BMO Mutual Funds 2021 Semi-Annual Financial Statements

March 31, 2021

BMO U.S. Dollar Monthly Income Fund (in US$)

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

BMO Investments Inc., the Manager of the Fund, appoints independent auditors to audit the Fund’s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice.

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.

BMO U.S. Dollar Monthly Income Fund(unaudited)

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

As at March 31

2021 September 30

2020

ASSETS

CURRENT ASSETS Cash 15,922 7,608Investments

Non-derivative financial assets 298,286 292,138 Receivable for investments sold — 499 Subscriptions receivable 145 272Interest receivable 884 969Dividends receivable 170 232Distribution receivable from investment trusts 189 156Total assets 315,596 301,874

LIABILITIES

CURRENT LIABILITIES Payable for investments purchased 8,761 83 Redemptions payable 195 348Accrued expenses 521 48 Total liabilities 9,477 479

Net assets attributable to holders of redeemable units 306,119 301,395

Net assets attributable to holders of redeemable units Series A Units 192,607 189,136 Advisor Series Units 45,103 44,651Series T5 Units 4,887 5,406Series T6 Units 7,800 7,644Series F Units 40,069 38,730 Series D Units 9,480 9,215 Series R Units 6,173 6,613

Net assets attributable to holders of redeemable units per unit Series A Units $ 5.47 $ 5.04 Advisor Series Units $ 8.93 $ 8.25Series T5 Units $ 8.45 $ 7.81Series T6 Units $ 7.75 $ 7.21Series F Units $ 11.21 $ 10.25 Series D Units $ 10.03 $ 9.22 Series R Units $ 3.07 $ 2.93

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

For the periods ended March 31

2021 March 31

2020

INCOME Interest income 2,084 3,224Dividend income 1,813 3,154Distributions received from investment trusts 824 — Other changes in fair value of investments and

derivatives Net realized gain 9,267 284 Change in unrealized appreciation

(depreciation) 21,285 (56,698)Net gain (loss) in fair value of investments and

derivatives 35,273 (50,036)Securities lending revenue (note 8) 5 4 Foreign exchange gain (loss) 56 (160)

Total other income (loss) 61 (156)Total income (loss) 35,334 (50,192)

EXPENSES Management fees (note 6) 2,726 3,185Fixed administration fees (note 6) 335 386

Independent review committee fees (note 6) 0 0 Withholding taxes 202 413 Fund facts fees 0 0Unitholder reporting costs 0 — Commissions and other portfolio transaction

costs (note 6) 26 37Total expenses 3,289 4,021 Increase (decrease) in net assets attributable

to holders of redeemable units 32,045 (54,213)

Increase (decrease) in net assets attributable to holders of redeemable units Series A Units 19,929 (33,847) Advisor Series Units 4,710 (8,120) Series T5 Units 512 (993) Series T6 Units 789 (1,272) Series F Units 4,392 (7,184) Series D Units 1,021 (1,603) Series R Units 692 (1,194)

Increase (decrease) in net assets attributable to holders of redeemable units per unit (note 8) Series A Units 0.55 (0.86) Advisor Series Units 0.90 (1.34) Series T5 Units 0.85 (1.39) Series T6 Units 0.78 (1.18) Series F Units 1.21 (1.73) Series D Units 1.05 (1.62) Series R Units 0.32 (0.48)

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

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (All amounts in thousands of U.S. dollars)

For the periods ended March 31

2021 March 31

2020

Series A Units

Net assets attributable to holders of redeemable units at beginning of period 189,136 219,755

Increase (decrease) in net assets attributable toholders of redeemable units 19,929 (33,847)

Distributions to holders of redeemable units from: Net investment income (887) (1,299)Net realized gains on investments and

derivatives — (4,807)Return of capital (3,725) (3,898)

Total distributions to holders of redeemable units (4,612) (10,004)

Redeemable unit transactions Proceeds from redeemable units issued 9,806 32,957 Reinvestments of distributions to holders of

redeemable units 3,649 8,000Redemption of redeemable units (25,301) (36,986)

Net (decrease) increase from redeemable unittransactions (11,846) 3,971

Net increase (decrease) in net assetsattributable to holders of redeemable units 3,471 (39,880)

Net assets attributable to holders of redeemable units at end of period 192,607 179,875

Advisor Series Units

Net assets attributable to holders of redeemable units at beginning of period 44,651 55,831

Increase (decrease) in net assets attributable toholders of redeemable units 4,710 (8,120)

Distributions to holders of redeemable units from:Net investment income (199) (320)Net realized gains on investments and

derivatives — (1,270)Return of capital (898) (986)

Total distributions to holders of redeemable units (1,097) (2,576)

Redeemable unit transactions Proceeds from redeemable units issued 2,041 8,361 Reinvestments of distributions to holders of

redeemable units 771 1,893 Redemption of redeemable units (5,973) (11,819)

Net decrease from redeemable unit transactions (3,161) (1,565)

Net increase (decrease) in net assetsattributable to holders of redeemable units 452 (12,261)

Net assets attributable to holders of redeemable units at end of period 45,103 43,570

For the periods ended March 31

2021 March 31

2020

Series T5 Units

Net assets attributable to holders of redeemable units at beginning of period 5,406 5,542

Increase (decrease) in net assets attributable toholders of redeemable units 512 (993)

Distributions to holders of redeemable units from: Net investment income (23) (37) Net realized gains on investments and

derivatives — (127)Return of capital (106) (114)

Total distributions to holders of redeemable units (129) (278)

Redeemable unit transactions Proceeds from redeemable units issued 19 1,997 Reinvestments of distributions to holders of

redeemable units 47 87 Redemption of redeemable units (968) (1,032)

Net (decrease) increase from redeemable unittransactions (902) 1,052

Net decrease in net assets attributable to holders of redeemable units (519) (219)

Net assets attributable to holders of redeemable units at end of period 4,887 5,323

Series T6 Units

Net assets attributable to holders of redeemable units at beginning of period 7,644 8,782

Increase (decrease) in net assets attributable toholders of redeemable units 789 (1,272)

Distributions to holders of redeemable units from: Net investment income (35) (53) Net realized gains on investments and

derivatives — (171)Return of capital (204) (202)

Total distributions to holders of redeemable units (239) (426)

Redeemable unit transactions Proceeds from redeemable units issued 607 1,269 Reinvestments of distributions to holders of

redeemable units 96 193 Redemption of redeemable units (1,097) (1,456)

Net (decrease) increase from redeemable unittransactions (394) 6

Net increase (decrease) in net assetsattributable to holders of redeemable units 156 (1,692)

Net assets attributable to holders of redeemable units at end of period 7,800 7,090

BMO U.S. Dollar Monthly Income Fund(unaudited)

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

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (cont'd) (All amounts in thousands of U.S. dollars)

For the periods ended March 31

2021 March 31

2020

Series F Units

Net assets attributable to holders of redeemable units at beginning of period 38,730 43,147

Increase (decrease) in net assets attributable toholders of redeemable units 4,392 (7,184)

Distributions to holders of redeemable units from: Net investment income (463) (608) Net realized gains on investments and

derivatives — (953)Return of capital (408) (395)

Total distributions to holders of redeemable units (871) (1,956)

Redeemable unit transactions Proceeds from redeemable units issued 4,196 13,249 Reinvestments of distributions to holders of

redeemable units 588 1,296 Redemption of redeemable units (6,966) (9,799)

Net (decrease) increase from redeemable unittransactions (2,182) 4,746

Net increase (decrease) in net assetsattributable to holders of redeemable units 1,339 (4,394)

Net assets attributable to holders of redeemable units at end of period 40,069 38,753

Series D Units

Net assets attributable to holders of redeemable units at beginning of period 9,215 1,375

Increase (decrease) in net assets attributable toholders of redeemable units 1,021 (1,603)

Distributions to holders of redeemable units from: Net investment income (82) (88) Net realized gains on investments and

derivatives — (60)Return of capital (144) (130)

Total distributions to holders of redeemable units (226) (278)

Redeemable unit transactions Proceeds from redeemable units issued 26 10,246 Reinvestments of distributions to holders of

redeemable units 185 251 Redemption of redeemable units (741) (1,275)

Net (decrease) increase from redeemable unittransactions (530) 9,222

Net increase in net assets attributable to holders of redeemable units 265 7,341

Net assets attributable to holders of redeemable units at end of period 9,480 8,716

For the periods ended

March 312021

March 312020

Series R Units

Net assets attributable to holders of redeemable units at beginning of period 6,613 9,445

Increase (decrease) in net assets attributable toholders of redeemable units 692 (1,194)

Distributions to holders of redeemable units fromNet investment income (24) (51) Net realized gains on investments and

derivatives — (223)Return of capital (364) (429)

Total distributions to holders of redeemable units (388) (703)

Redeemable unit transactions Proceeds from redeemable units issued 62 260 Reinvestments of distributions to holders of

redeemable units 0 1Redemption of redeemable units (806) (1,355)

Net decrease from redeemable unit transactions (744) (1,094)

Net decrease in net assets attributable to holders of redeemable units (440) (2,991)

Net assets attributable to holders of redeemable units at end of period 6,173 6,454

Total Fund

Net assets attributable to holders of redeemable units at beginning of period 301,395 343,877

Increase (decrease) in net assets attributable toholders of redeemable units 32,045 (54,213)

Distributions to holders of redeemable units from:Net investment income (1,713) (2,456) Net realized gains on investments and

derivatives — (7,611)Return of capital (5,849) (6,154)

Total distributions to holders of redeemable units (7,562) (16,221)

Redeemable unit transactions Proceeds from redeemable units issued 16,757 68,339 Reinvestments of distributions to holders of

redeemable units 5,336 11,721 Redemption of redeemable units (41,852) (63,722)

Net (decrease) increase from redeemable unittransactions (19,759) 16,338

Net increase (decrease) in net assetsattributable to holders of redeemable units 4,724 (54,096)

Net assets attributable to holders of redeemable units at end of period 306,119 289,781

BMO U.S. Dollar Monthly Income Fund(unaudited)

:

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

STATEMENT OF CASH FLOWS (All amounts in thousands of U.S. dollars)

For the periods ended March 31

2021 March 31

2020

Cash flows from operating activities Increase (decrease) in net assets attributable to

holders of redeemable units 32,045 (54,213) Adjustments for:

Foreign exchange (gain) loss on cash (14) 72 Net realized gain on sale of investments and

derivatives (9,267) (284) Change in unrealized (appreciation)

depreciation of investments and derivatives (21,285) 56,698 Decrease (increase) in interest receivable 85 (7) Decrease (increase) in dividends receivable 62 (3) Increase in distribution receivable from

investment trusts (33) — Increase in accrued expenses 473 469 Amortization of premium and discounts 10 24 Non-cash dividends (76) — Non-cash distributions from investment trusts (406) — Purchases of investments (65,170) (91,218) Proceeds from sale and maturity of

investments 99,223 86,467 Net cash from (used in) operating activities 35,647 (1,995)

Cash flows from financing activities Distributions paid to holders of redeemable

units, net of reinvested distributions (2,226) (4,500) Proceeds from issuances of redeemable units 16,306 52,703 Amounts paid on redemption of redeemable

units (41,427) (47,832) Net cash (used in) from financing activities (27,347) 371

Foreign exchange gain (loss) on cash 14 (72) Net increase (decrease) in cash 8,300 (1,624) Cash at beginning of period 7,608 13,329 Cash at end of period 15,922 11,633

Supplementary Information Interest received, net of withholding taxes* 2,179 3,241

Dividends received, net of withholding taxes* 1,597 2,738 Distribution received from investment trusts, net

of withholding taxes* 385 —

BMO U.S. Dollar Monthly Income Fund(unaudited)

* These items are from operating activities.

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

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Cost (USD)

Fair Value (USD)

BONDS & DEBENTURES Government Bonds — 7.5% United States Treasury Bonds, 1.125% Aug 15,

2040 1,500 1,227 1,221 United States Treasury Bonds, 2.750% Nov 15,

2047 250 247 268 United States Treasury Bonds, 3.125% May 15,

2048 1,000 998 1,148 United States Treasury Bonds, 2.875% May 15,

2049 1,000 1,153 1,100 United States Treasury Bonds, 1.375% Aug 15,

2050 1,000 975 781 United States Treasury Inflation Indexed Bonds,

0.375% Jan 15, 2027 ...................................... 812 810 896 United States Treasury Notes, 0.125% Jul 31,

2022 900 900 900 United States Treasury Notes, 1.500% Jan 15,

2023 2,000 2,006 2,048 United States Treasury Notes, 2.000% Feb 15,

2023 1,000 991 1,034 United States Treasury Notes, 2.500% Aug 15,

2023 1,000 998 1,054 United States Treasury Notes, 2.500% May 15,

2024 4,500 4,662 4,797 United States Treasury Notes, 2.875% Apr 30,

2025

1,500 1,492 1,633 United States Treasury Notes, 0.250% Aug 31,

2025 2,000 1,998 1,953 United States Treasury Notes, 1.625% Feb 15,

2026 1,000 1,004 1,034 United States Treasury Notes, 2.875% May 15,

2028 1,000 1,002 1,099 United States Treasury Notes, 2.375% May 15,

2029 1,000 1,066 1,063 United States Treasury Notes, 0.625% Aug 15,

2030 1,000 993 906 22,522 22,935

Corporate Bonds & Debentures — 22.1% 1011778 B.C. ULC/New Red Finance, Inc.,

Series 144A, Secured, Notes, Callable, 4.000% Oct 15, 2030 150 150 145

ACCO Brands Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 4.250% Mar 15, 2029 100 98 97

AdaptHealth, LLC, Series 144A, Senior, Unsecured, Notes, Callable, 4.625% Aug 1, 2029 375 374 373

Albertsons Cos LLC/Safeway Inc./New Albertson's Inc./Albertson's LLC, Series 144A, Senior, Unsecured, Notes, Callable, 4.625% Jan 15, 2027 100 102 103

Allison Transmission, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.750% Oct 1, 2027 125 125 132

Par Value (USD)

Cost (USD)

Fair Value (USD)

Altice Financing S.A., Series 144A, Senior, Secured, Notes, Callable, 5.000% Jan 15, 2028 300 300 295

Altice France S.A., Series 144A, Senior, Secured, Notes, Callable, 7.375% May 1, 2026 300 301 312

Altria Group, Inc., Senior, Unsecured, Notes, Callable, 5.950% Feb 14, 2049 250 249. 311

AMC Networks Inc., Senior, Unsecured, Notes, Callable, 4.750% Aug 1, 2025 225 225 231

American Airlines Inc/AAdvantage Loyalty IP Ltd, Series 144A, Senior, Secured, Notes, 5.500% Apr 20, 2026 200 200 208

American Axle & Manufacturing, Inc., Senior, Unsecured, Notes, Callable, 6.875% Jul 1, 2028 200 200 210

Antero Midstream Partners LP/Antero Midstream Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 7.875% May 15, 2026 100 101 107

Antero Resources Corporation, Senior, Unsecured, Notes, Callable, 5.000% Mar 1, 2025 181 181 181

Aramark Services, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.375% May 1, 2025 175 175 185

Archrock Partners LP/Archrock Partners Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 6.875% Apr 1, 2027......................... 200 200 209

Ascent Resources Utica Holdings LLC/ARU Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 7.000% Nov 1, 2026 125 123 125

AT&T Inc., Senior, Unsecured, Notes, Callable, 4.550% Mar 9, 2049 650 695 714

B.A.T. Capital Corporation, Senior, Unsecured, Notes, Callable, 4.540% Aug 15, 2047 500 464 502

BAE Systems PLC, Series 144A, Senior, Unsecured, Notes, Callable, 3.000% Sep 15, 2050 500 493 456

Bank of America Corporation, Senior, Unsecured, Notes, 2.625% Apr 19, 2021 600 600 601

Bank of America Corporation, Fixed to Floating, Senior, Unsecured, Notes, Callable, 1.218% Apr 24, 2023 500 504 504

Barclays PLC, Unsecured, Notes, Subordinated, Callable, 3.811% Mar 10, 2042 700 700 680

Bausch Health Companies Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.000% Jan 15, 2028 250 250 272

Bausch Health Companies Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.000% Jan 30, 2028 75 75 76

Bayer US Finance II LLC, Series 144A, Senior, Unsecured, Notes, Callable, 4.875% Jun 25, 2048 400 399 477

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Par Value (USD)

Cost (USD)

Fair Value (USD)

Beacon Escrow Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 4.875% Nov 1, 2025 150 151 153

Berkshire Hathaway Finance Corp., Senior, Unsecured, Notes, Callable, 2.850% Oct 15, 2050 500 508 458

Berry Global, Inc., Series 144A, Senior, Secured, Notes, Callable, 1.570% Jan 15, 2026 ........... 500 495 492

Biogen Inc., Senior, Unsecured, Notes, Callable, 2.250% May 1, 2030 ...................................... 350 360 338

Block Communications, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.875% Mar 1, 2028 225 224 229

BNP Paribas SA, Series 144A, Unsecured, Medium Term Notes, 2.824% Jan 26, 2041 500 500 448

Boeing Company, The, Senior, Unsecured, Notes, Callable, 4.875% May 1, 2025 500 500 557

Boyd Gaming Corporation, Senior, Unsecured, Notes, Callable, 6.375% Apr 1, 2026 162 164 167

Braskem Netherlands Finance B.V., Series 144A, Senior, Unsecured, Notes, 4.500% Jan 31, 2030 200 199 201

Broadcom Inc., Senior, Unsecured, Notes, Callable, 3.459% Sep 15, 2026 260 251 278

Broadcom Inc., Senior, Unsecured, Notes,Callable, 4.110% Sep 15, 2028

531 525 580

Buckeye Partners, L.P., Series 144A, Senior, Unsecured, Notes, Callable, 4.500% Mar 1, 2028 200 201 200

BWAY Holding Co., Series 144A, Senior, Secured, Notes, Callable, 5.500% Apr 15, 2024 150 150 152

Cantor Fitzgerald, L.P., Series 144A, Senior, Unsecured, Notes, Callable, 4.875% May 1, 2024 00 501 551

Capital One Financial Corporation, Senior, Unsecured, Notes, Callable, Floating Rate, 1.135% Mar 9, 2022 ....................................... 500 498 503

Cargo Aircraft Management, Inc., Series 144A,Senior, Unsecured, Notes, Callable, 4.750% Feb 1, 2028

250 251 258 Carnival Corporation, Series 144A, Senior,

Unsecured, Notes, Callable, 7.625% Mar 1, 2026 175 175 188

Carrizo Oil & Gas, Inc., Senior, Unsecured, Notes, Callable, 6.250% Apr 15, 2023 250 217 222

CCO Holdings, LLC/CCO Holdings Capital Corp., Series 144A, Senior, Unsecured, Notes, Callable, 4.250% Feb 1, 2031 450 468 449

CEMEX, S.A.B. de C.V., Series 144A, Senior, Secured, Notes, Callable, 7.375% Jun 5, 2027 200 200 225

CEMEX, S.A.B. de C.V., Series 144A, Senior, Secured, Notes, Callable, 3.875% Jul 11, 2031 200 200 196

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Cost (USD)

Fair Value (USD)

Centene Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 5.375% Aug 152026

, 75 75 .78

Charles River Laboratories International, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.750% Mar 15, 2029 150 151 150

Chemours Company, The, Series 144A, Senior, Unsecured, Notes, Callable, 5.750% Nov 15, 2028 200 205 210

CHS/Community Health Systems, Inc., Series 144A, Secured, Notes, Callable, 6.875% Apr 15, 2029 175 177 182

Cincinnati Bell Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.000% Jul 15, 2024 197 200 203

Comstock Resources, Inc., Senior, Unsecured, Notes, Callable, 9.750% Aug 15, 2026 .......... 89 91 97

Comstock Resources, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.750% Mar 1, 2029 100 100 103

Connect Finco SARL/Connect US Finco LLC, Series 144A, Senior, Secured, Notes, Callable, 6.750% Oct 1, 2026 225 225 239

Covanta Holding Corp., Senior, Unsecured, Notes, Callable, 5.000% Sep 1, 2030 175 177 177

Cox Communications, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.600% Aug 15, 2047 500 497 570

Crestwood Midstream Partners LP/Crestwood Midstream Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 6.000% Feb 1, 2029 100 100 99

Crown Castle International Corp., Senior, Unsecured, Notes, Callable, 2.900% Apr 1, 2041 250 249 230

CSC Holdings, LLC, Series 144A, Senior, Unsecured, Notes, Callable, 5.750% Jan 15, 2030 275 287 289

CSC Holdings, LLC, Series 144A, Senior, Unsecured, Notes, Callable, 4.625% Dec 1, 2030 200 206 196

Cummins Inc., Senior, Unsecured, Notes, Callable, 1.500% Sep 1, 2030 400 397 372

DaVita, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.625% Jun 1, 2030 275 275 279

Dell Inc., Senior, Unsecured, Notes, 6.500% Apr 15, 2038 175 173 213

Dell International L.L.C./EMC Corporation, Series 144A, Senior, Secured, Notes, Callable, 12.750% Dec 1, 2026 ..................................... 50 48 43

Delta Air Lines, Inc., Series 144A, Senior, Secured, Notes, 7.000% May 1, 2025............ 75 75 86

Delta Air Lines, Inc., Senior, Unsecured, Notes, Callable, 3.750% Oct 28, 2029 600 604 586

Diamond Offshore Drilling, Inc., Senior, Unsecured, Notes, Callable, 7.875% Aug 15, 2025 150 154 26

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BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Cost (USD)

Fair Value (USD)

Diebold Incorporated, Senior, Unsecured, Notes, Callable, 8.500% Apr 15, 2024 225 226 230

DISH DBS Corporation, Senior, Unsecured, Notes, 5.000% Mar 15, 2023 126 125 130

Duke Energy Florida LLC, Senior, Unsecured, Notes, Callable, 2.500% Dec 1, 2029 500 500 509

Element Fleet Management Corp., Series 144A, Senior, Unsecured, Notes, Callable, 3.850% Jun 15, 2025 350 350 366

Emergent BioSolutions Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.875% Aug 15, 2028 250 257. 245

Encompass Health Corporation, Senior, Unsecured, Notes, Callable, 4.500% Feb 1, 2028 175 176 178

Energizer Holdings, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.750% Jun 15, 2028 275 278 284

EnLink Midstream LLC, Series 144A, Senior, Unsecured, Notes, Callable, 5.625% Jan 15, 2028 100 100 97

EQM Midstream Partners, LP, Senior, Unsecured, Notes, Callable, 4.000% Aug 1, 2024 ............ 225 225 228

EQT Corporation, Senior, Unsecured, Notes, Callable, 3.900% Oct 1, 2027 150 143 153

Expedia Group, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.250% May 1, 2025 110 112 127

Exxon Mobil Corporation, Senior, Unsecured, Notes, Callable, 3.095% Aug 16, 2049 700 694 658

Five Corners Funding Trust II, Senior, Unsecured, Notes, Callable, 2.850% May 15, 2030 450 450 463

Fomento Economico Mexicano, S.A.B. de C.V., Senior, Unsecured, Notes, 2.875% May 10, 2023 700 698 727

Ford Motor Company, Senior, Unsecured, Notes,4.750% Jan 15, 2043

...................................... 150 80 151

Ford Motor Credit Company LLC, Senior, Unsecured, Notes, 4.134% Aug 4, 2025 250 252 261

Foundation Building Materials, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.000% Mar 1, 2029 125 126 123

FS KKR Capital Corp., Senior, Unsecured, Notes, Callable, 3.400% Jan 15, 2026 250 251 248

GE Capital International Funding Company Unlimited Company, Senior, Unsecured, Notes, 4.418% Nov 15, 2035 250 257 286

General Motors Financial Company, Inc., Senior,Unsecured, Notes, Callable, 4.350% Jan 17, 2027

450 450 499 Genuine Parts Co., Senior, Unsecured, Notes,

Callable, 1.875% Nov 1, 2030 375 348 345 GrafTech Finance, Inc., Series 144A, Senior,

Secured, Notes, Callable, 4.625% Dec 15, 2028 200 200 201

Par Value

(USD) Cost

(USD)

Fair Value (USD)

Gray Television, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.000% May 15, 2027 125 125 136

Gulfport Energy Corporation, Senior, Unsecured, Notes, Callable, 6.000% Oct 15, 2024 ........... 100 99 90

High Street Funding Trust I, Senior, Unsecured, Notes, Callable, 4.111% Feb 15, 2028 600 610 663

HLF Financing Sarl LLC/Herbalife International, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 7.250% Aug 15, 2026 150 157 157

Hospitality Properties Trust, Senior, Unsecured, Notes, Callable, 4.500% Mar 15, 2025 750 746 740

Howard Hughes Corp., Series 144A, Senior, Unsecured, Notes, Callable, 4.125% Feb 1, 2029 100 99 98

HSBC Holdings plc, Senior, Unsecured, Notes, Callable, Fixed to Floating, 1.589% May 24, 2027 800 800 784

Hudbay Minerals, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.500% Apr 1, 2026 100 100 103

Hudbay Minerals, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 6.125% Apr 1, 2029 100 100 106

Hughes Satellite Systems Corporation, Senior, Unsecured, Notes, 6.625% Aug 1, 2026 135 136 149

Icahn Enterprises LP / Icahn Enterprises Finance Corp., Senior, Unsecured, Notes, Callable, 6.250% May 15, 2026 250 250 262

Icahn Enterprises LP / Icahn Enterprises Finance Corp., Series 144A, Senior, Unsecured, Notes, Callable, 4.375% Feb 1, 2029 250 250 245

ING Groep N.V., Senior, Unsecured, Notes, Floating Rate, 1.343% Mar 29, 2022 650 650 656

ING Groep N.V., Senior, Unsecured, Notes, Callable, Floating Rate, 1.020% Apr 1, 2027 200 200 200

International Game Technology PLC, Series 144A, Senior, Secured, Notes, Callable4.125% Apr 15, 2026

, 400 402 414

Iron Mountain, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.875% Sep 15, 2027 200 206 204

iStar Inc., Senior, Unsecured, Notes, Callable, 4.750% Oct 1, 2024 250 251 260

iStar Inc., Senior, Unsecured, Notes, Callable, 5.500% Feb 15, 2026 550 550 560

Jaguar Land Rover Automotive Plc, Series 144A, Senior, Unsecured, Notes, Callable, 7.750% Oct 15, 2025 500 540 542

Jaguar Land Rover Automotive PLC, Series 144A, Senior, Unsecured, Notes, Callable, 5.875% Jan 15, 2028 200 200 203

Jefferies Finance LLC/JFIN Co-Issuer Corp, Senior, Secured, Notes, Callable, 6.250% Jun 3, 2026 200 210 209

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BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Fair Value (USD)

Cost (USD)

JM Smucker Co., Senior, Unsecured, Notes, Callable, 2.375% Mar 15, 2030 500 499 493

Johnson Controls International plc/Tyco Fire & Security Finance SCA, Senior, Unsecured, Notes, Callable, 1.750% Sep 15, 2030 550 548 515

JPMorgan Chase & Co., Senior, Unsecured, Notes, Callable, Floating Rate, 1.241% Jan 15, 2023 750 755 755

JPMorgan Chase & Co., Senior, Unsecured, Notes, Callable, Fixed to Floating, 2.525% Nov 19, 2041 550 550 504

Kaiser Aluminum Corp., Series 144A, Senior, Unsecured, Notes, Callable, 6.500% May 1, 2025 200 203 212

Kimberly-Clark Corporation, Senior, Unsecured, Notes, Callable, 1.050% Sep 15, 2027 500 500 484

Kraft Heinz Foods Co., Senior, Unsecured, Notes, Callable, 4.375% Jun 1, 2046 225 239 235

Kroger Co., The, Senior, Unsecured, Notes, Callable, 4.450% Feb 1, 2047 600 584 677

L Brands, Inc., Senior, Unsecured, Notes, 5.250% Feb 1, 2028 250 234 268

Legg Mason, Inc., Senior, Unsecured, Notes, 4.750% Mar 15, 2026 500 500 576

Level 3 Financing, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.250% Jul 1, 2028 100 100 101

Level 3 Financing, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.625% Jan 15, 2029 150 150 144

LifePoint Health, Inc., Series 144A, Senior, Secured, Notes, Callable, 4.375% Feb 15, 2027 125 125 123

LifePoint Health, Inc., Series 144A, Callable, 5.375% Jan 15, 2029 75 75 74

Lloyds Banking Group plc, Fixed to Floating, Senior, Unsecured, Notes, Callable, 2.907% Nov 7, 2023 500 488 517

Lowe's Cos., Inc., Senior, Unsecured, Notes, Callable, 3.000% Oct 15, 2050 1,000 1,015 929

Macy's Retail Holdings LLC, Series 144A, Senior, Unsecured, Notes, Callable, 5.875% Apr 1, 2029 100 100 103

Magellan Midstream Partners, L.P., Senior, Unsecured, Notes, Callable, 4.250% Sep 15,2046

650 643 661

MARB BondCo PLC, Series 144A, Senior, Unsecured, Callable, 3.950% Jan 29, 2031 200 200 190

Mattel, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.375% Apr 1, 2026 75 75 77

Meritage Homes Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 3.875% Apr 15, 2029 350 350 350

Meritor, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.500% Dec 15, 2028 100 100 100

MGIC Investment Corp., Senior, Unsecured, Notes, Callable, 5.250% Aug 15, 2028 250 250 259

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Par Value (USD)

Cost (USD)

Fair Value (USD)

MGM Resorts International, Senior, Unsecured, Notes, Callable, 6.750% May 1, 2025 150 149 161

Molina Healthcare, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.375% Jun 15, 2028 150 152 154

Molson Coors Brewing Company, Senior, Unsecured, Notes, Callable, 4.200% Jul 15, 2046 .500 458 518

Morgan Stanley, Senior, Unsecured, Notes, Callable, Fixed to Floating, 0.985% Dec 10, 2026 550 550 536

Motorola Solutions, Inc., Senior, Unsecured, Notes, 5.500% Sep 1, 2044 600 599 728

MPT Operating Partnership, L.P./MPT Finance Corporation, Senior, Unsecured, Notes, Callable, 3.500% Mar 15, 2031 250 250 245

Nasdaq, Inc., Senior, Unsecured, Notes, Callable, 1.650% Jan 15, 2031 550 548 502

Navistar International Corporation, Series 144A, Senior, Secured, Notes, Callable, 9.500% May 1, 2025 175 177 192

NCL Corporation Ltd., Series 144A, Senior, Secured, Notes, Callable, 10.250% Feb 1, 2026 150 150 175

NCL Corporation Ltd., Series 144A, Senior, Unsecured, Notes, Callable, 5.875% Mar 15, 2026 75 75 .76

NCR Corporation, Series 144A, Senior, Secured, Notes, Callable, 5.000% Oct 1, 2028 150 150 151

Nine Energy Service, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.750% Nov 1, 2023 200 200 70

Northern Oil and Gas, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.125% Mar 1, 2028 75 73 .74

Novelis Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 5.875% Sep 30, 2026 200 201 208

Occidental Petroleum Corporation, Senior, Unsecured, Notes, Callable, 8.000% Jul 15, 2025 125 125 143

Occidental Petroleum Corporation, Senior, Unsecured, Notes, Callable, 5.875% Sep 1, 2025 125 125 133

Occidental Petroleum Corporation, Senior, Unsecured, Notes, Callable, 4.300% Aug 15, 2039 150 124 126

Occidental Petroleum Corporation, Senior, Unsecured, Notes, Callable, 4.400% Aug 15, 2049 200 197 167

OCP S.A., Series 144A, Senior, Unsecured, Notes, 4.500% Oct 22, 2025 500 488 529

Olin Corporation, Senior, Unsecured, Notes, Callable, 5.000% Feb 1, 2030 75 77 78

Oracle Corporation, Senior, Unsecured, Notes, Callable, 2.400% Sep 15, 2023 450 450 468

Par Value (USD)

Cost (USD)

Fair Value (USD)

Pacific Life Global Funding II, Series 144A, Secured, Notes, 1.450% Jan 20, 2028 350 350 338

Par Pharmaceutical, Inc., Series 144A, Senior, Secured, Notes, Callable, 7.500% Apr 1, 2027 250 257 264

PBF Holding Co LLC/PBF Finance Corp., Senior, Unsecured, Notes, Callable, 7.250% Jun 15, 2025 200 199 161

Penske Automotive Group, Inc., Senior, Unsecured, Notes, Callable, 3.500% Sep 1, 2025 100 100 102

Petroleos Mexicanos, Senior, Unsecured, Notes, 6.875% Aug 4, 2026 125 106 134

Philip Morris International, Inc., Senior, Unsecured, Notes, Callable, 0.875% May 1, 2026 575 573 559

Pilgrim's Pride Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 4.250% Apr 15, 2031 475 470 474

PNC Financial Services Group, Inc., The, Senior, Unsecured, Notes, Callable, 2.200% Nov 1, 2024 500 500 526

Post Holdings, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.500% Sep 15, 2031 150 151 148

Prime Security Services Borrower LLC/Prime Finance, Inc., Series 144A, Senior, Secured, Notes, Callable, 3.375% Aug 31, 2027 100 100 97

Public Service Electric and Gas Co., Medium Term Notes, Senior, Secured, Callable, 0.950% Mar 15, 2026 750 748 740

Quanta Services, Inc., Senior, Unsecured, Notes, Callable, 2.900% Oct 1, 2030 375 374 379

Quest Diagnostics Incorporated, Senior, Unsecured, Notes, Callable, 4.700% Mar 30, 2045 500 500 572

QVC, Inc., Senior, Secured, Notes, Callable, 4.750% Feb 15, 2027 250 253 260

Republic Services, Inc., Senior, Unsecured, Notes, Callable, 1.450% Feb 15, 2031 350 348 318

Rite Aid Corporation, Series 144A, Senior, Secured, Notes, Callable, 8.000% Nov 15, 2026 175 166 184

Royal Caribbean Cruises Ltd., Senior, Unsecured, Notes, 5.250% Nov 15, 2022 175 161 180

Royal Caribbean Cruises Ltd., Series 144A, Senior, Unsecured, Notes, Callable, 9.125% Jun 15, 2023 100 100 110

SBL Holdings, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.000% Feb 18, 2031 100 99 101

Schlumberger Finance Canada Ltd., Senior, Unsecured, Notes, Callable, 1.400% Sep 17, 2025 500 499 499

Scientific Games International, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.625% Jul 1, 2025 75 81 81

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

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Par Value (USD)

Cost (USD)

Fair Value (USD)

Scientific Games International, Inc., Series 144A, Senior, Secured, Notes, Callable, 5.000% Oct 15, 2025 175 175 180

Scripps Escrow II, Inc., Series 144A, Senior, Secured, Notes, Callable, 3.875% Jan 15, 2029 550 555 540

SEG Holding LLC/SEG Finance Corp., Series 144A, Senior, Secured, Notes, Callable, 5.625% Oct 15, 2028 200 200 208

Senior Housing Properties Trust, Senior, Unsecured, Notes, Callable, 4.750% Feb 15, 2028 175 176 173

Service Properties Trust, Senior, Unsecured, Notes, Callable, 4.500% Mar 15, 2025 200 203 197

Simon Property Group L.P., Senior, Unsecured, Notes, Callable, 3.250% Sep 13, 2049 750 710 696

Sinclair Television Group, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.125% Feb 15, 2027 200 202 195

Sirius XM Radio Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.375% Jul 15, 2026 200 206 206

Spectrum Brands, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.875% Mar 15, 2031 175 175 170

Spirit AeroSystems, Inc., Series 144A, Senior, Secured, Notes, Callable, 7.500% Apr 15, 2025 200 197 215

Springleaf Finance Corporation, Senior, Unsecured, Notes, Callable, 5.375% Nov 15, 2029 275 276 292

Sprint Corporation, Senior, Unsecured, Notes, 7.125% Jun 15, 2024 125 128 144

Staples, Inc., Series 144A, Senior, Secured, Notes, Callable, 7.500% Apr 15, 2026 100 100 105

Starfruit US Holdco LLC, Series 144A, Senior, Unsecured, Notes, Callable, 8.000% Oct 1, 2026 200 200 212

Stericycle, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 3.875% Jan 15, 2029 ........... 700 708 689

Talen Energy Supply, LLC, Senior, Unsecured, Notes, Callable, 6.500% Jun 1, 2025 250 180 200

Talos Production Inc., Series 144A, Secured, Notes, Callable, 12.000% Jan 15, 2026 150 146 147

Target Corporation, Senior, Unsecured, Notes, Callable, 2.250% Apr 15, 2025 500 499 524

Taylor Morrison Communities Inc./Monarch Communities Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.875% Apr 15, 2023 243 243 258

Teachers Insurance & Annuity Association of America, Series 144A, Senior, Subordinated, Notes, Callable, 3.300% May 15, 2050.......... 450 449 433

TEGNA, Inc., Senior, Unsecured, Notes, Callable, 5.000% Sep 15, 2029 150 150 155

Telecom Italia Capital S.A., Senior, Unsecured, Notes, 6.000% Sep 30, 2034 135 136 152

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BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Cost (USD)

Fair Value (USD)

Tempur Sealy International Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.000% Apr 15, 2029 75 75 75

Tenet Healthcare Corporation, Series 144A, Senior, Secured, Notes, Callable, 7.500% Apr 1, 2025 100 101 107

Tenet Healthcare Corporation, Series 144A, Senior, Secured, Notes, Callable, 5.125% Nov 1, 2027 100 105 105

Tenneco Inc., Senior, Unsecured, Notes, Callable, 5.375% Dec 15, 2024 100 101 100

Teva Pharmaceutical Finance Netherlands III B.V., Senior, Unsecured, Notes, 2.800% Jul 21, 2023 175 165 174

Teva Pharmaceutical Finance Netherlands III B.V., Senior, Unsecured, Notes, 3.150% Oct 1, 2026 750 716 717

T-Mobile USA, Inc., Senior, Unsecured, Notes, Callable, 2.250% Feb 15, 2026 450 447 453

T-Mobile USA, Inc., Senior, Unsecured, Notes, Callable, 3.375% Apr 15, 2029 150 150 151

TransDigm Inc., Senior, Unsecured, Notes, Callable, 5.500% Nov 15, 2027 150 146 155

TransDigm Inc., Series 144A, Senior, Unsecured, Notes, Subordinated, Callable, 4.625% Jan 15, 2029 175 176 172

TRI Pointe Group, Inc., Senior, Unsecured, Notes, Callable, 5.700% Jun 15, 2028 200 204 221

Trinity Industries, Inc., Senior, Unsecured, Notes, Callable, 4.550% Oct 1, 2024 150 151 156

TTM Technologies, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 4.000% Mar 1, 2029 125 126 123

United Airlines, Inc., Secured, Notes, 4.875% Jul 15, 2027 100 100 104

United Airlines, Inc., 2020-1, Class A Pass Through Trust, 5.875% Apr 15, 2029 220 220 242

United States Steel Corporation, Senior, Unsecured, Notes, Callable, 6.875% Aug 15, 2025 225 223 229

Unum Group, Senior, Unsecured, Notes, 5.750% Aug 15, 2042 500 509 582

US Concrete Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.125% Mar 1, 2029 225 227 232

Valeant Pharmaceuticals International, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.500% Jan 31, 2027 100 103 111

Valero Energy Corporation, Senior, Unsecured, Notes, Callable, 2.150% Sep 15, 2027 500 499 490

Vector Group, Ltd., Series 144A, Senior, Secured, Notes, Callable, 5.750% Feb 1, 2029 175 175 180

Verizon Communications Inc., Senior, Unsecured, Notes, 4.125% Aug 15, 2046 500 458 548

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Par Value (USD)

Cost (USD)

Fair Value (USD)

Verizon Communications Inc., Senior, Unsecured, Notes, Callable, 3.550% Mar 22, 2051 100 99 99

Virgin Media Secured Finance plc, Series 144A, Senior, Secured, Notes, Callable, 5.500% May 15, 2029 300 303 318

VMware, Inc., Senior, Unsecured, Notes, Callable, 3.900% Aug 21, 2027 500 499 546

W&T Offshore, Inc., Series 144A, Secured, Notes, Callable, 9.750% Nov 1, 2023 250 244 220

Weight Watchers International, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 8.625% Dec 1, 2025 250 254 260

Wells Fargo & Company, Medium Term Notes, Fixed to Floating, Senior, Unsecured, Callable, 3.584% May 22, 2028 500 505 545

Wells Fargo & Company, Medium Term Notes, Subordinated, 4.650% Nov 4, 2044 500 497 578

Williams Scotsman International, Inc., Series 144A, Senior, Secured, Notes, Callable, 4.625% Aug 15, 2028 225 226 229

Willis North America Inc., Senior, Unsecured, Notes, Callable, 3.600% May 15, 2024.......... 400 400 430

Wyndham Destinations, Inc., Senior, Secured, Notes, Callable, 6.000% Apr 1, 2027 350 349 386

Wynn Las Vegas LLC/Wynn Las Vegas Capital Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 5.250% May 15, 2027.......... 100 101 105

Ziggo B.V., Series 144A, Senior, Secured, Notes, Callable, 5.500% Jan 15, 2027 204 209 211

66,080 67,522

Asset-Backed Securities — 0.1% CarMax Auto Owner Trust, Series 2018-1,

Class A3, Asset-Backed Securities, 2.480% Nov 15, 2022 273 273 274

Mercedes-Benz Auto Lease Trust, Series 2019-B, Class A2, 2.010% Dec 15, 2021 93 93 .93

366 367

Collateral Mortgage Obligations — 1.0% Bank, Series 2017-BNK7, Class A5, Collateral

Mortgage Obligation, 3.435% Sep 15, 2060 . 1,000 1,028 1,091 Bank, Series 2018-BN12, Class A4, Collateral

Mortgage Obligation, 4.255% May 15, 2061 250 257 283

Citigroup Commercial Morgage Trust, Series 2017-C4, Class A4, 3.471% Oct 12, 2050 1,250 1,269 1,362

WFRBS Commercial Mortgage Trust 2013-C16, Series 144A, Senior, Unsecured, Notes, Callable, 5.013% Sep 15, 2046 500 501 400

3,055 3,136

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

Par Value (USD)

Cost (USD)

Fair Value (USD)

Mortgage-Backed Securities — 10.5% Fannie Mae, Pool #256805, Guaranteed

Mortgage Pass-Through Certificates, Floating Rate, 5.500% Jul 1, 2022 30 30 30

Fannie Mae, Pool #889735, Guaranteed Mortgage Pass-Through Certificates, 5.500% Jul 1, 2023 45 46 47

Fannie Mae, Pool #AI2499, Guaranteed Mortgage Pass-Through Certificates, 4.500% May 1, 2026 143 150 153

Fannie Mae, Pool #MA2018, Guaranteed Mortgage Pass-Through Certificates, 3.500% Sep 1, 2034 238 244 257

Fannie Mae, Pool #FM5497, Guaranteed Mortgage Pass-Through Certificates, 2.000% Dec 1, 2035 3,448 3,542 3,550

Fannie Mae, Pool #AT3053, Guaranteed Mortgage Pass-Through Certificates, 3.000% Apr 1, 2043 1,059 1,142 1,132

Fannie Mae, Pool #AS0039, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 331 324 351

Fannie Mae, Pool #AU1629, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 883 867 942

Fannie Mae, Pool #AX7336, Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2044..................................................... 720 723 759

Fannie Mae, Pool #AX7672, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jan 1, 2045 314 318 332

Fannie Mae, Pool #AS0331, Guaranteed Mortgage Pass-Through Certificates, 3.000% Feb 1, 2045 534 539 562

Fannie Mae, Pool #AY6104, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jun 1, 2045 348 346 367

Fannie Mae, Pool #AS8056, Guaranteed Mortgage Pass-Through Certificates, 3.000% Oct 1, 2046 1,215 1,249 1,278

Fannie Mae, Pool #MA2806, Guaranteed Mortgage Pass-Through Certificates, 3.000% Nov 1, 2046 641 644 677

Fannie Mae, Pool #BN5323, Guaranteed Mortgage Pass-Through Certificates, 3.500% Mar 1, 2049 478 481 504

Fannie Mae, Pool #MA3686, Guaranteed Mortgage Pass-Through Certificates, 3.500% Jun 1, 2049 627 637 662

Fannie Mae, Pool #MA3774, Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2049 1,007 1,026 1,049

Fannie Mae, Pool #MA3990, Guaranteed Mortgage Pass-Through Certificates, 2.500% Apr 1, 2050 1,169 1,172 1,200

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Par Value (USD)

Cost (USD)

Fair Value (USD)

Fannie Mae, Pool #MA4119, Guaranteed Mortgage Pass-Through Certificates, 2.000% Sep 1, 2050 2,344 2,426 2,342

Fannie Mae, Pool #MA4120, Guaranteed Mortgage Pass-Through Certificates, 2.500% Sep 1, 2050 1,354 1,425 1,391

Federal Home Loan Mortgage Corporation, Series 21-HQA1, Class M2, STACR REMIC Trust, 2.267% Aug 25, 2033..................................... .

Federal Home Loan Mortgage Corporation, Pool #SB8067, 15 Year Gold PC Giant Multilender, 1.500% Sep 1, 2035

2,150 2,150 2,126

2,674 2,728 2,687 Federal Home Loan Mortgage Corporation, Pool

#RA4524, 30 Year Gold PC, 1.500% Feb 1, 2051 1,993 2,011 1,927

Freddie Mac, Pool #G13867, 15 Year Multilender, Giant PC, Floating Rate, 5.000% Jun 1, 2025...................................................... 137 139 145

Freddie Mac, Series K-068, Class A2, Structured Pass-Through Certificates, 3.244% Aug 25, 2027 1,000 1,059 1,105

Freddie Mac, Pool #G08544, 30 Year Giant PC, 3.000% Sep 1, 2043 949 937 1,010

Freddie Mac, Pool #G08622, 30 Year Gold PC Giant Multilender, 3.000% Jan 1, 2045 561 571 591

Freddie Mac, Pool #G08635, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2045 488 493 514

Freddie Mac, Pool #G08666, 30 Year Gold PC Giant Multilender, 3.000% Sep 1, 2045 535 536 563

Freddie Mac, Pool #G08701, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2046 168 170 176

Freddie Mac, Pool #G08817, 30 Year Gold PC Giant Multilender, 4.000% Jun 1, 2048 399 405 427

Freddie Mac, Pool #SD8010, 30 Year PC Giant Multilender, 3.000% Sep 1, 2049 1,018 1,037 1,061

Ginnie Mae II, Pool #MA7106, Guaranteed Mortgage Pass-Through Certificate, 2.000% Jan 20, 2036 1,966 2,018 2,018

GS Mortgage Securities Trust 2020-GC45, Senior, Unsecured, Notes, Callable, 3.405% Feb 13, 2053 250 257 261

31,842 32,196

Total Bonds & Debentures — 41.2% 123,865 126,156

Fair Value (USD)

Number of Shar es or Units

Cost+

(USD)

EQUITIES Communication Services — 2.3% AT&T Inc. 25,261 903 765 Comcast Corporation, Class A 36,840 1,286 1,993Nexstar Media Group, Inc. 11,352 1,226 1,594Omnicom Group Inc. 7,203 450 534Verizon Communications Inc. 38,393 1,912 2,233

5,777.. 7,119

Number of Shares or Units

Cost+

(USD)

Fair Value (USD)

Consumer Discretionary — 2.9% Best Buy Co., Inc 14,231 1,053 1,634 Lowe's Companies, Inc. 11,979 1,155 2,278 Target Corporation 11,938 1,292 2,365 TJX Companies, Inc., The 7,213 483 477 Travel + Leisure Co. 29,619 1,311 1,811 V.F. Corporation 5,414 475 433

5,769 8,998

Consumer Staples — 1.6% PepsiCo, Inc. 5,232 544 740 Philip Morris International, Inc. 16,544 1,233 1,468

Procter & Gamble Company, The 6,551 819 887 Sysco Corporation 14,228 792 1,121 Walmart Inc. 6,009 467 816

3,855 5,032

Energy — 1.3% Chevron Corporation 7,712 768 808 ConocoPhillips 17,756 928 940 EOG Resources, Inc. 19,024 860 1,380 Marathon Petroleum Corporation 12,898 404 690

2,960 3,818

Financials — 5.1% Allstate Corporation, The 7,324 629 842 Ally Financial, Inc. 32,347 980 1,462 Ameriprise Financial, Inc. 5,509 802 1,281 Citigroup Inc. 36,996 2,240 2,691 Citizens Financial Group, Inc. 26,738 960 1,181 Discover Financial Services 6,477 360 615 Goldman Sachs Group, Inc., The 7,153 1,452 2,339 Hartford Financial Services Group, Inc., The 16,716 851 1,116 Lincoln National Corporation 8,872 457 552 Morgan Stanley 31,335 1,326 2,434 U.S. Bancorp 19,993 934 1,106

10,991 15,619

Health Care — 3.9% AbbVie Inc. 15,023 966 1,626 Bristol-Myers Squibb Company 20,336 1,146 1,284 CVS Health Corporation 16,210 1,230 1,219 Eli Lilly and Company 4,926 463 920 Johnson & Johnson 17,905 2,442 2,943 Medtronic Public Limited Company 13,756 1,472 1,625 Merck & Co., Inc. 22,156 1,566 1,708 Unitedhealth Group Incorporated 1,748 530 650

9,815 . 11,975

Industrials — 3.9% Carlisle Companies Incorporated 3,146 372 518 Caterpillar Inc. 5,998 850 1,391 Cummins Inc. 3,760 781 974 Eaton Corp. PLC 11,262 908 1,557 Hubbell Inc. 6,329 859 1,183

Number of Shar es or Units

Cost+

(USD)

Fair Value (USD)

Leidos Holdings, Inc. 6,674 599 642 Lockheed Martin Corporation 2,681 751 991 Northrop Grumman Corp. 2,187 715 708 Parker-Hannifin Corp. 4,380 800 1,382 Raytheon Technologies Corporation 10,051 532 777 Timken Co. 8,384 435 680 Waste Management, Inc. 8,328 936 1,074

8,538 11,877

Information Technology — 7.3% Amdocs Limited 10,549 689 740 Applied Materials, Inc. 6,525 332 872 Broadcom Inc. 5,755 1,613 2,668 CDW Corporation 3,520 399 583 Cisco Systems, Inc. 54,744 1,772 2,831 Intel Corporation 13,784 589 882 KLA-Tencor Corporation 4,099 396 1,354 Lam Research Corporation 1,343 284 799 Microsoft Corporation 14,545 891 3,429 Motorola Solutions, Inc. 9,224 1,242 1,735 Oracle Corporation 23,318 1,262 1,636 Qualcomm Incorporated 16,498 1,381 2,188 Seagate Technology PLC 7,280 380 559 Texas Instruments Incorporated 10,501 816 1,985

12,046 22,261

Materials — 1.7% CF Industries Holdings, Inc. 20,605 799 935 Huntsman Corporation 42,547 882 1,227 Newmont Corp. 17,157 1,066 1,034 PPG Industries, Inc. 7,203 779 1,082 Reliance Steel & Aluminum Co. 5,978 639 911

4,165 5,189

Real Estate — 9.3% Agree Realty Corporation 3,777 177 254 Alexander & Baldwin, Inc. 7,562 162 127 Alexander's, Inc. 328 110 91 Alexandria Real Estate Equities, Inc. 932 150 153

American Assets Trust, Inc. 13,459 595 437 American Homes 4 Rent, Class A 14,529 422 484 American Tower Corporation 8,244 1,618 1,971 Americold Realty Trust 12,560 452 483 Armada Hoffler Properties, Inc. 27,850 434 349 AvalonBay Communities, Inc. 436 83 81 Camden Property Trust 2,390 217 263 CareTrust REIT, Inc. 10,764 176 251 CoreSite Realty Corp. 4,017 489 481 Crown Castle International Corp. 11,780 1,746 2,028 CubeSmart 12,091 275 457 CyrusOne Inc. 6,963 436 472 Digital Realty Trust, Inc. 3,829 559 539 Douglas Emmett, Inc. 2,555 110 80 Duke Realty Corporation 14,873 451 624

Easterly Government Properties, Inc. 21,551 508 447 EastGroup Properties, Inc. 4,302 299 616

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

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Number of Shares or Units

Cost+

(USD)

Fair Value (USD)

Equinix, Inc. 2,299 1,544 1,562 Equity Commonwealth 17,484 575 486 Equity LifeStyle Properties, Inc. 8,440 212 537 Equity Residential .4,46 305 320 Essex Property Trust, Inc. 1,312 330 357 Extra Space Storage Inc. 2,087 183 277 First Industrial Realty Trust, Inc. 13,659 437 625 Four Corners Property Trust, Inc. 2,507 54 69 Gaming and Leisure Properties, Inc. 37,041 1,399.. 1,572 Healthcare Realty Trust, Inc. 3,323 103 101

Healthcare Trust of America, Inc., Class A 13,480 381 372 Highwoods Properties, Inc. 8,244 405 354 Kilroy Realty Corp. 1,250 89 82 Lamar Advertising Company, Class A 16,645 1,194 1,563 Lexington Realty Trust 28,741 305 319 Life Storage, Inc. 10,372 604 892 MGM China Holdings Limited, Class A 14,760 496 482 Mid-America Apartment Communities, Inc. 1,852 237 267 National Health Investors, Inc. 2,259 159 163 National Storage Affiliates Trust 6,806 186 272 Omega Healthcare Investors, Inc. 28,810 1,072 1,055 Piedmont Office Realty Trust, Inc. 23,975 557 416 Prologis, Inc. 18,048 1,627 1,913 PS Business Parks, Inc. 3,582 290 554 Public Storage 4,220 877 1,041 QTS Realty Trust, Inc. 2,565 145 159 SBA Communications Corporation 3,188 853 885 SITE Centers Corp. 7,237 103 98 Spirit Realty Capital, Inc. 2,752 139 117 STAG Industrial, Inc. 6,904 219 232 Sun Communities, Inc. 3,459 397 519 Terreno Realty Corporation 2,012 112 116

25,058 28,465

Utilities — 1.6% AES Corporation, The 66,674 833 1,788 Entergy Corporation 11,296 1,051 1,124 MDU Resources Group, Inc. 16,940 485 535 NRG Energy, Inc. 25,034 976 945 UGI Corp. 12,177 441 499

3,786 4,891

Total Equities — 40.9% 92,760 125,244

8

Number of

Units Cost+

(USD)

Fair Value (USD)

HOLDINGS IN INVESTMENT FUNDS U.S. Equity Funds — 12.2%

BMO Low Volatility US Equity ETF, Listed USD Units^ 477,200 13,726 15,539

BMO S&P 500 Index ETF, Listed USD Units^ 503,200 17,911 21,966 31,637 37,505

U.S. Fixed Income Fund — 3.1% BMO Short-Term US Treasury Bond Index ETF,

Listed USD Units^ 183,600 9,511 9,381

Total Holdings in Investment Funds — 15.3% 41,148 46,886

Total Investment Portfolio — 97.4% 257,773 298,286 Other Assets Less Liabilities — 2.6% 7,833

NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — 100.0% 306,119

BMO U.S. Dollar Monthly Income Fund(unaudited)

SCHEDULE OF INVESTMENT PORTFOLIO (cont'd) As at March 31, 2021 (All amounts in thousands of U.S. dollars, unless otherwise noted)

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... ......... + 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. ^ The fund is managed or sub-advised by the Manager.

BMO U.S. Dollar Monthly Income Fund(unaudited)

NOTES TO THE FINANCIAL STATEMENTS (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

1. The Fund BMO U.S. Dollar Monthly Income Fund [“the Fund”] is an open-ended investment fund established under the laws of the province of Ontario by Declaration of Trust. The Master Declaration of Trust was amended on October 23, 2008 and November 3, 2009 to permit certain Funds to offer a multi-series structure. In addition to the existing Series A Units, certain Funds are permitted to offer Series A Hedged Units, Advisor Series Units, Advisor Series Hedged Units, Series T4 Units, Series T5 Units, Series T6 Units, Series M Units, Series F Units, Series F Hedged Units, Series F2 Units, Series F4 Units, Series F6 Units, Series D Units, Series I Units, Series NBA Units, Series O Units, Series L Units, Series R Units, Series S Units and/or Classic Series Units. Each series is intended for different kinds of investors and has different management fees and fixed administration fees. Refer to Note 8 for the series issued in this Fund as well as the management and administration fee rates for each series.

BMO Investments Inc. (the “Manager”) is the Manager and Trustee of the Fund. The Manager is a wholly owned subsidiary of Bank of Montreal. The address of the Fund’s registered office is 100 King Street West, Toronto, Ontario, M5X 1A1.

The Statement of Financial Position and related notes for the Fund are as at March 31, 2021 and September 30, 2020, as applicable. The Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable Units, Statement of Cash Flows and related notes are for the period(s) ended March 31, 2021 and March 31, 2020, except for a Fund established during the period(s), which is presented from the date of inception (as noted in Note 8) to March 31 of the applicable period. Financial information provided for a series established during the period(s) is presented from the inception date as noted in Note 8 to March 31 of the applicable period.

These financial statements were authorized for issuance by the Board of Directors of the Manager on May 5, 2021.

These financial statements should be read in conjunction with the annual financial statements for the period ended September 30, 2020, which have been prepared in accordance with International Financial Reporting Standards (“IFRS”), as issued by the International Accounting Standards Board ("IASB").

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 IASB. The financial statements have been prepared on a historic cost basis, except for the revaluation of financial assets and financial liabilities (including derivative financial instruments) measured at fair value through profit or loss ("FVTPL"). Certain prior period balances may have been reclassified to conform with the current period presentation.

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 and in accordance with the Fund's investment strategy.

The Fund classifies and measures 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 Fund becomes a party to the contractual requirements of the instrument and is derecognized when the right to receive cash flows from the instrument has expired or the Fund has 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 at 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 Fund’s outstanding redeemable units, which are puttable instruments, are entitled to a contractual obligation of annual distribution of any net income and net realized capital gains by the Fund. This annual distribution can be in cash at the option of the unitholders, and therefore the ongoing redemption feature is not the redeemable units’ only contractual obligation. Also, the Fund has issued multiple series of redeemable units, which are equally subordinated but are not identical and consequently, do not meet the

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data)March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

conditions to be classified as equity. As a result, the Fund’s obligations for net assets attributable to holders of redeemable units (“Net Assets”) are classified as financial liabilities and presented at the redemption amounts.

Cost of investments The 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 reported separately in the Statement of Comprehensive Income. Realized gains and losses on disposition are determined based on the cost of the investments.

Fair value measurement Fair 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 Manager determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances.

Procedures are in place to fair value equities traded in countries outside of North America daily, to avoid stale prices and to take into account, among other things, any significant events occurring after the close of a foreign market.

For bonds, debentures, asset-backed securities and other debt securities, fair value is determined as the last traded market price or close price, or other such prices, that falls within the bid-ask spread of the security. Short-term investments, if any, are held at amortized cost, which approximates fair values due to their short-term nature.

Unlisted warrants, if any, are valued based on a pricing model which considers factors such as the market value of the underlying security, strike price and terms of the warrant.

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 Fund enters into To-Be-Announced securities ("TBA") to gain exposure to the underlying mortgage-backed securities ("MBS"), and may or may not take delivery at maturity. TBA securities are typically sold one to three months in advance of issuance, prior to the identification of the underlying pools of mortgage securities but with the interest payment provisions fixed in advance. The underlying pools of mortgage securities are identified shortly before settlement and must meet certain parameters. As such, the TBA securities do not have a known maturity date as of year-end. Losses may arise due to changes in the value of the underlying securities, failure of the counterparty to perform under the contract, or if the issuer fails to issue the MBS due to political, economic or other factors. TBA securities are fair valued based upon quotations from independent security pricing sources. Any gain or loss from selling the TBA security before the underlying MBS is delivered is recorded as "Net realized gain (loss)" and any unrealized gain or loss from changes in the fair value of the TBA security held is recorded as "Change in unrealized appreciation (depreciation)" in the Statement of Comprehensive Income.

The Fund may enter into investment loan commitments, of which all or a portion may be unfunded as of the reporting date. Unfunded loan commitments are contractual obligations for funding, which the Fund may be obligated to make to the borrower on demand. The funded portion of the loan commitment is shown on the Schedule of Investment Portfolio. Additional information on the Fund’s unfunded loan commitments, where applicable, is provided in Note 8.

Cash Cash 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.

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Other assets and other liabilities Other assets and other liabilities generally include receivables for investments sold, subscriptions receivable, interest receivable, dividend receivable, distribution receivable from investment trusts, payable for investments purchased, redemptions payable, distributions payable and accrued expenses. These financial assets and financial liabilities are short-term in nature and are measured at amortized cost, which approximates their fair value.

Investments in subsidiaries, joint ventures and associates Subsidiaries are entities over which the Fund has control through its exposure or rights to variable returns from its investment and has the ability to affect those returns through its power over the entity. The Manager has determined that the Fund is an investment entity and as such, it accounts for subsidiaries, if any, at fair value. Joint ventures are investments where the Fund exercises joint control through an agreement with other shareholders, and associates are investments in which the Fund exerts significant influence over operating, investing, and financing decisions (such as entities in which the Fund owns 20% - 50% of voting shares), all of which, if any, have been classified at FVTPL.

Unconsolidated structured entities The Manager has determined that the underlying funds in which the Fund 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 Fund. Similarly, investments in securitizations, asset-backed securities and MBS are determined to be interests in unconsolidated structured entities.

The Fund may 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 Fund does not provide and has not committed to providing any additional significant financial or other support to the unconsolidated structured entities other than its investment in the unconsolidated structured entities.

Additional information on the Fund’s interest in unconsolidated structured entities, where applicable, is provided in Note 8.

Offsetting of financial assets and financial liabilities Financial 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 related to transactions for which the Fund has legally enforceable rights to offset and intends to settle the positions on a net basis. Amounts not offset in the Statement of Financial Position relate to positions where there is no legally enforceable right to offset, or the legal right to offset is only in the event of default, insolvency or bankruptcy, or where the Fund has no intention to settle on a net basis. Refer to Note 8 for details.

Income recognition Dividend income and distributions received from investment trusts are recognized on the ex-dividend and ex-distribution date, respectively.

Interest income from interest bearing investments is recognized in the Statement of Comprehensive Income using the effective interest rate. Interest receivable shown in the Statement of Financial Position is accrued based on the interest bearing investments’ stated rates of interest.

Interest on inflation-indexed bonds is paid based on a principal value, which is adjusted for inflation. The inflation adjustment of the principal value is

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

recognized as part of interest income in the Statement of Comprehensive Income. If held to maturity, the Fund will receive, in addition to a coupon interest payment, a final payment equal to the sum of the par value and the inflation compensation accrued from the original issue date. Interest is accrued on each Valuation Date based on the inflation adjusted par value at that time and is included in “Interest income” in the Statement of Comprehensive Income.

Foreign currency translation The fair value of investments and other assets and liabilities in foreign currencies are translated into the Fund’s 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 and unrealized foreign exchange gains (losses) on investment transactions are included in “Net realized gain (loss)” and in "Change in unrealized appreciation (depreciation)" respectively, 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.

Securities lending A Fund may engage in securities lending pursuant to the terms of an agreement with State Street (the “securities lending agent”). The aggregate market value of all securities loaned by the Fund cannot exceed 50% of the NAV of the Fund. The Fund will receive collateral of at least 102% of the value of securities on loan. Collateral will generally be comprised of obligations of or guarantee by the Government of Canada or a province thereof, or by the United States government or its agencies, but it may include obligations of other governments with appropriate credit ratings. Further, the program entered into provides for 100% indemnification by the securities lending agent and parties related to the Fund’s custodian, to the Fund for any defaults by borrowers.

For those Funds participating in the program, aggregate values of securities on loan, the collateral held as at March 31, 2021 and September 30, 2020 and information about the security lending income earned by the Fund are disclosed in Note 8, where applicable.

Income from securities lending, where applicable, is included in the Statement of Comprehensive Income and is recognized when earned. The breakdown of the securities lending income is disclosed in Note 8, where applicable.

Short-term trading penalty To discourage excessive trading, the Fund may, at the Manager’s sole discretion, charge a short-term trading penalty. This penalty is paid directly to the Fund and is included in “Short-term penalty fees” in the Statement of Comprehensive Income.

Increase or decrease in net assets attributable to holders of redeemable units per unit “Increase (decrease) in net assets attributable to holders of redeemable units per unit” of a series in the Statement of Comprehensive Income represents the increase (decrease) in net assets attributable to holders of redeemable units of the series divided by the weighted average number of units of the series outstanding during the period. Refer to Note 8 for details.

Taxation The Fund qualifies as a unit trust under the provisions of the Income Tax Act (Canada). Distributions of all net taxable income and sufficient amounts of net realized capital gains for each taxation year will be paid to unitholders so that the Fund will not be subject to income tax. As a result, the Manager has determined that the Fund is in substance not taxable and therefore does not record income taxes in the Statement of Comprehensive Income nor does it recognize any deferred tax assets or liabilities in the Statement of Financial Position.

The Fund may incur withholding taxes imposed by certain countries on investment income and capital gains. Such income and capital gains are recorded on a gross basis with the related withholding taxes shown as a separate expense in the Statement of Comprehensive Income.

4. Critical accounting judgements and estimates The preparation of financial statements requires the use of judgement in applying the Fund's accounting policies and to make estimates and assumptions about the future. The following discusses the most significant accounting judgements and estimates that the Manager has made in preparing the Fund's financial statements.

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Accounting judgements: Functional and presentation currency The Fund’s unitholders are mainly Canadian residents, with the subscriptions and redemptions of the redeemable units denominated in U.S. dollars. The Fund invests in U.S. dollars and other foreign denominated securities, as applicable. The performance of the Fund is measured and reported to the investors in U.S. dollars. The Manager considers the U.S. dollar as the currency that most faithfully represents the economic effects of the underlying transactions, events and conditions. The financial statements are presented in U.S. dollars, which is the Fund's functional and presentation currency.

Classification and measurement of investment portfolio In classifying and measuring financial instruments held by the Fund, the Manager is required to make an assessment of the Fund's business model for managing financial instruments. In classifying and measuring financial instruments held by the Fund, the Manager is required to make significant judgements in determining the most appropriate classification in accordance with IFRS 9. The Manager has assessed the Fund’s 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 Fund’s investment portfolio. The collection of principal and interest is incidental to the fair value business model.

Accounting estimates: Fair value measurement of securities not quoted in an active market The Fund has established policies and control procedures that are intended to ensure these estimates are well controlled, independently reviewed, and consistently applied from period to period. The estimates of the value of the Fund’s assets and liabilities are believed to be appropriate as at the reporting date.

The Fund may hold financial instruments that are not quoted in active markets. Note 3 discusses the policies used by the Fund for the estimates used in determining fair value.

5. Units and unit transactions The redeemable units of the Fund are classified as financial liabilities. The units have no par value and are

entitled to distributions, if any. Upon redemption, a unit is entitled to a proportionate share of the Fund’s NAV. The Fund is required to pay distributions in an amount not less than the amount necessary to ensure the Fund will not be liable for income taxes on realized capital gains, dividends and interest. The Fund has no restrictions or specific capital requirements on the subscriptions and redemptions of units except as disclosed in Note 8. The relevant movements in redeemable units are shown in the Statement of Changes in Net Assets Attributable to Holders of Redeemable Units.

In accordance with its investment objectives and strategies, and the risk management practices outlined in Note 7, the Fund endeavours to invest the subscriptions received in appropriate investments, while maintaining sufficient liquidity to meet redemptions, with such liquidity being augmented by short-term borrowings or disposal of investments where necessary.

Redeemable units of the Fund are offered for sale on a continuous basis and may be purchased or redeemed on any Valuation Date at the NAV per unit of a particular series. The NAV per unit of a series for the purposes of subscription or redemption is computed by dividing the NAV of the Fund attributable to the series (that is, the total fair value of the assets attributable to the series less the liabilities attributable to the series) by the total number of units of the series of the Fund outstanding at such time on each Valuation Date, in accordance with Part 14 of National Instrument (“NI”) 81-106 Investment Fund Continuous Disclosure for the purpose of processing unitholder transactions. Net Assets are determined in accordance with IFRS and may differ to the Funds' NAV. Where the Fund's NAV is not equal to its Net Assets, a reconciliation is shown in Note 8.

Expenses directly attributable to a series are charged to that series. Other expenses, income, realized and unrealized gains and losses from investment transactions are allocated proportionately to each series based upon the relative NAV of each series.

6. Related party transactions (a) Management fees The Manager is responsible for the day-to-day management of the Fund and its investment portfolio in compliance with the Fund’s constating documents. The Manager provides key management personnel to the

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Fund, monitors and evaluates the performance of the Fund, pays for the investment management services of the investment advisors and provides all related administrative services required by the Fund. As compensation for its services the Manager is entitled to receive a fee payable monthly, calculated at the maximum annual rates included in Note 8.

(b) Fixed administration fees The Manager pays certain operating expenses of each Fund including audit and legal fees and expenses; custodian and transfer agency fees; costs attributable to the issue, redemption and change of securities, including the cost of the securityholder record keeping system; expenses incurred in respect of preparing and distributing prospectuses, financial reports and other types of reports, statements and communications to securityholders; fund accounting and valuation costs; filing fees, including those incurred by the Manager (collectively the “Administration Expenses”). In return, the Fund pays a fixed administration fee to the Manager. The fixed administration fee is calculated daily as a fixed annual percentage of the average NAV of the Fund. Refer to Note 8 for the fixed administration fee rates charged to the Fund, where applicable.

(c) Fund expenses The Fund also pays certain operating expenses directly ("Fund Expenses"), including expenses incurred in respect of preparing and distributing fund facts; interest or other borrowing expenses; all reasonable costs and expenses incurred in relation to compliance with NI 81-107, including compensation and expenses payable to Independent Review Committee ("IRC") members and any independent counsel or other advisors employed by the IRC, the costs of the orientation and continuing education of IRC members and the costs and expenses associated with IRC meetings; taxes of all kinds to which the Fund is or might be subject; and costs associated with compliance with any new governmental or regulatory requirement introduced after December 1, 2007.

The Manager may, in some years and in certain cases, absorb a portion of management fees, fixed administration fees or certain specified expenses of the Fund or series of the Fund. The decision to absorb these expenses is reviewed periodically and determined at the discretion of the Manager, without notice to unitholders.

(d) Variable administration fees The Variable Operating Expense Series pay all of its expenses directly. These operating expenses include Administration Expenses and Fund Expenses.

(e) Commissions and other portfolio transaction costs The Fund may execute trades with and through BMO Nesbitt Burns Inc., an affiliate of the Manager, based on established standard brokerage agreements at market prices. These fees are included in “Commissions and other portfolio transaction costs” in the Statement of Comprehensive Income. Refer to Note 8 for related party fees charged to the Fund during the period(s) ended March 31, 2021 and March 31, 2020, where applicable.

(f) Initial investments In order to establish a new Fund, the Manager, makes an initial investment in the Fund. Pursuant to the policies of the Canadian Securities Administrators, an initial investor cannot redeem its investments until an additional $500 has been received from other investors with respect to the same class of units. Refer to Note 8 for the investment in units of the Fund held by the Manager as at March 31, 2021 and September 30, 2020, where applicable.

(g) Other related party transactions From time to time, the Manager may on behalf of the Fund, enter into transactions or arrangements with or involving subsidiaries and affiliates of Bank of Montreal, or certain other persons or companies that are related or connected to the Manager of the Fund. These transactions or arrangements may include transactions or arrangements with or involving subsidiaries and affiliates of Bank of Montreal, BMO Investments Inc., BMO Nesbitt Burns Inc., BMO Asset Management Corp., BMO Private Investment Counsel Inc., BMO Asset Management Inc., BMO InvestorLine Inc., Pyrford International Limited, LGM Investments Limited, BMO Trust Company, BMO Asset Management Limited, BMO Global Asset Management (Asia) Limited, Taplin, Canida & Habacht LLC, BMO Capital Markets Corp., 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 Bank of Montreal, the purchase or sale of securities issued or guaranteed by

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

subsidiaries or affiliates of Bank of Montreal, the purchase or redemption of units or shares of other Bank of Montreal investment funds or the provision of services to the Manager.

7. Financial instruments risks The Fund’s activities expose it to a variety of risks associated with the financial instruments, as follows: market risk (including currency risk, interest rate risk and other market risk), credit risk and liquidity risk. The concentration table groups securities by asset type, geographic location and/or market segment. The Fund’s risk management practice outlines the monitoring of compliance to investment guidelines.

The Manager manages the potential effects of these financial risks on the Fund’s performance by employing and overseeing professional and experienced portfolio managers that regularly monitor the Fund’s positions, market events, and diversify investment portfolios within the constraints of the investment guidelines.

Where the Fund invests in other investment fund(s), it may be indirectly exposed to the financial risks 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 fund(s).

(a) Currency risk Currency risk is the risk that the fair value of financial instruments denominated in currencies, other than the functional currency of the Fund, 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 Fund’s functional currency in determining fair value. The Fund 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 Manager monitors the exposure on all foreign currency denominated assets and liabilities. The Fund’s exposure to currency risk, if any, is further disclosed in Note 8.

(b) Interest rate risk Interest rate risk is the risk that the fair value of the Fund's interest bearing investments will fluctuate due to changes in market interest rates. The Fund's 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. The Fund's exposure to interest rate risk, if any, is further discussed in Note 8.

(c) Other market risk Other 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. The Fund's exposure to other market risk, if any, is further discussed in Note 8.

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

The Fund may enter into securities lending transactions with approved counterparties. Credit risk associated with these transactions is considered minimal as all counterparties have a sufficient approved credit rating and the market value of collateral held by the Fund must be at least 102% of the fair value of securities loaned, as disclosed in Note 8, where applicable.

(e) Liquidity risk The Fund's exposure to liquidity risk is concentrated in the daily cash redemptions of units, and other liabilities. The Fund primarily invests in securities that

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

are traded in active markets and can be readily disposed. In addition, the Fund retains sufficient cash positions to maintain liquidity. The Fund 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 the NAV of the Fund is monitored by the Manager to ensure it does not exceed the regulatory limit and does not significantly affect the liquidity required to meet the Fund's financial obligations.

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

8. Fund specific information (a) Fund and Series information and change in units The Fund is authorized to issue an unlimited number of units in each of Series A Units, Advisor Series Units, Series T5 Units, Series T6 Units, Series F Units, Series D Units and Series R Units, which are redeemable at the unitholders’ option.

Series Inception Date Series A Units October 1, 2004 Advisor Series Units October 27, 2009 Series T5 Units October 27, 2009 Series T6 Units March 28, 2013 Series F Units October 27, 2009 Series D Units November 20, 2017 Series R Units March 8, 2013

Series A Units are offered on a no-load basis and are available to all investors.

Advisor Series Units are available to all investors through registered dealers.

Series T5 Units and Series T6 Units are suitable for investors holding these units outside of a registered plan. They are designed for investors who wish to receive a regular monthly distribution. The series will make monthly distributions based on 5% and 6%, respectively, of the NAV per unit of the Fund as determined on December 31 of the prior year.

Series F Units are available for purchase by investors who are enrolled in dealer-sponsored wrap programs or flat fee accounts. Instead of paying a commission on each transaction, these investors pay an annual fee to the Manager based on the value of their assets.

Series D Units are available to investors who have an account with a discount brokerage. A reduced trailing commission is paid to discount brokerages in respect to Series D Units which means a lower management fee can be charged.

Series R Units are only available for purchase in nonregistered accounts. Series R Units are suitable for investors who are comfortable with their distribution being comprised of up to 100% of return of capital.

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

For the periods ended (in thousands of units)

Mar. 31, 2021

Mar. 31, 2020

Series A Units Units issued and outstanding,

beginning of period 37,492 38,809 Issued 1,838 5,898 Issued on reinvestment of distributions 687 1,450 Redeemed during the period (4,776) (6,930) Units issued and outstanding,

end of period 35,241 39,227

Advisor Series Units Units issued and outstanding,

beginning of period 5,415 6,026 Issued 247 920 Issued on reinvestment of distributions 89 210 Redeemed during the period (701) (1,343) Units issued and outstanding,

end of period 5,050 5,813

Series T5 Units Units issued and outstanding,

beginning of period 692 631 Issued 2 228 Issued on reinvestment of distributions 6 10 Redeemed during the period (122) (121) Units issued and outstanding,

end of period 578 748

Series T6 Units Units issued and outstanding,

beginning of period 1,061 1,075 Issued 79 161 Issued on reinvestment of distributions 13 24 Redeemed during the period (147) (186) Units issued and outstanding,

end of period 1,006 1,074

Series F Units Units issued and outstanding,

beginning of period 3,777 3,829 Issued 393 1,185 Issued on reinvestment of distributions 54 118 Redeemed during the period (651) (932) Units issued and outstanding,

end of period 3,573 4,200

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

For the periods ended (in thousands of units)

Mar. 31, 2021

Mar. 31, 2020

Series D Units Units issued and outstanding,

beginning of period Issued

1,000 3

136 1,020

Issued on reinvestment of distributions 19 25 Redeemed during the period (77) (136) Units issued and outstanding,

end of period 945 1,045

Series R Units Units issued and outstanding,

beginning of period Issued

2,257 21

2,660 78

Issued on reinvestment of distributions 0 0 Redeemed during the period (265) (407) Units issued and outstanding,

end of period 2,013 2,331

(b) Reconciliation of NAV to Net Assets As at March 31, 2021 and September 30, 2020, there were no differences between the Fund’s NAV per unit and its Net Assets per unit calculated in accordance with IFRS.

(c) Increase (decrease) in net assets attributable to holders of redeemable units per unit The increase (decrease) in net assets attributable to holders of redeemable units per unit is calculated as follows:

For the periods ended Mar. 31,

2021 Mar. 31,

2020

Series A Units Increase (decrease) in net assets attributable

to holders of redeemable units 19,929 (33,847) Weighted average units outstanding during

the period (in thousands of units) 36,104 39,403 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 0.55 (0.86)

For the periods ended Mar. 31,

2021 Mar. 31,

2020

Advisor Series Units Increase (decrease) in net assets attributable

to holders of redeemable units 4,710 (8,120) Weighted average units outstanding during

the period (in thousands of units) 5,226 6,060 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 0.90 (1.34)

Series T5 Units Increase (decrease) in net assets attributable

to holders of redeemable units 512 (993) Weighted average units outstanding during

the period (in thousands of units) 602 715 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 0.85 (1.39)

Series T6 Units Increase (decrease) in net assets attributable

to holders of redeemable units 789 (1,272) Weighted average units outstanding during

the period (in thousands of units) 1,012 1,081 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 0.78 (1.18)

Series F Units Increase (decrease) in net assets attributable

to holders of redeemable units 4,392 (7,184) Weighted average units outstanding during

the period (in thousands of units) 3,629 4,164 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 1.21 (1.73)

Series D Units Increase (decrease) in net assets attributable

to holders of redeemable units 1,021 (1,603) Weighted average units outstanding during

the period (in thousands of units) 971 990 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 1.05 (1.62)

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

For the periods ended Mar. 31,

2021 Mar. 31,

2020

Series R Units Increase (decrease) in net assets attributable

to holders of redeemable units 692 (1,194) Weighted average units outstanding during

the period (in thousands of units) 2,175 2,510 Increase (decrease) in net assets attributable

to holders of redeemable units per unit 0.32 (0.48)

(d) Income taxes The Fund prepares its financial statements in U.S. dollars but is taxable on its income and net realized capital gains on a Canadian dollar basis. The Fund will realize net foreign currency gains and losses on the translation of its net realized capital gains to Canadian dollars for tax purposes.

The Fund did not have any available capital and non-capital losses carried forward for income tax purposes as of the tax year-ended December 15, 2020.

(e) Related party transactions Management fees and administration fees The Manager is entitled to receive the following fees payable monthly, calculated at the following maximum annual rates:

Series

ManagementFees (%)

Fixed Administration

Fees (%) Series A Units 1.850 0.200 Advisor Series Units 1.850 0.200 Series T5 Units 1.850 0.200 Series T6 Units 1.850 0.200 Series F Units 0.500 0.200 Series D Units 1.100 0.200 Series R Units 1.850 0.200

The outstanding accrued management fees due to the Manager are included in “Accrued expenses” in the Statement of Financial Position and as at March 31, 2021 amounted to $463 (September 30, 2020 — $42).

The outstanding accrued fixed administration fees due to the Manager are included in “Accrued expenses” in the Statement of Financial Position and as at March 31, 2021 amounted to $57 (September 30, 2020 — $5).

Brokerage commissions and soft dollars Brokerage commissions paid (excluding transaction costs) on security transactions and amounts paid to related parties of the Manager for brokerage services provided to the Fund for the periods are as follows:

For the periods ended Mar. 31, 2021

($) Mar. 31, 2020

($) Total brokerage amounts paid 25 36 Total brokerage amounts paid to

related parties 0 —

There were no ascertainable soft dollars paid or payable to dealers by the Fund during the periods.

Units held by the Manager There were no units held by the Manager as at March 31, 2021 and September 30, 2020.

(f) Financial instruments risks The Fund’s objective is to provide a fixed monthly distribution by investing primarily in U.S. equities and U.S. fixed income securities.

No changes affecting the overall level of risk of investing in the Fund were made during the period.

Currency risk As at March 31, 2021 and September 30, 2020, the Fund may have been indirectly exposed to currency risk, to the extent that the underlying funds invested in financial instruments that were denominated in a currency other than the functional currency of the Fund.

Interest rate risk The Fund’s exposure to interest rate risk, by remaining term to maturity, is summarized in the following table:

Number of years

Interest Rate Exposure as at Mar. 31, 2021

Interest Rate Exposure as at Sep. 30, 2020

Less than one year 1,853 1,829 One to three years 9,722 15,306 Three to five years 23,867 20,630 Five to ten years 37,166 36,462 Greater than ten years 53,548 54,426 Total 126,156 128,653

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

As at March 31, 2021 and September 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 $7,932 (September 30, 2020 — $7,916). 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.

As at March 31, 2021 and September 30, 2020, the Fund may have been indirectly exposed to interest rate risk, to the extent that the underlying funds invested in interest-bearing financial instruments.

Other market risk The Fund has a significant direct exposure to other market risk arising from its investments and significant indirect exposure to other market risk from its investment in the underlying funds. Using historical correlation between the Fund's return and the return of its benchmark, if the benchmark, composed of 50% S&P 500 Total Return Index (US$) and 50% Bloomberg Barclays U.S. Aggregate Bond Index (US$), 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 $34,236 (September 30, 2020 — $33,393). Historical correlation may not be representative of future correlation, and accordingly, actual results may differ and the difference could be material.

Credit risk The Fund’s exposure to credit risk, grouped by credit ratings, is summarized in the following table:

As a % of Net Assets as at

Credit Rating Mar. 31,

2021 Sep. 30,

2020 AAA 17.6 21.4 AA 0.7 0.6 A 4.0 3.2 BBB 7.0 7.5 BB 5.9 5.3 B 5 .5 4.1 CCC 0.4 0.4 Below CCC 0.1 0.2 Total 41.2 42.7

As at March 31, 2021 and September 30, 2020, the Fund may have been indirectly exposed to credit risk, to the extent that the underlying funds invested in debt instruments, preferred securities and derivatives.

Securities lending The Fund had assets involved in securities lending transactions outstanding as at March 31, 2021 and September 30, 2020 as follows:

Aggregate Value of Securities on Loan

($)

Aggregate Value of Collateral Received for the Loan

($)

Mar. 31, 2021 5,504 5,980 Sep. 30, 2020 10,723 11,676

The table below is a reconciliation of the gross amount generated from securities lending transactions to the security lending revenue for the periods ended March 31, 2021 and March 31, 2020:

For the periods ended Mar. 31, 2021

Mar. 31, 2020

Amount

% of GrossSecurities Lending Revenue Amount

% of Gross Securities Lending Revenue

Gross securities lending revenue 7 100.0 6 100.0

Withholding taxes — — — —

7 100.0 6 100.0 Payment to securities

lending agents 2 24.9 2 30.5 Net securities lending

revenue 5 75.1 4 69.5

Concentration risk The Fund's concentration risk, directly and through its investment in the underlying funds, is summarized in the following table:

As at Mar. 31,

2021 Sep. 30,

2020

Bonds & Debentures Government Bonds 7.5% 8.8% Corporate Bonds & Debentures 22.1% 21.1% Asset-Backed Securities 0.1% 0.8% Collateral Mortgage Obligations 1.0% 1.3%

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

As at Mar. 31,

2021 Sep. 30,

2020 Mortgage-Backed Securities 10.5% 10.7%

Equities Communication Services 2.3% 2.4% Consumer Discretionary 2.9% 2.7% Consumer Staples 1.6% 2.5% Energy 1.3% 0.9% Financials 5.1% 3.9% Health Care 3.9% 4.8% Industrials 3.9% 3.4% Information Technology 7.3% 8.1% Materials 1.7% 1.2% Real Estate 9.3% 10.6% Utilities 1.6% 1.8% Holdings in Investment Funds U.S. Equity Funds 12.2% 9.4% U.S. Fixed Income Fund 3.1% 2.5%

Other Assets Less Liabilities 2.6% 3.1% 100.0% 100.0%

(g) 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 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 Manager's determination of assumptions that market participants might reasonably use in valuing the securities. The tables below show the relevant disclosure.

As at Mar. 31, 2021 Financial assets Level 1 Level 2 Level 3 Total

Debt Securities 30,664 95,492 — 126,156 Equity Securities 125,244 — — 125,244

Investment Funds 46,886 — — 46,886

Total 202,794 95,492 — 298,286

As at Sep. 30, 2020 Financial assets Level 1 Level 2 Level 3 Total

Debt Securities 30,275 98,378 — 128,653 Equity Securities 127,557 — — 127,557 Investment Funds 35,928 — — 35,928

Total 193,760 98,378 — 292,138

Transfers between levels Transfers are made between the various fair value hierarchy levels due to changes in the availability of quoted market prices or observable inputs due to changing market conditions.

During the period from October 1, 2020 to March 31, 2021, $880 of debt securities were transferred from Level 1 to Level 2 due to reduced observability of the inputs used to value these securities.

During the period from October 1, 2019 to September 30, 2020, $1,733 of debt securities were transferred from Level 2 to Level 1 due to increased availability of quoted prices in the active market.

(h) Unconsolidated structured entities Information on the carrying amount and the size of the investments in structured entities are shown in the following tables:

As at Mar. 31, 2021

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets Securities

BMO Low Volatility US Equity ETF, Listed USD Units 15,539 1.2

BMO S&P 500 Index ETF, Listed USD Units 21,966 0.3

BMO Short-Term US Treasury Bond Index ETF, Listed USD Units 9,381 15.9

Bank, Series 2017-BNK7, Class A5, Collateral Mortgage Obligation, 3.435% Sep 15, 2060 1,091 —

Bank, Series 2018-BN12, Class A4, Collateral Mortgage Obligation, 4.255% May 15, 2061 283 —

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets As at Mar. 31, 2021

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets As at Mar. 31, 2021

CarMax Auto Owner Trust, Series 2018-1, Class A3, Asset-Backed Securities, 2.480% Nov 15, 2022 274 —

Citigroup Commercial Morgage Trust, Series 2017-C4, Class A4, 3.471% Oct 12, 2050 1,362 —

Fannie Mae, Pool #256805, Guaranteed Mortgage Pass-Through Certificates, Floating Rate, 5.500% Jul 1, 2022 30 —

Fannie Mae, Pool #889735, Guaranteed Mortgage Pass-Through Certificates, 5.500% Jul 1, 2023 47 —

Fannie Mae, Pool #AI2499, Guaranteed Mortgage Pass-Through Certificates, 4.500% May 1, 2026 153 —

Fannie Mae, Pool #MA2018, Guaranteed Mortgage Pass-Through Certificates, 3.500% Sep 1, 2034 257 —

Fannie Mae, Pool #FM5497, Guaranteed Mortgage Pass-Through Certificates, 2.000% Dec 1, 2035 3,550 —

Fannie Mae, Pool #AT3053, Guaranteed Mortgage Pass-Through Certificates, 3.000% Apr 1, 2043 1,132 —

Fannie Mae, Pool #AS0039, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 351 —

Fannie Mae, Pool #AU1629, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 942 —

Fannie Mae, Pool #AX7336, Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2044 759 —

Fannie Mae, Pool #AX7672, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jan 1, 2045 332 —

Fannie Mae, Pool #AS0331, Guaranteed Mortgage Pass-Through Certificates, 3.000% Feb 1, 2045 562 —

Fannie Mae, Pool #AY6104, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jun 1, 2045 367 —

Fannie Mae, Pool #AS8056, Guaranteed Mortgage Pass-Through Certificates, 3.000% Oct 1, 2046 1,278 —

Fannie Mae, Pool #MA2806, Guaranteed Mortgage Pass-Through Certificates, 3.000% Nov 1, 2046 677 —

Fannie Mae, Pool #BN5323, Guaranteed Mortgage Pass-Through Certificates, 3.500% Mar 1, 2049 504 —

Fannie Mae, Pool #MA3686, Guaranteed Mortgage Pass-Through Certificates, 3.500% Jun 1, 2049 662 —

Fannie Mae, Pool #MA3774, Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2049 1,049 —

Fannie Mae, Pool #MA3990, Guaranteed Mortgage Pass-Through Certificates, 2.500% Apr 1, 2050 1,200 —

Fannie Mae, Pool #MA4119, Guaranteed Mortgage Pass-Through Certificates, 2.000% Sep 1, 2050 2,342 —

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Carrying Carrying amount as a amount % of the underlying

As at Mar. 31, 2021 ($) fund's Net Assets

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Carrying amount

($)

Carrying amount as a% of the underlying

fund's Net AssetsAs at Mar. 31, 2021

Fannie Mae, Pool #MA4120, Guaranteed Mortgage Pass-Through Certificates, 2.500% Sep 1, 2050 1,391 —

Federal Home Loan Mortgage Corporation, Series 21-HQA1, Class M2, STACR REMIC Trust, 2.267% Aug 25, 2033 2,126 —

Federal Home Loan Mortgage Corporation, Pool #SB8067, 15 Year Gold PC Giant Multilender, 1.500% Sep 1, 2035 2,687 —

Federal Home Loan Mortgage Corporation, Pool #RA4524, 30 Year Gold PC, 1.500% Feb 1, 2051 1,927 —

Freddie Mac, Pool #G13867, 15 Year Multilender, Giant PC, Floating Rate, 5.000% Jun 1, 2025 145 —

Freddie Mac, Series K-068, Class A2, Structured Pass-Through Certificates, 3.244% Aug 25, 2027 1,105 —

Freddie Mac, Pool #G08544, 30 Year Giant PC, 3.000% Sep 1, 2043 1,010 —

Freddie Mac, Pool #G08622, 30 Year Gold PC Giant Multilender, 3.000% Jan 1, 2045 591 —

Freddie Mac, Pool #G08635, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2045 514 —

Freddie Mac, Pool #G08666, 30 Year Gold PC Giant Multilender, 3.000% Sep 1, 2045 563 —

Freddie Mac, Pool #G08701, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2046 176 —

Freddie Mac, Pool #G08817, 30 Year Gold PC Giant Multilender, 4.000% Jun 1, 2048 427 —

Freddie Mac, Pool #SD8010, 30 Year PC Giant Multilender, 3.000% Sep 1, 2049 1,061 —

Ginnie Mae II, Pool #MA7106, Guaranteed Mortgage Pass-Through Certificate, 2.000% Jan 20, 2036 2,018 —

GS Mortgage Securities Trust 2020-GC45, Senior, Unsecured, Notes, Callable, 3.405% Feb 13, 2053 261 —

Mercedes-Benz Auto Lease Trust, Series 2019-B, Class A2, 2.010% Dec 15, 2021 93 —

WFRBS Commercial Mortgage Trust 2013-C16, Series 144A, Senior, Unsecured, Notes, Callable, 5.013% Sep 15, 2046 400 —

Total 82,585

As at Sep. 30, 2020

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets Securities BMO Long-Term US Treasury Bond

Index ETF, Listed USD Units 7,587 2.9

BMO Low Volatility US Equity ETF, Listed USD Units 14,045 0.9

BMO S&P 500 Index ETF, Listed USD Units 14,296 0.1

Bank, Series 2017-BNK7, Class A5, Collateral Mortgage Obligation, 3.435% Sep 15, 2060 1,134 —

Bank, Series 2018-BN12, Class A4, Collateral Mortgage Obligation, 4.255% May 15, 2061 296 —

CarMax Auto Owner Trust, Series 2018-1, Class A3, Asset-Backed Securities, 2.480% Nov 15, 2022 626 —

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

As at Sep. 30, 2020 As at Sep. 30, 2020

BMO U.S. Dollar Monthly Income Fund(unaudited)

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets

Carrying amount

($)

Carrying amount as a % of the underlying

fund's Net Assets

Citigroup Commercial Morgage Trust, Series 2017-C4, Class A4, 3.471% Oct 12, 2050 1,417 —

Discover Card Execution Notes Trust, Series 2018-A5, Class A5, Asset-Backed Securities, 3.320% Mar 15, 2024 1,030 —

Fannie Mae, Pool #AE0315, Guaranteed Mortgage Pass-Through Certificates, 4.500% Feb 1, 2021 0 —

Fannie Mae, Pool #256805, Guaranteed Mortgage Pass-Through Certificates, Floating Rate, 5.500% Jul 1, 2022 46 —

Fannie Mae, Pool #889735, Guaranteed Mortgage Pass-Through Certificates, 5.500% Jul 1, 2023 66 —

Fannie Mae, Pool #AI2499, Guaranteed Mortgage Pass-Through Certificates, 4.500% May 1, 2026 199 —

Fannie Mae, Pool #MA2018, Guaranteed Mortgage Pass-Through Certificates, 3.500% Sep 1, 2034 302 —

Fannie Mae, Pool #AT3053, Guaranteed Mortgage Pass-Through Certificates, 3.000% Apr 1, 2043 1,387 —

Fannie Mae, Pool #AS0039, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 456 —

Fannie Mae, Pool #AU1629, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jul 1, 2043 1,193 —

Fannie Mae, Pool #AS0331, Guaranteed Mortgage Pass-Through Certificates, 3.000% Aug 1, 2043 1,491 —

Fannie Mae, Pool #AX7336, Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2044 1,049 —

Fannie Mae, Pool #AX7672, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jan 1, 2045 417 —

Fannie Mae, Pool #AS0331, Guaranteed Mortgage Pass-Through Certificates, 3.000% Feb 1, 2045 787 —

Fannie Mae, Pool #AY6104, Guaranteed Mortgage Pass-Through Certificates, 3.000% Jun 1, 2045 480 —

Fannie Mae, Pool #AS8056, Guaranteed Mortgage Pass-Through Certificates, 3.000% Oct 1, 2046 1,808 —

Fannie Mae, Pool #MA2806, Guaranteed Mortgage Pass-Through Certificates, 3.000% Nov 1, 2046 931 —

Fannie Mae, Pool #BN5323, Guaranteed Mortgage Pass-Through Certificates, 3.500% Mar 1, 2049 735 —

Fannie Mae, Pool #MA3686, Guaranteed Mortgage Pass-Through Certificates, 3.500% Jun 1, 2049 1,045 —

Fannie Mae, Pool #MA3774,Guaranteed Mortgage Pass-Through Certificates, 3.000% Sep 1, 2049

1,726 —

Fannie Mae, Pool #MA3990, Guaranteed Mortgage Pass-Through Certificates, 2.500% Apr 1, 2050 1,935 —

Carrying Carrying amount as a amount % of the underlying

As at Sep. 30, 2020 ($) fund's Net Assets

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

Carrying Carrying amount as a amount % of the underlying

As at Sep. 30, 2020 ($) fund's Net Assets

Fannie Mae, Pool #BP6498, Guaranteed Mortgage Pass-Through Certificates, 2.000% Jul 1, 2050 3,062 —

Fannie Mae, Pool #MA4119, Guaranteed Mortgage Pass-Through Certificates, 2.000% Sep 1, 2050 2,578 —

Fannie Mae, Pool #MA4120, Guaranteed Mortgage Pass-Through Certificates, 2.500% Sep 1, 2050 1,569 —

Ford Credit Auto Owner Trust, Series 17-C, Class A3, Asset-Backed Securities, 2.010% Mar 15, 2022 49 —

Freddie Mac, Pool #G13867, 15 Year Multilender, Giant PC, Floating Rate, 5.000% Jun 1, 2025 165 —

Freddie Mac, Series K-067, Class A2, Structured Pass-Through Certificates, 3.194% Jul 25, 2027 1,140 —

Freddie Mac, Series K-068, Class A2, Structured Pass-Through Certificates, 3.244% Aug 25, 2027 1,150 —

Freddie Mac, Series K-077, Class A2, Structured Pass-Through Certificates, 3.850% May 25, 2028 894 —

Freddie Mac, Pool #G08544, 30 Year Giant PC, 3.000% Sep 1, 2043 1,221 —

Freddie Mac, Pool #G08622, 30 Year Gold PC Giant Multilender, 3.000% Jan 1, 2045 839 —

Freddie Mac, Pool #G08635, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2045 725 —

Freddie Mac, Pool #G08666, 30 Year Gold PC Giant Multilender, 3.000% Sep 1, 2045 786 —

Freddie Mac, Pool #G08701, 30 Year Gold PC Giant Multilender, 3.000% Apr 1, 2046 256 —

Freddie Mac, Pool #G08817, 30 Year Gold PC Giant Multilender, 4.000% Jun 1, 2048 654 —

Freddie Mac, Pool #SD8010, 30 Year PC Giant Multilender, 3.000% Sep 1, 2049 1,738 —

GS Mortgage Securities Trust 2020-GC45, Senior, Unsecured, Notes, Callable, 3.405% Feb 13, 2053 266 —

Mercedes-Benz Auto Lease Trust, Series 2019-B, Class A2, 2.010% Dec 15, 2021 575 —

WFRBS Commercial Mortgage Trust 2013-C16, Series 144A, Senior, Unsecured, Notes, Callable, 5.188% Sep 15, 2046 296 —

Total 74,447

The carrying value of mortgage related and other asset-backed securities are included in “Investments – Non-derivative financial assets” in the Statement of Financial Position. This amount also represents the maximum exposure to losses at that date.

The change in fair value of mortgage related and other asset-backed securities are included in the Statement of Comprehensive Income in “Change in unrealized appreciation (depreciation)”.

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

NOTES TO THE FINANCIAL STATEMENTS (cont'd) (All amounts in thousands of U.S. dollars, except per unit data) March 31, 2021

BMO U.S. Dollar Monthly Income Fund(unaudited)

fundamental changes in the business world with significant impacts on operations and world markets. The impacts on operations includes changes in work environments, inherent controls risk and cyber-risks; while the main impacts on investments includes increase in market risks, market volatility and liquidity risk, with its impacts on valuations.

Management has implemented and will continue to review the situation with a view to implementing, additional controls and procedures to adequately address the risks and reduce the impacts of COVID-19 on the Fund, to the extent possible.

10. Subsequent event On April 12, 2021, BMO Financial Group announced that it had reached a definitive agreement to sell the entities that represent its EMEA Asset Management business to Ameriprise Financial, Inc. The transaction is expected to close in the fourth quarter of 2021, subject to regulatory approval and other customary closing conditions. After the transaction has closed, Pyrford International Limited, LGM Investments Limited, BMO Global Asset Management (Asia) Limited and BMO Asset Management Limited will no longer be subsidiaries or affiliates of Bank of Montreal or related or connected to the Manager. Separately, in the U.S. the transaction includes the transfer to Columbia Threadneedle Investments (“CTI”), Ameriprise Financial’s global asset management business, of certain asset management clients of BMO Asset Management Corp. or Taplin, Canida and Habacht (together, “BMO GAM U.S.”), subject to client consent. An evaluation is currently underway between BMO GAM U.S. and CTI in relation to the Fund’s sub-advisory arrangements with BMO GAM U.S.

BMO Investments Inc. First Canadian Place, 43rd Floor 100 King Street West Toronto, Ontario M5X 1A1

Independent Auditor PricewaterhouseCoopers LLP PwC Tower 18 York Street, Suite 2600 Toronto, Ontario M5J 0B2

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

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

• If you purchased BMO Mutual Funds through a BMO Bank of Montreal branch or BMO Online Banking, please call 1-800-665-7700. • If you purchased BMO Mutual Funds through a full-service or discount broker, please call 1-800-668-7327 or email clientservices.mutualfunds@bmo.com.

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