bmo monthly income fund(the “fund”)€¦ · canadian fixed income securities, as measured by...

For the 12-month period ended September 30, 2019 (the “Period”)

Manager: BMO Investments Inc. (the “Manager” or “BMOII”)

Portfolio manager: BMO Asset Management Inc., Toronto, Ontario (the “portfolio manager”)

Sub-advisor: BMO Asset Management Limited, London, England

2019 Annual Management Report of Fund Performance

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

BMO Monthly Income Fund (the “Fund”)

MANAGEMENT DISCUSSION OF FUND PERFORMANCE

RiskThe risks associated with an investment in the Fund remainas disclosed in the Fund’s most recent simplifiedprospectus or any amendments thereto and fund facts.During the Period there were no changes to the Fund thatmaterially affected the overall risk level associated with aninvestment in the Fund. On May 10, 2019, the Managerreviewed the Fund using the standardized investment riskclassification methodology prescribed by NationalInstrument 81-102 Investment Funds and determined thatthe risk rating of the Fund had not changed. The Managerreviews the Fund’s investment risk level and referenceindex, if any, at least annually.

Results of OperationsDuring the Period, the Fund’s total net asset value changedfrom approximately $4,024 million to approximately$4,370 million. Series A units of the Fund returned 9.40%.Please see the Past Performance section for information onthe performance returns of the Fund’s other series.

During the Period, Canadian equities, as measured by theS&P/TSX Composite Index, returned 7.1%. The largestcontributors to performance from a factor perspective wereLow Volatility and Dividend. The largest contributors toperformance from a sector perspective were Utilities andInformation Technology. West Texas Intermediate crude oilcame under pressure as it moved from US$73.25 toUS$55.91 per barrel.

Investment Objective and StrategiesThe Fund’s objectives are to provide a fixed monthlydistribution while preserving the value of your investment.The Fund invests primarily in Canadian fixed incomesecurities with higher-than-average yields, issued by thefederal government, provincial governments, governmentagencies and corporations, as well as preferred and commonshares, real estate investment trusts, royalty trusts and otherhigh-yielding investments. To enhance the yield, the Fundmay also invest in Canadian or foreign lower-rated orunrated securities, derivative instruments like options,futures and forward contracts.

For the fixed income portion of the Fund, the portfoliomanager may implement dynamic positioning strategieson the yield curve by actively trading different types ofsecurities. They invest primarily in securities rated BBB orhigher, examine economic indicators like growth, inflationand monetary policy to provide a framework for selectingappropriate securities, and select the term of the securitiesbased on interest rate outlook.

For the equity portion of the Fund, the portfolio managerand sub-advisor examine the financial statistics of eachcompany it’s considering to identify attractively pricedsecurities. They review company operations and researchand development to assess the company’s potential forgrowth. In addition, they continuously monitor the companiesin the Fund for any changes that may affect their profitability.

Canadian fixed income securities, as measured by the FTSECanada Universe Index, returned 9.7% over the Period asCanadian 10-year bond yields moved from 2.43% to 1.36%.The Bank of Canada raised the overnight rate by 25 basispoints. Performance was led by long-term bonds andprovincial bonds.

U.S. equities, as measured by the S&P 500 Index, returned6.9% in Canadian dollar (“CAD”) terms over the Period.In December 2018, the U.S. Federal Reserve Board (“Fed”)raised interest rates, but subsequently lowered interest ratesby 25 basis points in both July and September 2019. Thelargest performance contributors from a factor perspectivewere Low Volatility and Quality (in CAD terms). The largestperformance contributors from a sector perspective wereUtilities and Real Estate (in CAD terms).

During the Period, international equities, as measured bythe MSCI EAFE Index, returned 1.7% (in CAD terms). Afterkeeping its key interest rate at -0.40% since the beginning of2016, the European Central Bank lowered the rate further to-0.50% on the back of U.S. interest rate cuts. The Bank ofJapan held policy rates steady.

Allocation to defensive, interest-sensitive sectors likeUtilities and Real Estate contributed to the Fund’sperformance as interest rates declined. Within the Fund’sCanadian equity component, stock selection in theEnergy sector contributed to performance as pipelinesoutperformed producers in a weak commodity environment.Individual contributors to performance included equitypositions in Cogeco Communications Inc. and Emera Inc.Cogeco Communications Inc. reported strong performancefrom its stable cable business, as well had no competitivechallenges compared to its peers that have exposure to thewireless market. Emera Inc. received a boost from lowerinterest rates and asset sales that helped to strengthen thecompany’s funding plan.

Within U.S. equity holdings, an underweight allocationto the Energy sector and overweight exposure to theConsumer Staples sector contributed to performance, as didholdings in Newmont Goldcorp Corp., Walmart Inc. andComcast Corp. Among Europe, Australasia and Far East(“EAFE”) holdings, overweight allocations to the Energyand Utilities sectors contributed to performance. IndividualEAFE contributors included Zurich Insurance Group AG,Terna SPA and Safran SA.

Within fixed income holdings, the Fund’s bias towardsecurities with longer terms-to-maturity contributed toperformance, with an underweight position in short-termsecurities and an overweight position in long-termsecurities. As the yield curve flattened (where securitieswith longer terms-to-maturity outperform), this positioningcontributed to the Fund’s performance. The Fund’s higherrunning yield than the benchmark also contributed toperformance.

Within Canadian equities, an underweight allocation to theMaterials sector, particularly in gold miners, detracted fromperformance as the price of gold rose. Stock selection withinthe Financials sector also detracted as banks and insurancecompanies outperformed. A lack of exposure to Shopify Inc.detracted from performance as the company had strongrevenue growth, even as the company remainedunprofitable. A lack of Barrick Gold Corp. exposure wasanother detractor as the price of gold rose significantly.

Within the U.S., an underweight exposure to the Utilitiessector detracted from performance. Individual U.S. equitydetractors included Altria Group, Microsoft Corp. andBiogen Inc. With respect to EAFE equities, an underweightallocation to the Consumer Staples sector and overweightexposure to the Communication Services sector detractedfrom performance. Individual EAFE detractors includedCentrica PLC, Danske Bank A/S and Imperial Brands PLC.

Within fixed income holdings, the Fund maintained aduration (interest rate sensitivity) that was lower than thebenchmark in the earlier part of the year, which detractedfrom performance as interest rates declined. The Fund heldan overweight exposure to Canadian corporate securities,which was offset by credit default swaps in order to establisha net short credit position versus the benchmark. Creditdefault swap hedges outperformed cash exposures over thePeriod, which detracted from the Fund’s performance.

The portfolio manager introduced a new equity position inEmpire Co. Ltd. for its strong earnings growth and costcontrols. Enbridge Inc. was increased based on its earningspotential in a capacity-constrained export environment.Dollarama Inc. was eliminated as a result of weaker-than-expected same-store sales growth, combined with apremium valuation versus its peers and increased stockprice volatility. A position in Suncor Energy Inc. wastrimmed owing to weaker commodity prices that led tolower earnings.

BMO Monthly Income Fund

The Fund distributes a fixed amount per unit each month,consistent with the Fund’s stated objective of providing astable cash flow to its unitholders. A portion of a distributionmay consist of a return of capital. This portion may besignificant, and will occur when the income earned by theFund per unit is less than the fixed amount of the distribution.

The Manager confirms that the Fund did not borrow moneyduring the Period.

For information on the Fund’s performance and composition,please refer to the Past Performance section and Summary ofInvestment Portfolio section of this report.

Recent DevelopmentsInterest rate volatility has risen in response to marketuncertainties stemming from ongoing tariff disputes, theU.K.’s exit from the European Union, an impeachmentinquiry and a divided Fed. All things considered, Canadianand U.S. economies are faring well on a relative basis, withlow unemployment and on-target inflation. However, itremains to be seen whether this strength can overcomethese complications, or pull through a global manufacturingslump unscathed. For the moment, these considerationsappear to be souring the outlook for a sustainable economicexpansion, and are consequently contributing to lowerglobal interest rates.

Credit spreads (the yield differential between two bonds ofsimilar maturity, but different credit quality) have remainedstable, near historically tight levels, but the interest ratesector has been volatile. This stability is at least partially aresult of the generally low interest rate environment andinverted term structure, which is driving yield-hungryinvestors deeper into the credit spectrum in pursuit of ever-decreasing pick-up. Accommodative central bank policiesand rebalancing flows out of equities into fixed incomeproducts are also contributing to stable and narrow spreads.That said, present valuations are stretched on a historicalbasis, and credit break-evens are providing limitedcompensation for risk at current levels.

Taking these considerations into account, the portfoliomanager is inclined to maintain a reduced credit riskexposure. This will be accomplished through shorterspread duration and higher-quality issuers. In addition,the Fund will be positioned for lower interest rates.

The portfolio manager expects equity volatility to increase asinvestors continue to be uncertain about trade, geopoliticaltensions and economic growth. This should be positive forthe Fund’s defensive, lower-volatility positioning. With


interest rates unlikely to rise significantly in the near-to-medium term, they have a positive outlook for the Fund’scurrent exposure.

On December 6, 2018, the Fund’s independent reviewcommittee (the “IRC”) was decreased to five members whenJohn McBride retired as an IRC member. On December 31,2018, Louise Vaillancourt ceased to act as Chair of the IRC.On January 1, 2019, Marlene Davidge was appointed asChair of the IRC. On April 4, 2019, the Fund’s IRC wasdecreased to four members when Louise Vaillancourtretired as an IRC member.

RELATED PARTY TRANSACTIONS

BMO Investments Inc., an indirect, wholly-owned subsidiaryof Bank of Montreal (“BMO”), is the Manager of the Fund.From time to time, the Manager may, on behalf of the Fund,enter into transactions or arrangements with or involvingother members of BMO Financial Group, or certain otherpersons or companies that are related or connected to theManager (each a “Related Party”). The purpose of this sectionis to provide a brief description of any transaction involvingthe Fund and a Related Party.

Portfolio ManagerThe Fund’s portfolio manager is BMO Asset ManagementInc. (“BMOAM”), an affiliate of the Manager and BMO AssetManagement Limited, also an affiliate of the Manager, is asub-advisor to BMOAM. BMOAM provides portfoliomanagement services to the Fund. BMOAM receives fromthe Manager a management fee based on assets undermanagement, calculated daily and payable monthly.

Administration Fee and Operating ExpensesThe Fund pays a fixed administration fee to the Manager inrespect of each series other than Series I. The Manager inreturn pays the operating expenses of these series of theFund, other than certain specified expenses that are paiddirectly by the Fund (“Fund Expenses”). Fund Expenses,include expenses incurred in respect of preparing anddistributing fund facts, interest or other borrowing expenses,all reasonable costs and expenses incurred in relation tocompliance with National Instrument 81-107 IndependentReview Committee for Investment Funds, includingcompensation and expenses payable to the Fund’s IRCmembers, taxes to which the Fund is or might be subject, andcosts associated with compliance with any new governmentalor regulatory requirement introduced after December 1, 2007.Fund Expenses are allocated proportionately among therelevant series. If the Fund Expenses are specific to a series,the Fund Expenses are allocated to that series. The fixed

Brokerage CommissionsThe Fund pays standard brokerage commissions at marketrates to BMO Nesbitt Burns Inc., an affiliate of the Manager,for executing a portion of its trades. The brokeragecommissions charged to the Fund (excluding exchange andother fees) during the periods indicated, were as follows:

Period ended Period ended Sep. 30, 2019 Sep. 30, 2018 $000 $000

Total brokerage commissions 820 1,430

Brokerage commissions paid to BMO Nesbitt Burns Inc. 79 125

Distribution ServicesThe Manager markets and distributes the Fund throughBMO branches and/or (depending on the series) throughregistered dealers and brokers, including BMO InvestorLineInc. and BMO Nesbitt Burns Inc., both affiliates of theManager. The Manager pays to these affiliates a service feecalled a “trailing commission” based on the average dailyvalue of the units and/or shares that are held in investoraccounts. This service fee is paid monthly or quarterly andvaries by purchase option and by series.

Management FeesThe Manager is responsible for the day-to-day managementof the business and operations of the Fund. The Managermonitors and evaluates the Fund’s performance, pays for theinvestment advice provided by the Fund’s portfolio managerand provides certain administrative services required by theFund. As compensation for its services, the Manager is entitledto receive a management fee payable monthly, calculatedbased on the daily net asset value of each series of the Fundat the annual rate set out in the table below.

As a Percentageof Management Fees

General Annual Administration, Management Dealer Investment Fee Rate* Compensation Advice and Profit % % %

Series A Units 1.30 46 54Series T6 Units 1.30 46 54Series F Units 0.50 0 100Series F6 Units 0.50 0 100Series D Units 0.80 31 69Series G Units 0.90 39 61Series I Units — — —Series R Units 1.30 46 54

* For Series I Units, separate Series I fees are negotiated and paid directly by each Series I investor. Since theManager pays no distribution, service or trailing fees on Series I Units, the combined management andadministrative fees for Series I Units will not exceed the management fee charged for Series A Units.


administration fee is calculated as a fixed annualpercentage of the average net asset value of each relevantseries of the Fund. Separate fees and expenses arenegotiated and paid directly by each Series I investor.Further details about the fixed administration fee and/orFund Expenses can be found in the Fund’s most recentsimplified prospectus at www.bmo.com/mutualfunds andwww.bmo.com/gam/ca or www.sedar.com.

Buying and Selling SecuritiesDuring the Period, the Fund relied on standing instructionsprovided by the IRC with respect to one or more of thefollowing related party transactions:

(a) investments in securities of BMO, an affiliate of theManager;

(b) investments in a class of non-government debt securitiesand/or equity securities of an issuer during the period ofdistribution of those securities to the public and/or the60-day period following the distribution period whereBMO Nesbitt Burns Inc., an affiliate of the Manager,acted as an underwriter in the distribution;

(c) trades in debt securities in the secondary market withBMO Nesbitt Burns Inc. who is trading with the Fund asprincipal; and

(d) inter-fund trades (each, a “Related Party Transaction”).

In accordance with the IRC’s standing instructions, inmaking a decision to cause the Fund to make a RelatedParty Transaction, the Manager and portfolio manager ofthe Fund, are required to comply with the Manager’swritten policies and procedures governing the Related PartyTransaction and report periodically to the IRC, describingeach instance that the Manager relied on the standinginstructions and its compliance or non-compliance with thegoverning policies and procedures. The governing policiesand procedures are designed to ensure that each RelatedParty Transaction (i) is made free from any influence of BMO,BMO Nesbitt Burns Inc. or an associate or affiliate of BMOand/or BMO Nesbitt Burns Inc. and without taking intoaccount any considerations relevant to BMO, BMO NesbittBurns Inc. or an associate or affiliate of BMO and/or BMONesbitt Burns Inc., (ii) represents the business judgment ofthe Manager, uninfluenced by considerations other than thebest interests of the Fund, and (iii) achieves a fair andreasonable result for the Fund.


FINANCIAL HIGHLIGHTS

The following tables show selected key financial informationabout the Fund and are intended to help you understandthe Fund’s financial performance for the periods indicated.

The Fund’s Net Assets per Unit (1)

Series A Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Net assets, beginning of period $ 6.74 6.98 7.34 7.30 7.59

Increase (decrease)

from operations:

Total revenue $ 0.21 0.20 0.20 0.22 0.22

Total expenses (2) $ -0.11 -0.12 -0.12 -0.12 -0.13

Realized gains (losses)

for the period $ 0.10 0.30 0.21 0.24 0.55

Unrealized gains (losses)

for the period $ 0.39 -0.11 -0.14 0.28 -0.31

Total increase (decrease)

from operations (3) $ 0.59 0.27 0.15 0.62 0.33

Distributions:

From income

(excluding dividends) $ — — — 0.03 0.01

From dividends $ 0.11 0.10 0.10 0.09 0.14

From capital gains $ 0.19 0.22 0.22 0.30 0.35

Return of capital $ 0.18 0.19 0.19 0.17 0.14

Total Annual Distributions (4) $ 0.48 0.51 0.51 0.59 0.64

Net assets, end of period $ 6.86 6.74 6.98 7.34 7.30

Series T6 Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.26 0.26 0.26 0.29 0.28

Total expenses (2) $ -0.14 -0.15 -0.16 -0.17 -0.17


for the period $ 0.13 0.38 0.28 0.33 0.66


for the period $ 0.49 -0.14 -0.20 0.36 -0.40


from operations (3) $ 0.74 0.35 0.18 0.81 0.37

Distributions:

From income


From dividends $ 0.13 0.13 0.12 0.11 0.18





Series F Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.33 0.31 0.31 0.32 0.40

Total expenses (2) $ -0.08 -0.09 -0.09 -0.09 -0.10


for the period $ 0.16 0.43 0.31 0.39 1.07


for the period $ 0.63 -0.18 -0.24 0.42 -1.12


from operations (3) $ 1.04 0.47 0.29 1.04 0.25

Distributions:

From income

(excluding dividends) $ 0.06 0.06 0.07 0.13 0.12

From dividends $ 0.20 0.18 0.16 0.13 0.20





Series F6 Units Periods ended Sep. 30 2019 2018 2017)

(5)

Net assets, beginning of period $ 9.43 9.84 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.30 0.29 0.28

Total expenses (2) $ -0.08 -0.08 -0.08


for the period $ 0.15 0.32 0.29


for the period $ 0.48 -0.09 -0.12


from operations (3) $ 0.85 0.44 0.37

Distributions:

From income

(excluding dividends) $ 0.05 0.05 0.07

From dividends $ 0.17 0.17 0.11

From capital gains $ 0.24 0.29 0.04

Return of capital $ 0.32 0.37 0.37

Total Annual Distributions (4) $ 0.78 0.88 0.59

Net assets, end of period $ 9.56 9.43 9.84


Series I Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.28 0.27 0.26 0.28 0.28

Total expenses (2) $ -0.01 -0.01 -0.01 -0.01 -0.01


for the period $ 0.14 0.38 0.28 0.32 0.71


for the period $ 0.54 -0.14 -0.19 0.37 -0.42


from operations (3) $ 0.95 0.50 0.34 0.96 0.56

Distributions:

From income


From dividends $ 0.17 0.11 0.17 0.16 0.17





Series R Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.13 0.14 0.15 0.18 0.12

Total expenses (2) $ -0.07 -0.08 -0.09 -0.10 -0.11


for the period $ 0.06 0.21 0.16 0.19 0.23


for the period $ 0.23 -0.07 -0.11 0.24 0.11


from operations (3) $ 0.35 0.20 0.11 0.51 0.35

Distributions:

From income


From dividends $ 0.07 0.07 0.08 0.07 0.12





* Initial net assets.(1) This information is derived from the Fund’s audited financial statements.(2) Includes commissions and other portfolio transaction costs and withholding taxes.(3) Net assets and distributions are based on the actual number of units outstanding at the relevant time. The

increase/decrease from operations is based on the weighted average number of units outstanding over thefinancial period. This table is not intended to be a reconciliation of beginning to ending net assets per unit.

(4) Distributions were either paid in cash or reinvested in additional units of the Fund, or both. The allocationof the distributions from each of income, dividends, capital gains and return of capital is based on theManager’s estimate as at September 30 of the period shown, as applicable, which is the Fund’s financialyear-end. However, the actual allocation of distributions is determined as at December 15, the Fund’s taxyear-end. Accordingly, the actual allocation among income, dividends, capital gains and return of capital maydiffer from these estimates.

(5) The information shown in this column is for the period beginning October 18, 2016 (the series’ inceptiondate) and ending September 30, 2017.

(6) The information shown in this column is for the period beginning February 14, 2018 (the series’ inceptiondate) and ending September 30, 2018.

Series D Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Increase (decrease)

from operations:

Total revenue $ 0.32 0.30 0.30 0.31 0.36

Total expenses (2) $ -0.11 -0.12 -0.12 -0.12 -0.12


for the period $ 0.16 0.40 0.30 0.38 0.93


for the period $ 0.61 -0.16 -0.23 0.38 -0.92


from operations (3) $ 0.98 0.42 0.25 0.95 0.25

Distributions:

From income


From dividends $ 0.19 0.18 0.16 0.12 0.22





Series G Units Periods ended Sep. 30 2019 2018)

(6)

Net assets, beginning of period $ 10.18 10.00)*

Increase (decrease)

from operations:

Total revenue $ 0.32 0.20

Total expenses (2) $ -0.12 -0.08


for the period $ 0.16 0.13


for the period $ 0.62 0.05


from operations (3) $ 0.98 0.30

Distributions:

From income

(excluding dividends) $ 0.02 —

From dividends $ 0.20 0.21

From capital gains $ 0.21 —

Return of capital $ 0.20 —

Total Annual Distributions (4) $ 0.63 0.21

Net assets, end of period $ 10.51 10.18


Series G Units Periods ended Sep. 30 2019 2018)

(6)

Total net asset value (000’s) (1) $ 11,171 8,695Number of units outstanding (000’s) (1) 1,063 854Management expense ratio (2) % 1.13 1.13Management expense ratio before waivers or absorptions % 1.13 1.13Trading expense ratio (3) % 0.03 0.05Portfolio turnover rate (4) % 55.28 89.29Net asset value per unit $ 10.51 10.18

Series I Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Total net asset value (000’s) (1) $ 396,622 368,707 374,219 350,421 314,246

Number of units

outstanding (000’s) (1) 42,619 41,142 41,039 37,097 34,167

Management expense ratio + % — — — — —

Management expense ratio

before waivers or absorptions + % — — — — —

Trading expense ratio (3) % 0.03 0.05 0.04 0.04 0.04

Portfolio turnover rate (4) % 55.28 89.29 102.96 91.33 127.26

Net asset value per unit $ 9.31 8.96 9.12 9.45 9.20

Series R Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 34,922 40,144 46,811 53,268 61,000

Management expense ratio (2) % 1.56 1.56 1.56 1.56 1.56


before waivers or absorptions % 1.56 1.56 1.56 1.56 1.56




+ Operating expenses are paid by BMOII and management fees are paid directly to BMOII as negotiated withthe investor.

(1) This information is provided as at September 30 of the period shown.(2) Management expense ratio is based on total expenses (excluding commissions and other portfolio

transaction costs) for the stated period and is expressed as an annualized percentage of daily average netasset value during the period.

(3) The trading expense ratio represents total commissions and other portfolio transaction costs expressed as anannualized percentage of daily average net asset value during the period.

(4) The Fund’s portfolio turnover rate indicates how actively the Fund’s portfolio manager manages its portfolioinvestments. A portfolio turnover rate of 100% is equivalent to the Fund buying and selling all of thesecurities 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 investorreceiving taxable capital gains in the year. There is not necessarily a relationship between a high turnoverrate and the performance of a fund.

(5) The information shown in this column is for the period beginning October 18, 2016 (the series’ inceptiondate) and ending September 30, 2017.

(6) The information shown in this column is for the period beginning February 14, 2018 (the series’ inceptiondate) and ending September 30, 2018.

Ratios and Supplemental Data

Series A Units Periods ended Sep. 30 2019 2018 2017 2016 2015

Total net asset value (000’s) (1) $ 3,589,589 3,281,428 3,557,070 3,160,913 2,923,326

Number of units

outstanding (000’s) (1) 523,098 486,626 509,405 430,459 400,324







Series T6 Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 9,208 7,857 8,910 7,458 5,788







Series F Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 9,885 8,289 5,979 2,647 845







Series F6 Units Periods ended Sep. 30 2019 2018 2017)

(5)

Total net asset value (000’s) (1) $ 3,662 2,557 799

Number of units

outstanding (000’s) (1) 383 271 81

Management expense ratio (2) % 0.70 0.70 0.70


before waivers or absorptions % 0.70 0.71 0.75

Trading expense ratio (3) % 0.03 0.05 0.04

Portfolio turnover rate (4) % 55.28 89.29 102.96

Net asset value per unit $ 9.56 9.43 9.84

Series D Units Periods ended Sep. 30 2019 2018 2017 2016 2015


Number of units

outstanding (000’s) (1) 3,605 2,993 2,325 1,442 822







PAST PERFORMANCE

The Fund’s performance information assumes that alldistributions made by the Fund in the periods shown wereused to purchase additional securities of the Fund and isbased on the net asset value of the Fund.

The performance information does not take into account sales,redemption, distribution or other optional charges that, ifapplicable, would have reduced returns or performance.Please remember that how the Fund has performed in thepast does not indicate how it will perform in the future.

The returns of each series may differ from one another for anumber of reasons, including if the series was not issuedand outstanding for the entire reporting period and becauseof the different levels of management fees and expensesallocated and payable by each series.

On February 1, 2017, the management fee on Series F andSeries F6 units was lowered from 0.55% to 0.50%.

On January 31, 2018, BMO Asset Management Limited, anaffiliate of the Manager, was appointed as sub-advisor for aportion of the Fund.

These changes could have affected the performance of theFund, had they been in effect throughout the performancemeasurement periods presented.

Year-by-Year ReturnsThe following bar charts show the performance of eachseries of the Fund for each of the financial years shown.The charts show in percentage terms how an investmentmade on the first day of each financial year would haveincreased or decreased by the last day of each financial year.


Series A Units

-20%

-10%

0%

10%

20%

4.212.38

7.19

201320112010

5.99

2012

9.40

2019

12.83

2014

9.11

2016

4.64

2015

2.18

2017

3.98

2018

201320112010

4.77

2012

6.542.89

7.71

Series F Units

-20%

-10%

0%

10%

20%

2013(2)

0.38

Series T6 Units

-20%

-10%

0%

10%

20%

2019

10.37

2019

9.41

2019

10.00

2016

10.02

2016

9.10

2016

9.71

2014

13.78

2014

12.82

2014(3)

4.71

Series D Units

2001-20%

-10%

0%

10%

20%

2015

5.53

Series F6 Units

-20%

-10%

0%

10%

20%

2019

10.37

2017

3.07

2017

2.17

2017

2.74

2017(4)

3.87

2015

4.65

2015

5.22

2018

4.90

2018

3.98

2018

4.56

2018

4.88

Annual Compound ReturnsThis table compares the historical annual compound returnsof the Fund with its blended benchmark (composed of 50%FTSE Canada Universe Bond Index and 50% S&P/TSXComposite Total Return Index (“S&P/TSX”)), in addition tothe S&P/TSX, a broad-based index.

The FTSE Canada Universe Bond Index is a broad measure ofthe total return of Canadian bonds that mature in more thanone year.

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

Series A Units 1 3 5 10 Since year years years years Inception

BMO Monthly Income Fund % 9.40 5.14 5.82 6.14

Blended Benchmark % 8.62 5.11 4.72 5.82

S&P/TSX % 7.06 7.36 5.31 6.97

Series T6 Units 1 3 5 10 Since year years years years Inception(2)



S&P/TSX % 7.06 7.36 5.31 7.38

Series F Units 1 3 5 10 Since year years years years Inception



S&P/TSX % 7.06 7.36 5.31 6.97

Series F6 Units 1 3 5 10 Since year years years years Inception(4)

BMO Monthly Income Fund % 10.37 6.45

Blended Benchmark % 8.62 5.36

S&P/TSX % 7.06 7.40


Series I Units

201320112010-20%

-10%

0%

10%

20%

5.864.00

8.82

2012

7.66

2013(1)

0.43

2019

11.12

2019

9.44

Series R Units

-20%

-10%

0%

10%

20%

2016

10.83

2016

9.14

2014

14.61

2014

12.86

2015

6.29

2017

3.79

2017

2.18

2015

4.70

2019

9.87

2018

5.62

2018

3.99

2018(5)

2.94

Series G Units

2001 2002 2003-20%

-10%

0%

10%

20%

(1) For the period beginning with the performance launch date of March 11, 2013 to September 30, 2013.(2) For the period beginning with the performance launch date of April 1, 2013 to September 30, 2013.(3) For the period beginning with the performance launch date of April 8, 2014 to September 30, 2014.(4) For the period beginning with the performance launch date of October 19, 2016 to September 30, 2017.(5) For the period beginning with the performance launch date of February 16, 2018 to September 30, 2018.

Series D Units 1 3 5 10 Since year years years years Inception(3)



S&P/TSX % 7.06 7.36 5.31 5.82

Series G Units 1 3 5 10 Since year years years years Inception(5)

BMO Monthly Income Fund % 9.87 7.90

Blended Benchmark % 8.62 7.69

S&P/TSX % 7.06 8.33

Series I Units 1 3 5 10 Since year years years years Inception



S&P/TSX % 7.06 7.36 5.31 6.97

Series R Units 1 3 5 10 Since year years years years Inception(1)



S&P/TSX % 7.06 7.36 5.31 7.25

(1) Return from the performance launch date of March 11, 2013 to September 30, 2019.(2) Return from the performance launch date of April 1, 2013 to September 30, 2019.(3) Return from the performance launch date of April 8, 2014 to September 30, 2019.(4) Return from the performance launch date of October 19, 2016 to September 30, 2019.(5) Return from the performance launch date of February 16, 2018 to September 30, 2019.

As noted above, the table shows a comparison of thehistorical annual compound returns of the Fund with theS&P/TSX, a broad-based index. The Fund, however, uses ablended benchmark to compare its overall relativeperformance. The reason for this is that the blendedbenchmark is a better reflection of the asset mix of theunderlying investments within the Fund’s portfolio.Accordingly, the blended benchmark is a more accurate anduseful comparison.

A commentary on the market and/or information regardingthe relative performance of the Fund as compared to itsbenchmark can be found under the Results of Operationssection of this report.



SUMMARY OF INVESTMENT PORTFOLIO

As at September 30, 2019

% of NetPortfolio Allocation Asset Value

Bonds & Debentures 40.20

Canadian Equities 35.59

U.S. Equities 14.96

Money Market Investments 3.32

International Equities 1.37

U.S. Equity Fund 1.06

Emerging Markets Equity Fund 1.06

Canadian Equity Fund 0.94

Cash/Receivables/Payables 0.81

International Equity Fund 0.73

Credit Default Swap -0.04

Total Portfolio Allocation 100.00

Top 25 Holdings % of NetIssuer Asset Value

Long PositionsGovernment of Canada, Unsecured, 2.750% Dec 1, 2048 3.14

Province of Quebec, Unsecured, 3.500% Dec 1, 2045 2.16

Toronto-Dominion Bank, The, 2.14

Royal Bank of Canada 1.89

Government of Canada, 2.250% Jun 1, 2029 1.67

Enbridge Inc. 1.43

Province of Ontario, Unsecured, 2.900% Jun 2, 2028 1.34

Province of Ontario, Unsecured, 2.900% Dec 2, 2046 1.26

BMO S&P 500 Index ETF+ 1.06

BMO Low Volatility Emerging Markets Equity ETF+ 1.06


BMO S&P/TSX Capped Composite Index ETF+ 0.94


Home Depot, Inc., The, 0.90

Bank of Nova Scotia, The, 0.88

BCE Inc. 0.88

Province of Quebec, Unsecured, 2.750% Sep 1, 2027 0.86

TC Energy Corporation 0.86

Alphabet Inc. 0.84

Cash/Receivables/Payables 0.81

Citigroup Inc. 0.79

Province of British Columbia, Unsecured, 2.800% Jun 18, 2048 0.78

Apple Inc. 0.77

Loblaw Companies Limited 0.73

BMO MSCI EAFE Index ETF+ 0.73

Long Positions as a Percentage of Total Net Asset Value 29.88

Short PositionsMarkit CDX North America Investment Grade Index,

Series 33, 1.000%, Dec 20, 2024 -0.04

Short Positions as a Percentage of Total Net Asset Value -0.04

Top Holdings as a Percentage of Total Net Asset Value 29.84

Total Net Asset Value $4,369,871,789

+The prospectus and other information about the underlying exchangetraded fund(s) held in the portfolio are available on the internet atwww.sedar.com and, also at www.bmo.com/etflegal.

The summary of investment portfolio may change due to the Fund’s ongoingportfolio transactions. Updates are available quarterly.

BMO Investments Inc. First Canadian Place, 43rd Floor100 King Street WestToronto, Ontario M5X 1A1

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

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

If you have any questions, please give us a call as follows:

• If you purchased BMO Mutual Funds through a BMO Bank of Montreal branch or BMO Online Banking, please call 1-800-665-7700.

• If you purchased BMO Mutual Funds through a full-service or discount broker, please call 1-800-668-7327 or [email protected].

www.bmo.com/mutualfunds and www.bmo.com/gam/ca

bmo monthly income fund(the “fund”)€¦ · canadian fixed income securities, as measured by...

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