BMO Guaranteed Investment Funds · Units issued and outstanding, end of period 1 1 For the periods ended (in thousands of units) June 30, 2019 2018 75/100 Class F Units Units issued

BMO Guaranteed Investment FundsSEMI-ANNUAL FINANCIAL STATEMENTS

June 30, 2020

NOTICE OF NO AUDITOR REVIEW OF THE SEMI-ANNUAL FINANCIAL STATEMENTS

BMO Life Assurance Company, the issuer of BMO Guaranteed Investment Funds (the “Funds”), appoints independent auditors to audit the Funds’ Annual Financial Statements.

The Fund’s independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Chartered Professional Accountants of Canada.

Table of Contents

BMO Money Market GIF �� 1

BMO Income ETF Portfolio GIF �� 9

BMO Balanced ETF Portfolio GIF �� 17

BMO Growth ETF Portfolio GIF �� 26

BMO Equity Growth ETF Portfolio GIF �� 34

BMO Fixed Income ETF Portfolio GIF �� 42

BMO Conservative ETF Portfolio GIF �� 49

BMO U�S� Balanced Growth GIF �� 58

BMO Canadian Balanced Growth GIF �� 64

BMO Canadian Income Strategy GIF �� 70

BMO Low Volatility U�S� Equity ETF GIF �� 76

BMO North American Income Strategy GIF �� 84

BMO Low Volatility Canadian Equity ETF GIF �� 90

BMO Monthly Income GIF �� 98

BMO Asset Allocation GIF �� 108

BMO Dividend GIF �� 118

BMO Monthly High Income II GIF �� 126

BMO Tactical Balanced GIF �� 134

BMO Global Balanced GIF �� 142

BMO Low Volatility International Equity ETF GIF �� 152

BMO Concentrated Global Balanced GIF �� 160

BMO Concentrated Global Equity GIF �� 169

Notes to the Financial Statements �� 177

BMO Money Market GIF(unaudited)

The accompanying notes are an integral part of these financial statements.

1 BMO Guaranteed Investment Funds

STATEMENT OF FINANCIAL POSITION(All amounts in thousands of Canadian dollars, except per unit data)

June 30, December 31,As at 2020 2019

ASSETSCURRENT ASSETSCash 16,922 6,434Investments

Non-derivative financial assets 7,968 7,906Distribution receivable from investment trusts 0 1Total assets 24,890 14,341

LIABILITIESCURRENT LIABILITIESRedemptions payable 77 38Accrued expenses 21 51Total liabilities 98 89Net assets held for the benefit of

policyowners 24,792 14,252Net assets held for the benefit of

policyowners75/75 Class A Units 9,794 5,53675/100 Class A Units 8,406 4,465100/100 Class A Units 6,557 4,21675/75 Class F Units 15 1575/100 Class F Units 10 10100/100 Class F Units 10 10

Net assets held for the benefit of policyowners per unit 75/75 Class A Units $ 10.08 $ 10.0775/100 Class A Units $ 10.08 $ 10.07100/100 Class A Units $ 10.12 $ 10.1175/75 Class F Units $ 10.18 $ 10.1675/100 Class F Units $ 10.17 $ 10.15100/100 Class F Units $ 10.17 $ 10.15

STATEMENT OF COMPREHENSIVE INCOME(All amounts in thousands of Canadian dollars, except per unit data)

June 30, June 30, For the periods ended 2020 2019

INCOMEInterest income 30 46Distributions received from investment trusts 53 79Net gain in fair value of investments and

derivatives 83 125Total income 83 125

EXPENSESManagement fees (note 7) 103 74Fixed administration fees (note 7) 26 18Interest charges 0 —Operating expenses absorbed by the Manager (60) —Total expenses 69 92

Increase in net assets held for the benefit of policyowners 14 33

Increase in net assets held for the benefit of policyowners75/75 Class A Units 5 975/100 Class A Units 5 13100/100 Class A Units 4 1175/75 Class F Units 0 075/100 Class F Units 0 0100/100 Class F Units 0 0

Increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units 0.01 0.0275/100 Class A Units 0.01 0.02100/100 Class A Units 0.01 0.0275/75 Class F Units 0.02 0.0575/100 Class F Units 0.02 0.05100/100 Class F Units 0.02 0.05

BMO Money Market GIF(unaudited) (cont’d)


BMO Guaranteed Investment Funds 2

STATEMENT OF CHANGES IN NET ASSETS HELD FOR THE BENEFIT OF POLICYOWNERS(All amounts in thousands of Canadian dollars)


75/75 Class A UnitsNet assets held for the benefit of

policyowners at beginning of period 5,536 3,038Increase in net assets held for the benefit of

policyowners 5 9

Withdrawable unit transactions 1 1

Proceeds from withdrawable units issued 7,752 3,092Withdrawal of withdrawable units (3,499) (1,565)Net increase from withdrawable unit

transactions 4,253 1,527

Net increase in net assets held for the benefit of policyowners 4,258 1,536

Net assets held for the benefit of policyowners 9,794 4,574



policyowners 5 13


Proceeds from withdrawable units issued 9,398 3,320Withdrawal of withdrawable units (5,462) (3,830)Net increase (decrease) from withdrawable

unit transactions 3,936 (510)

Net increase (decrease) in net assets held for the benefit of policyowners 3,941 (497)






policyowners 4 11






75/75 Class F UnitsNet assets held for the benefit of

policyowners at beginning of period 15 10Increase in net assets held for the benefit of

policyowners 0 0

Withdrawable unit transactions – 1

Proceeds from withdrawable units issued — 5Net increase from withdrawable unit

transactions — 5

Net increase in net assets held for the benefit of policyowners 0 5

Net assets held for the benefit of policyowners 15 15



policyowners 0 0










policyowners 0 0



Total FundNet assets held for the benefit of


policyowners 14 33

Withdrawable unit transactionsProceeds from withdrawable units issued 21,934 8,539Withdrawal of withdrawable units (11,408) (8,169)Net increase from withdrawable unit

transactions 10,526 370

Net increase in net assets held for the benefit of policyowners 10,540 403





STATEMENT OF CASH FLOWS(All amounts in thousands of Canadian dollars)


Cash flows from operating activitiesIncrease in net assets held for the benefit of

policyowners 14 33Adjustments for:

Decrease in distribution receivable from investment trusts 1 14

(Decrease) increase in accrued expenses (30) 2Purchases of investments (62) (80)

Net cash from operating activities (77) (31)Cash flows from financing activitiesProceeds from issuances of withdrawable units 21,934 8,471Amounts paid on withdrawal of withdrawable

units (11,369) (8,165)Net cash from financing activities 10,565 306

Net increase in cash 10,488 275Cash at beginning of period 6,434 5,477Cash at end of period 16,922 5,752

Supplementary Information:Interest received, net of withholding taxes* 30 46Distributions received from investment trusts* 54 93Interest expense paid* 0 —

*These items are from operating activities

SCHEDULE OF INVESTMENT PORTFOLIO (All amounts in thousands of Canadian dollars, unless otherwise noted)

As at June 30, 2020 Number of Units

Cost* ($)

Fair Value

($)

HOLDINGS IN INVESTMENT FUND

Money Market Fund — 32.1%BMO Money Market Fund, Series I 7,968,180 7,968 7,968

Total Investment Portfolio — 32.1% 7,968 7,968

Other Assets Less Liabilities — 67.9% 16,824Net assets held for the benefit

of policyowners — 100.0% 24,792

BMO Money Market GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Fund and Class information

The Fund is authorized to issue an unlimited number of units in each of 75/75 Class A Units, 75/100 Class A Units, 100/100 Class A Units, 75/75 Class F Units, 75/100 Class F Units and 100/100 Class F Units, which are withdrawable at the policyowners’ option.

Class Launch Date

75/75 Class A Units June 21, 2016


100/100 Class A Units December 2, 2013

75/75 Class F Units May 14, 2018



Change in units

The number of units that have been issued and are outstanding are disclosed in the table below.

For the periods ended (in thousands of units)

June 30, 2020

June 30, 2019

75/75 Class A UnitsUnits issued and outstanding, beginning of period 550 303Issued for cash 768 308Withdrawn during the period (347) (156)Units issued and outstanding, end of period 971 455



75/75 Class F UnitsUnits issued and outstanding, beginning of period 1 1Issued for cash — 0Units issued and outstanding, end of period 1 1

75/100 Class F UnitsUnits issued and outstanding, beginning of period 1 1Units issued and outstanding, end of period 1 1


Units held by the Company

The Company held the following units of the Fund:

As at June 30, 2020Class Number of Units Value of Units ($)

75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10

100/100 Class F Units 1,000 10

As at December 31, 2019Class Number of Units Value of Units ($)

75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10

100/100 Class F Units 1,000 10

Financial instruments risk

The Fund’s objective is to provide a high level of interest income and liquidity and to preserve the capital invested. The Fund invests primarily in mutual funds that invest in high-quality money market instruments issued by governments and corporations in Canada.

Currency risk

As at June 30, 2020 and December 31, 2019, the Fund did not have significant exposure, through its investment in the underlying fund, to currency risk as the underlying fund invested primarily in Canadian securities.

Interest rate risk

As at June 30, 2020 and December 31, 2019, the Fund did not have significant exposure, through its investment in the underlying fund, to interest rate risk as the underlying fund's interest rate sensitivity was determined based on portfolio weighted duration and it was not significant.

Other market risk

As at June 30, 2020 and December 31, 2019, the Fund did not have significant exposure, through its investment in the underlying fund, to other market risk as the underlying fund was fully invested in fixed income securities.

BMO Money Market GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Credit risk

The Fund's exposure, through its investment in the underlying fund, to credit risk, grouped by credit ratings, is summarized in the following table:

As a % of Net Assets as at

Credit RatingJune 30,

2020December 31,

2019

R-1 High 17.3 24.9R-1 Mid 5.0 2.5R-1 Low 4.7 16.0AAA 1.5 2.8AA 2.3 2.4A 1.1 6.9Total 31.9 55.5

Fair value hierarchy

The Fund classifies its financial instruments into three levels based on the inputs used to value the financial instruments. Level 1 securities are valued based on the quoted prices in active markets for identical securities.

Level 2 securities are valued based on significant observable market inputs, such as quoted prices from similar securities and quoted prices in inactive markets or based on observable inputs to models.

Level 3 securities are valued based on significant unobservable inputs that reflect the Company's determination of assumptions that market participants might reasonably use in valuing the securities.

As at June 30, 2020

Financial assets Level 1 Level 2 Level 3 Total

Investment Funds 7,968 — — 7,968

As at December 31, 2019



Transfers between levels

There were no transfers between the levels during the 2020 period (2019 — $nil).

Unconsolidated structured entities

Information on the carrying amount and the size of the investments in structured entities is shown in the following tables:

Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Money Market Fund, Series I 7,968 7,906

Carrying amount as a % of the underlying fund's Net Asset

As at June 30,

2020

As at December 31,

2019

BMO Money Market Fund, Series I 1.25% 1.78%

Increase or decrease in net assets held for the benefit of policyowners per unit

The increase (decrease) in net assets held for the benefit of policyowners per unit for the periods ended June 30, 2020 and June 30, 2019 is calculated as follows:

June 30, June 30,

For the periods ended 2020 2019

75/75 Class A UnitsIncrease in net assets held for the benefit of

policyowners 5 9Weighted average units outstanding during the

period (in thousands of units) 730 389

Increase in net assets held for the benefit of policyowners per unit 0.01 0.02









75/75 Class F UnitsIncrease in net assets held for the benefit of












BMO Money Market GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Brokerage commissions

There were no brokerage commissions charged to the Fund during the periods ended June 30, 2020 and June 30, 2019.

Concentration risk

The following is a summary of the Fund's concentration risk through its investment in the underlying fund:

As atJune 30,

2020December 31,

2019

Money Market InvestmentsFederal 1.4% 0.7%Provincial 7.1% 6.9%Municipal 1.3% 2.0%Corporate 17.2% 33.8%

Bonds & DebenturesCorporate Bonds 4.9% 12.1%

Other Assets less Liabilities 68.1% 44.5%100.0% 100.0%

Offsetting financial assets and financial liabilities

There were no amounts offset as at June 30, 2020 and December 31, 2019.

BMO Money Market GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Financial Highlights (unaudited)

The following tables show selected key financial information about the Fund which is intended to help you understand the Fund's financial performance for the periods indicated.

Years ended December 31,

(1) (2) BMO Money Market GIF 75/75 Class A Units

Six months ended June

30, 2020 2019 2018 2017 2016(3)

Net asset (000's)(1) $ 9,794 5,536 3,038 2,323 541Net asset value per unit(1) $ 10.08 10.07 10.03 10.01 10.00Units issued and outstanding

(000's)(1) 971 550 303 232 54Management fees % 1.00 1.00 1.00 1.00 1.00Management expense ratio(2) % 0.74 1.40 1.26 0.96 0.74Management expense ratio

before waivers % 1.40 1.40 1.41 1.37 1.37




30, 2020 2019 2018 2017 2016(3)

Net asset (000's)(1) $ 8,406 4,465 5,195 2,665 1,294Net asset value per unit(1) $ 10.08 10.07 10.03 10.01 10.00Units issued and outstanding


before waivers % 1.41 1.40 1.41 1.41 1.41




30, 2020 2019 2018 2017 2016 2015

Net asset (000's)(1) $ 6,557 4,216 4,937 3,458 3,872 2,760Net asset value per

unit(1) $ 10.12 10.11 10.07 10.05 10.04 10.04Units issued and

outstanding (000's)(1) 648 416 490 344 385 274

Management fees % 1.00 1.00 1.00 1.00 1.00 1.00Management

expense ratio(2) % 0.77 1.41 1.24 0.91 0.73 0.56Management

expense ratio before waivers % 1.41 1.41 1.40 1.40 1.39 1.37


(1) (2) BMO Money Market GIF 75/75 Class F Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 15 15 10Net asset value per unit(1) $ 10.18 10.16 10.06Units issued and outstanding (000's)(1) 1 1 1Management fees % 0.50 0.50 0.50Management expense ratio(2) % 0.61 0.85 0.76Management expense ratio before waivers % 0.85 0.85 0.85




30, 2020 2019 2018(4)





30, 2020 2019 2018(4)


(1) This information is provided as at June 30 or December 31 of the period shown, as applicable.

(2) The management expense ratio of a particular class is calculated based on all expenses allocated to the class, as applicable, including all taxes and interest expenses but excluding brokerage commissions and other portfolio transaction costs, divided by the average daily net asset value of that class, annualized.

(3) The information shown in this column is for the period beginning June 21, 2016 (the class' inception date) and ending December 31, 2016.

(4) The information shown in this column is for the period beginning May 14, 2018 (the class' inception date) and ending December 31, 2018.

BMO Income ETF Portfolio GIF(unaudited)





ASSETSCURRENT ASSETSCash 583 411Investments

Non-derivative financial assets 27,912 23,706Subscriptions receivable 127 17Total assets 28,622 24,134

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 150 —Redemptions payable 113 1Accrued expenses 151 126Total liabilities 414 127Net assets held for the benefit of


policyowners75/75 Class A Units 4,428 4,35875/100 Class A Units 7,523 5,66875/75 Class F Units 11 1175/100 Class F Units 112 1175/75 Prestige Class Units 6,316 5,67375/100 Prestige Class Units 9,818 8,286

Net assets held for the benefit of policyowners per unit 75/75 Class A Units $ 11.19 $ 10.8975/100 Class A Units $ 11.10 $ 10.8175/75 Class F Units $ 11.20 $ 10.8475/100 Class F Units $ 11.15 $ 10.8075/75 Prestige Class Units $ 10.55 $ 10.2575/100 Prestige Class Units $ 10.52 $ 10.24



INCOMEInterest income 2 0Distributions received from investment trusts 415 194Other changes in fair value of investments and

derivativesNet realized (loss) gain (4) 3Change in unrealized appreciation 600 717

Net gain in fair value of investments and derivatives 1,013 914

Total income 1,013 914

EXPENSESManagement fees (note 7) 193 96Fixed administration fees (note 7) 37 18Insurance fees (note 7) 63 29Interest charges 0 —Total expenses 293 143


Increase in net assets held for the benefit of policyowners75/75 Class A Units 125 30075/100 Class A Units 175 37675/75 Class F Units 0 175/100 Class F Units 1 175/75 Prestige Class Units 170 4175/100 Prestige Class Units 249 52

Increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units 0.31 0.6475/100 Class A Units 0.29 0.6375/75 Class F Units 0.36 0.7275/100 Class F Units 0.40 0.7175/75 Prestige Class Units 0.29 0.2275/100 Prestige Class Units 0.27 0.24

BMO Income ETF Portfolio GIF(unaudited) (cont’d)







policyowners 125 300


Proceeds from withdrawable units issued 1,607 1,431Withdrawal of withdrawable units (1,662) (3,386)Net decrease from withdrawable unit

transactions (55) (1,955)

Net increase (decrease) in net assets held for the benefit of policyowners 70 (1,655)







unit transactions 1,680 (3,326)

Net increase (decrease) in net assets held for the benefit of policyowners 1,855 (2,950)




policyowners 0 1







policyowners 1 1

Withdrawable unit transactions 1 –

Proceeds from withdrawable units issued 100 —Net increase from withdrawable unit

transactions 100 —



75/75 Prestige Class UnitsNet assets held for the benefit of

policyowners at beginning of period 5,673 —Increase in net assets held for the benefit of

policyowners 170 41


Proceeds from withdrawable units issued 1,016 3,216Withdrawal of withdrawable units (543) (23)Net increase from withdrawable unit

transactions 473 3,193

Net increase in net assets held for the benefit of policyowners 643 3,234




policyowners 249 52


Proceeds from withdrawable units issued 2,693 4,301Withdrawal of withdrawable units (1,410) (16)Net increase from withdrawable unit























Net realized loss (gain) on sale of investments and derivatives 4 (3)

Change in unrealized appreciation of investments and derivatives (600) (717)

Increase in accrued expenses 25 12Non-cash distributions from investment trusts (415) (194)Purchases of investments (5,770) (2,535)Proceeds from sale and maturity of investments 2,725 405

Net cash from operating activities (3,311) (2,261)Cash flows from financing activitiesProceeds from issuances of withdrawable units 6,187 10,663Amounts paid on withdrawal of withdrawable

units (2,704) (8,432)Net cash from financing activities 3,483 2,231

Net increase (decrease) in cash 172 (30)Cash at beginning of period 411 241Cash at end of period 583 211

Supplementary Information:Interest received, net of withholding taxes* 2 0Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


Fixed Income Fund — 99.0%BMO Income ETF Portfolio, Series I 2,391,558 26,851 27,912


Other Assets Less Liabilities — 1.0% 296Net assets held for the benefit


* 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.

BMO Income ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The Fund is authorized to issue an unlimited number of units in each of 75/75 Class A Units, 75/100 Class A Units, 75/75 Class F Units, 75/100 Class F Units, 75/75 Prestige Class Units and 75/100 Prestige Class Units, which are withdrawable at the policyowners’ option.

Class Launch Date





75/75 Prestige Class Units May 6, 2019


Change in units



June 30, 2020

June 30, 2019




75/100 Class F UnitsUnits issued and outstanding, beginning of period 1 1Issued for cash 9 —Units issued and outstanding, end of period 10 1

75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period 553 —Issued for cash 98 322Withdrawn during the period (52) (3)Units issued and outstanding, end of period 599 319





75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

75/75 Prestige Class Units 1,000 11



75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




The Fund invests in the BMO Income ETF Portfolio, (“underlying fund”). The investment objective of the underlying fund is to preserve the capital invested by investing primarily in exchange traded funds that invest in fixed income securities with a lesser exposure to exchange traded funds that invest in Canadian, U.S. and international equity securities. The underlying fund may also invest in other mutual funds or invest directly in individual fixed income or equity securities and cash or cash equivalents.

Currency risk

The Fund's exposure, through its investment in the underlying fund, to currency risk is summarized in the tables below. Amounts shown are based on the carrying value of monetary and non-monetary assets (including derivatives and the underlying principle (notional) amount of forward currency contracts, if any).

As at June 30, 2020

Currencies

Cash and other current receivables &

payables ($)

Investments (monetary

& non-monetary)

($)

Forward currency

contracts ($)

Net currency exposure ($)

As a % of Net Assets

(%)

Hong Kong Dollar — 218 — 218 0.8Pound Sterling 0 — — 0 0.0Total 0 218 — 218 0.8Boder line

BMO Income ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 1 — — 1 0.0Hong Kong Dollar — 151 — 151 0.6Pound Sterling 11 1,347 (1,124) 234 1.0U.S. Dollar — — (209) (209) (0.9)Total 12 1,498 (1,333) 177 0.7Boder line

As at June 30, 2020 and December 31, 2019, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased, respectively, by approximately $11 (December 31, 2019 — $9). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

As at June 30, 2020 and December 31, 2019, the underlying fund was also exposed, through its investment in exchange traded funds, to indirect currency risk to the extent that the exchange traded funds invested in financial instruments that were denominated in a currency other than the functional currency of the underlying fund.

Interest rate risk

As at June 30, 2020 and December 31, 2019, the Fund did not have significant exposure, through its investment in the underlying fund, to interest rate risk.

Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 40% FTSE Canada Universe Bond Index, 20% S&P/TSX Composite Total Return Index and 40% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $2,830 (December 31, 2019 — $2,272). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk

As at June 30, 2020 and December 31, 2019, the Fund did not have significant exposure, through its investment in the underlying fund, to credit risk.





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Income ETF Portfolio, Series I 27,912 23,706


As at June 30,

2020

As at December 31,

2019

BMO Income ETF Portfolio, Series I 2.64% 2.54%



June 30, June 30,










BMO Income ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,










75/75 Prestige Class UnitsIncrease in net assets held for the benefit of










Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 6.0% 8.1%Emerging Markets Equity Fund 3.1% 2.5%Fixed Income Funds 74.9% 76.0%International Equity Fund 4.9% 3.8%U.S. Equity Funds 9.0% 9.2%




BMO Income ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Income ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)



before waivers % 2.19 2.20 2.23 2.22 2.22Portfolio turnover rate(3) % 10.42 4.37 28.38 17.37 7.21


(1) (2) BMO Income ETF Portfolio GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)





(1) (2) BMO Income ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)

Net asset (000's)(1) $ 11 11 10Net asset value per unit(1) $ 11.20 10.84 9.94Units issued and outstanding (000's)(1) 1 1 1Management fees % 0.40 0.40 0.40Management expense ratio(2) % 1.10 1.10 1.10Management expense ratio before waivers % 1.10 1.10 1.10Portfolio turnover rate(3) % 10.42 4.37 28.38


(1) (2) BMO Income ETF Portfolio GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Income ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 6,316 5,673Net asset value per unit(1) $ 10.55 10.25Units issued and outstanding (000's)(1) 599 553Management fees % 1.26 1.26Management expense ratio(2) % 2.06 2.06Management expense ratio before waivers % 2.06 2.06Portfolio turnover rate(3) % 10.42 4.37

(1) (2) BMO Income ETF Portfolio GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 9,818 8,286Net asset value per unit(1) $ 10.52 10.24Units issued and outstanding (000's)(1) 933 809Management fees % 1.22† 1.26Management expense ratio(2) % 2.21 2.23Management expense ratio before waivers % 2.21 2.23Portfolio turnover rate(3) % 10.42 4.37



(3) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio manager manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a fund.



† Effective May 11,, 2020, the management fee rate was reduced from 1.26% to 1.22%.

BMO Balanced ETF Portfolio GIF(unaudited)







LIABILITIESCURRENT LIABILITIESRedemptions payable 100 273Accrued expenses 1,222 1,155Total liabilities 1,322 1,428Net assets held for the benefit of


policyowners75/75 Class A Units 22,969 21,35575/100 Class A Units 35,550 34,296100/100 Class A Units 41,286 40,61875/75 Class F Units 962 1,11375/100 Class F Units 2,022 1,147100/100 Class F Units 182 18375/75 Prestige Class Units 21,194 20,21275/100 Prestige Class Units 37,677 31,562100/100 Prestige Class Units 41,190 36,746

Net assets held for the benefit of policyowners per unit 75/75 Class A Units $ 11.93 $ 12.0075/100 Class A Units $ 11.79 $ 11.88100/100 Class A Units $ 11.04 $ 11.1675/75 Class F Units $ 11.10 $ 11.0675/100 Class F Units $ 10.97 $ 11.00100/100 Class F Units $ 10.86 $ 10.9275/75 Prestige Class Units $ 10.27 $ 10.3375/100 Prestige Class Units $ 10.24 $ 10.31100/100 Prestige Class Units $ 11.20 $ 11.29



INCOMEInterest income 15 25Distributions received from investment trusts — 1,400Other changes in fair value of investments and

derivativesNet realized loss (23) (10)Change in unrealized appreciation 684 12,808

Net gain in fair value of investments and derivatives 676 14,223

Total income 676 14,223

EXPENSESManagement fees (note 7) 1,398 1,135Fixed administration fees (note 7) 266 207Insurance fees (note 7) 770 599Interest charges 0 —Total expenses 2,434 1,941

(Decrease) increase in net assets held for the benefit of policyowners (1,758) 12,282

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (207) 2,37975/100 Class A Units (281) 4,191100/100 Class A Units (389) 2,51675/75 Class F Units (3) 4375/100 Class F Units (19) 3100/100 Class F Units (1) 1275/75 Prestige Class Units (118) 31775/100 Prestige Class Units (409) 479100/100 Prestige Class Units (331) 2,342

(Decrease) increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units (0.11) 0.9075/100 Class A Units (0.09) 0.93100/100 Class A Units (0.11) 0.8575/75 Class F Units (0.04) 0.9475/100 Class F Units (0.11) 0.15100/100 Class F Units (0.05) 0.8775/75 Prestige Class Units (0.06) 0.3275/100 Prestige Class Units (0.12) 0.34100/100 Prestige Class Units (0.10) 0.86

BMO Balanced ETF Portfolio GIF(unaudited) (cont’d)






policyowners at beginning of period 21,355 28,413(Decrease) increase in net assets held for the

benefit of policyowners (207) 2,379

























policyowners at beginning of period 1,113 448(Decrease) increase in net assets held for the

benefit of policyowners (3) 43


Proceeds from withdrawable units issued (148) —Net decrease from withdrawable unit

transactions (148) —

Net (decrease) increase in net assets held for the benefit of policyowners (151) 43






Proceeds from withdrawable units issued 894 772Net increase from withdrawable unit

transactions 894 772


Net assets held for the benefit of policyowners 2,022 785







policyowners at beginning of period 183 124(Decrease) increase in net assets held for the




transactions — 10




policyowners at beginning of period 20,212 —(Decrease) increase in net assets held for the



























benefit of policyowners (1,758) 12,282










Cash flows from operating activities(Decrease) increase in net assets held for the

benefit of policyowners (1,758) 12,282Adjustments for:

Net realized loss on sale of investments and derivatives 23 10

Change in unrealized appreciation of investments and derivatives (684) (12,808)

Increase in accrued expenses 67 120Non-cash distributions from investment trusts — (1,400)Purchases of investments (17,081) (11,030)Proceeds from sale and maturity of investments 650 625



Net (decrease) increase in cash (1,034) 1,214Cash at beginning of period 4,208 2,556Cash at end of period 3,174 3,770





Cost* ($)

Fair Value

($)


Global Balanced Fund — 99.0%BMO Balanced ETF Portfolio, Series I 14,797,817 189,151 201,017


Other Assets Less Liabilities — 1.0% 2,015Net assets held for the benefit



BMO Balanced ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The Fund is authorized to issue an unlimited number of units in each of 75/75 Class A Units, 75/100 Class A Units, 100/100 Class A Units, 75/75 Class F Units, 75/100 Class F Units, 100/100 Class F Units, 75/75 Prestige Class Units, 75/100 Prestige Class Units and 100/100 Prestige Class Units, which are withdrawable at the policyowners’ option.

Class Launch Date



100/100 Class A Units January 9, 2017






100/100 Prestige Class Units January 9, 2017

Change in units



June 30, 2020

June 30, 2019

75/75 Class A UnitsUnits issued and outstanding, beginning of period 1,779 2,659Issued for cash 593 659Withdrawn during the period (446) (1,743)Units issued and outstanding, end of period 1,926 1,575

75/100 Class A UnitsUnits issued and outstanding, beginning of period 2,887 5,062Issued for cash 1,212 781Withdrawn during the period (1,083) (3,161)Units issued and outstanding, end of period 3,016 2,682

100/100 Class A UnitsUnits issued and outstanding, beginning of period 3,640 2,836Issued for cash 916 1,063Withdrawn during the period (816) (762)Units issued and outstanding, end of period 3,740 3,137

75/75 Class F UnitsUnits issued and outstanding, beginning of period 101 46Issued for cash (14) —Units issued and outstanding, end of period 87 46

75/100 Class F UnitsUnits issued and outstanding, beginning of period 104 1Issued for cash 80 73Units issued and outstanding, end of period 184 74


June 30, 2020

June 30, 2019


75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period 1,956 —Issued for cash 319 1,861Withdrawn during the period (212) (1)Units issued and outstanding, end of period 2,063 1,860

75/100 Prestige Class UnitsUnits issued and outstanding, beginning of period 3,061 —Issued for cash 910 2,722Withdrawn during the period (290) (49)Units issued and outstanding, end of period 3,681 2,673

100/100 Prestige Class UnitsUnits issued and outstanding, beginning of period 3,254 2,500Issued for cash 612 560Withdrawn during the period (188) (126)Units issued and outstanding, end of period 3,678 2,934




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




The Fund invests in the BMO Balanced ETF Portfolio, (“underlying fund”). The investment objective of the underlying fund is to provide a balanced portfolio by investing primarily in exchange traded funds that invest in Canadian, U.S. and international fixed income and equity securities. The underlying fund may also invest in other mutual funds or invest directly in individual fixed income and equity securities and cash or cash equivalents.

BMO Balanced ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 0 — — 0 0.0Hong Kong Dollar 0 2,287 — 2,287 1.1Pound Sterling 0 — — 0 0.0Total 0 2,287 — 2,287 1.1Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 6 — — 6 0.0Hong Kong Dollar 0 2,317 — 2,317 1.2Pound Sterling 7 1,078 — 1,085 0.6U.S. Dollar — — (3,853) (3,853) (2.1)Total 13 3,395 (3,853) (445) (0.3)Boder line



Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 40% FTSE Canada Universe Bond Index, 20% S&P/TSX Composite

Total Return Index and 40% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $19,023 (December 31, 2019 — $17,916). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Balanced ETF Portfolio, Series I 201,017 183,925


As at June 30,

2020

As at December 31,

2019

BMO Balanced ETF Portfolio, Series I 5.04% 5.04%



BMO Balanced ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,


75/75 Class A Units(Decrease) increase in net assets held for the

benefit of policyowners (207) 2,379Weighted average units outstanding during the

period (in thousands of units) 1,912 2,643

(Decrease) increase in net assets held for the benefit of policyowners per unit (0.11) 0.90









75/75 Class F Units(Decrease) increase in net assets held for the

benefit of policyowners (3) 43Weighted average units outstanding during the











75/75 Prestige Class Units(Decrease) increase in net assets held for the


period (in thousands of units) 2,007 999


June 30, June 30,












Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 13.7% 17.3%Emerging Markets Equity Fund 6.1% 5.2%Fixed Income Funds 44.7% 42.1%International Equity Funds 13.0% 11.9%U.S. Equity Funds 20.4% 20.0%




BMO Balanced ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Balanced ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 1,926 1,779 2,659 1,604 81Management fees % 1.45 1.45 1.45 1.45 1.45Management expense ratio(2) % 2.30 2.31 2.32 2.27 2.27Management expense ratio





30, 2020 2019 2018 2017 2016(4)







30, 2020 2019 2018 2017(5)

Net asset (000's)(1) $ 41,286 40,618 28,364 20,279Net asset value per unit(1) $ 11.04 11.16 10.00 10.44Units issued and outstanding (000's)(1) 3,740 3,640 2,836 1,943Management fees % 1.45 1.45 1.45 1.45Management expense ratio(2) % 3.02 3.02 3.01 3.02Management expense ratio before

waivers % 3.02 3.02 3.01 3.02Portfolio turnover rate(3) % 0.34 0.39 8.33 0.26


(1) (2) BMO Balanced ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(6)

Net asset (000's)(1) $ 962 1,113 448Net asset value per unit(1) $ 11.10 11.06 9.74Units issued and outstanding (000's)(1) 87 101 46Management fees % 0.45 0.45 0.45Management expense ratio(2) % 1.21 1.21 1.21Management expense ratio before waivers % 1.21 1.21 1.21Portfolio turnover rate(3) % 0.34 0.39 8.33




30, 2020 2019 2018(6)

Net asset (000's)(1) $ 2,022 1,147 10Net asset value per unit(1) $ 10.97 11.00 9.70Units issued and outstanding (000's)(1) 184 104 1Management fees % 0.45 0.45 0.45Management expense ratio(2) % 1.40 1.50 1.50Management expense ratio before waivers % 1.40 1.50 1.50Portfolio turnover rate(3) % 0.34 0.39 8.33




30, 2020 2019 2018(6)


(1) (2) BMO Balanced ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 21,194 20,212Net asset value per unit(1) $ 10.27 10.33Units issued and outstanding (000's)(1) 2,063 1,956Management fees % 1.27 1.27Management expense ratio(2) % 2.11 2.11Management expense ratio before waivers % 2.11 2.11Portfolio turnover rate(3) % 0.34 0.39

BMO Balanced ETF Portfolio GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 37,677 31,562Net asset value per unit(1) $ 10.24 10.31Units issued and outstanding (000's)(1) 3,681 3,061Management fees % 1.22† 1.27Management expense ratio(2) % 2.38 2.40Management expense ratio before waivers % 2.38 2.40Portfolio turnover rate(3) % 0.34 0.39




30, 2020 2019 2018 2017(5)

Net asset (000's)(1) $ 41,190 36,746 25,192 14,983Net asset value per unit(1) $ 11.20 11.29 10.08 10.49Units issued and outstanding (000's)(1) 3,678 3,254 2,500 1,429Management fees % 1.10 1.10 1.10 1.10Management expense ratio(2) % 2.62 2.61 2.61 2.58Management expense ratio before






(5) The information shown in this column is for the period beginning January 9, 2017 (the class' inception date) and ending December 31, 2017.


† Effective May 11, 2020, the management fee rate was reduced from 1.27% to 1.22%.

BMO Growth ETF Portfolio GIF(unaudited)













INCOMEInterest income 2 3Other changes in fair value of investments and

derivativesNet realized (loss) gain (24) 56Change in unrealized (depreciation)

appreciation (442) 2,638Net (loss) gain in fair value of investments and

derivatives (464) 2,697Total (loss) income (464) 2,697

EXPENSESManagement fees (note 7) 224 211Fixed administration fees (note 7) 41 37Insurance fees (note 7) 105 94Interest charges 0 0Total expenses 370 342

(Decrease) increase in net assets held for the benefit of policyowners (834) 2,355

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (292) 83375/100 Class A Units (382) 1,30575/75 Class F Units (1) 575/100 Class F Units (0) 175/75 Prestige Class Units 125 6675/100 Prestige Class Units (284) 145

(Decrease) increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units (0.46) 1.0575/100 Class A Units (0.44) 1.0075/75 Class F Units (0.21) 1.0075/100 Class F Units (0.30) 0.9875/75 Prestige Class Units 0.32 0.3775/100 Prestige Class Units (0.36) 0.38

BMO Growth ETF Portfolio GIF(unaudited) (cont’d)










unit transactions 106 (2,559)

Net decrease in net assets held for the benefit of policyowners (186) (1,726)













Withdrawable unit transactionsWithdrawal of withdrawable units (10) —Net decrease from withdrawable unit

transactions (10) —












policyowners 125 66
































benefit of policyowners (834) 2,355Adjustments for:


Change in unrealized depreciation (appreciation) of investments and derivatives 442 (2,638)

Increase in accrued expenses 1 26Purchases of investments (2,991) (2,810)Proceeds from sale and maturity of investments 575 1,455



Net (decrease) increase in cash (150) 124Cash at beginning of period 597 480Cash at end of period 447 604

Supplementary Information:Interest received, net of withholding taxes* 2 3Interest expense paid* 0 0




Cost* ($)

Fair Value

($)


Global Balanced Fund — 98.9%BMO Growth ETF Portfolio, Series I 2,206,598 29,087 30,911





BMO Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019


75/100 Class A UnitsUnits issued and outstanding, beginning of period 852 1,351Issued for cash 223 360Withdrawn during the period (220) (830)Units issued and outstanding, end of period 855 881

75/75 Class F UnitsUnits issued and outstanding, beginning of period 5 5Withdrawn during the period (1) —Units issued and outstanding, end of period 4 5







75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




The Fund invests in the BMO Growth ETF Portfolio (“underlying fund”). The investment objective of the underlying fund is to provide long-term growth by investing primarily in exchange traded funds that invest in Canadian, U.S. and international equity securities and, to a lesser extent, fixed income securities. The underlying fund may also invest in other mutual funds or invest directly in individual fixed income and equity securities and cash or cash equivalents.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 0 — — 0 0.0Hong Kong Dollar 0 480 — 480 1.5Pound Sterling 0 — — 0 0.0U.S. Dollar 0 — — 0 0.0Total 0 480 — 480 1.5Boder line

BMO Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 1 — — 1 0.0Hong Kong Dollar — 492 — 492 1.7Pound Sterling — 924 — 924 3.1U.S. Dollar 7 — (849) (842) (2.9)Total 8 1,416 (849) 575 1.9Boder line



Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 20% FTSE Canada Universe Bond Index, 25% S&P/TSX Composite Total Return Index and 55% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $2,937 (December 31, 2019 — $2,786). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Growth ETF Portfolio, Series I 30,911 28,961


As at June 30,

2020

As at December 31,

2019

BMO Growth ETF Portfolio, Series I 2.36% 6.10%



June 30, June 30,








period (in thousands of units) 871 1,309


BMO Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,




















Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Fund 19.7% 24.0%Emerging Markets Equity Funds 8.3% 7.5%Fixed Income Funds 22.0% 19.9%International Equity Funds 18.9% 17.5%U.S. Equity Funds 28.8% 27.9%




BMO Growth ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Growth ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)





(1) (2) BMO Growth ETF Portfolio GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 855 852 1,351 873 88Management fees % 1.45 1.45 1.45 1.45 1.45Management expense ratio(2) % 2.73 2.75 2.75 2.70 2.71Management expense ratio



(1) (2) BMO Growth ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)



(1) (2) BMO Growth ETF Portfolio GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Growth ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Growth ETF Portfolio GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019








BMO Equity Growth ETF Portfolio GIF(unaudited)














derivativesNet realized gain 7 69Change in unrealized (depreciation)





(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (285) 52875/100 Class A Units (422) 1,46875/75 Class F Units (1) 175/100 Class F Units (1) 275/75 Prestige Class Units (79) 3075/100 Prestige Class Units (232) 101

(Decrease) increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units (0.62) 1.1375/100 Class A Units (0.59) 1.1375/75 Class F Units (0.49) 0.6775/100 Class F Units (0.51) 1.0475/75 Prestige Class Units (0.48) 0.3975/100 Prestige Class Units (0.44) 0.46

BMO Equity Growth ETF Portfolio GIF(unaudited) (cont’d)










unit transactions 577 (180)
















transactions — 17














Proceeds from withdrawable units issued 1,249 1,315Withdrawal of withdrawable units (377) 0Net increase from withdrawable unit































Net realized gain on sale of investments and derivatives (7) (69)


Increase in accrued expenses 0 28Purchases of investments (3,025) (2,205)Proceeds from sale and maturity of investments 175 1,310

Net cash from operating activities (3,125) (1,165)Cash flows from financing activitiesDistributions paid to policyowners, net of

reinvested distributions 0 —Proceeds from issuances of withdrawable units 5,525 9,021Amounts paid on withdrawal of withdrawable







Cost* ($)

Fair Value

($)


Global Equity Fund — 99.2%BMO Equity Growth ETF Portfolio, Series I 1,543,219 22,041 23,210





BMO Equity Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019


75/100 Class A UnitsUnits issued and outstanding, beginning of period 706 1,278Issued for cash 266 179Withdrawn during the period (251) (510)Units issued and outstanding, end of period 721 947








75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




The Fund invests in the BMO Equity Growth ETF Portfolio, (“underlying fund”). The investment objective of the underlying fund is to provide long-term growth by investing primarily in exchange traded funds that invest in Canadian, U.S. and international equity securities. The underlying fund may also invest in other mutual funds or invest directly in individual equity securities and cash or cash equivalents.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Hong Kong Dollar 0 312 — 312 1.3Pound Sterling 0 — — 0 0.0U.S. Dollar 0 — — 0 0.0Total 0 312 — 312 1.3Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Hong Kong Dollar — 317 — 317 1.5Pound Sterling — 540 — 540 2.5U.S. Dollar 5 — (759) (754) (3.6)Total 5 857 (759) 103 0.4Boder line

BMO Equity Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 25% S&P/TSX Composite Total Return Index and 75% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $2,147 (December 31, 2019 — $1,961). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Equity Growth ETF Portfolio, Series I 23,210 21,105


As at June 30,

2020

As at December 31,

2019

BMO Equity Growth ETF Portfolio, Series I 4.40% 4.45%



June 30, June 30,








period (in thousands of units) 711 1,294






BMO Equity Growth ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,
















Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Fund 26.6% 29.3%Emerging Markets Equity Funds 10.0% 8.9%Fixed Income Fund 2.4% 3.0%International Equity Funds 22.9% 22.2%U.S. Equity Funds 33.9% 34.4%




BMO Equity Growth ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)



before waivers % 2.43 2.44 2.45 2.49 2.49Portfolio turnover rate(3) % 0.83 11.28 6.07 — 0.12


(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 721 706 1,278 650 110Management fees % 1.50 1.50 1.50 1.50 1.50Management expense ratio(2) % 2.78 2.79 2.80 2.83 2.83Management expense ratio

before waivers % 2.78 2.79 2.80 2.83 2.83Portfolio turnover rate(3) % 0.83 11.28 6.07 — 0.12


(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)



(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Equity Growth ETF Portfolio GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019




(3) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio manager manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a fund. For the financial period-ended December 31, 2017, no purchases or sales of portfolio securities were made by the fund. As a result the portfolio turnover rate for these periods was zero.




BMO Fixed Income ETF Portfolio GIF(unaudited)







LIABILITIESCURRENT LIABILITIESPayable for investments purchased — 420Redemptions payable 5 1Accrued expenses 85 46Total liabilities 90 467Net assets held for the benefit of







derivativesNet realized gain (loss) 1 (1)Change in unrealized appreciation 617 189

Net gain in fair value of investments and derivatives 863 253

Total income 863 253

EXPENSESManagement fees (note 7) 98 30Fixed administration fees (note 7) 20 6Insurance fees (note 7) 26 7Interest charges — 0Total expenses 144 43




BMO Fixed Income ETF Portfolio GIF(unaudited) (cont’d)







policyowners 122 78


Proceeds from withdrawable units issued 1,822 419Withdrawal of withdrawable units (761) (974)Net increase (decrease) from withdrawable








Proceeds from withdrawable units issued 6,115 984Withdrawal of withdrawable units (4,940) (1,337)Net increase (decrease) from withdrawable






policyowners 25 2



transactions — 34







policyowners 0 1





policyowners 142 5


Proceeds from withdrawable units issued 2,075 550Withdrawal of withdrawable units (807) —Net increase from withdrawable unit






policyowners 271 12

























Net realized (gain) loss on sale of investments and derivatives (1) 1


Increase in accrued expenses 39 6Non-cash distributions from investment trusts (244) (65)Purchases of investments (9,450) (1,411)Proceeds from sale and maturity of investments 425 294



Net decrease in cash (395) (95)Cash at beginning of period 866 169Cash at end of period 471 74

Supplementary Information:Interest received, net of withholding taxes* 1 0Interest expense paid* — 0




Cost* ($)

Fair Value

($)


Fixed Income Fund — 97.9%BMO Fixed Income ETF Portfolio, Series I 1,785,855 18,503 19,128





BMO Fixed Income ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019





75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period 254 —Issued for cash 195 55Withdrawn during the period (77) —Units issued and outstanding, end of period 372 55





75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




The Fund invests in the BMO Fixed Income ETF Portfolio (“underlying fund”). The investment objective of the underlying fund is to preserve the capital invested by investing primarily in exchange traded funds that invest in Canadian, U.S. and international fixed income securities. The underlying fund may also invest in other mutual funds or invest directly in individual fixed income securities and cash or cash equivalents.

Financial instruments risk of the underlying fund

The Fund is indirectly exposed to currency risk, interest rate risk, other market risk and credit risk through its investment in the underlying fund to the extent the underlying fund was exposed to these risks.





As at June 30, 2020








BMO Fixed Income ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Fixed Income ETF Portfolio, Series I 19,128 9,661


As at June 30,

2020

As at December 31,

2019

BMO Fixed Income ETF Portfolio, Series I 8.39% 5.78%



June 30, June 30,


















June 30, June 30,












Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Fund —% 1.3%Emerging Markets Fund —% 0.3%Fixed Income Funds 96.0% 89.5%U.S. Equity Fund —% 1.6%




BMO Fixed Income ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)

Net asset (000's)(1) $ 2,983 1,800 1,609 989 708Net asset value per unit(1) $ 10.83 10.28 9.79 9.86 9.90Units issued and outstanding




(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)





(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)



(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Fixed Income ETF Portfolio GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019








BMO Conservative ETF Portfolio GIF(unaudited)






Non-derivative financial assets 73,775 61,739Subscriptions receivable 79 1,763Total assets 75,406 65,067

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 375 —Redemptions payable 21 692Accrued expenses 409 349Total liabilities 805 1,041Net assets held for the benefit of


policyowners75/75 Class A Units 12,332 11,25875/100 Class A Units 14,727 13,349100/100 Class A Units 9,236 7,52975/75 Class F Units 2,157 1,69575/100 Class F Units 11 11100/100 Class F Units 11 1175/75 Prestige Class Units 11,048 8,89375/100 Prestige Class Units 14,274 10,163100/100 Prestige Class Units 10,805 11,117




INCOMEInterest income 5 7Distributions received from investment trusts 1,047 623Other changes in fair value of investments and

derivativesNet realized gain 83 14Change in unrealized appreciation 861 2,723

Net gain in fair value of investments and derivatives 1,996 3,368

Total income 1,996 3,368


Increase in net assets held for the benefit of policyowners 1,202 2,875

Increase in net assets held for the benefit of policyowners75/75 Class A Units 162 68375/100 Class A Units 246 1,084100/100 Class A Units 113 42175/75 Class F Units 47 3975/100 Class F Units 0 1100/100 Class F Units 0 175/75 Prestige Class Units 200 9875/100 Prestige Class Units 190 90100/100 Prestige Class Units 244 458

Increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units 0.16 0.7575/100 Class A Units 0.20 0.77100/100 Class A Units 0.14 0.7375/75 Class F Units 0.25 0.4475/100 Class F Units 0.23 0.81100/100 Class F Units 0.21 0.7975/75 Prestige Class Units 0.21 0.2975/100 Prestige Class Units 0.16 0.29100/100 Prestige Class Units 0.25 0.71

BMO Conservative ETF Portfolio GIF(unaudited) (cont’d)















policyowners 246 1,084

















policyowners at beginning of period 1,695 10Increase in net assets held for the benefit of

policyowners 47 39


Proceeds from withdrawable units issued 414 1,560Withdrawal of withdrawable units 1 —Net increase from withdrawable unit






policyowners 0 1










policyowners 0 1





policyowners 200 98








policyowners 190 90












Proceeds from withdrawable units issued 2,296 2,255Withdrawal of withdrawable units (2,852) (295)Net (decrease) increase from withdrawable

unit transactions (556) 1,960

Net (decrease) increase in net assets held for the benefit of policyowners (312) 2,418




policyowners 1,202 2,875











policyowners 1,202 2,875Adjustments for:


Change in unrealized appreciation of investments and derivatives (861) (2,723)

Increase in accrued expenses 60 49Non-cash distributions from investment trusts (1,047) (623)Purchases of investments (12,545) (8,571)Proceeds from sale and maturity of investments 2,875 1,000



Net (decrease) increase in cash (13) 184Cash at beginning of period 1,565 727Cash at end of period 1,552 911





Cost* ($)

Fair Value

($)


Global Balanced Fund — 98.9%BMO Conservative ETF Portfolio, Series I 5,972,200 70,791 73,775





BMO Conservative ETF Portfolio GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date










Change in units



June 30, 2020

June 30, 2019

75/75 Class A UnitsUnits issued and outstanding, beginning of period 994 873Issued for cash 373 380Withdrawn during the period (298) (670)Units issued and outstanding, end of period 1,069 583

75/100 Class A UnitsUnits issued and outstanding, beginning of period 1,189 1,474Issued for cash 588 301Withdrawn during the period (486) (754)Units issued and outstanding, end of period 1,291 1,021


75/75 Class F UnitsUnits issued and outstanding, beginning of period 156 1Issued for cash 38 150Units issued and outstanding, end of period 194 151




June 30, 2020

June 30, 2019

75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period 866 —Issued for cash 300 681Withdrawn during the period (107) (43)Units issued and outstanding, end of period 1,059 638


100/100 Prestige Class UnitsUnits issued and outstanding, beginning of period 1,024 566Issued for cash 216 215Withdrawn during the period (262) (29)Units issued and outstanding, end of period 978 752




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




The Fund invests in the BMO Conservative ETF Portfolio, (“underlying fund”). The investment objective of the underlying fund is to preserve the capital invested and, to a lesser extent, provide some potential for growth by investing primarily in exchange traded funds that invest in Canadian, U.S. and international fixed income and equity securities. The underlying fund may also invest in other mutual funds or invest directly in individual fixed income and equity securities and cash or cash equivalents.

BMO Conservative ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 0 — — 0 0.0Hong Kong Dollar 0 323 — 323 0.4Pound Sterling 0 — — 0 0.0Total 0 323 — 323 0.4Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Euro 2 — — 2 0.0Hong Kong Dollar 0 294 — 294 0.5Pound Sterling 16 2,120 (1,731) 405 0.6U.S. Dollar — — (809) (809) (1.3)Total 18 2,414 (2,540) (108) (0.2)Boder line



Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 40% FTSE Canada Universe Bond Index, 20% S&P/TSX Composite

Total Return Index and 40% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $7,132 (December 31, 2019 — $6,130). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Conservative ETF Portfolio, Series I 73,775 61,739


As at June 30,

2020

As at December 31,

2019

BMO Conservative ETF Portfolio, Series I 5.08% 4.79%

BMO Conservative ETF Portfolio GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





June 30, June 30,







policyowners 246 1,084Weighted average units outstanding during the



















June 30, June 30,
















Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 8.4% 11.4%Emerging Markets Bond Funds —% 2.4%Emerging Market Equity Funds 63.8% 3.5%Fixed Income Funds 8.0% 57.9%International Equity Funds 13.3% 6.7%U.S. Equity Funds 2.2% 12.9%




BMO Conservative ETF Portfolio GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Conservative ETF Portfolio GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 1,069 994 873 534 124Management fees % 1.40 1.40 1.40 1.40 1.40Management expense ratio(2) % 2.24 2.23 2.26 2.25 2.25Management expense ratio





30, 2020 2019 2018 2017 2016(4)







30, 2020 2019 2018 2017(5)

Net asset (000's)(1) $ 9,236 7,529 5,466 4,624Net asset value per unit(1) $ 10.90 10.73 9.84 10.19Units issued and outstanding (000's)(1) 848 701 556 454Management fees % 1.40 1.40 1.40 1.40Management expense ratio(2) % 2.88 2.86 2.87 2.88Management expense ratio before



(1) (2) BMO Conservative ETF Portfolio GIF(3) 75/75 Class F Units


30, 2020 2019 2018(6)





30, 2020 2019 2018(6)





30, 2020 2019 2018(6)


(1) (2) BMO Conservative ETF Portfolio GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 11,048 8,893Net asset value per unit(1) $ 10.43 10.27Units issued and outstanding (000's)(1) 1,059 866Management fees % 1.26 1.26Management expense ratio(2) % 2.08 2.07Management expense ratio before waivers % 2.08 2.07Portfolio turnover rate(3) % 4.28 2.51

BMO Conservative ETF Portfolio GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 14,274 10,163Net asset value per unit(1) $ 10.43 10.26Units issued and outstanding (000's)(1) 1,369 991Management fees % 1.22† 1.26Management expense ratio(2) % 2.26 2.27Management expense ratio before waivers % 2.26 2.27Portfolio turnover rate(3) % 4.28 2.51




30, 2020 2019 2018 2017(5)

Net asset (000's)(1) $ 10,805 11,117 5,613 2,938Net asset value per unit(1) $ 11.04 10.86 9.92 10.24Units issued and outstanding (000's)(1) 978 1,024 566 287Management fees % 1.05 1.05 1.05 1.05Management expense ratio(2) % 2.49 2.50 2.48 2.50Management expense ratio before









BMO U.S. Balanced Growth GIF(unaudited)






Non-derivative financial assets 34,926 34,991Receivable for investments sold 1,120 —Subscriptions receivable 1 3Distribution receivable from investment trusts 91 137Total assets 36,443 35,413

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 1,075 —Redemptions payable 11 16Accrued expenses 234 247Total liabilities 1,320 263Net assets held for the benefit of


policyowners100/100 Class A Units 22,503 22,417100/100 Class F Units 83 283100/100 Prestige Class Units 12,537 12,450

Net assets held for the benefit of policyowners per unit 100/100 Class A Units $ 12.01 $ 12.00100/100 Class F Units $ 11.30 $ 11.23100/100 Prestige Class Units $ 11.72 $ 11.68




derivativesNet realized gain 1,595 386Change in unrealized (depreciation)

appreciation (1,378) 2,311Net gain in fair value of investments and

derivatives 561 3,072Total income 561 3,072

EXPENSESManagement fees (note 7) 231 250Fixed administration fees (note 7) 48 52Insurance fees (note 7) 197 212Commissions and other portfolio transaction

costs (note 8) 16 10Total expenses 492 524

Increase in net assets held for the benefit of policyowners 69 2,548

Increase in net assets held for the benefit of policyowners100/100 Class A Units 10 1,605100/100 Class F Units 11 16100/100 Prestige Class Units 48 927

Increase in net assets held for the benefit of policyowners per unit (note 3)100/100 Class A Units 0.01 0.76100/100 Class F Units 0.95 0.74100/100 Prestige Class Units 0.05 0.76

BMO U.S. Balanced Growth GIF(unaudited) (cont’d)















policyowners 11 16


Proceeds from withdrawable units issued — 35Withdrawal of withdrawable units (211) —Net (decrease) increase from withdrawable

unit transactions (211) 35







policyowners 48 927


Proceeds from withdrawable units issued 647 660Withdrawal of withdrawable units (608) (957)Net increase (decrease) from withdrawable







Withdrawable unit transactionsProceeds from withdrawable units issued 2,615 2,462Withdrawal of withdrawable units (2,711) (3,177)Net decrease from withdrawable unit

transactions (96) (715)



BMO U.S. Balanced Growth GIF(unaudited) (cont’d)






policyowners 69 2,548Adjustments for:

Net realized gain on sale of investments and derivatives (1,595) (386)

Change in unrealized depreciation (appreciation) of investments and derivatives 1,378 (2,311)


(Decrease) increase in accrued expenses (13) 9Purchases of investments (19,074) (14,295)Proceeds from sale and maturity of investments 19,311 15,243

Net cash from operating activities 122 823Cash flows from financing activitiesProceeds from issuances of withdrawable units 1,814 2,449Amounts paid on withdrawal of withdrawable

units (1,913) (3,149)Net cash from financing activities (99) (700)

Net increase in cash 23 123Cash at beginning of period 282 282Cash at end of period 305 405

Supplementary Information:Interest received, net of withholding taxes* 1 2Distributions received from investment trusts* 389 388




Cost* ($)

Fair Value

($)

HOLDINGS IN INVESTMENT FUNDS

Fixed Income Funds — 68.7%BMO Mid Corporate Bond Index ETF 456,790 7,515 7,845BMO Mid Federal Bond Index ETF 823,800 13,891 14,501BMO Mid-Term US IG Corporate Bond Index

ETF 85,290 1,702 1,79723,108 24,143

U.S. Equity Fund — 30.7%BMO S&P 500 Index ETF 233,170 9,569 10,783





BMO U.S. Balanced Growth GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The Fund is authorized to issue an unlimited number of units in each of 100/100 Class A Units, 100/100 Class F Units and 100/100 Prestige Class Units, which are withdrawable at the policyowners’ option.

Class Launch Date



100/100 Prestige Class Units October 1, 2014

Change in units



June 30, 2020

June 30, 2019


100/100 Class F UnitsUnits issued and outstanding, beginning of period 25 19Issued for cash — 3Withdrawn during the period (18) —Units issued and outstanding, end of period 7 22





100/100 Class F Units 1,000 11


100/100 Class F Units 1,000 11


The Fund’s objective is to achieve long term capital growth and income. The Fund invests primarily in exchange traded funds that seek to provide broad exposure to publicly listed U.S. companies balanced with high quality Canadian fixed income securities or cash equivalents.

Financial instruments risk of the underlying funds

The Fund is indirectly exposed to currency risk, interest rate risk, other market risk and credit risk through its investment in the underlying funds to the extent the underlying funds were exposed to these risks.





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Mid Corporate Bond Index ETF 7,845 3,776BMO Mid Federal Bond Index ETF 14,501 6,985BMO Mid-Term US IG Corporate Bond

Index ETF 1,797 922BMO S&P 500 Index ETF 10,783 23,308Total 34,926 34,991


As at June 30,

2020

As at December 31,

2019

BMO Mid Corporate Bond Index ETF 0.79% 0.39%BMO Mid Federal Bond Index ETF 2.86% 1.32%BMO Mid-Term US IG Corporate Bond

Index ETF 0.10% 0.06%BMO S&P 500 Index ETF 0.11% 0.26%

BMO U.S. Balanced Growth GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





June 30, June 30,



policyowners 10 1,605Weighted average units outstanding during the












June 30, 2020

June 30, 2019

For the periods ended ($) ($)

Total brokerage amounts paid 16 10Total brokerage amounts paid to related

parties 5 2For spacing purposesThe Company may select brokers who charge a commission in “soft dollars” if they determine in good faith that the commission is reasonable in relation to the order execution and research services utilized. There were no ascertainable soft dollars paid or payable to dealers by the Fund during the periods.

Concentration risk

The following is a summary of the Fund's concentration risk:

As atJune 30,

2020December 31,

2019

Holdings in Investment FundsFixed Income Funds 68.7% 33.2%U.S. Equity Fund 30.7% 66.3%




BMO U.S. Balanced Growth GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO U.S. Balanced Growth GIF(3) 100/100 Class A Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 1,873 1,869 2,144 1,826 2,586 2,548

Management fees % 1.50 1.50 1.50 1.50 1.50 1.50†

Management expense ratio(2) % 3.08 3.09 3.08 3.09 3.09 3.12

Management expense ratio before waivers % 3.08 3.09 3.08 3.09 3.09 3.12

Portfolio turnover rate(3) % 58.56 48.16 83.77 27.81 101.48 51.12


(1) (2) BMO U.S. Balanced Growth GIF(3) 100/100 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO U.S. Balanced Growth GIF(3) 100/100 Prestige Class Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 1,070 1,066 1,217 1,026 1,012 769

Management fees % 1.15 1.15 1.15 1.15 1.15 1.15††








† Effective May 1, 2015, the management fee rate was reduced from 1.55% to 1.50%.†† Effective May 1, 2015, the management fee rate was reduced from 1.20% to 1.15%.

BMO Canadian Balanced Growth GIF(unaudited)






Non-derivative financial assets 14,988 15,643Subscriptions receivable 0 0Distribution receivable from investment trusts 55 96Total assets 15,204 15,856













(Decrease) increase in net assets held for the benefit of policyowners (654) 1,393

(Decrease) increase in net assets held for the benefit of policyowners100/100 Class A Units (433) 797100/100 Class F Units (3) 23100/100 Prestige Class Units (218) 573

(Decrease) increase in net assets held for the benefit of policyowners per unit (note 3)100/100 Class A Units (0.49) 0.86100/100 Class F Units (0.14) 0.85100/100 Prestige Class Units (0.39) 0.84

BMO Canadian Balanced Growth GIF(unaudited) (cont’d)








Withdrawable unit transactions 1 (history1)

Proceeds from withdrawable units issued 1,015 894Withdrawal of withdrawable units (1,011) (1,239)Net increase (decrease) from withdrawable







Withdrawable unit transactions 1 (histo1ry)










Withdrawable unit transactions 1 (his1tory)








Withdrawable unit transactionsProceeds from withdrawable units issued 1,467 1,307Withdrawal of withdrawable units (1,460) (1,921)Net Increase (decrease) from withdrawable




BMO Canadian Balanced Growth GIF(unaudited) (cont’d)






benefit of policyowners (654) 1,393Adjustments for:





Net cash from operating activities 40 641Cash flows from financing activitiesProceeds from issuances of withdrawable units 960 1,307Amounts paid on withdrawal of withdrawable

units (956) (1,938)Net cash from financing activities 4 (631)


Supplementary Information:Interest received, net of withholding taxes* 0 1Distributions received from investment trusts* 230 243




Cost* ($)

Fair Value

($)


Canadian Equity Fund — 20.0%BMO S&P/TSX Capped Composite Index ETF 144,730 3,028 3,021


ETF 40,570 802 85510,500 11,197

International Equity Fund — 2.1%BMO MSCI EAFE Index ETF 17,930 316 316

U.S. Equity Fund — 3.0%BMO S&P 500 Index ETF 9,820 386 454





BMO Canadian Balanced Growth GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date




Change in units



June 30, 2020

June 30, 2019



100/100 Prestige Class UnitsUnits issued and outstanding, beginning of period 556 689Issued for cash 44 38Withdrawn during the period (30) (68)Units issued and outstanding, end of period 570 659




100/100 Class F Units 1,000 10


100/100 Class F Units 1,000 11


The Fund’s objective is to achieve long term capital growth and income. The Fund invests primarily in exchange traded funds that invest in Canadian equity and fixed income securities.


The Fund is indirectly exposed to currency risk, interest rate risk, other market risk, and credit risk through its investments in the underlying funds to the extent the underlying funds were exposed to these risks.





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Mid Corporate Bond Index ETF 3,626 2,263BMO Mid Federal Bond Index ETF 6,716 4,157BMO Mid-Term US IG Corporate Bond

Index ETF 855 537BMO MSCI EAFE Index ETF 316 691BMO S&P 500 Index ETF 454 1,041BMO S&P/TSX Capped Composite Index

ETF 3,021 6,954Total 14,988 15,643


As at June 30,

2020

As at December 31,

2019


Index ETF 0.05% 0.04%BMO MSCI EAFE Index ETF 0.01% 0.02%BMO S&P 500 Index ETF 0.00% 0.01%BMO S&P/TSX Capped Composite Index

ETF 0.08% 0.17%

BMO Canadian Balanced Growth GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





June 30, June 30,















June 30, 2020

June 30, 2019




Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Fund 20.0% 44.2%Fixed Income Funds 74.2% 44.2%International Equity Fund 2.1% 4.4%U.S. Equity Fund 3.0% 6.6%




BMO Canadian Balanced Growth GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Canadian Balanced Growth GIF(3) 100/100 Class A Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 884 883 938 1,058 1,708 1,500

Management fees % 1.50 1.50 1.50 1.50 1.50 1.50†





(1) (2) BMO Canadian Balanced Growth GIF(3) 100/100 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO Canadian Balanced Growth GIF(3) 100/100 Prestige Class Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 570 556 689 1,013 562 387

Management fees % 1.15 1.15 1.15 1.15 1.15 1.15††








† Effective May 1, 2015, the management fee rate was reduced from 1.55% to 1.50%.†† Effective May 1, 2015, the management fee rate was reduced from 1.20% to 1.15%.

BMO Canadian Income Strategy GIF(unaudited)






Non-derivative financial assets 6,216 6,241Subscriptions receivable 0 —Distribution receivable from investment trusts 20 27Total assets 6,302 6,327








derivativesNet realized gain 55 19Change in unrealized (depreciation)

appreciation (137) 447Net gain in fair value of investments and

derivatives 3 556Total income 3 556

EXPENSESManagement fees (note 7) 45 47Fixed administration fees (note 7) 8 9Insurance fees (note 7) 27 27Interest charges 0 0Commissions and other portfolio transaction


(Decrease) increase in net assets held for the benefit of policyowners (80) 472

(Decrease) increase in net assets held for the benefit of policyowners100/100 Class A Units (64) 335100/100 Class F Units (0) 1100/100 Prestige Class Units (16) 136


BMO Canadian Income Strategy GIF(unaudited) (cont’d)









Proceeds from withdrawable units issued 292 392Withdrawal of withdrawable units (495) (678)Net decrease from withdrawable unit

transactions (203) (286)












Proceeds from withdrawable units issued 272 260Withdrawal of withdrawable units (22) (151)Net increase from withdrawable unit









Withdrawable unit transactionsProceeds from withdrawable units issued 564 652Withdrawal of withdrawable units (517) (829)Net Increase (decrease) from withdrawable




BMO Canadian Income Strategy GIF(unaudited) (cont’d)






benefit of policyowners (80) 472Adjustments for:


Change in unrealized depreciation (appreciation) of investments and derivatives 137 (447)


(Decrease) increase in accrued expenses (2) 2Purchases of investments (2,568) (853)Proceeds from sale and maturity of investments 2,515 1,013

Net cash from operating activities (46) 171Cash flows from financing activitiesProceeds from issuances of withdrawable units 412 651Amounts paid on withdrawal of withdrawable

units (359) (830)Net cash from financing activities 53 (179)


Supplementary Information:Interest received, net of withholding taxes* 0 0Distributions received from investment trusts* 92 93Interest expense paid* 0 0




Cost* ($)

Fair Value

($)


Canadian Equity Funds — 17.5%BMO Canadian Dividend ETF 13,860 222 194BMO Equal Weight Banks Index ETF 4,755 121 113BMO Equal Weight REITs Index ETF 4,480 102 89BMO Equal Weight Utilities Index ETF 4,375 75 89BMO Laddered Preferred Share Index ETF 11,795 125 97BMO Low Volatility Canadian Equity ETF 6,340 194 193BMO S&P/TSX Capped Composite Index ETF 15,660 322 327

1,161 1,102


ETF 15,790 320 3334,260 4,454

International Equity Fund — 4.2%BMO MSCI EAFE Index ETF 14,810 260 261

U.S. Equity Fund — 6.4%BMO S&P 500 Index ETF 8,620 328 399





BMO Canadian Income Strategy GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date




Change in units



June 30, 2020

June 30, 2019







100/100 Class F Units 1,000 11


100/100 Class F Units 1,000 11


The Fund’s objective is to achieve long term capital growth and monthly income. The Fund invests primarily in exchange traded funds that invest in Canadian income-generating securities: dividend-paying common stocks, preferred shares, income trusts, balanced with high quality fixed income securities or cash equivalents.


The Fund is indirectly exposed to currency risk, interest rate risk, other market risk, and credit risk through its investment in the underlying funds to the extent the underlying funds were exposed to these risks.





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Canadian Dividend ETF 194 369BMO Equal Weight Banks Index ETF 113 218BMO Equal Weight REITs Index ETF 89 169BMO Equal Weight Utilities Index ETF 89 164BMO Laddered Preferred Share Index ETF 97 181BMO Low Volatility Canadian Equity ETF 193 369BMO Mid Corporate Bond Index ETF 1,448 943BMO Mid Federal Bond Index ETF 2,673 1,737BMO Mid-Term US IG Corporate Bond

Index ETF 333 215BMO MSCI EAFE Index ETF 261 501BMO S&P 500 Index ETF 399 754BMO S&P/TSX Capped Composite Index

ETF 327 621Total 6,216 6,241


As at June 30,

2020

As at December 31,

2019

BMO Canadian Dividend ETF 0.05% 0.08%BMO Equal Weight Banks Index ETF 0.01% 0.02%BMO Equal Weight REITs Index ETF 0.02% 0.03%BMO Equal Weight Utilities Index ETF 0.03% 0.06%BMO Laddered Preferred Share Index ETF 0.01% 0.01%BMO Low Volatility Canadian Equity ETF 0.01% 0.02%

BMO Canadian Income Strategy GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Carrying amount as a % of the underlying fund’s Net Asset

As at June 30,

2020

As at December 31,

2019



ETF 0.01% 0.02%



June 30, June 30,















June 30, 2020

June 30, 2019




Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 17.5% 30.4%Fixed Income Funds 71.3% 48.9%International Equity Fund 4.2% 8.0%U.S. Equity Fund 6.4% 12.0%




BMO Canadian Income Strategy GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Canadian Income Strategy GIF(3) 100/100 Class A Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 380 399 461 506 702 703






(1) (2) BMO Canadian Income Strategy GIF(3) 100/100 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO Canadian Income Strategy GIF(3) 100/100 Prestige Class Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 224 198 186 233 226 179









BMO Low Volatility U.S. Equity ETF GIF(unaudited)







LIABILITIESCURRENT LIABILITIESPayable for investments purchased — 47Redemptions payable 36 1Accrued expenses 248 191Total liabilities 284 239Net assets held for the benefit of






INCOMEDistributions received from investment trusts 378 183Other changes in fair value of investments and

derivativesNet realized gain (loss) 58 (101)Change in unrealized (depreciation)

appreciation (1,986) 2,110Net (loss) gain in fair value of investments and

derivatives (1,550) 2,192Total (loss) income (1,550) 2,192

EXPENSESManagement fees (note 7) 254 137Fixed administration fees (note 7) 56 29Insurance fees (note 7) 168 84Interest charges 0 —Commissions and other portfolio transaction



(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (395) 68075/100 Class A Units (932) 1,18275/75 Class F Units (1) 175/100 Class F Units (2) 175/75 Prestige Class Units (147) 2975/100 Prestige Class Units (554) 48


BMO Low Volatility U.S. Equity ETF GIF(unaudited) (cont’d)

































transactions — 45






































Net realized (gain) loss on sale of investments and derivatives (58) 101


(Increase) decrease in distribution receivable from investment trusts (50) 14

Increase in accrued expenses 57 23Purchases of investments (11,058) (3,901)Proceeds from sale and maturity of investments 1,678 829




Supplementary Information:Distributions received from investment trusts* 328 197Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


U.S. Equity Fund — 99.5%BMO Low Volatility US Equity ETF 1,130,600 40,143 41,985





BMO Low Volatility U.S. Equity ETF GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019


75/100 Class A UnitsUnits issued and outstanding, beginning of period 1,184 1,052Issued for cash 682 265Withdrawn during the period (425) (515)Units issued and outstanding, end of period 1,441 802








75/75 Class F Units 1,000 12

75/100 Class F Units 1,000 12




75/75 Class F Units 1,000 13

75/100 Class F Units 1,000 13




The Fund invests in the BMO Low Volatility US Equity ETF, (“underlying fund”). The investment objective of the underlying fund is to provide exposure to the performance of a portfolio of U.S. stocks with potential for long-term capital growth. The securities of the underlying fund will be selected from the large capitalization of U.S. equity universe. The securities that have the lowest sensitivity to market movements (beta) will be selected for the portfolio and they will be weighted so that a higher allocation is given to securities with lower betas, although any investment in a single issuer will be made only in accordance with applicable Canadian securities legislation.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar 262 41,948 — 42,210 100.0

Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar 191 — 34,561 34,752 99.1

Boder line

As at June 30, 2020 and December 31, 2019, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased,

BMO Low Volatility U.S. Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



respectively, by approximately $2,111 (December 31, 2019 — $1,738). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, S&P 500 Index (CAD), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $3,490 (December 31, 2019 — $2,249). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Low Volatility US Equity ETF 41,985 34,580


As at June 30,

2020

As at December 31,

2019

BMO Low Volatility US Equity ETF 2.56% 2.10%



June 30, June 30,


















BMO Low Volatility U.S. Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,











June 30, 2020

June 30, 2019



parties 1 0For spacing purposesThe Company may select brokers who charge a commission in "soft dollars" if they determine in good faith that the commission is reasonable in relation to the order execution and research services utilized. There were no ascertainable soft dollars paid or payable to dealers by the Fund during the periods.

Concentration risk


As atJune 30,

2020December 31,

2019

EquitiesCommunication Services 1.5% 1.3%Consumer Discretionary 12.2% 12.0%Consumer Staples 18.9% 15.2%Financials 14.2% 14.7%Health Care 11.7% 11.3%Industrials 10.7% 10.5%Materials 1.4% 1.3%Real Estate 7.2% 7.8%Utilities 21.6% 24.4%




BMO Low Volatility U.S. Equity ETF GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)





(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 1,441 1,184 1,052 822 259Management fees % 1.50 1.50 1.50 1.50 1.50Management expense ratio(2) % 2.89 2.89 2.90 2.91 2.92Management expense ratio



(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)



(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility U.S. Equity GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019








BMO North American Income Strategy GIF(unaudited)






Non-derivative financial assets 39,845 44,210Receivable for investments sold 1,482 —Subscriptions receivable 0 2Distribution receivable from investment trusts 126 216Total assets 41,736 44,855

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 1,392 —Redemptions payable 26 10Accrued expenses 250 286Total liabilities 1,668 296Net assets held for the benefit of













(Decrease) increase in net assets held for the benefit of policyowners100/100 Class A Units (1,566) 2,246100/100 Class F Units (1) 1100/100 Prestige Class Units (948) 1,402


BMO North American Income Strategy GIF(unaudited) (cont’d)









Proceeds from withdrawable units issued 877 1,125Withdrawal of withdrawable units (2,488) (3,092)Net decrease from withdrawable unit

transactions (1,611) (1,967)

Net (decrease) increase in net assets held for the benefit of policyowners (3,177) 279











Proceeds from withdrawable units issued 424 777Withdrawal of withdrawable units (789) (515)Net (decrease) increase from withdrawable


Net (decrease) increase in net assets held for the benefit of policyowners (1,313) 1,664







Withdrawable unit transactionsProceeds from withdrawable units issued 1,301 1,902Withdrawal of withdrawable units (3,277) (3,607)Net decrease from withdrawable unit

transactions (1,976) (1,705)

Net (decrease) increase in net assets held for the benefit of policyowners (4,491) 1,944


BMO North American Income Strategy GIF(unaudited) (cont’d)











Net cash from operating activities 1,814 1,697Cash flows from financing activitiesProceeds from issuances of withdrawable units 567 1,941Amounts paid on withdrawal of withdrawable

units (2,525) (3,602)Net cash from financing activities (1,958) (1,661)


Supplementary Information:Interest received, net of withholding taxes* 1 2Distributions received from investment trusts* 615 652Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


Canadian Equity Funds — 13.4%BMO Canadian Dividend ETF 96,870 1,581 1,358BMO Equal Weight REITs Index ETF 22,765 552 450BMO Laddered Preferred Share Index ETF 69,300 753 571BMO Low Volatility Canadian Equity ETF 37,110 1,132 1,129BMO S&P/TSX Capped Composite Index ETF 90,500 1,842 1,889

5,860 5,397


ETF 100,970 2,045 2,12727,385 28,547

Global Equity Fund — 2.3%BMO Global Infrastructure Index ETF 24,740 916 911

International Equity Fund — 3.7%BMO MSCI EAFE Index ETF 84,020 1,469 1,481

U.S. Equity Funds — 8.7%BMO Low Volatility US Equity ETF 45,580 1,570 1,693BMO S&P 500 Index ETF 39,280 1,439 1,816

3,009 3,509





BMO North American Income Strategy GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date




Change in units



June 30, 2020

June 30, 2019







100/100 Class F Units 1,000 10


100/100 Class F Units 1,000 11


The Fund’s objective is to achieve long term capital growth and monthly income. The Fund invests primarily in exchange traded funds that invest in Canadian and U.S. income-generating securities: dividend-paying common stocks, preferred shares, income trusts, as well as high quality Canadian fixed income securities or cash equivalents.


The Fund is indirectly exposed to currency risk, interest rate risk, other market risk and credit risk through its investments in the underlying funds to the extent the underlying funds were exposed to these risks.





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Canadian Dividend ETF 1,358 3,325BMO Equal Weight REITs Index ETF 450 1,112BMO Global Infrastructure Index ETF 911 2,199BMO Laddered Preferred Share Index ETF 571 1,357BMO Low Volatility Canadian Equity ETF 1,129 2,766BMO Low Volatility US Equity ETF 1,693 4,134BMO Mid Corporate Bond Index ETF 9,281 5,378BMO Mid Federal Bond Index ETF 17,139 9,951BMO Mid-Term US IG Corporate Bond

Index ETF 2,127 1,295BMO MSCI EAFE Index ETF 1,481 3,666BMO S&P 500 Index ETF 1,816 4,415BMO S&P/TSX Capped Composite Index

ETF 1,889 4,612Total 39,845 44,210


As at June 30,

2020

As at December 31,

2019

BMO Canadian Dividend ETF 0.33% 0.72%BMO Equal Weight REITs Index ETF 0.09% 0.17%BMO Global Infrastructure Index ETF 0.01% 0.85%BMO Laddered Preferred Share Index ETF 0.03% 0.06%BMO Low Volatility Canadian Equity ETF 0.05% 0.11%BMO Low Volatility US Equity ETF 0.10% 0.25%

BMO North American Income Strategy GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Carrying amount as a % of the underlying fund’s Net Asset

As at June 30,

2020

As at December 31,

2019



ETF 0.05% 0.11%



June 30, June 30,



benefit of policyowners (1,566) 2,246Weighted average units outstanding during the












June 30, 2020

June 30, 2019




Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 13.4% 26.6%Fixed Income Funds 71.3% 40.3%Global Equity Fund 2.3% 4.9%International Equity Fund 3.7% 8.2%U.S. Equity Funds 8.7% 19.2%




BMO North American Income Strategy GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO North American Income Strategy GIF(3) 100/100 Class A Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 2,192 2,340 2,628 2,991 4,394 3,911






(1) (2) BMO North American Income Strategy GIF(3) 100/100 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO North American Income Strategy GIF(3) 100/100 Prestige Class Units


30, 2020 2019 2018 2017 2016 2015



outstanding (000's)(1) 1,510 1,546 1,637 1,915 1,602 1,186









BMO Low Volatility Canadian Equity ETF GIF(unaudited)














derivativesNet realized loss (68) (64)Change in unrealized (depreciation)






(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (1,017) 85275/100 Class A Units (1,437) 1,52575/75 Class F Units (7) 875/100 Class F Units (7) 275/75 Prestige Class Units (375) 1575/100 Prestige Class Units (912) 43


BMO Low Volatility Canadian Equity ETF GIF(unaudited) (cont’d)







benefit of policyowners (1,017) 852


























transactions — 45








































Increase in distribution receivable from investment trusts (57) (19)

Increase in accrued expenses 10 21Purchases of investments (5,322) (2,632)Proceeds from sale and maturity of investments 968 562




Supplementary Information:Distributions received from investment trusts* 408 222Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


Canadian Equity Fund — 99.3%BMO Low Volatility Canadian Equity ETF 976,645 31,386 29,708





BMO Low Volatility Canadian Equity ETF GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The Fund is authorized to issue an unlimited number of units in each of 75/75 Class A Units, 75/100 Class A Units, 75/75 Class F Units, 75/100 Class F Units 75/75 Prestige Class Units and 75/100 Prestige Class Units, which are withdrawable at the policyowners’ option.

Class Launch Date







Change in units



June 30, 2020

June 30, 2019










75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




75/75 Class F Units 1,000 12

75/100 Class F Units 1,000 12




The Fund invests in the BMO Low Volatility Canadian Equity ETF (“underlying fund”). The investment objective of the underlying fund is to provide exposure to the performance of a portfolio of Canadian equities with the potential for long-term capital growth. The securities of the underlying fund will be selected from the largest and most liquid securities in Canada. The securities that have the lowest sensitivity to market movement (beta) will be selected for the underlying fund portfolio and it will be weighted so that a higher allocation is given to securities with lower one year beta, although any investment in a single issuer will be made only in accordance with applicable Canadian security legislation.

Currency risk


Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, S&P/TSX Capped Composite Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $2,428 (December 31, 2019 — $1,940). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

BMO Low Volatility Canadian Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Low Volatility Canadian Equity ETF 29,708 29,224


As at June 30,

2020

As at December 31,

2019

BMO Low Volatility Canadian Equity ETF 1.23% 1.21%



June 30, June 30,



benefit of policyowners (1,017) 852Weighted average units outstanding during the




benefit of policyowners (1,437) 1,525Weighted average units outstanding during the



















BMO Low Volatility Canadian Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




June 30, 2020

June 30, 2019




Concentration risk


As atJune 30,

2020December 31,

2019

EquitiesCommunication Services 11.1% 11.2%Consumer Discretionary 7.4% 7.4%Consumer Staples 14.1% 12.1%Energy 1.5% 1.5%Financials 24.4% 24.6%Industrials 6.7% 6.5%Information Technology 3.8% 4.0%Materials 6.0% 5.1%Real Estate 8.3% 10.3%Utilities 15.8% 15.6%




BMO Low Volatility Canadian Equity ETF GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017 2016(4)





(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/100 Class A Units


30, 2020 2019 2018 2017 2016(4)


(000's)(1) 1,032 901 939 831 237Management fees % 1.55 1.55 1.55 1.55 1.55Management expense ratio(2) % 2.94 2.95 2.96 2.97 2.97Management expense ratio



(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)



(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/100 Class F Units


30, 2020 2019 2018(5)


(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility Canadian Equity ETF GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019








BMO Monthly Income GIF(unaudited) (cont’d)





ASSETSCURRENT ASSETSCash 971 1,073Investments




policyowners75/75 Class A Units 4,123 3,77475/100 Class A Units 12,009 9,791100/100 Class A Units 15,551 14,96175/75 Class F Units 16 1775/100 Class F Units 43 44100/100 Class F Units 212 21775/75 Prestige Class Units 2,349 1,66075/100 Prestige Class Units 6,245 3,597100/100 Prestige Class Units 16,558 17,503




INCOMEInterest income 4 7Distributions received from investment trusts 1,086 760Other changes in fair value of investments and






(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (93) 40575/100 Class A Units (302) 522100/100 Class A Units (422) 1,03075/75 Class F Units (1) 175/100 Class F Units (1) 2100/100 Class F Units (5) 175/75 Prestige Class Units (56) 2275/100 Prestige Class Units (182) 21100/100 Prestige Class Units (470) 1,144








policyowners at beginning of period 3,774 4,657 (Decrease) increase in net assets held for the

benefit of policyowners (93 ) 405


Proceeds from withdrawable units issued 1,787 583 Withdrawal of withdrawable units (1,345 ) (2,256 )Net increase (decrease) from withdrawable

unit transactions 442 (1,673 )

Net increase (decrease) in net assets held for the benefit of policyowners 349 (1,268 )






Proceeds from withdrawable units issued 6,013 1,189 Withdrawal of withdrawable units (3,493 ) (2,921 )Net increase (decrease) from withdrawable

unit transactions 2,520 (1,732 )

Net increase (decrease) in net assets held for the benefit of policyowners 2,218 (1,210 )


STATEMENT OF CHANGES IN NET ASSETS HELD FOR THE BENEFIT OF POLICYOWNERS (con’d)(All amounts in thousands of Canadian dollars)




benefit of policyowners (422 ) 1,030


Proceeds from withdrawable units issued 3,139 4,171 Withdrawal of withdrawable units (2,127 ) (3,449 )Net increase from withdrawable unit





policyowners at beginning of period 17 15 (Decrease) increase in net assets held for the


Net (decrease) increase in net assets held for the benefit of policyowners (1 ) 1






Proceeds from withdrawable units issued — 20 Net increase from withdrawable unit

transactions — 20














policyowners at beginning of period 1,660 — (Decrease) increase in net assets held for the



Proceeds from withdrawable units issued 1,126 2,040 Withdrawal of withdrawable units (381 ) (11 )Net increase from withdrawable unit





policyowners at beginning of period 3,597 — (Decrease) increase in net assets held for the



Proceeds from withdrawable units issued 3,013 1,988 Withdrawal of withdrawable units (183 ) (4 )Net increase from withdrawable unit








benefit of policyowners (470 ) 1,144


Proceeds from withdrawable units issued 1,168 3,021 Withdrawal of withdrawable units (1,643 ) (1,168 )Net (decrease) increase from withdrawable

unit transactions (475 ) 1,853

Net (decrease) increase in net assets held for the benefit of policyowners (945 ) 2,997




benefit of policyowners (1,532 ) 3,148

Withdrawable unit transactionsProceeds from withdrawable units issued 16,246 13,012 Withdrawal of withdrawable units (9,172 ) (9,809 )Net increase from withdrawable unit




BMO Monthly Income GIF(unaudited)









Increase in accrued expenses 33 42Non-cash distributions from investment trusts (1,086) (760)Purchases of investments (7,183) (3,536)Proceeds from sale and maturity of investments 750 1,090



Net (decrease) increase in cash (102) 83Cash at beginning of period 1,073 687Cash at end of period 971 770





Cost* ($)

Fair Value

($)


Canadian Balanced Fund — 99.0%BMO Monthly Income Fund, Series I 6,296,337 57,467 56,512





BMO Monthly Income GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date










Change in units



June 30, 2020

June 30, 2019








June 30, 2020

June 30, 2019







75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11




The Fund invests in the BMO Monthly Income Fund, (“underlying fund”). The investment objective of the underlying fund is to provide a fixed monthly distribution and to preserve the capital invested. The underlying fund invests primarily in Canadian fixed income securities with higher-than-average yields, issued by the federal government, provincial governments, government agencies and corporations as well as preferred and common shares, real estate investment trusts, royalty trusts and other high-yielding investments. To enhance the yield, the underlying fund may also invest in Canadian or foreign lower rated or unrated securities and derivative instruments with options, futures and forward contracts.

BMO Monthly Income GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 7 195 — 202 0.4Danish Krone 1 73 — 74 0.1Euro 2 448 — 450 0.8Hong Kong Dollar 1 68 — 69 0.1Israeli Shekel 0 21 — 21 0.0Japanese Yen 9 501 — 510 0.9New Zealand Dollar 0 7 — 7 0.0Norwegian Krone 0 12 — 12 0.0Pound Sterling 5 260 — 265 0.5Singapore Dollar 0 — — 0 0.0Swedish Krona 0 52 — 52 0.1Swiss Franc 4 141 — 145 0.3U.S. Dollar 98 8,868 (29) 8,937 15.6Total 127 10,646 (29) 10,744 18.8Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 1 53 — 54 0.1Danish Krone — 19 — 19 0.0Euro 1 164 — 165 0.3Hong Kong Dollar — 27 — 27 0.1Israeli Shekel — 7 — 7 0.0Japanese Yen 2 132 — 134 0.3New Zealand Dollar — 2 — 2 0.0Norwegian Krone — 7 — 7 0.0Pound Sterling 3 83 — 86 0.2Singapore Dollar — 3 — 3 0.0Swedish Krona — 21 — 21 0.0Swiss Franc 1 51 — 52 0.1U.S. Dollar 109 7,592 (26) 7,675 14.9Total 117 8,161 (26) 8,252 16.0Boder line

As at June 30, 2020 and December 31, 2019, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the

Net Assets of the Fund could possibly have decreased or increased, respectively, by approximately $537 (December 31, 2019 — $413). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk

The Fund's exposure, through its investment in the underlying fund, to interest rate risk, by remaining term to maturity, is summarized in the following table:

Interest Rate Exposure as at

Number of yearsJune 30,

2020December 31,

2019

Less than one year 1,921 2,137One to three years 2,656 3,699Three to five years 4,634 2,927Five to ten years 6,838 7,302Greater than ten years 7,460 6,059Total 23,509 22,124

As at June 30, 2020 and December 31, 2019, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased, respectively, by approximately $1,838 (December 31, 2019 — $1,702). The Fund's interest rate sensitivity was determined based on portfolio weighted duration. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 50% S&P/TSX Composite Total Return Index and 50% FTSE Canada Universe Bond Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $5,549 (December 31, 2019 — $4,819). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk







2020December 31,

2019

R-1 High 0.7 2.7R-1 Mid — 0.4R-1 Low — 0.2AAA 6.6 8.8AA 6.4 8.5A 16.3 14.2BBB 10.8 7.8BB 0.4 0.4Total 41.2 43.0





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Monthly Income Fund, Series I 56,512 50,829


As at June 30,

2020

As at December 31,

2019

BMO Monthly Income Fund, Series I 1.37% 1.12%



June 30, June 30,





























June 30, June 30,
















Concentration risk


As atJune 30,

2020December 31,

2019

Money Market InvestmentsFederal 0.1% 2.7%Provincial 0.5% 0.4%Corporate —% 0.2%Municipal 0.1% —%

Canadian Bonds & DebenturesGovernment Bonds 5.5% 7.7%Provincial Bonds 10.4% 9.7%Corporate Bonds and Debentures 17.3% 16.3%Asset-Backed Securities 0.4% 0.1%

Foreign Bonds & DebenturesAustralia 0.4% 0.2%Belgium 0.2% 0.1%Germany 1.1% 1.0%United Kingdom 0.6% 0.5%United States 4.6% 4.0%

Canadian EquitiesCommunication Services 2.9% 3.5%

As atJune 30,

2020December 31,

2019

Consumer Discretionary 0.2% 0.1%Consumer Staples 2.9% 2.9%Energy 4.0% 4.5%Financials 6.8% 6.6%Industrials 1.6% 1.0%Information Technology 0.6% 0.9%Materials 1.4% 1.7%Real Estate 5.6% 6.7%Utilities 6.1% 7.2%

Foreign EquitiesAustralia 0.4% 0.1%Belgium 0.0% 0.0%Denmark 0.1% 0.0%Finland 0.1% 0.0%France 0.2% 0.1%Germany 0.1% 0.3%Hong Kong 0.1% 0.0%Ireland 0.0% 0.0%Israel 0.0% 0.0%Italy 0.2% 0.1%Japan 0.9% 0.3%Luxembourg 0.0% —%Macau 0.0% 0.0%Netherlands 0.2% 0.1%New Zealand 0.0% 0.0%Norway 0.0% 0.0%Russia 0.0% 0.0%Singapore —% 0.0%Spain 0.1% 0.0%Sweden 0.1% 0.0%Switzerland 0.3% 0.1%United Kingdom 0.4% 0.3%United States 15.5% 14.8%

Holdings in Investment Funds 5.3% 3.6%Swaps

Credit Default Swaps 0.0% (0.0)%Other Assets less Liabilities 2.7% 2.2%

100.0% 100.0%



BMO Monthly Income GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Monthly Income GIF(3) 75/75 Class A Units


30, 2020 2019 2018 2017(4)

Net asset (000's)(1) $ 4,123 3,774 4,657 3,958Net asset value per unit(1) $ 11.14 11.41 10.12 10.43Units issued and outstanding (000's)(1) 370 331 460 379Management fees % 1.60 1.60 1.60 1.60Management expense ratio(2) % 2.57 2.59 2.61 2.59Management expense ratio before





30, 2020 2019 2018 2017(4)

Net asset (000's)(1) $ 12,009 9,791 5,910 4,988Net asset value per unit(1) $ 11.06 11.34 10.08 10.41Units issued and outstanding (000's)(1) 1,086 863 586 479Management fees % 1.60 1.60 1.60 1.60Management expense ratio(2) % 2.83 2.83 2.78 2.76Management expense ratio before





30, 2020 2019 2018 2017(4)

Net asset (000's)(1) $ 15,551 14,961 11,397 9,763Net asset value per unit(1) $ 10.90 11.20 10.00 10.37Units issued and outstanding (000's)(1) 1,427 1,335 1,140 941Management fees % 1.60 1.60 1.60 1.60Management expense ratio(2) % 3.23 3.21 3.20 3.20Management expense ratio before



(1) (2) BMO Monthly Income GIF(3) 75/75 Class F Units


30, 2020 2019 2018(5)





30, 2020 2019 2018(5)





30, 2020 2019 2018(5)


(1) (2) BMO Monthly Income GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


BMO Monthly Income GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





30, 2020

May 6, 2019 to

December 31, 2019





30, 2020 2019 2018 2017(4)

Net asset (000's)(1) $ 16,558 17,503 12,669 8,983Net asset value per unit(1) $ 11.06 11.35 10.08 10.41Units issued and outstanding (000's)(1) 1,497 1,543 1,257 863Management fees % 1.25 1.25 1.25 1.25Management expense ratio(2) % 2.80 2.79 2.77 2.75Management expense ratio before








BMO Asset Allocation GIF(unaudited)






Non-derivative financial assets 7,436 6,858Subscriptions receivable 64 —Total assets 7,648 7,036



policyowners75/75 Class A Units 460 50775/100 Class A Units 763 696100/100 Class A Units 1,484 1,29575/75 Class F Units 72 7375/100 Class F Units 11 11100/100 Class F Units 11 1175/75 Prestige Class Units 972 91575/100 Prestige Class Units 575 504100/100 Prestige Class Units 3,224 2,973




INCOMEInterest income — 0Other changes in fair value of investments and


appreciation (20) 283Net (loss) gain in fair value of investments and

derivatives (37) 283Total (loss) income (37) 283

EXPENSESManagement fees (note 7) 55 26Fixed administration fees (note 7) 10 5Insurance fees (note 7) 33 15Interest charges 0 0Total expenses 98 46

(Decrease) increase in net assets held for the benefit of policyowners (135) 237

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (10) 3375/100 Class A Units (14) 44100/100 Class A Units (46) 6575/75 Class F Units (1) 275/100 Class F Units (0) 1100/100 Class F Units (0) 175/75 Prestige Class Units (21) 275/100 Prestige Class Units (5) 7100/100 Prestige Class Units (38) 82


BMO Asset Allocation GIF(unaudited) (cont’d)









Proceeds from withdrawable units issued 93 235Withdrawal of withdrawable units (130) (120)Net (decrease) increase from withdrawable









transactions 81 20









Proceeds from withdrawable units issued 628 1,931Withdrawal of withdrawable units (393) (1,621)Net increase from withdrawable unit









transactions — 59



















policyowners at beginning of period 915 —(Decrease) increase in net assets held for the




transactions 78 119







Proceeds from withdrawable units issued 83 441Withdrawal of withdrawable units (7) —Net increase from withdrawable unit

transactions 76 441









Proceeds from withdrawable units issued 310 1,620Withdrawal of withdrawable units (21) (76)Net increase from withdrawable unit







Withdrawable unit transactionsProceeds from withdrawable units issued 1,372 4,872Withdrawal of withdrawable units (650) (2,264)Net increase from withdrawable unit










benefit of policyowners (135) 237Adjustments for:


Change in unrealized depreciation (appreciation) of investments and derivatives 20 (283)

Increase in accrued expenses 2 15Purchases of investments (775) (2,146)Proceeds from sale and maturity of investments 185 50

Net cash from operating activities (686) (2,127)Cash flows from financing activitiesProceeds from issuances of withdrawable units 830 3,879Amounts paid on withdrawal of withdrawable

units (174) (1,730)Net cash from financing activities 656 2,149


Supplementary Information:Interest received, net of withholding taxes* — 0Interest expense paid* 0 0




Cost* ($)

Fair Value

($)


Canadian Balanced Fund — 98.2%BMO Asset Allocation Fund, Series I 525,810 7,262 7,436





BMO Asset Allocation GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date

75/75 Class A Units May 14, 2018









Change in units



June 30, 2020

June 30, 2019








June 30, 2020

June 30, 2019







100/100 Class A Units 1,000 10

75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11





75/75 Class A Units 1,000 10

75/100 Class A Units 1,000 10

100/100 Class A Units 1,000 11

75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11





The Fund invests in the BMO Asset Allocation Fund, (“underlying fund”). The investment objective of the underlying fund is to provide a balance between income and growth in the value of the capital invested over the long term. The underlying fund invests in Canadian equities and fixed income securities.

BMO Asset Allocation GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk


Interest rate risk




2020December 31,

2019

Less than one year 219 180One to three years 303 308Three to five years 447 490Five to ten years 841 1,058Greater than ten years 934 851Total 2,744 2,887

As at June 30, 2020 and December 31, 2019, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased, respectively, by approximately $251 (December 31, 2019 — $235). The Fund's interest rate sensitivity was determined based on portfolio weighted duration. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 50% S&P/TSX Composite Total Return Index and 50% FTSE Canada Universe Bond Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $744 (December 31, 2019 — $762). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk




2020December 31,

2019

R-1 High 0.1 —R-1 Low 0.3 —AAA 6.3 6.7AA 4.4 8.0A 13.5 12.9BBB 17.1 12.7B 1.1 1.0Total 42.8 41.3





As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Asset Allocation Fund, Series I 7,436 6,858


As at June 30,

2020

As at December 31,

2019

BMO Asset Allocation Fund, Series I 0.47% 0.41%






June 30, June 30,


























June 30, June 30,
















Concentration risk


As atJune 30,

2020December 31,

2019

Money Market InvestmentsFederal 0.1% 0.0%Provincial 0.3% 0.0%

Canadian Bonds & DebenturesFederal Bonds 5.2% 5.8%Provincial Bonds 10.3% 9.6%Corporate Bonds 19.9% 20.2%Asset-Backed Securities 0.2% 0.2%

Foreign Bonds & DebenturesAustralia 0.5% 0.2%Belgium 0.1% 0.1%Germany 0.3% 0.3%United Kingdom 0.4% 0.4%United States 5.5% 4.5%

Canadian EquitiesCommunication Services 2.3% 1.7%Consumer Discretionary 0.5% 1.4%Consumer Staples 2.1% 2.3%




As atJune 30,

2020December 31,

2019

Energy 4.2% 5.6%Financials 9.3% 11.2%Industrials 3.7% 4.7%Information Technology 2.5% 2.7%Materials 2.7% 3.2%Real Estate 1.5% 1.9%Utilities 1.2% 1.6%

Foreign EquitiesUnited States 0.5% 0.8%

Holdings in Investment Funds 23.5% 19.0%Swaps

Credit Default Swaps 0.0% (0.2)%Other Assets less Liabilities 3.2% 2.8%

100.0% 100.0%



BMO Asset Allocation GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Asset Allocation GIF(3) 75/75 Class A Units


30, 2020 2019 2018(4)





30, 2020 2019 2018(4)





30, 2020 2019 2018(4)



(1) (2) BMO Asset Allocation GIF(3) 75/75 Class F Units


30, 2020 2019 2018(4)





30, 2020 2019 2018(4)





30, 2020 2019 2018(4)


(1) (2) BMO Asset Allocation GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 972 915Net asset value per unit(1) $ 10.12 10.32Units issued and outstanding (000's)(1) 96 89Management fees % 1.46 1.46Management expense ratio(2) % 2.45 2.45Management expense ratio before waivers % 2.45 2.45Portfolio turnover rate(3) % 2.63 1.75



30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 575 504Net asset value per unit(1) $ 10.10 10.31Units issued and outstanding (000's)(1) 57 49Management fees % 1.37† 1.46Management expense ratio(2) % 2.56 2.57Management expense ratio before waivers % 2.56 2.57Portfolio turnover rate(3) % 2.63 1.75

BMO Asset Allocation GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






30, 2020 2019 2018(4)







BMO Dividend GIF(unaudited)














derivativesNet realized gain — 5Change in unrealized (depreciation)

appreciation (2,879) 817Net (loss) gain in fair value of investments and

derivatives (2,809) 839Total (loss) income (2,809) 839


(Decrease) increase in net assets held for the benefit of policyowners (3,168) 750

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (298) 23175/100 Class A Units (1,644) 43575/75 Class F Units (7) 875/100 Class F Units (1) 275/75 Prestige Class Units (367) 2475/100 Prestige Class Units (851) 50


BMO Dividend GIF(unaudited) (cont’d)





































Proceeds from withdrawable units issued 772 1,244Withdrawal of withdrawable units (286) —Net increase from withdrawable unit






























benefit of policyowners (3,168) 750Adjustments for:

Net realized gain on sale of investments and derivatives — (5)

Change in unrealized depreciation (appreciation) of investments and derivatives 2,879 (817)

Increase in accrued expenses 55 31Non-cash distributions from investment trusts (68) (17)Purchases of investments (8,801) (3,609)Proceeds from sale and maturity of investments — 175








Cost* ($)

Fair Value

($)


Canadian Equity Fund — 98.9%BMO Dividend Fund, Series I 1,828,657 28,974 26,938





BMO Dividend GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019










75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10




75/75 Class A Units 1,000 11

75/100 Class A Units 1,000 11

75/75 Class F Units 1,000 12

75/100 Class F Units 1,000 11




The Fund invests in the BMO Dividend Fund, (“underlying fund”). The investment objective of the underlying fund is to provide a high after-tax return, which includes dividend income and capital gains from growth in the capital invested. The underlying fund invests primarily in dividend-yielding common and preferred shares of established Canadian companies.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar 137 4,841 (3,110) 1,868 6.9

Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar 40 3,696 (2,298) 1,438 6.7

Boder line

As at June 30, 2020 and December 31, 2019, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased,

BMO Dividend GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



respectively, by approximately $93 (December 31, 2019 — $72). In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, S&P/TSX Composite Total Return Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $2,527 (December 31, 2019 — $1,978). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Dividend Fund, Series I 26,938 20,948


As at June 30,

2020

As at December 31,

2019

BMO Dividend Fund, Series I 0.50% 0.35%



June 30, June 30,







benefit of policyowners (1,644) 435Weighted average units outstanding during the











BMO Dividend GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,












Concentration risk


As atJune 30,

2020December 31,

2019

Money Market InvestmentsFederal —% 2.3%Provincial 1.8% 0.7%Municipal 0.1% 0.1%Corporate 0.1% 0.2%

EquitiesCommunication Services 4.2% 3.9%Consumer Discretionary 4.0% 4.9%Consumer Staples 2.6% 4.7%Energy 11.5% 12.0%Financials 36.3% 35.7%Health Care 1.9% 2.3%Industrials 10.3% 9.5%Information Technology 8.0% 6.9%Materials 1.2% 3.0%Real Estate 5.2% 3.3%Utilities 11.6% 8.2%




BMO Dividend GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Dividend GIF(3) 75/75 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 2,955 2,464 1,333Net asset value per unit(1) $ 10.07 11.36 9.33Units issued and outstanding (000's)(1) 293 217 143Management fees % 1.60 1.60 1.60Management expense ratio(2) % 2.63 2.72 2.73Management expense ratio before waivers % 2.63 2.72 2.73Portfolio turnover rate(3) % — 1.71 1.60


(1) (2) BMO Dividend GIF(3) 75/100 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 13,720 10,426 2,629Net asset value per unit(1) $ 9.99 11.28 9.30Units issued and outstanding (000's)(1) 1,373 924 283Management fees % 1.60 1.60 1.60Management expense ratio(2) % 3.06 3.07 3.07Management expense ratio before waivers % 3.06 3.07 3.07Portfolio turnover rate(3) % — 1.71 1.60


(1) (2) BMO Dividend GIF(3) 75/75 Class F Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 51 58 47Net asset value per unit(1) $ 10.30 11.55 9.38Units issued and outstanding (000's)(1) 5 5 5Management fees % 0.60 0.60 0.60Management expense ratio(2) % 1.62 1.62 1.62Management expense ratio before waivers % 1.62 1.62 1.62Portfolio turnover rate(3) % — 1.71 1.60


(1) (2) BMO Dividend GIF(3) 75/100 Class F Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 10 11 9Net asset value per unit(1) $ 10.22 11.49 9.37Units issued and outstanding (000's)(1) 1 1 1Management fees % 0.60 0.60 0.60Management expense ratio(2) % 1.96 1.95 1.95Management expense ratio before waivers % 1.96 1.95 1.95Portfolio turnover rate(3) % — 1.71 1.60

(1) (2) BMO Dividend GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 2,824 2,705Net asset value per unit(1) $ 9.32 10.49Units issued and outstanding (000's)(1) 303 258Management fees % 1.42 1.42Management expense ratio(2) % 2.54 2.54Management expense ratio before waivers % 2.54 2.54Portfolio turnover rate(3) % — 1.71

(1) (2) BMO Dividend GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 7,678 5,701Net asset value per unit(1) $ 9.27 10.47Units issued and outstanding (000's)(1) 828 544Management fees % 1.33† 1.42Management expense ratio(2) % 2.82 2.85Management expense ratio before waivers % 2.82 2.85Portfolio turnover rate(3) % — 1.71



(3) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio manager manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a fund. For the financial period-ended June 30, 2020, no sales of portfolio securities were made by the Fund. As a result the portfolio turnover rate for this period was zero.



BMO Monthly High Income II GIF(unaudited)









policyowners75/75 Class A Units 682 68975/100 Class A Units 3,439 3,46975/75 Class F Units 9 1175/100 Class F Units 8 1175/75 Prestige Class Units 694 65575/100 Prestige Class Units 1,337 745




INCOMEInterest income 0 —Distributions received from investment trusts 153 35Other changes in fair value of investments and


appreciation (1,422) 98Net (loss) gain in fair value of investments and

derivatives (1,272) 134Total (loss) income (1,272) 134


(Decrease) increase in net assets held for the benefit of policyowners (1,359) 112

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (160) 5675/100 Class A Units (794) 5275/75 Class F Units (2) 175/100 Class F Units (3) 175/75 Prestige Class Units (130) 075/100 Prestige Class Units (270) 2


BMO Monthly High Income II GIF(unaudited) (cont’d)

















Proceeds from withdrawable units issued 1,782 694Withdrawal of withdrawable units (1,018) (472)Net increase from withdrawable unit


















































benefit of policyowners (1,359) 112Adjustments for:


Change in unrealized depreciation (appreciation) of investments and derivatives 1,422 (98)

Increase in accrued expenses 7 7Non-cash distributions from investment trusts (153) (35)Purchases of investments (2,539) (1,000)Proceeds from sale and maturity of investments 600 100

Net cash from operating activities (2,019) (915)Cash flows from financing activitiesProceeds from issuances of withdrawable units 2,186 2,157Amounts paid on withdrawal of withdrawable

units (229) (1,165)Net cash from financing activities 1,957 992


Supplementary Information:Interest received, net of withholding taxes* 0 —Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


Canadian Equity Fund — 98.8%BMO Monthly High Income Fund II, Series I 412,410 7,287 6,095





BMO Monthly High Income II GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019










75/75 Class F Units 1,000 9

75/100 Class F Units 1,000 9




75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11




The Fund invests in the BMO Monthly High Income Fund II, (“underlying fund”). The investment objective of the underlying fund is to generate a high level of monthly distributions with moderate volatility by investing primarily in a portfolio of trust units, equity securities and fixed income securities.

Currency risk


Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, S&P/TSX Composite Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $618 (December 31, 2019 — $447). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk


BMO Monthly High Income II GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020







As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Monthly High Income Fund II, Series I 6,095 5,428


As at June 30,

2020

As at December 31,

2019

BMO Monthly High Income Fund II, Series I 0.89% 0.58%



June 30, June 30,






June 30, June 30,
























BMO Monthly High Income II GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Concentration risk


As atJune 30,

2020December 31,

2019

Money Market InvestmentsFederal 2.9% 1.6%

EquitiesConsumer Services 10.2% 9.6%Consumer Discretionary 1.5% —%Consumer Staples —% 1.0%Energy 26.8% 30.0%Financials 29.2% 25.3%Health Care 2.1% 2.1%Industrials 3.0% 2.3%Materials 2.6% 1.5%Real Estate 7.8% 9.4%Utilities 12.5% 12.7%




BMO Monthly High Income II GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Monthly High Income II GIF(3) 75/75 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 682 689 535Net asset value per unit(1) $ 8.43 10.58 9.06Units issued and outstanding (000's)(1) 81 65 59Management fees % 1.65 1.65 1.65Management expense ratio(2) % 2.75 2.77 2.79Management expense ratio before waivers % 2.75 2.77 2.79Portfolio turnover rate(3) % 10.30 4.57 —


(1) (2) BMO Monthly High Income II GIF(3) 75/100 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 3,439 3,469 459Net asset value per unit(1) $ 8.43 10.52 9.04Units issued and outstanding (000's)(1) 408 330 51Management fees % 1.65 1.65 1.65Management expense ratio(2) % 3.12 3.13 3.13Management expense ratio before waivers % 3.12 3.13 3.13Portfolio turnover rate(3) % 10.30 4.57 —


(1) (2) BMO Monthly High Income II GIF(3) 75/75 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO Monthly High Income II GIF(3) 75/100 Class F Units


30, 2020 2019 2018(4)


(1) (2) BMO Monthly High Income II GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Monthly High Income II GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 1,337 745Net asset value per unit(1) $ 8.42 10.48Units issued and outstanding (000's)(1) 159 71Management fees % 1.38† 1.47Management expense ratio(2) % 2.82 2.85Management expense ratio before waivers % 2.82 2.85Portfolio turnover rate(3) % 10.30 4.57



(3) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio manager manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a fund. For the financial period-ended December 31, 2018, no sales of portfolio securities were made by the Fund. As a result the portfolio turnover rate for this period was zero.


† Effective May 11, 2020, the management fee rate was increased from 0.65% to 1.38%.

BMO Tactical Balanced GIF(unaudited)














derivativesNet realized (loss) gain (8) 7Change in unrealized appreciation 843 783


Total income 836 791





BMO Tactical Balanced GIF(unaudited) (cont’d)







policyowners 78 215


Proceeds from withdrawable units issued 2,472 2,973Withdrawal of withdrawable units (943) (4,935)Net increase (decrease) from withdrawable
















policyowners 2 4








policyowners 0 1





policyowners 74 26


Proceeds from withdrawable units issued 1,012 4,455Withdrawal of withdrawable units (1,167) (2)Net (decrease) increase from withdrawable

unit transactions (155) 4,453










policyowners 229 49






















Increase in accrued expenses 34 53Purchases of investments (7,765) (7,925)Proceeds from sale and maturity of investments 640 480








Cost* ($)

Fair Value

($)


Global Balanced Fund — 99.1%BMO Tactical Balanced ETF Fund, Series I 2,852,757 28,756 29,454





BMO Tactical Balanced GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019










75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 10




75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10




The Fund invests in the BMO Tactical Balanced ETF Fund, (“underlying fund”). The investment objective of the underlying fund is to provide long-term capital growth and preserve the capital invested by investing primarily in a diversified portfolio of global equity and fixed income exchange traded funds.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar 7,500 8,701 (16,933) (732) (2.5)

Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

U.S. Dollar (77) 8,751 — 8,674 40.5

Boder line


BMO Tactical Balanced GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 40% Bloomberg Barclays Global Aggregate Bond Index (C$) and 60% MSCI World Index (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $941 (December 31, 2019 — $426). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Tactical Balanced ETF Fund, Series I 29,454 21,044


As at June 30,

2020

As at December 31,

2019

BMO Tactical Balanced ETF Fund, Series I 7.29% 6.32%



June 30, June 30,


















BMO Tactical Balanced GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,












Concentration risk


As atJune 30,

2020December 31,

2019

Holdings in Investment FundsCanadian Equity Funds 1.7% 5.8%Commodity Fund 1.7% 1.2%Fixed Income Funds 29.4% 79.2%Global Equity Fund 5.2% —%U.S. Equity Funds 18.0% 4.1%




BMO Tactical Balanced GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020






(1) (2) BMO Tactical Balanced GIF(3) 75/75 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 4,697 3,090 4,402Net asset value per unit(1) $ 10.28 10.09 9.60Units issued and outstanding (000's)(1) 457 306 459Management fees % 1.60 1.60 1.60Management expense ratio(2) % 2.52 2.61 2.61Management expense ratio before waivers % 2.52 2.61 2.61Portfolio turnover rate(3) % 2.59 7.02 9.66


(1) (2) BMO Tactical Balanced GIF(3) 75/100 Class A Units


30, 2020 2019 2018(4)

Net asset (000's)(1) $ 8,553 5,562 6,384Net asset value per unit(1) $ 10.22 10.05 9.58Units issued and outstanding (000's)(1) 837 554 666Management fees % 1.60 1.60 1.60Management expense ratio(2) % 2.86 2.93 2.93Management expense ratio before waivers % 2.86 2.93 2.93Portfolio turnover rate(3) % 2.59 7.02 9.66


(1) (2) BMO Tactical Balanced GIF(3) 75/75 Class F Units


30, 2020 2019 2018(4)



(1) (2) BMO Tactical Balanced GIF(3) 75/100 Class F Units


30, 2020 2019 2018(4)


(1) (2) BMO Tactical Balanced GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Tactical Balanced GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019







BMO Global Balanced GIF(unaudited)






Non-derivative financial assets 6,638 3,565Subscriptions receivable 40 —Total assets 6,892 3,690

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 90 —Redemptions payable 28 —Accrued expenses 40 23Total liabilities 158 23Net assets held for the benefit of


policyowners75/75 Class A Units 344 18075/100 Class A Units 2,155 950100/100 Class A Units 1,012 97275/75 Class F Units 11 1175/100 Class F Units 245 143100/100 Class F Units 11 1075/75 Prestige Class Units 183 7375/100 Prestige Class Units 1,802 1,036100/100 Prestige Class Units 971 292




INCOMEInterest income 0 —Other changes in fair value of investments and

derivativesNet realized loss (20) —Change in unrealized appreciation 98 7


Total income 78 7



Increase (decrease) in net assets held for the benefit of policyowners75/75 Class A Units 7 075/100 Class A Units 5 0100/100 Class A Units (4) 275/75 Class F Units 0 075/100 Class F Units 2 0100/100 Class F Units 1 075/75 Prestige Class Units 2 075/100 Prestige Class Units (33) 3100/100 Prestige Class Units 26 (0)

Increase (decrease) in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units 0.32 0.0775/100 Class A Units 0.03 0.07100/100 Class A Units (0.05) 0.1275/75 Class F Units 0.11 0.0375/100 Class F Units 0.08 0.03100/100 Class F Units 0.08 0.0275/75 Prestige Class Units 0.23 0.0275/100 Prestige Class Units (0.24) 0.08100/100 Prestige Class Units 0.48 (0.14)

BMO Global Balanced GIF(unaudited) (cont’d)






policyowners at beginning of period 180 —Increase in net assets held for the benefit of

policyowners 7 0



transactions 157 52





policyowners 5 0


Proceeds from withdrawable units issued 2,433 500Withdrawal of withdrawable units (1,233) (395)Net increase from withdrawable unit










Proceeds from withdrawable units issued 1,033 364Withdrawal of withdrawable units (989) (74)Net increase from withdrawable unit

transactions 44 289





policyowners 0 0



transactions — 10





policyowners 2 0



transactions 100 10










policyowners 1 0



transactions — 10





policyowners 2 0



transactions 108 10







Proceeds from withdrawable units issued 1,178 405Withdrawal of withdrawable units (379) —Net increase from withdrawable unit







policyowners at beginning of period 292 —Increase (decrease) in net assets held for the

benefit of policyowners 26 (0)



transactions 653 84





policyowners 6 5

Withdrawable unit transactionsProceeds from withdrawable units issued 5,797 1,445Withdrawal of withdrawable units (2,736) (470)Net increase from withdrawable unit











Net realized loss on sale of investments and derivatives 20 —


Increase in accrued expenses 17 3Purchases of investments (3,355) (940)Proceeds from sale and maturity of investments 450 —

Net cash from operating activities (2,960) (939)Cash flows from financing activitiesProceeds from issuances of withdrawable units 3,820 1,443Amounts paid on withdrawal of withdrawable

units (771) (470)Net cash from financing activities 3,049 973

Net increase in cash 89 34Cash at beginning of period 125 —Cash at end of period 214 34

Supplementary Information:Interest received, net of withholding taxes* 0 —Interest expense paid* 0 —




Cost* ($)

Fair Value

($)


Global Balanced Fund — 98.6%BMO Global Balanced Fund, Series I 525,150 6,430 6,638





BMO Global Balanced GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date










Change in units



June 30, 2020

June 30, 2019

75/75 Class A UnitsUnits issued and outstanding, beginning of period 17 —Issued for cash 29 5Withdrawn during the period (13) —Units issued and outstanding, end of period 33 5

75/100 Class A UnitsUnits issued and outstanding, beginning of period 91 —Issued for cash 233 50Withdrawn during the period (118) (39)Units issued and outstanding, end of period 206 11


75/75 Class F UnitsUnits issued and outstanding, beginning of period 1 —Issued for cash — 1Units issued and outstanding, end of period 1 1

75/100 Class F UnitsUnits issued and outstanding, beginning of period 14 —Issued for cash 9 1Units issued and outstanding, end of period 23 1


June 30, 2020

June 30, 2019


75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period 7 —Issued for cash 10 1Units issued and outstanding, end of period 17 1






100/100 Class A Units 1,000 10

75/75 Class F Units 1,000 11

75/100 Class F Units 1,000 11

100/100 Class F Units 1,000 11





100/100 Class A Units 1,000 10

75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10

100/100 Class F Units 1,000 10





The Fund invests in the BMO Global Balanced Fund, (“underlying fund”). The investment objective of the underlying fund is to provide long-term capital growth consistent with the preservation of capital by investing primarily in a balanced portfolio of global equity and fixed income securities.

BMO Global Balanced GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 4 213 (134) 83 1.2Brazilian Real — 12 — 12 0.2Danish Krone 0 3 — 3 0.0Euro (37) 1,174 (928) 209 3.1Hong Kong Dollar — 97 — 97 1.4Japanese Yen 4 611 (337) 278 4.1Mexican Peso 0 10 (10) 0 0.0Norwegian Krone 0 24 — 24 0.4Pound Sterling 4 477 (384) 97 1.4South African Rand 0 — — 0 0.0South Korean Won 1 55 — 56 0.8Swiss Franc 2 133 — 135 2.0Taiwan New Dollar 2 79 — 81 1.2Thai Baht 0 8 — 8 0.1U.S. Dollar (5) 3,455 (1,626) 1,824 27.1Total (25) 6,351 (3,419) 2,907 43.0Boder line


Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 2 144 (108) 38 1.0Brazilian Real — 4 — 4 0.1Euro 3 593 (405) 191 5.2Hong Kong Dollar 1 69 — 70 1.9Japanese Yen 2 114 — 116 3.2Norwegian Krone — 15 — 15 0.4Pound Sterling (12) 301 (234) 55 1.5South Korean Won — 44 — 44 1.2Swedish Krona — 20 — 20 0.5Swiss Franc 0 74 — 74 2.0Taiwan New Dollar 1 42 — 43 1.2Thai Baht 1 3 — 4 0.1U.S. Dollar 5 1,737 (715) 1,027 28.0Total 3 3,160 (1,462) 1,701 46.3Boder line


Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 50% MSCI All Country World Index (C$) and 50% Bloomberg Barclays Global Aggregate Bond Index (C$ Hedged), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $624 (December 31, 2019 — $340). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020













Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Global Balanced Fund, Series I 6,638 3,565


As at June 30,

2020

As at December 31,

2019

BMO Global Balanced Fund, Series I 14.20% 7.89%



June 30, June 30,


















June 30, June 30,


















100/100 Prestige Class UnitsIncrease (decrease) in net assets held for the

benefit of policyowners 26 (0)Weighted average units outstanding during the


Increase (decrease) in net assets held for the benefit of policyowners per unit 0.48 (0.14)






Concentration risk


As atJune 30,

2020December 31,

2019

Bonds & DebenturesAustralia 2.1% 3.0%Austria 0.8% 0.4%Belgium 0.6% 0.8%Canada 1.8% 2.5%China 0.4% 0.4%France 1.8% 2.1%Germany 3.5% 2.6%Ireland 0.5% 0.5%Italy 1.6% 1.0%Japan 5.0% —%Latvia 1.3% —%Mexico 0.1% —%Netherlands 1.5% 1.7%Qatar 0.7% 0.6%Slovakia —% 0.3%South Korea 0.4% 0.4%Spain 2.1% 1.9%Supranational 1.6% 1.0%Sweden 0.4% 0.3%Switzerland 0.1% 0.1%United Kingdom 2.2% 3.4%United States 24.7% 19.4%

EquitiesAustralia 1.4% 1.2%Belgium 0.1% 0.2%Brazil 0.2% 0.3%Canada 1.7% 2.1%China 1.7% 1.2%Colombia 0.1% 0.2%Denmark 0.0% —%France 1.3% 2.1%Germany 1.5% 1.7%Hong Kong 0.4% 0.8%Indonesia —% 0.0%Israel 0.1% 0.0%Japan 4.0% 3.1%Netherlands 0.9% 1.1%Norway 0.4% 0.4%Peru 0.2% 0.2%South Korea 0.8% 1.2%Spain 0.6% 0.7%Sweden —% 0.6%Switzerland 2.1% 2.3%Taiwan 1.2% 1.2%

As atJune 30,

2020December 31,

2019

Thailand 0.1% 0.1%United Kingdom 1.0% 1.6%United States 25.1% 26.5%




BMO Global Balanced GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





(1) (2) BMO Global Balanced GIF(3) 75/75 Class A Units


30, 2020

May 6, 2019 to

December 31, 2019




30, 2020

May 6, 2019 to

December 31, 2019

Net asset (000's)(1) $ 2,155 950Net asset value per unit(1) $ 10.45 10.41Units issued and outstanding (000's)(1) 206 91Management fees % 1.65 1.65Management expense ratio(2) % 2.88 2.88Management expense ratio before waivers % 2.88 2.88Portfolio turnover rate(3) % 9.05 2.31



30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Global Balanced GIF(3) 75/75 Class F Units


30, 2020

May 6, 2019 to

December 31, 2019




30, 2020

May 6, 2019 to

December 31, 2019




30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Global Balanced GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019




30, 2020

May 6, 2019 to

December 31, 2019


BMO Global Balanced GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





30, 2020

May 6, 2019 to

December 31, 2019






BMO Low Volatility International Equity ETF GIF(unaudited)







LIABILITIESCURRENT LIABILITIESRedemptions payable — 0Accrued expenses 19 10Total liabilities 19 10Net assets held for the benefit of


policyowners75/75 Class A Units 457 31075/100 Class A Units 1,211 52875/75 Class F Units 9 1075/100 Class F Units 9 1075/75 Prestige Class Units 388 28275/100 Prestige Class Units 1,490 1,080





derivativesNet realized loss (14) (0)Change in unrealized depreciation (228) (2)

Net loss in fair value of investments and derivatives (196) 0

Total loss (196) 0



Decrease in net assets held for the benefit of policyowners (231) (1)

Decrease in net assets held for the benefit of policyowners75/75 Class A Units (28) (0)75/100 Class A Units (72) (0)75/75 Class F Units (1) (0)75/100 Class F Units (1) (0)75/75 Prestige Class Units (22) (0)75/100 Prestige Class Units (107) (1)

Decrease in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units (0.72) (0.06)75/100 Class A Units (0.71) (0.12)75/75 Class F Units (0.81) (0.04)75/100 Class F Units (0.82) (0.05)75/75 Prestige Class Units (0.72) (0.06)75/100 Prestige Class Units (0.77) (0.07)

BMO Low Volatility International Equity ETF GIF(unaudited) (cont’d)






policyowners at beginning of period 310 —Decrease in net assets held for the benefit of

policyowners (28) (0)



transactions 175 33







Proceeds from withdrawable units issued 1,523 192Withdrawal of withdrawable units (768) (120)Net increase from withdrawable unit

transactions 755 71








transactions — 10










transactions — 10








transactions 128 10




policyowners at beginning of period 1,080 —Decrease in net assets held for the benefit of













policyowners at beginning of period 2,220 —Decrease in net assets held for the benefit of


Withdrawable unit transactionsProceeds from withdrawable units issued 2,624 380Withdrawal of withdrawable units (1,049) (121)Net increase from withdrawable unit









Cash flows from operating activitiesDecrease in net assets held for the benefit of

policyowners (231) (1)Adjustments for:


Change in unrealized depreciation of investments and derivatives 228 2

Increase in distribution receivable from investment trusts (11) (2)

Increase in accrued expenses 9 1Purchases of investments (1,666) (259)Proceeds from sale and maturity of investments 111 —

Net cash from operating activities (1,546) (259)Cash flows from financing activitiesProceeds from issuances of withdrawable units 1,792 380Amounts paid on withdrawal of withdrawable

units (251) (121)Net cash from financing activities 1,541 259

Net decrease in cash (5) 0Cash at beginning of period 52 —Cash at end of period 47 0

Supplementary Information:Distributions received from investment trusts* 35 —




Cost* ($)

Fair Value

($)


International Equity Fund — 97.6%BMO Low Volatility International Equity ETF 151,300 3,706 3,477





BMO Low Volatility International Equity ETF GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

June 30, 2019

75/75 Class A UnitsUnits issued and outstanding, beginning of period 31 —Issued for cash 36 3Withdrawn during the period (18) —Units issued and outstanding, end of period 49 3









75/75 Class F Units 1,000 9

75/100 Class F Units 1,000 9




75/75 Class F Units 1,000 10

75/100 Class F Units 1,000 10




The Fund invests in the BMO Low Volatility International Equity ETF, (“underlying fund”). The investment objective of the underlying fund is to provide exposure to a low beta weighted portfolio of international stocks in developed countries outside of North America. Beta measures the security’s sensitivity to market movements. The underlying fund utilizes a rules based methodology to build a portfolio of less market sensitive stocks from a universe of international large cap stocks. The underlying portfolio is rebalanced in June and reconstituted in December.

Currency risk


As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 0 233 — 233 6.5Danish Krone 0 30 — 30 0.9Euro 10 1,784 — 1,794 50.3Hong Kong Dollar 2 210 — 212 5.9Japanese Yen 9 644 — 653 18.3Pound Sterling 4 336 — 340 9.5Singapore Dollar 0 — — 0 0.0Swedish Krona 1 39 — 40 1.1Swiss Franc 1 175 — 176 4.9U.S. Dollar 1 25 — 26 0.7Total 28 3,476 — 3,504 98.1Boder line

BMO Low Volatility International Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Australian Dollar 1 138 — 139 6.3Danish Krone 0 39 — 39 1.8Euro 3 1,060 — 1,063 47.9Hong Kong Dollar 0 159 — 159 7.2Japanese Yen 1 417 — 418 18.8Pound Sterling 1 178 — 179 8.1Singapore Dollar 0 15 — 15 0.7Swedish Krona 0 39 — 39 1.8Swiss Franc 0 110 — 110 5.0U.S. Dollar 0 18 — 18 0.8Total 6 2,173 — 2,179 98.4Boder line


Interest rate risk


Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, MSCI EAFE Index, had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $262 (December 31, 2019 — $146). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk






As at June 30, 2020










Carrying amount

As at June 30,

2020

As at December 31,

2019

BMO Low Volatility International Equity ETF 3,477 2,164


As at June 30,

2020

As at December 31,

2019

BMO Low Volatility International Equity ETF 0.04% 0.46%



June 30, June 30,


75/75 Class A UnitsDecrease in net assets held for the benefit of

policyowners (28) (0)Weighted average units outstanding during the


Decrease in net assets held for the benefit of policyowners per unit (0.72) (0.06)

75/100 Class A UnitsDecrease in net assets held for the benefit of




BMO Low Volatility International Equity ETF GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



June 30, June 30,


75/75 Class F UnitsDecrease in net assets held for the benefit of




75/100 Class F UnitsDecrease in net assets held for the benefit of




75/75 Prestige Class UnitsDecrease in net assets held for the benefit of




75/100 Prestige Class UnitsDecrease in net assets held for the benefit of





June 30, 2020

June 30, 2019




Concentration risk


As atJune 30,

2020December 31,

2019

EquitiesAustralia 6.5% 6.2%Belgium 0.8% 0.8%Colombia —% 0.7%Denmark 0.9% 1.8%Finland 0.8% 0.8%France 17.9% 17.2%Germany 12.5% 12.2%Hong Kong 6.6% 8.0%Ireland 0.9% 0.9%Italy 4.2% 4.5%Japan 18.1% 18.8%Luxembourg 2.0% 2.2%Netherlands 2.9% 2.6%Singapore —% 0.7%Spain 6.5% 5.5%Sweden 1.1% 1.0%Switzerland 4.9% 4.9%United Kingdom 9.5% 8.0%United States 1.5% 1.1%




BMO Low Volatility International Equity ETF GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/75 Class A Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/100 Class A Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/75 Class F Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/100 Class F Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/75 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019


(1) (2) BMO Low Volatility International Equity ETF GIF(3) 75/100 Prestige Class Units


30, 2020

May 6, 2019 to

December 31, 2019






BMO Concentrated Global Balanced GIF(unaudited)




June 30,As at 2020

ASSETSCURRENT ASSETSCash 165Investments

Non-derivative financial assets 2,443Subscriptions receivable 61Total assets 2,669

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 125Redemptions payable 1Accrued expenses 3Total liabilities 129Net assets held for the benefit of policyowners 2,540Net assets held for the benefit of policyowners

75/75 Class A Units 22075/100 Class A Units 344100/100 Class A Units 18175/75 Class F Units 375/100 Class F Units 402100/100 Class F Units 375/75 Prestige Class Units 57775/100 Prestige Class Units 321100/100 Prestige Class Units 489

Net assets held for the benefit of policyowners per unit 75/75 Class A Units $ 10.0975/100 Class A Units $ 10.10100/100 Class A Units $ 10.0975/75 Class F Units $ 10.1275/100 Class F Units $ 10.11100/100 Class F Units $ 10.1175/75 Prestige Class Units $ 10.1175/100 Prestige Class Units $ 10.10100/100 Prestige Class Units $ 10.09


June 30, For the period ended 2020

INCOMEDistributions received from investment trusts 2Other changes in fair value of investments and derivatives

Unrealized depreciation (1)Net gain in fair value of investments and derivatives 1Total income 1

EXPENSESManagement fees (note 7) 2Fixed administration fees (note 7) 0Insurance fees (note 7) 1Total expenses 3

Decrease in net assets held for the benefit of policyowners (2)

(Decrease) increase in net assets held for the benefit of policyowners75/75 Class A Units (2)75/100 Class A Units 2100/100 Class A Units 175/75 Class F Units 075/100 Class F Units 0100/100 Class F Units 075/75 Prestige Class Units 175/100 Prestige Class Units (2)100/100 Prestige Class Units (2)

(Decrease) increase in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units (0.29)75/100 Class A Units 0.09100/100 Class A Units 0.1575/75 Class F Units 0.1275/100 Class F Units 0.00100/100 Class F Units 0.1175/75 Prestige Class Units 0.0475/100 Prestige Class Units (0.25)100/100 Prestige Class Units (0.15)

BMO Concentrated Global Balanced GIF(unaudited) (cont’d)





75/75 Class A UnitsNet assets held for the benefit of policyowners at

beginning of period —Decrease in net assets held for the benefit of policyowners (2)

Withdrawable unit transactions 1

Proceeds from withdrawable units issued 682Withdrawal of withdrawable units (460)Net increase from withdrawable unit transactions 222

Net increase in net assets held for the benefit of policyowners 220

Net assets held for the benefit of policyowners 220


beginning of period —Increase in net assets held for the benefit of policyowners 2













75/75 Class F UnitsNet assets held for the benefit of policyowners at



Proceeds from withdrawable units issued 3Net increase from withdrawable unit transactions 3




















75/75 Prestige Class UnitsNet assets held for the benefit of policyowners at




















Total FundNet assets held for the benefit of policyowners at


Withdrawable unit transactionsProceeds from withdrawable units issued 3,811Withdrawal of withdrawable units (1,269)Net increase from withdrawable unit transactions 2,542

Net increase in net assets held for the benefit of policyowners 2,540

Net assets held for the benefit of policyowners 2,540






Cash flows from operating activitiesDecrease in net assets held for the benefit of policyowners (2)Adjustments for:

Change in unrealized depreciation of investments and derivatives 1

Increase in accrued expenses 3Non-cash distributions from investment trusts (2)Purchases of investments (2,317)

Net cash from operating activities (2,317)Cash flows from financing activitiesProceeds from issuances of withdrawable units 2,483Amounts paid on withdrawal of withdrawable units (1)Net cash from financing activities 2,482

Net increase in cash 165Cash at beginning of period —Cash at end of period 165



Cost* ($)

Fair Value

($)


Global Balanced Fund — 96.2%BMO Concentrated Global Balanced Fund,

Series I 242,950 2,444 2,443





BMO Concentrated Global Balanced GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date










Change in units


For the period ended (in thousands of units)

June 30, 2020

75/75 Class A UnitsUnits issued and outstanding, beginning of period —Issued for cash 67Withdrawn during the period (45)Units issued and outstanding, end of period 22



75/75 Class F UnitsUnits issued and outstanding, beginning of period —Issued for cash 0Units issued and outstanding, end of period 0



June 30, 2020


75/75 Prestige Class UnitsUnits issued and outstanding, beginning of period —Issued for cash 57Units issued and outstanding, end of period 57






75/75 Class A Units 250 3



75/75 Class F Units 250 3



75/75 Prestige Class Units 250 3




The Fund invests in the BMO Concentrated Global Balanced Fund, (“underlying fund”). The investment objective of the underlying fund is to provide a competitive total rate of return, comprised of capital gains and income from interest and dividends, while maintaining a lower level of volatility than pure equity funds by investing primarily in a diversified portfolio of both Canadian and foreign equity and fixed income securities with no restrictions on the capital appreciation of the issuers.

BMO Concentrated Global Balanced GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Currency risk

The Fund's exposure, through its investment in the underlying fund, to currency risk is summarized in the table below. Amounts shown are based on the carrying value of monetary and non-monetary assets (including derivatives and the underlying principle (notional) amount of forward currency contracts, if any).

As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Danish Krone 0 115 — 115 4.5Euro 0 114 (1) 113 4.5Japanese Yen (1) 101 (1) 99 3.9Pound Sterling — 101 (1) 100 3.9Swiss Franc 1 74 0 75 2.9U.S. Dollar 2 872 (5) 869 34.2Total 2 1,377 (8) 1,371 53.9Boder line

As at June 30, 2020, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the Net Assets of the Fund could possibly have increased or decreased, respectively, by approximately $69. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk




2020

Less than one year 87One to three years 145Three to five years 246Five to ten years 241Greater than ten years 321Total 1,040

As at June 30, 2020, if the prevailing interest rates had been raised or lowered by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, the Net Assets of the Fund could possibly have decreased or increased, respectively, by approximately $95. The Fund's interest rate sensitivity was determined based on portfolio weighted duration. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and

the return of its benchmark, if the benchmark, composed of 40% FTSE Canada All Government Bond Index and 60% MSCI World (C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $244. Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk




2020

R-1 High 3.5AAA 17.2AA 8.8A 11.4Total 40.9





As at June 30, 2020





Carrying amount

As at June 30,

2020

BMO Concentrated Global Balanced Fund, Series I 2,443


As at June 30,

2020

BMO Concentrated Global Balanced Fund, Series I 0.86%

BMO Concentrated Global Balanced GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The increase (decrease) in net assets held for the benefit of policyowners per unit for the period ended June 30, 2020 is calculated as follows:

June 30,

For the period ended 2020

75/75 Class A UnitsDecrease in net assets held for the benefit of policyowners (2)Weighted average units outstanding during the period (in

thousands of units) 7

Decrease in net assets held for the benefit of policyowners per unit (0.29)

75/100 Class A UnitsIncrease in net assets held for the benefit of policyowners 2Weighted average units outstanding during the period (in


Increase in net assets held for the benefit of policyowners per unit 0.09




75/75 Class F UnitsIncrease in net assets held for the benefit of policyowners 0Weighted average units outstanding during the period (in









75/75 Prestige Class UnitsIncrease in net assets held for the benefit of policyowners 1Weighted average units outstanding during the period (in



June 30,


75/100 Prestige Class UnitsDecrease in net assets held for the benefit of policyowners (2)Weighted average units outstanding during the period (in







There were no brokerage commissions charged to the Fund during the period ended June 30, 2020.

Concentration risk


As atJune 30,

2020

Money Market InvestmentsFederal 3.5%

Canadian Bonds & DebenturesFederal Bonds 16.5%Provincial Bonds 20.9%

EquitiesCanada 0.2%Denmark 4.5%France 4.5%Japan 4.0%Switzerland 2.9%United Kingdom 4.0%United States 34.3%

Other Assets less Liabilities 4.7%100.0%


There were no amounts offset as at June 30, 2020.

BMO Concentrated Global Balanced GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The following tables show selected key financial information about the Fund which is intended to help you understand the Fund's financial performance for the period indicated.

(1) (2) BMO Concentrated Global Balanced GIF(3) 75/75 Class A Units

May 8, 2020 to June 30,

2020

Net asset (000's)(1) $ 220Net asset value per unit(1) $ 10.09Units issued and outstanding (000's)(1) 22Management fees % 1.65Management expense ratio(2) % 2.63Management expense ratio before waivers % 2.63Portfolio turnover rate(3) % —


May 8, 2020 to June 30,

2020



May 8, 2020 to June 30,

2020


(1) (2) BMO Concentrated Global Balanced GIF(3) 75/75 Class F Units

May 8, 2020 to June 30,

2020



May 8, 2020 to June 30,

2020



May 8, 2020 to June 30,

2020


(1) (2) BMO Concentrated Global Balanced GIF(3) 75/75 Prestige Class Units

May 8, 2020 to June 30,

2020



May 8, 2020 to June 30,

2020


BMO Concentrated Global Balanced GIFSupplementary Information (unaudited) (cont’d)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




May 8, 2020 to June 30,

2020


(1) This information is provided as at June 30.(2) The management expense ratio of a particular class is calculated based on all expenses

allocated to the class, as applicable, including all taxes and interest expenses but excluding brokerage commissions and other portfolio transaction costs, divided by the average daily net asset value of that class, annualized.

(3) The Fund's portfolio turnover rate indicates how actively the Fund's portfolio manager manages its portfolio investments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund's portfolio turnover rate in a year, the greater the trading costs payable by the Fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover rate and the performance of a fund. For the financial period-ended June 30, 2020, no sales of portfolio securities were made by the Fund. As a result the portfolio turnover rate for this period was zero.

BMO Concentrated Global Equity GIF(unaudited)




June 30,As at 2020

ASSETSCURRENT ASSETSCash 67Investments

Non-derivative financial assets 1,831Subscriptions receivable 21Total assets 1,919

LIABILITIESCURRENT LIABILITIESPayable for investments purchased 30Accrued expenses 2Total liabilities 32Net assets held for the benefit of policyowners 1,887Net assets held for the benefit of policyowners

75/75 Class A Units 28575/100 Class A Units 15175/75 Class F Units 375/100 Class F Units 375/75 Prestige Class Units 1,30575/100 Prestige Class Units 140

Net assets held for the benefit of policyowners per unit 75/75 Class A Units $ 10.5175/100 Class A Units $ 10.5475/75 Class F Units $ 10.5375/100 Class F Units $ 10.5275/75 Prestige Class Units $ 10.5275/100 Prestige Class Units $ 10.51



INCOMEOther changes in fair value of investments and derivatives

Net realized gain 1Unrealized depreciation (5)

Net loss in fair value of investments and derivatives (4)Total loss (4)

EXPENSESManagement fees (note 7) 1Fixed administration fees (note 7) 0Insurance fees (note 7) 1Total expenses 2

Decrease in net assets held for the benefit of policyowners (6)

Increase (decrease) in net assets held for the benefit of policyowners75/75 Class A Units 175/100 Class A Units 275/75 Class F Units 075/100 Class F Units 075/75 Prestige Class Units (8)75/100 Prestige Class Units (1)

Increase (decrease) in net assets held for the benefit of policyowners per unit (note 3)75/75 Class A Units 0.0975/100 Class A Units 0.5075/75 Class F Units 0.5375/100 Class F Units 0.5275/75 Prestige Class Units (0.29)75/100 Prestige Class Units (0.41)

BMO Concentrated Global Equity GIF(unaudited) (cont’d)


































Proceeds from withdrawable units issued 1,313Net increase from withdrawable unit transactions 1,313














Total FundNet assets held for the benefit of policyowners at


Withdrawable unit transactionsProceeds from withdrawable units issued 2,140Withdrawal of withdrawable units (247)Net increase from withdrawable unit transactions 1,893








Cash flows from operating activitiesDecrease in net assets held for the benefit of policyowners (6)Adjustments for:

Net realized gain on sale of investments and derivatives (1)Change in unrealized depreciation of investments and

derivatives 5Increase in accrued expenses 2Purchases of investments (1,930)Proceeds from sale and maturity of investments 125

Net cash from operating activities (1,805)Cash flows from financing activitiesProceeds from issuances of withdrawable units 1,872Net cash from financing activities 1,872

Net increase in cash 67Cash at beginning of period —Cash at end of period 67



Cost* ($)

Fair Value

($)


Global Equity Fund — 97.0%BMO Concentrated Global Equity Fund,

Series I 140,038 1,836 1,831





BMO Concentrated Global Equity GIFNotes to the Financial Statements (unaudited)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020





Class Launch Date







Change in units



June 30, 2020

















The Fund invests in the BMO Concentrated Global Equity Fund, (“underlying fund”). The investment objective of the underlying fund is to achieve long-term capital appreciation through investment in a portfolio of high quality equity or equity-related securities of issuers throughout the world. The portfolio manager invests primarily in equity companies that trade on recognized exchanges in countries around the world.

Currency risk

The Fund's exposure, through its investment in the underlying fund, to currency risk is summarized in the table below. Amounts shown are based on the carrying value of monetary and non-monetary assets (including derivatives and the underlying principle (notional) amount of forward currency contracts, if any).

As at June 30, 2020

Currencies


payables ($)


& non-monetary)

($)

Forward currency

contracts ($)



(%)

Danish Krone 0 154 — 154 8.2Euro (1) 131 — 130 6.9Japanese Yen (1) 100 — 99 5.2Pound Sterling (1) 132 — 131 6.9Swiss Franc (1) 105 — 104 5.5U.S. Dollar (7) 1,161 — 1,154 61.1Total (11) 1,783 — 1,772 93.8Boder line

As at June 30, 2020, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, respectively, with all other variables held constant, the Net Assets of the Fund could possibly have increased or decreased, respectively, by approximately $89. In practice, actual results may differ from this sensitivity analysis and the difference could be material.

Interest rate risk

As at June 30, 2020, the Fund did not have significant exposure, through its investment in the underlying fund, to interest rate risk.

BMO Concentrated Global Equity GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Other market risk

The Fund has a significant indirect exposure to other market risk arising from its investment in the underlying fund, which invests in equity securities. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, MSCI World Total Return Index (Net, C$), had increased or decreased by 10%, with all other variables held constant, the Net Assets of the Fund would have increased or decreased, respectively, by $183. Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk

As at June 30, 2020, the Fund did not have significant exposure, through its investment in the underlying fund, to credit risk.





As at June 30, 2020





Carrying amount

As at June 30,

2020

BMO Concentrated Global Equity Fund, Series I 1,831


As at June 30,

2020

BMO Concentrated Global Equity Fund, Series I 0.10%


The increase (decrease) in net assets held for the benefit of policyowners per unit for the period ended June 30, 2020 is calculated as follows:

June 30,





















There were no brokerage commissions charged to the Fund during the period ended June 30, 2020.

BMO Concentrated Global Equity GIFNotes to the Financial Statements (unaudited) (cont’d)Fund Specific Information (All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020



Concentration risk


As atJune 30,

2020

Money Market InvestmentsFederal 2.6%

EquitiesConsumer Services 7.5%Consumer Discretionary 19.0%Consumer Staples 17.2%Financials 12.5%Health Care 15.9%Industrials 5.1%Information Technology 14.5%Materials 2.7%

Other Assets less Liabilities 3.0%100.0%


There were no amounts offset as at June 30, 2020.

BMO Concentrated Global Equity GIFSupplementary Information (unaudited)(All amounts in thousands of Canadian dollars, except per unit data)June 30, 2020




The following tables show selected key financial information about the Fund which is intended to help you understand the Fund's financial performance for the period indicated.

(1) (2) BMO Concentrated Global Equity GIF(3) 75/75 Class A Units

May 8, 2020 to June 30,

2020

Net asset (000's)(1) $ 285Net asset value per unit(1) $ 10.51Units issued and outstanding (000's)(1) 27Management fees % 1.75Management expense ratio(2) % 3.02Management expense ratio before waivers % 3.02Portfolio turnover rate(3) % 12.99

(1) (2) BMO Concentrated Global Equity GIF(3) 75/100 Class A Units

May 8, 2020 to June 30,

2020


(1) (2) BMO Concentrated Global Equity GIF(3) 75/75 Class F Units

May 8, 2020 to June 30,

2020


(1) (2) BMO Concentrated Global Equity GIF(3) 75/100 Class F Units

May 8, 2020 to June 30,

2020


(1) (2) BMO Concentrated Global Equity GIF(3) 75/75 Prestige Class Units

May 8, 2020 to June 30,

2020

Net asset (000's)(1) $ 1,305Net asset value per unit(1) $ 10.52Units issued and outstanding (000's)(1) 124Management fees % 1.57Management expense ratio(2) % 2.81Management expense ratio before waivers % 2.81Portfolio turnover rate(3) % 12.99

(1) (2) BMO Concentrated Global Equity GIF(3) 75/100 Prestige Class Units

May 8, 2020 to June 30,

2020


(1) This information is provided as at June 30.(2) The management expense ratio of a particular class is calculated based on all expenses

allocated to the class, as applicable, including all taxes and interest expenses but excluding brokerage commissions and other portfolio transaction costs, divided by the average daily net asset value of that class, annualized.


Notes to the Financial Statements (unaudited)(All amounts in thousands of Canadian dollars)June 30, 2020


1. The Funds

The BMO Guaranteed Investment Funds (the “Funds”) are offered through a variable annuity contract issued by BMO Life Assurance Company (the “Company”) under authority of the Insurance Companies Act (Canada) and are regulated by the Canadian Life and Health Insurance Association (“CLHIA”). The Company is the registered owner of the assets of the Funds for the benefit of the policyowners. The address of the Company’s registered office is 60 Yonge Street, Toronto, Ontario. The Funds are not separate legal entities. The Funds were established as follows:

Fund Date EstablishedBMO Money Market GIF December 2, 2013BMO Canadian Balanced Growth GIF December 2, 2013BMO Canadian Income Strategy GIF December 2, 2013BMO U.S. Balanced Growth GIF December 2, 2013BMO North American Income Strategy GIF December 2, 2013BMO Fixed Income ETF Portfolio GIF June 21, 2016BMO Income ETF Portfolio GIF June 21, 2016BMO Conservative ETF Portfolio GIF June 21, 2016BMO Balanced ETF Portfolio GIF June 21, 2016BMO Growth ETF Portfolio GIF June 21, 2016BMO Equity Growth ETF Portfolio GIF June 21, 2016BMO Low Volatility U.S. Equity ETF GIF June 21, 2016BMO Low Volatility Canadian Equity ETF GIF June 21, 2016BMO Monthly Income GIF January 9, 2017BMO Asset Allocation GIF May 14, 2018BMO Monthly High Income II GIF May 14, 2018BMO Tactical Balanced GIF May 14, 2018BMO Dividend GIF May 14, 2018BMO Global Balanced GIF May 6, 2019BMO Global Volatility International Equity

ETF GIF May 6, 2019BMO Concentrated Global Balanced GIF May 8, 2020BMO Concentrated Global Equity GIF May 8, 2020

The Company is the sole issuer of the individual variable insurance contract providing for investment in each Fund.

Each Fund is established under the authority of the Insurance Companies Act. Each of the Funds invest in direct investments or in underlying exchange traded funds or mutual fund units.

The individual variable insurance contract provides guarantees, which are payable either on maturity or on death.

The Statement of Financial Position and related notes of each of the Funds are as at June 30, 2020 and December 31, 2019. The Statement of Comprehensive Income, Statement of Changes in Net Assets Held for the Benefit of Policyowners, Statement of Cash Flows and related notes are of the period(s) ended June 30, 2020 and June 30, 2019 except for a Fund established during the period(s) which is presented from the date of establishment to June 30 of the applicable period.

The financial statements were authorized for issuance by the Board of Directors of the Company on September 2, 2020.

These financial statements should be read in conjunction with the annual financial statements for the period ended December 31, 2019, which have been prepared in accordance with International Financial Reporting Standards (“IFRS”).

2. Basis of preparation and presentation

These unaudited interim financial statements have been prepared in accordance with IFRS and in accordance with International Accounting Standard (“IAS”) 34 – Interim Financial Reporting, as issued by the International Accounting Standards Board (“IASB”).

3. Summary of significant accounting policies financial instruments

Financial instruments include financial assets and financial liabilities such as equity and debt securities, investment funds and derivatives. These investments are part of a group of financial instruments that are managed and their performance is evaluated on a fair value basis in accordance with the Funds’ investment strategy.

The Funds classify and measure financial instruments in accordance with IFRS 9 Financial Instruments (“IFRS 9”). Upon initial recognition, financial instruments are recorded at fair value. A financial instrument is recognized when the Funds become a party to the contractual requirements of the instrument and derecognized when the right to receive cash flows from the instrument has expire of the Funds have transferred substantially all risks and rewards of ownership. As such, investment purchase and sale transactions are recorded as of the trade date. Investments and derivatives are subsequently measured as fair value through profit or loss (“FVTPL”) with changes in fair value recognized in the Statement of Comprehensive Income as “Change in unrealized appreciation (depreciation)”.

All financial assets and financial liabilities are recognized in the Statement of Financial Position.

The Funds’ withdrawable units contain multiple contractual obligations and consequently, do not meet the conditions to be classified as equity. As a result, the Funds’ obligations for net assets held for the benefit of policyowners are classified as financial liabilities and presented at the withdrawal amounts.

Cost of investmentsThe cost of investments represents the amount paid for each security and is determined on an average cost basis, and excludes commissions and other portfolio transaction costs, which are separately reported in the Statement of Comprehensive Income. Realized gains and losses on disposition are determined based on the cost of the investments

Fair value measurementFair value is defined as the price that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date.

For exchange-traded securities, close prices are considered to be fair value if they fall within the bid-ask spread. In circumstances where the close price is not within the bid-ask spread, the

Notes to the Financial Statements (unaudited) (cont’d)(All amounts in thousands of Canadian dollars)June 30, 2020


Company determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances.

For bonds, debentures, asset-backed securities and other debt securities, fair value is determined as the last traded market price or close price, where the close price falls within the bid-ask spread of the security. Short-term investments, if any, are held at amortized cost, which approximates fair value due to their short-term nature.

Mutual fund units held as investments are valued at their respective Net Asset Value (“NAV”) on each Valuation Date (the “Valuation Date” is each day on which the Toronto Stock Exchange is open for trading), as these values are the most readily and regularly available.

The Funds may enter into forward currency contracts for hedging purposes, either directly or indirectly or for non-hedging purposes. The fair value of forward currency contracts entered into by the Funds is recorded as the difference between the fair value of the contract on the Valuation Date and the fair value on the date the contract originated.

CashCash is comprised of cash and deposits with banks, which include bankers’ acceptances and overnight demand deposits. The carrying amount of cash approximates its fair value because it is short-term in nature.

Other assets and liabilitiesOther assets and other liabilities generally include receivable for investment sold, subscription receivable, distributions receivable from investment trusts, payable for investments purchased, redemptions payable and accrued expense. These financial assets and financial liabilities are short-term in nature and are subsequently measured at amortized cost, which approximates their fair value.

Investments in subsidiaries, joint ventures and associatesSubsidiaries are entities over which the Funds have control through their exposure or rights to variable returns from their investment, and have the ability to affect those returns through their power over the entity. The Funds have determined that they are an investment entity and as such, they account for subsidiaries, if any, at fair value. Joint ventures are investments where the Funds exercise joint control through an agreement with other shareholders, and associates are investments in which the Funds exert significant influence over operating, investing, and financing decisions (such as entities in which the Funds own 20% – 50% of voting shares), all of which, if any, have been designated at FVTPL.

Unconsolidated structured entitiesThe Company has determined that the underlying funds in which the Funds may invest are unconsolidated structured entities. This determination is based on the fact that decision making about the underlying funds is not governed by the voting right or other similar right held by the Funds. Similarly, investments

in securitizations, asset-backed securities and mortgage-backed securities are determined to be interests in unconsolidated structured entities.

The Funds invest in underlying funds whose investment objectives range from achieving short-term to long-term income and capital growth potential. Underlying funds may use leverage in a manner consistent with their respective investment objectives and as permitted by Canadian securities regulatory authorities. Underlying funds finance their operations by issuing redeemable units which are puttable at the holders’ option and entitles the holder to a proportionate stake in the respective fund’s Net Assets. The change in fair value of each of the underlying funds during the periods is included in “Change in unrealized appreciation (depreciation)” in the Statement of Comprehensive Income.

Mortgage-related securities are created from pools of residential or commercial mortgage loans, including mortgage loans made by savings and loan institutions, mortgage bankers, commercial banks and others. Asset-backed securities are created from many types of assets, including auto loans, credit card receivables, home equity loans, and student loans.

The Funds do not provide and have not committed to providing any additional significant financial information or other support to the unconsolidated structured entities other than its investment in the unconsolidated structured entities.

Offsetting of financial assets and financial liabilitiesFinancial instruments are presented at net or gross amounts in the Statement of Financial Position depending on the existence of intention and legal right to offset opposite positions of such instruments held with the same counterparties. Amounts offset in the Statement of Financial Position are transactions for which the Funds have legally enforceable rights to offset and intend to settle the positions on a net basis. Amounts not offset in the Statement of Financial Position relate to transactions where a master netting arrangement or similar agreement is in place with a right to offset only in the event of default, insolvency or bankruptcy, or where the Funds have no intention of settling on a net basis.

Income recognitionDistributions from underlying funds are recognized on the ex-distribution date.

Interest income from interest bearing investments is recognized in the Statement of Comprehensive Income as it is earned using the effective interest rate. Interest receivable shown in the Statement of Financial Position is accrued based on the interest bearing instruments’ stated rates of interest.

Foreign currency translationThe fair value of investments and other assets and liabilities in foreign currencies are translated into the Funds’ functional currency at the rates of exchange prevailing at the period-end date. Purchases and sales of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Realized foreign exchange gains (losses) on completed transactions are included



in “Net realized gain (loss)” and unrealized foreign exchange gains (losses) are included in “Change in unrealized appreciation (depreciation)” in the Statement of Comprehensive Income. Foreign exchange gains (losses) relating to cash, receivables and payables are included in “Foreign exchange gain (loss)” in the Statement of Comprehensive Income.

Increase or decrease in net assets held for the benefit of policyowners per unit“Increase (decrease) in net assets held for the benefit of policyowners per unit” of a class in the Statement of Comprehensive Income represents the increase (decrease) in net assets held for the benefit of policyowners attributable to the class, divided by the weighted average number of units of the class outstanding during the period.

Portfolio turnover ratioThe Funds’ portfolio turnover ratio indicates how actively the Funds’ portfolio manager manages its portfolio investments. A portfolio turnover ratio of 100% is equivalent to the fund buying and selling all of the securities in its portfolio once in the course of the year. The higher a fund’s portfolio turnover ratio in a year, the greater the trading costs payable by the fund in the year, and the greater the chance of an investor receiving taxable capital gains in the year. There is not necessarily a relationship between a high turnover ratio and the performance of a fund.

Income taxesThe Funds are segregated funds under the provisions of the Income Tax Act (Canada). The Funds’ net income, including net realized capital gains and losses for the calendar year, is allocated to beneficiaries so that the Funds will not be liable for income taxes. As a result, the Funds have determined that they are in substance not taxable and therefore do not record income taxes in the Statement of Comprehensive Income and/or recognize any deferred tax assets or liabilities in the Statement of Financial Position.

4. Units and unit transactions

The withdrawable units of the Funds are classified as financial liabilities. The units have no par value and are entitled to allocations, if any. Upon withdrawal, a unit is entitled to a proportionate share of the Fund’s NAV. The Funds allocate their net income, including net realized capital gains and capital losses, to ensure the Funds will not be liable for income taxes on capital gains, dividends and interest. The Funds have no restrictions or specific capital requirements on the subscriptions and withdrawal of units. The relevant movements in withdrawable units are shown on the Statement of Changes in Net Assets Held for the Benefit of Policyowners. In accordance with their investment objectives and strategies, and the risk management practices outlined in Note 8, the Funds endeavor to invest the subscriptions received in appropriate investments, while maintaining sufficient liquidity to meet withdrawals, with such liquidity being augmented by short-term borrowings or disposal of investments where necessary.

The NAV per unit of a class is computed by dividing the NAV of the Fund attributable to the class (that is, the total fair value of the assets attributable to the class less the liabilities attributable to the class) by the total number of units of the class of the Fund outstanding at such time.

Expenses directly attributable to a class are charged to that class. Other expenses, income, realized and unrealized gains and losses from investment transactions are allocated proportionately to each class based upon the relative NAV of each class.

75/75 Class A Units are for policyowners that are professionals and business owners seeking downside risk protection and creditor protection.

75/100 Class A Units are for policyowners that are retirees and seniors seeking estate protection or wealth transfer advantages.

100/100 Class A Units are for policyowners that are pre-retirees looking for maximum protection and to lock-in market gains as they get closer to retirement.

75/75 Prestige Class Units, 75/100 Prestige Class Units and 100/100 Prestige Class Units are only available to policyowners who meet and maintain a minimum investment of $250, either individually or collectively with other policyowners who are their family members and reside at the same address.

75/75 Class F Units, 75/100 Class F Units and 100/100 Class F Units are available to policyowners that have a fee based account with a distributor and the policy is held in nominee-name. The distributor is subject to terms and conditions set out in a Class F agreement between the distributor and the Company.

5. Critical accounting judgements and estimates

The preparation of financial statements requires the use of judgement in applying the Funds’ accounting policies and to make estimates and assumptions about the future. The following discusses the most significant accounting judgements and estimates that the Funds have made in preparing their financial statements:

Accounting judgements:

Functional and presentation currencyThe Funds policyowners are mainly Canadian residents, with the subscriptions and redemptions of the withdrawable units denominated in Canadian dollars. The Funds invest in Canadian dollar denominated securities. The performance of the Funds are measured and reported to the policyowners in Canadian dollars. The Company considers the Canadian dollar as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions. The financial statements are presented in Canadian dollars, which is the Funds’ functional and presentation currency.



Classification and measurement of financial instruments and application of fair value optionIn classifying and measuring financial instruments held by the Funds, the Company is required to make an assessment of the Funds’ business model for managing financial instruments and the contractual cash flow characteristic of the financial asset.

In classifying and measuring financial instruments held by the Funds, the Company is required to make significant judgements in determining the most appropriate classification in accordance with IFRS 9. The Company has assessed the Funds’ business model with respect to the manner in which financial assets and financial liabilities are managed as a group and performance is evaluated on a fair value basis, and has concluded that FVTPL in accordance with IFRS 9 provides the most appropriate measurement and presentation of the Funds’ investment portfolio. The collection of principal and interest is incidental to the fair value business model.

Accounting estimates:The Funds have established policies and control procedures that are intended to ensure these judgements are well controlled, independently reviewed, and consistently applied from period to period. The estimates of the value of the Funds’ assets and liabilities are believed to be appropriate as at the reporting date.

6. Management fees and expenses

Each Fund is responsible for the payment of fees and expenses related to its operations. Such fees and expenses include management fees and other recoverable fund operating expenses paid by the Funds. Collectively, all the fees and expenses paid or payable by the Funds, including management fees and other recoverable fund operating expenses divided by the Funds’ average NAV, is known as the Management Expense Ratio (“MER”).

7. Related party transactions

Management feesEach Fund pays a management fee for investment management and administration services of the Fund. The management fee varies from Fund to Fund and is calculated and accrued on a daily basis as an annual percentage of the NAV of each Fund.

The management fee of a Fund includes the management fee and expenses charged by the underlying funds. There is no duplication of management fees when the Fund invests in an underlying fund.

Administration feesEach Fund incurs certain operating expenses that include audit and legal fees and expenses; custodian and transfer agency fees; costs attributable to the administration of the segregated funds, including the cost of the record keeping system; fund accounting and valuation costs; costs of financial reports; including information folders, required to comply with applicable regulatory requirements; filing fees, and statements and communications to policyowners. The Company pays for these expenses and in return, each Fund pays the Company an

administration fee of 0.25%. The administration fee is calculated and accrued daily as an annual percentage of the average NAV of each Fund.

Insurance feesEach Fund pays an insurance fee for the provision of insurance benefits to the Company. The insurance fee differs from Fund to Fund and is calculated and accrued daily as an annual percentage of NAV of each Fund and is included in the management expense ratio.

Brokerage commissionsThe Funds may execute trades with and or through BMO Nesbitt Burns Inc., an affiliate of the Company based on established standard brokerage agreements at market prices. These fees, if any, are included in “Commissions and other portfolio transaction costs” in the Statement of Comprehensive Income.

Other related partiesThe Company may, on behalf of the Funds, enter into transactions or arrangements with or involving other subsidiaries or affiliates of the Bank of Montreal, or certain other persons or companies that are related or connected to the Company. These transactions or arrangements may include transactions or arrangements with or involving subsidiaries or affiliates of the Bank of Montreal, BMO Asset Management Inc., or other investment funds offered by Bank of Montreal, and may involve the purchase or sale of portfolio securities through or from subsidiaries or affiliates of the Bank of Montreal, the purchase or sale of securities issued or guaranteed by subsidiaries or affiliates of the Bank of Montreal, entering into forward contracts with subsidiaries or affiliates of the Bank of Montreal acting as the counterparty, the purchase or redemption of units of other Bank of Montreal investment funds or the provision of services to the Company.

8. Financial instrument risk

The Funds may be exposed to a variety of financial risks that are concentrated in their investment holdings. The concentration risk table groups securities by asset type, geographic region and/or market segment. The Funds’ risk management practices outline the monitoring of compliance to investment guidelines. The Company manages the potential effects of these financial risks on the Funds’ performance by employing and overseeing professional and experienced portfolio advisors that regularly monitor the Funds’ positions, market events and diversify investment portfolios within the constraints of the investment guidelines.

Where a Fund invests in another investment fund or investment funds, they may be indirectly exposed to the financial instrument risk of the underlying fund(s), depending on the investment objectives and the type of securities held by the underlying fund(s). The decision to buy or sell an underlying fund is based on the investment guidelines and positions, rather than the exposure of the underlying funds.



a) Currency riskCurrency risk is the risk that the fair value of financial instruments denominated in currencies, other than the functional currency of the Funds, will fluctuate due to changes in foreign exchange rates. Investments in foreign markets are exposed to currency risk as the prices denominated in foreign currencies are converted to the Funds’ functional currency in determining fair value. The Funds may enter into forward currency contracts for hedging purposes to reduce foreign currency exposure or to establish exposure to foreign currencies. IFRS 7 considers the foreign exchange exposure relating to non-monetary assets and liabilities to be a component of market price risk not foreign currency risk. However, the Company monitors the exposure on all foreign currency denominated assets and liabilities.

b) Interest rate riskInterest rate risk is the risk that the fair value of the Funds’ interest bearing investments will fluctuate due to changes in market interest rates. The Funds’ exposure to interest rate risk is concentrated in its investment in debt securities (such as bonds, money market investments, short-term investments and debentures) and interest rate derivative instruments, if any. Other assets and liabilities are short-term in nature and/or non- interest bearing.

c) Other market riskOther market risk is the risk that the fair value of a financial instrument will fluctuate as a result of changes in market prices (other than those arising from interest rate risk or currency risk), whether those changes are caused by factors specific to the individual financial instrument or its issuer, or factors affecting all similar financial instruments traded in a market. Other assets and liabilities are monetary items that are short-term in nature, as such they are not subject to other market risk.

d) Credit riskCredit 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 creditworthiness of the debt issuer. Credit risk exposure for over-the-counter derivative instruments is based on the Funds’ 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.

e) Liquidity riskThe Funds’ exposure to liquidity and other liabilities risk is concentrated in the daily cash withdrawals of units and other liabilities. The Funds primarily invest in securities that are traded in active markets and can be readily disposed. In addition, the Funds retain sufficient cash positions to maintain liquidity. The Funds may, from time to time, enter into over-the-counter derivative contracts or invest in unlisted securities, which are not traded in an organized market and may be illiquid. Securities for which a market quotation could not be obtained and may be illiquid are identified in the Schedule of Investment Portfolio. The proportion of illiquid securities to NAV of the Fund is monitored

by the Company to ensure it does not exceed the regulatory limit and does not significantly affect the liquidity required to meet the Fund’s financial obligations.

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.

The Company has implemented and will continue to review the situation with a view to implementing additional controls and procedures to adequately address the risks and reduce the impacts of the COVID-19 on the Funds, to the extent possible.

BMO Insurance

60 Yonge StreetToronto, OntarioM5E 1H5

www�bmo�com/advisory/guaranteed-investment-funds�htmlFor more information please call 1-855-639-3867 Independent AuditorKPMG LLP333 Bay Street, Suite 4600Toronto, OntarioM5H 2S5

BMO Life Assurance Company is the sole issuer and guarantor of the BMO GIF individual variable insurance contract� This document provides general information� Please consult the Policy Provisions and Information Folder for details of BMO GIF� ® Registered trade-mark of Bank of Montreal, used under licence�™ Trade-mark of BMO Life Assurance Company�

Documents

BMO Guaranteed Investment Funds · Units issued and outstanding, end of period 1 1 For the periods ended (in thousands of units) June 30, 2019 2018 75/100 Class F Units Units issued