820............. 2,037............. 1,965 AIMCo Realty Investors L.P., Series 2, Senior, 407 International Inc., Senior, Secured, Notes, Unsecured, Notes, Callable, 3.043% Jun 1, Callable, 2.590% May 25, 2032 ..................... ................ 10...................11........... ........10 2028 ................................................................ .............. 205.................208 .................218 407 International Inc., Medium Term Notes, Alberta Powerline L.P., Sinkable, Senior, Senior, Secured, Callable, 3.430% Jun 1, Secured, 4.065% Mar 1, 2054........................ .... ............ 10...................12 ...................11 2033 ................................................................ ................ 10...................11........... ........11 Alectra Inc., Senior, Unsecured, Debentures, 407 International Inc., Series 04-A3, Medium 3.033% Jul 25, 2022 ....................................... ................ 20...................21 ...................21 Term Notes, Senior, Secured, 5.960% Dec 3, Alectra Inc., Series B, Senior, Unsecured, Notes, 2035 ................................................................ ................ 30...................39........... ........40 Callable, 3.239% Nov 21, 2024...................... ................ 20...................22 ...................21 407 International Inc., Series 06-D1, Medium Alectra Inc., Series A, Senior, Unsecured, Term Notes, Secured, Subordinated, 5.750% Debentures, Callable, 2.488% May 17, Feb 14, 2036 ................................................... .......... ...... 30...................38........... ........38 2027 ................................................................ ................ 30...................30 ...................31 407 International Inc., Series 11-A1, Medium Alectra Inc., Senior, Unsecured, Notes, Callable, Term Notes, Senior, Secured, Callable, 1.751% Feb 11, 2031 ..................................... ........... 1,238............. 1,182............. 1,189 4.450% Nov 15, 2041..................................... .......... .... 185.................208........... ......221 Algonquin Power Co., Senior, Unsecured, 407 International Inc., Series 12-A1, Medium Debentures, Callable, 4.600% Jan 29, 2029 .. ................ 10...................12...................12 Term Notes, Senior, Secured, Callable, Algonquin Power Co., Senior, Unsecured, Notes, 4.190% Apr 25, 2042...................................... .......... ...... 35...................40........... ........40 Callable, 2.850% Jul 15, 2031 ........................ ................ 93...................93...................95 407 International Inc., Series 17-A2, Medium Alimentation Couche-Tard Inc., Series 3, Senior, Term Notes, Senior, Secured, Callable, Unsecured, Notes, 3.899% Nov 1, 2022........ ................ 55...................55...................57 3.650% Sep 8, 2044 ...................................... ........... ...... 35...................36...................38