Bmo Funds N-CSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

            Milwaukee, WI 53202                    

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

Registrant’s telephone number, including area code: (800) 236-3863

Date of fiscal year end: August 31

Date of reporting period: February 29, 2016

Item 1. Reports to Stockholders.

BMO Funds February 29, 2016

Semi-Annual

report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
BMO Low Volatility Equity Fund	5	BMO Alternative Strategies Fund	30
BMO Dividend Income Fund	6	BMO Global Long/Short Equity Fund	37
BMO Large-Cap Value Fund	8	BMO Ultra Short Tax-Free Fund	40
BMO Large-Cap Growth Fund	10	BMO Short Tax-Free Fund	43
BMO Mid-Cap Value Fund	12	BMO Short-Term Income Fund	46
BMO Mid-Cap Growth Fund	13	BMO Intermediate Tax-Free Fund	51
BMO Small-Cap Value Fund	16	BMO Mortgage Income Fund	56
BMO Small-Cap Core Fund	17	BMO TCH Intermediate Income Fund	57
BMO Small-Cap Growth Fund	20	BMO TCH Corporate Income Fund	59
BMO Global Low Volatility Equity Fund	22	BMO TCH Core Plus Bond Fund	62
BMO Disciplined International Equity Fund	24	BMO Monegy High Yield Bond Fund	65
BMO Pyrford International Stock Fund	26	BMO Government Money Market Fund	70
BMO LGM Emerging Markets Equity Fund	27	BMO Tax-Free Money Market Fund	71
BMO TCH Emerging Markets Bond Fund	29	BMO Prime Money Market Fund	74
Notes to Schedules of Investments			77
Statements of Assets and Liabilities			78
Statements of Operations			85
Statements of Changes in Net Assets			92
Financial Highlights			100
Notes to Financial Statements			113
Shareholder Report Disclosure of Directors’ Approval of Advisory Contracts			141

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example

For the Six Months Ended February 29, 2016

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 29, 2016 (9/1/15-2/29/16).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

	Investor									Advisor									Institutional
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
Low Volatility Equity Fund
Actual										$	1,000.00	$	1,022.40		0.90	%	$	4.51	$	1,000.00	$	1,023.30		0.65	%	$	3.26
Hypothetical (5% return before expenses)											1,000.00		1,020.50		0.90			4.52		1,000.00		1,021.80		0.65			3.27
Dividend Income Fund
Actual											1,000.00		990.20		0.90			4.46		1,000.00		991.50		0.65			3.22
Hypothetical (5% return before expenses)											1,000.00		1,022.40		0.90			4.51		1,000.00		1,021.80		0.65			3.27
Large-Cap Value Fund
Actual	$	1,000.00	$	946.10		1.14	%	$	5.49		1,000.00		946.10		1.14			5.49		1,000.00		946.60		0.89			4.28
Hypothetical (5% return before expenses)		1,000.00		1,019.40		1.14			5.67		1,000.00		1,019.40		1.14			5.72		1,000.00		1,020.60		0.89			4.42
Large-Cap Growth Fund
Actual		1,000.00		988.80		1.14			5.64		1,000.00		988.80		1.14			5.61		1,000.00		990.20		0.89			4.39
Hypothetical (5% return before expenses)		1,000.00		1,019.30		1.14			5.72		1,000.00		1,019.40		1.14			5.72		1,000.00		1,020.60		0.89			4.47
Mid-Cap Value Fund
Actual		1,000.00		1,000.00		1.23			6.11		1,000.00		914.00		1.23			5.85		1,000.00		914.80		0.98			4.66
Hypothetical (5% return before expenses)		1,000.00		1,018.90		1.23			6.17		1,000.00		1,018.90		1.23			6.17		1,000.00		1,020.10		0.98			4.92
Mid-Cap Growth Fund
Actual		1,000.00		835.80		1.24			5.67		1,000.00		835.80		1.24			5.67		1,000.00		836.90		0.99			4.53
Hypothetical (5% return before expenses)		1,000.00		1,018.80		1.24			6.22		1,000.00		1,018.80		1.24			6.22		1,000.00		1,020.10		0.99			4.97

2

Expense Example (continued)

	Investor									Advisor										Institutional
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)			Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
Small-Cap Value Fund
Actual										$	1,000.00	$	916.80		1.24	%	$	5.92		$	1,000.00	$	918.70		0.99	%	$	4.73
Hypothetical (5% return before expenses)											1,000.00		1,018.80		1.24			6.22			1,000.00		1,020.10		0.99			4.97
Small-Cap Core Fund
Actual											1,000.00		972.60		1.15			5.62			1,000.00		974.10		0.90			4.40
Hypothetical (5% return before expenses)											1,000.00		1,019.30		1.15			5.77			1,000.00		1,020.50		0.90			4.52
Small-Cap Growth Fund
Actual	$	1,000.00	$	803.20		1.42	%	$	6.37												1,000.00		803.50		1.17			5.25
Hypothetical (5% return before expenses)		1,000.00		1,017.90		1.42			7.12												1,000.00		1,019.20		1.17			5.87
Global Low Volatility Equity Fund
Actual											1,000.00		998.40		1.10			5.47			1,000.00		999.90		0.85			4.23
Hypothetical (5% return before expenses)											1,000.00		1,019.50		1.10			5.52			1,000.00		1,020.80		0.85			4.27
Disciplined International Equity Fund
Actual											1,000.00		900.00		1.15	(2)		4.93	(2)		1,000.00		900.00		0.90	(2)		3.85	(2)
Hypothetical (5% return before expenses)											1,000.00		1,019.28		1.15	(3)		5.77	(3)		1,000.00		1,020.52		0.90	(3)		4.52	(3)
Pyrford International Stock Fund
Actual		1,000.00		959.50		1.24			6.05		1,000.00		959.50		1.24			6.05			1,000.00		961.30		0.99			4.84
Hypothetical (5% return before expenses)		1,000.00		1,018.80		1.24			6.22		1,000.00		1,018.80		1.24			6.22			1,000.00		1,020.10		0.99			4.97
LGM Emerging Markets Equity Fund
Actual											1,000.00		964.00		1.40			6.86			1,000.00		964.90		1.15			5.64
Hypothetical (5% return before expenses)											1,000.00		1,018.00		1.40			7.02			1,000.00		1,019.30		1.15			5.77
TCH Emerging Markets Bond Fund
Actual											1,000.00		958.70		1.00			4.87			1,000.00		960.30		0.85			4.14
Hypothetical (5% return before expenses)											1,000.00		1,020.00		1.00			5.02			1,000.00		1,020.80		0.85			4.27
Alternative Strategies Fund
Actual											1,000.00		962.90		3.08			15.03			1,000.00		963.70		2.83			13.82
Hypothetical (5% return before expenses)											1,000.00		1,009.70		3.08			15.39			1,000.00		1,010.90		2.83			14.15
Global Long/Short Equity Fund
Actual											1,000.00		1,005.00		2.24	(2)		10.10	(2)		1,000.00		1,006.00		1.99	(2)		8.98	(2)
Hypothetical (5% return before expenses)											1,000.00		1,013.88		2.24	(3)		11.19	(3)		1,000.00		1,016.05		1.99	(3)		9.95	(3)
Ultra Short Tax-Free Fund
Actual		1,000.00		1,002.60		0.55			2.74		1,000.00		1,002.60		0.55			2.75			1,000.00		1,002.80		0.30			1.50
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.77		1,000.00		1,022.30		0.55			2.77			1,000.00		1,023.50		0.30			1.51
Short Tax-Free Fund
Actual		1,000.00		1,010.80		0.55			2.75		1,000.00		1,010.80		0.55			2.74			1,000.00		1,011.60		0.40			2.00
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.77		1,000.00		1,022.30		0.55			2.77			1,000.00		1,023.00		0.40			2.01
Short-Term Income Fund
Actual		1,000.00		1,005.10		0.60			2.99		1,000.00		1,005.10		0.60			2.97			1,000.00		1,006.40		0.35			1.75
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.60			3.02		1,000.00		1,022.00		0.60			3.02			1,000.00		1,023.30		0.35			1.76
Intermediate Tax-Free Fund
Actual		1,000.00		1,028.60		0.55			2.77		1,000.00		1,028.60		0.55			2.77			1,000.00		1,029.70		0.32			1.61
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.77		1,000.00		1,022.30		0.55			2.77			1,000.00		1,023.40		0.32			1.61
Mortgage Income Fund
Actual		1,000.00		1,018.70		0.80			4.02		1,000.00		1,018.70		0.80			4.03			1,000.00		1,018.80		0.55			2.76
Hypothetical (5% return before expenses)		1,000.00		1,021.00		0.80			4.02		1,000.00		1,021.00		0.80			4.02			1,000.00		1,022.30		0.55			2.77
TCH Intermediate Income Fund
Actual											1,000.00		984.90		0.80			3.95			1,000.00		985.20		0.55			2.72
Hypothetical (5% return before expenses)											1,000.00		1,021.00		0.80			4.02			1,000.00		1,022.30		0.55			2.77
TCH Corporate Income Fund
Actual		1,000.00		970.70		0.59			2.90		1,000.00		970.70		0.59			2.89			1,000.00		970.50		0.46			2.26
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.59			2.97		1,000.00		1,022.10		0.59			2.97			1,000.00		1,022.70		0.46			2.31

3

Expense Example (continued)

	Investor									Advisor										Institutional/Premier
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)			Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
TCH Core Plus Bond Fund
Actual	$	1,000.00	$	991.90		0.58	%	$	2.88	$	1,000.00	$	991.90		0.58	%	$	2.89		$	1,000.00	$	993.20		0.33	%	$	1.65
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,022.10		0.58			2.92			1,000.00		1,023.30		0.33			1.66
Monegy High Yield Bond Fund
Actual											1,000.00		968.90		0.90			4.41			1,000.00		970.10		0.65			3.18
Hypothetical (5% return before expenses)											1,000.00		1,020.50		0.90			4.52			1,000.00		1,021.80		0.65			3.27
Government Money Market Fund
Actual		1,000.00		1,000.10		0.20			0.98												1,000.00		1,000.20		0.16			0.77
Hypothetical (5% return before expenses)		1,000.00		1,024.00		0.20			1.01												1,000.00		1,024.20		0.16			0.81
Tax-Free Money Market Fund
Actual		1,000.00		1,000.30		0.13			0.64												1,000.00		1,000.30		0.13			0.64
Hypothetical (5% return before expenses)		1,000.00		1,024.40		0.13			0.65												1,000.00		1,024.40		0.13			0.65
Prime Money Market Fund
Actual		1,000.00		1,000.10		0.32			1.60												1,000.00		1,000.70		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.32			1.61												1,000.00		1,024.00		0.20			1.01
	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)		Beginning account value 3/1/15		Ending account value 8/31/15		Annualized Expense Ratio(1)			Expenses paid during period 3/1/15- 8/31/15(1)
Large-Cap Value Fund
Actual										$	1,000.00	$	929.80		0.60	(4)%	$	0.99	(4)
Hypothetical (5% return before expenses)											1,000.00		1,022.04		0.60	(5)		2.99	(5)
Large-Cap Growth Fund
Actual											1,000.00		945.10		0.60	(4)		1.00	(4)
Hypothetical (5% return before expenses)											1,000.00		1,022.04		0.60	(5)		2.99	(5)
Mid-Cap Value Fund
Actual	$	1,000.00	$	911.90		1.48	%	$	7.03		1,000.00		915.30		0.83			3.95
Hypothetical (5% return before expenses)		1,000.00		1,017.60		1.48			7.42		1,000.00		1,020.90		0.83			4.17
Mid-Cap Growth Fund
Actual		1,000.00		835.20		1.49			6.81		1,000.00		837.80		0.84			3.85
Hypothetical (5% return before expenses)		1,000.00		1,017.60		1.49			7.47		1,000.00		1,020.80		0.84			4.22
Small-Cap Value Fund
Actual		1,000.00		915.50		1.49			7.09		1,000.00		918.60		0.84			4.02
Hypothetical (5% return before expenses)		1,000.00		1,017.60		1.49			7.47		1,000.00		1,020.80		0.84			4.22
Pyrford International Stock Fund
Actual		1,000.00		958.30		1.49			7.26		1,000.00		961.70		0.84			4.11
Hypothetical (5% return before expenses)		1,000.00		1,017.60		1.49			7.47		1,000.00		1,020.80		0.84			4.22

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2015 through February 29, 2016, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

(2) Expenses are equal to the Funds’ annualized expense ratios for the period September 17, 2015 (inception date) through February 29, 2016, multiplied by the average account value over the period, multiplied by 165/366 (to reflect the one-half year period).

(3) Expenses are equal to the Funds’ annualized expense ratios for the period September 17, 2015 (inception date) through February 29, 2016, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

(4) Expenses are equal to the Funds’ annualized expense ratios for the period December 28, 2015 through February 29, 2016, multiplied by the average account value over the period, multiplied by 63/366 (to reflect the one-half year period).

(5) Expenses are equal to the Funds’ annualized expense ratios for the period December 28, 2015 through February 29, 2016, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

4

February 29, 2016 (Unaudited)

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 96.8%
Consumer Discretionary — 14.4%
Apparel Retail — 0.5%
Foot Locker, Inc. (1)		7,874	$	492,125
Apparel, Accessories & Luxury Goods — 2.1%
Carter’s, Inc. (1)		20,525		2,085,956
Automotive Retail — 2.9%
AutoZone, Inc. (1)(2)		2,806		2,173,443
O’Reilly Automotive, Inc. (1)(2)		2,766		720,045
				2,893,488
Cable & Satellite — 0.3%
Cable One, Inc.		590		252,856
Department Stores — 1.1%
Kohl’s Corp. (1)		22,671		1,058,056
Publishing — 2.9%
John Wiley & Sons, Inc., Class A (1)		21,262		925,535
Morningstar, Inc.		24,539		1,948,151
				2,873,686
Restaurants — 3.5%
McDonald’s Corp.		12,741		1,493,118
Panera Bread Co., Class A (1)(2)		9,866		2,044,235
				3,537,353
Specialty Stores — 1.1%
Sally Beauty Holdings, Inc. (2)		35,883		1,133,185
Total Consumer Discretionary				14,326,705
Consumer Staples — 20.5%
Agricultural Products — 1.0%
Bunge, Ltd.		20,801		1,034,226
Drug Retail — 0.3%
CVS Health Corp. (1)		2,949		286,554
Food Distributors — 1.6%
Sysco Corp. (1)		37,365		1,648,917
Food Retail — 1.4%
Kroger Co. (1)		34,552		1,378,970
Household Products — 4.6%
Church & Dwight Co., Inc. (1)		9,925		900,793
Clorox Co. (1)		10,208		1,290,496
Kimberly-Clark Corp.		9,444		1,230,553
Procter & Gamble Co.		2,984		239,585
Spectrum Brands Holdings, Inc. (1)		9,571		916,615
				4,578,042
Hypermarkets & Super Centers — 3.0%
Costco Wholesale Corp. (1)		8,573		1,286,207
Wal-Mart Stores, Inc. (1)		25,404		1,685,302
				2,971,509
Packaged Foods & Meats — 5.5%
ConAgra Foods, Inc. (1)		34,110		1,434,666
General Mills, Inc. (1)		27,609		1,624,790
Kellogg Co.		12,297		910,224
Pinnacle Foods, Inc.		26,669		1,151,834
Tyson Foods, Inc., Class A		6,283		406,824
				5,528,338
Soft Drinks — 3.1%
Dr. Pepper Snapple Group, Inc. (1)		13,060		1,195,382
PepsiCo, Inc.		19,305		1,888,415
				3,083,797
Total Consumer Staples				20,510,353

Description	Shares		Value
Common Stocks (continued)
Energy — 1.5%
Oil & Gas-Equipment & Services — 1.5%
Schlumberger, Ltd. (1)		21,518	$	1,543,271
Financials — 21.2%
Consumer Finance — 1.2%
Synchrony Financial (2)		43,606		1,175,182
Diversified Banks — 1.6%
Wells Fargo & Co. (1)		35,341		1,658,200
Investment Banking & Brokerage — 1.0%
TD Ameritrade Holding Corp. (1)		35,698		1,020,249
Life & Health Insurance — 1.3%
Aflac, Inc. (1)		15,722		935,773
Lincoln National Corp.		10,488		383,127
				1,318,900
Office REIT’s — 1.4%
Equity Commonwealth, REIT (1)(2)		51,760		1,378,369
Property & Casualty Insurance — 6.9%
Allied World Assurance Co. Holdings AG (1)		45,270		1,466,295
Aspen Insurance Holdings, Ltd.		28,706		1,282,871
Axis Capital Holdings, Ltd. (1)		32,027		1,720,170
Travelers Cos., Inc. (1)		13,416		1,442,488
White Mountains Insurance Group, Ltd. (1)		1,240		950,907
				6,862,731
Regional Banks — 2.3%
Bank of Hawaii Corp.		8,844		561,594
Huntington Bancshares, Inc. (1)		75,409		659,829
PNC Financial Services Group, Inc.		4,203		341,746
Regions Financial Corp. (1)		47,875		360,020
Zions Bancorporation (1)		15,851		337,943
				2,261,132
Reinsurance — 3.6%
Everest Re Group, Ltd.		10,681		1,988,054
Validus Holdings, Ltd. (1)		35,183		1,580,069
				3,568,123
Specialized Finance — 1.9%
CBOE Holdings, Inc.		29,870		1,866,875
Total Financials				21,109,761
Healthcare — 10.2%
Healthcare Equipment — 1.3%
Hill-Rom Holdings, Inc. (1)		5,623		260,626
Varian Medical Systems, Inc. (1)(2)		13,632		1,066,295
				1,326,921
Healthcare Services — 3.2%
Express Scripts Holding Co. (1)(2)		21,991		1,547,727
Laboratory Corporation of America Holdings (1)(2)		3,522		386,856
MEDNAX, Inc. (1)(2)		18,875		1,265,380
				3,199,963
Managed Healthcare — 0.8%
Anthem, Inc.		6,011		785,578
Pharmaceuticals — 4.9%
Johnson & Johnson (1)		20,083		2,112,932
Merck & Co., Inc. (1)		21,689		1,089,005
Pfizer, Inc. (1)		56,855		1,686,888
				4,888,825
Total Healthcare				10,201,287

(See Notes which are an integral part of the Financial Statements)

5

February 29, 2016 (Unaudited)

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials — 1.0%
Environmental & Facilities Services — 1.0%
Waste Management, Inc. (1)		18,216	$	1,017,364
Information Technology — 8.5%
Application Software — 0.5%
Citrix Systems, Inc. (1)(2)		7,141		504,512
Communications Equipment — 1.6%
Cisco Systems, Inc. (1)		62,412		1,633,946
Consulting & Other Services — 1.5%
Amdocs, Ltd.		26,484		1,503,232
Data Processing & Outsourced Services — 1.1%
Genpact, Ltd. (2)		39,498		1,043,932
Electronic Components — 0.7%
Dolby Laboratories, Inc., Class A (1)		17,286		682,797
Internet Software & Services — 0.9%
eBay, Inc. (2)		16,407		390,487
VeriSign, Inc. (1)(2)		5,446		460,132
				850,619
Technology Hardware, Storage & Peripherals — 2.2%
Apple, Inc.		13,297		1,285,687
NetApp, Inc. (1)		38,316		951,769
				2,237,456
Total Information Technology				8,456,494
Materials — 1.3%
Metal & Glass Containers — 0.3%
Silgan Holdings, Inc. (1)		5,591		286,427
Paper Packaging — 1.0%
Avery Dennison Corp.		16,063		1,046,022
Total Materials				1,332,449
Telecommunication Services — 4.2%
Integrated Telecommunication Services — 4.2%
AT&T, Inc. (1)		56,438		2,085,384
Verizon Communications, Inc. (1)		42,183		2,139,944
Total Telecommunication Services				4,225,328
Utilities — 14.0%
Electric Utilities — 7.9%
American Electric Power Co., Inc.		27,425		1,693,494
Edison International (1)		27,922		1,903,163
Entergy Corp. (1)		24,063		1,737,589
Exelon Corp. (1)		22,970		723,325
Southern Co. (1)		24,087		1,160,512
Xcel Energy, Inc.		16,570		655,178
				7,873,261
Multi-Utilities — 4.1%
Ameren Corp. (1)		9,359		439,405
Consolidated Edison, Inc. (1)		20,445		1,431,354
DTE Energy Co. (1)		2,722		228,975
PG&E Corp.		35,657		2,022,822
				4,122,556
Water Utilities — 2.0%
American Water Works Co., Inc.		30,095		1,950,758
Total Utilities				13,946,575
Total Common Stocks (identified cost $89,564,156)				96,669,587

Description	Shares		Value
Short-Term Investments — 46.5%
Collateral Pool Investments for Securities on Loan — 44.5%
Collateral pool allocation (3)			$	44,437,641
Mutual Funds — 2.0%
BMO Prime Money Market Fund —Premier Class, 0.310% (4)		1,983,408		1,983,408
Total Short-Term Investments (identified cost $46,421,049)				46,421,049
Total Investments — 143.3% (identified cost $135,985,205)				143,090,636
Other Assets and Liabilities — (43.3)%				(43,265,993	)
Total Net Assets — 100.0%			$	99,824,643

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		14.4	%
Consumer Staples		20.5
Energy		1.5
Financials		21.2
Healthcare		10.2
Industrials		1.0
Information Technology		8.5
Materials		1.3
Telecommunication Services		4.2
Utilities		14.0
Other Assets & Liabilities, Net		3.2
Total		100.0	%

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.8%
Consumer Discretionary — 10.6%
Advertising — 1.6%
Omnicom Group, Inc. (1)		22,820	$	1,775,624
Automobile Manufacturers — 1.7%
Ford Motor Co. (1)		62,782		785,403
General Motors Co.		38,381		1,129,936
				1,915,339
Cable & Satellite — 1.0%
Comcast Corp., Class A		18,195		1,050,397
Department Stores — 0.8%
Kohl’s Corp. (1)		19,728		920,706
General Merchandise Stores — 1.8%
Target Corp. (1)		25,522		2,002,201
Home Furnishings — 0.6%
Leggett & Platt, Inc.		14,275		637,522
Home Improvement Retail — 1.7%
Home Depot, Inc.		15,164		1,882,156
Hotels, Resorts & Cruise Lines — 1.4%
Carnival Corp. (1)		19,571		938,625
Wyndham Worldwide Corp. (1)		7,887		574,489
				1,513,114
Total Consumer Discretionary				11,697,059

(See Notes which are an integral part of the Financial Statements)

6

BMO Funds

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 7.4%
Hypermarkets & Super Centers — 1.3%
Wal-Mart Stores, Inc. (1)		21,848	$	1,449,396
Packaged Foods & Meats — 0.6%
General Mills, Inc. (1)		11,291		664,476
Soft Drinks — 2.3%
Dr. Pepper Snapple Group, Inc. (1)		11,019		1,008,569
PepsiCo, Inc.		14,783		1,446,073
				2,454,642
Tobacco — 3.2%
Altria Group, Inc. (1)		48,359		2,977,464
Philip Morris International, Inc. (1)		6,219		566,115
				3,543,579
Total Consumer Staples				8,112,093
Energy — 5.0%
Integrated Oil & Gas — 1.3%
Chevron Corp. (1)		17,551		1,464,456
Oil & Gas-Drilling — 0.7%
Helmerich & Payne, Inc. (1)		14,856		786,922
Oil & Gas-Equipment & Services — 0.6%
Schlumberger, Ltd. (1)		8,240		590,973
Oil & Gas-Refining & Marketing — 2.4%
Marathon Petroleum Corp. (1)		15,211		520,977
Valero Energy Corp. (1)		35,281		2,119,682
				2,640,659
Total Energy				5,483,010
Financials — 18.1%
Asset Management & Custody Banks — 1.7%
Ameriprise Financial, Inc. (1)		22,976		1,928,835
Consumer Finance — 1.6%
Discover Financial Services (1)		22,117		1,026,671
Navient Corp.		69,096		748,310
				1,774,981
Diversified Banks — 5.3%
JPMorgan Chase & Co. (1)		42,727		2,405,530
Wells Fargo & Co. (1)		73,141		3,431,776
				5,837,306
Hotel & Resort REIT’s — 1.2%
Host Hotels & Resorts, Inc. (1)		86,430		1,323,243
Life & Health Insurance — 0.9%
Aflac, Inc. (1)		9,422		560,798
MetLife, Inc.		11,715		463,445
				1,024,243
Multi-line Insurance — 1.0%
American International Group, Inc. (1)		9,513		477,552
Assurant, Inc.		8,038		571,502
				1,049,054
Property & Casualty Insurance — 1.9%
Progressive Corp. (1)		22,025		703,038
Travelers Cos., Inc. (1)		12,446		1,338,194
				2,041,232

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 1.1%
Fifth Third Bancorp		36,798	$	561,538
Keycorp		58,733		619,633
				1,181,171
Residential REIT’s — 1.0%
Equity Residential		15,182		1,130,907
Retail REIT’s — 2.4%
Kimco Realty Corp. (1)		97,208		2,600,314
Total Financials				19,891,286
Healthcare — 12.9%
Biotechnology — 2.6%
AbbVie, Inc. (1)		28,740		1,569,491
Amgen, Inc.		5,745		817,399
Gilead Sciences, Inc. (1)		5,629		491,130
				2,878,020
Managed Healthcare — 1.1%
UnitedHealth Group, Inc. (1)		10,287		1,225,182
Pharmaceuticals — 9.2%					��
Eli Lilly & Co.		6,959		501,048
Johnson & Johnson (1)		36,847		3,876,673
Merck & Co., Inc. (1)		37,003		1,857,920
Pfizer, Inc. (1)		128,910		3,824,760
				10,060,401
Total Healthcare				14,163,603
Industrials — 7.9%
Aerospace & Defense — 4.0%
Boeing Co. (1)		20,680		2,443,963
General Dynamics Corp.		4,120		561,432
Honeywell International, Inc.		7,658		776,138
Lockheed Martin Corp.		2,976		642,191
				4,423,724
Air Freight & Logistics — 0.5%
United Parcel Service, Inc., Class B (1)		5,788		558,832
Electrical Components & Equipment — 0.6%
Emerson Electric Co. (1)		13,441		656,324
Environmental & Facilities Services — 1.2%
Waste Management, Inc. (1)		23,191		1,295,217
Industrial Machinery — 1.0%
Dover Corp.		10,413		632,902
Stanley Black & Decker, Inc.		5,481		515,269
				1,148,171
Research & Consulting Services — 0.6%
Nielsen Holdings NV		12,151		611,681
Total Industrials				8,693,949
Information Technology — 15.5%
Communications Equipment — 2.7%
Cisco Systems, Inc. (1)		114,027		2,985,227
Data Processing & Outsourced Services — 1.0%
Western Union Co. (1)		59,739		1,090,834
Semiconductor Equipment — 0.5%
Applied Materials, Inc.		31,211		588,952
Semiconductors — 4.7%
Intel Corp. (1)		102,016		3,018,653
Microchip Technology, Inc. (1)		38,099		1,695,024
Texas Instruments, Inc. (1)		9,778		518,430
				5,232,107

(See Notes which are an integral part of the Financial Statements)

7

February 29, 2016 (Unaudited)

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Systems Software — 3.6%
Microsoft Corp.		77,225	$	3,929,208
Technology Hardware, Storage & Peripherals — 3.0%
Apple, Inc.		27,369		2,646,308
Western Digital Corp. (1)		14,126		614,905
				3,261,213
Total Information Technology				17,087,541
Materials — 6.9%
Commodity Chemicals — 2.3%
LyondellBasell Industries NV, Class A		31,936		2,561,586
Diversified Chemicals — 2.3%
Dow Chemical Co.		52,183		2,536,616
Paper Packaging — 1.8%
Avery Dennison Corp.		29,831		1,942,595
Steel — 0.5%
Nucor Corp. (1)		15,749		619,566
Total Materials				7,660,363
Telecommunication Services — 6.1%
Integrated Telecommunication Services — 6.1%
AT&T, Inc. (1)		50,809		1,877,393
CenturyLink, Inc.		24,469		748,507
Verizon Communications, Inc. (1)		80,584		4,088,026
Total Telecommunication Services				6,713,926
Utilities — 7.4%
Electric Utilities — 4.9%
American Electric Power Co., Inc. (1)		38,524		2,378,857
Entergy Corp.		11,878		857,711
Exelon Corp. (1)		66,712		2,100,761
				5,337,329
Multi-Utilities — 2.5%
Ameren Corp. (1)		32,586		1,529,913
PG&E Corp.		22,424		1,272,113
				2,802,026
Total Utilities				8,139,355
Total Common Stocks (identified cost $96,941,372)				107,642,185
Short-Term Investments — 50.1%
Collateral Pool Investments for Securities on Loan — 48.4%
Collateral pool allocation (3)				53,217,171
Mutual Funds — 1.7%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		1,864,911		1,864,911
Total Short-Term Investments (identified cost $55,082,082)				55,082,082
Total Investments — 147.9% (identified cost $152,023,454)				162,724,267
Other Assets and Liabilities — (47.9)%				(52,696,953	)
Total Net Assets — 100.0%			$	110,027,314

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		10.6	%
Consumer Staples		7.4
Energy		5.0
Financials		18.1
Healthcare		12.9
Industrials		7.9
Information Technology		15.5
Materials		6.9
Telecommunication Services		6.1
Utilities		7.4
Other Assets & Liabilities, Net		2.2
Total		100.0	%

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.1%
Consumer Discretionary — 7.4%
Apparel Retail — 0.8%
Foot Locker, Inc. (1)		33,594	$	2,099,625
Auto Parts & Equipment — 1.8%
Lear Corp.		44,551		4,515,244
Automobile Manufacturers — 0.5%
General Motors Co. (1)		41,576		1,223,998
Cable & Satellite — 2.1%
Comcast Corp., Class A (1)		93,748		5,412,072
Home Improvement Retail — 0.9%
Home Depot, Inc.		17,619		2,186,870
Homefurnishing Retail — 1.3%
Bed Bath & Beyond, Inc. (1)(2)		70,715		3,390,784
Total Consumer Discretionary				18,828,593
Consumer Staples — 8.2%
Drug Retail — 1.5%
CVS Health Corp. (1)		40,527		3,938,009
Food Retail — 1.7%
Kroger Co. (1)		105,661		4,216,930
Hypermarkets & Super Centers — 1.8%
Wal-Mart Stores, Inc. (1)		69,758		4,627,746
Packaged Foods & Meats — 1.1%
Tyson Foods, Inc., Class A		44,735		2,896,591
Soft Drinks — 2.1%
Dr. Pepper Snapple Group, Inc. (1)		41,702		3,816,984
PepsiCo, Inc.		16,484		1,612,465
				5,429,449
Total Consumer Staples				21,108,725
Energy — 12.0%
Integrated Oil & Gas — 5.8%
Chevron Corp. (1)		22,527		1,879,653
Exxon Mobil Corp. (1)		162,917		13,057,797
				14,937,450
Oil & Gas-Drilling — 1.6%
Helmerich & Payne, Inc. (1)		76,391		4,046,431

(See Notes which are an integral part of the Financial Statements)

8

BMO Funds

Large-Cap Value Fund  (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Equipment & Services — 2.0%
FMC Technologies, Inc. (1)(2)		145,511	$	3,569,385
Halliburton Co.		34,835		1,124,474
Oceaneering International, Inc.		15,042		415,460
				5,109,319
Oil & Gas-Exploration & Production — 0.5%
EOG Resources, Inc. (1)		19,789		1,281,140
Oil & Gas-Refining & Marketing — 2.1%
Marathon Petroleum Corp. (1)		67,793		2,321,910
Valero Energy Corp. (1)		51,736		3,108,299
				5,430,209
Total Energy				30,804,549
Financials — 26.5%
Asset Management & Custody Banks — 1.4%
Ameriprise Financial, Inc. (1)		42,866		3,598,601
Consumer Finance — 4.0%
Capital One Financial Corp. (1)		58,655		3,855,393
Discover Financial Services (1)		98,650		4,579,333
Synchrony Financial (2)		67,072		1,807,590
				10,242,316
Diversified Banks — 6.8%
Citigroup, Inc.		187,951		7,301,896
Wells Fargo & Co. (1)		218,066		10,231,657
				17,533,553
Hotel & Resort REIT’s — 0.5%
Host Hotels & Resorts, Inc. (1)		91,207		1,396,379
Life & Health Insurance — 1.3%
Lincoln National Corp. (1)		93,117		3,401,564
Multi-Line Insurance — 2.0%
American International Group, Inc. (1)		100,361		5,038,122
Office REIT’s — 0.8%
Boston Properties, Inc. (1)		16,819		1,919,721
Property & Casualty Insurance — 2.2%
Travelers Cos., Inc. (1)		52,393		5,633,295
Regional Banks — 3.8%
Fifth Third Bancorp		264,610		4,037,949
Huntington Bancshares, Inc. (1)		75,208		658,070
Keycorp		358,740		3,784,707
PNC Financial Services Group, Inc.		13,875		1,128,176
				9,608,902
Reinsurance — 2.5%
Everest Re Group, Ltd.		24,677		4,593,130
Reinsurance Group of America, Inc.		19,588		1,764,879
				6,358,009
Residential REIT’s — 1.2%
Equity Residential		31,873		2,374,220
Essex Property Trust, Inc. (1)		3,928		822,052
				3,196,272
Total Financials				67,926,734
Healthcare — 10.2%
Biotechnology — 1.7%
Amgen, Inc. (1)		23,111		3,288,233
Gilead Sciences, Inc. (1)		12,253		1,069,075
				4,357,308

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Facilities — 0.6%
HCA Holdings, Inc. (1)(2)		22,953	$	1,588,577
Pharmaceuticals — 7.9%
Johnson & Johnson (1)		114,271		12,022,452
Pfizer, Inc. (1)		272,099		8,073,177
				20,095,629
Total Healthcare				26,041,514
Industrials — 8.1%
Aerospace & Defense — 3.9%
Boeing Co. (1)		33,757		3,989,402
General Dynamics Corp.		43,479		5,924,884
				9,914,286
Airlines — 1.0%
Alaska Air Group, Inc. (1)		12,898		953,162
Southwest Airlines Co.		35,664		1,496,105
				2,449,267
Construction & Engineering — 0.8%
Jacobs Engineering Group, Inc. (1)(2)		53,740		2,077,051
Human Resource & Employment Services — 0.9%
ManpowerGroup, Inc. (1)		13,454		1,041,877
Robert Half International, Inc.		29,061		1,144,713
				2,186,590
Industrial Conglomerates — 0.4%
Danaher Corp. (1)		12,949		1,155,957
Industrial Machinery — 0.6%
Dover Corp.		27,242		1,655,769
Trading Companies & Distributors — 0.5%
United Rentals, Inc. (1)(2)		27,129		1,399,042
Total Industrials				20,837,962
Information Technology — 11.4%
Communications Equipment — 4.4%
Brocade Communications Systems, Inc.		236,036		2,343,837
Cisco Systems, Inc. (1)		303,310		7,940,656
Juniper Networks, Inc.		44,564		1,100,731
				11,385,224
Consulting & Other Services — 1.2%
Amdocs, Ltd. (1)		52,997		3,008,110
Electronic Manufacturing Services — 0.6%
Flextronics International, Ltd. (1)(2)		143,495		1,558,356
Semiconductor Equipment — 0.3%
Teradyne, Inc.		38,776		739,846
Semiconductors — 3.0%
Intel Corp. (1)		257,170		7,609,660
Technology Distributors — 0.4%
Ingram Micro, Inc., Class A (1)		28,455		1,018,689
Technology Hardware, Storage & Peripherals — 1.5%
Apple, Inc.		39,996		3,867,213
Total Information Technology				29,187,098
Materials — 5.5%
Commodity Chemicals — 1.6%
LyondellBasell Industries NV, Class A (1)		52,471		4,208,699
Diversified Chemicals — 2.3%
Dow Chemical Co.		118,431		5,756,931

(See Notes which are an integral part of the Financial Statements)

9

February 29, 2016 (Unaudited)

Schedules of Investments

Large-Cap Value Fund  (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Paper Packaging — 1.6%
Avery Dennison Corp.		40,437	$	2,633,258
International Paper Co. (1)		39,462		1,408,793
				4,042,051
Total Materials				14,007,681
Telecommunication Services — 1.7%
Integrated Telecommunication Services — 1.7%
Verizon Communications, Inc. (1)		85,601		4,342,539
Utilities — 7.1%
Electric Utilities — 5.0%
American Electric Power Co., Inc.		93,293		5,760,843
Entergy Corp.		38,136		2,753,800
Exelon Corp. (1)		130,247		4,101,478
				12,616,121
Multi-Utilities — 2.1%
Ameren Corp. (1)		27,075		1,271,171
PG&E Corp.		40,049		2,271,980
Public Service Enterprise Group, Inc.		44,110		1,881,733
				5,424,884
Total Utilities				18,041,005
Total Common Stocks (identified cost $237,588,375)				251,126,400
Short-Term Investments — 47.3%
Collateral Pool Investments for Securities on Loan — 46.1%
Collateral pool allocation (3)				118,168,144
Mutual Funds — 1.2%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		3,040,230		3,040,230
Total Short-Term Investments (identified cost  $121,208,374)				121,208,374
Total Investments — 145.4% (identified cost $358,796,749)				372,334,774
Other Assets and Liabilities — (45.4)%				(116,320,914	)
Total Net Assets — 100.0%			$	256,013,860

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		7.4	%
Consumer Staples		8.2
Energy		12.0
Financials		26.5
Healthcare		10.2
Industrials		8.1
Information Technology		11.4
Materials		5.5
Telecommunication Services		1.7
Utilities		7.1
Other Assets & Liabilities, Net		1.9
Total		100.0	%

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.6%
Consumer Discretionary — 18.5%
Auto Parts & Equipment — 1.0%
Lear Corp.		19,485	$	1,974,805
Automotive Retail — 0.5%
O’Reilly Automotive, Inc. (1)(2)		4,259		1,108,703
Broadcasting — 0.5%
Scripps Networks Interactive, Inc., Class A		16,585		982,495
Cable & Satellite — 4.8%
Comcast Corp., Class A (1)		91,250		5,267,862
DISH Network Corp., Class A (1)(2)		20,783		979,503
Sirius XM Holdings, Inc. (1)(2)		974,015		3,623,336
				9,870,701
Footwear — 2.6%
NIKE, Inc., Class B		85,121		5,242,602
Home Improvement Retail — 1.6%
Home Depot, Inc.		26,555		3,296,007
Internet Retail — 3.9%
Amazon.com, Inc. (1)(2)		6,425		3,549,941
Expedia, Inc.		32,461		3,379,515
Priceline Group, Inc. (2)		792		1,002,046
				7,931,502
Leisure Facilities — 0.3%
Six Flags Entertainment Corp.		10,372		527,520
Movies & Entertainment — 1.1%
Walt Disney Co. (1)		23,409		2,236,028
Restaurants — 2.2%
McDonald’s Corp.		3,273		383,563
Starbucks Corp. (1)		69,621		4,052,638
				4,436,201
Total Consumer Discretionary				37,606,564
Consumer Staples — 8.6%
Drug Retail — 1.9%
CVS Health Corp. (1)		38,873		3,777,289
Packaged Foods & Meats — 3.5%
Post Holdings, Inc. (1)(2)		58,328		4,051,463
Tyson Foods, Inc., Class A		47,673		3,086,827
				7,138,290
Soft Drinks — 3.2%
PepsiCo, Inc.		66,698		6,524,398
Total Consumer Staples				17,439,977
Energy — 0.7%
Oil & Gas-Refining & Marketing — 0.7%
Tesoro Corp.		18,054		1,456,597
Financials — 6.6%
Life & Health Insurance — 1.3%
Prudential Financial, Inc.		39,663		2,621,328
Office REIT’s — 1.2%
Digital Realty Trust, Inc. (1)		32,122		2,539,886
Regional Banks — 1.8%
Signature Bank (1)(2)		27,524		3,565,734
Reinsurance — 0.4%
Reinsurance Group of America, Inc.		9,724		876,132

(See Notes which are an integral part of the Financial Statements)

10

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Residential REIT’s — 1.3%
Equity Lifestyle Properties, Inc. (1)		36,967	$	2,593,605
Retail REIT’s — 0.6%
Realty Income Corp.		22,429		1,312,994
Total Financials				13,509,679
Healthcare — 18.1%
Biotechnology — 7.4%
Amgen, Inc. (1)		37,057		5,272,470
Celgene Corp. (1)(2)		45,032		4,540,577
Gilead Sciences, Inc. (1)		60,752		5,300,612
				15,113,659
Healthcare Distributors — 0.4%
AmerisourceBergen Corp. (1)		10,325		894,352
Healthcare Equipment — 4.6%
C.R. Bard, Inc. (1)		11,313		2,176,395
Hologic, Inc. (2)		101,574		3,517,507
Medtronic PLC (1)		46,694		3,613,649
				9,307,551
Healthcare Supplies — 0.3%
Align Technology, Inc. (1)(2)		8,029		530,155
Healthcare Technology — 0.7%
athenahealth, Inc. (1)(2)		11,521		1,487,015
Life Sciences Tools & Services — 1.0%
Waters Corp. (1)(2)		17,156		2,064,038
Managed Healthcare — 2.5%
Molina Healthcare, Inc. (1)(2)		42,563		2,640,609
UnitedHealth Group, Inc. (1)		19,484		2,320,544
				4,961,153
Pharmaceuticals — 1.2%
Johnson & Johnson (1)		22,335		2,349,865
Total Healthcare				36,707,788
Industrials — 8.6%
Aerospace & Defense — 1.8%
TransDigm Group, Inc. (1)(2)		17,198		3,673,149
Airlines — 1.7%
JetBlue Airways Corp. (1)(2)		153,579		3,378,738
Building Products — 0.6%
Masco Corp. (1)		43,306		1,221,229
Diversified Support Services — 1.0%
Cintas Corp. (1)		23,546		1,977,629
Electrical Components & Equipment — 2.2%
Acuity Brands, Inc. (1)		21,577		4,518,871
Industrial Conglomerates — 0.6%
Danaher Corp. (1)		15,038		1,342,442
Security & Alarm Services — 0.7%
ADT Corp. (1)		33,791		1,364,143
Total Industrials				17,476,201
Information Technology — 32.8%
Application Software — 4.1%
Cadence Design Systems, Inc. (1)(2)		143,975		3,102,661
Factset Research Systems, Inc.		21,398		3,220,185
Synopsys, Inc. (1)(2)		46,216		2,068,166
				8,391,012

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 2.9%
Cisco Systems, Inc.		125,193	$	3,277,553
F5 Networks, Inc. (1)(2)		15,222		1,463,900
Palo Alto Networks, Inc. (1)(2)		7,666		1,109,960
				5,851,413
Consulting & Other Services — 0.4%
Cognizant Technology Solutions Corp., Class A (2)		15,590		888,318
Data Processing & Outsourced Services — 4.6%
Global Payments, Inc. (1)		20,097		1,224,912
MasterCard, Inc., Class A (1)		41,116		3,573,803
Total System Services, Inc. (1)		22,277		970,831
Visa, Inc., Class A (1)		48,512		3,511,784
				9,281,330
Internet Software & Services — 10.2%
Alphabet, Inc., Class A (2)		5,493		3,939,690
Alphabet, Inc., Class C (2)		10,241		7,145,863
Facebook, Inc., Class A (2)		47,510		5,079,769
VeriSign, Inc. (1)(2)		53,325		4,505,429
				20,670,751
Semiconductors — 1.7%
Microchip Technology, Inc. (1)		33,008		1,468,526
NVIDIA Corp.		65,623		2,057,937
				3,526,463
Systems Software — 4.2%
Microsoft Corp.		122,404		6,227,915
Oracle Corp.		41,570		1,528,945
Red Hat, Inc. (2)		10,805		706,107
				8,462,967
Technology Hardware, Storage & Peripherals — 4.7%
Apple, Inc.		99,402		9,611,179
Total Information Technology				66,683,433
Materials — 1.1%
Commodity Chemicals — 1.1%
LyondellBasell Industries NV, Class A		27,740		2,225,025
Telecommunication Services — 3.6%
Integrated Telecommunication Services — 3.6%
AT&T, Inc. (1)		95,447		3,526,767
Verizon Communications, Inc. (1)		75,237		3,816,773
Total Telecommunication Services				7,343,540
Total Common Stocks (identified cost $166,735,269)				200,448,804
Short-Term Investments — 48.6%
Collateral Pool Investments for Securities on Loan — 47.3%
Collateral pool allocation (3)				96,041,875
Mutual Funds — 1.3%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		2,632,847		2,632,847
Total Short-Term Investments (identified cost $98,674,722)				98,674,722
Total Investments — 147.2% (identified cost $265,409,991)				299,123,526
Other Assets and Liabilities — (47.2)%				(95,903,479	)
Total Net Assets — 100.0%			$	203,220,047

(See Notes which are an integral part of the Financial Statements)

11

February 29, 2016 (Unaudited)

Schedules of Investments

Large-Cap Growth Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		18.5	%
Consumer Staples		8.6
Energy		0.7
Financials		6.6
Healthcare		18.1
Industrials		8.6
Information Technology		32.8
Materials		1.1
Telecommunication Services		3.6
Other Assets & Liabilities, Net		1.4
Total		100.0	%

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.7%
Consumer Discretionary — 9.5%
Advertising — 1.7%
The Interpublic Group of Cos., Inc.		186,230	$	3,983,460
Apparel, Accessories & Luxury Goods — 1.3%
Michael Kors Holdings, Ltd. (1)(2)		57,220		3,241,513
Auto Parts & Equipment — 1.4%
Visteon Corp.		46,670		3,263,166
Automotive Retail — 1.6%
Advance Auto Parts, Inc. (1)		25,600		3,800,064
Catalog Retail — 1.7%
Liberty Interactive Corp QVC Group (2)		165,247		4,193,969
Department Stores — 0.9%
Kohl’s Corp. (1)		48,142		2,246,787
Homebuilding — 0.9%
TRI Pointe Group, Inc. (1)(2)		201,710		2,079,630
Total Consumer Discretionary				22,808,589
Consumer Staples — 2.7%
Agricultural Products — 1.0%
Darling Ingredients, Inc. (1)(2)		263,299		2,372,324
Brewers — 1.2%
Molson Coors Brewing Co., Class B (1)		34,730		2,961,427
Personal Products — 0.5%
Edgewell Personal Care Co. (1)		16,700		1,276,715
Total Consumer Staples				6,610,466
Energy — 6.2%
Oil & Gas-Equipment & Services — 1.1%
Weatherford International PLC (1)(2)		425,350		2,722,240
Oil & Gas-Exploration & Production — 5.1%
Cimarex Energy Co. (1)		26,600		2,235,198
EQT Corp. (1)		59,800		3,333,252
Newfield Exploration Co. (2)		75,500		2,055,865
Noble Energy, Inc. (1)		157,200		4,637,400
				12,261,715
Total Energy				14,983,955

Description	Shares		Value
Common Stocks (continued)
Financials — 32.4%
Asset Management & Custody Banks — 3.4%
Ameriprise Financial, Inc. (1)		45,730	$	3,839,033
Invesco, Ltd. (1)		164,000		4,385,360
				8,224,393
Consumer Finance — 5.0%
Ally Financial, Inc. (1)(2)		245,600		4,317,648
Discover Financial Services (1)		99,440		4,616,005
Synchrony Financial (2)		114,620		3,089,009
				12,022,662
Diversified REIT’s — 2.6%
Duke Realty Corp. (1)		301,300		6,230,884
Life & Health Insurance — 1.6%
Lincoln National Corp.		107,100		3,912,363
Property & Casualty Insurance — 1.7%
Axis Capital Holdings, Ltd. (1)		77,420		4,158,228
Real Estate Operating Companies — 2.0%
Forest City Realty Trust, Inc., Class A (2)		254,250		4,741,763
Regional Banks — 6.7%
East West Bancorp, Inc.		134,430		4,028,867
Fifth Third Bancorp		258,700		3,947,762
Huntington Bancshares, Inc. (1)		481,850		4,216,188
Regions Financial Corp. (1)		524,900		3,947,248
				16,140,065
Reinsurance — 4.0%
Reinsurance Group of America, Inc.		58,550		5,275,355
Validus Holdings, Ltd.		98,910		4,442,048
				9,717,403
Residential REIT’s — 3.9%
Mid-America Apartment Communities, Inc. (1)		44,500		4,002,330
UDR, Inc. (1)		156,500		5,372,645
				9,374,975
Retail REIT’s — 1.5%
Brixmor Property Group, Inc. (1)		154,205		3,613,023
Total Financials				78,135,759
Healthcare — 5.8%
Healthcare Distributors — 2.4%
Cardinal Health, Inc. (1)		69,900		5,710,830
Healthcare Services — 1.8%
Laboratory Corporation of America Holdings (1)(2)		41,000		4,503,440
Managed Healthcare — 1.6%
Cigna Corp.		27,100		3,783,431
Total Healthcare				13,997,701
Industrials — 13.8%
Aerospace & Defense — 3.4%
L-3 Communications Holdings, Inc.		35,300		4,141,043
Spirit Aerosystems Holdings, Inc., Class A (1)(2)		85,490		3,932,540
				8,073,583
Agricultural & Farm Machinery — 1.8%
AGCO Corp. (1)		84,900		4,201,701
Airlines — 1.5%
United Continental Holdings, Inc. (2)		64,119		3,671,454

(See Notes which are an integral part of the Financial Statements)

12

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Construction & Engineering — 2.9%
Fluor Corp.		73,100	$	3,365,524
Jacobs Engineering Group, Inc. (1)(2)		95,000		3,671,750
				7,037,274
Electrical Components & Equipment — 1.6%
Regal Beloit Corp.		68,700		3,749,646
Industrial Machinery — 1.3%
Dover Corp.		26,411		1,605,261
Parker-Hannifin Corp. (1)		16,090		1,628,308
				3,233,569
Trading Companies & Distributors — 1.3%
WESCO International, Inc. (1)(2)		72,700		3,202,435
Total Industrials				33,169,662
Information Technology — 10.6%
Communications Equipment — 1.6%
ARRIS Group, Inc. (1)(2)		156,000		3,726,840
Consulting & Other Services — 1.1%
Teradata Corp. (1)(2)		105,860		2,641,207
Data Processing & Outsourced Services — 1.3%
Western Union Co. (1)		173,700		3,171,762
Systems Software — 1.6%
Symantec Corp. (1)		197,350		3,810,828
Technology Distributors — 1.3%
Avnet, Inc.		77,900		3,205,585
Technology Hardware, Storage & Peripherals — 3.7%
NetApp, Inc. (1)		156,000		3,875,040
Seagate Technology PLC (1)		68,950		2,162,272
Western Digital Corp. (1)		66,400		2,890,392
				8,927,704
Total Information Technology				25,483,926
Materials — 8.7%
Metal & Glass Containers — 2.1%
Berry Plastics Group, Inc. (1)(2)		158,540		4,935,350
Paper Packaging — 1.2%
International Paper Co. (1)		78,500		2,802,450
Specialty Chemicals — 3.9%
Ashland, Inc. (1)		51,510		4,908,388
GCP Applied Technologies, Inc. (1)(2)		52,906		938,023
WR Grace & Co. (1)(2)		52,906		3,636,759
				9,483,170
Steel — 1.5%
Reliance Steel & Aluminum Co. (1)		59,400		3,616,866
Total Materials				20,837,836
Utilities — 8.0%
Electric Utilities — 3.8%
Edison International (1)		66,900		4,559,904
Great Plains Energy, Inc.		156,300		4,585,842
				9,145,746
Multi-Utilities — 4.2%
DTE Energy Co. (1)		62,000		5,215,440
Sempra Energy (1)		51,680		4,987,637
				10,203,077
Total Utilities				19,348,823
Total Common Stocks (identified cost $210,965,681)				235,376,717

Description	Shares		Value
Short-Term Investments — 50.3%
Collateral Pool Investments for Securities on Loan — 47.9%
Collateral pool allocation (3)			$	115,481,432
Mutual Funds — 2.4%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		5,813,262		5,813,262
Total Short-Term Investments (identified cost $121,294,694)				121,294,694
Total Investments — 148.0% (identified cost $332,260,375)				356,671,411
Other Assets and Liabilities — (48.0)%				(115,724,020	)
Total Net Assets — 100.0%			$	240,947,391

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		9.5	%
Consumer Staples		2.7
Energy		6.2
Financials		32.4
Healthcare		5.8
Industrials		13.8
Information Technology		10.6
Materials		8.7
Utilities		8.0
Other Assets & Liabilities, Net		2.3
Total		100.0	%

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 97.6%
Consumer Discretionary — 21.9%
Apparel, Accessories & Luxury Goods — 2.3%
Hanesbrands, Inc. (1)		54,695	$	1,558,261
Under Armour, Inc., Class A (1)(2)		9,600		803,424
VF Corp.		18,500		1,204,535
				3,566,220
Auto Parts & Equipment — 1.6%
Delphi Automotive PLC		13,200		880,176
Visteon Corp.		22,600		1,580,192
				2,460,368
Automotive Retail — 2.2%
Advance Auto Parts, Inc. (1)		9,300		1,380,492
O’Reilly Automotive, Inc. (1)(2)		8,070		2,100,782
				3,481,274
Casinos & Gaming — 1.3%
MGM Resorts International (1)(2)		107,500		2,034,975
General Merchandise Stores — 3.0%
Burlington Stores, Inc. (1)(2)		39,746		2,228,161
Dollar Tree, Inc. (1)(2)		31,000		2,487,750
				4,715,911
Homebuilding — 1.4%
TRI Pointe Group, Inc. (1)(2)		219,098		2,258,900

(See Notes which are an integral part of the Financial Statements)

13

February 29, 2016 (Unaudited)

Schedules of Investments

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Hotels, Resorts & Cruise Lines — 5.2%
Hilton Worldwide Holdings, Inc.		85,600	$	1,778,768
Marriott International, Inc., Class A (1)		24,500		1,669,675
Norwegian Cruise Line Holdings, Ltd. (1)(2)		53,300		2,618,629
Wyndham Worldwide Corp. (1)		28,300		2,061,372
				8,128,444
Household Appliances — 0.9%
Whirlpool Corp.		9,200		1,428,944
Leisure Facilities — 1.5%
Vail Resorts, Inc. (1)		18,900		2,408,049
Leisure Products — 1.6%
Brunswick Corp. (1)		59,400		2,526,876
Restaurants — 0.9%
Restaurant Brands International, Inc.		40,700		1,426,942
Total Consumer Discretionary				34,436,903
Consumer Staples — 4.1%
Distillers & Vintners — 0.9%
Constellation Brands, Inc., Class A (1)		9,500		1,343,585
Food Retail — 0.7%
Sprouts Farmers Market, Inc. (1)(2)		38,140		1,086,227
Packaged Foods & Meats — 1.8%
Hain Celestial Group, Inc. (1)(2)		23,600		872,492
Hormel Foods Corp. (1)		20,300		862,953
WhiteWave Foods Co. (1)(2)		27,700		1,072,544
				2,807,989
Soft Drinks — 0.7%
Monster Beverage Corp. (1)(2)		9,000		1,129,500
Total Consumer Staples				6,367,301
Energy — 3.1%
Integrated Oil & Gas — 1.7%
InterOil Corp. (1)(2)		104,400		2,727,972
Oil & Gas-Storage & Transportation — 1.4%
Golar LNG, Ltd. (1)		118,200		2,166,606
Total Energy				4,894,578
Financials — 7.0%
Asset Management & Custody Banks — 1.0%
Ameriprise Financial, Inc.		18,800		1,578,260
Multi-Line Insurance — 0.8%
Hartford Financial Services Group, Inc. (1)		30,400		1,280,448
Real Estate Services — 1.0%
CBRE Group, Inc., Class A (2)		59,600		1,514,436
Regional Banks — 0.5%
Signature Bank (1)(2)		6,300		816,165
Specialized Finance — 1.5%
Intercontinental Exchange, Inc.		9,600		2,289,216
Specialized REIT’s — 1.7%
Equinix, Inc. (1)		5,200		1,579,188
Extra Space Storage, Inc.		13,700		1,125,455
				2,704,643

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Thrifts & Mortgage Finance — 0.5%
MGIC Investment Corp. (1)(2)		110,300	$	754,452
Total Financials				10,937,620
Healthcare — 18.2%
Biotechnology — 2.5%
Incyte Corp. (1)(2)		10,400		764,400
Quintiles Transnational Holdings, Inc. (2)		28,313		1,775,508
Vertex Pharmaceuticals, Inc. (1)(2)		15,300		1,307,997
				3,847,905
Healthcare Distributors — 2.1%
AmerisourceBergen Corp.		19,200		1,663,104
Cardinal Health, Inc. (1)		20,400		1,666,680
				3,329,784
Healthcare Equipment — 3.6%
Hill-Rom Holdings, Inc. (1)		42,300		1,960,605
NxStage Medical, Inc. (1)(2)		114,400		1,704,560
STERIS PLC		32,100		2,064,672
				5,729,837
Healthcare Facilities — 1.6%
Acadia Healthcare Co., Inc. (1)(2)		43,972		2,436,489
Healthcare Services — 2.9%
Envision Healthcare Holdings, Inc. (1)(2)		61,028		1,342,006
Laboratory Corporation of America Holdings (1)(2)		13,500		1,482,840
MEDNAX, Inc. (1)(2)		26,300		1,763,152
				4,587,998
Healthcare Technology — 1.0%
Cerner Corp. (1)(2)		30,400		1,552,224
Managed Healthcare — 1.6%
Centene Corp. (1)(2)		43,400		2,472,064
Pharmaceuticals — 2.9%
Horizon Pharma PLC (1)(2)		102,005		1,750,406
Jazz Pharmaceuticals PLC (1)(2)		16,080		1,955,006
Perrigo Co. PLC		7,100		896,375
				4,601,787
Total Healthcare				28,558,088
Industrials — 12.6%
Aerospace & Defense — 0.8%
TransDigm Group, Inc. (1)(2)		5,500		1,174,690
Airlines — 1.2%
Southwest Airlines Co.		20,600		864,170
United Continental Holdings, Inc. (2)		16,600		950,516
				1,814,686
Building Products — 2.5%
Allegion PLC (1)		17,300		1,089,900
Builders FirstSource, Inc. (1)(2)		132,641		1,051,843
Fortune Brands Home & Security, Inc.		36,300		1,822,986
				3,964,729
Construction & Engineering — 0.7%
Dycom Industries, Inc. (2)		20,325		1,157,915
Construction Machinery & Heavy Trucks — 0.9%
Wabtec Corp. (1)		18,900		1,334,340

(See Notes which are an integral part of the Financial Statements)

14

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares			Value
Common Stocks (continued)
Industrials (continued)
Electrical Components & Equipment — 1.9%
AMETEK, Inc. (1)		30,625		$	1,421,307
Roper Technologies, Inc. (1)		9,700			1,628,921
					3,050,228
Environmental & Facilities Services — 1.0%
Waste Connections, Inc.		26,600			1,640,422
Human Resource & Employment Services — 0.9%
Robert Half International, Inc.		35,500			1,398,345
Industrial Machinery — 0.8%
Middleby Corp. (1)(2)		13,400			1,240,840
Research & Consulting Services — 1.3%
Verisk Analytics, Inc., Class A (1)(2)		28,026			2,041,414
Trucking — 0.6%
J.B. Hunt Transport Services, Inc.		12,500			953,625
Total Industrials					19,771,234
Information Technology — 26.1%
Application Software — 2.1%
Cadence Design Systems, Inc. (1)(2)		78,400			1,689,520
PTC, Inc. (2)		52,200			1,613,502
					3,303,022
Communications Equipment — 0.9%
Palo Alto Networks, Inc. (1)(2)		9,460			1,369,713
Consulting & Other Services — 0.7%
Leidos Holdings, Inc. (1)		24,600			1,063,212
Data Processing & Outsourced Services — 10.1%
Alliance Data Systems Corp. (1)(2)		11,300	��		2,374,469
Cardtronics, Inc. (1)(2)		57,918			1,952,995
Fiserv, Inc. (1)(2)		15,000			1,434,450
FleetCor Technologies, Inc. (1)(2)		9,200			1,174,748
Global Payments, Inc. (1)		21,300			1,298,235
Sabre Corp. (1)		87,600			2,378,340
Total System Services, Inc. (1)		38,000			1,656,040
Vantiv, Inc., Class A (1)(2)		44,900			2,336,596
VeriFone Systems, Inc. (1)(2)		54,100			1,292,449
					15,898,322
Electronic Components — 1.6%
Amphenol Corp., Class A (1)		47,800			2,536,746
Internet Software & Services — 2.7%
Criteo SA, ADR (1)(2)		76,161			2,825,573
j2 Global, Inc.		18,600			1,359,288
					4,184,861
Semiconductors — 1.7%
Cypress Semiconductor Corp. (1)(2)		149,600			1,193,808
NXP Semiconductors (2)		21,400			1,524,536
					2,718,344
Systems Software — 4.6%
Check Point Software Technologies, Ltd. (1)(2)		21,800			1,810,926
Fleetmatics Group PLC (1)(2)		27,600			996,636
Fortinet, Inc. (2)		38,810			1,102,204
Red Hat, Inc. (2)		36,014			2,353,515
ServiceNow, Inc. (1)(2)		16,800			923,832
					7,187,113

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Technology Distributors — 1.0%
CDW Corp.		40,000	$	1,583,200
Technology Hardware, Storage & Peripherals — 0.7%
Electronics for Imaging, Inc. (2)		29,700		1,176,417
Total Information Technology				41,020,950
Materials — 0.9%
Construction Materials — 0.9%
Vulcan Materials Co. (1)		14,700		1,448,391
Telecommunication Services — 3.7%
Alternative Carriers — 0.8%
Level 3 Communications, Inc. (2)		25,100		1,218,605
Wireless Telecommunication Services — 2.9%
Crown Castle International Corp. (1)		31,300		2,707,450
SBA Communications Corp., Class A (1)(2)		20,700		1,964,223
Total Telecommunication Services				5,890,278
Total Common Stocks (identified cost $133,833,589)				153,325,343
Short-Term Investments — 48.4%
Collateral Pool Investments for Securities on Loan — 44.6%
Collateral pool allocation (3)				69,977,252
Mutual Funds — 3.8%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		6,047,154		6,047,154
Total Short-Term Investments (identified cost $76,024,406)				76,024,406
Total Investments — 146.0% (identified cost $209,857,995)				229,349,749
Other Assets and Liabilities — (46.0)%				(72,278,889	)
Total Net Assets — 100.0%			$	157,070,860

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		21.9	%
Consumer Staples		4.1
Energy		3.1
Financials		7.0
Healthcare		18.2
Industrials		12.6
Information Technology		26.1
Materials		0.9
Telecommunication Services		3.7
Other Assets & Liabilities, Net		2.4
Total		100.0	%

(See Notes which are an integral part of the Financial Statements)

15

February 29, 2016 (Unaudited)

Schedules of Investments

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.4%
Consumer Discretionary — 8.7%
Apparel Retail — 1.8%
DSW, Inc., Class A (1)		30,000	$	786,000
Finish Line, Inc., Class A		38,000		692,360
				1,478,360
Auto Parts & Equipment — 2.3%
American Axle & Manufacturing Holdings, Inc. (1)(2)		65,785		961,777
Visteon Corp.		12,400		867,008
				1,828,785
Homebuilding — 2.5%
Century Communities, Inc. (1)(2)		85,490		1,345,612
TRI Pointe Group, Inc. (1)(2)		62,970		649,221
				1,994,833
Leisure Products — 1.2%
Brunswick Corp. (1)		22,700		965,658
Publishing — 0.9%
Time, Inc.		52,220		736,302
Total Consumer Discretionary				7,003,938
Consumer Staples — 2.1%
Agricultural Products — 1.0%
Darling Ingredients, Inc. (1)(2)		90,870		818,739
Food Retail — 1.1%
SUPERVALU, Inc. (2)		177,200		905,492
Total Consumer Staples				1,724,231
Energy — 2.9%
Oil & Gas-Equipment & Services — 1.0%
Oil States International, Inc. (1)(2)		31,900		832,909
Oil & Gas-Exploration & Production — 1.9%
Carrizo Oil & Gas, Inc. (1)(2)		31,100		668,650
QEP Resources, Inc. (1)		87,350		852,536
				1,521,186
Total Energy				2,354,095
Financials — 33.0%
Consumer Finance — 1.5%
Nelnet, Inc., Class A		32,950		1,238,920
Diversified Capital Markets — 2.7%
Encore Capital Group, Inc. (1)(2)		49,620		1,153,665
HFF, Inc., Class A (1)		41,543		1,039,821
				2,193,486
Industrial REIT’s — 1.9%
First Industrial Realty Trust, Inc. (1)		70,250		1,511,780
Life & Health Insurance — 0.9%
American Equity Investment Life Holding Co. (1)		55,200		750,720
Office REIT’s — 1.6%
Corporate Office Properties Trust (1)		56,050		1,311,570
Regional Banks — 15.4%
Ameris Bancorp (1)		52,600		1,419,674
BBCN Bancorp, Inc. (1)		75,400		1,078,974
Chemical Financial Corp.		38,400		1,299,072
Customers Bancorp, Inc. (1)(2)		55,700		1,261,605
First Merchants Corp.		62,400		1,384,656
First NBC Bank Holding Co. (2)		33,154		781,771
Great Western Bancorp, Inc. (1)		70,300		1,730,083

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks (continued)
TriCo Bancshares		55,720	$	1,381,856
United Community Banks, Inc.		77,348		1,338,894
Western Alliance Bancorp (2)		26,481		787,015
				12,463,600
Reinsurance — 4.4%
Enstar Group, Ltd. (1)(2)		6,600		1,043,130
Maiden Holdings, Ltd. (1)		113,841		1,362,677
State National Cos., Inc.		100,000		1,127,000
				3,532,807
Retail REIT’s — 1.7%
Cedar Realty Trust, Inc.		201,300		1,374,879
Specialized Finance — 0.6%
GAIN Capital Holdings, Inc. (1)		59,959		433,504
Specialized REIT’s — 1.2%
LaSalle Hotel Properties (1)		39,350		958,172
Thrifts & Mortgage Finance — 1.1%
EverBank Financial Corp. (1)		70,030		911,791
Total Financials				26,681,229
Healthcare — 4.8%
Healthcare Distributors — 1.2%
PharMerica Corp. (1)(2)		40,600		938,266
Healthcare Facilities — 1.6%
HealthSouth Corp. (1)		36,630		1,290,475
Healthcare Services — 1.4%
Civitas Solutions, Inc. (1)(2)		63,411		1,172,470
Pharmaceuticals — 0.6%
Impax Laboratories, Inc. (1)(2)		15,780		515,848
Total Healthcare				3,917,059
Industrials — 17.9%
Aerospace & Defense — 2.7%
Moog, Inc., Class A (1)(2)		10,700		462,026
Triumph Group, Inc.		55,350		1,685,961
				2,147,987
Air Freight & Logistics — 1.2%
Park-Ohio Holdings Corp. (1)		33,950		998,130
Construction & Engineering — 2.2%
Dycom Industries, Inc. (1)(2)		16,900		962,793
EMCOR Group, Inc.		17,310		794,010
				1,756,803
Electrical Components & Equipment — 1.4%
Regal Beloit Corp.		20,100		1,097,058
Environmental & Facilities Services — 1.5%
Tetra Tech, Inc. (1)		44,650		1,229,214
Industrial Machinery — 2.1%
Altra Industrial Motion Corp. (1)		51,500		1,251,965
Blount International, Inc. (1)(2)		47,443		460,197
				1,712,162
Research & Consulting Services — 1.2%
RPX Corp. (1)(2)		100,250		993,478
Trading Companies & Distributors — 4.1%
Applied Industrial Technologies, Inc. (1)		29,370		1,130,745
MRC Global, Inc. (1)(2)		90,860		1,085,777
WESCO International, Inc. (1)(2)		24,850		1,094,642
				3,311,164

(See Notes which are an integral part of the Financial Statements)

16

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Trucking — 1.5%
Swift Transportation Co., Class A (1)(2)		69,298	$	1,180,838
Total Industrials				14,426,834
Information Technology — 14.0%
Communications Equipment — 2.8%
Brocade Communications Systems, Inc.		119,571		1,187,340
Finisar Corp. (1)(2)		72,950		1,063,611
				2,250,951
Data Processing & Outsourced Services — 2.8%
Convergys Corp. (1)		60,780		1,566,908
MoneyGram International, Inc. (1)(2)		136,400		733,832
				2,300,740
Electronic Components — 2.0%
Vishay Intertechnology, Inc. (1)		135,100		1,599,584
Systems Software — 1.0%
AVG Technologies NV (1)(2)		42,980		822,637
Technology Distributors — 2.3%
Ingram Micro, Inc., Class A		51,170		1,831,886
Technology Hardware, Storage & Peripherals — 3.1%
Datalink Corp. (1)(2)		196,300		1,405,508
Synaptics, Inc. (1)(2)		13,950		1,132,880
				2,538,388
Total Information Technology				11,344,186
Materials — 8.7%
Metal & Glass Containers — 2.0%
Berry Plastics Group, Inc. (1)(2)		52,700		1,640,551
Paper Packaging — 1.6%
Graphic Packaging Holding Co. (1)		105,500		1,300,815
Paper Products — 1.0%
KapStone Paper and Packaging Corp. (1)		76,500		783,360
Specialty Chemicals — 2.8%
A Schulman, Inc. (1)		53,940		1,331,779
GCP Applied Technologies, Inc. (2)		51,100		906,003
				2,237,782
Steel — 1.3%
Worthington Industries, Inc. (1)		33,430		1,040,007
Total Materials				7,002,515
Utilities — 5.3%
Electric Utilities — 5.3%
Great Plains Energy, Inc. (1)		47,680		1,398,931
PNM Resources, Inc. (1)		50,900		1,624,728
Portland General Electric Co. (1)		32,400		1,232,820
Total Utilities				4,256,479
Total Common Stocks (identified cost $85,379,789)				78,710,566
Short-Term Investments — 41.2%
Collateral Pool Investments for Securities on Loan — 39.3%
Collateral pool allocation (3)				31,739,073

Description	Shares		Value
Mutual Funds — 1.9%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		1,572,727	$	1,572,727
Total Short-Term Investments (identified cost $33,311,800)				33,311,800
Total Investments — 138.6% (identified cost $118,691,589)				112,022,366
Other Assets and Liabilities — (38.6)%				(31,215,662	)
Total Net Assets — 100.0%			$	80,806,704

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		8.7	%
Consumer Staples		2.1
Energy		2.9
Financials		33.0
Healthcare		4.8
Industrials		17.9
Information Technology		14.0
Materials		8.7
Utilities		5.3
Other Assets & Liabilities, Net		2.6
Total		100.0	%

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 98.1%
Consumer Discretionary — 11.6%
Apparel Retail — 2.8%
Cato Corp., Class A (1)		1,641	$	59,404
Children’s Place, Inc. (1)		1,138		77,544
Express, Inc. (1)(2)		3,836		66,094
Tilly’s, Inc. (2)		2,205		15,854
				218,896
Auto Parts & Equipment — 2.5%
American Axle & Manufacturing Holdings, Inc. (1)(2)		3,478		50,848
Cooper-Standard Holding, Inc. (2)		376		27,542
Dana Holding Corp.		3,267		40,641
Tenneco, Inc. (1)(2)		859		39,102
Tower International, Inc.		1,939		41,611
				199,744
Automotive Retail — 0.7%
Sonic Automotive, Inc., Class A (1)		2,732		52,318
Broadcasting — 0.9%
Gray Television, Inc. (2)		2,181		25,169
Sinclair Broadcast Group, Inc., Class A		1,504		46,428
				71,597
Education Services — 0.6%
K12, Inc. (1)(2)		4,562		44,662
Homefurnishing Retail — 0.6%
Select Comfort Corp. (1)(2)		2,543		45,520

(See Notes which are an integral part of the Financial Statements)

17

February 29, 2016 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Hotels, Resorts & Cruise Lines — 0.9%
Marcus Corp.		986	$	18,418
Marriott Vacations Worldwide Corp.		940		56,917
				75,335
Housewares & Specialties — 0.2%
CSS Industries, Inc.		554		14,997
Leisure Products — 0.7%
Nautilus, Inc. (2)		3,160		53,372
Restaurants — 0.4%
Bravo Brio Restaurant Group, Inc. (2)		3,799		29,670
Specialty Stores — 0.3%
Hibbett Sports, Inc. (1)(2)		579		20,555
Tires & Rubber — 1.0%
Cooper Tire & Rubber Co.		2,086		81,980
Total Consumer Discretionary				908,646
Consumer Staples — 3.2%
Agricultural Products — 0.4%
Darling Ingredients, Inc. (1)(2)		3,741		33,706
Food Distributors — 0.3%
SpartanNash Co. (1)		800		21,960
Food Retail — 0.4%
Ingles Markets, Inc., Class A (1)		907		30,593
Packaged Foods & Meats — 2.1%
Dean Foods Co. (1)		4,133		79,726
Sanderson Farms, Inc. (1)		912		83,229
				162,955
Total Consumer Staples				249,214
Energy — 2.1%
Oil & Gas-Drilling — 0.3%
Patterson-UTI Energy, Inc.		1,700		26,418
Oil & Gas-Equipment & Services — 1.5%
Helix Energy Solutions Group, Inc. (1)(2)		5,403		21,072
Hornbeck Offshore Services, Inc. (1)(2)		1,493		12,825
Matrix Service Co. (1)(2)		2,280		41,929
Superior Energy Services, Inc. (1)		1,566		16,098
TETRA Technologies, Inc. (2)		4,798		24,182
				116,106
Oil & Gas-Exploration & Production — 0.3%
QEP Resources, Inc. (1)		2,283		22,282
Total Energy				164,806
Financials — 22.4%
Consumer Finance — 1.1%
Cash America International, Inc. (1)		1,785		60,137
Regional Management Corp. (1)(2)		1,578		24,143
				84,280
Diversified REIT’s — 2.4%
American Assets Trust, Inc. (1)		1,707		63,313
Cousins Properties, Inc.		7,837		67,868
First Potomac Realty Trust		1,974		16,700
Winthrop Realty Trust		3,287		43,257
				191,138
Hotel & Resort REIT’s — 0.7%
Hersha Hospitality Trust (1)		2,656		53,465

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Multi-Line Insurance — 0.8%
Horace Mann Educators Corp.		2,037	$	62,760
Office REIT’s — 1.9%
DuPont Fabros Technology, Inc.		2,306		82,209
Mack-Cali Realty Corp. (1)		3,504		69,730
				151,939
Property & Casualty Insurance — 3.8%
Argo Group International Holdings, Ltd.		836		46,590
Employers Holdings, Inc.		2,510		69,678
HCI Group, Inc. (1)		1,613		56,681
Heritage Insurance Holdings, Inc. (1)		1,501		29,299
Navigators Group, Inc. (2)		418		33,850
Selective Insurance Group, Inc. (1)		1,880		63,130
				299,228
Regional Banks — 7.8%
1st Source Corp.		885		26,948
Banc of California, Inc. (1)		2,305		35,336
BancFirst Corp. (1)		488		27,572
BBCN Bancorp, Inc. (1)		4,058		58,070
Central Pacific Financial Corp.		3,017		60,129
Fidelity Southern Corp. (1)		2,322		34,807
Financial Institutions, Inc. (1)		655		17,371
First Financial Corp.		694		22,867
First Interstate BancSystem, Inc., Class A (1)		1,144		30,659
Great Southern Bancorp, Inc.		397		14,915
Great Western Bancorp, Inc.		1,431		35,217
Hanmi Financial Corp.		1,536		31,995
Heritage Financial Corp.		1,789		31,200
Investors Bancorp, Inc. (1)		5,181		58,649
Preferred Bank		1,118		31,919
Talmer Bancorp, Inc.		1,828		30,710
Wilshire Bancorp, Inc.		6,083		59,857
				608,221
Reinsurance — 0.7%
Maiden Holdings, Ltd. (1)		4,695		56,199
Retail REIT’s — 0.3%
Saul Centers, Inc. (1)		548		26,841
Specialized REIT’s — 1.6%
Chesapeake Lodging Trust (1)		1,549		39,360
CubeSmart (1)		584		17,461
EPR Properties		295		18,358
Sovran Self Storage, Inc. (1)		431		45,876
				121,055
Thrifts & Mortgage Finance — 1.3%
Walker & Dunlop, Inc. (2)		2,771		64,066
Washington Federal, Inc. (1)		1,622		34,370
				98,436
Total Financials				1,753,562
Healthcare — 17.5%
Biotechnology — 2.5%
Emergent BioSolutions, Inc. (1)(2)		1,848		62,518
Ligand Pharmaceuticals, Inc., Class B (1)(2)		540		49,831
Myriad Genetics, Inc. (1)(2)		1,274		44,590
Repligen Corp. (1)(2)		1,477		38,003
				194,942
Healthcare Distributors — 0.7%
PharMerica Corp. (1)(2)		2,372		54,817

(See Notes which are an integral part of the Financial Statements)

18

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Equipment — 2.9%
Cynosure, Inc., Class A (1)(2)		1,883	$	76,582
LeMaitre Vascular, Inc.		1,958		28,841
Masimo Corp. (1)(2)		1,995		75,491
NuVasive, Inc. (2)		1,203		50,285
				231,199
Healthcare Facilities — 1.3%
Amsurg Corp. (1)(2)		1,072		72,950
U.S. Physical Therapy, Inc.		552		27,981
				100,931
Healthcare Services — 1.4%
AMN Healthcare Services, Inc. (1)(2)		2,054		58,395
CorVel Corp. (1)(2)		603		25,019
Providence Service Corp. (1)(2)		514		24,420
				107,834
Healthcare Supplies — 0.6%
ICU Medical, Inc. (2)		280		25,732
OraSure Technologies, Inc. (2)		3,587		24,069
				49,801
Healthcare Technology — 0.9%
Quality Systems, Inc. (1)		4,377		68,062
Life Sciences Tools & Services — 3.1%
Cambrex Corp. (1)(2)		1,673		64,528
INC Research Holdings, Inc. (2)		1,625		64,480
Luminex Corp. (2)		2,352		43,935
PAREXEL International Corp. (1)(2)		1,270		74,536
				247,479
Managed Healthcare — 2.1%
Magellan Health, Inc. (2)		1,341		84,463
Molina Healthcare, Inc. (1)(2)		962		59,682
WellCare Health Plans, Inc. (1)(2)		203		18,244
				162,389
Pharmaceuticals — 2.0%
Insys Therapeutics, Inc. (1)(2)		1,252		21,885
Prestige Brands Holdings, Inc. (2)		1,546		75,599
Sagent Pharmaceuticals, Inc. (1)(2)		1,903		26,985
Sucampo Pharmaceuticals, Inc., Class A (1)(2)		2,548		33,506
				157,975
Total Healthcare				1,375,429
Industrials — 15.3%
Aerospace & Defense — 0.5%
DigitalGlobe, Inc. (2)		2,697		40,563
Air Freight & Logistics — 0.8%
Atlas Air Worldwide Holdings, Inc. (1)(2)		1,715		62,100
Airlines — 1.2%
Hawaiian Holdings, Inc. (1)(2)		2,229		95,892
Building Products — 0.8%
Gibraltar Industries, Inc. (1)(2)		2,637		65,173
Commercial Printing — 0.7%
Ennis, Inc. (1)		2,654		52,390
Construction & Engineering — 0.2%
EMCOR Group, Inc.		340		15,596
Construction Machinery & Heavy Trucks — 0.9%
Wabash National Corp. (1)(2)		6,060		71,084

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Diversified Support Services — 0.9%
UniFirst Corp.		619	$	65,249
Industrial Machinery — 2.8%
Briggs & Stratton Corp. (1)		3,130		66,575
Chart Industries, Inc. (1)(2)		1,753		35,358
Global Brass & Copper Holdings, Inc.		2,963		65,305
Kadant, Inc. (1)		1,324		50,537
				217,775
Marine — 0.7%
Matson, Inc.		1,391		55,765
Office Services & Supplies — 2.4%
ACCO Brands Corp. (1)(2)		8,414		61,506
Herman Miller, Inc.		1,576		41,118
Sykes Enterprises, Inc. (1)(2)		2,690		81,964
				184,588
Research & Consulting Services — 0.5%
RPX Corp. (1)(2)		3,844		38,094
Security & Alarm Services — 0.7%
Brink’s Co. (1)		1,918		56,102
Trading Companies & Distributors — 1.0%
H&E Equipment Services, Inc.		3,545		46,687
MRC Global, Inc. (1)(2)		2,827		33,783
				80,470
Trucking — 1.2%
ArcBest Corp.		3,260		63,798
USA Truck, Inc. (1)(2)		1,951		30,787
				94,585
Total Industrials				1,195,426
Information Technology — 19.2%
Application Software — 0.6%
PTC, Inc. (2)		1,399		43,243
Communications Equipment — 2.7%
Ixia (1)(2)		5,852		66,771
NETGEAR, Inc. (1)(2)		1,060		41,881
Plantronics, Inc. (1)		1,044		39,150
Polycom, Inc. (1)(2)		6,036		62,835
				210,637
Consulting & Other Services — 0.4%
The Hackett Group, Inc.		2,251		31,289
Data Processing & Outsourced Services — 2.3%
Convergys Corp. (1)		1,024		26,399
Euronet Worldwide, Inc. (2)		1,177		77,140
ExlService Holdings, Inc. (2)		1,668		78,546
				182,085
Electronic Components — 0.4%
II-VI, Inc. (2)		1,609		35,318
Electronic Equipment & Instruments — 1.7%
Itron, Inc. (1)(2)		1,355		53,983
Newport Corp. (2)		3,407		77,578
				131,561
Electronic Manufacturing Services — 2.5%
Benchmark Electronics, Inc. (1)(2)		3,441		74,498
Methode Electronics, Inc. (1)		2,132		60,911
Sanmina Corp. (2)		3,023		62,274
				197,683

(See Notes which are an integral part of the Financial Statements)

19

February 29, 2016 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Internet Software & Services — 1.0%
Blucora, Inc. (1)(2)		3,304	$	20,319
DHI Group, Inc. (2)		4,283		33,322
EarthLink Holdings Corp. (1)		4,251		23,976
				77,617
Semiconductor Equipment — 2.4%
Advanced Energy Industries, Inc. (1)(2)		2,548		76,007
Amkor Technology, Inc. (1)(2)		10,584		53,555
Cabot Microelectronics Corp. (2)		667		25,653
Photronics, Inc. (1)(2)		2,905		29,544
				184,759
Semiconductors — 2.3%
Integrated Device Technology, Inc. (2)		3,408		66,183
IXYS Corp.		3,436		38,758
NeoPhotonics Corp. (1)(2)		7,148		78,342
				183,283
Systems Software — 1.3%
Fleetmatics Group PLC (1)(2)		802		28,960
Gigamon, Inc. (1)(2)		2,679		73,324
				102,284
Technology Distributors — 1.4%
Insight Enterprises, Inc. (2)		2,406		62,797
SYNNEX Corp. (1)		479		45,040
				107,837
Technology Hardware, Storage & Peripherals — 0.2%
QLogic Corp. (2)		1,386		17,865
Total Information Technology				1,505,461
Materials — 2.9%
Commodity Chemicals — 0.5%
Koppers Holdings, Inc. (2)		2,332		40,903
Metal & Glass Containers — 1.0%
Berry Plastics Group, Inc. (1)(2)		2,428		75,584
Paper Packaging — 0.7%
AEP Industries, Inc. (1)		731		57,537
Specialty Chemicals — 0.7%
Innospec, Inc. (1)		1,316		57,114
Total Materials				231,138
Telecommunication Services — 1.4%
Alternative Carriers — 0.6%
Inteliquent, Inc.		2,605		44,337
Integrated Telecommunication Services — 0.8%
General Communication, Inc., Class A (1)(2)		3,541		67,598
Total Telecommunication Services				111,935
Utilities — 2.5%
Electric Utilities — 2.5%
El Paso Electric Co.		1,927		78,718
PNM Resources, Inc. (1)		2,538		81,013
Portland General Electric Co.		914		34,778
Total Utilities				194,509
Total Common Stocks (identified cost $7,734,920)				7,690,126

Description	Shares		Value
Short-Term Investments — 46.9%
Collateral Pool Investments for Securities on Loan — 45.1%
Collateral pool allocation (3)			$	3,539,961
Mutual Funds — 1.8%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		138,519		138,519
Total Short-Term Investments (identified cost $3,678,480)				3,678,480
Total Investments — 145.0% (identified cost $11,413,400)				11,368,606
Other Assets and Liabilities — (45.0)%				(3,529,210	)
Total Net Assets — 100.0%			$	7,839,396

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		11.6	%
Consumer Staples		3.2
Energy		2.1
Financials		22.4
Healthcare		17.5
Industrials		15.3
Information Technology		19.2
Materials		2.9
Telecommunication Services		1.4
Utilities		2.5
Other Assets & Liabilities, Net		1.9
Total		100.0	%

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 96.3%
Consumer Discretionary — 11.6%
Advertising — 0.8%
National CineMedia, Inc. (1)		257,099	$	3,843,630
Apparel, Accessories & Luxury Goods — 0.7%
Columbia Sportswear Co. (1)		59,150		3,520,608
Consumer Electronics — 0.7%
Universal Electronics, Inc. (1)(2)		64,759		3,441,293
General Merchandise Stores — 1.6%
Burlington Stores, Inc. (1)(2)		135,596		7,601,512
Home Furnishings — 0.9%
La-Z-Boy, Inc.		166,386		4,051,499
Homebuilding — 4.4%
M/I Homes, Inc. (1)(2)		269,459		4,734,395
TRI Pointe Group, Inc. (1)(2)		870,535		8,975,216
William Lyon Homes, Class A (1)(2)		594,111		7,046,156
				20,755,767
Leisure Products — 0.6%
Performance Sports Group, Ltd. (1)(2)		352,649		2,680,133
Publishing — 1.9%
New Media Investment Group, Inc.		560,435		8,759,599
Total Consumer Discretionary				54,654,041

(See Notes which are an integral part of the Financial Statements)

20

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 1.8%
Food Retail — 0.7%
Sprouts Farmers Market, Inc. (1)(2)		114,020	$	3,247,290
Packaged Foods & Meats — 1.1%
Hain Celestial Group, Inc. (1)(2)		145,283		5,371,112
Total Consumer Staples				8,618,402
Energy — 4.1%
Integrated Oil & Gas — 2.3%
InterOil Corp. (1)(2)		413,592		10,807,159
Oil & Gas-Storage & Transportation — 1.8%
Golar LNG, Ltd. (1)		468,969		8,596,202
Total Energy				19,403,361
Financials — 7.6%
Health Care REIT’s — 1.3%
New Senior Investment Group, Inc.		648,057		6,279,672
Multi-Sector Holdings — 1.1%
PICO Holdings, Inc. (1)(2)		571,687		4,887,924
Specialized Finance — 2.3%
GAIN Capital Holdings, Inc. (1)		1,483,717		10,727,274
Specialized REIT’s — 1.1%
Summit Hotel Properties, Inc. (1)		494,962		5,350,539
Thrifts & Mortgage Finance — 1.8%
LendingTree, Inc. (1)(2)		96,976		8,569,769
Total Financials				35,815,178
Healthcare — 26.5%
Biotechnology — 1.7%
Eagle Pharmaceuticals, Inc. (1)(2)		63,564		4,029,322
Vanda Pharmaceuticals, Inc. (1)(2)		522,193		4,099,215
				8,128,537
Healthcare Equipment — 7.7%
ABIOMED, Inc. (1)(2)		65,331		5,227,133
Globus Medical, Inc., Class A (1)(2)		240,062		5,833,507
Hill-Rom Holdings, Inc.		155,010		7,184,714
NxStage Medical, Inc. (2)		536,356		7,991,704
STERIS PLC		76,641		4,929,549
Trinity Biotech PLC (1)		489,340		4,800,425
				35,967,032
Healthcare Facilities — 3.6%
Acadia Healthcare Co., Inc. (1)(2)		129,261		7,162,352
Amsurg Corp. (2)		55,049		3,746,084
HealthSouth Corp.		173,843		6,124,489
				17,032,925
Healthcare Services — 4.1%
Adeptus Health, Inc. (1)(2)		67,000		3,813,640
Almost Family, Inc. (2)		63,913		2,413,355
AMN Healthcare Services, Inc. (1)(2)		269,126		7,651,252
Civitas Solutions, Inc. (2)		151,168		2,795,097
Cross Country Healthcare, Inc. (2)		198,493		2,463,298
				19,136,642
Life Sciences Tools & Services — 3.7%
Albany Molecular Research, Inc. (1)(2)		389,669		5,743,721
ICON PLC (1)(2)		102,377		7,285,147
PRA Health Sciences, Inc. (1)(2)		101,341		4,374,891
				17,403,759

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Pharmaceuticals — 5.7%
Akorn, Inc. (1)(2)		45,951	$	1,221,837
Horizon Pharma PLC (1)(2)		372,001		6,383,537
Medicines Co. (1)(2)		117,160		3,767,866
Omeros Corp. (1)(2)		694,021		7,037,373
Pacira Pharmaceuticals, Inc. (1)(2)		94,231		4,900,954
Phibro Animal Health Corp., Class A		124,178		3,434,764
				26,746,331
Total Healthcare				124,415,226
Industrials — 10.6%
Aerospace & Defense — 1.7%
HEICO Corp. (1)		43,851		2,521,871
Hexcel Corp. (1)		128,100		5,294,373
				7,816,244
Building Products — 2.6%
Builders FirstSource, Inc. (1)(2)		789,796		6,263,082
Lennox International, Inc. (1)		44,200		5,711,082
				11,974,164
Construction & Engineering — 1.4%
Dycom Industries, Inc. (1)(2)		115,174		6,561,463
Human Resource & Employment Services — 1.3%
On Assignment, Inc. (1)(2)		189,064		6,241,003
Industrial Machinery — 0.8%
Barnes Group, Inc.		104,793		3,595,448
Office Services & Supplies — 0.4%
ARC Document Solutions, Inc. (1)(2)		521,140		1,823,990
Research & Consulting Services — 1.2%
Advisory Board Co. (1)(2)		197,413		5,821,709
Trading Companies & Distributors — 1.2%
Watsco, Inc. (1)		44,765		5,709,776
Total Industrials				49,543,797
Information Technology — 26.9%
Application Software — 2.4%
Callidus Software, Inc. (1)(2)		416,377		5,716,856
HubSpot, Inc. (1)(2)		50,293		2,095,206
RingCentral, Inc., Class A (1)(2)		193,049		3,571,407
				11,383,469
Consulting & Other Services — 0.9%
Virtusa Corp. (1)(2)		122,871		4,349,633
Data Processing & Outsourced Services — 4.5%
Cardtronics, Inc. (1)(2)		210,607		7,101,668
MAXIMUS, Inc. (1)		126,410		6,215,580
VeriFone Systems, Inc. (2)		314,300		7,508,627
				20,825,875
Internet Software & Services — 7.7%
Actua Corp. (1)(2)		865,560		7,037,003
Criteo SA, ADR (1)(2)		299,402		11,107,814
j2 Global, Inc.		81,581		5,961,939
LogMeIn, Inc. (1)(2)		133,989		6,820,040
WebMD Health Corp. (1)(2)		91,615		5,080,968
				36,007,764
Semiconductors — 2.2%
Cypress Semiconductor Corp. (1)(2)		593,700		4,737,726
Microsemi Corp. (1)(2)		158,404		5,485,531
				10,223,257

(See Notes which are an integral part of the Financial Statements)

21

February 29, 2016 (Unaudited)

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Systems Software — 7.4%
Fleetmatics Group PLC (1)(2)		131,000	$	4,730,410
Gigamon, Inc. (1)(2)		217,515		5,953,386
Proofpoint, Inc. (1)(2)		91,898		4,304,502
Rubicon Project, Inc. (1)(2)		1,204,714		19,865,734
				34,854,032
Technology Hardware, Storage & Peripherals — 1.8%
Electronics for Imaging, Inc. (1)(2)		125,000		4,951,250
Silicon Graphics International (1)(2)		584,570		3,548,340
				8,499,590
Total Information Technology				126,143,620
Telecommunication Services — 7.2%
Alternative Carriers — 7.2%
8x8, Inc. (1)(2)		478,297		5,562,594
Cogent Communications Holdings (1)		111,018		4,074,360
inContact, Inc. (1)(2)		2,376,389		22,029,126
Vonage Holdings Corp. (1)(2)		387,629		2,081,568
Total Telecommunication Services				33,747,648
Total Common Stocks (identified cost $449,806,663)				452,341,273
Short-Term Investments — 49.3%
Collateral Pool Investments for Securities on Loan — 45.8%
Collateral pool allocation (3)				214,875,932
Mutual Funds — 3.5%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		16,610,248		16,610,248
Total Short-Term Investments (identified cost $231,486,180)				231,486,180
Total Investments — 145.6% (identified cost $681,292,843)				683,827,453
Other Assets and Liabilities — (45.6)%				(214,251,218	)
Total Net Assets — 100.0%			$	469,576,235

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		11.6	%
Consumer Staples		1.8
Energy		4.1
Financials		7.6
Healthcare		26.5
Industrials		10.6
Information Technology		26.9
Telecommunication Services		7.2
Other Assets & Liabilities, Net		3.7
Total		100.0	%

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 97.9%
Austria — 0.9%
Flughafen Wien AG		2,214	$	193,094
Oesterreichische Post AG		2,874		103,211
				296,305
Belgium — 0.9%
Ageas		2,031		74,939
bpost SA		10,033		248,677
				323,616
Bermuda — 2.9%
Bunge, Ltd. (1)		1,974		98,147
Enstar Group, Ltd. (1)(2)		1,210		191,241
Everest Re Group, Ltd. (1)		3,523		655,736
Giordano International, Ltd.		148,000		55,421
				1,000,545
Canada — 7.7%
Artis Real Estate Investment Trust		5,773		52,909
BCE, Inc.		9,892		427,264
Canadian Tire Corp., Ltd., Class A		1,138		110,637
Cogeco Communications, Inc.		827		38,771
Dollarama, Inc.		9,127		531,295
First Capital Realty, Inc. (1)		17,546		254,177
George Weston, Ltd.		1,241		101,032
Laurentian Bank of Canada		4,930		166,337
Loblaw Cos., Ltd.		13,082		664,542
Medical Facilities Corp. (1)		3,783		40,906
Metro, Inc.		2,088		66,730
National Bank of Canada		1,793		48,847
North West Co., Inc.		4,521		104,855
Valener, Inc. (1)		5,536		77,741
				2,686,043
Czech Republic — 1.1%
CEZ AS		26,029		383,656
Denmark — 0.3%
Matas A/S		5,548		106,241
France — 0.1%
Boiron SA		672		51,862
Germany — 3.5%
DMG Mori AG		4,945		203,272
Fresenius Medical Care AG & Co. KGaA		7,214		610,177
Fresenius SE & Co. KGaA		5,904		389,834
				1,203,283
Guernsey — 1.7%
Amdocs, Ltd. (1)		10,673		605,799
Hong Kong — 4.7%
CLP Holdings, Ltd.		83,000		722,644
HK Electric Investments & HK Electric Investments, Ltd. (1)		652,500		545,202
PCCW, Ltd.		406,000		257,399
Yuexiu Real Estate Investment Trust, REIT		193,000		100,702
				1,625,947
Hungary — 0.4%
Magyar Telekom Telecommunications PLC (2)		51,542		77,179
Richter Gedeon Nyrt		3,859		68,481
				145,660
Ireland — 0.2%
ICON PLC (1)(2)		919		65,396

(See Notes which are an integral part of the Financial Statements)

22

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Israel — 4.4%
Bank Hapoalim BM		39,886	$	194,869
Bank Leumi Le-Israel BM (2)		159,660		532,157
Bezeq — The Israeli Telecommunication Corp., Ltd.		264,221		592,072
Elbit Systems, Ltd.		2,396		198,523
				1,517,621
Italy — 1.5%
ACEA SpA		8,140		109,347
Amplifon SpA		23,679		189,715
Engineering SpA		1,097		77,961
Reply SpA		1,163		141,592
				518,615
Japan — 5.3%
Benesse Holdings, Inc. (1)		6,600		200,118
Duskin Co., Ltd. (1)		14,700		272,399
Lion Corp.		25,000		263,547
Megmilk Snow Brand Co., Ltd. (1)		4,100		97,161
Morinaga Milk Industry Co., Ltd.		66,000		309,589
Nippon Telegraph & Telephone Corp.		9,900		423,673
Nisshin Oillio Group, Ltd. (1)		41,000		163,851
Noevir Holdings Co., Ltd.		4,100		110,884
				1,841,222
Malaysia — 1.7%
Public Bank Bhd		93,600		411,341
Tenaga Nasional Bhd		60,700		189,861
				601,202
Netherlands — 0.1%
Sligro Food Group NV		1,228		47,160
New Zealand — 6.8%
Air New Zealand, Ltd.		76,562		137,594
Argosy Property, Ltd.		164,077		122,568
Chorus, Ltd. (2)		31,963		82,524
Ebos Group, Ltd.		10,286		105,825
Fisher & Paykel Healthcare Corp., Ltd.		151,569		876,349
Infratil, Ltd.		63,017		129,133
Meridian Energy, Ltd.		161,226		263,458
Metlifecare, Ltd.		33,118		103,610
Mighty River Power, Ltd.		81,768		142,236
Ryman Healthcare, Ltd.		37,332		196,811
Summerset Group Holdings, Ltd.		50,209		129,717
Z Energy, Ltd.		21,423		88,383
				2,378,208
Philippines — 1.7%
First Philippine Holdings Corp.		54,700		69,535
Globe Telecom, Inc.		4,380		163,198
Manila Electric Co.		52,820		360,801
				593,534
Portugal — 0.2%
REN—Redes Energeticas Nacionais SGPS SA		24,625		69,442
Singapore — 8.0%
Ascott Residence Trust		75,300		60,554
CDL Hospitality Trusts (1)		65,500		59,648
Frasers Centrepoint Trust (1)		157,500		222,443
Hutchison Port Holdings Trust, Class U		237,500		111,858
Mapletree Industrial Trust (1)		66,300		72,887
Mapletree Logistics Trust		389,700		270,210
Raffles Medical Group, Ltd.		54,000		167,833

Description	Shares		Value
Common Stocks (continued)
Singapore (continued)
Religare Health Trust		185,800	$	121,580
SATS, Ltd.		106,100		296,693
Sheng Siong Group, Ltd.		114,700		69,776
Singapore Airlines, Ltd.		24,600		203,448
Singapore Post, Ltd.		273,500		281,303
Singapore Telecommunications, Ltd.		21,200		55,620
Singapore Telecommunications, Ltd.		154,500		409,750
StarHub, Ltd. (1)		64,700		156,888
Venture Corp., Ltd.		41,400		239,809
				2,800,300
South Korea — 1.0%
GS Home Shopping, Inc.		680		101,284
Kia Motors Corp.		6,526		244,164
				345,448
Switzerland — 1.4%
Intershop Holding AG		156		67,991
Novartis AG		5,108		364,559
Roche Holding AG		255		65,316
				497,866
Taiwan — 3.6%
Chunghwa Telecom Co., Ltd.		233,000		732,943
Far EasTone Telecommunications Co., Ltd.		137,000		286,310
Taichung Commercial Bank Co., Ltd.		404,939		111,026
Taiwan Secom Co., Ltd.		38,075		105,946
				1,236,225
Thailand — 1.4%
Advanced Info Service PCL		53,200		254,578
Thai Beverage PCL		465,400		231,707
				486,285
United Kingdom — 5.0%
AstraZeneca PLC		3,855		218,699
EMIS Group PLC		14,760		220,905
Greggs PLC		27,123		389,123
Halfords Group PLC		10,761		59,240
Lookers PLC		55,131		118,026
Next PLC		4,146		389,757
Primary Health Properties PLC, REIT		73,080		107,225
Redde PLC		83,694		229,544
				1,732,519
United States — 31.4%
AmerisourceBergen Corp.		7,952		688,802
Atrion Corp. (1)		295		110,846
Carter’s, Inc.		737		74,901
Cintas Corp.		7,181		603,132
Clorox Co. (1)		762		96,332
Consolidated Edison, Inc. (1)		8,964		627,570
Dr. Pepper Snapple Group, Inc.		9,332		854,158
Edison International		2,260		154,042
Entergy Corp. (1)		1,589		114,742
Exelon Corp. (1)		12,962		408,173
Forrester Research, Inc. (1)		1,875		58,350
General Mills, Inc. (1)		10,373		610,451
Heritage Insurance Holdings, Inc.		3,964		77,377
ICU Medical, Inc. (1)(2)		1,343		123,422
Johnson & Johnson		6,285		661,245
Kaiser Aluminum Corp. (1)		6,484		496,739
Kohl’s Corp. (1)		1,564		72,992
Laboratory Corporation of America Holdings (2)		4,305		472,861
McKesson Corp.		3,688		573,927
Merck & Co., Inc. (1)		11,692		587,055

(See Notes which are an integral part of the Financial Statements)

23

February 29, 2016 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
United States (continued)
Meridian Bancorp Inc (1)		34,462	$	475,231
Navigators Group, Inc. (1)(2)		2,015		163,175
PepsiCo, Inc.		6,965		681,316
Pfizer, Inc. (1)		15,623		463,534
Portland General Electric Co. (1)		6,991		266,008
Quidel Corp. (1)(2)		10,783		168,970
Verizon Communications, Inc. (1)		14,835		752,580
Wal-Mart Stores, Inc. (1)		7,545		500,535
				10,938,466
Total Common Stocks (identified cost $33,538,182)				34,098,466
Short-Term Investments — 21.5%
Collateral Investment for Securities on Loan — 19.6%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468% (3)				6,829,574
Mutual Funds — 1.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		648,092		648,092
Total Short-Term Investments (identified cost $7,477,666)				7,477,666
Total Investments — 119.4% (identified cost $41,015,848)				41,576,132
Other Assets and Liabilities — (19.4)%				(6,747,401	)
Total Net Assets — 100.0%			$	34,828,731

Industry Allocation
Industry	Value		% of Total Net Assets
Aerospace/Defense	$	198,523		0.6	%
Agriculture		98,147		0.3
Airlines		341,042		1.0
Apparel		74,901		0.2
Auto Manufacturers		244,164		0.7
Banks		1,464,577		4.2
Beverages		1,767,181		5.1
Commercial Services		1,581,348		4.5
Computers		605,799		1.7
Cosmetics/Personal Care		374,430		1.1
Electric		4,555,850		13.1
Electronics		239,809		0.7
Engineering & Construction		489,787		1.4
Food		2,554,494		7.3
Gas		77,741		0.2
Hand/Machine Tools		203,272		0.6
Healthcare-Products		1,385,411		4.0
Healthcare-Services		2,177,145		6.3
Household Products/Wares		96,332		0.3
Insurance		1,162,467		3.3
Internet		219,553		0.6
Media		38,771		0.1
Mining		496,739		1.4
Oil & Gas		88,383		0.3
Pharmaceuticals		3,743,481		10.8
Real Estate		566,317		1.6
Real Estate Investment Trusts		946,577		2.7
Retail		2,304,919		6.6

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Savings & Loans	$	475,231			1.4	%
Software		220,905			0.6
Telecommunications		4,671,978			13.4
Transportation		633,192			1.8
Total Common Stocks		34,098,466			97.9
Collateral Investment for Securities on Loan		6,829,574			19.6
Mutual Funds		648,092			1.9
Total Investments		41,576,132			119.4
Other Assets and Liabilities		(6,747,401	)		(19.4	)
Total Net Assets	$	34,828,731			100.0	%

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 97.9%
Australia — 5.4%
Australia & New Zealand Banking Group, Ltd.		34,638	$	551,438
BHP Billiton, Ltd.		40,633		464,696
CSL, Ltd.		4,512		330,033
Fortescue Metals Group, Ltd. (1)		65,934		96,084
Ramsay Health Care, Ltd.		12,573		592,435
Telstra Corp., Ltd.		244,715		917,265
Woodside Petroleum, Ltd.		50,004		904,586
				3,856,537
Belgium — 0.2%
bpost SA		4,735		117,362
Bermuda — 0.2%
Fly Leasing, Ltd.		11,949		152,469
Denmark — 6.8%
AP Moeller — Maersk A/S		788		1,030,289
Novo Nordisk A/S		36,702		1,886,104
Pandora A/S		10,545		1,328,849
Vestas Wind Systems A/S		9,152		616,710
				4,861,952
Faroe Islands — 0.3%
Bakkafrost P/F		5,863		209,917
Finland — 1.7%
Nokian Renkaat OYJ		7,100		233,514
Orion OYJ		4,604		155,471
Tieto OYJ		7,609		198,808
UPM-Kymmene OYJ		37,281		627,992
				1,215,785
France — 15.4%
Atos SE		2,836		205,836
AXA SA		73,784		1,621,380
BNP Paribas SA		6,875		317,505
CNP Assurances		19,883		292,690
Credit Agricole SA		138,134		1,420,653
Eiffage SA		11,127		789,175
Orange SA		19,340		333,789
Peugeot SA (2)		100,939		1,516,092
Plastic Omnium SA		3,632		115,702
Renault SA		2,994		272,834
Sanofi		25,548		2,021,539
Societe Generale SA		27,329		948,395
Technicolor SA		33,009		200,513
Valeo SA		1,112		154,042
Vinci SA		11,076		762,718
				10,972,863

(See Notes which are an integral part of the Financial Statements)

24

BMO Funds

Disciplined International Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Germany — 6.1%
Allianz SE		4,466	$	665,855
Aurubis AG		3,345		151,560
Bayer AG		1,292		135,565
Fresenius SE & Co. KGaA		23,965		1,582,378
Merck KGaA		10,717		911,469
ProSiebenSat.1 Media SE		8,563		439,304
Siemens AG		2,030		188,511
STADA Arzneimittel AG		7,223		243,869
				4,318,511
Hong Kong — 0.9%
Hang Seng Bank, Ltd.		37,800		638,722
Ireland — 0.5%
Seagate Technology PLC (1)		10,061		315,513
Israel — 0.9%
Bezeq — The Israeli Telecommunication Corp., Ltd.		290,550		651,070
Italy — 0.6%
Unipol Gruppo Finanziario SpA		108,219		399,699
Japan — 20.4%
Aoyama Trading Co., Ltd.		17,000		625,746
Asahi Glass Co., Ltd.		70,000		337,849
Chubu Electric Power Co., Inc.		43,200		567,932
Dai Nippon Printing Co., Ltd.		84,000		719,684
Fujikura, Ltd.		172,000		790,752
Fujitsu, Ltd.		53,000		193,235
Hitachi Maxell, Ltd.		12,400		178,705
Hosiden Corp. (1)		50,600		299,289
Ibiden Co., Ltd.		56,300		681,678
Kawasaki Kisen Kaisha, Ltd.		396,000		661,019
Kirin Holdings Co., Ltd.		103,900		1,366,274
Konica Minolta Holdings, Inc.		132,400		1,106,542
Mitsubishi Chemical Holdings Corp. (1)		121,000		607,515
Mitsubishi UFJ Financial Group, Inc.		25,500		109,290
Morinaga Milk Industry Co., Ltd.		35,000		164,176
Namura Shipbuilding Co., Ltd.		26,200		160,547
NEC Corp.		292,000		736,876
Nippon Telegraph & Telephone Corp.		53,900		2,306,666
Nissan Motor Co., Ltd. (1)		12,800		115,693
Nisshin Oillio Group, Ltd.		57,000		227,793
Nisshinbo Holdings, Inc.		64,800		606,455
Nomura Holdings, Inc.		151,400		634,929
NTT DoCoMo, Inc.		13,900		323,111
Sumitomo Riko Co., Ltd.		13,500		111,389
Toho Holdings Co., Ltd. (1)		7,200		148,771
Toppan Printing Co., Ltd.		69,000		581,302
Warabeya Nichiyo Co., Ltd. (1)		7,200		150,108
				14,513,326
Jersey — 2.1%
Beazley PLC		25,990		129,307
Delphi Automotive PLC		17,275		1,151,897
WPP PLC		11,168		234,746
				1,515,950
Marshall Islands — 0.2%
Seaspan Corp. (1)		8,662		146,215
Netherlands — 5.1%
AerCap Holdings NV (1)(2)		15,812		564,963
Boskalis Westminster		20,948		758,053
Fiat Chrysler Automobiles NV		119,103		814,995
Koninklijke Ahold NV		67,476		1,476,937
				3,614,948

Description	Shares		Value
Common Stocks (continued)
New Zealand — 0.5%
Air New Zealand, Ltd.		190,141	$	341,714
Norway — 0.9%
Salmar ASA		10,951		225,425
Yara International ASA		11,323		438,092
				663,517
Singapore — 2.1%
DBS Group Holdings, Ltd. (1)		68,800		664,289
First Resources, Ltd.		171,600		232,463
Jardine Cycle & Carriage, Ltd.		6,700		183,631
SATS, Ltd.		72,900		203,854
Singapore Airlines, Ltd.		26,800		221,642
				1,505,879
Sweden — 0.2%
Boliden AB		10,543		157,790
Switzerland — 9.0%
Lonza Group AG (2)		4,405		666,568
Roche Holding AG		10,192		2,610,572
Swiss Life Holding AG		562		136,570
Swiss Re AG		20,591		1,822,410
TE Connectivity, Ltd. (1)		19,726		1,122,804
				6,358,924
United Kingdom — 18.4%
Berkeley Group Holdings PLC		8,756		393,214
British American Tobacco PLC		22,061		1,200,859
easyJet PLC		33,569		701,913
GlaxoSmithKline PLC		40,259		781,774
Go-Ahead Group PLC		3,219		115,098
Halfords Group PLC		18,964		104,398
Imperial Brands PLC		39,997		2,067,409
Inchcape PLC		14,006		142,979
ITV PLC		38,425		132,055
Legal & General Group PLC		107,888		336,966
Man Group PLC		95,259		202,745
Mondi PLC		58,139		1,035,382
National Grid PLC		41,127		549,072
Next PLC		13,702		1,288,097
Reckitt Benckiser Group PLC		19,820		1,803,826
Royal Mail PLC		99,875		627,127
Sky PLC		47,159		679,950
WH Smith PLC		32,876		823,692
WS Atkins PLC		4,565		80,671
				13,067,227
Total Common Stocks (identified cost $75,730,424)				69,595,890
Short-Term Investments — 6.0%
Collateral Investment for Securities on Loan — 4.2%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468% (3)				2,981,959
Mutual Funds — 1.8%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		1,296,652		1,296,652
Total Short-Term Investments (identified cost $4,278,611)				4,278,611
Total Investments — 103.9% (identified cost $80,009,035)				73,874,501
Other Assets and Liabilities — (3.9)%				(2,777,660	)
Total Net Assets — 100.0%			$	71,096,841

(See Notes which are an integral part of the Financial Statements)

25

February 29, 2016 (Unaudited)

Schedules of Investments

Disciplined International Equity Fund (continued)

Industry Allocation
Industry	Value			% of Total Net Assets
Advertising	$	234,746			0.3	%
Agriculture		3,500,731			4.9
Airlines		1,265,269			1.8
Auto Manufacturers		2,719,613			3.8
Auto Parts & Equipment		1,655,155			2.3
Banks		4,650,292			6.5
Beverages		1,366,274			1.9
Biotechnology		330,033			0.5
Building Materials		337,849			0.5
Chemicals		1,712,174			2.4
Commercial Services		1,381,657			1.9
Computers		913,393			1.3
Distribution/Wholesale		326,610			0.5
Diversified Financial Services		1,555,106			2.2
Electric		567,932			0.8
Electrical Components & Equipment		790,752			1.1
Electronics		3,019,352			4.2
Energy-Alternate Sources		616,710			0.9
Engineering & Construction		2,513,801			3.5
Entertainment		200,513			0.3
Food		2,454,355			3.5
Forest Products & Paper		1,663,374			2.3
Gas		549,072			0.8
Healthcare-Services		2,174,813			3.1
Home Builders		393,214			0.6
Household Products/Wares		1,803,826			2.5
Insurance		5,404,877			7.6
Iron/Steel		96,084			0.1
Media		1,251,309			1.8
Metal Fabricate/Hardware		151,560			0.2
Mining		622,486			0.9
Miscellaneous Manufacturing		1,406,442			2.0
Oil & Gas		904,586			1.3
Pharmaceuticals		8,895,133			12.5
Retail		4,170,782			5.9
Shipbuilding		160,548			0.2
Telecommunications		5,138,357			7.2
Transportation		2,697,110			3.8
Total Common Stocks		69,595,890			97.9
Collateral Investment for Securities on Loan		2,981,959			4.2
Mutual Funds		1,296,652			1.8
Total Investments		73,874,501			103.9
Other Assets and Liabilities		(2,777,660	)		(3.9	)
Total Net Assets	$	71,096,841			100.0	%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 95.5%
Australia — 9.7%
Brambles, Ltd.		1,549,276	$	13,758,903
Computershare, Ltd.		1,226,176		7,966,546
Newcrest Mining, Ltd. (2)		420,323		5,300,224
QBE Insurance Group, Ltd.		774,050		5,842,607
Rio Tinto, Ltd.		162,315		4,669,126
Telstra Corp., Ltd.		831,089		3,115,171
Woodside Petroleum, Ltd.		510,851		9,241,431
Woolworths, Ltd. (1)		635,660		10,359,412
				60,253,420

Description	Shares		Value
Common Stocks (continued)
Belgium — 2.7%
Colruyt SA		174,909	$	9,361,049
Proximus SADP		241,035		7,568,408
				16,929,457
Finland — 1.1%
Kone OYJ, Class B (1)		151,800		6,723,856
France — 7.0%
Air Liquide SA		91,522		9,494,837
Legrand SA		112,564		5,603,079
Rubis SCA		102,956		7,568,380
Sanofi		152,803		12,090,856
TOTAL SA		195,101		8,741,399
				43,498,551
Germany — 5.5%
Brenntag AG		179,567		8,682,385
Deutsche Post AG		391,848		9,322,861
GEA Group AG		158,626		6,979,199
SAP AG		122,607		9,326,532
				34,310,977
Hong Kong — 7.3%
ASM Pacific Technology, Ltd. (1)		1,087,000		8,684,004
China Mobile, Ltd.		1,040,000		11,043,585
CNOOC, Ltd.		6,838,000		7,194,650
Power Assets Holdings, Ltd.		852,500		8,065,745
VTech Holdings, Ltd. (1)		885,700		9,929,615
				44,917,599
Israel — 1.5%
Bezeq — The Israeli Telecommunication Corp., Ltd.		1,899,408		4,256,232
Teva Pharmaceutical Industries, Ltd.		87,556		4,894,329
				9,150,561
Japan — 9.1%
ABC-Mart, Inc.		77,200		4,425,732
Japan Tobacco, Inc. (1)		248,368		9,845,956
KDDI Corp.		396,100		10,070,368
Mitsubishi Electric Corp.		924,000		9,310,511
Nihon Kohden Corp. (1)		330,500		8,066,785
Sumitomo Rubber Industries, Ltd. (1)		516,000		7,347,582
Toyota Tsusho Corp. (1)		347,100		6,982,267
				56,049,201
Malaysia — 4.1%
Axiata Group Bhd		7,420,900		10,446,547
Lafarge Malaysia Bhd		1,254,000		2,707,856
Magnum Bhd		4,236,500		2,537,318
Malayan Banking Bhd		4,687,392		9,485,714
				25,177,435
Netherlands — 4.5%
Koninklijke Vopak NV		209,458		9,520,460
RELX NV		451,051		7,381,134
Unilever NV		253,249		10,827,156
				27,728,750
Norway — 1.6%
Telenor ASA		668,936		9,965,665
Singapore — 4.9%
ComfortDelGro Corp., Ltd.		3,410,000		7,298,584
Sembcorp Industries, Ltd. (1)		1,777,000		3,385,313
Singapore Technologies Engineering, Ltd.		3,848,400		8,181,698
United Overseas Bank, Ltd.		576,000		7,035,880
Venture Corp., Ltd.		774,600		4,486,854
				30,388,329

(See Notes which are an integral part of the Financial Statements)

26

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Sweden — 3.5%
Assa Abloy AB, Class B		226,469	$	4,332,402
Atlas Copco AB, A Shares		358,842		8,077,626
Svenska Cellulosa AB SCA, B Shares		305,638		9,077,296
				21,487,324
Switzerland — 13.2%
Givaudan SA		2,621		4,886,636
Nestle SA		297,883		20,864,721
Novartis AG		209,791		14,972,829
Panalpina Welttransport Holding AG (1)		50,249		4,526,705
Roche Holding AG		73,916		18,932,793
Schindler Holding AG		28,651		4,782,591
Syngenta AG		12,675		5,092,353
Zurich Insurance Group AG (2)		34,730		7,336,983
				81,395,611
Taiwan — 4.1%
Advantech Co., Ltd.		792,218		5,438,500
Chunghwa Telecom Co., Ltd.		3,069,000		9,654,089
MediaTek, Inc.		1,157,000		8,151,850
Merida Industry Co., Ltd.		451,000		2,058,249
				25,302,688
United Kingdom — 15.7%
BP PLC		1,168,533		5,665,310
British American Tobacco PLC		212,552		11,569,963
GlaxoSmithKline PLC		532,744		10,345,153
Legal & General Group PLC		2,802,184		8,752,037
National Grid PLC		868,068		11,589,264
Royal Dutch Shell PLC, A Shares		379,703		8,662,815
Royal Dutch Shell PLC, B Shares		301,925		6,861,936
Sky PLC		554,943		8,001,310
SSE PLC		394,634		7,556,289
United Utilities Group PLC		644,058		8,256,260
Vodafone Group PLC		3,111,677		9,461,089
				96,721,426
Total Common Stocks (identified cost $649,963,524)				590,000,850
Preferred Stocks — 1.5%
Germany — 1.5%
Fuchs Petrolub SE		226,531		9,272,805
Total Preferred Stocks (identified cost $8,528,122)				9,272,805
Short-Term Investments — 7.8%
Collateral Investment for Securities on Loan — 5.9%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468% (3)				36,214,147
Mutual Funds — 1.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		11,670,026		11,670,026
Total Short-Term Investments (identified cost $47,884,173)				47,884,173
Total Investments — 104.8% (identified cost $706,375,819)				647,157,828
Other Assets and Liabilities — (4.8)%				(29,708,101	)
Total Net Assets — 100.0%			$	617,449,727

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	21,415,920			3.5	%
Auto Parts & Equipment		7,347,582			1.2
Banks		16,521,594			2.7
Building Materials		2,707,856			0.4
Chemicals		28,156,211			4.6
Commercial Services		21,140,037			3.4
Computers		13,405,046			2.2
Cosmetics/Personal Care		19,904,452			3.2
Distribution/Wholesale		6,982,267			1.1
Electric		15,622,033			2.5
Electrical Components & Equipment		5,603,079			0.9
Electronics		4,486,855			0.7
Engineering & Construction		8,181,698			1.3
Food		40,585,183			6.6
Gas		19,157,644			3.1
Hand/Machine Tools		4,782,591			0.8
Healthcare-Products		8,066,784			1.3
Holding Companies-Diversified		2,537,318			0.4
Insurance		21,931,627			3.6
Leisure Time		2,058,249			0.3
Machinery-Construction & Mining		17,388,137			2.8
Machinery-Diversified		13,703,056			2.2
Media		8,001,310			1.3
Metal Fabricate/Hardware		4,332,402			0.7
Mining		9,969,350			1.6
Oil & Gas		46,367,540			7.5
Pharmaceuticals		61,235,960			9.9
Pipelines		9,520,460			1.6
Retail		4,425,732			0.7
Semiconductors		16,835,854			2.7
Shipbuilding		3,385,313			0.6
Software		9,326,532			1.5
Telecommunications		85,510,768			13.9
Transportation		21,148,150			3.4
Water		8,256,260			1.3
Total Common Stocks		590,000,850			95.5
Preferred Stocks		9,272,805			1.5
Collateral Investment for Securities on Loan		36,214,147			5.9
Mutual Funds		11,670,026			1.9
Total Investments		647,157,828			104.8
Other Assets and Liabilities		(29,708,101	)		(4.8	)
Total Net Assets	$	617,449,727			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 96.0%
Bermuda — 5.7%
Credicorp, Ltd. (1)		18,100	$	2,122,044
Dairy Farm International Holdings, Ltd. (2)		257,900		1,588,626
Giordano International, Ltd.		1,392,000		521,255
Jardine Matheson Holdings, Ltd. (1)		61,662		3,589,832
				7,821,757
Brazil — 0.7%
CCR SA		332,900		1,047,061
Cayman Islands — 3.6%
Sands China, Ltd.		825,600		2,875,259
Want Want China Holdings, Ltd. (1)		3,213,000		2,129,171
				5,004,430

(See Notes which are an integral part of the Financial Statements)

27

February 29, 2016 (Unaudited)

Schedules of Investments

LGM Emerging Markets Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Chile — 2.1%
Aguas Andinas SA, Class A		5,584,610	$	2,885,045
Egypt — 3.8%
Commercial International Bank Egypt SAE GDR		1,165,414		4,154,040
Edita Food Industries SAE GDR (2)		74,965		1,159,785
				5,313,825
Hong Kong — 0.3%
SJM Holdings, Ltd.		652,000		398,645
India — 28.9%
Bata India, Ltd.		224,580		1,483,555
Container Corp. Of India, Ltd.		155,432		2,622,174
Emami, Ltd.		480,686		6,889,469
Housing Development Finance Corp., Ltd.		92,016		1,434,630
ICICI Bank, Ltd.		180,284		509,788
ITC, Ltd.		2,009,403		8,680,210
Mahindra & Mahindra Financial Services, Ltd.		1,265,629		3,903,635
Nestle India, Ltd.		32,019		2,344,026
Pidilite Industries, Ltd.		347,355		2,982,850
Titan Co., Ltd.		502,097		2,324,743
Yes Bank, Ltd.		665,460		6,723,996
				39,899,076
Indonesia — 17.3%
Bank Mandiri Persero Tbk PT		9,221,704		6,583,957
Bank Rakyat Indonesia Persero Tbk PT		5,979,600		4,962,185
Hanjaya Mandala Sampoerna Tbk PT		551,992		4,542,328
Kalbe Farma Tbk PT		36,820,200		3,578,715
Unilever Indonesia Tbk PT		1,263,200		4,209,466
				23,876,651
Kenya — 1.0%
East African Breweries Ltd.		502,800		1,325,914
Malaysia — 0.5%
Public Bank Bhd		167,400		735,667
Mexico — 7.0%
Bolsa Mexicana de Valores SAB de C.V. (1)		1,805,811		2,492,079
Grupo Financiero Banorte SAB de C.V., Class O		666,746		3,365,357
Grupo Herdez SAB de C.V. (1)		543,982		1,150,673
Wal-Mart de Mexico SAB de C.V.		1,137,559		2,678,566
				9,686,675
Nigeria — 1.1%
Guaranty Trust Bank PLC		18,475,191		1,476,382
Philippines — 9.4%
Metropolitan Bank & Trust Co.		2,311,354		3,672,828
Universal Robina Corp.		2,237,110		9,331,750
				13,004,578
Singapore — 4.5%
Jardine Cycle & Carriage, Ltd. (1)		229,844		6,299,478
South Africa — 3.0%
Cashbuild, Ltd.		12,186		220,229
Clicks Group, Ltd.		288,388		1,680,793
Discovery, Ltd.		69,750		500,807
Life Healthcare Group Holdings, Ltd. (1)		775,212		1,705,116
				4,106,945

Description	Shares or Participation Units		Value
Common Stocks (continued)
South Korea — 1.1%
KT&G Corp.		18,488	$	1,592,880
Taiwan — 0.9%
President Chain Store Corp.		182,000		1,229,129
Thailand — 0.7%
Bangkok Bank PCL		26		118
Kasikornbank PCL		197,569		945,426
				945,544
Turkey — 3.0%
BIM Birlesik Magazalar AS		226,970		4,182,442
United States — 0.5%
Mead Johnson Nutrition Co.		9,434		695,852
Vietnam — 0.9%
Vietnam Dairy Products JSC		213,120		1,226,198
Total Common Stocks (identified cost $136,785,282)				132,754,174
Preferred Stocks — 0.6%
Chile — 0.6%
Coca-Cola Embonor SA		499,442		774,023
Total Preferred Stocks (identified cost $1,192,670)				774,023
Participation Notes — 3.0%
United States — 3.0%
Vietnam Dairy Products JSC, Issued by Citigroup Global Markets Holding, Maturity Date 1/17/2017 (5)		721,807		4,143,107
Total Participation Notes (identified cost $3,447,951)				4,143,107
Short-Term Investments — 6.1%
Collateral Investment for Securities on Loan — 6.1%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468% (3)				8,473,222
Total Short-Term Investments (identified cost $8,473,222)				8,473,222
Total Investments — 105.7% (identified cost $149,899,125)				146,144,526
Other Assets and Liabilities — (5.7)%				(7,888,118	)
Total Net Assets — 100.0%			$	138,256,408
Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	14,815,419		10.7	%
Apparel		1,483,555		1.1
Auto Manufacturers		3,903,635		2.8
Banks		35,251,787		25.5
Beverages		1,325,914		1.0
Commercial Services		1,047,061		0.7
Distribution/Wholesale		6,299,478		4.5
Diversified Financial Services		3,926,710		2.8
Food		23,112,671		16.7
Healthcare-Services		1,705,116		1.2
Holding Companies-Diversified		3,589,832		2.6
Household Products/Wares		4,209,466		3.0

(See Notes which are an integral part of the Financial Statements)

28

BMO Funds

LGM Emerging Markets Equity Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Insurance	$	500,807			0.4	%
Lodging		3,273,904			2.4
Miscellaneous Manufacturing		2,982,850			2.2
Pharmaceuticals		11,164,036			8.1
Retail		8,654,714			6.3
Transportation		2,622,174			1.9
Water		2,885,045			2.1
Total Common Stocks		132,754,174			96.0
Preferred Stocks		774,023			0.6
Participation Notes		4,143,107			3.0
Collateral Investment for Securities on Loan		8,473,222			6.1
Total Investments		146,144,526			105.7
Other Assets and Liabilities		(7,888,118	)		(5.7	)
Total Net Assets	$	138,256,408			100.0	%

TCH Emerging Markets Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 58.3%
Azerbaijan — 2.4%
International Bank of Azerbaijan, 5.625%, 6/11/2019	$	200,000	$	178,280
Brazil — 1.3%
Samarco Mineracao SA, 4.125%, 11/1/2022 (6)		200,000		92,940
British Virgin Islands — 4.6%
China Cinda Finance 2014, Ltd., 5.625%, 5/14/2024 (6)		200,000		212,703
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (6)		200,000		122,000
				334,703
Canada — 2.4%
Pacific Exploration and Production Corp., 5.125%, 3/28/2023 (1)(6)		300,000		34,500
Teck Resources, Ltd.:
2.500%, 2/1/2018(1)		50,000		43,094
4.500%, 1/15/2021(1)		150,000		98,250
				175,844
Cayman Islands — 1.8%
Odebrecht Finance, Ltd., 7.125%, 6/26/2042 (6)		200,000		92,250
Vale Overseas, Ltd., 4.375%, 1/11/2022 (1)		50,000		38,750
				131,000
Chile — 2.8%
Empresa de Transporte de Pasajeros Metro SA, 4.750%, 2/4/2024 (6)		200,000		206,813
Colombia — 4.6%
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		200,000		173,750
Ecopetrol SA, 5.375%, 6/26/2026		200,000		162,750
				336,500
Costa Rica — 2.7%
Banco de Costa Rica, 5.250%, 8/12/2018 (6)		200,000		199,500

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Hungary — 2.8%
Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020 (6)	$	200,000	$	202,170
Indonesia — 5.2%
Pelabuhan Indonesia II PT, 4.250%, 5/5/2025 (6)		200,000		184,750
Perusahaan Gas Negara Persero Tbk PT, 5.125%, 5/16/2024 (1)(6)		200,000		200,456
				385,206
Kazakstan — 2.6%
Eurasian Development Bank, 4.767%, 9/20/2022 (6)		200,000		189,152
Luxembourg — 2.6%
Gazprom Neft OAO Via GPN Capital SA, 6.000%, 11/27/2023 (6)		200,000		190,250
Mexico — 10.2%
Alfa SAB de C.V., 6.875%, 3/25/2044 (6)		200,000		185,000
America Movil SAB de C.V., 6.450%, 12/5/2022 (1)(7)		2,000,000		103,167
Empresas ICA SAB de C.V., 8.875%, 5/29/2024 (6)		200,000		33,000
Grupo Idesa SA de C.V., 7.875%, 12/18/2020 (6)		200,000		189,000
Petroleos Mexicanos:
6.375%, 2/4/2021(6)		150,000		156,338
5.625%, 1/23/2046(6)		100,000		78,000
				744,505
Morocco — 2.7%
OCP SA, 6.875%, 4/25/2044 (6)		200,000		195,063
Netherlands — 2.3%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		200,000		168,630
Peru — 2.7%
Corp Financiera de Desarrollo SA, 4.750%, 7/15/2025 (6)		200,000		200,200
Turkey — 2.7%
TC Ziraat Bankasi AS, 4.250%, 7/3/2019 (1)(6)		200,000		198,620
United States — 1.9%
Southern Copper Corp., 7.500%, 7/27/2035		150,000		142,966
Total Corporate Bonds & Notes (identified cost $5,012,917)				4,272,342
International Bonds — 36.7%
Armenia — 2.1%
Republic of Armenia, 6.000%, 9/30/2020 (1)(6)		162,000		157,545
Bahrain — 2.1%
Bahrain Government International Bond, 6.000%, 9/19/2044 (6)		200,000		152,500
Colombia — 2.8%
Colombia Government International Bond, 4.375%, 7/12/2021		200,000		202,800
Costa Rica — 2.3%
Costa Rica Government International Bond, 7.158%, 3/12/2045 (6)		200,000		169,750
Cote d’Ivoire — 2.4%
Ivory Coast Government International Bond, 5.375%, 7/23/2024 (6)		200,000		177,232

(See Notes which are an integral part of the Financial Statements)

29

February 29, 2016 (Unaudited)

Schedules of Investments

TCH Emerging Markets Bond Fund (continued)

Description	Shares or Principal Amount		Value
International Bonds (continued)
Croatia — 2.9%
Croatia Government International Bond, 5.500%, 4/4/2023 (6)		200,000		208,909
Dominican Republic — 1.4%
Dominican Republic International Bond, 5.875%, 4/18/2024 (6)		100,000		99,250
Ethiopia — 2.4%
Federal Democratic Republic of Ethiopia, 6.625%, 12/11/2024 (6)		200,000		175,750
Indonesia — 2.8%
Indonesia Government International Bond, 4.750%, 1/8/2026 (6)		200,000		206,978
Kazakstan — 2.8%
Kazakhstan Government International Bond, 5.125%, 7/21/2025 (1)(6)		200,000		203,460
Namibia — 2.8%
Namibia International Bonds, 5.500%, 11/3/2021 (6)		200,000		204,875
Paraguay — 2.7%
Republic of Paraguay, 6.100%, 8/11/2044 (6)		200,000		195,500
Peru — 2.1%
Peruvian Government International Bond, 4.125%, 8/25/2027		150,000		154,275
South Africa — 2.7%
ZAR Sovereign Capital Fund Propriety, Ltd., 3.903%, 6/24/2020 (6)		200,000		196,942
Sri Lanka — 2.4%
Sri Lanka Government International Bond, 6.125%, 6/3/2025 (6)		200,000		178,334
Total International Bonds (identified cost $2,778,471)				2,684,100
Short-Term Investments — 19.6%
Collateral Investment for Securities on Loan — 13.4%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468% (3)				982,675
Mutual Funds — 6.2%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		449,534		449,534
Total Short-Term Investments (identified cost $1,432,209)				1,432,209
Total Investments — 114.6% (identified cost $9,223,597)				8,388,651
Other Assets and Liabilities — (14.6)%				(1,065,911	)
Total Net Assets — 100.0%			$	7,322,740

Industry Allocation
Industry	Value			% of Total Net Assets
Banks	$	776,600			10.6	%
Chemicals		384,063			5.2
Diversified Financial Services		212,703			2.9
Engineering & Construction		125,250			1.7
Gas		200,456			2.7
Holding Companies-Diversified		185,000			2.5
Iron/Steel		253,690			3.5
Mining		284,309			3.9
Multi-National		189,153			2.6
Oil & Gas		621,838			8.5
Sovereign		202,170			2.8
Telecommunications		276,917			3.8
Transportation		560,193			7.6
Total Corporate Bonds & Notes		4,272,342			58.3
International Bonds — Sovereign		2,684,100			36.7
Collateral Investment for Securities on Loan		982,675			13.4
Mutual Funds		449,534			6.2
Total Investments		8,388,651			114.6
Other Assets and Liabilities		(1,065,911	)		(14.6	)
Total Net Assets	$	7,322,740			100.0	%

Alternative Strategies Fund

Description	Principal Amount		Value
Bank Loans Purchased Long — 8.1%
Cayman Islands — 0.3%
Sable International Finance Ltd., Term Loan B1, 5.250%, 11/23/2022 (8)(9)	$	187,550	$	182,569
Sable International Finance Ltd., Term Loan B2, 5.250%, 11/23/2022 (8)(9)		153,450		149,374
				331,943
France — 0.0%
Linxens France SA:
5.000%, 10/14/2022 (8)		13,000		12,480
9.500%, 10/16/2023 (8)		18,000		16,650
				29,130
Germany — 0.0%
KP Germany Erste GmbH, 5.000%, 4/28/2020 (8)		5,362		5,338
Luxembourg — 0.0%
Travelport Finance Luxembourg Sarl, 5.750%, 9/2/2021 (8)(10)		25,700		24,999
Netherlands — 0.1%
Amaya Holdings BV, 5.000%, 8/1/2021 (8)		79,400		74,259
Puerto Rico — 0.1%
Liberty Cablevision of Puerto Rico LLC, 4.500%, 1/7/2022 (8)		100,000		96,000
United Kingdom — 0.2%
Air Bidco Ltd., 6.500%, 3/20/2022 (8)		198,000		187,110
Hyperion Insurance Group Ltd., 5.500%, 4/29/2022 (8)		2,875		2,698
				189,808
United States — 7.4%
21st Century Oncology Holdings, Inc., 6.500%, 4/30/2022 (8)		70,645		65,435

(See Notes which are an integral part of the Financial Statements)

30

BMO Funds

Alternative Strategies Fund (continued)

Description	Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
Access CIG LLC, 6.000%, 10/18/2021 (8)	$	498,741	$	488,766
AF Borrower LLC:
6.250%, 1/28/2022 (8)		26,798		25,636
10.000%, 1/28/2023 (8)		14,000		12,915
Ancestry.com, Inc., 5.000%, 8/17/2022 (8)		19,950		19,782
Arnhold & S Bleichroeder Holdings, Inc., 5.000%, 12/1/2022 (8)		250,000		236,668
Ascend Learning LLC, 5.500%, 7/31/2019 (8)		96,020		95,180
Astoria Energy LLC, 5.000%, 12/24/2021 (8)		47,584		45,383
Asurion LLC:
8.500%, 3/3/2021 (8)		46,000		37,743
5.000%, 8/4/2022 (8)		11,729		10,800
Auction.com LLC, 6.000%, 5/8/2022 (8)		15,591		15,454
Avago Technologies Cayman Finance Ltd., 4.500%, 2/1/2023 (8)		750,000		740,741
Builders FirstSource, Inc., 6.000%, 7/31/2022 (8)		40,906		39,645
Charter NEX US Holdings, Inc., 9.250%, 2/6/2023 (8)		177,000		173,460
Communications Sales & Leasing, Inc., 5.000%, 10/24/2022 (8)		11,940		11,142
Computer Sciences Gov Services, 4.000%, 11/28/2022 (8)		54,000		53,993
COTY, Inc., 4.000%, 10/27/2022 (8)		13,000		12,976
CT Technologies Intermediate Holdings, Inc., 5.250%, 12/1/2021 (8)		13,930		13,501
Curo Health Services LLC, 6.500%, 2/7/2022 (8)		194,530		192,403
CWGS Group LLC, 5.750%, 2/20/2020 (8)		45,387		44,451
Diamond Resorts Corp., 5.500%, 5/9/2021 (8)		150,000		144,750
Duff & Phelps Investment Management Co., 9.500%, 8/13/2021 (8)		69,000		65,205
Eastman Kodak Co., 7.250%, 9/3/2019 (8)		234,399		202,169
Emerging Markets Communications LLC, 6.750%, 7/1/2021 (8)		30,845		28,712
Fieldwood Energy LLC, 8.125%, 9/30/2020 (8)(9)		313,000		46,391
Fullbeauty Brands Holdings Corp., 5.750%, 10/14/2022 (8)		17,000		15,753
Galleria Co., 4.000%, 1/26/2023 (8)		26,000		25,894
GK Holdings, Inc., 6.500%, 1/20/2021 (8)		247,500		245,953
Gruden Acquisition, Inc., 5.750%, 8/18/2022 (8)		18,000		15,263
Higginbotham & Associates LLC:
6.250%, 11/25/2021 (8)		250,000		248,750
10.000%, 11/25/2021 (8)		500,000		490,000
Horizon Global Corp., 7.000%, 6/30/2021 (8)		38,025		36,314
IG Investment Holdings LLC, 6.000%, 10/29/2021 (8)		494,898		492,216
Infiltrator Systems Integrated LLC, 9.750%, 5/19/2023 (8)		20,000		19,900
Invenergy Thermal Operating I, 6.500%, 10/7/2022 (8)		17,955		16,698
Jackson Hewitt, Inc., 8.000%, 7/24/2020 (8)		71,000		68,781

Description	Shares or Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
JC Penney Corp., Inc., 6.000%, 5/22/2018 (8)	$	22,824	$	22,625
Jeld-Wen, Inc., 4.750%, 7/1/2022 (8)		14,963		14,654
Kloeckner-Pentaplast of America, Inc., 5.000%, 4/28/2020 (8)		12,548		12,491
Match Group, Inc., 5.500%, 11/16/2022 (8)		147,000		146,878
Merrill Communications LLC, 6.250%, 6/1/2022 (8)		11,928		9,587
National Surgical Hospitals, Inc., 4.500%, 6/1/2022 (8)		12,935		12,296
NEP/NCP Holdco, Inc., 9.750%, 7/22/2020 (8)		19,000		17,670
Neptune Finco Corp., 5.000%, 10/9/2022 (8)		21,000		20,850
NN, Inc., 5.750%, 10/19/2022 (8)		130,673		129,039
NXP B.V., 4.000%, 12/7/2020 (8)		250,000		249,785
Oasis Outsourcing Holdings, Inc., 5.750%, 12/18/2021 (8)		541,350		538,643
Physio Control lnternational, Inc., 5.500%, 6/6/2022 (8)		5,985		5,993
Plaskolite, Inc., 5.750%, 11/3/2022 (8)		54,000		53,460
PLZ Aeroscience Corp., 5.250%, 7/31/2022 (8)		90,848		89,031
Prolampac Intermediate, Inc., 5.750%, 8/18/2022 (8)		265,899		259,695
ProQuest LLC, 5.750%, 10/24/2021 (8)		172,563		165,230
Raley’s, 7.250%, 5/18/2022 (8)		39,000		38,805
RCS Capital Corp., 7.500%, 4/29/2019 (8)		467,949		272,971
Riverbed Technology, Inc., 6.000%, 4/24/2022 (8)		38,708		38,023
Ryan LLC, 6.750%, 7/14/2020 (8)		19,500		18,891
STG-Fairway Acquisition, Inc., 6.250%, 6/30/2022 (8)		48,067		46,625
SunEdison, Inc., 11.000%, 7/2/2018 (8)		44,000		28,380
Team Health, Inc., 4.750%, 11/23/2022 (8)		250,000		250,156
TouchTunes Interactive Networks, Inc., 5.750%, 5/29/2021 (8)		40,795		40,438
U.S. Farathane LLC, 6.750%, 12/23/2021 (8)		282,192		279,370
USAGM HoldCo LLC, 4.750%, 7/28/2022 (8)		33,000		31,130
XPO Logistics, Inc., 5.500%, 11/1/2021 (8)		34,000		33,851
YRC Worldwide, Inc., 8.000%, 2/13/2019 (8)		111,715		88,981
				7,414,371
Total Bank Loans Purchased Long (identified cost $8,481,737)				8,165,848
Common Stocks Purchased Long — 47.6%
Bermuda — 0.2%
Axalta Coating Systems Ltd. (2)		8,835		229,357
Syncora Holdings Ltd. (2)		5,234		3,779
				233,136
Canada — 1.5%
Magna International, Inc.		17,058		662,703
Valeant Pharmaceuticals International, Inc. (2)(10)		13,020		856,716
				1,519,419

(See Notes which are an integral part of the Financial Statements)

31

February 29, 2016 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Cayman Islands — 0.8%
Baidu, Inc. ADR (2)		827	$	143,418
Pace Holdings Corp. (2)		72,680		719,532
				862,950
France — 0.0%
Marie Brizard Wine & Spirits (2)		210		4,099
Ireland — 2.9%
Allergan PLC (2)(10)		3,405		987,825
Ingersoll-Rand PLC		5,075		281,967
Medtronic PLC (10)		6,870		531,669
Seagate Technology PLC		4,175		130,928
Tyco International PLC (10)		28,075		987,678
				2,920,067
Liberia — 0.1%
Royal Caribbean Cruises, Ltd.		992		73,775
Luxembourg — 0.0%
Intelsat SA (2)		2,180		3,750
Netherlands — 1.6%
Altice NV, Class A (2)		1,184		16,791
LyondellBasell Industries NV, Class A (10)		14,746		1,182,777
NXP Semiconductors (2)		5,425		386,477
				1,586,045
Singapore — 0.4%
Broadcom Ltd.		2,794		374,312
United States — 40.1%
Agilent Technologies, Inc.		7,320		273,402
Air Products & Chemicals, Inc. (10)		4,125		546,439
Alphabet, Inc., Class A (2)(10)		1,159		831,258
Alphabet, Inc., Class C (2)(10)		902		629,389
Amazon.com, Inc. (2)		380		209,958
Anadarko Petroleum Corp. (10)		5,447		206,714
AutoZone, Inc. (2)		228		176,602
Avis Budget Group, Inc. (2)(10)		9,690		248,452
Bank of America Corp. (10)		30,930		387,244
Baxalta, Inc. (10)		9,589		369,368
Black Hills Corp. (10)		11,075		620,311
Bloomin’ Brands, Inc.		27,250		471,152
C.R. Bard, Inc.		1,495		287,608
Cablevision Systems Corp., Class A (10)		5,662		184,185
CBS Corp., Class B		10,395		502,910
Cigna Corp.		1,647		229,938
Coach, Inc. (10)		9,675		376,745
Coca-Cola Co.		8,680		374,368
Cognizant Technology Solutions Corp., Class A (2)		4,830		275,213
Comcast Corp., Class A		2,788		160,951
Computer Sciences Corp.		6,660		191,875
Constellation Brands, Inc., Class A		1,813		256,413
CSRA, Inc. (10)		34,360		891,642
CST Brands, Inc. (10)		19,850		643,934
Danaher Corp. (10)		7,350		656,134
Delta Air Lines, Inc. (10)		24,045		1,159,931
DISH Network Corp., Class A (2)(10)		2,758		129,985
Eastman Chemical Co. (10)		12,390		794,818
EMC Corp.		6,357		166,108
EnPro Industries, Inc. (10)		4,168		216,236
Equinix, Inc. (10)		1,243		377,487
EW Scripps Co., Class A (10)		5,197		89,700
Exxon Mobil Corp.		3,597		288,300
Facebook, Inc., Class A (2)(10)		8,431		901,443
GCP Applied Technologies, Inc. (2)		15,455		274,017

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Graphic Packaging Holding Co. (10)		47,965	$	591,408
Gray Television, Inc. (2)(10)		17,472		201,627
Halliburton Co. (10)		23,081		745,055
Halozyme Therapeutics, Inc. (2)(10)		38,260		311,054
Harris Corp.		3,575		278,922
HCA Holdings, Inc. (2)		2,794		193,373
Hertz Global Holdings, Inc. (2)		27,565		234,303
Hewlett Packard Enterprise Co. (10)		39,465		523,701
Hewlett-Packard Co.		29,902		319,652
Home Depot, Inc.		1,520		188,662
Honeywell International, Inc. (10)		9,132		925,528
IHS, Inc., Class A (2)		3,500		363,965
Innoviva, Inc. (10)		53,945		632,235
Intrexon Corp. (2)(10)		17,800		550,910
Lexmark International, Inc., Class A		11,700		362,934
Lockheed Martin Corp. (10)		7,972		1,720,278
Loral Space & Communications, Inc. (2)(10)		5,771		185,018
Lowe’s Cos., Inc. (10)		10,450		705,688
Macquarie Infrastructure Co. LLC (10)		5,114		312,210
McGraw Hill Financial, Inc.		1,055		94,676
McKesson Corp. (10)		3,013		468,883
Microsoft Corp.		3,219		163,783
Mohawk Industries, Inc. (2)(10)		1,640		294,757
Mondelez International, Inc.		8,200		332,346
Mueller Water Products, Inc., Class A (10)		53,050		456,760
Myriad Genetics, Inc. (2)		3,700		129,500
Nexstar Broadcasting Group, Inc., Class A (10)		1,952		87,215
Noble Energy, Inc. (10)		26,225		773,637
O’Reilly Automotive, Inc. (2)		351		91,372
Phillips 66 (10)		5,500		436,645
Pioneer Natural Resources Co. (10)		7,021		846,241
Pitney Bowes, Inc. (10)		20,345		368,651
PTC, Inc. (2)		10,830		334,755
PVH Corp. (10)		6,210		491,521
Sealed Air Corp. (10)		26,815		1,226,250
SemGroup Corp., Class A		10,605		201,495
Service Corp International		15,250		358,680
Sinclair Broadcast Group, Inc., Class A		1,656		51,121
Sirius XM Holdings, Inc. (2)		102,430		381,040
Solera Holdings, Inc. (10)		1,628		90,680
Starbucks Corp.		2,885		167,936
Steven Madden, Ltd. (2)		7,900		278,080
SunEdison, Inc. (2)		1,735		3,435
SunTrust Banks, Inc.		8,350		277,053
Synchrony Financial (2)		8,856		238,669
TerraForm Power, Inc., Class A		870		8,387
Time Warner Cable, Inc.		669		127,685
Time Warner, Inc.		4,500		297,900
Tribune Media Co., Class A (10)		4,924		176,772
Valero Energy Corp. (10)		6,463		388,297
Valspar Corp. (10)		8,585		671,690
Verint Systems, Inc. (2)		8,670		308,045
Verizon Communications, Inc. (10)		16,216		822,638
Vista Outdoor, Inc. (2)(10)		7,300		359,890
Visteon Corp.		5,550		388,056
Western Digital Corp. (10)		8,282		360,515
WL Ross Holding Corp. (2)(10)		72,780		727,800
WR Grace & Co. (2)(10)		16,195		1,113,244
Wyndham Worldwide Corp. (10)		11,230		817,993
Yahoo!, Inc. (2)(10)		6,008		190,994

(See Notes which are an integral part of the Financial Statements)

32

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares or Principal Amount		Value
Common Stocks Purchased Long (continued)
United States (continued)
Zimmer Biomet Holdings, Inc. (10)		7,158	$	692,966
Zoetis, Inc.		10,095		414,501
				40,259,307
Total Common Stocks Purchased Long (identified cost $50,209,148)				47,836,860
Convertible Bonds Purchased Long — 0.1%
United States — 0.1%
Cobalt International Energy, Inc., 3.125%, 5/15/2024	$	75,000		28,734
SunEdison, Inc., 5.000%, 7/2/2018 (6)		44,000		28,215
Total Convertible Bonds Purchased Long (identified cost $90,748)				56,949
Corporate Bonds & Notes Purchased Long — 2.0%
Bermuda — 0.0%
Syncora Holdings Ltd., 6.880%, 9/29/2049 (8)		15,000		3,225
Canada — 0.4%
Niska Gas Storage Canada ULC, 6.500%, 4/1/2019		75,000		54,375
Valeant Pharmaceuticals International Inc., 6.125%, 4/15/2025 (6)		466,000		392,314
				446,689
Cayman Islands — 0.0%
Transocean, Inc., 6.800%, 3/15/2038		26,000		12,025
Luxembourg — 0.0%
Intelsat Jackson Holdings SA, 5.500%, 8/1/2023		49,000		32,095
Intelsat Luxembourg SA, 7.750%, 6/1/2021		50,000		15,250
				47,345
United Kingdom — 0.1%
TIG Finco PLC, 8.500%, 3/2/2020 (6)(8)		48,240		69,157
United States — 1.5%
Advanced Micro Devices, Inc., 6.750%, 3/1/2019		75,000		55,125
AMAG Pharmaceuticals, Inc., 7.875%, 9/1/2023 (6)		15,000		13,125
Caesars Entertainment Resort Properties LLC, 8.000%, 10/1/2020		83,800		82,333
Cliffs Natural Resources, Inc., 8.250%, 3/31/2020 (6)		33,000		25,163
Constellis Holdings LLC, 9.750%, 5/15/2020 (6)		14,000		11,323
DISH DBS Corp., 5.000%, 3/15/2023		16,000		14,200
Goodman Networks, Inc., 12.125%, 7/1/2018		256,000		76,800
McClatchy Co., 9.000%, 12/15/2022		85,400		75,472
Midstates Petroleum Co., Inc., 10.000%, 6/1/2020		64,000		17,600
Murphy Oil Corp., 2.500%, 12/1/2017		125,000		103,862
Prestige Brands, Inc., 6.375%, 3/1/2024 (6)		3,000		3,105
PriSo Acquisition Corp., 9.000%, 5/15/2023 (6)		14,000		12,390
Rose Rock Midstream LP, 5.625%, 7/15/2022		966,585		550,953

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes Purchased Long (continued)
United States (continued)
Sabre GLBL, Inc., 5.250%, 11/15/2023 (6)	$	44,000	$	44,880
Southwestern Energy Co., 4.100%, 3/15/2022		27,000		15,255
Standard Industries, Inc.:
5.125%, 2/15/2021 (6)		2,000		2,050
5.500%, 2/15/2023 (6)		2,000		2,035
Sun Products Corp., 7.750%, 3/15/2021 (6)		60,000		53,100
United Rentals North America, Inc., 4.625%, 7/15/2023		149,000		149,559
Wayne Merger Sub LLC, 8.250%, 8/1/2023 (6)		39,000		35,198
WideOpenWest Finance LLC, 10.250%, 7/15/2019		20,000		18,300
Wise Metals Group LLC, 8.750%, 12/15/2018 (6)		129,000		109,005
				1,470,833
Total Corporate Bonds & Notes Purchased Long (identified cost $2,086,399)				2,049,274
Exchange Traded Funds Purchased Long — 0.1%
United States — 0.1%
BlackRock Floating Rate Income Strategies		2,978		36,421
Blackstone / GSO Strategic Credit		1,969		24,494
Invesco Senior Income Trust		8,181		30,761
Voya Prime Rate Trust		6,569		30,414
Total Exchange Traded Funds Purchased Long (identified cost $132,292)				122,090
Limited Partnership Units Purchased Long — 1.2%
United States — 1.2%
CrossAmerica Partners LP		26,205		563,931
DCP Midstream Partners LP		34,480		669,257
Total Limited Partnership Units Purchased Long (identified cost $1,370,539)				1,233,188
Purchased Call Options — 0.3%
United States — 0.3%
Lexmark International, Inc.:
Exercise Price: $30, 4/15/2016 (2)		11		3,053
Exercise Price: $26, 3/18/2016 (2)		24		12,600
Royal Caribbean Cruises Ltd., Exercise Price: $85.00, 3/18/2016 (2)		13		156
S&P 500 Index, Exercise Price: $1,925.00, 3/18/2016 (2)		80		278,800
Total Purchased Call Options (identified cost $491,683)				294,609
Purchased Put Options — 0.0%
United States — 0.0%
iShares Russell 2000 ETF:
Exercise Price: $94, 5/20/2016 (2)		50		8,825
Exercise Price: $98, 3/31/2016 (2)		105		11,865
Total Purchased Put Options (identified cost $47,026)				20,690

(See Notes which are an integral part of the Financial Statements)

33

February 29, 2016 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares or Principal Amount			Value
U.S. Government & U.S. Government Agency Obligations Purchased Long — 0.0%
United States — 0.0%
United States Treasury Bond, 3.000%, 5/15/2045	$	27,000		$	29,142
Total U.S. Government & U.S. Government Agency Obligations Purchased Long (identified cost $27,769)					29,142
Short-Term Investments — 38.2%
Mutual Funds — 28.2%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		28,352,779			28,352,779
U.S. Treasury Bills — 10.0%
United States Treasury Bill, 0.190%, 3/24/2016 (10)(11)		10,000,000			9,998,540
Total Short-Term Investments (identified cost $38,351,533)					38,351,319
Total Investments — 97.6% (identified cost $101,288,874)					98,159,969
Other Assets and Liabilities — 32.4%					32,588,917
Securities Sold Short and Written Options (see summary below) — (30.0)%					(30,249,868	)
Total Net Assets — 100.0%				$	100,499,018
Securities Sold Short— (30.0)%
Common Stocks Sold Short — (24.1)%
Belgium — (0.2)%
UCB SA		(2,460	)	$	(181,314	)
Bermuda — (0.2)%
Signet Jewelers Ltd.		(2,100	)		(227,640	)
Canada — (0.6)%
Canadian Western Bank		(7,880	)		(115,958	)
Element Financial Corp.		(14,300	)		(151,455	)
Home Capital Group, Inc.		(6,840	)		(171,885	)
National Bank of Canada		(4,620	)		(125,863	)
Restaurant Brands International, Inc.		(1,026	)		(35,972	)
					(601,133	)
Cayman Islands — (0.2)%
Alibaba Group Holding Ltd. ADR (2)		(2,440	)		(167,896	)
France — (0.3)%
Sanofi ADR		(6,800	)		(268,940	)
Germany — (0.2)%
Deutsche Lufthansa AG (2)		(14,760	)		(221,471	)
India — (0.7)%
Infosys Ltd. ADR		(40,060	)		(673,809	)
Japan — (0.1)%
Yahoo Japan Corp.		(12,800	)		(50,285	)
Jersey — (0.2)%
Delphi Automotive PLC		(1,640	)		(109,355	)
Shire PLC ADR		(897	)		(140,031	)
					(249,386	)
Luxembourg — (0.0)%
SES SA		(1,536	)		(40,250	)

Description	Shares			Value
Common Stocks Sold Short (continued)
Netherlands — (0.9)%
Ferrari NV (2)		(5,275	)	$	(200,345	)
Schlumberger Ltd.		(10,439	)		(748,685	)
					(949,030	)
Switzerland — (0.3)%
Roche Holding AG		(1,050	)		(268,946	)
United Kingdom — (0.7)%
Aon PLC		(1,881	)		(179,240	)
LivaNova PLC (2)		(3,315	)		(187,099	)
Nielsen NV		(2,685	)		(135,163	)
Royal Mail PLC		(38,100	)		(239,234	)
					(740,736	)
United States — (19.5)%
Abbott Laboratories		(6,102	)		(236,391	)
Activision Blizzard, Inc.		(2,668	)		(84,496	)
Adobe Systems, Inc. (2)		(3,858	)		(328,509	)
Air Products & Chemicals, Inc.		(1,079	)		(142,935	)
American Eagle Outfitters, Inc.		(9,600	)		(146,496	)
AmerisourceBergen Corp.		(5,137	)		(444,967	)
Apache Corp.		(9,029	)		(345,630	)
Apple, Inc.		(7,300	)		(705,837	)
Ashland, Inc.		(2,000	)		(190,580	)
Baxter International, Inc.		(5,001	)		(197,590	)
Best Buy Co., Inc.		(2,878	)		(93,218	)
Big Lots, Inc.		(2,400	)		(97,080	)
Boeing Co.		(2,356	)		(278,432	)
BofI Holding, Inc. (2)		(13,414	)		(248,561	)
CACI International, Inc., Class A (2)		(1,300	)		(125,606	)
CarMax, Inc. (2)		(6,150	)		(284,499	)
Caterpillar, Inc.		(5,086	)		(344,322	)
Cerner Corp. (2)		(1,138	)		(58,106	)
Charter Communications, Inc., Class A (2)		(362	)		(65,001	)
Chevron Corp.		(6,463	)		(539,273	)
Chico’s FAS, Inc.		(9,300	)		(118,668	)
Chipotle Mexican Grill, Inc. (2)		(43	)		(21,894	)
Clorox Co.		(1,100	)		(139,062	)
Coach, Inc.		(1,116	)		(43,457	)
Cobalt International Energy, Inc. (2)		(1,898	)		(5,049	)
CommVault Systems, Inc. (2)		(4,950	)		(185,476	)
ConocoPhillips		(3,255	)		(110,117	)
Corning, Inc.		(36,761	)		(672,726	)
Costco Wholesale Corp.		(383	)		(57,461	)
Crown Castle International Corp.		(2,745	)		(237,442	)
Cummins, Inc.		(2,300	)		(224,411	)
CVS Health Corp.		(1,421	)		(138,079	)
Dana Holding Corp.		(7,600	)		(94,544	)
Darden Restaurants, Inc.		(4,500	)		(287,460	)
DaVita HealthCare Partners, Inc. (2)		(1,533	)		(101,132	)
Deere & Co.		(2,211	)		(177,278	)
Diebold, Inc.		(7,700	)		(191,114	)
Discovery Communications, Inc., Class A (2)		(3,500	)		(87,500	)
Duke Energy Corp.		(1,700	)		(126,276	)
DuPont Fabros Technology, Inc.		(2,700	)		(96,255	)
Edwards Lifesciences Corp. (2)		(743	)		(64,641	)
Electronic Arts, Inc. (2)		(4,456	)		(286,253	)
EOG Resources, Inc.		(2,117	)		(137,055	)
Equinix, Inc.		(829	)		(251,759	)
Essex Property Trust, Inc.		(460	)		(96,269	)
Express, Inc. (2)		(5,400	)		(93,042	)
Foot Locker, Inc.		(1,400	)		(87,500	)
Hess Corp.		(4,802	)		(209,367	)
Hibbett Sports, Inc. (2)		(1,358	)		(48,209	)

(See Notes which are an integral part of the Financial Statements)

34

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares or Principal Amount			Value
Common Stocks Sold Short (continued)
United States (continued)
Hudson Pacific Properties, Inc.		(5,700	)	$	(145,350	)
Humana, Inc.		(1,743	)		(308,459	)
Huntington Bancshares, Inc.		(21,200	)		(185,500	)
Intel Corp.		(6,300	)		(186,417	)
International Business Machines Corp.		(4,875	)		(638,771	)
International Paper Co.		(12,769	)		(455,853	)
J.C. Penney Co., Inc. (2)		(35,339	)		(360,458	)
JetBlue Airways Corp. (2)		(4,600	)		(101,200	)
John Wiley & Sons, Inc., Class A		(2,220	)		(96,637	)
Johnson & Johnson		(2,710	)		(285,119	)
Kinder Morgan, Inc.		(11,164	)		(201,957	)
Kroger Co.		(4,700	)		(187,577	)
L Brands, Inc.		(2,490	)		(211,127	)
L-3 Communications Holdings, Inc.		(1,635	)		(191,802	)
Lands’ End, Inc. (2)		(863	)		(20,764	)
Manitowoc Co., Inc.		(20,650	)		(327,302	)
Marathon Petroleum Corp.		(2,445	)		(83,741	)
Marriott International, Inc., Class A		(726	)		(49,477	)
Mondelez International, Inc., Class A		(1,334	)		(54,067	)
National Fuel Gas Co.		(2,300	)		(105,064	)
National Oilwell Varco, Inc.		(18,557	)		(543,163	)
Netflix, Inc. (2)		(3,563	)		(332,820	)
New Media Investment Group, Inc.		(5,039	)		(78,760	)
NII Holdings, Inc. (2)		(6,213	)		(32,991	)
Occidental Petroleum Corp.		(7,590	)		(522,344	)
Omnicom Group, Inc.		(1,441	)		(112,124	)
Outerwall, Inc.		(4,123	)		(128,596	)
PacWest Bancorp		(4,700	)		(151,246	)
Parker-Hannifin Corp.		(6,984	)		(706,781	)
Phibro Animal Health Corp., Class A		(1,600	)		(44,256	)
Phillips 66		(2,137	)		(169,656	)
PPG Industries, Inc.		(2,855	)		(275,593	)
Praxair, Inc.		(4,910	)		(499,789	)
Primerica, Inc.		(5,789	)		(244,238	)
Public Service Enterprise Group, Inc.		(4,450	)		(189,837	)
Quad/Graphics, Inc.		(13,618	)		(172,404	)
Sirius XM Holdings, Inc. (2)		(9,453	)		(35,165	)
Stryker Corp.		(3,775	)		(377,047	)
SunEdison, Inc. (2)		(2,471	)		(4,893	)
Thermo Fisher Scientific, Inc.		(1,420	)		(183,450	)
Under Armour, Inc., Class A (2)		(785	)		(65,697	)
United Technologies Corp.		(5,337	)		(515,661	)
UnitedHealth Group, Inc.		(1,045	)		(124,459	)
Viacom, Inc., Class B		(3,861	)		(142,278	)
Walt Disney Co.		(1,055	)		(100,774	)
Whirlpool Corp.		(650	)		(100,958	)
Workday, Inc., Class A (2)		(1,055	)		(63,775	)
Xerox Corp.		(10,000	)		(96,100	)
					(19,558,522	)
Total Common Stocks Sold Short (proceeds $(25,453,934))					(24,199,358	)
Corporate Bonds & Notes Sold Short — (1.0)%
United States — (1.0)%
APX Group, Inc., 8.750%, 12/1/2020	$	(80,000	)		(65,400	)
FelCor Lodging LP, 6.000%, 6/1/2025		(101,000	)		(104,030	)
Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034		(48,000	)		(38,203	)

Description	Shares, Contracts, Principal Amount or Units			Value
Corporate Bonds & Notes Sold Short (continued)
United States (continued)
Outerwall, Inc.:
6.000%, 3/15/2019	$	(195,000	)	$	(156,000	)
5.875%, 6/15/2021		(35,000	)		(25,375	)
SESI LLC, 7.125%, 12/15/2021		(26,000	)		(16,022	)
Sungard Availability Services Capital, Inc., 8.750%, 4/1/2022 (6)		(54,000	)		(30,510	)
United Rentals North America, Inc., 7.375%, 5/15/2020		(123,000	)		(129,150	)
Valeant Pharmaceuticals International, 7.000%, 10/1/2020 (6)		(466,000	)		(441,535	)
Wynn Las Vegas LLC, 5.500%, 3/1/2025 (6)		(38,000	)		(36,433	)
Total Corporate Bonds & Notes Sold Short (proceeds $(1,102,928))					(1,042,658	)
Exchange Traded Funds Sold Short — (4.2)%
United States — (4.2)%
Consumer Discretionary Select Sector SPDR		(6,675	)		(496,887	)
Consumer Staples Select Sector SPDR		(4,311	)		(219,516	)
CurrencyShares Euro Trust (2)		(6,475	)		(688,746	)
Energy Select Sector SPDR		(9,070	)		(513,906	)
Industrial Select Sector SPDR		(810	)		(42,217	)
iShares Nasdaq Biotechnology		(378	)		(96,046	)
iShares Russell 2000		(330	)		(33,908	)
iShares Russell 2000 Growth		(1,380	)		(170,389	)
iShares Russell Mid-Cap Growth		(3,965	)		(342,298	)
iShares Russell Mid-Cap Value		(2,757	)		(180,225	)
SPDR S&P 500 Trust		(7,387	)		(1,429,828	)
Total Exchange Traded Funds Sold Short (proceeds $(4,451,549))					(4,213,966	)
Limited Partnership Units Sold Short — (0.1)%
United States — (0.1)%
Enterprise Products Partners LP		(3,833	)		(89,577	)
Total Limited Partnership Units Sold Short (proceeds $(87,473))					(89,577	)
Written Call Options — (0.3)%
United States — (0.3)%
Axalta Coating Systems Ltd., Exercise Price: $25.00, 3/18/2016 (2)		(26	)		(3,640	)
Eastman Chemical Co.:
Exercise Price: $65, 6/17/2016 (2)		(9	)		(3,420	)
Exercise Price: $65, 4/15/2016 (2)		(4	)		(1,000	)
Exercise Price: $65, 3/18/2016 (2)		(4	)		(448	)
Exercise Price: $63, 3/18/2016 (2)		(4	)		(1,010	)
Exercise Price: $60, 3/18/2016 (2)		(15	)		(7,950	)
Halozyme Therapeutics, Inc.:
Exercise Price: $12, 3/18/2016 (2)		(38	)		(570	)
Exercise Price: $11, 3/18/2016 (2)		(38	)		(190	)
Exercise Price: $10, 3/18/2016 (2)		(19	)		(380	)
Innoviva, Inc.:
Exercise Price: $15, 6/17/2016 (2)		(26	)		(780	)
Exercise Price: $14, 6/17/2016 (2)		(26	)		(1,755	)
Exercise Price: $13, 6/17/2016 (2)		(26	)		(2,405	)
Intrexon Corp., Exercise Price: $30.00, 3/18/2016 (2)		(15	)		(4,200	)
iShares Russell 2000, Exercise Price: $100.00, 3/18/2016 (2)		(9	)		(3,420	)

(See Notes which are an integral part of the Financial Statements)

35

February 29, 2016 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Contracts			Value
Written Call Options (continued)
United States (continued)
iShares Russell 2000 Growth, Exercise Price: $120.00, 3/18/2016 (2)		(7	)	$	(3,500	)
Lowe’s Cos., Inc., Exercise Price: $70.00, 3/18/2016 (2)		(5	)		(300	)
LyondellBasell Industries NV, Class A:
Exercise Price: $80, 3/18/2016 (2)		(20	)		(6,660	)
Exercise Price: $78, 3/18/2016 (2)		(16	)		(7,648	)
Exercise Price: $75, 3/18/2016 (2)		(2	)		(1,310	)
Exercise Price: $73, 3/18/2016 (2)		(6	)		(5,430	)
Phillips 66:
Exercise Price: $80, 3/18/2016 (2)		(21	)		(4,011	)
Exercise Price: $78, 3/18/2016 (2)		(14	)		(4,900	)
Exercise Price: $75, 3/18/2016 (2)		(20	)		(10,700	)
Royal Caribbean Cruises Ltd., Exercise Price: $95.00, 3/18/2016 (2)		(9	)		(45	)
S&P 500 Index, Exercise Price: $1,965.00, 3/18/2016 (2)		(86	)		(133,300	)
Seagate Technology PLC:
Exercise Price: $34, 3/18/2016 (2)		(13	)		(598	)
Exercise Price: $32, 3/18/2016 (2)		(28	)		(3,584	)
SPDR S&P 500 Trust:
Exercise Price: $191, 3/18/2016 (2)		(9	)		(4,536	)
Exercise Price: $190, 3/18/2016 (2)		(9	)		(5,022	)
Exercise Price: $184, 3/18/2016 (2)		(18	)		(19,134	)
Valeant Pharmaceuticals International, Inc.:
Exercise Price: $90, 6/17/2016 (2)		(13	)		(8,450	)
Exercise Price: $80, 5/20/2016 (2)		(13	)		(8,731	)
Exercise Price: $80, 3/18/2016 (2)		(25	)		(6,200	)
Valspar Corp., Exercise Price: $75.00, 3/18/2016 (2)		(25	)		(11,250	)
Vista Outdoor, Inc., Exercise Price: $40.00, 3/18/2016 (2)		(73	)		(70,810	)
Total Written Call Options (proceeds $(371,054))					(347,287	)
Written Put Options — (0.3)%
United States — (0.3)%
iShares Russell 2000:
Exercise Price: $81, 5/20/2016 (2)		(50	)		(2,025	)
Exercise Price: $85, 3/31/2016 (2)		(34	)		(357	)
S&P 500 Index:
Exercise Price: $1,860, 3/18/2016 (2)		(86	)		(106,640	)
Exercise Price: $1,925, 3/18/2016 (2)		(80	)		(248,000	)
Total Written Put Options (proceeds $(737,220))					(357,022	)
Total Securities Sold Short (proceeds $(32,204,158))				$	(30,249,868	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Aerospace/Defense	$	1,999,199		2.0	%
Airlines		1,159,931		1.1
Apparel		278,080		0.3
Auto Parts & Equipment		1,050,759		1.0
Banks		664,297		0.7
Beverages		634,880		0.6
Biotechnology		1,623,699		1.6
Building Materials		274,017		0.3
Chemicals		4,538,325		4.5
Commercial Services		1,248,319		1.2
Computers		3,586,534		3.6
Diversified Financial Services		238,669		0.2
Electric		620,311		0.6
Electronics		2,186,609		2.2
Energy-Alternate Sources		11,822		0.0
Food		332,346		0.3
Healthcare-Products		2,168,378		2.2
Healthcare-Services		423,310		0.4
Holding Companies-Diversified		1,447,332		1.4
Insurance		3,779		0.0
Internet		2,906,459		2.9
Leisure Time		73,775		0.1
Lodging		817,993		0.8
Media		2,407,882		2.4
Metal Fabricate/Hardware		456,760		0.5
Miscellaneous Manufacturing		498,203		0.5
Office/Business Equipment		368,651		0.4
Oil & Gas		2,939,834		2.9
Oil & Gas Services		745,055		0.7
Packaging & Containers		1,817,658		1.8
Pharmaceuticals		3,097,293		3.1
Pipelines		201,495		0.2
Real Estate Investment Trusts		377,487		0.4
Retail		3,673,504		3.7
Semiconductors		760,789		0.8
Software		897,263		0.9
Telecommunications		1,011,406		1.0
Textiles		294,757		0.3
Total Common Stocks Purchased Long		47,836,860		47.6
Bank Loans Purchased Long		8,165,848		8.1
Convertible Bonds Purchased Long		56,949		0.1
Corporate Bonds & Notes Purchased Long
Biotechnology		13,125		0.0
Building Materials		4,085		0.0
Commercial Services		160,881		0.2
Household Products/Wares		56,205		0.1
Insurance		107,580		0.1
Iron/Steel		25,163		0.0
Leisure Time		44,880		0.0
Lodging		82,334		0.1
Media		107,972		0.1
Metal Fabricate/Hardware		109,005		0.1
Oil & Gas		148,742		0.1
Pharmaceuticals		392,314		0.4
Pipelines		605,328		0.6
Retail		12,390		0.0
Semiconductors		55,125		0.1
Telecommunications		124,145		0.1
Total Corporate Bonds & Notes Purchased Long		2,049,274		2.0
Exchange Traded Funds Purchased Long		122,090		0.1
Limited Partnership Units Purchased Long		1,233,188		1.2
Purchased Call Options		294,609		0.3
Purchased Put Options		20,690		0.0

(See Notes which are an integral part of the Financial Statements)

36

BMO Funds

Alternative Strategies Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
U.S. Government & U.S. Government Agency Obligations Purchased Long	$	29,142			0.0	%
Short-Term Investments		38,351,319			38.2
Total Investments		98,159,969			97.6
Other Assets and Liabilities		32,588,917			32.4
Securities Sold Short & Written Options		(30,249,868	)		(30.0	)
Total Net Assets	$	100,499,018			100.0	%
Securities Sold Short & Written Options
Common Stocks Sold Short
Advertising	$	(112,124	)		(0.1	)%
Aerospace/Defense		(985,895	)		(1.0	)
Airlines		(322,671	)		(0.3	)
Apparel		(65,697	)		(0.1	)
Auto Manufacturers		(200,345	)		(0.2	)
Auto Parts & Equipment		(203,899	)		(0.2	)
Banks		(750,452	)		(0.8	)
Chemicals		(1,108,897	)		(1.1	)
Commercial Services		(307,567	)		(0.3	)
Computers		(2,335,138	)		(2.3	)
Diversified Financial Services		(151,455	)		(0.2	)
Electric		(316,113	)		(0.3	)
Electronics		(672,726	)		(0.7	)
Energy-Alternate Sources		(4,893	)		(0.0	)
Food		(241,644	)		(0.2	)
Forest Products & Paper		(455,853	)		(0.5	)
Gas		(105,064	)		(0.1	)
Healthcare-Products		(1,246,217	)		(1.2	)
Healthcare-Services		(534,050	)		(0.5	)
Home Furnishings		(100,958	)		(0.1	)
Household Products/Wares		(139,062	)		(0.1	)
Insurance		(423,478	)		(0.4	)
Internet		(650,525	)		(0.7	)
Lodging		(49,477	)		(0.1	)
Machinery-Construction & Mining		(344,322	)		(0.3	)
Machinery-Diversified		(728,992	)		(0.7	)
Media		(527,354	)		(0.5	)
Miscellaneous Manufacturing		(706,781	)		(0.7	)
Office/Business Equipment		(96,100	)		(0.1	)
Oil & Gas		(2,122,231	)		(2.1	)
Oil & Gas Services		(1,291,849	)		(1.3	)
Pharmaceuticals		(1,633,573	)		(1.6	)
Pipelines		(201,957	)		(0.2	)
Real Estate Investment Trusts		(827,075	)		(0.8	)
Retail		(2,480,856	)		(2.5	)
Savings & Loans		(248,561	)		(0.3	)
Semiconductors		(186,417	)		(0.2	)
Software		(1,006,615	)		(1.0	)
Telecommunications		(73,241	)		(0.1	)
Transportation		(239,234	)		(0.2	)
Total Common Stocks Sold Short		(24,199,358	)		(24.1	)
Corporate Bonds & Notes Sold Short
Commercial Services		(194,550	)		(0.2	)
Computers		(30,510	)		(0.0	)
Lodging		(140,463	)		(0.2	)
Oil & Gas Services		(16,022	)		(0.0	)
Pharmaceuticals		(441,535	)		(0.4	)
Retail		(219,578	)		(0.2	)
Total Corporate Bonds & Notes Sold Short		(1,042,658	)		(1.0	)
Exchange Traded Funds Sold Short		(4,213,966	)		(4.2	)
Limited Partnership Units Sold Short		(89,577	)		(0.1	)
Written Call Options		(347,287	)		(0.3	)
Written Put Options		(357,022	)		(0.3	)
Total Securities Sold Short & Written Options	$	(30,249,868	)		(30.0	)%

Global Long/Short Equity Fund

Description	Shares		Value
Common Stocks Purchased Long — 95.2%
Australia — 1.7%
Blackmores, Ltd.		205	$	23,162
Regis Resources, Ltd.		21,193		39,323
Woodside Petroleum, Ltd.		149		2,695
				65,180
Bermuda — 6.7%
Argo Group International Holdings, Ltd. (1)(10)		1,078		60,077
Aspen Insurance Holdings, Ltd. (1)(10)		1,668		74,543
BW LPG, Ltd. (6)		3,553		23,012
Everest Re Group, Ltd. (10)		393		73,149
Skyworth Digital Holdings, Ltd.		42,000		23,659
				254,440
Brazil — 0.5%
QGEP Participacoes SA		19,600		20,452
Canada — 6.7%
Celestica, Inc. (2)(10)		1,620		16,679
Dominion Diamond Corp. (10)		1,033		10,857
Dream Global REIT (10)		2,974		17,870
Genworth MI Canada, Inc. (10)		3,067		62,133
George Weston, Ltd. (10)		947		77,097
Just Energy Group, Inc.		1,780		10,420
Medical Facilities Corp.		851		9,202
OceanaGold Corp.		5,479		15,145
Pure Industrial REIT		5,342		17,965
Transcontinental, Inc. (10)		1,060		15,042
				252,410
Cayman Islands — 1.2%
China Dongxiang Group Co., Ltd.		98,000		21,318
China High Speed Transmission Equipment Group Co., Ltd. (2)		30,000		19,825
Leju Holdings Ltd. ADR		1,266		4,608
				45,751
China — 0.6%
China Machinery Engineering Corp., Class H		30,000		21,949
France — 0.6%
IPSOS (10)		530		11,423
Peugeot SA (2)(10)		751		11,280
				22,703
Germany — 3.1%
Software AG (10)		1,313		46,293
STADA Arzneimittel AG		2,071		69,923
				116,216
Greece — 0.4%
JUMBO SA (2)		1,356		16,508
Hungary — 0.8%
Richter Gedeon Nyrt		1,762		31,268
Indonesia — 0.2%
Tambang Batubara Bukit Asam Persero Tbk PT		24,400		9,257
Israel — 2.3%
Bezeq—The Israeli Telecommunication Corp., Ltd.		39,562		88,651
Italy — 0.8%
Amplifon SpA		2,653		21,256
Societa Iniziative Autostradali e Servizi SpA		1,103		9,986
				31,242

(See Notes which are an integral part of the Financial Statements)

37

February 29, 2016 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Japan — 5.6%
Kawasaki Kisen Kaisha, Ltd.		25,000	$	41,731
Nippon Road Co., Ltd. (10)		1,000		4,670
Okinawa Electric Power Co., Inc. (10)		300		7,370
Paramount Bed Holdings Co., Ltd. (10)		1,300		44,753
Sapporo Holdings, Ltd. (10)		19,000		86,449
Shimachu Co., Ltd.		1,200		25,395
				210,368
Jersey — 1.0%
WNS Holdings, Ltd. (2)		1,322		37,677
Luxembourg — 0.3%
Orion Engineered Carbons SA		824		10,589
Mexico — 0.2%
Industrias Bachoco SAB de CV		1,870		7,528
Netherlands — 3.5%
Boskalis Westminster (10)		1,605		58,081
LyondellBasell Industries NV, Class A (1)(10)		921		73,873
				131,954
New Zealand — 1.4%
Air New Zealand, Ltd.		24,046		43,215
Genesis Energy, Ltd.		7,723		9,928
				53,143
Poland — 0.8%
Asseco Poland SA		2,059		29,394
Singapore — 1.0%
SATS, Ltd.		13,800		38,590
South Korea — 0.9%
Samsung Electronics Co., Ltd.		34		32,321
United Kingdom — 8.5%
Berkeley Group Holdings PLC (10)		1,445		64,892
Carillion PLC		8,997		34,235
Debenhams PLC		16,086		17,838
Greggs PLC (10)		1,532		21,979
Imperial Brands PLC (10)		1,046		54,067
QinetiQ Group PLC		2,647		8,563
Royal Mail PLC (10)		10,703		67,206
WH Smith PLC (10)		2,150		53,867
				322,647
United States — 46.4%
Alaska Air Group, Inc. (10)		426		31,481
American Axle & Manufacturing Holdings, Inc. (2)(10)		658		9,620
Amkor Technology, Inc. (2)(1)		13,040		65,982
Amsurg Corp. (2)(10)		515		35,046
ArcBest Corp. (1)(10)		2,903		56,812
BBCN Bancorp, Inc. (10)		794		11,362
Benchmark Electronics, Inc. (2)(1)(10)		1,615		34,965
Best Buy Co., Inc. (10)		1,462		47,354
Chemed Corp. (1)(10)		487		62,580
Cooper Tire & Rubber Co. (10)		1,901		74,709
DuPont Fabros Technology, Inc. (10)		2,879		102,636
Employers Holdings, Inc. (1)(10)		696		19,321
Ennis, Inc. (10)		1,264		24,951
GameStop Corp., Class A (1)(10)		864		26,628
Gilead Sciences, Inc. (10)		769		67,095
Global Brass & Copper Holdings, Inc. (10)		1,002		22,084
ICU Medical, Inc. (2)(1)(10)		165		15,164
INC Research Holdings, Inc. (2)(1)(10)		592		23,491

Description	Shares			Value
Common Stocks Purchased Long (continued)
United States (continued)
Ingredion, Inc. (10)		889		$	89,985
Lear Corp. (10)		715			72,465
Magellan Health, Inc. (2)(10)		198			12,471
Masimo Corp. (2)(1)(10)		1,847			69,890
Merit Medical Systems, Inc. (2)(10)		2,217			41,702
Milestone Apartments REIT		2,387			28,404
Navigators Group, Inc. (2)(10)		576			46,644
NETGEAR, Inc. (2)(1)(10)		1,246			49,229
PharMerica Corp. (2)(10)		1,493			34,503
Photronics, Inc. (2)(1)(10)		1,761			17,909
PNM Resources, Inc. (10)		3,019			96,366
Polycom, Inc. (2)(10)		7,411			77,149
Selective Insurance Group, Inc. (10)		1,277			42,882
Sykes Enterprises, Inc. (2)(10)		1,150			35,041
Tanger Factory Outlet Centers (1)(10)		1,432			45,939
Tech Data Corp. (2)(1)(10)		944			66,467
Tesoro Corp. (1)(10)		316			25,495
Travelers Cos., Inc. (10)		766			82,360
Ultra Clean Holdings, Inc. (2)(1)		1,746			9,132
United Fire Group, Inc. (1)(10)		405			16,330
Valero Energy Corp. (1)(10)		547			32,864
WellCare Health Plans, Inc. (2)(1)(10)		380			34,151
					1,758,659
Total Common Stocks Purchased Long (identified cost $3,688,377)					3,608,897
Short-Term Investments — 46.8%
Collateral Investment for Securities on Loan — 10.3%
State Street Navigator Securities Lending Prime Portfolio Fund, 0.468%					389,035
Mutual Funds — 36.5%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.420%		1,385,825			1,385,825
Total Short-Term Investments (identified cost $1,774,860)					1,774,860
Total Investments — 142.0% (identified cost $5,463,237)					5,383,757
Other Assets and Liabilities — (9.1)%					(343,665	)
Securities Sold Short (see summary below) – (32.9)%					(1,248,914	)
Total Net Assets — 100.0%				$	3,791,178
Securities Sold Short — (32.9)%
Common Stocks Sold Short — (32.9)%
Australia — (0.1)%
Australian Agricultural Co., Ltd. (2)		(4,710	)	$	(4,035	)
Canada — (1.1)%
Crew Energy, Inc. (2)		(5,016	)		(11,863	)
First Quantum Minerals, Ltd.		(2,996	)		(10,917	)
Paramount Resources, Ltd. (2)		(4,004	)		(17,253	)
					(40,033	)
Cayman Islands — (0.6)%
JD.com, Inc. (2)		(809	)		(20,799	)
France — (1.4)%
Iliad SA		(176	)		(43,027	)
Zodiac Aerospace		(654	)		(10,862	)
					(53,889	)

(See Notes which are an integral part of the Financial Statements)

38

BMO Funds

Global Long/Short Equity Fund (continued)

Description	Shares			Value
Common Stocks Sold Short (continued)
Germany — (0.8)%
Bertrandt AG		(176	)	$	(18,065	)
zooplus AG (2)		(109	)		(13,328	)
					(31,393	)
Japan — (5.7)%
Don Quijote Holdings Co., Ltd.		(900	)		(29,989	)
GMO Payment Gateway, Inc.		(100	)		(5,617	)
Hoshizaki Electric Co., Ltd.		(100	)		(7,730	)
Kose Corp.		(200	)		(17,118	)
MISUMI Group, Inc.		(3,600	)		(47,796	)
MonotaRO Co., Ltd.		(1,200	)		(28,071	)
Nisshin Seifun Group, Inc.		(800	)		(13,034	)
Rakuten, Inc.		(3,400	)		(32,161	)
SMC Corp.		(100	)		(23,012	)
Suntory Beverage & Food, Ltd.		(300	)		(12,695	)
					(217,223	)
Netherlands — (0.8)%
TomTom NV (2)		(3,575	)		(31,968	)
Norway — (0.9)%
Schibsted ASA		(1,310	)		(35,779	)
Spain — (0.4)%
Atresmedia Corp de Medios de Comunicacion SA		(1,513	)		(15,680	)
Sweden — (0.8)%
AAK AB		(204	)		(13,891	)
Wallenstam AB		(2,090	)		(16,091	)
					(29,982	)
United Kingdom — (5.2)%
Associated British Foods PLC		(302	)		(14,212	)
Balfour Beatty PLC (2)		(4,667	)		(16,220	)
Just Eat PLC (2)		(4,468	)		(23,765	)
Liberty Global PLC (2)		(910	)		(33,524	)
Royal Bank of Scotland Group PLC (2)		(9,828	)		(30,552	)
Serco Group PLC (2)		(29,952	)		(38,634	)
Tesco PLC (2)		(15,791	)		(39,537	)
					(196,444	)
United States — (15.1)%
Actua Corp. (2)		(1,250	)		(10,163	)
Aerovironment, Inc. (2)		(1,190	)		(29,607	)
Applied Micro Circuits Corp. (2)		(4,609	)		(26,640	)
B/E Aerospace, Inc.		(114	)		(4,973	)
Brown-Forman Corp., Class B		(140	)		(13,786	)
Chegg, Inc. (2)		(1,883	)		(8,078	)
Covanta Holding Corp.		(2,251	)		(31,356	)
Deltic Timber Corp.		(146	)		(8,267	)
Donaldson Co., Inc.		(1,404	)		(39,649	)
FMC Corp.		(1,066	)		(40,124	)
Hortonworks, Inc. (2)		(742	)		(8,570	)
Interactive Brokers Group, Inc.		(1,107	)		(37,826	)
JM Smucker Co.		(105	)		(13,395	)
Kansas City Southern		(453	)		(37,015	)
Macquarie Infrastructure Corp.		(528	)		(32,234	)
Mercury General Corp.		(847	)		(44,535	)
NetSuite, Inc. (2)		(353	)		(21,328	)
Paylocity Holding Corp. (2)		(1,150	)		(34,063	)
Raven Industries, Inc.		(1,552	)		(23,715	)
Rayonier, Inc.		(1,266	)		(27,637	)
Reynolds American, Inc.		(273	)		(13,767	)
Senomyx, Inc. (2)		(2,238	)		(7,430	)
ServiceNow, Inc. (2)		(435	)		(23,921	)
Splunk, Inc. (2)		(608	)		(26,509	)

Description	Shares			Value
Common Stocks Sold Short (continued)
United States (continued)
Tesla Motors, Inc. (2)		(37	)	$	(7,101	)
					(571,689	)
Total Securities Sold Short (proceeds $(1,354,878))				$	(1,248,914	)

Industry Allocation
Industry	Value			% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	11,423			0.3	%
Agriculture		54,067			1.4
Airlines		74,696			2.0
Auto Manufacturers		11,280			0.3
Auto Parts & Equipment		156,795			4.1
Banks		11,362			0.3
Beverages		86,449			2.3
Biotechnology		67,095			1.8
Chemicals		84,462			2.2
Coal		9,257			0.2
Commercial Services		82,034			2.2
Computers		102,112			2.7
Electric		113,664			3.0
Electrical Components & Equipment		19,825			0.5
Electronics		118,111			3.1
Engineering & Construction		157,524			4.2
Food		196,588			5.2
Gas		10,420			0.3
Healthcare-Products		171,509			4.5
Healthcare-Services		153,449			4.0
Home Builders		64,892			1.7
Home Furnishings		23,659			0.6
Insurance		477,439			12.6
Internet		4,608			0.1
Metal Fabricate/Hardware		22,084			0.6
Mining		65,325			1.7
Oil & Gas		81,506			2.2
Pharmaceuticals		158,856			4.2
Real Estate Investment Trusts		212,814			5.6
Retail		230,164			6.1
Semiconductors		125,345			3.3
Software		46,293			1.2
Telecommunications		215,029			5.7
Transportation		188,761			5.0
Total Common Stocks Purchased Long		3,608,897			95.2
Collateral Investment for Securities on Loan		389,035			10.3
Mutual Funds		1,385,825			36.5
Total Investments		5,383,757			142.0
Other Assets and Liabilities		(343,665	)		(9.1	)
Securities Sold Short		(1,248,914	)		(32.9	)
Total Net Assets	$	3,791,178			100.0	%
Securities Sold Short
Aerospace/Defense	$	(45,442	)		(1.2	)%
Agriculture		(17,803	)		(0.5	)
Auto Manufacturers		(7,101	)		(0.2	)
Auto Parts & Equipment		(18,065	)		(0.5	)
Banks		(30,552	)		(0.8	)
Beverages		(26,481	)		(0.7	)
Chemicals		(40,124	)		(1.0	)
Commercial Services		(71,914	)		(1.9	)
Computers		(38,634	)		(1.0	)
Cosmetics/Personal Care		(17,118	)		(0.4	)

(See Notes which are an integral part of the Financial Statements)

39

February 29, 2016 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Diversified Financial Services	$	(37,826	)		(1.0	)%
Engineering & Construction		(16,220	)		(0.4	)
Environmental Control		(31,356	)		(0.8	)
Food		(101,499	)		(2.7	)
Forest Products & Paper		(8,267	)		(0.2	)
Hand/Machine Tools		(23,012	)		(0.6	)
Home Furnishings		(7,730	)		(0.2	)
Insurance		(44,535	)		(1.2	)
Internet		(195,737	)		(5.2	)
Media		(84,984	)		(2.2	)
Metal Fabricate/Hardware		(47,796	)		(1.3	)
Mining		(10,917	)		(0.3	)
Miscellaneous Manufacturing		(63,364	)		(1.7	)
Oil & Gas		(29,116	)		(0.8	)
Real Estate		(16,091	)		(0.4	)
Real Estate Investment Trusts		(27,637	)		(0.7	)
Retail		(29,989	)		(0.8	)
Semiconductors		(26,640	)		(0.7	)
Software		(95,949	)		(2.5	)
Transportation		(37,015	)		(1.0	)
Total Securities Sold Short	$	(1,248,914	)		(32.9	)%

Ultra Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 98.5%
Alabama — 3.2%
Bessemer Governmental Utility Services Corp., 0.290%, 12/1/2030 (6)(8)	$	5,085,000	$	5,085,000
Health Care Authority for Baptist Health, 0.550%, 11/1/2042 (8)		14,125,000		14,125,000
Other securities				782,379
				19,992,379
Arizona — 1.7%
Arizona Health Facilities Authority:
1.860%, 2/5/2020, Call 8/9/2019 (8)		3,250,000		3,332,972
1.860%, 2/5/2020, Call 8/9/2019 (8)		750,000		769,148
Scottsdale Industrial Development Authority, 5.000%, 9/1/2016		140,000		143,150
Scottsdale Industrial Development Authority, FSA, 0.550%, 9/1/2045, Call 3/1/2016 (8)(12)		4,275,000		4,275,000
Other securities				1,693,202
				10,213,472
Arkansas — 1.8%
Arkansas Development Finance Authority:
0.650%, 9/1/2044, Call 3/1/2016 (8)		6,000,000		6,000,000
1.110%, 9/1/2019, Call 3/1/2019 (8)		3,000,000		3,006,630
Other securities				1,953,712
				10,960,342

Description	Principal Amount		Value
Municipals (continued)
California — 10.2%
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (8)	$	8,000,000	$	8,027,200
1.110%, 4/1/2024, Call 10/1/2023 (8)		1,750,000		1,737,032
Deutsche Bank Spears/Lifers Trust, 0.310%, 8/1/2047 (6)(8)		16,159,000		16,159,000
Northern California Gas Authority No. 1:
1.010%, 7/1/2017 (8)		65,000		64,744
1.040%, 7/1/2019 (8)		7,500,000		7,335,150
Puttable Floating Option Tax-Exempt Receipts, 0.440%, 8/1/2030, Call 3/31/2016 (6)(8)		3,490,000		3,490,000
Other securities				25,791,702
				62,604,828
Colorado — 1.6%
E-470 Public Highway Authority, 1.190%, 8/31/2017, Call 3/1/2017 (8)		4,600,000		4,613,524
E-470 Public Highway Authority, NATL-RE, 5.250%, 9/1/2016		50,000		51,177
Other securities				5,374,772
				10,039,473
Connecticut — 1.0%
State of Connecticut, 0.270%, 1/1/2018, Call 3/1/2016 (8)		5,000,000		5,000,000
Other securities				1,290,425
				6,290,425
Delaware — 0.0%
Other securities				200,962
District of Columbia — 1.4%
Deutsche Bank Spears/Lifers Trust, 0.260%, 6/1/2031, Call 6/1/2021 (6)(8)		8,185,000		8,185,000
Other securities				391,166
				8,576,166
Florida — 3.0%
Sumter County Industrial Development Authority:
3.000%, 7/1/2016		1,620,000		1,633,608
4.000%, 7/1/2017		1,180,000		1,230,882
4.000%, 7/1/2019		620,000		668,025
Other securities				15,039,225
				18,571,740
Georgia — 9.3%
Appling County Development Authority:
0.180%, 9/1/2029, Call 3/1/2016 (8)		12,300,000		12,300,000
0.180%, 9/1/2041, Call 3/1/2016 (8)		10,500,000		10,500,000
Burke County Development Authority:
0.180%, 7/1/2049, Call 3/1/2016 (8)		5,000,000		5,000,000
1.550%, 6/21/2016 (8)		265,000		265,498
1.750%, 6/1/2017 (8)		500,000		504,935

(See Notes which are an integral part of the Financial Statements)

40

BMO Funds

Ultra Short Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Georgia (continued)
City of Atlanta, 5.000%, 1/1/2017	$	4,160,000	$	4,313,338
Effingham County Industrial Development Authority, 0.180%, 2/1/2038, Call 3/1/2016 (8)		7,000,000		7,000,000
Monroe County Development Authority, 0.180%, 11/1/2048, Call 3/1/2016 (8)		11,300,000		11,300,000
Other securities				6,058,235
				57,242,006
Guam — 0.1%
Other securities				310,293
Idaho — 1.4%
Idaho Housing & Finance Association, 0.260%, 1/1/2038, Call 3/1/2016 (8)		8,800,000		8,800,000
Illinois — 5.9%
Chicago Board of Education, 4.010%, 3/1/2017, Call 9/1/2016 (8)		4,250,000		4,039,030
Illinois Finance Authority, 1.300%, 5/8/2017 (8)		3,350,000		3,354,690
State of Illinois:
4.000%, 7/1/2016		100,000		101,008
5.000%, 4/1/2016		1,000,000		1,003,470
5.000%, 5/1/2017		500,000		521,065
5.000%, 1/1/2018		2,000,000		2,120,100
Other securities				25,145,703
				36,285,066
Indiana — 4.2%
Indiana Finance Authority, 0.480%, 6/1/2016 (8)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, 0.350%, 4/15/2018 (6)(8)		8,500,000		8,500,000
Other securities				12,544,822
				26,044,822
Iowa — 0.6%
Other securities				3,406,871
Kansas — 0.5%
Other securities				2,778,882
Kentucky — 0.8%
Other securities				4,796,845
Louisiana — 2.6%
East Baton Rouge Sewerage Commission, 0.798%, 8/1/2018, Call 2/1/2018 (8)		6,230,000		6,258,720
Parish of St. James, 0.430%, 11/1/2040, Call 3/1/2016 (8)		4,000,000		4,000,000
Other securities				5,877,692
				16,136,412
Maryland — 0.0%
Other securities				138,747
Massachusetts — 0.3%
Other securities				1,574,204

Description	Principal Amount		Value
Municipals (continued)
Michigan — 3.5%
Fitzgerald Public School District, BAM:
4.000%, 5/1/2016	$	625,000	$	628,469
4.000%, 5/1/2016		1,490,000		1,498,269
4.000%, 5/1/2017		985,000		1,020,765
Michigan Finance Authority:
4.000%, 6/1/2017		100,000		103,712
5.000%, 7/1/2016		1,000,000		1,012,940
5.000%, 7/1/2016		2,000,000		2,029,160
Other securities				15,210,707
				21,504,022
Minnesota — 1.3%
Other securities				8,008,071
Mississippi — 2.4%
Mississippi Business Finance Corp.:
0.400%, 5/1/2037, Call 5/1/2016 (8)		6,000,000		5,999,820
0.950%, 12/1/2036, Call 3/1/2016 (8)		8,000,000		8,000,000
Other securities				590,287
				14,590,107
Missouri — 0.7%
Other securities				4,163,613
Nebraska — 0.5%
Central Plains Energy Project, 5.000%, 6/1/2017		3,000,000		3,165,300
Nevada — 0.4%
Other securities				2,429,378
New Hampshire — 0.1%
Other securities				761,470
New Jersey — 8.6%
New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 3/1/2016 (8)		6,765,000		6,765,000
0.320%, 11/1/2040, Call 3/1/2016 (8)		5,875,000		5,875,000
0.320%, 11/1/2040, Call 3/1/2016 (8)		4,800,000		4,800,000
0.740%, 2/1/2017, Call 8/1/2016 (8)		3,225,000		3,189,912
1.810%, 2/1/2018, Call 8/1/2017 (8)		500,000		497,495
2.198%, 2/1/2018, Call 8/1/2017 (8)		1,750,000		1,753,850
5.000%, 6/15/2017		250,000		259,545
New Jersey Health Care Facilities Financing Authority:
0.320%, 7/1/2038, Call 3/1/2016 (8)		3,900,000		3,900,000
3.250%, 7/1/2016		515,000		519,748
New Jersey Health Care Facilities Financing Authority, AGC, 0.400%, 7/1/2038, Call 7/1/2019 (6)(8)		7,002,902		7,002,902
New Jersey State Turnpike Authority, 0.710%, 1/1/2017, Call 7/1/2016 (8)		5,000,000		4,998,550
New Jersey Transportation Trust Fund Authority:
1.010%, 12/15/2019, Call 6/15/2019 (8)		5,000,000		4,784,900
5.000%, 12/15/2017		1,200,000		1,275,804

(See Notes which are an integral part of the Financial Statements)

41

February 29, 2016 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
New Jersey (continued)
New Jersey Turnpike Authority, 0.690%, 1/1/2018, Call 7/1/2017 (8)	$	200,000	$	199,744
Other securities				7,243,540
				53,065,990
New Mexico — 0.9%
New Mexico Municipal Energy Acquisition Authority, 1.036%, 8/1/2019, Call 2/1/2019 (8)		5,500,000		5,467,275
New York — 7.3%
City of New York, AGM, 0.210%, 11/1/2026 (8)		5,000,000		5,000,000
Metropolitan Transportation Authority, AGM:
0.860%, 11/1/2022, Call 3/17/2016 (8)(12)		3,050,000		2,964,637
0.872%, 11/1/2022, Call 3/2/2016 (8)(12)		3,600,000		3,499,031
0.894%, 5/15/2018, Call 11/15/2017 (8)		4,650,000		4,642,746
New York State Energy Research & Development Authority, 0.467%, 4/1/2020, Call 3/23/2016 (8)(12)		145,000		140,338
New York State Energy Research & Development Authority, NATL-RE, 0.467%, 12/1/2020, Call 3/1/2016 (8)(12)		7,350,000		7,100,864
Oswego City School District, SAW, 1.000%, 4/21/2016		5,950,000		5,954,700
Other securities				15,622,049
				44,924,365
North Carolina — 0.3%
Other securities				1,925,527
North Dakota — 1.6%
Other securities				9,763,467
Ohio — 3.6%
County of Crawford, 1.430%, 11/1/2017, Call 5/1/2017		5,000,000		5,004,550
Lancaster Port Authority, 1.006%, 8/1/2019, Call 2/1/2019 (8)		5,000,000		4,993,050
State of Ohio:
0.340%, 1/15/2045, Call 3/1/2016 (8)		5,500,000		5,500,000
0.340%, 1/15/2045, Call 3/1/2016 (8)		5,000,000		5,000,000
Other securities				1,925,459
				22,423,059
Oregon — 0.4%
Other securities				2,701,932
Pennsylvania — 4.9%
Pennsylvania Turnpike Commission:
0.610%, 12/1/2017, Call 6/1/2017 (8)		100,000		99,770
0.690%, 12/1/2018, Call 6/1/2018 (8)		6,000,000		5,978,700

Description	Principal Amount		Value
Municipals (continued)
Pennsylvania (continued)
1.160%, 12/1/2019, Call 6/1/2019 (8)	$	2,225,000	$	2,228,449
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017		600,000		631,596
Scranton School District, AGM SAW, 2.000%, 6/15/2017		250,000		253,853
Scranton School District, SAW, 1.290%, 4/2/2018, Call 10/2/2017 (8)		3,000,000		3,006,990
Other securities				17,795,167
				29,994,525
Puerto Rico — 0.2%
Other securities				1,274,628
Rhode Island — 0.2%
Other securities				1,050,440
Tennessee — 0.1%
Other securities				673,144
Texas — 8.8%
Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)		2,200,000		2,200,000
0.170%, 4/1/2040, Call 3/1/2016 (8)		6,250,000		6,250,000
0.170%, 4/1/2040, Call 3/1/2016 (8)		2,800,000		2,800,000
0.170%, 11/1/2040, Call 3/1/2016 (8)		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates, 0.290%, 7/1/2021 (6)(8)		8,500,000		8,500,000
Other securities				24,642,321
				54,392,321
Utah — 0.3%
Other securities				1,759,011
Vermont — 0.0%
Other securities				126,693
Virginia — 0.2%
Other securities				1,304,898
Washington — 0.8%
Other securities				4,875,246
West Virginia — 0.0%
Other securities				193,709
Wisconsin — 1.8%
Other securities				11,037,394
Total Municipals (identified cost $606,157,432)				606,539,520
Mutual Funds — 0.3%
New York — 0.3%
Other securities				2,000,100
Total Mutual Funds (identified cost $2,000,000)				2,000,100
Short-Term Investments — 0.6%
Mutual Funds — 0.1%
Other securities				456,185

(See Notes which are an integral part of the Financial Statements)

42

BMO Funds

Ultra Short Tax-Free Fund (continued)**

Description	Value
Short-Term Investments (continued)
Short-Term Municipals — 0.5%
Georgia — 0.0%
Other securities	$	151,888
Illinois — 0.0%
Other securities		180,000
New Jersey — 0.0%
Other securities		201,026
New York — 0.3%
Other securities		2,010,660
Ohio — 0.1%
Other securities		300,675
Wisconsin — 0.1%
Other securities		565,000
Total Short-Term Municipals		3,409,249
Total Short-Term Investments (identified cost $3,854,533)		3,865,434
Total Investments — 99.4% (identified cost $612,011,965)		612,405,054
Other Assets and Liabilities — 0.6%		3,441,603
Total Net Assets — 100.0%	$	615,846,657

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—19.3%
School District		10.0	%
State or Local		9.3
Revenue Bonds—80.1%
Appropriation		13.4
Education		6.4
General Revenue		0.3
Healthcare		20.2
Housing		3.2
Industrial Revenue		9.1
Power		3.5
Special Tax		6.4
Tobacco		0.2
Transportation		9.8
Water & Sewer		7.6
Other Assets & Liabilities, Net		0.6
Total		100.0	%

Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 92.9%
Alabama — 0.7%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,104,570
Other securities				316,596
				1,421,166
Alaska — 0.5%
Other securities				880,712
Arizona — 1.9%
Other securities				3,702,684

Description	Principal Amount		Value
Municipals (continued)
Arkansas — 0.5%
Other securities			$	969,284
California — 6.5%
California Pollution Control Financing Authority, 0.450%, 5/2/2016 (6)(8)	$	1,000,000		1,000,060
Northern California Gas Authority No. 1:
1.010%, 7/1/2017 (8)		70,000		69,724
1.040%, 7/1/2019 (8)		1,040,000		1,017,141
Other securities				10,444,246
				12,531,171
Colorado — 2.7%
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)		590,000		593,387
3.000%, 10/1/2017		380,000		391,746
3.000%, 11/15/2017		200,000		207,414
Other securities				4,044,329
				5,236,876
Connecticut — 0.4%
Other securities				674,518
Delaware — 0.1%
Other securities				150,887
Florida — 7.3%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020		500,000		571,095
5.000%, 4/1/2021		400,000		467,560
Columbia County School Board:
5.000%, 7/1/2019		920,000		1,028,900
5.000%, 7/1/2021		400,000		473,672
County of Jackson, 0.100%, 7/1/2022, Call 3/1/2016 (8)		3,330,000		3,330,000
School District of Broward County, 5.000%, 7/1/2019		1,000,000		1,130,230
Sumter County Industrial Development Authority:
4.000%, 7/1/2017		500,000		521,560
5.000%, 7/1/2020		235,000		264,290
5.000%, 7/1/2020		300,000		340,593
Other securities				5,864,568
				13,992,468
Georgia — 6.0%
Burke County Development Authority, 0.180%, 5/1/2022, Call 3/1/2016 (8)		4,000,000		4,000,000
Burke County Development Authority, AGM, 0.750%, 1/1/2024, Call 3/10/2016 (8)(12)		410,000		396,399
Heard County Development Authority, 0.110%, 9/1/2029, Call 3/1/2016 (8)		2,000,000		2,000,000
Heard County Development Authority, AGM, 0.750%, 1/1/2024, Call 3/10/2016 (8)(12)		25,000		23,188
Other securities				5,224,293
				11,643,880

(See Notes which are an integral part of the Financial Statements)

43

February 29, 2016 (Unaudited)

Schedules of Investments

Short Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Idaho — 0.1%
Other securities			$	255,908
Illinois — 10.1%
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	$	1,000,000		1,144,650
Illinois Finance Authority:
1.300%, 5/8/2017 (8)		1,000,000		1,001,400
2.500%, 5/15/2018		150,000		150,477
4.000%, 10/1/2018		275,000		289,743
5.000%, 7/1/2017		250,000		260,712
5.000%, 11/15/2022		555,000		657,753
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023		1,000,000		1,194,770
State of Illinois:
5.000%, 5/1/2017		250,000		260,532
5.000%, 1/1/2018		1,000,000		1,060,050
5.000%, 4/1/2020		100,000		111,027
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019		1,110,000		1,193,150
Other securities				12,109,512
				19,433,776
Indiana — 2.4%
City of Whiting, 1.850%, 10/1/2019 (8)		1,000,000		1,003,100
Indianapolis Local Public Improvement Bond Bank, NATL, 5.000%, 7/1/2017		1,000,000		1,056,720
Other securities				2,591,375
				4,651,195
Iowa — 0.5%
Other securities				999,730
Kansas — 0.4%
Other securities				804,731
Kentucky — 0.5%
Other securities				1,016,337
Louisiana — 2.4%
Louisiana Public Facilities Authority, 0.010%, 12/1/2043, Call 3/1/2016 (8)		2,000,000		2,000,000
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2018		1,000,000		1,089,950
Other securities				1,449,703
				4,539,653
Maine — 0.1%
Other securities				257,945
Maryland — 0.2%
Other securities				441,614
Massachusetts — 1.0%
Massachusetts Development Finance Agency, 0.950%, 7/1/2017, Call 1/1/2017 (8)		1,000,000		1,000,820
Other securities				827,292
				1,828,112

Description	Principal Amount		Value
Municipals (continued)
Michigan — 5.1%
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6)(8)	$	2,000,000	$	2,000,000
Woodhaven-Brownstown School District, Q-SBLF, 4.000%, 5/1/2018		1,000,000		1,065,520
Other securities				6,852,936
				9,918,456
Minnesota — 0.4%
Other securities				816,618
Mississippi — 1.4%
Mississippi Development Bank, 5.000%, 1/1/2018		1,000,000		1,077,570
Other securities				1,704,795
				2,782,365
Missouri — 2.7%
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 12/1/2017		1,000,000		1,002,740
Southeast Missouri State University, 5.000%, 4/1/2019 (9)		1,000,000		1,119,220
Other securities				3,034,124
				5,156,084
Nebraska — 0.2%
Other securities				307,024
Nevada — 1.2%
Clark County School District, 5.000%, 6/15/2018		1,000,000		1,095,550
Clark County School District, NATL-RE FGIC:
5.000%, 6/15/2021, Call 6/15/2017		100,000		108,374
5.000%, 6/15/2023, Call 6/15/2017		175,000		189,203
Other securities				1,000,000
				2,393,127
New Hampshire — 0.1%
Other securities				268,063
New Jersey — 2.4%
Other securities				4,671,046
New Mexico — 1.7%
City of Farmington, 1.875%, 4/1/2020 (8)		1,000,000		1,019,050
Town of Clayton, NATL, 4.000%, 11/1/2017		1,000,000		1,048,950
Other securities				1,109,846
				3,177,846
New York — 7.7%
County of Nassau, 5.000%, 10/1/2018		1,000,000		1,105,310
Long Island Power Authority, 0.948%, 11/1/2018, Call 5/1/2018 (8)		1,000,000		1,003,210
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017		150,000		157,354
Metropolitan Transportation Authority, 5.000%, 11/15/2021, Call 11/15/2016		150,000		154,592

(See Notes which are an integral part of the Financial Statements)

44

BMO Funds

Short Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
Metropolitan Transportation Authority, AGM:
0.860%, 11/1/2022, Call 3/17/2016 (8)(12)	$	500,000	$	486,006
0.872%, 11/1/2022, Call 3/2/2016 (8)(12)		900,000		874,758
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
1.188%, 1/1/2030, Call 3/28/2016 (8)(12)		100,000		91,783
1.192%, 1/1/2030, Call 3/1/2016 (8)(12)		625,000		573,783
1.198%, 1/1/2030, Call 3/2/2016 (8)(12)		100,000		92,216
1.206%, 1/1/2030, Call 4/4/2016 (8)(12)		500,000		461,169
New York City Transitional Finance Authority, 0.210%, 11/1/2022 (8)		1,000,000		1,000,000
New York State Dormitory Authority:
5.000%, 7/1/2018		1,000,000		1,098,370
5.000%, 12/15/2019		495,000		571,715
5.250%, 2/15/2024, Call 2/15/2019		400,000		450,540
New York State Thruway Authority, 5.000%, 5/1/2019		1,000,000		1,127,820
Other securities				5,640,217
				14,888,843
North Carolina — 0.7%
Other securities				1,300,696
North Dakota — 0.7%
Other securities				1,442,604
Ohio — 1.6%
City of Cleveland, AGM:
5.000%, 1/1/2018		510,000		548,398
5.000%, 1/1/2019		600,000		666,390
City of Cleveland, AMBAC, 5.250%, 1/1/2018		50,000		53,895
Other securities				1,885,561
				3,154,244
Oklahoma — 0.1%
Other securities				155,386
Oregon — 0.1%
Other securities				100,358
Pennsylvania — 4.2%
Commonwealth of Pennsylvania:
5.000%, 4/15/2020, Call 4/15/2019		600,000		672,474
5.000%, 3/15/2022		275,000		328,045
Scranton School District, SAW, 1.290%, 4/2/2018, Call 10/2/2017 (8)		1,000,000		1,002,330
Other securities				6,019,777
				8,022,626
Puerto Rico — 0.1%
Other securities				118,732

Description	Principal Amount		Value
Municipals (continued)
Rhode Island — 0.5%
Other securities			$	1,005,872
South Carolina — 1.2%
County of Spartanburg, SAW, 5.000%, 4/1/2018	$	1,000,000		1,089,630
Newberry Investing in Children’s Education, 5.000%, 12/1/2019		1,000,000		1,141,080
Other securities				102,447
				2,333,157
Tennessee — 1.0%
Public Building Authority of Sevier County, 5.000%, 6/1/2018		1,000,000		1,092,290
Public Building Authority of Sevier County, AMBAC, 0.480%, 6/1/2018 (8)(12)		200,000		196,655
Other securities				597,116
				1,886,061
Texas — 10.3%
Lower Colorado River Authority, 5.000%, 5/15/2019		1,000,000		1,124,640
Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)		500,000		500,000
0.170%, 12/1/2039, Call 3/1/2016 (8)		2,005,000		2,005,000
0.170%, 4/1/2040, Call 3/1/2016 (8)		2,500,000		2,500,000
0.170%, 4/1/2040, Call 3/1/2016 (8)		1,000,000		1,000,000
0.170%, 11/1/2040, Call 3/1/2016 (8)		1,000,000		1,000,000
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6)(8)		2,000,000		2,000,000
Other securities				9,719,624
				19,849,264
Utah — 0.4%
Other securities				788,584
Vermont — 0.2%
Other securities				380,074
Virgin Islands — 0.1%
Other securities				101,053
Virginia — 0.7%
Henrico County Economic Development Authority, AGM, 0.763%, 8/23/2027, Call 3/1/2016 (8)(12)		1,350,000		1,258,376
Other securities				102,327
				1,360,703
Washington — 0.7%
Other securities				1,301,617
Wisconsin — 3.1%
City of Stanley, 2.500%, 3/1/2018, Call 9/1/2017 (9)		1,000,000		1,018,150
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017		130,000		130,872
3.250%, 5/1/2018		200,000		202,710
4.000%, 8/15/2016		750,000		758,850

(See Notes which are an integral part of the Financial Statements)

45

February 29, 2016 (Unaudited)

Schedules of Investments

Short Tax-Free Fund (continued)**

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority (continued):
4.000%, 3/1/2017	$	150,000	$	154,320
4.000%, 8/15/2018		300,000		317,082
5.000%, 3/1/2020		200,000		221,788
Other securities				3,075,800
				5,879,572
Total Municipals (identified cost $177,469,634)				178,992,722
Mutual Funds — 0.5%
Other securities				853,332
Total Mutual Funds
(identified cost $855,020)				853,332
Short-Term Investments — 5.6%
Mutual Funds — 5.6%
BMO Tax-Free Money Market Fund—Premier Class, 0.130% (4)		10,834,960		10,834,960
Total Short-Term Investments (identified cost $10,834,960)				10,834,960
Total Investments — 99.0% (identified cost $189,159,614)				190,681,014
Other Assets and Liabilities — 1.0%				1,966,374
Total Net Assets — 100.0%			$	192,647,388

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—19.0%
School District		7.6	%
State or Local		11.4
Revenue Bonds—73.9%
Appropriation		13.8
Education		10.4
General Revenue		3.9
Healthcare		12.2
Housing		4.5
Industrial Revenue		10.7
Power		3.2
Special Tax		3.4
Student Loan		0.4
Tobacco		0.4
Transportation		6.1
Water & Sewer		4.9
Other Assets & Liabilities, Net		7.1
Total		100.0	%

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 20.2%
Automobiles — 7.3%
AmeriCredit Auto Receivables Trust:
Class C, (Series 2012-1), 2.670%, 1/8/2018	$	230,313	$	230,437
Class C, (Series 2012-4), 1.930%, 8/8/2018		2,000,000		2,003,446
BMW Vehicle Lease Trust, Class A3, (Series 2015-2), 1.400%, 2/20/2019		2,500,000		2,502,438
CarMax Auto Owner Trust, Class A3, (Series 2015-4), 1.560%, 11/16/2020		1,000,000		1,004,071
CPS Auto Receivables Trust:
Class A, (Series 2012-A), 2.780%, 6/17/2019 (6)		523,927		524,904
Class A, (Series 2012-D), 1.480%, 3/16/2020 (6)		196,576		195,473
Class A, (Series 2013-A), 1.310%, 6/15/2020 (6)		568,871		562,527
Ford Credit Auto Lease Trust:
Class A3, (Series 2014-B), 0.890%, 9/15/2017		1,420,000		1,419,649
Class B, (Series 2014-A), 1.160%, 8/15/2017		500,000		499,449
GM Financial Leasing Trust:
Class A3, (Series 2014-1A), 1.010%, 5/22/2017 (6)		1,546,036		1,545,727
Class A3, (Series 2015-2), 1.680%, 12/20/2018		2,500,000		2,508,513
Harley-Davidson Motorcycle Trust:
Class A3, (Series 2015-1), 1.410%, 6/15/2020		2,500,000		2,503,745
Class A3, (Series 2015-2), 1.300%, 3/16/2020		1,000,000		999,125
Hyundai Auto Receivables Trust, Class A3, (Series 2014-A), 0.790%, 7/16/2018		912,715		911,815
Santander Drive Auto Receivables Trust:
Class A3, (Series 2014-4), 1.080%, 9/17/2018		1,990,000		1,988,567
Class C, (Series 2012-4), 2.940%, 12/15/2017		670,190		672,247
Class C, (Series 2013-A), 3.120%, 10/15/2019 (6)		940,000		952,874
Toyota Auto Receivables Owner Trust, Class A4, (Series 2016-A), 1.470%, 9/15/2021 (9)		2,400,000		2,399,961
Volkswagen Auto Lease Trust, Class A3, (Series 2015-A), 1.250%, 12/20/2017		500,000		496,855
Volkswagen Auto Loan Enhanced Trust, Class A3, (Series 2014-1), 0.910%, 10/22/2018		2,056,714		2,046,459
				25,968,282
Credit Cards — 2.8%
Cabela’s Credit Card Master Trust, Class A1, (Series 2015-2), 2.250%, 7/17/2023		1,000,000		1,013,042
Capital One Multi-Asset Execution Trust, Class A3, (Series 2013-A3), 0.960%, 9/16/2019		1,600,000		1,601,170
Discover Card Execution Note Trust, Class A1, (Series 2016-A1), 1.640%, 7/15/2021		3,385,000		3,404,555

(See Notes which are an integral part of the Financial Statements)

46

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Credit Cards (continued)
World Financial Network Credit Card Master Trust:
Class A, (Series 2015-B), 2.550%, 6/17/2024	$	2,000,000	$	2,051,262
Class A, (Series 2015-C), 1.260%, 3/15/2021		2,000,000		1,996,358
				10,066,387
Other Financial — 10.1%
Ally Master Owner Trust, Class A2, (Series 2014-4), 1.430%, 6/17/2019		3,858,000		3,857,394
American Homes 4 Rent, Class A, (Series 2014-SFR1), 1.429%, 6/17/2031 (6)(8)		970,247		945,607
Colony American Homes, Class A, (Series 2014-2A), 1.377%, 7/17/2031 (6)(8)		1,967,019		1,907,409
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		2,504,643		2,509,229
Countrywide Asset-Backed Certificates, Class A1, (Series 2007-QH2), 0.676%, 4/25/2037 (6)(8)		493,021		265,226
Dell Equipment Finance Trust, Class A3, (Series 2015-1), 1.300%, 3/23/2020 (6)		1,000,000		996,383
Ford Credit Floorplan Master Owner Trust:
Class A1, (Series 2014-1), 1.200%, 2/15/2019		1,626,000		1,623,128
Class A2, (Series 2015-4), 1.026%, 8/15/2020 (8)		2,000,000		1,990,126
Class C, (Series 2012-2), 2.860%, 1/15/2019		2,000,000		2,018,596
GMF Floorplan Owner Revolving Trust, Class A1, (Series 2015-1), 1.650%, 5/15/2020 (6)		1,000,000		998,290
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (6)		1,266,835		1,253,747
Invitation Homes Trust, Class A, (Series 2014-SFR1), 1.429%, 6/17/2031 (6)(8)		2,000,000		1,947,128
John Deere Owner Trust, Class A3, (Series 2015-B), 1.440%, 10/15/2019		1,000,000		1,000,819
Kubota Credit Owner Trust:
Class A3, (Series 2014-1A), 1.160%, 5/15/2018 (6)		1,250,000		1,248,291
Class A3, (Series 2015-1A), 1.540%, 3/15/2019 (6)		1,250,000		1,249,749
Navistar Financial Dealer Master Trust, Class A, (Series 2014-1), 1.186%, 10/25/2019 (6)(8)		1,758,000		1,746,524
Nissan Master Owner Trust, Class A2, (Series 2015-A), 1.440%, 1/15/2020		2,500,000		2,502,737
Silver Bay Realty Trust, Class A, (Series 2014-1), 1.429%, 9/17/2031 (6)(8)		1,895,760		1,840,364

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
SLM Student Loan Trust, Class A5, (Series 2004-5A), 1.219%, 10/25/2023 (6)(8)	$	1,250,443	$	1,244,633
Westgate Resorts LLC:
Class A, (Series 2015-2A), 3.200%, 7/20/2028 (6)		2,758,277		2,748,623
Class B, (Series 2014-1A), 3.250%, 12/20/2026 (6)		2,007,221		1,986,208
				35,880,211
Total Asset-Backed Securities (identified cost $72,323,527)				71,914,880
Collateralized Mortgage Obligations — 2.7%
Federal Home Loan Mortgage Corporation — 0.9%
2.000%, 1/15/2023, (Series 4315)		1,297,411		1,314,908
2.757%, 5/25/2020, (Series K009)		797,391		815,410
3.000%, 12/15/2041, (Series 4293)		1,111,351		1,151,045
				3,281,363
Federal National Mortgage Association — 0.3%
1.500%, 5/25/2043, (Series 2013-60)		1,019,308		1,006,145
Government National Mortgage Association — 0.7%
1.800%, 7/16/2037, (Series 2013-179)		1,283,970		1,276,884
2.205%, 1/16/2044, (Series 2014-61)		1,178,875		1,185,015
				2,461,899
Private Sponsor — 0.8%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 3.083%, 5/20/2036 (8)		313,534		281,676
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		446,924		470,657
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		295,345		304,962
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		271,962		241,739
JP Morgan Mortgage Trust:
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		233,604		226,832
Class 3A1, (Series 2007-A2), 2.599%, 4/25/2037 (8)		26,282		22,728
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.626%, 11/25/2034 (8)		586,928		594,340
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 2.741%, 5/25/2036 (8)		258,647		245,340
Class 2A4, (Series 2006-AR8), 2.749%, 4/25/2036 (8)		85,713		83,478
Class A1, (Series 2006-AR19), 5.620%, 12/25/2036 (8)		454,343		428,928
				2,900,680
Total Collateralized Mortgage Obligations (identified cost $9,659,627)				9,650,087

(See Notes which are an integral part of the Financial Statements)

47

February 29, 2016 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities — 2.5%
Private Sponsor — 2.5%
Banc of America Commercial Mortgage Trust, Class A3, (Series 2006-6), 5.369%, 10/10/2045	$	189,208	$	189,164
Citigroup Commercial Mortgage Trust, Class A3, (Series 2006-C4), 5.912%, 3/15/2049 (8)		309,289		308,981
FREMF Mortgage Trust, Class B, (Series 2011-K702), 4.766%, 4/25/2044 (6)(8)		1,495,000		1,552,849
GS Mortgage Securities Trust, Class A1, (Series 2014-GC22), 1.290%, 6/10/2047		856,080		849,219
JPMBB Commercial Mortgage Securities Trust:
Class A1, (Series 2013-C12), 1.085%, 7/15/2045		1,331,865		1,322,811
Class A2, (Series 2013-C15), 2.977%, 11/15/2045		1,557,190		1,598,433
Morgan Stanley Capital I Trust, Class A4, (Series 2007-IQ15), 5.917%, 6/11/2049 (8)		1,253,224		1,298,593
NCUA Guaranteed Notes Trust, Class APT, (Series 2010-C1), 2.650%, 10/29/2020		505,906		506,511
Wells Fargo Commercial Mortgage Trust, Class A1, (Series 2014-LC16), 1.294%, 8/15/2050		1,344,808		1,338,223
Total Commercial Mortgage Securities (identified cost $9,154,147)				8,964,784
Corporate Bonds & Notes — 38.6%
Advertising — 0.4%
Omnicom Group, Inc., 5.900%, 4/15/2016		1,550,000		1,558,089
Auto Manufacturers — 4.1%
American Honda Finance Corp., 1.500%, 3/13/2018 (1)		2,000,000		1,997,060
Ford Motor Credit Co. LLC:
2.551%, 10/5/2018 (1)		2,000,000		1,992,192
2.943%, 1/8/2019 (1)		1,500,000		1,504,159
3.984%, 6/15/2016		1,000,000		1,007,791
General Motors Financial Co., Inc.:
3.000%, 9/25/2017 (1)		500,000		500,821
3.100%, 1/15/2019 (1)		3,000,000		2,969,961
4.750%, 8/15/2017		500,000		512,566
PACCAR Financial Corp., 1.450%, 3/9/2018		1,090,000		1,088,473
Toyota Motor Credit Corp., 1.450%, 1/12/2018 (1)		865,000		867,051
Volkswagen Group of America Finance LLC, 1.250%, 5/23/2017 (6)		1,000,000		982,765
Volkswagen International Finance NV, 2.875%, 4/1/2016 (6)		1,175,000		1,175,855
				14,598,694
Banks — 15.0%
ANZ New Zealand Int’l, Ltd./London, 1.750%, 3/29/2018 (6)		1,000,000		996,117

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Bank of America Corp.:
2.000%, 1/11/2018 (1)	$	1,000,000	$	996,946
3.750%, 7/12/2016 (1)		1,000,000		1,009,706
Bank of New York Mellon Corp.:
1.600%, 5/22/2018 (1)		550,000		551,784
2.100%, 1/15/2019		1,000,000		1,009,695
2.300%, 9/11/2019 (1)		1,250,000		1,263,549
Bank of Nova Scotia, 1.700%, 6/11/2018		1,250,000		1,248,317
Branch Banking & Trust Co., 2.300%, 10/15/2018		840,000		849,951
Capital One Financial Corp., 2.450%, 4/24/2019 (1)		300,000		300,222
Capital One NA, 1.500%, 3/22/2018		1,250,000		1,229,745
Citigroup, Inc.:
1.550%, 8/14/2017 (1)		1,250,000		1,243,755
1.700%, 4/27/2018		1,300,000		1,286,854
2.050%, 12/7/2018		500,000		497,305
Credit Suisse, 1.375%, 5/26/2017 (1)		1,000,000		993,247
Deutsche Bank AG/London, 1.400%, 2/13/2017 (1)		2,000,000		1,987,468
Discover Bank, 2.600%, 11/13/2018		2,000,000		1,999,138
Goldman Sachs Group, Inc., 2.375%, 1/22/2018 (1)		1,500,000		1,509,789
HSBC USA, Inc.:
1.700%, 3/5/2018		1,100,000		1,092,145
2.000%, 8/7/2018(1)		1,000,000		995,236
Huntington National Bank:
1.300%, 11/20/2016		1,000,000		1,000,281
2.000%, 6/30/2018(1)		2,000,000		1,991,122
JPMorgan Chase & Co., 2.000%, 8/15/2017		1,000,000		1,004,738
KeyBank NA, 1.700%, 6/1/2018		2,000,000		1,994,746
Macquarie Bank, Ltd., 1.600%, 10/27/2017 (6)		1,000,000		993,007
Morgan Stanley:
2.125%, 4/25/2018 (1)		1,000,000		1,000,232
2.500%, 1/24/2019 (1)		900,000		906,736
National Australia Bank, Ltd., 1.875%, 7/23/2018		3,000,000		3,004,248
Nordea Bank AB, 3.125%, 3/20/2017 (6)		1,740,000		1,773,523
PNC Bank NA:
1.125%, 1/27/2017		1,000,000		999,949
1.600%, 6/1/2018		1,500,000		1,492,510
Royal Bank of Canada:
1.450%, 9/9/2016 (1)		1,000,000		1,002,912
1.500%, 1/16/2018		2,000,000		1,997,738
1.800%, 7/30/2018		1,000,000		1,001,169
Royal Bank of Scotland PLC, 1.875%, 3/31/2017		2,000,000		1,994,128
SunTrust Banks, Inc., 3.600%, 4/15/2016		1,200,000		1,201,150
Svenska Handelsbanken AB, 1.625%, 3/21/2018		1,900,000		1,894,967
Toronto-Dominion Bank:
1.625%, 3/13/2018 (1)		2,000,000		2,000,718
1.750%, 7/23/2018		1,650,000		1,652,147
U.S. Bancorp, 1.650%, 5/15/2017		1,500,000		1,509,301
Westpac Banking Corp., 1.050%, 11/25/2016 (1)		2,000,000		2,000,962
				53,477,253

(See Notes which are an integral part of the Financial Statements)

48

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Beverages — 1.0%
Anheuser-Busch InBev Finance, Inc., 1.900%, 2/1/2019 (1)	$	1,905,000	$	1,923,726
Coca-Cola Co., 1.150%, 4/1/2018 (1)		1,500,000		1,504,712
				3,428,438
Biotechnology — 0.4%
Amgen, Inc., 2.200%, 5/22/2019 (1)		1,450,000		1,469,640
Building Materials — 0.1%
Masco Corp., 6.125%, 10/3/2016		250,000		256,875
Chemicals — 0.2%
Rohm & Haas Co., 6.000%, 9/15/2017		588,000		622,833
Computers — 0.3%
Apple, Inc., 1.700%, 2/22/2019		1,100,000		1,110,088
Diversified Financial Services — 2.2%
Ally Financial, Inc.:
3.250%, 9/29/2017 (1)		500,000		499,375
3.250%, 2/13/2018 (1)		1,000,000		992,500
American Express Credit Corp.:
1.125%, 6/5/2017 (1)		1,000,000		996,023
1.800%, 7/31/2018		1,425,000		1,419,539
2.375%, 5/26/2020 (1)		1,000,000		997,928
International Lease Finance Corp.:
2.462%, 6/15/2016 (8)		500,000		498,185
5.750%, 5/15/2016		457,000		458,189
8.750%, 3/15/2017		1,135,000		1,200,262
Synchrony Financial, 1.875%, 8/15/2017		1,000,000		989,438
				8,051,439
Electric — 1.4%
Dominion Resources, Inc., 2.500%, 12/1/2019 (1)		2,000,000		2,016,778
Duke Energy Corp., 2.100%, 6/15/2018		1,500,000		1,503,920
Exelon Corp., 1.550%, 6/9/2017 (1)		1,500,000		1,493,193
				5,013,891
Engineering & Construction — 0.3%
ABB Finance USA, Inc., 1.625%, 5/8/2017 (1)		1,000,000		1,003,844
Healthcare-Services — 0.6%
Anthem, Inc., 1.875%, 1/15/2018		750,000		748,782
UnitedHealth Group, Inc., 1.900%, 7/16/2018 (1)		1,500,000		1,514,538
				2,263,320
Insurance — 0.5%
Berkshire Hathaway, Inc., 1.900%, 1/31/2017		750,000		756,950
QBE Insurance Group, Ltd., 2.400%, 5/1/2018 (6)		1,000,000		1,001,871
				1,758,821
Machinery-Construction & Mining — 0.5%
Caterpillar Financial Services Corp., 1.700%, 6/16/2018 (1)		1,685,000		1,688,286
Machinery-Diversified — 1.3%
John Deere Capital Corp.:
1.300%, 3/12/2018 (1)		1,610,000		1,604,273
1.600%, 7/13/2018 (1)		1,150,000		1,151,686
Roper Technologies, Inc., 2.050%, 10/1/2018 (1)		2,000,000		1,991,338
				4,747,297

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media — 0.1%
DIRECTV Holdings LLC, 2.400%, 3/15/2017	$	500,000	$	505,029
Miscellaneous Manufacturing — 1.0%
General Electric Co., 3.350%, 10/17/2016		2,475,000		2,510,343
Ingersoll-Rand Global Holding Co., Ltd., 2.875%, 1/15/2019		1,000,000		1,014,227
				3,524,570
Oil & Gas — 1.1%
Chevron Corp.:
1.365%, 3/2/2018(1)		2,000,000		1,987,990
1.961%, 3/3/2020		1,000,000		983,823
Exxon Mobil Corp., 1.708%, 3/1/2019 (9)		1,000,000		1,000,000
				3,971,813
Oil & Gas Services — 0.3%
Schlumberger Norge AS, 1.250%, 8/1/2017 (6)		1,000,000		988,976
Pharmaceuticals — 2.7%
AbbVie, Inc., 1.750%, 11/6/2017 (1)		1,670,000		1,669,370
Actavis Funding SCS, 1.850%, 3/1/2017		1,000,000		1,002,794
Cardinal Health, Inc.:
1.700%, 3/15/2018		2,000,000		1,997,232
1.950%, 6/15/2018 (1)		400,000		400,354
Express Scripts Holding Co., 2.650%, 2/15/2017 (1)		1,500,000		1,515,215
GlaxoSmithKline Capital, Inc., 0.700%, 3/18/2016		1,000,000		1,000,109
Merck & Co., Inc., 1.100%, 1/31/2018 (1)		2,000,000		2,001,428
				9,586,502
Pipelines — 0.3%
Kinder Morgan Energy Partners LP, 3.500%, 3/1/2016		1,000,000		1,000,000
Real Estate Investment Trusts — 0.6%
Welltower, Inc., 2.250%, 3/15/2018		2,000,000		1,995,730
Semiconductors — 0.4%
Intel Corp., 1.350%, 12/15/2017 (1)		1,600,000		1,610,283
Software — 0.5%
Oracle Corp., 1.200%, 10/15/2017 (1)		1,725,000		1,730,016
Telecommunications — 3.3%
AT&T, Inc.:
1.700%, 6/1/2017		2,000,000		2,007,254
2.400%, 8/15/2016		1,540,000		1,549,362
British Telecommunications PLC, 1.625%, 6/28/2016 (1)		1,500,000		1,502,554
Cisco Systems, Inc.:
1.400%, 2/28/2018		1,000,000		1,002,890
1.650%, 6/15/2018		1,750,000		1,763,015
2.125%, 3/1/2019		1,500,000		1,530,336
Verizon Communications, Inc.:
1.350%, 6/9/2017		1,500,000		1,499,122
2.625%, 2/21/2020(1)		500,000		507,207
3.650%, 9/14/2018(1)		500,000		524,454
				11,886,194
Total Corporate Bonds & Notes (identified cost $137,850,078)				137,847,921

(See Notes which are an integral part of the Financial Statements)

49

February 29, 2016 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Shares or Principal Amount		Value
Mutual Funds — 1.7%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (13)		326,711	$	2,747,639
Fidelity Floating Rate High Income Fund		372,038		3,326,022
Total Mutual Funds (identified cost $6,422,183)				6,073,661
U.S. Government & U.S. Government Agency Obligations — 30.6%
Federal Home Loan Bank — 0.6%
0.625%, 10/26/2017 (1)	$	2,350,000		2,342,821
Federal Home Loan Mortgage Corporation — 2.6%
0.750%, 1/12/2018		2,500,000		2,495,880
1.000%, 7/28/2017		2,000,000		2,005,854
1.250%, 5/12/2017		1,250,000		1,257,374
1.250%, 10/2/2019		1,500,000		1,504,033
1.750%, 5/30/2019 (1)		2,000,000		2,040,878
				9,304,019
Federal National Mortgage Association — 3.0%
0.875%, 10/26/2017		2,000,000		2,001,866
0.875%, 2/8/2018		1,500,000		1,501,292
1.000%, 9/27/2017 (1)		1,000,000		1,002,891
1.125%, 4/27/2017 (1)		1,000,000		1,005,009
1.125%, 7/20/2018		2,000,000		2,009,998
1.500%, 6/22/2020		1,000,000		1,009,638
1.750%, 11/26/2019		2,000,000		2,041,294
				10,571,988
U.S. Treasury Bonds & Notes — 24.4%
0.625%, 5/31/2017		1,500,000		1,498,008
0.625%, 8/31/2017		2,750,000		2,744,360
0.625%, 9/30/2017 (1)		3,000,000		2,993,145
0.625%, 11/30/2017		3,000,000		2,991,564
0.750%, 6/30/2017		1,500,000		1,500,323
0.750%, 10/31/2017		3,000,000		2,998,476
0.750%, 3/31/2018		3,000,000		2,997,069
0.750%, 4/15/2018		3,000,000		2,996,133
0.875%, 7/15/2017		3,000,000		3,005,040
0.875%, 8/15/2017 (1)		5,500,000		5,509,130
0.875%, 1/31/2018		1,000,000		1,001,641
0.875%, 7/31/2019		2,000,000		1,990,938
1.000%, 2/15/2018		3,000,000		3,012,363
1.000%, 5/15/2018 (1)		2,425,000		2,434,331
1.000%, 5/31/2018		1,000,000		1,003,926
1.000%, 9/30/2019		2,500,000		2,495,557
1.125%, 3/31/2020		1,500,000		1,498,740
1.250%, 10/31/2018		3,000,000		3,030,294
1.250%, 11/15/2018 (1)		3,000,000		3,030,177
1.250%, 11/30/2018		3,000,000		3,030,702
1.250%, 1/31/2019		1,000,000		1,010,234
1.250%, 4/30/2019		2,000,000		2,018,164
1.375%, 6/30/2018		2,000,000		2,025,820
1.375%, 7/31/2018		2,700,000		2,736,123
1.375%, 9/30/2018		3,000,000		3,041,250
1.375%, 1/31/2020		2,000,000		2,019,532
1.375%, 2/29/2020		1,500,000		1,513,829
1.500%, 8/31/2018		2,500,000		2,541,505
1.500%, 2/28/2019		3,000,000		3,051,036
1.500%, 11/30/2019		3,000,000		3,045,528
1.625%, 7/31/2019		1,500,000		1,530,968
1.625%, 8/31/2019		3,500,000		3,571,708
1.875%, 8/31/2017		2,500,000		2,541,210
1.875%, 9/30/2017 (1)		2,000,000		2,034,492

Description	Shares or Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
2.000%, 7/31/2020	$	2,500,000	$	2,585,547
				87,028,863
Total U.S. Government & U.S. Government Agency Obligations (identified cost $108,636,710)				109,247,691
U.S. Government Agency-Mortgage Securities — 0.5%
Federal National Mortgage Association — 0.5%
3.500%, 4/1/2026		179,748		190,311
4.000%, 11/1/2031		678,138		730,558
5.500%, 11/1/2033		200,290		226,922
5.500%, 2/1/2034		148,849		168,652
5.500%, 8/1/2037		353,081		399,847
9.500%, 12/1/2024		8,289		8,404
9.500%, 1/1/2025		8,606		8,698
9.500%, 1/1/2025		9,107		9,200
10.000%, 7/1/2020		16,951		17,348
				1,759,940
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		59,075		69,726
9.000%, 12/15/2019		8,927		9,731
				79,457
Total U.S. Government Agency-Mortgage Securities
(identified cost $1,772,084)				1,839,397
Short-Term Investments — 16.0%
Collateral Pool Investments for Securities on Loan — 12.2%
Collateral pool allocation (3)				43,444,394
Commercial Paper — 1.0%
Campbell Soup Co., 0.652%, 3/7/2016 (11)		1,600,000		1,599,893
Coca-Cola Co., 0.608%, 5/16/2016 (6)(11)		2,150,000		2,148,041
				3,747,934
Mutual Funds — 2.8%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		9,879,660		9,879,660
Total Short-Term Investments (identified cost $57,071,112)				57,071,988
Total Investments — 112.8% (identified cost $402,889,468)				402,610,409
Other Assets and Liabilities — (12.8)%				(45,638,998	)
Total Net Assets — 100.0%			$	356,971,411

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		20.2	%
Collateralized Mortgage Obligations		2.7
Commercial Mortgage Securities		2.5
Corporate Bonds & Notes		38.6
Mutual Funds		1.7
U.S. Government & U.S. Government Agency Obligations		30.6
U.S. Government Agency—Mortgage Securities		0.5
Other Assets & Liabilities, Net		3.2
Total		100.0	%

(See Notes which are an integral part of the Financial Statements)

50

BMO Funds

Intermediate Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 98.5%
Alabama — 1.0%
Other securities			$	17,903,843
Alaska — 0.6%
Other securities				10,309,067
Arizona — 3.2%
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	$	1,000,000		1,144,760
5.250%, 10/1/2024, Call 10/1/2019		5,000,000		5,703,250
Other securities				48,820,757
				55,668,767
Arkansas — 1.3%
Other securities				22,868,077
California — 7.1%
Deutsche Bank Spears/Lifers Trust, 0.310%, 8/1/2047 (6)(8)		8,000,000		8,000,000
Other securities				114,663,369
				122,663,369
Colorado — 1.8%
Other securities				30,660,447
Connecticut — 0.5%
Other securities				7,857,328
Delaware — 0.5%
Other securities				8,199,785
District of Columbia — 0.3%
Other securities				5,007,836
Florida — 5.0%
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022		5,810,000		6,883,572
Other securities				79,449,610
				86,333,182
Georgia — 3.4%
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024		1,000,000		1,177,480
5.000%, 1/1/2032, Call 1/1/2024		2,500,000		2,932,050
5.000%, 1/1/2033, Call 1/1/2024		1,000,000		1,168,960
5.000%, 1/1/2034, Call 1/1/2024		1,000,000		1,165,110
Monroe County Development Authority, 0.180%, 11/1/2048, Call 3/1/2016 (8)		10,000,000		10,000,000
Other securities				42,775,020
				59,218,620
Hawaii — 0.1%
Other securities				1,239,700
Idaho — 0.3%
Other securities				5,716,042

Description	Principal Amount		Value
Municipals (continued)
Illinois — 11.5%
Chicago Board of Education, 4.010%, 3/1/2017, Call 9/1/2016 (8)	$	6,750,000	$	6,414,930
City of Springfield:
5.000%, 3/1/2026, Call 3/1/2025		1,000,000		1,207,420
5.000%, 3/1/2027, Call 3/1/2025		1,000,000		1,194,030
5.000%, 3/1/2028, Call 3/1/2025		1,000,000		1,186,090
5.000%, 3/1/2029, Call 3/1/2025		1,000,000		1,178,210
5.000%, 3/1/2031, Call 3/1/2025		900,000		1,047,141
City of Springfield, NATL-RE:
5.000%, 3/1/2018, Call 3/1/2017		1,000,000		1,043,250
5.000%, 3/1/2022, Call 3/1/2017		650,000		678,112
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023		1,000,000		1,234,690
6.000%, 12/1/2031, Call 12/1/2023		2,035,000		2,502,969
6.000%, 12/1/2032, Call 12/1/2023		2,160,000		2,644,877
6.000%, 6/1/2033, Call 12/1/2023		2,235,000		2,729,740
Illinois Finance Authority:
2.500%, 5/15/2018		170,000		170,541
2.700%, 5/15/2016		375,000		375,788
4.000%, 10/1/2016		345,000		351,331
5.000%, 11/15/2023, Call 11/15/2022		215,000		253,184
5.000%, 8/15/2024		250,000		295,875
5.000%, 5/15/2025		1,000,000		1,090,760
5.000%, 11/15/2026, Call 11/15/2025		1,000,000		1,206,460
5.000%, 11/15/2027, Call 11/15/2025		500,000		598,015
5.000%, 5/15/2030, Call 5/15/2025		1,000,000		1,050,340
6.000%, 8/15/2041, Call 8/15/2021		2,665,000		3,130,016
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023		1,000,000		1,166,230
5.000%, 1/1/2029, Call 1/1/2023		1,000,000		1,157,350
5.000%, 1/1/2030, Call 1/1/2026		1,000,000		1,202,120
5.000%, 12/1/2031, Call 1/1/2026		5,220,000		6,230,174
5.000%, 12/1/2032, Call 1/1/2026		2,100,000		2,488,500
5.500%, 1/1/2033, Call 1/1/2018		490,000		533,012
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023		1,000,000		1,194,770
5.000%, 1/1/2024		1,000,000		1,198,710

(See Notes which are an integral part of the Financial Statements)

51

February 29, 2016 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
5.000%, 1/1/2026, Call 1/1/2025	$	4,000,000	$	4,784,120
5.250%, 1/1/2033, Call 1/1/2023		900,000		1,025,334
State of Illinois:
5.000%, 3/1/2020		500,000		554,065
5.000%, 4/1/2024, Call 4/1/2023		500,000		558,935
5.000%, 1/1/2030, Call 1/1/2026		8,000,000		8,767,040
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023		3,205,000		3,550,595
Other securities				131,184,814
				197,179,538
Indiana — 2.8%
Indiana Finance Authority:
3.000%, 7/1/2019		250,000		259,563
5.000%, 8/15/2020		700,000		783,251
5.000%, 10/1/2022		300,000		350,775
5.000%, 10/1/2023		400,000		472,572
5.000%, 10/1/2024, Call 10/1/2023		275,000		322,809
5.000%, 5/1/2029, Call 5/1/2022		4,070,000		4,662,551
5.500%, 5/1/2024, Call 5/1/2019		1,000,000		1,133,310
Other securities				39,274,617
				47,259,448
Iowa — 0.1%
Other securities				1,764,444
Kansas — 0.2%
Other securities				4,105,862
Kentucky — 1.0%
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.210%, 9/1/2042, Call 9/1/2017 (6)(8)		13,150,000		13,150,000
Other securities				3,326,523
				16,476,523
Louisiana — 2.7%
Parish of St. Bernard:
4.000%, 3/1/2020		3,470,000		3,802,287
4.000%, 3/1/2021		3,585,000		3,981,860
Parish of St. James, 0.430%, 11/1/2040, Call 3/1/2016 (8)		14,000,000		14,000,000
State of Louisiana, 0.768%, 5/1/2018, Call 11/1/2017 (8)		7,000,000		6,977,040
Other securities				17,978,024
				46,739,211
Maine — 0.6%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,500,000		7,677,150
Other securities				2,119,575
				9,796,725

Description	Principal Amount		Value
Municipals (continued)
Maryland — 0.3%
Other securities			$	5,338,624
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.465%, 12/1/2030, Call 3/7/2016 (8)(12)	$	1,450,000		1,323,029
0.495%, 12/1/2030, Call 3/3/2016 (8)(12)		7,375,000		6,729,223
Other securities				13,126,283
				21,178,535
Michigan — 5.8%
City of Detroit Water Supply System Revenue, AGM:
5.000%, 7/1/2018, Call 7/1/2016		250,000		253,403
5.000%, 7/1/2019, Call 7/1/2016		50,000		50,684
5.000%, 7/1/2020, Call 7/1/2016		720,000		729,677
5.000%, 7/1/2020, Call 7/1/2016		50,000		50,672
5.000%, 7/1/2023, Call 7/1/2016		200,000		202,482
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018		1,035,000		1,112,304
City of Detroit Water Supply System Revenue, NATL-RE:
5.000%, 7/1/2016 (8)		725,000		734,476
5.000%, 7/1/2027, Call 7/1/2016		5,000,000		5,051,400
Michigan Finance Authority:
5.000%, 6/1/2016		1,450,000		1,465,225
5.000%, 11/1/2020		2,000,000		2,320,800
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024		1,500,000		1,743,555
5.000%, 7/1/2030, Call 7/1/2024		1,500,000		1,735,110
Other securities				84,400,977
				99,850,765
Minnesota — 0.6%
Other securities				10,073,981
Mississippi — 0.8%
Mississippi Business Finance Corp., 0.950%, 12/1/2036, Call 3/1/2016 (8)		8,500,000		8,500,000
Other securities				5,470,645
				13,970,645
Missouri — 1.9%
Other securities				32,230,586
Nebraska — 0.7%
Other securities				11,605,658
Nevada — 1.8%
Las Vegas Valley Water District:
0.250%, 6/1/2036, Call 3/1/2016 (8)		7,200,000		7,200,000
5.000%, 6/1/2028, Call 6/1/2022		5,115,000		6,137,693

(See Notes which are an integral part of the Financial Statements)

52

BMO Funds

Intermediate Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Nevada (continued)
Las Vegas Valley Water District, AGM, 5.000%, 6/1/2028, Call 6/1/2016	$	2,815,000	$	2,844,895
Other securities				15,147,795
				31,330,383
New Hampshire — 0.3%
Other securities				5,265,785
New Jersey — 3.4%
New Jersey Higher Education Student Assistance Authority:
3.250%, 12/1/2027, Call 12/1/2022 (14)		650,000		655,876
4.875%, 12/1/2024, Call 12/1/2019		8,135,000		8,763,835
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022		3,440,000		3,955,518
5.000%, 1/1/2035, Call 1/1/2022		1,685,000		1,904,269
New Jersey State Turnpike Authority, NATL-RE:
0.467%, 1/1/2030, Call 3/1/2016 (8)(12)		350,000		322,208
0.480%, 1/1/2030, Call 3/4/2016 (8)(12)		1,900,000		1,749,142
0.480%, 1/1/2030, Call 3/4/2016 (8)(12)		500,000		460,301
0.502%, 1/1/2030, Call 3/3/2016 (8)(12)		475,000		437,283
New Jersey Transportation Trust Fund Authority:
1.010%, 12/15/2019, Call 6/15/2019 (8)		5,000,000		4,784,900
5.000%, 6/15/2022		500,000		559,285
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,382,300
5.250%, 12/15/2023, Call 12/15/2018		1,355,000		1,480,934
5.250%, 12/15/2023		240,000		271,529
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,529,350
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,269,370
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		6,221,942
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024		440,000		350,680
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025		500,000		591,065
Other securities				11,731,887
				58,421,674
New Mexico — 1.6%
City of Farmington:
1.875%, 4/1/2020 (8)		3,000,000		3,058,890
1.875%, 4/1/2020 (8)		3,750,000		3,821,437

Description	Principal Amount		Value
Municipals (continued)
New Mexico (continued)
New Mexico Municipal Energy Acquisition Authority, 1.036%, 8/1/2019, Call 2/1/2019 (8)	$	10,000,000	$	9,940,500
Other securities				11,418,776
				28,239,603
New York — 4.0%
Metropolitan Transportation Authority, 0.636%, 11/1/2017, Call 5/1/2017 (8)		2,800,000		2,788,548
Metropolitan Transportation Authority, AGM, 0.894%, 5/15/2018, Call 11/15/2017 (8)		4,000,000		3,993,760
New York City Transitional Finance Authority:
5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,917,893
5.000%, 11/1/2024		2,215,000		2,781,043
5.000%, 11/1/2025, Call 5/1/2025		2,475,000		3,117,262
5.000%, 11/1/2026, Call 5/1/2025		1,000,000		1,248,060
5.000%, 11/1/2026, Call 5/1/2025		2,000,000		2,496,120
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022		7,555,000		9,021,879
5.000%, 3/15/2031, Call 9/15/2025		5,465,000		6,596,911
New York State Energy Research & Development Authority, NATL-RE, 0.467%, 12/1/2020, Call 3/1/2016 (8)(12)		6,450,000		6,231,371
Other securities				23,179,600
				68,372,447
North Carolina — 0.8%
Other securities				12,919,285
North Dakota — 1.7%
North Dakota Public Finance Authority:
4.000%, 6/1/2023		2,440,000		2,822,738
4.000%, 6/1/2024, Call 6/1/2023		2,190,000		2,512,609
4.000%, 6/1/2025, Call 6/1/2023		1,145,000		1,302,014
Williston Parks & Recreation District:
3.000%, 3/1/2017		805,000		818,468
4.500%, 3/1/2020		1,455,000		1,590,068
4.500%, 3/1/2025, Call 3/1/2021		2,525,000		2,859,562
4.625%, 3/1/2026, Call 3/1/2021		2,620,000		2,981,429
Other securities				15,118,470
				30,005,358
Ohio — 4.2%
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021		2,320,000		2,665,239

(See Notes which are an integral part of the Financial Statements)

53

February 29, 2016 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
5.000%, 1/1/2031, Call 1/1/2022	$	1,270,000	$	1,409,128
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022		3,900,000		4,380,558
5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,119,790
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022		480,000		545,794
4.000%, 12/1/2027, Call 12/1/2022		1,160,000		1,293,261
4.000%, 12/1/2028, Call 12/1/2022		1,130,000		1,241,926
4.000%, 12/1/2032, Call 12/1/2022		1,015,000		1,082,914
4.000%, 12/1/2033, Call 12/1/2022		1,550,000		1,644,922
4.000%, 12/1/2034, Call 12/1/2022		1,435,000		1,517,484
State of Ohio, 0.340%, 1/15/2045, Call 3/1/2016 (8)		8,250,000		8,250,000
Other securities				46,573,534
				71,724,550
Oklahoma — 0.7%
Other securities				11,962,167
Oregon — 1.1%
Other securities				19,156,921
Pennsylvania — 2.2%
Pennsylvania Turnpike Commission:
0.560%, 12/1/2016, Call 6/1/2016 (8)		1,450,000		1,450,913
0.690%, 12/1/2018, Call 6/1/2018 (8)		2,850,000		2,839,882
5.000%, 6/1/2021, Call 6/1/2019		715,000		809,995
5.000%, 12/1/2030, Call 12/1/2020 (15)		585,000		676,090
6.000%, 12/1/2034, Call 12/1/2020 (15)		395,000		470,702
6.000%, 12/1/2036, Call 12/1/2020		975,000		1,171,209
Other securities				29,762,434
				37,181,225
Puerto Rico — 0.2%
Other securities				2,726,507
Rhode Island — 1.1%
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (14)		300,000		308,817
3.950%, 12/1/2017		250,000		261,963
4.000%, 12/1/2022, Call 12/1/2021 (14)		2,885,000		3,110,319
4.200%, 12/1/2018, Call 12/1/2017		600,000		629,586
4.250%, 12/1/2020, Call 12/1/2017		500,000		522,075

Description	Principal Amount		Value
Municipals (continued)
Rhode Island (continued)
4.250%, 12/1/2025, Call 12/1/2021 (14)	$	2,205,000	$	2,346,958
4.500%, 12/1/2021, Call 12/1/2017		1,000,000		1,046,840
4.750%, 12/1/2028, Call 12/1/2021 (14)		1,000,000		1,075,810
4.750%, 12/1/2029, Call 12/1/2021 (14)		680,000		727,138
Other securities				8,413,006
				18,442,512
South Carolina — 1.1%
Other securities				18,871,905
South Dakota — 1.0%
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021		500,000		564,980
4.250%, 9/1/2023		740,000		815,769
4.500%, 9/1/2018		500,000		531,905
4.500%, 9/1/2020		900,000		985,293
4.500%, 9/1/2021, Call 9/1/2020		1,080,000		1,182,352
4.500%, 9/1/2022, Call 9/1/2020		1,005,000		1,098,897
5.000%, 9/1/2019		200,000		225,492
5.000%, 11/1/2022		715,000		856,019
5.000%, 8/1/2023		375,000		454,714
5.000%, 11/1/2023		625,000		755,087
5.000%, 8/1/2024		195,000		238,222
5.000%, 11/1/2024, Call 11/1/2019		1,000,000		1,133,390
5.000%, 11/1/2024		650,000		793,942
5.000%, 11/1/2025, Call 11/1/2024		600,000		726,546
5.000%, 11/1/2026, Call 11/1/2024		550,000		660,737
5.000%, 9/1/2027, Call 9/1/2024		720,000		820,901
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017		980,000		1,035,066
Other securities				4,915,988
				17,795,300
Tennessee — 1.0%
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023		5,310,000		6,295,695
5.250%, 9/1/2021		3,810,000		4,494,733
5.250%, 9/1/2022		250,000		299,253
Other securities				6,289,698
				17,379,379
Texas — 10.2%
Austin Community College District, 5.000%, 8/1/2031, Call 8/1/2025		5,250,000		6,383,790
City of Houston Combined Utility System:
5.000%, 11/15/2028, Call 11/15/2025		3,540,000		4,335,580
5.000%, 11/15/2029, Call 11/15/2026 (9)		4,225,000		5,232,367

(See Notes which are an integral part of the Financial Statements)

54

BMO Funds

Intermediate Tax-Free Fund (continued)**

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	$	1,000,000	$	1,203,480
5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,787,350
5.000%, 11/1/2033, Call 11/1/2023		2,000,000		2,335,940
5.250%, 11/1/2033, Call 11/1/2023		1,200,000		1,422,312
North Texas Tollway Authority:
0.810%, 1/1/2019, Call 7/1/2018 (8)		1,750,000		1,738,397
5.000%, 1/1/2027, Call 1/1/2025		2,090,000		2,510,696
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019		1,725,000		1,929,740
North Texas Tollway Authority, BHAC, 5.125%, 1/1/2028, Call 1/1/2018		500,000		537,255
Plano Independent School District, PSF, 5.000%, 2/15/2028, Call 2/15/2026 (9)		8,000,000		9,975,680
Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)		7,500,000		7,500,000
0.170%, 4/1/2040, Call 3/1/2016 (8)		8,230,000		8,230,000
0.170%, 11/1/2040, Call 3/1/2016 (8)		19,000,000		19,000,000
0.170%, 11/1/2040, Call 3/1/2016 (8)		14,700,000		14,700,000
Other securities				82,448,513
				175,271,100
Utah — 0.8%
Other securities				13,808,577
Vermont — 0.1%
Other securities				1,877,883
Virgin Islands — 0.2%
Other securities				3,829,487
Virginia — 0.3%
Other securities				4,656,497
Washington — 1.7%
State of Washington, 5.000%, 2/1/2027, Call 2/1/2026		6,780,000		8,468,966
Other securities				20,742,784
				29,211,750
West Virginia — 0.5%
Other securities				8,419,192
Wisconsin — 3.1%
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021		20,000		22,306

Description	Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
4.750%, 10/15/2029, Call 10/15/2021	$	605,000	$	672,887
5.000%, 8/15/2018		1,000,000		1,091,470
5.000%, 6/1/2019		645,000		679,243
5.000%, 7/1/2019		990,000		1,102,731
5.000%, 8/15/2019		250,000		280,747
5.000%, 8/15/2019		955,000		1,073,831
5.000%, 8/15/2020		1,060,000		1,223,070
5.000%, 8/15/2021		1,160,000		1,370,366
5.000%, 10/1/2022		750,000		902,370
5.000%, 6/1/2026, Call 6/1/2020		135,000		153,047
5.000%, 8/15/2027, Call 8/15/2022		500,000		571,465
5.000%, 8/15/2029, Call 8/15/2022		1,700,000		1,938,646
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		5,150,018
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,115,480
5.000%, 8/15/2032, Call 8/15/2022		5,000,000		5,607,300
5.250%, 6/1/2034, Call 6/1/2020		300,000		338,694
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,867,629
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		4,182,234
Other securities				23,046,128
				52,389,662
Wyoming — 0.1%
Other securities				1,685,935
Total Municipals (identified cost $1,619,570,591)				1,692,161,692
Mutual Funds — 1.0%
Other securities				16,605,673
Short-Term Investments — 0.5%
Mutual Funds — 0.5%
Other securities				8,280,661
Total Short-Term Investments (identified cost $8,280,661)				8,280,661
Total Investments — 100.0% (identified cost $1,643,496,268)				1,717,048,026
Other Assets and Liabilities — 0.0%				(106,162	)
Total Net Assets — 100.0%			$	1,716,941,864

(See Notes which are an integral part of the Financial Statements)

55

February 29, 2016 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund (continued)**

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—23.2%
School District		14.8	%
State or Local		8.4
Revenue Bonds—75.5%
Appropriation		17.7
Education		7.1
General Revenue		1.1
Healthcare		13.6
Housing		5.7
Industrial Revenue		4.3
Power		4.0
Special Tax		2.4
Student Loan		0.8
Tobacco		0.6
Transportation		9.8
Water & Sewer		8.4
Other Assets & Liabilities, Net		1.3
Total		100.0	%

Mortgage Income Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.3%
Federal Home Loan Mortgage Corporation — 0.3%
0.696%, 8/25/2031, (Series T-32) (8)	$	309,788	$	303,705
Total Asset-Backed Securities (identified cost $309,788)				303,705
Collateralized Mortgage Obligations — 13.0%
Federal Home Loan Mortgage Corporation — 0.0%
5.000%, 5/15/2033, (Series 2791)		2,602		2,601
Federal National Mortgage Association — 0.7%
0.836%, 4/25/2034, (Series 2004-25) (8)		312,451		315,613
4.000%, 10/25/2032, (Series 2003-28)		85		85
4.000%, 3/25/2041, (Series 2012-21)		482,767		517,760
				833,458
Government National Mortgage Association — 0.9%
4.500%, 8/20/2028, (Series 2009-116)		965,000		995,687
Private Sponsor — 11.4%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034		1,171,805		1,187,763
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		446,924		470,657
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 4.356%, 7/25/2037 (8)		687,438		634,704
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		886,035		914,886
ChaseFlex Trust, Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		206,002		198,320

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
Freddie Mac Structured Agency Credit Risk Debt Notes, Class M2, (Series 2014-DN1), 2.627%, 2/25/2024 (8)	$	2,000,000	$	1,996,440
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		241,148		235,434
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.626%, 11/25/2034 (8)		1,082,869		1,096,545
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		998,258		890,205
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		974,187		922,434
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 2.686%, 12/25/2034 (8)		831,180		788,457
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		593,216		581,384
Class A1, (Series 2006-AR19), 5.620%, 12/25/2036 (8)		1,201,284		1,134,085
Class A1, (Series 2007-15), 6.000%, 11/25/2037		1,144,280		1,136,025
Class A8, (Series 2007-11), 6.000%, 8/25/2037		863,302		853,906
				13,041,245
Total Collateralized Mortgage Obligations (identified cost $14,901,415)				14,872,991
Commercial Mortgage Securities — 11.3%
Private Sponsor — 11.3%
Banc of America Commercial Mortgage Trust, Class A3, (Series 2006-6), 5.369%, 10/10/2045		172,008		171,967
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (8)		1,000,000		1,017,607
FREMF Mortgage Trust, Class B, (Series 2012-K19), 4.036%, 5/25/2045 (6) (8)		2,000,000		2,067,930
FREMF Mortgage Trust:
Class B, (Series 2014-K37), 4.558%, 1/25/2047 (6) (8)		2,000,000		2,102,456
Class C, (Series 2012-K21), 3.938%, 7/25/2045 (6) (8)		1,500,000		1,476,620
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (8)		2,000,000		2,031,014
Morgan Stanley Bank of America Merrill Lynch Trust, Class B, (Series 2013-C13), 4.740%, 11/15/2046 (8)		2,000,000		2,106,852

(See Notes which are an integral part of the Financial Statements)

56

BMO Funds

Mortgage Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (6)(8)	$	2,000,000	$	1,989,592
Total Commercial Mortgage Securities (identified cost $12,988,140)				12,964,038
U.S. Government Agency-Mortgage Securities — 70.7%
Federal Home Loan Mortgage Corporation — 15.8%
3.000%, 2/1/2029		1,601,261		1,678,844
3.500%, 4/1/2042		105,181		110,798
3.500%, 9/1/2044		4,468,413		4,678,522
4.000%, 10/1/2031		2,034,517		2,193,496
4.000%, 12/1/2040		554,829		596,943
4.000%, 2/1/2044		3,357,606		3,637,560
4.500%, 9/1/2031		634,337		693,862
4.500%, 7/1/2040		44,037		48,548
4.500%, 11/1/2040		1,142,350		1,250,258
4.500%, 2/1/2041		1,722,752		1,875,708
5.000%, 12/1/2022		207,473		222,753
5.000%, 1/1/2040		367,699		410,871
5.500%, 11/1/2018		136,150		139,943
5.500%, 10/1/2021		214,729		232,527
5.500%, 7/1/2035		61,513		69,399
6.000%, 12/1/2036		42,349		48,108
6.000%, 12/1/2037		28,612		32,878
6.500%, 9/1/2016		2,531		2,544
7.500%, 4/1/2024		48,613		55,866
7.500%, 4/1/2027		27,140		32,721
8.000%, 8/1/2030		27,521		35,115
8.500%, 9/1/2024		25,171		29,013
9.000%, 6/1/2019		7,287		7,375
9.500%, 2/1/2025		11,153		11,304
				18,094,956
Federal National Mortgage Association — 50.5%
2.500%, 9/1/2029		2,434,794		2,504,853
3.000%, 8/1/2032		276,384		288,662
3.000%, 5/1/2043		3,688,340		3,790,297
3.000%, 5/1/2043		2,471,285		2,539,497
3.000%, 8/1/2043		3,452,179		3,546,441
3.000%, 2/1/2045		1,850,718		1,900,184
3.000%, 7/1/2045		2,917,231		2,997,362
3.500%, 7/1/2032		595,880		630,742
3.500%, 10/1/2042		2,737,672		2,876,283
3.500%, 5/1/2043		3,145,001		3,335,906
3.500%, 9/1/2043		2,560,934		2,712,400
3.500%, 2/1/2045		2,857,357		3,011,079
3.500%, 4/1/2045		1,845,014		1,935,258
3.500%, 5/1/2045		3,039,246		3,190,509
4.000%, 11/1/2031		1,130,231		1,217,598
4.000%, 2/1/2041		1,876,913		2,010,210
4.000%, 3/1/2041		381,236		411,177
4.000%, 9/1/2043		1,535,892		1,664,168
4.000%, 5/1/2044		3,063,165		3,282,959
4.500%, 12/1/2040		1,497,201		1,631,463
4.500%, 4/1/2041		3,141,096		3,423,292
4.500%, 6/1/2042		1,349,847		1,482,615
5.000%, 5/1/2018		147,903		153,286
5.000%, 5/1/2042		1,460,534		1,624,555
5.500%, 1/1/2023		205,920		231,074
5.500%, 10/1/2024		323,621		363,154
5.500%, 2/1/2036		252,322		285,067
5.500%, 7/1/2036		516,783		585,481

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
5.500%, 8/1/2037	$	942,290	$	1,067,095
6.000%, 10/1/2016		8,232		8,294
6.000%, 9/1/2021		305,852		333,389
6.000%, 5/1/2039		909,686		1,049,302
6.500%, 9/1/2016		4,840		4,876
6.500%, 9/1/2016		10,322		10,374
6.500%, 8/1/2030		487,565		559,599
6.500%, 12/1/2031		30,067		35,918
6.500%, 11/1/2037		118,517		132,601
7.000%, 3/1/2029		60,975		71,371
7.000%, 7/1/2029		174,138		202,456
7.000%, 2/1/2030		124,867		143,780
7.500%, 10/1/2030		30,692		35,231
8.000%, 10/1/2028		301,012		348,179
8.000%, 4/1/2030		53,269		67,503
				57,695,540
Government National Mortgage Association — 4.4%
3.000%, 2/20/2045		2,312,914		2,404,926
5.000%, 4/15/2034		357,247		398,625
5.500%, 9/15/2033		917,471		1,053,539
6.000%, 12/20/2033		922,857		1,068,817
7.000%, 8/15/2031		49,032		60,920
9.500%, 10/15/2024		10,495		10,629
				4,997,456
Total U.S. Government Agency-Mortgage Securities
(identified cost $78,224,593)				80,787,952
Short-Term Investments — 4.4%
Mutual Funds — 4.4%
BMO Government Money Market Fund — Premier Class, 0.160% (4)		5,060,743		5,060,743
Total Short-Term Investments (identified cost $5,060,743)				5,060,743
Total Investments — 99.7% (identified cost $111,484,679)				113,989,429
Other Assets and Liabilities — 0.3%				378,482
Total Net Assets — 100.0%			$	114,367,911

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		0.3	%
Collateralized Mortgage Obligations		13.0
Commercial Mortgage Securities		11.3
U.S. Government Agency—Mortgage Securities		70.7
Other Assets & Liabilities, Net		4.7
Total		100.0	%

TCH Intermediate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 51.1%
Agriculture — 0.6%
Imperial Brands Finance PLC, 4.250%, 7/21/2025 (6)	$	500,000	$	521,375
Auto Manufacturers — 3.3%
Ford Motor Credit Co. LLC:
1.549%, 11/4/2019 (8)		2,000,000		1,919,848

(See Notes which are an integral part of the Financial Statements)

57

February 29, 2016 (Unaudited)

Schedules of Investments

TCH Intermediate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers (continued)
4.389%, 1/8/2026 (1)	$	750,000	$	766,704
				2,686,552
Banks — 17.9%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (6)		1,000,000		997,713
Banco Santander Chile, 1.517%, 4/11/2017 (6)(8)		1,000,000		997,500
Barclays Bank PLC, 1.198%, 2/17/2017 (8)		1,500,000		1,496,532
Capital One Financial Corp., 4.200%, 10/29/2025		500,000		491,532
Credit Agricole SA, 4.375%, 3/17/2025 (1)(6)		1,000,000		954,866
Goldman Sachs Group, Inc.:
1.818%, 4/30/2018 (8)		2,000,000		1,999,920
4.000%, 3/3/2024		1,000,000		1,037,258
HSBC Holdings PLC, 4.250%, 3/14/2024 (1)		1,000,000		985,788
Intesa Sanpaolo SpA, 5.017%, 6/26/2024 (6)		1,000,000		920,353
JPMorgan Chase & Co., 4.125%, 12/15/2026 (1)		1,000,000		1,016,496
Morgan Stanley:
1.353%, 1/5/2018 (8)		1,000,000		996,831
5.000%, 11/24/2025		1,250,000		1,317,374
Royal Bank of Scotland Group PLC, 5.125%, 5/28/2024 (1)		1,000,000		960,656
Standard Chartered PLC, 5.200%, 1/26/2024 (1)(6)		675,000		665,960
				14,838,779
Computers — 0.6%
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (6)		500,000		475,415
Distribution/Wholesale — 0.9%
Ingram Micro, Inc., 4.950%, 12/15/2024		750,000		734,005
Diversified Financial Services — 2.4%
Jefferies Group LLC, 5.125%, 1/20/2023 (1)		1,000,000		989,162
Nomura Holdings, Inc., 1.952%, 9/13/2016 (8)		1,000,000		1,002,129
				1,991,291
Holding Companies-Diversified — 1.9%
Leucadia National Corp., 5.500%, 10/18/2023		1,800,000		1,607,938
Iron/Steel — 1.4%
GTL Trade Finance, Inc., 5.893%, 4/29/2024 (1)(6)		1,750,000		1,137,500
Media — 2.9%
CBS Corp., 4.000%, 1/15/2026 (1)		850,000		849,743
CCO Safari II LLC, 4.908%, 7/23/2025 (6)		1,500,000		1,541,111
				2,390,854
Mining — 1.9%
Barrick Gold Corp., 4.100%, 5/1/2023 (1)		1,000,000		934,971
Glencore Funding LLC, 4.625%, 4/29/2024 (1)(6)		500,000		381,350

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining (continued)
Teck Resources, Ltd., 3.750%, 2/1/2023 (1)	$	350,000	$	215,250
				1,531,571
Miscellaneous Manufacturing — 1.3%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,300,000		1,111,042
Oil & Gas — 5.2%
Ensco PLC, 4.500%, 10/1/2024		1,000,000		502,350
Petrobras Global Finance BV, 5.750%, 1/20/2020 (1)		1,000,000		802,500
Petroleos Mexicanos, 4.250%, 1/15/2025 (1)(6)		750,000		663,750
Pride International, Inc., 8.500%, 6/15/2019		1,000,000		708,750
Rowan Cos., Inc., 4.875%, 6/1/2022		1,000,000		576,153
Transocean, Inc., 7.125%, 12/15/2021 (1)		1,900,000		1,049,750
				4,303,253
Pipelines — 3.5%
Energy Transfer Partners LP, 4.150%, 10/1/2020 (1)		1,000,000		871,821
Kinder Morgan Energy Partners LP:
4.150%, 2/1/2024 (1)		1,300,000		1,142,094
4.300%, 5/1/2024		1,000,000		883,665
				2,897,580
Real Estate Investment Trusts — 2.7%
EPR Properties, 5.250%, 7/15/2023		1,250,000		1,282,595
Senior Housing Properties Trust, 4.750%, 5/1/2024		1,000,000		966,206
				2,248,801
Telecommunications — 1.6%
Motorola Solutions, Inc., 4.000%, 9/1/2024		1,500,000		1,288,164
Transportation — 3.0%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (6)		1,000,000		980,261
Kansas City Southern, 1.321%, 10/28/2016 (6)(8)		1,500,000		1,486,092
				2,466,353
Total Corporate Bonds & Notes (identified cost $46,421,531)				42,230,473
U.S. Government & U.S. Government Agency Obligations — 11.9%
U.S. Treasury Bonds & Notes — 11.9%
0.125%, 4/15/2020 (1)		4,545,585		4,589,800
1.625%, 1/15/2018 (1)		5,081,175		5,284,884
Total U.S. Government & U.S. Government Agency Obligations (identified cost $9,781,979)				9,874,684
U.S. Government Agency-Mortgage Securities — 33.1%
Federal Home Loan Mortgage Corporation — 13.4%
3.000%, 9/1/2045		1,966,412		2,014,435
3.500%, 10/1/2043		2,996,602		3,137,505
3.500%, 2/1/2044		2,990,567		3,131,186
4.000%, 4/1/2044		2,633,684		2,810,283
				11,093,409
Federal National Mortgage Association — 19.7%
3.000%, 5/1/2043		1,599,107		1,643,246
3.000%, 9/1/2044		2,419,020		2,483,675
3.000%, 2/1/2045		4,626,794		4,750,459

(See Notes which are an integral part of the Financial Statements)

58

BMO Funds

TCH Intermediate Income Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
3.000%, 6/1/2045	$	2,419,211	$	2,483,872
3.000%, 7/1/2045		2,916,970		2,994,935
3.500%, 4/1/2045		1,834,691		1,925,846
				16,282,033
Total U.S. Government Agency-Mortgage Securities
(identified cost $26,713,236)				27,375,442
Short-Term Investments — 28.3%
Collateral Pool Investments for Securities on Loan — 24.4%
Collateral pool allocation (3)				20,215,637
Mutual Funds — 3.9%
BMO Prime Money Market Fund —Premier Class, 0.310% (4)		3,191,859		3,191,859
Total Short-Term Investments (identified cost $23,407,496)				23,407,496
Total Investments — 124.4% (identified cost $106,324,242)				102,888,095
Other Assets and Liabilities — (24.4)%				(20,210,842	)
Total Net Assets — 100.0%			$	82,677,253

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		51.1	%
U.S. Government & U.S. Government Agency Obligations		11.9
U.S. Government Agency—Mortgage Securities		33.1
Other Assets & Liabilities, Net		3.9
Total		100.0	%

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 89.2%
Advertising — 1.1%
Omnicom Group, Inc., 3.650%, 11/1/2024 (1)	$	2,000,000	$	2,011,348
Aerospace/Defense — 1.3%
Lockheed Martin Corp., 2.500%, 11/23/2020 (1)		2,500,000		2,546,553
Agriculture — 0.4%
Altria Group, Inc., 10.200%, 2/6/2039		97,000		163,723
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		250,000		289,613
Reynolds American, Inc., 7.750%, 6/1/2018		250,000		285,356
				738,692
Auto Manufacturers — 2.7%
Ford Motor Credit Co. LLC:
1.549%, 11/4/2019 (8)		1,500,000		1,439,886
1.870%, 5/9/2016 (8)		1,000,000		1,000,876
General Motors Co., 6.600%, 4/1/2036 (1)		1,000,000		1,038,690
General Motors Financial Co., Inc., 4.000%, 1/15/2025 (1)		1,000,000		928,020

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers (continued)
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/2023 (1)(6)	$	450,000	$	452,812
Nissan Motor Acceptance Corp., 1.303%, 9/26/2016 (6)(8)		250,000		250,197
				5,110,481
Banks — 9.9%
Banco Santander Chile, 1.517%, 4/11/2017 (6)(8)		1,000,000		997,500
Bank of America Corp.:
1.482%, 4/1/2019 (8)		1,000,000		986,116
1.662%, 1/15/2019 (8)		2,000,000		1,987,988
BBVA Banco Continental SA, 5.250%, 9/22/2029 (6)(8)		1,000,000		951,500
Citigroup, Inc., 1.027%, 3/10/2017 (8)		750,000		747,632
Deutsche Bank AG, 3.125%, 1/13/2021 (1)		2,250,000		2,197,366
Discover Bank, 7.000%, 4/15/2020		1,000,000		1,128,445
Goldman Sachs Group, Inc.:
1.718%, 11/15/2018 (8)		1,000,000		994,879
1.818%, 4/30/2018 (8)		1,500,000		1,499,940
HSBC USA, Inc., 0.893%, 6/23/2017 (8)		1,500,000		1,492,920
JPMorgan Chase & Co., 4.625%, 5/10/2021 (1)		300,000		327,675
National City Bank:
0.822%, 6/7/2017 (8)		2,000,000		1,985,346
0.862%, 12/15/2016 (8)		550,000		548,547
SunTrust Banks, Inc., 3.500%, 1/20/2017		3,000,000		3,051,120
				18,896,974
Beverages — 0.7%
Anheuser-Busch InBev Finance, Inc., 1.879%, 2/1/2021 (1)(8)		1,250,000		1,267,329
Biotechnology — 2.1%
Amgen, Inc., 0.998%, 5/22/2017 (8)		2,000,000		1,994,962
Gilead Sciences, Inc., 3.050%, 12/1/2016 (1)		2,000,000		2,029,900
				4,024,862
Chemicals — 2.9%
Agrium, Inc., 4.125%, 3/15/2035 (1)		3,000,000		2,371,167
Braskem America Finance Co., 7.125%, 7/22/2041 (1)(6)		1,000,000		783,700
Dow Chemical Co., 8.550%, 5/15/2019		250,000		294,086
Mexichem SAB de C.V., 6.750%, 9/19/2042 (1)(6)		1,500,000		1,372,500
OCP SA, 6.875%, 4/25/2044 (6)		800,000		780,252
				5,601,705
Commercial Services — 1.3%
ADT Corp.:
3.500%, 7/15/2022 (1)		750,000		631,875
4.125%, 6/15/2023 (1)		500,000		423,750
4.875%, 7/15/2042		2,250,000		1,507,500
				2,563,125
Computers — 4.5%
Apple, Inc., 4.500%, 2/23/2036 (1)		2,000,000		2,091,048
EMC Corp., 3.375%, 6/1/2023		2,500,000		2,051,240
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)(6)		3,000,000		2,852,487

(See Notes which are an integral part of the Financial Statements)

59

February 29, 2016 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Computers (continued)
Seagate HDD Cayman, 5.750%, 12/1/2034	$	2,500,000	$	1,485,217
				8,479,992
Distribution/Wholesale — 0.5%
Ingram Micro, Inc., 4.950%, 12/15/2024		1,000,000		978,674
Diversified Financial Services — 2.0%
Jefferies Group, LLC, 6.500%, 1/20/2043		2,000,000		1,722,584
KKR Group Finance Co. II LLC, 5.500%, 2/1/2043 (6)		500,000		500,339
Nomura Holdings, Inc., 1.952%, 9/13/2016 (8)		1,500,000		1,503,194
				3,726,117
Food — 1.0%
ConAgra Foods, Inc., 0.994%, 7/21/2016 (8)		2,000,000		1,997,364
Healthcare-Services — 1.0%
Humana, Inc., 8.150%, 6/15/2038		600,000		807,700
Quest Diagnostics, Inc., 4.700%, 3/30/2045 (1)		1,125,000		1,063,718
				1,871,418
Holding Companies-Diversified — 1.2%
Alfa SAB de C.V., 6.875%, 3/25/2044 (6)		1,000,000		925,000
Leucadia National Corp.:
5.500%, 10/18/2023		1,000,000		893,299
6.625%, 10/23/2043		500,000		392,798
				2,211,097
Insurance — 0.4%
American Financial Group, Inc., 9.875%, 6/15/2019		250,000		305,055
Primerica, Inc., 4.750%, 7/15/2022		500,000		545,902
				850,957
Internet — 1.2%
eBay, Inc., 4.000%, 7/15/2042		3,000,000		2,296,830
Iron/Steel — 2.5%
ArcelorMittal:
7.250%, 2/25/2022 (1)		1,000,000		907,400
8.000%, 10/15/2039		1,000,000		791,500
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (1)(6)		3,000,000		1,830,000
Samarco Mineracao SA, 5.750%, 10/24/2023 (6)		1,000,000		465,000
Vale Overseas, Ltd., 8.250%, 1/17/2034		1,000,000		772,500
				4,766,400
Lodging — 0.6%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,089,161
Media — 7.4%
CCO Safari II LLC, 6.484%, 10/23/2045 (1)(6)		3,000,000		3,171,759
DIRECTV Holdings LLC:
3.950%, 1/15/2025 (1)		2,000,000		2,036,540
5.150%, 3/15/2042 (1)		2,000,000		1,861,320
NBCUniversal Enterprise, Inc., 1.159%, 4/15/2016 (6)(8)		1,000,000		1,000,430

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
Time Warner Cable, Inc., 6.750%, 6/15/2039	$	1,000,000	$	1,010,912
Viacom, Inc.:
4.375%, 3/15/2043		2,500,000		1,710,587
4.850%, 12/15/2034		1,000,000		791,382
Walt Disney Co., 5.625%, 9/15/2016 (1)		2,400,000		2,462,184
				14,045,114
Mining — 2.9%
Corp Nacional del Cobre de Chile, 4.875%, 11/4/2044 (1)(6)		1,000,000		870,484
Glencore Finance Canada, Ltd., 6.900%, 11/15/2037 (6)		1,000,000		781,916
Glencore Funding LLC, 4.625%, 4/29/2024 (1)(6)		2,000,000		1,525,400
Southern Copper Corp., 7.500%, 7/27/2035 (1)		750,000		714,828
Teck Resources, Ltd.:
6.000%, 8/15/2040		2,000,000		1,070,000
6.125%, 10/1/2035		1,000,000		545,000
				5,507,628
Miscellaneous Manufacturing — 0.9%
Trinity Industries, Inc., 4.550%, 10/1/2024 (1)		2,000,000		1,709,296
Oil & Gas — 7.9%
Ecopetrol SA:
5.375%, 6/26/2026		2,000,000		1,627,500
5.875%, 5/28/2045 (1)		1,000,000		702,500
7.375%, 9/18/2043		1,000,000		800,000
Ensco PLC:
5.200%, 3/15/2025		2,000,000		1,022,500
5.750%, 10/1/2044 (1)		2,000,000		944,500
Exxon Mobil Corp., 1.232%, 2/28/2018 (8)(9)		2,000,000		2,000,000
Nabors Industries, Inc., 4.625%, 9/15/2021		1,000,000		672,973
Petroleos Mexicanos:
4.250%, 1/15/2025 (1)(6)		2,000,000		1,770,000
5.500%, 6/27/2044		2,000,000		1,546,600
Pride International, Inc., 6.875%, 8/15/2020 (1)		1,000,000		586,250
Rowan Cos., Inc.:
4.875%, 6/1/2022		1,500,000		864,229
5.400%, 12/1/2042		1,000,000		501,969
7.875%, 8/1/2019		500,000		404,398
Transocean, Inc.:
7.125%, 12/15/2021 (1)		2,000,000		1,105,000
7.500%, 4/15/2031		250,000		115,625
8.100%, 12/15/2041		1,000,000		467,500
				15,131,544
Pharmaceuticals — 3.7%
Forest Laboratories LLC, 4.375%, 2/1/2019 (6)		900,000		947,385
Johnson & Johnson, 0.905%, 3/1/2019 (8)(9)		2,000,000		2,003,248
Pfizer, Inc., 5.800%, 8/12/2023		1,000,000		1,200,743
Valeant Pharmaceuticals International, Inc.:
5.375%, 3/15/2020 (6)		1,000,000		910,000
7.000%, 10/1/2020 (1)(6)		1,000,000		947,500
Zoetis, Inc., 3.250%, 2/1/2023		1,000,000		962,610
				6,971,486
Pipelines — 4.6%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)		2,000,000		1,459,280
6.500%, 2/1/2042 (1)		1,500,000		1,215,661

(See Notes which are an integral part of the Financial Statements)

60

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines (continued)
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040 (1)	$	250,000	$	231,930
Kinder Morgan, Inc., 5.300%, 12/1/2034 (1)		3,000,000		2,357,196
ONEOK Partners LP, 4.900%, 3/15/2025		3,000,000		2,458,833
Sunoco Logistics Partners Operations LP, 5.350%, 5/15/2045 (1)		1,500,000		1,116,692
				8,839,592
Real Estate Investment Trusts — 2.4%
EPR Properties:
5.250%, 7/15/2023		1,000,000		1,026,076
5.750%, 8/15/2022		1,500,000		1,604,724
Hospitality Properties Trust:
4.500%, 6/15/2023		500,000		483,305
4.500%, 3/15/2025		1,500,000		1,418,772
				4,532,877
Retail — 4.7%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044		2,500,000		2,021,337
Coach, Inc., 4.250%, 4/1/2025		3,000,000		2,940,741
L Brands, Inc.:
6.950%, 3/1/2033		600,000		597,000
7.600%, 7/15/2037		1,000,000		1,027,500
Lowe’s Cos., Inc., 1.102%, 9/14/2018 (8)		2,000,000		2,007,514
TJX Cos., Inc., 6.950%, 4/15/2019		250,000		288,388
				8,882,480
Semiconductors — 1.9%
Micron Technology, Inc., 5.500%, 2/1/2025 (1)		2,000,000		1,685,000
QUALCOMM, Inc., 4.800%, 5/20/2045 (1)		2,000,000		1,847,276
				3,532,276
Software — 0.7%
Electronic Arts, Inc., 3.700%, 3/1/2021 (1)		1,250,000		1,266,994
Sovereign — 1.3%
Costa Rica Government International Bond:
4.375%, 4/30/2025 (6)		1,000,000		855,000
7.158%, 3/12/2045 (6)		2,000,000		1,697,500
				2,552,500
Telecommunications — 12.1%
AT&T, Inc.:
1.546%, 11/27/2018 (8)		1,235,000		1,228,406
4.500%, 5/15/2035		2,500,000		2,301,967
CenturyLink, Inc.:
7.600%, 9/15/2039		1,400,000		1,169,000
7.650%, 3/15/2042		2,000,000		1,650,000
Cisco Systems, Inc., 0.702%, 3/3/2017 (8)		2,500,000		2,502,860
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022 (1)		800,000		695,000
Frontier Communications Corp.:
8.125%, 10/1/2018		750,000		779,063
8.750%, 4/15/2022		500,000		471,250
9.000%, 8/15/2031		2,500,000		2,050,000

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Motorola Solutions, Inc., 5.500%, 9/1/2044	$	2,500,000	$	1,886,015
T-Mobile USA, Inc., 6.500%, 1/15/2026		1,000,000		1,018,370
Telecom Italia Capital SA:
6.375%, 11/15/2033		1,500,000		1,387,500
7.200%, 7/18/2036		1,500,000		1,402,500
Telefonica Europe BV, 8.250%, 9/15/2030		1,250,000		1,642,483
Verizon Communications, Inc., 6.400%, 9/15/2033		2,000,000		2,336,916
Windstream Services LLC, 7.500%, 6/1/2022 (1)		750,000		585,000
				23,106,330
Transportation — 0.4%
FedEx Corp., 8.000%, 1/15/2019 (1)		250,000		292,510
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		421,575
				714,085
Trucking & Leasing — 1.0%
Penske Truck Leasing Co. Lp, 3.300%, 4/1/2021 (6)		2,000,000		1,994,618
Total Corporate Bonds & Notes (identified cost $187,423,522)				169,815,899
Municipals — 0.3%
California — 0.3%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		593,935
Total Municipals (identified cost $500,000)				593,935
U.S. Government & U.S. Government Agency Obligations — 2.7%
U.S. Treasury Bonds & Notes — 2.7%
2.250%, 11/30/2017		2,500,000		2,563,085
2.500%, 6/30/2017		2,500,000		2,558,350
Total U.S. Government & U.S. Government Agency Obligations (identified cost $5,128,226)				5,121,435
Short-Term Investments — 22.8%
Collateral Pool Investments for Securities on Loan — 14.1%
Collateral pool allocation (3)				26,880,604
Mutual Funds — 8.7%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		16,479,145		16,479,145
Total Short-Term Investments (identified cost $43,359,749)				43,359,749
Total Investments — 115.0% (identified cost $236,411,497)				218,891,018
Other Assets and Liabilities — (15.0)%				(28,503,330	)
Total Net Assets — 100.0%			$	190,387,688

(See Notes which are an integral part of the Financial Statements)

61

February 29, 2016 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		89.2	%
Municipals		0.3
U.S. Government & U.S. Government Agency Obligations		2.7
Other Assets & Liabilities, Net		7.8
Total		100.0	%

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Commercial Mortgage Securities — 0.1%
Private Sponsor — 0.1%
Bear Stearns Commercial Mortgage Securities, Class A4, (Series 2007-T28), 5.742%, 9/11/2042 (8)	$	481,018	$	504,896
Total Commercial Mortgage Securities (identified cost $328,379)				504,896
Corporate Bonds & Notes — 44.6%
Agriculture — 0.2%
Altria Group, Inc., 10.200%, 2/6/2039		81,000		136,718
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		500,000		579,225
Reynolds American, Inc., 8.125%, 5/1/2040		1,000,000		1,261,245
				1,977,188
Auto Manufacturers — 3.6%
Ford Motor Credit Co. LLC:
1.400%, 1/17/2017 (8)		2,000,000		1,991,496
1.549%, 11/4/2019 (8)		4,000,000		3,839,696
1.557%, 1/9/2018 (8)		7,500,000		7,413,953
1.870%, 5/9/2016 (8)		4,000,000		4,003,504
General Motors Co., 6.600%, 4/1/2036		3,500,000		3,635,415
General Motors Financial Co., Inc., 4.000%, 1/15/2025		5,000,000		4,640,100
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/2023 (1)(6)		3,000,000		3,018,750
Nissan Motor Acceptance Corp., 1.303%, 9/26/2016 (6)(8)		5,000,000		5,003,935
				33,546,849
Banks — 6.1%
Bank of America Corp., 1.406%, 3/22/2016 (8)		5,000,000		5,001,290
Citigroup, Inc.:
1.027%, 3/10/2017 (8)		6,000,000		5,981,058
1.311%, 4/27/2018 (8)		8,000,000		7,918,184
1.579%, 7/25/2016 (8)		5,000,000		5,007,245
Deutsche Bank AG, 4.100%, 1/13/2026 (1)		3,500,000		3,415,696
Discover Bank, 7.000%, 4/15/2020 (1)		1,000,000		1,128,445
Goldman Sachs Group, Inc.:
1.718%, 11/15/2018 (8)		5,000,000		4,974,395
1.779%, 4/23/2020 (8)		8,000,000		7,925,352
1.818%, 4/30/2018 (8)		5,000,000		4,999,800
HSBC USA, Inc., 0.893%, 6/23/2017 (8)		4,000,000		3,981,120

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Morgan Stanley:
1.353%, 1/5/2018 (1)(8)	$	3,000,000	$	2,990,493
5.000%, 11/24/2025		4,500,000		4,742,545
				58,065,623
Beverages — 0.3%
Anheuser-Busch InBev Finance, Inc., 1.879%, 2/1/2021 (8)		3,000,000		3,041,589
Chemicals — 1.8%
Braskem America Finance Co., 7.125%, 7/22/2041 (6)		6,000,000		4,702,200
Grupo Idesa SA de C.V., 7.875%, 12/18/2020 (6)		2,750,000		2,598,750
Mexichem SAB de C.V., 6.750%, 9/19/2042 (6)		8,400,000		7,686,000
OCP SA, 6.875%, 4/25/2044 (6)		2,500,000		2,438,288
				17,425,238
Commercial Services — 0.8%
ADT Corp.:
3.500%, 7/15/2022 (1)		2,250,000		1,895,625
4.875%, 7/15/2042		8,000,000		5,360,000
				7,255,625
Computers — 2.8%
Apple, Inc., 4.500%, 2/23/2036		5,000,000		5,227,620
EMC Corp., 3.375%, 6/1/2023		3,000,000		2,461,488
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)(6)		8,000,000		7,606,632
International Business Machines Corp., 1.069%, 8/18/2017 (8)		6,750,000		6,762,967
Seagate HDD Cayman:
4.875%, 6/1/2027 (6)		3,000,000		2,084,022
5.750%, 12/1/2034		3,500,000		2,079,304
				26,222,033
Distribution/Wholesale — 0.3%
Ingram Micro, Inc., 4.950%, 12/15/2024		2,500,000		2,446,685
Diversified Financial Services — 2.0%
American Express Credit Corp.:
0.722%, 6/5/2017 (8)		7,500,000		7,458,360
1.228%, 7/31/2018 (8)		3,000,000		2,976,915
Jefferies Group, LLC, 6.500%, 1/20/2043		5,000,000		4,306,460
Nomura Holdings, Inc., 1.952%, 9/13/2016 (8)		4,000,000		4,008,516
				18,750,251
Food — 0.4%
ConAgra Foods, Inc., 0.994%, 7/21/2016 (8)		4,000,000		3,994,728
Healthcare-Products — 0.2%
Mallinckrodt International Finance SA, 4.750%, 4/15/2023		2,000,000		1,775,000
Holding Companies-Diversified — 0.6%
Leucadia National Corp.:
5.500%, 10/18/2023		4,000,000		3,573,196
6.625%, 10/23/2043 (1)		3,000,000		2,356,788
				5,929,984

(See Notes which are an integral part of the Financial Statements)

62

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Insurance — 0.0%
American Financial Group, Inc., 9.875%, 6/15/2019	$	250,000	$	305,055
Internet — 1.0%
Amazon.com, Inc., 4.800%, 12/5/2034		4,000,000		4,335,080
eBay, Inc., 4.000%, 7/15/2042		7,000,000		5,359,270
				9,694,350
Iron/Steel — 1.9%
ArcelorMittal:
7.250%, 2/25/2022 (1)		2,000,000		1,814,800
8.000%, 10/15/2039		1,000,000		791,500
GTL Trade Finance, Inc.:
5.893%, 4/29/2024 (6)		1,750,000		1,137,500
7.250%, 4/16/2044 (1)(6)		8,000,000		4,880,000
Samarco Mineracao SA, 5.750%, 10/24/2023 (6)		5,000,000		2,325,000
Vale Overseas, Ltd.:
6.875%, 11/21/2036 (1)		8,500,000		5,852,250
8.250%, 1/17/2034		1,500,000		1,158,750
				17,959,800
Media — 2.2%
CCO Safari II LLC, 4.464%, 7/23/2022 (6)		4,000,000		4,065,880
DIRECTV Holdings LLC, 5.150%, 3/15/2042 (1)		4,000,000		3,722,640
NBCUniversal Enterprise, Inc., 1.159%, 4/15/2016 (6)(8)		4,000,000		4,001,720
Viacom, Inc.:
4.375%, 3/15/2043		2,500,000		1,710,588
4.850%, 12/15/2034		8,000,000		6,331,056
Walt Disney Co., 0.946%, 5/30/2019 (8)		1,000,000		996,340
				20,828,224
Mining — 2.5%
Barrick North America Finance LLC, 5.700%, 5/30/2041		4,000,000		3,156,760
Glencore Finance Canada, Ltd., 6.900%, 11/15/2037 (6)		2,500,000		1,954,790
Glencore Funding LLC:
4.125%, 5/30/2023 (1)(6)		2,000,000		1,527,736
4.625%, 4/29/2024 (1)(6)		5,000,000		3,813,500
Newmont Mining Corp., 6.250%, 10/1/2039 (1)		2,000,000		1,788,990
Southern Copper Corp.:
5.250%, 11/8/2042 (1)		5,000,000		3,759,290
7.500%, 7/27/2035 (1)		2,500,000		2,382,760
Teck Resources, Ltd.:
6.000%, 8/15/2040		3,000,000		1,605,000
6.125%, 10/1/2035		1,500,000		817,500
6.250%, 7/15/2041 (1)		5,990,000		3,204,650
				24,010,976
Miscellaneous Manufacturing — 0.3%
Trinity Industries, Inc., 4.550%, 10/1/2024		3,000,000		2,563,944
Oil & Gas — 3.6%
Ecopetrol SA:
5.375%, 6/26/2026 (1)		5,000,000		4,068,750
5.875%, 5/28/2045 (1)		500,000		351,250
7.375%, 9/18/2043 (1)		6,000,000		4,800,000

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Ensco PLC, 5.750%, 10/1/2044 (1)	$	8,000,000	$	3,778,000
Exxon Mobil Corp., 0.000%, 2/28/2018 (8)(9)		2,500,000		2,500,000
Petroleos Mexicanos:
5.500%, 6/27/2044		4,000,000		3,093,200
6.375%, 1/23/2045 (1)		2,500,000		2,181,125
Pride International, Inc.:
7.875%, 8/15/2040		1,000,000		502,984
8.500%, 6/15/2019		1,700,000		1,204,875
Rowan Cos., Inc.:
4.875%, 6/1/2022 (1)		3,500,000		2,016,535
5.400%, 12/1/2042		6,000,000		3,011,814
7.875%, 8/1/2019		3,500,000		2,830,786
Transocean, Inc.:
7.125%, 12/15/2021 (1)		5,000,000		2,762,500
7.500%, 4/15/2031		250,000		115,625
8.100%, 12/15/2041		1,500,000		701,250
				33,918,694
Pharmaceuticals — 1.8%
Merck & Co., Inc., 0.996%, 2/10/2020 (8)		6,000,000		5,969,856
Pfizer, Inc., 5.800%, 8/12/2023		4,000,000		4,802,972
Valeant Pharmaceuticals International, Inc.:
5.375%, 3/15/2020 (6)		2,500,000		2,275,000
7.000%, 10/1/2020 (6)		2,000,000		1,895,000
Zoetis, Inc., 3.250%, 2/1/2023		2,500,000		2,406,525
				17,349,353
Pipelines — 0.7%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)		4,000,000		2,918,560
6.500%, 2/1/2042 (1)		1,000,000		810,441
ONEOK Partners LP, 4.900%, 3/15/2025		3,400,000		2,786,677
				6,515,678
Real Estate Investment Trusts — 1.3%
EPR Properties:
5.250%, 7/15/2023		5,000,000		5,130,380
5.750%, 8/15/2022		1,000,000		1,069,816
Hospitality Properties Trust:
4.500%, 6/15/2023		1,000,000		966,611
4.500%, 3/15/2025		2,500,000		2,364,620
Wellltower, Inc., 4.500%, 1/15/2024		2,500,000		2,549,055
				12,080,482
Retail — 1.5%
Coach, Inc., 4.250%, 4/1/2025		6,000,000		5,881,482
L Brands, Inc.:
6.950%, 3/1/2033		2,500,000		2,487,500
7.600%, 7/15/2037		6,000,000		6,165,000
				14,533,982
Semiconductors — 1.9%
Micron Technology, Inc., 5.500%, 2/1/2025		8,000,000		6,740,000
QUALCOMM, Inc.:
0.888%, 5/18/2018 (8)		7,000,000		6,871,186
4.800%, 5/20/2045		5,000,000		4,618,190
				18,229,376

(See Notes which are an integral part of the Financial Statements)

63

February 29, 2016 (Unaudited)

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Software — 0.8%
Electronic Arts, Inc., 4.800%, 3/1/2026	$	5,000,000	$	5,045,945
Microsoft Corp., 4.200%, 11/3/2035 (1)		2,000,000		2,102,216
				7,148,161
Sovereign — 0.6%
Costa Rica Government International Bond:
5.625%, 4/30/2043 (6)		5,000,000		3,650,000
7.000%, 4/4/2044 (6)		2,000,000		1,692,500
				5,342,500
Telecommunications — 5.3%
AT&T, Inc., 4.500%, 5/15/2035 (1)		5,500,000		5,064,328
CenturyLink, Inc.:
7.600%, 9/15/2039		6,500,000		5,427,500
7.650%, 3/15/2042		6,750,000		5,568,750
Cisco Systems, Inc., 0.822%, 6/15/2018 (8)		5,000,000		4,996,490
Frontier Communications Corp.:
7.125%, 1/15/2023		5,000,000		4,373,450
7.875%, 1/15/2027		2,500,000		1,950,000
8.125%, 10/1/2018		500,000		519,375
9.000%, 8/15/2031		500,000		410,000
Juniper Networks, Inc., 5.950%, 3/15/2041		5,000,000		4,463,105
Motorola Solutions, Inc., 5.500%, 9/1/2044		7,500,000		5,658,045
T-Mobile USA, Inc., 6.500%, 1/15/2026		1,500,000		1,527,555
Telecom Italia Capital SA, 6.375%, 11/15/2033		6,000,000		5,550,000
Telefonica Europe BV, 8.250%, 9/15/2030 (1)		1,530,000		2,010,399
Verizon Communications, Inc., 2.252%, 9/14/2018 (8)		2,000,000		2,033,750
Windstream Services LLC, 7.500%, 6/1/2022 (1)		1,000,000		780,000
				50,332,747
Transportation — 0.1%
FedEx Corp., 8.000%, 1/15/2019		250,000		292,510
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		421,575
				714,085
Total Corporate Bonds & Notes (identified cost $469,551,663)				421,958,200
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		356,361
Total Municipals (identified cost $300,000)				356,361
U.S. Government & U.S. Government Agency Obligations — 16.6%
U.S. Treasury Bonds & Notes — 16.6%
1.375%, 7/15/2018 (1)		5,484,900		5,749,645
1.750%, 1/15/2028		1,693,725		1,928,785

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
1.875%, 7/15/2019 (1)	$	5,539,400	$	5,968,559
2.000%, 9/30/2020 (1)		5,000,000		5,174,025
2.000%, 11/30/2020 (1)		2,500,000		2,586,328
2.000%, 11/15/2021 (1)		10,000,000		10,341,800
2.000%, 2/15/2023 (1)		15,000,000		15,485,745
2.000%, 2/15/2025 (1)		5,000,000		5,116,795
2.125%, 1/15/2019 (1)		4,958,055		5,315,030
2.125%, 8/15/2021 (1)		12,500,000		13,003,412
2.250%, 11/30/2017 (1)		5,000,000		5,126,170
2.250%, 11/15/2024 (1)		15,000,000		15,675,300
2.375%, 7/31/2017 (1)		12,500,000		12,787,838
2.500%, 6/30/2017 (1)		10,000,000		10,233,400
2.500%, 5/15/2024 (1)		5,000,000		5,330,470
2.625%, 1/31/2018 (1)		15,000,000		15,522,075
2.750%, 5/31/2017 (1)		7,500,000		7,690,140
3.125%, 4/30/2017 (1)		13,500,000		13,876,785
Total U.S. Government & U.S. Government Agency Obligations (identified cost $153,778,292)				156,912,302
U.S. Government Agency-Mortgage Securities — 35.3%
Federal Home Loan Mortgage Corporation — 20.3%
3.000%, 11/1/2042		1,538,873		1,578,074
3.000%, 4/1/2043		6,495,832		6,666,692
3.000%, 4/1/2043		1,832,072		1,885,268
3.000%, 4/1/2043		2,611,333		2,677,778
3.000%, 5/1/2043		3,269,219		3,351,872
3.000%, 7/1/2043		12,648,291		12,966,851
3.000%, 9/1/2043		12,732,613		13,052,660
3.000%, 4/1/2045		11,522,130		11,803,523
3.000%, 5/1/2045		6,271,745		6,424,913
3.000%, 9/1/2045		19,664,115		20,144,352
3.000%, 1/1/2046		19,951,680		20,438,940
3.500%, 12/1/2040		1,198,975		1,262,901
3.500%, 12/1/2041		1,154,485		1,216,096
3.500%, 3/1/2042		408,540		430,358
3.500%, 12/1/2042		978,408		1,025,516
3.500%, 7/1/2043		5,902,160		6,180,771
3.500%, 9/1/2043		12,242,785		12,819,996
3.500%, 11/1/2043		10,564,596		11,061,354
3.500%, 1/1/2044		10,890,180		11,402,247
3.500%, 2/1/2044		11,214,626		11,741,948
3.500%, 11/1/2044		8,328,573		8,720,191
4.000%, 4/1/2026		620,567		652,054
4.000%, 10/1/2031		1,017,259		1,096,748
4.000%, 12/1/2039		846,545		905,285
4.000%, 12/1/2040		366,242		394,041
4.000%, 12/1/2040		4,713,153		5,041,127
4.000%, 3/1/2041		388,962		416,030
4.000%, 4/1/2041		8,839,512		9,549,237
4.000%, 8/1/2041		244,097		261,082
4.000%, 11/1/2041		990,334		1,058,860
4.500%, 9/1/2031		498,407		545,177
4.500%, 3/1/2039		211,584		231,505
4.500%, 5/1/2039		810,357		894,099
4.500%, 2/1/2040		210,317		228,843
4.500%, 11/1/2040		685,410		750,155
4.500%, 2/1/2041		1,507,408		1,641,245
5.000%, 12/1/2035		99,394		109,818
5.000%, 1/1/2038		45,835		50,392
5.000%, 3/1/2038		175,031		192,719
5.000%, 3/1/2038		56,635		62,538
5.000%, 2/1/2039		222,610		244,763
5.000%, 1/1/2040		263,784		294,755
6.000%, 6/1/2037		169,103		191,402

(See Notes which are an integral part of the Financial Statements)

64

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
6.000%, 1/1/2038	$	164,230	$	185,851
				191,850,027
Federal National Mortgage Association — 14.7%
3.000%, 3/1/2043		3,421,717		3,516,560
3.000%, 7/1/2043		8,506,009		8,739,158
3.000%, 7/1/2043		16,845,857		17,307,990
3.000%, 8/1/2043		12,982,267		13,338,111
3.000%, 9/1/2044		12,095,099		12,418,376
3.000%, 1/1/2045		12,953,745		13,299,972
3.000%, 2/1/2045		18,507,177		19,001,836
3.000%, 6/1/2045		9,722,536		9,982,400
3.500%, 7/1/2032		595,880		630,742
3.500%, 5/1/2042		1,485,920		1,560,878
3.500%, 10/1/2042		1,086,860		1,154,155
3.500%, 10/1/2042		1,392,614		1,463,097
3.500%, 10/1/2042		1,671,766		1,757,021
3.500%, 11/1/2042		728,971		765,864
3.500%, 12/1/2042		1,348,034		1,416,243
3.500%, 1/1/2043		3,987,916		4,211,874
3.500%, 5/1/2043		15,226,115		15,990,633
4.000%, 11/1/2040		459,887		492,264
4.000%, 1/1/2041		783,804		840,980
4.000%, 2/1/2041		654,270		700,321
4.000%, 2/1/2041		3,584,905		3,839,501
4.000%, 3/1/2041		263,531		284,228
4.000%, 11/1/2041		720,327		772,638
4.500%, 6/1/2039		1,135,174		1,246,263
4.500%, 8/1/2041		720,655		786,283
5.000%, 7/1/2022		376,426		404,393
5.000%, 3/1/2035		399,844		445,434
5.000%, 5/1/2042		973,689		1,083,037
5.500%, 2/1/2034		68,170		77,240
5.500%, 7/1/2036		372,306		421,798
5.500%, 8/1/2037		720,574		816,014
5.500%, 6/1/2038		88,533		99,747
6.000%, 12/1/2038		41,453		47,214
6.000%, 5/1/2039		290,531		335,121
6.500%, 10/1/2037		81,492		94,555
6.500%, 11/1/2037		59,259		66,300
				139,408,241
Government National Mortgage Association — 0.3%
4.000%, 10/15/2040		716,327		767,254
4.000%, 12/15/2040		861,739		922,909
4.000%, 4/15/2041		830,534		889,840
5.500%, 8/20/2038		136,906		145,979
5.500%, 2/15/2039		60,539		68,039
6.000%, 12/15/2038		89,635		101,400
6.000%, 1/15/2039		43,959		49,687
				2,945,108
Total U.S. Government Agency-Mortgage Securities
(identified cost $323,962,281)				334,203,376
Short-Term Investments — 24.7%
Collateral Pool Investments for Securities on Loan — 21.6%
Collateral pool allocation (3)				204,105,705

Description	Shares or Principal Amount		Value
Short-Term Investments (continued)
Mutual Funds — 3.1%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		29,508,896	$	29,508,896
Total Short-Term Investments (identified cost $233,614,601)				233,614,601
Total Investments — 121.3% (identified cost $1,181,535,216)				1,147,549,736
Other Assets and Liabilities — (21.3)%				(201,721,018	)
Total Net Assets — 100.0%			$	945,828,718

Portfolio Sector Allocation*
Sector	Fund
Commercial Mortgage Securities		0.1	%
Corporate Bonds & Notes		44.6
U.S. Government & U.S. Government Agency Obligations		16.6
U.S. Government Agency—Mortgage Securities		35.3
Other Assets & Liabilities, Net		3.4
Total		100.0	%

Monegy High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 95.4%
Advertising — 0.2%
Lamar Media Corp., 5.750%, 2/1/2026 (6)	$	165,000	$	171,290
Aerospace/Defense — 0.9%
Spirit AeroSystems, Inc., 6.750%, 12/15/2020		340,000		352,538
TransDigm, Inc., 6.500%, 7/15/2024		290,000		284,200
				636,738
Agriculture — 1.0%
Vector Group, Ltd., 7.750%, 2/15/2021		650,000		694,687
Airlines — 1.1%
American Airlines Group, Inc., 4.625%, 3/1/2020 (6)		366,000		354,105
United Continental Holdings, Inc.:
6.000%, 12/1/2020		150,000		156,000
6.375%, 6/1/2018		276,000		286,005
				796,110
Apparel — 0.7%
Levi Strauss & Co., 5.000%, 5/1/2025		361,000		362,841
Perry Ellis International, Inc., 7.875%, 4/1/2019		155,000		155,388
				518,229
Auto Manufacturers — 1.1%
Fiat Chrysler Automobiles, 5.250%, 4/15/2023		450,000		427,500
Jaguar Land Rover Automotive PLC, 5.625%, 2/1/2023 (6)		300,000		301,875
				729,375

(See Notes which are an integral part of the Financial Statements)

65

February 29, 2016 (Unaudited)

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Parts & Equipment — 2.9%
American Axle & Manufacturing, Inc.:
5.125%, 2/15/2019	$	139,000	$	138,479
6.250%, 3/15/2021		152,000		153,710
6.625%, 10/15/2022		50,000		50,750
Dana Holding Corp.:
5.500%, 12/15/2024		417,000		390,416
6.750%, 2/15/2021		120,000		122,250
Goodyear Tire & Rubber Co., 5.125%, 11/15/2023		190,000		196,175
Meritor, Inc.:
6.250%, 2/15/2024		270,000		221,319
6.750%, 6/15/2021		152,000		131,480
Tenneco, Inc., 5.375%, 12/15/2024		266,000		276,640
ZF North America Capital, Inc.:
4.500%, 4/29/2022 (6)		200,000		198,000
4.750%, 4/29/2025 (6)		150,000		143,812
				2,023,031
Banks — 1.1%
CIT Group, Inc.:
5.000%, 8/15/2022		491,000		494,069
5.375%, 5/15/2020		52,000		53,820
5.500%, 2/15/2019 (6)		189,000		196,087
				743,976
Beverages — 0.7%
Cott Beverages, Inc.:
5.375%, 7/1/2022		301,000		300,248
6.750%, 1/1/2020		158,000		166,690
				466,938
Building Materials — 2.8%
Builders FirstSource, Inc., 7.625%, 6/1/2021 (6)		347,000		353,940
Building Materials Corp. of America, 6.000%, 10/15/2025 (6)		192,000		196,080
Gibraltar Industries, Inc., 6.250%, 2/1/2021		334,000		337,340
Louisiana-Pacific Corp., 7.500%, 6/1/2020		439,000		456,560
Norbord, Inc., 6.250%, 4/15/2023 (6)		289,000		278,524
Vulcan Materials Co., 7.500%, 6/15/2021		259,000		301,087
				1,923,531
Chemicals — 1.5%
Blue Cube Spinco, Inc., 9.750%, 10/15/2023 (6)		477,000		533,048
Chemtura Corp., 5.750%, 7/15/2021		260,000		257,400
PolyOne Corp., 5.250%, 3/15/2023		270,000		270,842
				1,061,290
Commercial Services — 5.9%
ADT Corp.:
3.500%, 7/15/2022		85,000		71,613
6.250%, 10/15/2021		274,000		268,520
Ashtead Capital, Inc., 6.500%, 7/15/2022 (6)		200,000		206,500
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (6)		235,000		208,856
Deluxe Corp., 6.000%, 11/15/2020		218,000		226,992
FTI Consulting, Inc., 6.000%, 11/15/2022		68,000		70,465

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services (continued)
Great Lakes Dredge & Dock Corp., 7.375%, 2/1/2019	$	213,000	$	199,688
Hertz Corp.:
6.750%, 4/15/2019		63,000		63,007
7.500%, 10/15/2018		500,000		507,500
Live Nation Entertainment, Inc., 7.000%, 9/1/2020 (6)		494,000		520,552
Rent-A-Center, Inc.:
4.750%, 5/1/2021		50,000		33,875
6.625%, 11/15/2020		340,000		283,900
RR Donnelley & Sons Co., 7.000%, 2/15/2022		272,000		230,180
Service Corp. International:
5.375%, 1/15/2022		192,000		201,600
5.375%, 5/15/2024		329,000		351,619
Sotheby’s, 5.250%, 10/1/2022 (6)		296,000		262,700
United Rentals North America, Inc.:
5.500%, 7/15/2025		132,000		125,730
6.125%, 6/15/2023		128,000		131,905
7.625%, 4/15/2022		55,000		58,747
8.250%, 2/1/2021		29,000		30,595
				4,054,544
Computers — 0.3%
IHS, Inc., 5.000%, 11/1/2022		218,000		226,448
Cosmetics/Personal Care — 0.4%
Revlon Consumer Products Corp., 5.750%, 2/15/2021		267,000		269,003
Distribution/Wholesale — 0.3%
Univar USA, Inc., 6.750%, 7/15/2023 (6)		206,000		178,190
Diversified Financial Services — 3.6%
AerCap Ireland Capital, Ltd., 4.625%, 7/1/2022		300,000		301,500
Aircastle, Ltd.:
6.250%, 12/1/2019		74,000		78,536
7.625%, 4/15/2020		185,000		203,269
Ally Financial, Inc.:
3.750%, 11/18/2019		233,000		229,505
4.625%, 5/19/2022		171,000		171,214
4.625%, 3/30/2025		115,000		111,981
5.750%, 11/20/2025		179,000		174,301
CoreLogic, Inc., 7.250%, 6/1/2021		250,000		260,938
Fly Leasing, Ltd., 6.750%, 12/15/2020		400,000		385,500
International Lease Finance Corp.:
4.625%, 4/15/2021		225,000		227,813
5.875%, 8/15/2022		325,000		346,937
				2,491,494
Electric — 1.2%
AES Corp., 7.375%, 7/1/2021		42,000		43,995
Calpine Corp.:
5.375%, 1/15/2023		282,000		264,375
5.750%, 1/15/2025		10,000		9,037
5.875%, 1/15/2024 (6)		164,000		167,690
NRG Energy, Inc., 6.625%, 3/15/2023		446,000		379,100
				864,197
Electrical Components & Equipment — 1.6%
Anixter, Inc., 5.500%, 3/1/2023 (6)		300,000		288,750
Belden, Inc., 5.500%, 9/1/2022 (6)		419,000		406,430
General Cable Corp., 5.750%, 10/1/2022		78,000		57,135

(See Notes which are an integral part of the Financial Statements)

66

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Electrical Components & Equipment (continued)
WESCO Distribution, Inc., 5.375%, 12/15/2021	$	340,000	$	322,150
				1,074,465
Engineering & Construction — 0.2%
MasTec, Inc., 4.875%, 3/15/2023		190,000		161,025
Entertainment — 3.5%
AMC Entertainment, Inc., 5.875%, 2/15/2022		271,000		281,840
Cinemark USA, Inc.:
4.875%, 6/1/2023		160,000		160,600
7.375%, 6/15/2021		200,000		210,250
DreamWorks Animation SKG, Inc., 6.875%, 8/15/2020 (6)		253,000		255,530
National CineMedia LLC, 7.875%, 7/15/2021		502,000		523,335
Penn National Gaming, Inc., 5.875%, 11/1/2021		381,000		372,664
Regal Entertainment Group:
5.750%, 3/15/2022		170,000		172,550
5.750%, 2/1/2025		268,000		260,965
Speedway Motorsports, Inc., 5.125%, 2/1/2023		200,000		202,000
				2,439,734
Environmental Control — 1.0%
Clean Harbors, Inc., 5.125%, 6/1/2021		350,000		348,687
Covanta Holding Corp., 5.875%, 3/1/2024		394,000		340,810
				689,497
Food — 2.4%
Darling Ingredients, Inc., 5.375%, 1/15/2022		385,000		380,669
Dean Foods Co., 6.500%, 3/15/2023 (6)		267,000		281,602
Dean Holding Co., 6.900%, 10/15/2017		300,000		316,500
JBS USA LLC:
7.250%, 6/1/2021 (6)		163,000		158,517
8.250%, 2/1/2020 (6)		184,000		185,472
Post Holdings, Inc.:
6.750%, 12/1/2021 (6)		200,000		212,750
7.375%, 2/15/2022		40,000		42,550
TreeHouse Foods, Inc., 4.875%, 3/15/2022		100,000		103,980
				1,682,040
Food Service — 0.5%
ARAMARK Services, Inc.:
5.125%, 1/15/2024 (6)		63,000		66,150
5.750%, 3/15/2020		269,000		278,247
				344,397
Forest Products & Paper — 0.9%
P.H. Glatfelter Co., 5.375%, 10/15/2020		118,000		116,820
Sappi Papier Holding GmbH:
6.625%, 4/15/2021 (6)		200,000		203,500
7.750%, 7/15/2017 (6)		300,000		312,750
				633,070

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Gas — 0.4%
AmeriGas Partners LP, 6.500%, 5/20/2021	$	250,000	$	250,625
Healthcare-Products — 1.0%
Alere, Inc., 6.500%, 6/15/2020		243,000		252,720
Hanger, Inc., 9.125%, 11/15/2018		139,000		111,895
Hill-Rom Holdings, Inc., 5.750%, 9/1/2023 (6)		160,000		165,200
Teleflex, Inc., 5.250%, 6/15/2024		161,000		163,817
				693,632
Healthcare-Services — 6.2%
Acadia Healthcare Co., Inc.:
5.125%, 7/1/2022		31,000		30,892
6.125%, 3/15/2021		253,000		260,590
Amsurg Corp., 5.625%, 7/15/2022		350,000		361,812
Centene Corp., 4.750%, 5/15/2022		274,000		277,425
CHS/Community Health Systems, Inc.:
6.875%, 2/1/2022		411,000		354,487
8.000%, 11/15/2019		150,000		142,500
DaVita HealthCare Partners, Inc., 5.000%, 5/1/2025		212,000		212,000
Fresenius Medical Care U.S. Finance II, Inc., 4.750%, 10/15/2024 (6)		178,000		182,806
HCA, Inc.:
5.875%, 5/1/2023		265,000		279,575
7.500%, 2/15/2022		225,000		255,330
HealthSouth Corp.:
5.125%, 3/15/2023		100,000		99,000
5.750%, 11/1/2024		368,000		373,520
Kindred Healthcare, Inc.:
6.375%, 4/15/2022		370,000		303,863
8.750%, 1/15/2023		20,000		18,025
LifePoint Hospitals, Inc., 5.500%, 12/1/2021		319,000		330,165
MEDNAX, Inc., 5.250%, 12/1/2023 (6)		63,000		65,441
Select Medical Corp., 6.375%, 6/1/2021		346,000		313,130
Tenet Healthcare Corp.:
6.750%, 2/1/2020		154,000		148,610
6.750%, 6/15/2023		100,000		91,125
8.000%, 8/1/2020		185,000		187,775
				4,288,071
Holding Companies-Diversified — 0.5%
Argos Merger Sub, Inc., 7.125%, 3/15/2023 (6)		359,000		367,975
Home Builders — 2.7%
Brookfield Residential Properties, Inc., 6.125%, 7/1/2022 (6)		215,000		180,600
KB Home:
7.500%, 9/15/2022		94,000		89,535
8.000%, 3/15/2020		76,000		76,760
Lennar Corp., 4.875%, 12/15/2023		354,000		346,920
Meritage Homes Corp., 7.150%, 4/15/2020		76,000		79,420
Ryland Group, Inc., 6.625%, 5/1/2020		263,000		284,040
Taylor Morrison Communities, Inc.:
5.250%, 4/15/2021 (6)		170,000		158,950
5.875%, 4/15/2023 (6)		185,000		171,125
Toll Brothers Finance Corp., 4.875%, 11/15/2025		260,000		252,850

(See Notes which are an integral part of the Financial Statements)

67

February 29, 2016 (Unaudited)

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Home Builders (continued)
TRI Pointe Holdings, Inc.:
4.375%, 6/15/2019	$	119,000	$	115,430
5.875%, 6/15/2024		90,000		85,950
				1,841,580
Home Furnishings — 0.7%
Tempur Sealy International, Inc.:
5.625%, 10/15/2023 (6)		53,000		54,060
6.875%, 12/15/2020		409,000		432,722
				486,782
Household Products/Wares — 1.2%
ACCO Brands Corp., 6.750%, 4/30/2020		476,000		505,750
Central Garden & Pet Co., 6.125%, 11/15/2023		243,000		249,075
Jarden Corp., 5.000%, 11/15/2023 (6)		28,000		29,120
Spectrum Brands, Inc., 6.375%, 11/15/2020		28,000		29,645
				813,590
Internet — 0.8%
Expedia, Inc., 5.000%, 2/15/2026 (6)		188,000		179,455
Netflix, Inc., 5.375%, 2/1/2021		355,000		382,513
				561,968
Iron/Steel — 0.5%
Commercial Metals Co., 4.875%, 5/15/2023		149,000		128,885
Steel Dynamics, Inc., 6.375%, 8/15/2022		211,000		212,055
				340,940
Leisure Time — 0.8%
Brunswick Corp.:
4.625%, 5/15/2021 (6)		119,000		119,893
7.375%, 9/1/2023		202,000		218,160
NCL Corp., Ltd., 4.625%, 11/15/2020 (6)		200,000		195,500
				533,553
Lodging — 0.8%
MGM Resorts International:
6.625%, 12/15/2021		165,000		176,137
6.750%, 10/1/2020		234,000		251,550
8.625%, 2/1/2019		109,000		123,988
				551,675
Machinery-Construction & Mining — 0.4%
Terex Corp., 6.000%, 5/15/2021		264,000		250,800
Media — 8.5%
Block Communications, Inc., 7.250%, 2/1/2020 (6)		375,000		367,500
CCO Holdings LLC:
5.125%, 2/15/2023		100,000		99,500
5.125%, 5/1/2023 (6)		127,000		126,365
5.250%, 3/15/2021		75,000		78,188
5.375%, 5/1/2025 (6)		118,000		117,115
5.875%, 4/1/2024 (6)		186,000		190,418
7.375%, 6/1/2020		180,000		187,740
CCOH Safari LLC, 5.750%, 2/15/2026 (6)		90,000		90,462

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
Cequel Communications Holdings I LLC:
5.125%, 12/15/2021 (6)	$	160,000	$	147,400
5.125%, 12/15/2021 (6)		121,000		111,471
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		195,000		172,331
CSC Holdings LLC, 6.750%, 11/15/2021		448,000		455,840
Gray Television, Inc., 7.500%, 10/1/2020		362,000		381,910
Nexstar Broadcasting, Inc.:
6.125%, 2/15/2022 (6)		61,000		58,713
6.875%, 11/15/2020		441,000		449,269
Nielsen Finance LLC, 5.000%, 4/15/2022 (6)		362,000		367,882
Numericable-SFR SAS, 6.000%, 5/15/2022 (6)		700,000		696,500
Sinclair Television Group, Inc, 6.375%, 11/1/2021		164,000		170,970
Sirius XM Radio, Inc.:
5.875%, 10/1/2020 (6)		235,000		246,162
6.000%, 7/15/2024 (6)		176,000		185,240
Tribune Media Co., 5.875%, 7/15/2022 (6)		509,000		510,272
UPCB Finance IV, Ltd., 5.375%, 1/15/2025 (6)		200,000		199,000
Virgin Media Finance PLC, 6.375%, 4/15/2023 (6)		420,000		439,425
				5,849,673
Mining — 0.7%
FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/2022 (6)		380,000		273,600
Hecla Mining Co., 6.875%, 5/1/2021		234,000		180,180
				453,780
Miscellaneous Manufacturing — 1.1%
Koppers, Inc., 7.875%, 12/1/2019		359,000		354,512
Trinseo Materials Operating SCA, 6.750%, 5/1/2022 (6)		400,000		377,000
				731,512
Oil & Gas — 2.9%
Antero Resources Corp.:
5.125%, 12/1/2022		371,000		318,132
5.375%, 11/1/2021		248,000		215,760
CITGO Petroleum Corp., 6.250%, 8/15/2022 (6)		120,000		111,600
Concho Resources, Inc., 5.500%, 10/1/2022		193,000		179,852
Gulfport Energy Corp.:
6.625%, 5/1/2023		275,000		234,438
7.750%, 11/1/2020		50,000		47,250
Northern Tier Energy LLC, 7.125%, 11/15/2020		241,000		225,335
PBF Holding Co. LLC, 8.250%, 2/15/2020		343,000		348,402
QEP Resources, Inc., 5.250%, 5/1/2023		400,000		282,000
Unit Corp., 6.625%, 5/15/2021		117,000		55,575
				2,018,344
Oil & Gas Services — 0.8%
Era Group, Inc., 7.750%, 12/15/2022		288,000		221,040
Exterran Partners LP, 6.000%, 4/1/2021		177,000		116,378

(See Notes which are an integral part of the Financial Statements)

68

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas Services (continued)
Petroleum Geo-Services ASA, 7.375%, 12/15/2018 (6)	$	200,000	$	125,000
PHI, Inc., 5.250%, 3/15/2019		95,000		78,375
				540,793
Packaging & Containers — 2.9%
AEP Industries, Inc., 8.250%, 4/15/2019		292,000		299,300
Albea Beauty Holdings SA, 8.375%, 11/1/2019 (6)		292,000		306,235
Ardagh Packaging Finance PLC:
6.750%, 1/31/2021 (6)		300,000		283,125
7.000%, 11/15/2020 (6)		70,588		66,000
Ball Corp., 4.375%, 12/15/2020		250,000		261,719
Berry Plastics Corp.:
5.125%, 7/15/2023		200,000		200,500
6.000%, 10/15/2022 (6)		145,000		151,525
Coveris Holdings SA, 7.875%, 11/1/2019 (6)		250,000		200,000
Owens-Brockway Glass Container, Inc., 5.000%, 1/15/2022 (6)		263,000		261,356
				2,029,760
Pharmaceuticals — 0.5%
Endo Finance LLC:
5.750%, 1/15/2022 (6)		20,000		20,300
5.875%, 1/15/2023 (6)		92,000		92,000
7.750%, 1/15/2022 (6)		200,000		208,500
				320,800
Pipelines — 2.7%
Genesis Energy LP, 5.750%, 2/15/2021		230,000		190,900
Holly Energy Partners LP, 6.500%, 3/1/2020		382,000		362,900
Martin Midstream Partners LP, 7.250%, 2/15/2021		312,000		251,160
MPLX LP, 5.500%, 2/15/2023 (6)		216,000		193,050
Sabine Pass Liquefaction LLC:
5.750%, 5/15/2024		180,000		166,612
6.250%, 3/15/2022		390,000		373,425
SemGroup Corp., 7.500%, 6/15/2021		207,000		157,837
Targa Resources Partners LP, 6.625%, 10/1/2020 (6)		200,000		178,000
				1,873,884
Real Estate Investment Trusts — 3.7%
Equinix, Inc.:
5.750%, 1/1/2025		278,000		289,120
5.875%, 1/15/2026		37,000		38,758
ESH Hospitality, Inc., 5.250%, 5/1/2025 (6)		372,000		362,700
GEO Group, Inc.:
5.125%, 4/1/2023		130,000		124,800
5.875%, 10/15/2024		228,000		225,150
Iron Mountain, Inc., 6.000%, 10/1/2020 (6)		39,000		41,438
iStar, Inc., 7.125%, 2/15/2018		340,000		337,875
MPT Operating Partnership LP:
6.375%, 2/15/2022		159,000		164,366
6.875%, 5/1/2021		298,000		312,155
Potlatch Corp., 7.500%, 11/1/2019		337,000		356,377

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Real Estate Investment Trusts (continued)
RHP Hotel Properties LP, 5.000%, 4/15/2023	$	274,000	$	274,685
				2,527,424
Retail — 3.8%
1011778 BC ULC/New Red Finance, Inc., 4.625%, 1/15/2022 (6)		147,000		149,940
AmeriGas Finance LLC, 7.000%, 5/20/2022		8,000		8,250
Asbury Automotive Group, Inc.:
6.000%, 12/15/2024 (6)		35,000		34,825
6.000%, 12/15/2024		348,000		346,260
Ferrellgas LP, 6.750%, 1/15/2022		250,000		181,250
JC Penney Corp., Inc.:
5.650%, 6/1/2020		205,000		188,600
8.125%, 10/1/2019		90,000		91,575
L Brands, Inc.:
5.625%, 10/15/2023		286,000		306,020
6.875%, 11/1/2035 (6)		37,000		39,451
Party City Holdings, Inc., 6.125%, 8/15/2023 (6)		274,000		269,890
Penske Automotive Group, Inc., 5.750%, 10/1/2022		287,000		288,435
Rite Aid Corp., 6.125%, 4/1/2023 (6)		333,000		356,726
Sonic Automotive, Inc.:
5.000%, 5/15/2023		200,000		190,000
7.000%, 7/15/2022		161,000		168,245
				2,619,467
Semiconductors — 0.3%
Amkor Technology, Inc., 6.375%, 10/1/2022		228,000		206,625
Shipbuilding — 0.3%
Huntington Ingalls Industries, Inc., 5.000%, 11/15/2025 (6)		177,000		185,960
Software — 1.7%
ACI Worldwide, Inc., 6.375%, 8/15/2020 (6)		336,000		344,400
Audatex North America, Inc., 6.125%, 11/1/2023 (6)		150,000		152,062
First Data Corp.:
5.750%, 1/15/2024 (6)		96,000		96,840
7.000%, 12/1/2023 (6)		330,000		330,825
MSCI, Inc.:
5.250%, 11/15/2024 (6)		176,000		186,780
5.750%, 8/15/2025 (6)		40,000		43,350
				1,154,257
Storage/Warehousing — 0.4%
Mobile Mini, Inc., 7.875%, 12/1/2020		272,000		278,120
Telecommunications — 12.1%
CenturyLink, Inc.:
5.625%, 4/1/2025		120,000		106,050
5.800%, 3/15/2022		442,000		430,950
Cincinnati Bell, Inc., 8.375%, 10/15/2020		507,000		503,197
Cogent Communications Finance, Inc., 5.625%, 4/15/2021 (6)		212,000		201,930
CommScope Technologies Finance LLC, 6.000%, 6/15/2025 (6)		50,000		49,750
CommScope, Inc., 5.500%, 6/15/2024 (6)		308,000		299,915

(See Notes which are an integral part of the Financial Statements)

69

February 29, 2016 (Unaudited)

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Consolidated Communications, Inc., 6.500%, 10/1/2022	$	259,000	$	212,380
CyrusOne LP, 6.375%, 11/15/2022		261,000		266,220
DigitalGlobe, Inc., 5.250%, 2/1/2021 (6)		352,000		308,000
EarthLink, Inc., 7.375%, 6/1/2020		501,000		507,262
FairPoint Communications, Inc., 8.750%, 8/15/2019 (6)		400,000		386,500
Frontier Communications Corp.:
6.875%, 1/15/2025		120,000		101,550
7.125%, 1/15/2023		75,000		65,602
8.875%, 9/15/2020 (6)		35,000		36,269
9.250%, 7/1/2021		389,000		390,459
10.500%, 9/15/2022 (6)		144,000		145,980
11.000%, 9/15/2025 (6)		109,000		109,545
GCI, Inc.:
6.750%, 6/1/2021		164,000		163,180
6.875%, 4/15/2025		279,000		274,118
Hughes Satellite Systems Corp.:
6.500%, 6/15/2019		71,000		78,899
7.625%, 6/15/2021		407,000		442,104
Inmarsat Finance PLC, 4.875%, 5/15/2022 (6)		350,000		344,312
Level 3 Communications, Inc., 5.750%, 12/1/2022		307,000		317,745
Level 3 Financing, Inc., 5.125%, 5/1/2023		388,000		397,215
Sprint Capital Corp., 6.875%, 11/15/2028		200,000		146,000
Sprint Communications, Inc.:
6.000%, 11/15/2022		149,000		105,790
7.000%, 3/1/2020 (6)		308,000		304,150
T-Mobile USA, Inc.:
6.375%, 3/1/2025		140,000		141,925
6.500%, 1/15/2026		36,000		36,661
6.625%, 11/15/2020		330,000		344,850
6.633%, 4/28/2021		280,000		294,000
ViaSat, Inc., 6.875%, 6/15/2020		286,000		297,268
West Corp., 5.375%, 7/15/2022 (6)		303,000		272,321
Windstream Corp.:
6.375%, 8/1/2023		100,000		73,000
7.500%, 4/1/2023		45,000		34,223
7.750%, 10/1/2021		155,000		125,841
7.875%, 11/1/2017		25,000		26,313
				8,341,474
Transportation — 0.5%
XPO Logistics, Inc.:
6.500%, 6/15/2022 (6)		251,000		238,450
7.875%, 9/1/2019 (6)		125,000		129,531
				367,981
Venture Capital — 0.7%
Icahn Enterprises LP, 5.875%, 2/1/2022		545,000		477,556
Total Corporate Bonds & Notes (identified cost $67,377,729)				65,831,900

Description	Shares		Value
Short-Term Investments — 2.9%
Mutual Funds — 2.9%
BMO Prime Money Market Fund — Premier Class, 0.310% (4)		1,982,375	$	1,982,375
Total Short-Term Investments (identified cost $1,982,375)				1,982,375
Total Investments — 98.3% (identified cost $69,360,104)				67,814,275
Other Assets and Liabilities — 1.7%				1,162,217
Total Net Assets — 100.0%			$	68,976,492

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		95.4	%
Other Assets & Liabilities, Net		4.6
Total		100.0	%

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 5.8%
BlackRock Liquidity Funds T-Funds — Institutional Class, 0.171%		20,000,000	$	20,000,000
Premier U.S. Government Money Portfolio — Institutional Class, 0.220%		20,000,000		20,000,000
Total Mutual Funds				40,000,000
Repurchase Agreements — 39.8%
Agreement with Fixed Income Clearing Corp., 0.030%, dated 2/29/2016, to be repurchased at $16,169,179 on 3/1/2016, collateralized by a U.S. Government Treasury Obligation with a maturity of 2/28/2019, with a market value of $16,495,020	$	16,169,165		16,169,165
Agreement with Goldman Sachs Group, Inc., 0.290%, dated 2/29/2016, to be repurchased at $135,001,088 on 3/1/2016, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2046, with a market value of $137,334,365		135,000,000		135,000,000

(See Notes which are an integral part of the Financial Statements)

70

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.310%, dated 2/29/2016, to be repurchased at $100,000,861 on 3/1/2016, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2046, with a market value of $101,847,950	$	100,000,000	$	100,000,000
Agreement with Toronto Dominion Bank, 0.300%, dated 2/29/2016, to be repurchased at $25,000,208 on 3/1/2016, collateralized by a U.S. Government Agency Obligation with a maturity of 10/1/2045, with a market value of $25,426,168		25,000,000		25,000,000
Total Repurchase Agreements				276,169,165
U.S. Government & U.S. Government Agency Obligations — 54.4%
Federal Farm Credit Bank — 4.8%
0.290%, 3/21/2016 (11)		5,500,000		5,499,114
0.300%, 7/7/2016 (11)		9,750,000		9,739,600
0.426%, 12/1/2016 (8)		5,000,000		4,999,336
0.437%, 11/14/2016 (8)		2,992,000		2,992,439
0.448%, 4/6/2016 (8)		5,000,000		5,000,334
0.449%, 10/11/2016 (8)		3,250,000		3,250,618
0.469%, 12/28/2016 (8)		2,000,000		1,999,014
				33,480,455
Federal Home Loan Bank — 28.0%
0.230%, 4/6/2016 (11)		3,250,000		3,249,253
0.270%, 3/1/2016 (11)		8,000,000		8,000,000
0.275%, 3/4/2016 (11)		16,700,000		16,699,617
0.280%, 6/10/2016 (11)		8,000,000		7,993,716
0.298%, 3/2/2016 (11)		10,000,000		9,999,917
0.300%, 3/15/2016 (11)		11,000,000		10,998,717
0.306%, 3/30/2016 (11)		10,000,000		9,997,535
0.310%, 3/23/2016 (11)		10,000,000		9,998,106
0.320%, 3/18/2016		7,500,000		7,500,096
0.350%, 4/4/2016 (11)		3,000,000		2,999,008
0.375%, 6/24/2016		5,000,000		5,000,452
0.375%, 7/22/2016		7,500,000		7,499,230
0.394%, 8/24/2016 (8)		5,000,000		5,000,000
0.398%, 3/8/2016 (8)		5,000,000		4,999,998
0.404%, 9/9/2016 (8)		5,000,000		4,999,869
0.420%, 7/6/2016 (8)		5,000,000		4,999,369
0.454%, 7/26/2016 (8)		5,000,000		4,999,973
0.484%, 10/26/2016 (8)		5,000,000		4,999,687
0.487%, 7/13/2016 (8)		6,000,000		6,000,000
0.500%, 7/22/2016 (11)		3,000,000		2,994,042
0.510%, 10/19/2016 (8)		5,000,000		4,999,842
0.515%, 8/26/2016 (8)		10,000,000		9,999,879
0.533%, 5/20/2016 (8)		7,500,000		7,500,000
0.541%, 10/28/2016 (8)		5,000,000		5,000,000
0.559%, 2/7/2017 (8)		5,000,000		4,999,863
0.573%, 7/8/2016 (11)		3,000,000		2,993,885
0.580%, 9/21/2016		10,000,000		10,000,418

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
0.580%, 8/9/2017 (8)	$	5,000,000	$	4,999,622
5.375%, 5/18/2016		5,000,000		5,053,833
				194,475,927
Federal Home Loan Mortgage Corporation — 9.5%
0.210%, 4/15/2016 (11)		10,000,000		9,997,375
0.270%, 3/21/2016 (11)		12,000,000		11,998,200
0.330%, 4/4/2016 (11)		6,700,000		6,697,912
0.374%, 8/17/2016 (8)		10,000,000		10,000,000
0.479%, 4/27/2017 (8)		10,000,000		9,997,629
0.500%, 5/13/2016		7,500,000		7,502,655
2.000%, 8/25/2016		10,000,000		10,076,817
				66,270,588
Federal National Mortgage Association — 10.9%
0.225%, 4/25/2016 (11)		10,000,000		9,996,562
0.240%, 3/21/2016 (11)		10,000,000		9,998,667
0.250%, 4/1/2016 (11)		10,000,000		9,997,847
0.280%, 3/2/2016 (11)		3,700,000		3,699,971
0.280%, 3/14/2016 (11)		9,000,000		8,999,090
0.438%, 9/8/2017 (8)		3,000,000		2,994,450
0.514%, 10/21/2016 (8)		10,000,000		9,999,286
2.250%, 3/15/2016		15,000,000		15,011,926
2.375%, 4/11/2016		5,000,000		5,011,613
				75,709,412
Overseas Private Investment Corporation — 1.2%
0.420%, 9/15/2020 (8)(15)		8,000,000		8,000,000
Total U.S. Government & U.S. Government Agency Obligations				377,936,382
Total Investments — 100.0% (at amortized cost)				694,105,547
Other Assets and Liabilities — 0.0%				257,638
Total Net Assets — 100.0%			$	694,363,185

Portfolio Sector Allocation*
Sector	Fund
Mutual Funds		5.8	%
Repurchase Agreements		39.8
U.S. Government & U.S. Government Agency Obligations		54.4
Total		100.0	%

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 96.1%
Alabama — 3.3%
Chatom Industrial Development Board:
0.850%, 12/1/2024 (8)	$	8,000,000	$	8,000,000
1.000%, 8/1/2037 (8)		14,400,000		14,400,000
				22,400,000
Arizona — 0.3%
Casa Grande Industrial Development Authority, 0.010%, 6/15/2031 (8)		2,010,000		2,010,000

(See Notes which are an integral part of the Financial Statements)

71

February 29, 2016 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Arkansas — 0.8%
Little Rock Metrocentere Improvement District No. 1, 0.020%, 12/1/2025 (8)	$	5,700,000	$	5,700,000
California — 1.6%
State of California, 0.070%, 3/1/2035 (6)(8)		10,750,000		10,750,000
Colorado — 1.5%
Colorado Health Facilities Authority, 0.060%, 1/1/2035 (8)		10,300,000		10,300,000
Connecticut — 3.0%
State of Connecticut, 0.130%, 1/1/2017 (8)		20,500,000		20,500,000
Florida — 13.1%
City of West Palm Beach, 0.040%, 10/1/2038 (8)		27,500,000		27,500,000
County of Brevard, 0.170%, 10/1/2019 (8)		1,100,000		1,100,000
County of St. Lucie, 0.010%, 9/1/2028 (8)		13,000,000		13,000,000
Eclipse Funding Trust, 0.010%, 4/1/2037 (6)(8)		2,300,000		2,300,000
Highlands County Health Facilities Authority:
0.010%, 11/15/2037 (8)		8,100,000		8,100,000
0.020%, 11/15/2032 (6)(8)		9,375,000		9,375,000
Jacksonville Pollution Control, 0.100%, 3/16/2016		20,000,000		20,000,000
Tender Option Bond Trust Receipts/Certificates, 0.110%, 11/1/2027 (6)(8)		7,400,000		7,400,000
				88,775,000
Georgia — 0.2%
Columbia County Development Authority, 0.120%, 8/1/2018 (8)		1,000,000		1,000,000
Illinois — 2.9%
Illinois Finance Authority:
0.010%, 8/1/2043 (8)		5,725,000		5,725,000
0.020%, 4/1/2031 (8)		3,300,000		3,300,000
Jackson-Union Counties Regional Port District, 0.040%, 4/1/2024 (8)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 0.030%, 4/1/2020 (8)		8,075,000		8,075,000
				19,500,000
Indiana — 3.4%
Barclays Capital Municipal Trust Receipts, 0.190%, 4/1/2030 (6)(8)		7,770,000		7,770,000
Eclipse Funding Trust, 0.080%, 7/15/2024 (6)(8)		15,435,000		15,435,000
				23,205,000
Iowa — 5.5%
City of Urbandale, 0.010%, 5/1/2017 (8)		5,000,000		5,000,000
Iowa Finance Authority:
0.030%, 3/1/2022 (8)		1,175,000		1,175,000
0.040%, 9/1/2036 (8)		3,200,000		3,200,000

Description	Principal Amount		Value
Municipals (continued)
Iowa (continued)
0.060%, 12/1/2042 (8)	$	10,000,000	$	10,000,000
Rib Floater Trust Various States, 0.160%, 1/1/2019 (6)(8)		18,000,000		18,000,000
				37,375,000
Kentucky — 3.3%
Hardin County Water District No. 1, 0.020%, 9/1/2022 (8)		2,070,000		2,070,000
Kentucky Area Development Districts, 0.080%, 6/1/2033 (8)		8,610,000		8,610,000
Kentucky Economic Development Finance Authority, 0.020%, 5/1/2034 (8)		12,000,000		12,000,000
				22,680,000
Louisiana — 2.4%
Louisiana Public Facilities Authority:
0.010%, 12/1/2040 (8)		2,300,000		2,300,000
0.010%, 12/1/2040 (8)		4,700,000		4,700,000
Parish of St. James, 0.120%, 11/1/2039 (8)		9,000,000		9,000,000
				16,000,000
Massachusetts — 0.9%
Massachusetts Health & Educational Facilities Authority, 0.010%, 7/1/2026 (8)		6,300,000		6,300,000
Michigan — 2.8%
Michigan Higher Education Facilities Authority, 0.070%, 5/1/2031 (8)		4,305,000		4,305,000
Michigan Strategic Fund:
0.060%, 6/1/2039 (8)		725,000		725,000
0.110%, 12/1/2030 (8)		2,225,000		2,225,000
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6)(8)		12,000,000		12,000,000
				19,255,000
Minnesota — 0.3%
City of Ramsey, 0.130%, 12/1/2023 (8)		2,300,000		2,300,000
Mississippi — 3.1%
Mississippi Business Finance Corp.:
0.010%, 12/1/2030 (8)		5,000,000		5,000,000
0.400%, 5/1/2037 (8)		15,898,000		15,898,000
				20,898,000
Missouri — 0.9%
Greene County Industrial Development Authority, 0.050%, 5/1/2039 (8)		1,085,000		1,085,000
Missouri State Health & Educational Facilities Authority, 0.010%, 10/1/2035 (8)		4,860,000		4,860,000
				5,945,000
Nebraska — 0.4%
Nebraska Investment Finance Authority, 0.040%, 9/1/2031 (8)		600,000		600,000

(See Notes which are an integral part of the Financial Statements)

72

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Nebraska (continued)
Saline County Hospital Authority No. 1, 0.010%, 6/1/2031 (8)	$	1,830,000	$	1,830,000
				2,430,000
New Hampshire — 3.7%
New Hampshire Business Finance Authority, 0.050%, 9/1/2030 (8)		24,990,000		24,990,000
New Mexico — 2.1%
Eclipse Funding Trust, 0.080%, 5/15/2032 (6)(8)		14,485,000		14,485,000
New York — 5.1%
City of Ithaca, 1.500%, 7/29/2016		5,408,306		5,422,573
Metropolitan Transportation Authority, 0.010%, 11/1/2035 (8)		9,000,000		9,000,000
Owego Apalachin Central School District:
1.500%, 10/28/2016		2,600,000		2,615,210
2.000%, 2/24/2017		11,912,173		12,047,257
Tender Option Bond Trust Receipts/Certificates, 0.020%, 3/1/2017 (6)(8)		5,600,000		5,600,000
				34,685,040
Ohio — 0.3%
Port of Greater Cincinnati Development Authority:
0.170%, 11/1/2023 (8)		1,885,000		1,885,000
0.170%, 11/1/2025 (8)		350,000		350,000
				2,235,000
Oregon — 0.7%
JPMorgan Chase Putters/Drivers Trust, 0.020%, 5/15/2021 (6)(8)		5,000,000		5,000,000
Pennsylvania — 3.0%
Barclays Capital Municipal Trust Receipts, 0.030%, 8/1/2038 (6)(8)		11,605,000		11,605,000
Hospitals & Higher Education Facilities Authority of Philadelphia, 0.010%, 7/1/2041 (8)		9,120,000		9,120,000
				20,725,000
South Carolina — 0.7%
South Carolina Jobs-Economic Development Authority, 0.030%, 6/1/2030 (8)		5,000,000		5,000,000
South Dakota — 1.9%
South Dakota Housing Development Authority:
0.090%, 5/1/2048 (8)		6,835,000		6,835,000
0.090%, 11/1/2048 (8)		6,355,000		6,355,000
				13,190,000
Texas — 4.3%
Dallam County Industrial Development Corp., 0.030%, 5/1/2039 (8)		2,800,000		2,800,000

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
Eclipse Funding Trust, 0.040%, 12/15/2031 (8)	$	3,125,000	$	3,125,000
Mission Economic Development Corp., 0.070%, 4/1/2022 (8)		11,000,000		11,000,000
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6)(8)		12,000,000		12,000,000
				28,925,000
Vermont — 0.4%
Vermont Educational & Health Buildings Financing Agency, 0.010%, 10/1/2029 (8)		2,725,000		2,725,000
Virginia — 1.4%
Barclays Capital Municipal Trust Receipts, 0.090%, 2/1/2028 (6)(8)		3,335,000		3,335,000
JPMorgan Chase Putters/Drivers Trust, 0.020%, 11/1/2019 (6)(8)		5,000,000		5,000,000
Lynchburg Industrial Development Authority, 0.010%, 1/1/2028 (8)		1,195,000		1,195,000
				9,530,000
Washington — 4.8%
Barclays Capital Municipal Trust Receipts:
0.140%, 6/1/2034 (6)(8)		11,320,000		11,320,000
0.140%, 6/1/2039 (6)(8)		16,870,000		16,870,000
Seattle Housing Authority, 0.170%, 6/1/2040 (8)		1,000,000		1,000,000
Washington State Housing Finance Commission, 0.120%, 7/1/2028 (8)		3,110,000		3,110,000
				32,300,000
West Virginia — 0.2%
Charleston Building Commission, 0.130%, 12/1/2016 (8)		1,095,000		1,095,000
Wisconsin — 14.0%
Cedarburg School District, 1.000%, 3/30/2016		2,000,000		2,000,909
City of Hartford, 2.250%, 7/1/2016		4,875,000		4,903,479
City of Milwaukee, 0.260%, 2/15/2032 (8)		30,000,000		30,000,000
East Troy Community School District, 2.500%, 4/5/2016		2,350,000		2,354,510
Eau Claire Area School District, 1.000%, 8/24/2016		7,000,000		7,013,738
Maple School District, 2.000%, 10/26/2016		1,750,000		1,763,032
Necedah Area School District, 2.000%, 5/24/2016 (9)		1,725,000		1,730,330
Shorewood School District, 1.000%, 6/23/2016		2,000,000		2,002,604
Two Rivers Public School District, 2.000%, 9/30/2016		3,500,000		3,525,237
Village of Ashwaubenon, 2.000%, 11/15/2016		2,375,000		2,380,122

(See Notes which are an integral part of the Financial Statements)

73

February 29, 2016 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority:
0.030%, 5/1/2030(8)	$	2,100,000	$	2,100,000
0.120%, 8/15/2034 (6)(8)		4,500,000		4,500,000
0.120%, 8/15/2034 (6)(8)		25,754,260		25,754,260
Wisconsin Housing & Economic Development Authority, 0.020%, 3/1/2031 (8)		5,500,000		5,500,000
				95,528,221
Wyoming — 3.8%
County of Uinta, 0.010%, 8/15/2020 (8)		25,905,000		25,905,000
Total Municipals				653,641,261
Mutual Funds — 6.3%
Federated Tax-Free Obligations Money Market Fund — Institutional Class, 0.010%		15,316,138		15,316,138
Goldman Sachs Financial Square Tax-Free Money Market Fund — Institutional Class, 0.010%		27,569,077		27,569,077
Total Mutual Funds				42,885,215
Total Investments — 102.4% (at amortized cost)				696,526,476
Other Assets and Liabilities — (2.4)%				(16,187,843	)
Total Net Assets — 100.0%			$	680,338,633

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—12.5%
School District		3.5	%
State or Local		9.0
Revenue Bonds—83.6%
Appropriation		17.3
Education		6.5
General Revenue		5.4
Healthcare		11.6
Housing		4.5
Industrial Revenue		9.0
Power		1.9
Special Tax		12.6
Transportation		2.8
Water & Sewer		12.0
Other Assets & Liabilities, Net		3.9
Total		100.0	%

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 16.4%
Banks — 11.3%
Bank of Nova Scotia/Houston:
0.570%, 3/23/2016 (8)	$	15,000,000	$	15,000,000
0.610%, 7/18/2016 (8)		25,000,000		25,000,000
0.718%, 5/12/2016 (8)		17,500,000		17,500,000
0.810%, 5/9/2016 (8)		13,500,000		13,501,150
Chase Bank USA NA, 0.779%, 10/17/2016 (8)		20,000,000		20,000,000
HSBC Bank USA NA:
0.589%, 3/4/2016 (8)		25,000,000		25,000,000
0.608%, 6/8/2016 (8)		25,000,000		25,000,000
0.625%, 6/2/2016 (8)		20,000,000		20,000,000
State Street Bank:
0.621%, 4/28/2016 (8)		25,000,000		25,000,000
0.631%, 4/15/2016 (8)		20,000,000		20,000,000
Toronto Dominion Bank:
0.642%, 4/4/2016 (8)		35,000,000		35,000,000
0.870%, 10/17/2016 (8)		25,000,000		25,000,000
U.S. Bank NA Cincinnati, 0.730%, 7/20/2016 (8)		20,000,000		20,000,000
Wells Fargo Bank NA:
0.609%, 5/9/2016 (8)		15,000,000		15,000,000
0.652%, 5/20/2016 (8)		17,000,000		17,000,000
0.652%, 6/1/2016 (8)		17,500,000		17,500,000
0.660%, 4/8/2016 (8)		25,000,000		25,000,000
0.670%, 7/5/2016 (8)		20,000,000		20,000,000
0.790%, 7/12/2016 (8)		15,000,000		15,000,000
0.870%, 10/13/2016 (8)		20,000,000		19,999,498
				415,500,648
European Time Deposit — 5.1%
DNB NOR Bank ASA Cayman, 0.260%, 3/1/2016		50,000,000		50,000,000
Svenska Handelsbanken, Inc., 0.270%, 3/1/2016		140,000,000		140,000,000
				190,000,000
Total Certificates of Deposit				605,500,648
Commercial Paper — 66.3%
Asset-Backed Securities — 32.6%
Atlantic Asset Securitization LLC:
0.360%, 3/1/2016 (6)(11)		51,177,000		51,177,000
0.380%, 3/7/2016 (6)(11)		15,000,000		14,999,050
0.460%, 3/17/2016 (6)(11)		20,000,000		19,995,911
0.480%, 3/18/2016 (6)(11)		30,000,000		29,993,200
0.650%, 5/19/2016 (6)(11)		18,725,000		18,698,291
Chariot Funding LLC:
0.662%, 7/20/2016 (6)(8)		15,000,000		15,000,000
0.797%, 10/3/2016 (6)(8)		17,000,000		17,000,000
Gotham Funding Corp.:
0.470%, 3/1/2016 (6)(11)		9,750,000		9,750,000
0.470%, 3/3/2016 (6)(11)		10,799,000		10,798,718
0.520%, 3/28/2016 (6)(11)		20,000,000		19,992,200
Jupiter Securitization Corp., 0.662%, 7/21/2016 (6)(8)		20,000,000		20,000,000
Kells Funding LLC:
0.380%, 3/1/2016 (6)(11)		14,000,000		14,000,000
0.400%, 3/10/2016 (6)(11)		25,000,000		24,997,500
0.410%, 3/15/2016 (6)(11)		20,000,000		19,996,811
0.430%, 3/14/2016 (6)(11)		22,000,000		21,996,584
0.590%, 4/20/2016 (6)(11)		20,000,000		19,983,611
0.610%, 5/23/2016 (6)(11)		20,000,000		19,971,872
Legacy Capital LLC:
0.520%, 3/2/2016 (6)(11)		20,000,000		19,999,711
0.620%, 3/14/2016 (6)(11)		13,277,000		13,274,027

(See Notes which are an integral part of the Financial Statements)

74

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
0.650%, 4/11/2016 (6)(11)	$	20,000,000	$	19,985,194
0.650%, 4/20/2016 (6)(11)		7,000,000		6,993,681
Liberty Street Funding LLC:
0.400%, 3/7/2016 (6)(11)		19,000,000		18,998,733
0.470%, 4/18/2016 (6)(11)		18,000,000		17,988,720
0.620%, 4/4/2016 (6)(11)		20,000,000		19,988,289
Manhattan Asset Funding Co.:
0.420%, 3/3/2016 (6)(11)		10,165,000		10,164,763
0.460%, 3/18/2016 (6)(11)		15,000,000		14,996,742
0.480%, 3/24/2016 (6)(11)		20,000,000		19,993,867
0.490%, 3/21/2016 (6)(11)		20,000,000		19,994,556
0.510%, 3/28/2016 (6)(11)		10,000,000		9,996,175
0.510%, 4/8/2016 (6)(11)		15,000,000		14,991,925
0.520%, 4/12/2016 (6)(11)		16,659,000		16,648,894
0.540%, 3/11/2016 (6)(11)		20,000,000		19,997,000
0.660%, 4/20/2016 (6)(11)		15,000,000		14,986,250
MetLife Short Term Funding LLC:
0.410%, 3/21/2016 (6)(11)		26,750,000		26,743,907
0.420%, 3/10/2016 (6)(11)		7,450,000		7,449,218
0.480%, 3/22/2016 (6)(11)		40,000,000		39,988,537
0.490%, 4/5/2016 (6)(11)		10,000,000		9,995,236
0.500%, 3/23/2016 (6)(11)		20,000,000		19,993,889
0.500%, 4/13/2016 (6)(11)		24,750,000		24,735,219
Old Line Funding LLC:
0.480%, 4/5/2016 (6)(11)		10,000,000		9,995,333
0.630%, 5/20/2016 (6)(11)		15,000,000		14,979,000
0.640%, 5/11/2016 (6)(11)		10,000,000		9,987,378
0.640%, 5/19/2016 (6)(11)		15,000,000		14,978,933
0.687%, 5/13/2016 (6)(8)		10,000,000		10,000,000
0.700%, 6/20/2016 (6)(11)		20,000,000		19,956,833
0.700%, 6/24/2016 (6)(11)		15,000,000		14,966,458
0.787%, 7/13/2016 (6)(8)		10,000,000		10,000,000
0.789%, 8/10/2016 (6)(8)		15,000,000		15,000,000
Regency Markets No. 1 LLC:
0.430%, 3/11/2016 (6)(11)		24,000,000		23,997,133
0.430%, 3/14/2016 (6)(11)		20,000,000		19,996,894
0.430%, 3/15/2016 (6)(11)		35,500,000		35,494,064
0.430%, 3/16/2016 (6)(11)		15,000,000		14,997,312
0.430%, 3/21/2016 (6)(11)		18,500,000		18,495,581
0.430%, 3/30/2016 (6)(11)		25,000,000		24,991,340
Thunder Bay Funding LLC:
0.480%, 4/1/2016 (6)(11)		25,000,000		24,989,667
0.490%, 3/21/2016 (6)(11)		9,081,000		9,078,528
0.610%, 5/20/2016 (6)(11)		15,000,000		14,979,667
0.610%, 5/23/2016 (6)(11)		18,250,000		18,224,333
0.650%, 4/21/2016 (6)(11)		15,000,000		14,986,188
0.730%, 7/18/2016 (6)(8)		13,000,000		13,000,000
0.789%, 8/10/2016 (6)(8)		15,000,000		15,000,000
Victory Receivables Corp.:
0.430%, 3/15/2016 (6)(11)		8,022,000		8,020,659
0.460%, 3/7/2016 (6)(11)		24,000,000		23,998,175
0.460%, 3/14/2016 (6)(11)		10,000,000		9,998,339
0.470%, 3/4/2016 (6)(11)		15,000,000		14,999,412
0.475%, 3/3/2016 (6)(11)		15,000,000		14,999,604
0.520%, 4/1/2016 (6)(11)		22,110,000		22,100,100
				1,198,466,212
Automobiles — 0.9%
Toyota Motor Credit Corp.:
0.682%, 7/15/2016 (8)		17,500,000		17,500,000
0.718%, 5/16/2016 (8)		17,000,000		17,000,000
				34,500,000
Beverages — 2.1%
Coca-Cola Co.:
0.530%, 4/18/2016 (6)(11)		15,000,000		14,989,400

Description	Principal Amount		Value
Commercial Paper (continued)
Beverages (continued)
0.560%, 4/19/2016 (6)(11)	$	14,500,000	$	14,488,948
0.560%, 4/21/2016 (6)(11)		15,000,000		14,988,100
0.610%, 5/16/2016 (6)(11)		10,000,000		9,987,122
0.670%, 6/6/2016 (6)(11)		10,000,000		9,981,947
0.680%, 8/22/2016 (6)(11)		13,750,000		13,704,809
				78,140,326
Chemicals — 3.3%
Air Products & Chemicals:
0.410%, 3/8/2016 (6)(11)		25,000,000		24,998,007
0.410%, 3/10/2016 (6)(11)		17,000,000		16,998,257
0.420%, 3/9/2016 (6)(11)		39,750,000		39,746,334
0.420%, 3/18/2016 (6)(11)		9,000,000		8,998,215
0.420%, 3/23/2016 (6)(11)		29,700,000		29,692,377
				120,433,190
Consumer Products — 0.7%
Reckitt Benckiser Treasury Services PLC:
0.530%, 3/1/2016 (6)(11)		14,600,000		14,600,000
0.660%, 6/1/2016 (6)(11)		10,000,000		9,983,133
				24,583,133
Diversified Financial Services — 1.3%
National Rural Utilities:
0.400%, 3/10/2016 (11)		20,000,000		19,998,000
0.400%, 3/17/2016 (11)		7,700,000		7,698,631
0.400%, 3/21/2016 (11)		4,700,000		4,698,956
0.410%, 3/22/2016 (11)		15,000,000		14,996,412
				47,391,999
Foreign Banks — 12.5%
Bank of Nova Scotia/Houston, 0.777%, 8/12/2016 (6)(8)		10,000,000		10,000,000
Commonwealth Bank of Australia, 0.646%, 6/27/2016 (6)(8)		15,000,000		14,999,758
DNB Bank ASA, 0.670%, 4/18/2016 (6)(8)		10,000,000		10,000,000
HSBC Bank PLC:
0.807%, 8/12/2016 (6)(8)		11,000,000		11,000,000
0.829%, 9/6/2016 (6)(8)		15,500,000		15,500,000
Macquarie Bank:
0.668%, 4/8/2016 (6)(8)		13,000,000		13,001,363
0.671%, 4/13/2016 (6)(8)		15,000,000		15,001,747
0.682%, 3/21/2016 (6)(8)		10,000,000		10,000,290
National Australia Bank Ltd., 0.759%, 8/4/2016 (6)(8)		15,000,000		15,000,000
Natixis, NY Branch, 0.300%, 3/1/2016 (11)		140,000,000		140,000,000
Nordea Bank AB:
0.490%, 3/4/2016 (6)(11)		12,440,000		12,439,492
0.545%, 5/11/2016 (6)(11)		10,000,000		9,989,251
Suncorp Metway Ltd.:
0.450%, 3/14/2016 (6)(11)		15,000,000		14,997,563
0.520%, 4/6/2016 (6)(11)		19,500,000		19,489,860
0.550%, 3/8/2016 (6)(11)		36,750,000		36,746,076
0.640%, 5/23/2016 (6)(11)		15,000,000		14,977,867
0.750%, 6/22/2016 (6)(11)		12,000,000		11,971,750
0.750%, 6/23/2016 (6)(11)		22,500,000		22,446,562
0.920%, 7/14/2016 (6)(11)		17,750,000		17,688,762
Swedbank:
0.450%, 4/4/2016 (11)		20,000,000		19,991,500
0.630%, 5/5/2016 (11)		10,000,000		9,988,625
Westpac Banking Corp., 0.549%, 4/4/2016 (6)(8)		15,300,000		15,299,164
				460,529,630

(See Notes which are an integral part of the Financial Statements)

75

February 29, 2016 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Integrated Oil — 3.9%
Chevron Corp.:
0.300%, 3/1/2016 (6)(11)	$	5,000,000	$	5,000,000
0.400%, 3/24/2016 (6)(11)		25,000,000		24,993,611
0.470%, 4/18/2016 (6)(11)		25,000,000		24,984,334
Exxon Mobil Corp.:
0.370%, 3/3/2016 (11)		25,000,000		24,999,486
0.390%, 3/2/2016 (11)		25,000,000		24,999,729
0.400%, 3/15/2016 (11)		19,500,000		19,496,967
0.400%, 3/22/2016 (11)		20,000,000		19,995,333
				144,469,460
Pharmaceuticals — 2.2%
Johnson & Johnson, 0.300%, 3/1/2016 (6)(11)		2,200,000		2,200,000
Novartis Finance Corp.:
0.360%, 3/2/2016 (6)(11)		25,000,000		24,999,750
0.360%, 3/7/2016 (6)(11)		25,000,000		24,998,500
0.370%, 3/10/2016 (6)(11)		30,000,000		29,997,225
				82,195,475
Utilities — 3.7%
Florida Power & Light Co.:
0.470%, 3/10/2016 (11)		25,000,000		24,997,063
0.480%, 3/8/2016 (11)		25,000,000		24,997,667
0.500%, 3/1/2016 (11)		20,000,000		20,000,000
0.520%, 3/4/2016 (11)		65,000,000		64,997,183
				134,991,913
Winding Up Agencies — 3.1%
Erste Abwicklungsanstalt:
0.350%, 3/16/2016 (6)(11)		20,000,000		19,997,083
0.530%, 4/4/2016 (6)(11)		16,000,000		15,991,991
0.590%, 4/19/2016 (6)(8)		20,000,000		20,000,000
0.590%, 4/22/2016 (6)(11)		20,000,000		19,982,956
0.600%, 5/11/2016 (6)(11)		15,000,000		14,982,250
0.600%, 5/18/2016 (6)(11)		25,000,000		24,967,500
				115,921,780
Total Commercial Paper				2,441,623,118
Corporate Bonds & Notes — 0.6%
Diversified Financial Services — 0.4%
GE Capital International Funding Co., 0.964%, 4/15/2016 (6)		15,203,000		15,212,244
Foreign Banks — 0.2%
Toronto-Dominion Bank, 2.500%, 7/14/2016		6,141,000		6,181,552
Total Corporate Bonds & Notes				21,393,796
Municipals — 1.3%
Colorado — 0.4%
Colorado Housing & Finance Authority, 0.390%, 10/1/2036 (8)		12,310,000		12,310,000
Massachusetts — 0.6%
Massachusetts Development Finance Agency, 0.350%, 10/1/2031 (8)		22,820,000		22,820,000
Tennessee — 0.3%
Johnson City Health & Educational Facilities Board, 0.400%, 8/15/2043 (8)		11,075,000		11,075,000
Total Municipals				46,205,000

Description	Shares or Principal Amount		Value
Mutual Funds — 6.8%
BlackRock Liquidity Funds TempFund — Institutional Class, 0.465%		125,000,000	$	125,000,000
Premier Portfolio —Institutional Class, 0.480%		125,000,000		125,000,000
Total Mutual Funds				250,000,000
Notes-Variable — 0.4%
Automobiles — 0.4%
American Honda Finance Corp., 0.670%, 7/29/2016 (8)	$	15,000,000		15,001,263
Total Notes-Variable				15,001,263
Repurchase Agreements — 7.9%
Agreement with Fixed Income Clearing Corp., 0.030%, dated 2/29/2016, to be repurchased at $358,526 on 3/1/2016, collateralized by a U.S. Government Treasury Obligation with a maturity of 2/28/2019, with a market value of $365,766		358,525		358,525
Agreement with Goldman Sachs Group, Inc., 0.290%, dated 2/29/2016, to be repurchased at $215,001,732 on 3/1/2016, collateralized by U.S. Government Agency Obligations with various maturities to 1/1/2046, with a market value of $218,637,708		215,000,000		215,000,000
Agreement with Toronto Dominion Bank, 0.300%, dated 2/29/2016, to be repurchased at $75,000,625 on 3/1/2016, collateralized by a U.S. Government Agency Obligation with a maturity of 9/1/2045, with a market value of $76,278,501		75,000,000		75,000,000
Total Repurchase Agreements				290,358,525
Total Investments — 99.7% (at amortized cost)				3,670,082,350
Other Assets and Liabilities — 0.3%				11,066,040
Total Net Assets — 100.0%			$	3,681,148,390

Portfolio Sector Allocation*
Sector	Fund
Certificates of Deposit		16.4	%
Commercial Paper		66.3
Corporate Bonds & Notes		0.6
Municipals		1.3
Mutual Funds		6.8
Notes-Variable		0.4
Repurchase Agreements		7.9
Other Assets & Liabilities, Net		0.3
Total		100.0	%

(See Notes which are an integral part of the Financial Statements)

76

Notes to Schedules of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for each Fund as of February 29, 2016. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of February 29, 2016. Maturity dates contained within the Schedules of Investments represent the stated legal maturity date or mandatory put date. Certain securities may be subject to demand features which allow the security to be redeemed prior to final maturity date. In accordance with Rule 2a-7, securities held in the money market funds provide for the return of principal and interest within 397 days due to a scheduled final maturity date or through specific demand features. Demand features entitle a Fund to receive the principal amount of the instrument from the issuer or a third party (1) on no more than 30 calendar days’ notice or (2) at specified intervals not exceeding 397 calendar days.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on February 29, 2016 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

** A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available by accessing the SEC’s website, www.sec.gov. Items listed as “Other securities” in the summary Schedules of Investments consist of issues not identified as a top-fifty unaffiliated holding in terms of value and issues not exceeding one percent individually or in aggregate as of February 29, 2016. In certain instances, securities for which footnotes listed below may otherwise apply are included in the “Other securities” caption.

(1) Certain shares or principal amounts are temporarily on loan to unaffiliated broker-dealers.

(2) Non-income producing.

(3) Please refer to Note 2, subsection Securities Lending, in the Notes to Financial Statements.

(4) Denotes an investment in an affiliated entity. Please refer to Note 6, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(5) Participation notes are issued by banks or broker-dealers and are designed to offer a return linked to the performance of a particular underlying equity security or market.

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2016 these securities amounted to:

Fund	Amount		% of Total Net Assets
TCH Emerging Markets Bond Fund	$	5,658,360		77.27	%
Alternative Strategies Fund:
Long Securities		801,060		0.80
Short Securities		508,478		0.51
Global Long/Short Equity Fund		23,012		0.61
Ultra Short Tax-Free Fund		69,190,394		11.24
Short Tax-Free Fund		6,899,017		3.58
Short-Term Income Fund		35,772,691		10.02

Fund	Amount		% of Total Net Assets
Intermediate Tax-Free Fund	$	30,473,094		1.78	%
Mortgage Income Fund		7,636,598		6.68
TCH Intermediate Income Fund		11,723,246		14.18
TCH Corporate Income Fund		29,054,854		15.26
TCH Core Plus Bond Fund		68,778,778		7.27
Monegy High Yield Bond Fund		20,635,881		30.04
Tax-Free Money Market Fund		198,499,260		29.18
Prime Money Market Fund		1,980,479,810		53.80

(7) Foreign security value denominated in U.S. Dollars. Principal amount listed represents adjusted par in local currency.

(8) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2016.

(9) Purchased on a when-issued or delayed delivery basis.

(10) All or a portion of this security is segregated as collateral for securities sold short.

(11) Each issue shows the rate of the discount at the time of purchase.

(12) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(13) Securities have redemption features that may delay redemption beyond seven days.

(14) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund’s portfolio represent 2.51%, as calculated based upon total portfolio market value.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

The following acronyms may be referenced throughout this report:

ACA          — American Capital Access Corporation ADED        — Arkansas Department of Economic Development ADR          — American Depository Receipt AGC          — Assured Guaranty Corporation AGM          — Assured Guaranty Municipal AMBAC      — American Municipal Bond Assurance Corporation AMT          — Alternative Minimum Tax BAM          — Build America Mutual Assurance Company BHAC        — Berkshire Hathaway Assurance Corporation BMA          — Bond Market Association CFC           — Cooperative Finance Corporation CIFG          — CDC IXIS Financial Guaranty CMI           — California Mortgage Insurance COLL          — Collateralized ETF            — Exchange Traded Fund FDIC          — Federal Depository Insurance Corporation FGIC          — Financial Guaranty Insurance Corporation FHA          — Federal Housing Administration FHLB         — Federal Home Loan Bank FHLMC       — Federal Home Loan Mortgage Corporation FNMA       — Federal National Mortgage Association FRN          — Floating Rate Note FSA           — Financial Security Assurance Corporation GDR          — Global Depository Receipt GNMA       — Government National Mortgage Association GO            — Government Obligation HFDC         — Health Facility Development Corporation HUD          — Department of Housing and Urban Development IDC              — Industrial Development Corporation IMI              — Investors Mortgage Insurance Company INS              — Insured LIQ              — Liquidity Agreement LLC              — Limited Liability Corporation LOC             — Letter of Credit LP                — Limited Partnership LT                — Limited Tax MAC             — Municipal Assurance Corporation MBIA           — Municipal Bond Insurance Association MHF             — Maryland Housing Fund MTN            — Medium Term Note NATL-RE       — National Rural Utilities Cooperative Finance                        Corporation Reinsurance PCA             — Pollution Control Authority PLC             — Public Limited Company PSF             — Permanent School Fund Guaranteed PUFG           — Permanent University Fund Guarantee Q-SBLF         — Qualified School Bond Loan Fund RADIAN       — Radian Asset Assurance R-ITs            — Real Estate Investment Trusts REMIC          — Real Estate Mortgage Investment Conduit SAW            — State Aid Withholding TCRs            — Transferable Custody Receipts TLGP            — Temporary Liquidity Guarantee Program TRANs          — Tax and Revenue Anticipation Notes UT               — Unlimited Tax VRNs           — Variable Rate Notes XLCA            — XL Capital Assurance

77

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Assets:
Investments in unaffiliated issuers, at value	$	141,107,228	(1)	$	160,859,356	(1)	$	369,294,544	(1)	$	296,490,679	(1)	$	350,858,149	(1)
Cash sweep investments in affiliated issuers, at value		1,983,408			1,864,911			3,040,230			2,632,847			5,813,262
Dividends and interest receivable		205,278			430,373			938,160			227,108			311,819
Receivable for investments sold		—			—			971,398			—			—
Receivable for capital stock sold		1,713,504			197,383			167,882			103,985			223,416
Prepaid expenses		16,867			20,138			49,589			50,564			36,199
Total assets		145,026,285			163,372,161			374,461,803			299,505,183			357,242,845
Liabilities:
Payable for return of securities lending collateral		44,437,641			53,217,171			118,168,144			96,041,875			115,481,432
Payable for investments purchased		702,185			—			—			—			—
Payable for capital stock redeemed		5,610			39,775			75,246			68,680			566,945
Payable to affiliates, net (Note 6)		37,582			54,301			154,248			120,923			185,555
Other liabilities		18,624			33,600			50,305			53,658			61,522
Total liabilities		45,201,642			53,344,847			118,447,943			96,285,136			116,295,454
Total net assets	$	99,824,643		$	110,027,314		$	256,013,860		$	203,220,047		$	240,947,391
Net assets consist of:
Paid-in capital	$	93,558,047		$	101,398,254		$	244,477,671		$	165,082,152		$	209,963,365
Net unrealized appreciation on investments		7,105,431			10,700,813			13,538,025			33,713,535			24,411,036
Accumulated net realized gain (loss) on investments		(1,061,891	)		(2,557,343	)		(2,982,103	)		4,154,934			6,279,012
Undistributed net investment income		223,056			485,590			980,267			269,426			293,978
Total net assets	$	99,824,643		$	110,027,314		$	256,013,860		$	203,220,047		$	240,947,391
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	—		$	12.82		$	13.83		$	12.33
Advisor class of shares:
Net asset value and redemption proceeds per share		12.66			11.60			12.82			13.83			12.33
Offering price per share(2)		13.33			12.21			13.49			14.56			12.98
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		12.69			11.63			12.83			13.94			12.30
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			—			—			12.28
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			12.84			13.94			12.30
Net assets:
Investor class of shares	$	—		$	—		$	146,726,908		$	141,985,030		$	149,904,885
Advisor class of shares		4,415,407			72,197,797			33,602			311,188			33,187
Institutional class of shares		95,409,236			37,829,517			109,206,869			60,876,570			80,874,782
Retirement class R-3 of shares		—			—			—			—			23,352
Retirement class R-6 of shares		—			—			46,481			47,259			10,111,185
Total net assets	$	99,824,643		$	110,027,314		$	256,013,860		$	203,220,047		$	240,947,391
Shares outstanding:
Investor class of shares		—			—			11,448,022			10,265,297			12,161,826
Advisor class of shares		348,862			6,222,440			2,622			22,499			2,692
Institutional class of shares		7,517,380			3,253,628			8,508,546			4,367,235			6,575,574
Retirement class R-3 of shares		—			—			—			—			1,901
Retirement class R-6 of shares		—			—			3,621			3,390			822,005
Total shares outstanding		7,866,242			9,476,068			19,962,811			14,658,421			19,563,998
Investments, at cost:
Investments in unaffiliated issuers	$	134,001,797		$	150,158,543		$	355,756,519		$	262,777,144		$	326,447,113
Cash sweep investments in affiliated issuers		1,983,408			1,864,911			3,040,230			2,632,847			5,813,262
Total investments, at cost	$	135,985,205		$	152,023,454		$	358,796,749		$	265,409,991		$	332,260,375

(1) Including $43,155,030, $51,681,156, $114,757,436, $93,269,802 and $112,148,272, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Computation of offering price per share 100/95 of net asset value.

(See Notes which are an integral part of the Financial Statements)

78

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	223,302,595	(1)	$	110,449,639	(1)	$	11,230,087	(1)	$	667,217,205	(1)	$	41,576,132	(1)
Cash sweep investments in affiliated issuers, at value		6,047,154			1,572,727			138,519			16,610,248			—
Cash denominated in foreign currencies		—			—			—			—			33,270	(2)
Dividends and interest receivable		75,403			36,177			4,548			85,804			65,096
Receivable for investments sold		318,341			576,181			—			7,736,339			—
Receivable for capital stock sold		94,732			45,704			—			1,463,048			—
Receivable from affiliates, net (Note 6)		—			—			4,360			—			—
Prepaid expenses		37,229			20,168			16,329			28,214			15,631
Other receivables		—			—			—			—			2,999
Total assets		229,875,454			112,700,596			11,393,843			693,140,858			41,693,128
Liabilities:
Payable for return of securities lending collateral		69,977,252			31,739,073			3,539,961			214,875,932			6,829,574
Payable for investments purchased		1,655,337			—			—			7,310,319			25
Payable for capital stock redeemed		994,356			59,265			—			869,268			—
Payable for foreign tax expense		—			—			—			—			2,489
Payable to affiliates, net (Note 6)		115,124			53,659			—			435,764			9,090
Payable for income distribution		2,694			—			—			—			—
Other liabilities		59,831			41,895			14,486			73,340			23,219
Total liabilities		72,804,594			31,893,892			3,554,447			223,564,623			6,864,397
Total net assets	$	157,070,860		$	80,806,704		$	7,839,396		$	469,576,235		$	34,828,731
Net assets consist of:
Paid-in capital	$	148,984,173		$	86,542,421		$	7,965,450		$	551,059,391		$	34,420,286
Net unrealized appreciation (depreciation) on investments and foreign currency translation		19,491,754			(6,669,223	)		(44,794	)		2,534,610			559,484
Accumulated net realized gain (loss) on investments and foreign currency transactions		(11,237,887	)		894,547			(91,004	)		(80,821,073	)		(151,194	)
Undistributed net investment income (distributions in excess of net investment income)		(167,180	)		38,959			9,744			(3,196,693	)		155
Total net assets	$	157,070,860		$	80,806,704		$	7,839,396		$	469,576,235		$	34,828,731
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	14.19		$	—		$	—		$	13.47		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		14.19			11.19			10.05			—			11.23
Offering price per share(3)		14.94			11.78			10.58			—			11.82
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.62			11.32			10.09			13.86			11.25
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		14.47			11.21			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		14.67			11.35			—			—			—
Net assets:
Investor class of shares	$	99,069,727		$	—		$	—		$	184,149,026		$	—
Advisor class of shares		25,910			61,729,612			561,750			—			155,673
Institutional class of shares		57,932,726			18,362,808			7,277,646			285,427,209			34,673,058
Retirement class R-3 of shares		21,127			66,974			—			—			—
Retirement class R-6 of shares		21,370			647,310			—			—			—
Total net assets	$	157,070,860		$	80,806,704		$	7,839,396		$	469,576,235		$	34,828,731
Shares outstanding:
Investor class of shares		6,979,797			—			—			13,673,842			—
Advisor class of shares		1,826			5,515,720			55,919			—			13,861
Institutional class of shares		3,963,259			1,622,329			721,360			20,593,800			3,082,229
Retirement class R-3 of shares		1,460			5,972			—			—			—
Retirement class R-6 of shares		1,457			57,008			—			—			—
Total shares outstanding		10,947,799			7,201,029			777,279			34,267,642			3,096,090
Investments, at cost:
Investments in unaffiliated issuers	$	203,810,841		$	117,118,862		$	11,274,881		$	664,682,595		$	41,015,848
Cash sweep investments in affiliated issuers		6,047,154			1,572,727			138,519			16,610,248			—
Total investments, at cost	$	209,857,995		$	118,691,589		$	11,413,400		$	681,292,843		$	41,015,848

(1) Including $67,957,486, $30,822,982, $3,437,786, $208,673,931 and $6,577,337, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $33,417.

(3) Computation of offering price per share 100/95 of net asset value.

(See Notes which are an integral part of the Financial Statements)

79

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund (1)			Pyrford International Stock Fund				LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Assets:
Investments in unaffiliated issuers, at value	$	73,874,501	(2)	$	647,157,828	(2)		$	146,144,526	(2)	$	8,388,651	(2)	$	97,844,670
Purchased options, at value		—			—				—			—			315,299
Cash		—			—				—			20,000			—
Deposit held at broker		—			—				—			—			30,697,652
Cash denominated in foreign currencies		15,374	(3)		368,750	(3)			21,293	(3)		—			4,589	(3)
Dividends and interest receivable		146,775			2,597,808				212,598			109,255			187,293
Receivable for investments sold		—			2,310,979				1,478,750			—			4,406,528
Receivable for capital stock sold		30,932			2,193,608				96,081			—			31,694
Receivable for daily variation margin		—			—				—			—			323,738
Receivable for forward foreign currency contracts		—			—				—			—			923,616
Receivable from affiliates, net (Note 6)		1,458			—				—			—			—
Prepaid expenses		35,767			72,130				19,097			13,984			28,349
Other receivables		932			13,489				2,125			363			7,809
Total assets		74,105,739			654,714,592				147,974,470			8,532,253			134,771,237
Liabilities:
Securities sold short, at value (proceeds $31,095,884)		—			—				—			—			29,545,559
Options written, at value (proceeds $1,108,274)		—			—				—			—			704,309
Payable for dividends and interest on securities sold short		—			—				—			—			93,550
Payable for return of securities lending collateral		2,981,959			36,214,147				8,473,222			982,675			—
Payable for investments purchased		—			3,547				698,277			203,795			2,541,900
Payable for capital stock redeemed		—			483,577				28,808			—			—
Payable for daily variation margin		—			—				—			—			434,127
Payable for forward foreign currency contracts		—			—				—			—			689,633
Payable for foreign tax expense		2,078			83,317				79,926			—			—
Payable to affiliates, net (Note 6)		—			270,312		��		116,168			3,118			104,983
Payable to custodian		—			—				237,000			—			8,455
Other liabilities		24,861			209,965				84,661			19,925			149,703
Total liabilities		3,008,898			37,264,865				9,718,062			1,209,513			34,272,219
Total net assets	$	71,096,841		$	617,449,727			$	138,256,408		$	7,322,740		$	100,499,018
Net assets consist of:
Paid-in capital	$	78,065,291		$	688,517,693			$	152,430,418		$	8,159,175		$	103,257,984
Net unrealized depreciation on investments, options, futures contracts and foreign currency translation		(6,135,757	)		(59,264,522	)			(3,757,557	)		(834,971	)		(1,046,889	)
Accumulated net realized loss on investments, options, futures contracts and foreign currency transactions		(999,341	)		(12,928,826	)			(10,340,987	)		(71,646	)		(1,453,390	)
Undistributed net investment income (distributions in excess of net investment income)		166,648			1,125,382				(75,466	)		70,182			(258,687	)
Total net assets	$	71,096,841		$	617,449,727			$	138,256,408		$	7,322,740		$	100,499,018
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	11.03			$	—		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.00			11.03				11.58			8.92			9.92
Offering price per share		9.47	(4)		11.61	(4)			12.19	(4)		9.24	(5)		10.44	(4)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.00			11.06				11.60			8.93			9.94
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			11.05				—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			11.06				—			—			—
Net assets:
Investor class of shares	$	—		$	84,401,743			$	—		$	—		$	—
Advisor class of shares		169,708			57,260				63,889,141			3,659,208			320,134
Institutional class of shares		70,927,133			519,591,441				74,367,267			3,663,532			100,178,884
Retirement class R-3 of shares		—			21,503				—			—			—
Retirement class R-6 of shares		—			13,377,780				—			—			—
Total net assets	$	71,096,841		$	617,449,727			$	138,256,408		$	7,322,740		$	100,499,018

(Continued on next page)

(See Notes which are an integral part of the Financial Statements)

80

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund (1)		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		TCH Emerging Markets Bond Fund		Alternative Strategies Fund
Shares outstanding:
Investor class of shares		—		7,649,405		—		—		—
Advisor class of shares		18,865		5,190		5,519,109		410,047		32,284
Institutional class of shares		7,876,742		46,996,029		6,410,518		410,419		10,082,413
Retirement class R-3 of shares		—		1,946		—		—		—
Retirement class R-6 of shares		—		1,209,472		—		—		—
Total shares outstanding		7,895,607		55,862,042		11,929,627		820,466		10,114,697
Investments, at cost:
Investments in unaffiliated issuers	$	80,009,035	$	706,375,819	$	149,899,125	$	9,223,597	$	100,750,165
Purchased options		—		—		—		—		538,709
Total investments, at cost	$	80,009,035	$	706,375,819	$	149,899,125	$	9,223,597	$	101,288,874
			��

(1) Fund inception date is September 17, 2015.

(2) Including $2,877,671, $34,263,714, $8,029,111 and $970,583, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(3) Identified cost of cash denominated in foreign currencies are $15,755, $369,546, $21,355 and $57, respectively.

(4) Computation of offering price per share 100/95 of net asset value.

(5) Computation of offering price per share 100/96.5 of net asset value.

(See Notes which are an integral part of the Financial Statements)

81

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Global Long/Short Equity Fund (1)			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Assets:
Investments in unaffiliated issuers, at value	$	5,383,757	(2)	$	611,948,869		$	178,992,722		$	392,730,749	(2)	$	1,707,729,353
Cash sweep investments in affiliated issuers, at value		—			456,185			10,834,960			9,879,660			4,285,672
Investments in other affiliated issuers, at value		—			—			853,332			—			5,033,001
Cash		—			1,000			1,000			—			1,000
Cash denominated in foreign currencies		630	(3)		—			—			—			—
Dividends and interest receivable		7,370			2,567,688			1,162,877			1,185,108			15,011,749
Receivable for capital stock sold		—			6,094,848			4,312,790			535,209			3,372,121
Receivable from affiliates, net (Note 6)		20,241			—			—			—			—
Prepaid expenses		35,767			39,518			31,916			34,580			117,209
Other receivables		191			—			—			—			—
Total assets		5,447,956			621,108,108			196,189,597			404,365,306			1,735,550,105
Liabilities:
Securities sold short, at value (proceeds $1,354,878)		1,248,914			—			—			—			—
Payable for dividends and interest on securities sold short		761			—			—			—			—
Payable for return of securities lending collateral		389,035			—			—			43,444,394			—
Payable for investments purchased		—			2,905,000			3,249,779			3,399,961			15,249,164
Payable for capital stock redeemed		—			1,988,215			92,502			280,576			2,040,087
Payable for foreign tax expense		382			—			—			—			—
Payable to affiliates, net (Note 6)		—			128,125			35,279			82,776			626,271
Payable for income distribution		—			186,176			127,391			135,502			619,074
Other liabilities		17,686			53,935			37,258			50,686			73,645
Total liabilities		1,656,778			5,261,451			3,542,209			47,393,895			18,608,241
Total net assets	$	3,791,178		$	615,846,657		$	192,647,388		$	356,971,411		$	1,716,941,864
Net assets consist of:
Paid-in capital	$	3,787,875		$	615,358,317		$	191,125,880		$	359,348,907		$	1,640,326,945
Net unrealized appreciation (depreciation) on investments and foreign currency translation		26,470			393,089			1,521,400			(279,059	)		73,551,758
Accumulated net realized gain (loss) on investments and foreign currency transactions		(19,773	)		106,489			(8,777	)		(1,594,594	)		2,989,419
Undistributed net investment income (distributions in excess of net investment income)		(3,394	)		(11,238	)		8,885			(503,843	)		73,742
Total net assets	$	3,791,178		$	615,846,657		$	192,647,388		$	356,971,411		$	1,716,941,864
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	10.08		$	10.23		$	9.33		$	11.44
Advisor class of shares:
Net asset value and redemption proceeds per share		10.05			10.08			10.23			9.33			11.44
Offering price per share		10.58	(4)		10.29	(6)		10.44	(6)		9.52	(6)		11.85	(5)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.06			10.07			10.23			9.35			11.44
Net assets:
Investor class of shares	$	—		$	59,895,425		$	14,933,947		$	59,215,924		$	1,212,244,685
Advisor class of shares		388,056			33,866			733,901			25,265			1,424,378
Institutional class of shares		3,403,122			555,917,366			176,979,540			297,730,222			503,272,801
Total net assets	$	3,791,178		$	615,846,657		$	192,647,388		$	356,971,411		$	1,716,941,864
Shares outstanding:
Investor class of shares		—			5,943,952			1,460,157			6,346,087			105,936,585
Advisor class of shares		38,630			3,361			71,761			2,708			124,476
Institutional class of shares		338,323			55,199,521			17,292,959			31,845,231			43,993,883
Total shares outstanding		376,953			61,146,834			18,824,877			38,194,026			150,054,944
Investments, at cost:
Investments in unaffiliated issuers	$	5,463,237		$	611,555,780		$	177,469,634		$	393,009,808		$	1,634,167,638
Cash sweep investments in affiliated issuers		—			456,185			10,834,960			9,879,660			4,285,672
Investments in other affiliated issuers		—			—			855,020			—			5,042,958
Total investments, at cost	$	5,463,237		$	612,011,965		$	189,159,614		$	402,889,468		$	1,643,496,268

(1) Fund inception date is September 17, 2015.

(2) Including $376,562 and $42,190,451, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(3) Identified cost of cash denominated in foreign currencies is $647.

(4) Computation of offering price per share 100/95 of net asset value.

(5) Computation of offering price per share 100/96.5 of net asset value.

(6) Computation of offering price per share 100/98 of net asset value.

(See Notes which are an integral part of the Financial Statements)

82

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Mortgage Income Fund			TCH Intermediate Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			Monegy High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	108,928,685		$	99,696,236	(1)	$	202,411,873	(1)	$	1,118,040,840	(1)	$	65,831,900
Cash sweep investments in affiliated issuers, at value		5,060,744			3,191,859			16,479,145			29,508,896			1,982,375
Deposit held at broker		—			100,000			250,000			250,000			—
Dividends and interest receivable		345,563			598,134			2,519,478			7,254,897			1,120,690
Receivable for investments sold		651			—			—			—			681,936
Receivable for capital stock sold		161,121			13,635			704,754			1,320,419			40,199
Prepaid expenses		22,438			16,723			42,831			64,654			17,525
Total assets		114,519,202			103,616,587			222,408,081			1,156,439,706			69,674,625
Liabilities:
Payable for return of securities lending collateral		—			20,215,637			26,880,604			204,105,705			—
Payable for investments purchased		—			—			4,405,891			5,341,234			604,178
Payable for capital stock redeemed		19,413			621,786			353,527			623,678			20,806
Payable to affiliates, net (Note 6)		47,928			28,576			60,023			316,094			26,205
Payable for income distribution		43,121			45,470			283,270			159,191			21,927
Other liabilities		40,829			27,865			37,078			65,086			25,017
Total liabilities		151,291			20,939,334			32,020,393			210,610,988			698,133
Total net assets	$	114,367,911		$	82,677,253		$	190,387,688		$	945,828,718		$	68,976,492
Net assets consist of:
Paid-in capital	$	116,890,192		$	108,581,240		$	208,797,378		$	982,411,400		$	76,604,281
Net unrealized appreciation (depreciation) on investments		2,504,750			(3,436,147	)		(17,520,479	)		(33,985,480	)		(1,545,829	)
Accumulated net realized loss on investments		(4,710,846	)		(22,433,628	)		(886,513	)		(2,393,917	)		(6,072,573	)
Distributions in excess of net investment income		(316,185	)		(34,212	)		(2,698	)		(203,285	)		(9,387	)
Total net assets	$	114,367,911		$	82,677,253		$	190,387,688		$	945,828,718		$	68,976,492
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	9.35		$	—		$	11.70		$	11.15		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.35			10.08			11.70			11.15			8.88
Offering price per share(2)		9.69			10.45			12.12			11.55			9.20
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.34			10.06			11.68			11.15			8.88
Net assets:
Investor class of shares	$	89,021,627		$	—		$	78,485,955		$	517,286,249		$	—
Advisor class of shares		27,861			24,284,921			88,596			961,733			42,363,972
Institutional class of shares		25,318,423			58,392,332			111,813,137			427,580,736			26,612,520
Total net assets	$	114,367,911		$	82,677,253		$	190,387,688		$	945,828,718		$	68,976,492
Shares outstanding:
Investor class of shares		9,521,295			—			6,710,277			46,393,554			—
Advisor class of shares		2,980			2,410,373			7,575			86,254			4,769,119
Institutional class of shares		2,710,092			5,801,831			9,569,940			38,358,453			2,997,643
Total shares outstanding		12,234,367			8,212,204			16,287,792			84,838,261			7,766,762
Investments, at cost:
Investments in unaffiliated issuers	$	106,423,935		$	103,132,383		$	219,932,352		$	1,152,026,320		$	67,377,729
Cash sweep investments in affiliated issuers		5,060,744			3,191,859			16,479,145			29,508,896			1,982,375
Total investments, at cost	$	111,484,679		$	106,324,242		$	236,411,497		$	1,181,535,216		$	69,360,104

(1) Including $19,632,149, $26,104,744 and $198,214,567, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Computation of offering price per share 100/96.5 of net asset value.

(See Notes which are an integral part of the Financial Statements)

83

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund		Tax-Free Money Market Fund			Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	694,105,547	$	696,526,476		$	3,670,082,350
Cash		—		1,000			13,871
Dividends and interest receivable		377,403		332,545			520,726
Receivable for capital stock sold		—		—			11,873,506
Prepaid expenses		48,603		38,293			90,306
Total assets		694,531,553		696,898,314			3,682,580,759
Liabilities:
Payable for investments purchased		—		16,410,755			—
Payable to affiliates, net (Note 6)		84,806		50,692			761,473
Payable for income distribution		49,871		59,249			569,098
Other liabilities		33,691		38,985			101,798
Total liabilities		168,368		16,559,681			1,432,369
Total net assets	$	694,363,185	$	680,338,633		$	3,681,148,390
Net assets consist of:
Paid-in capital	$	694,363,185	$	680,297,565		$	3,681,172,353
Accumulated net realized gain on investments		—		45,428			—
Distributions in excess of net investment income		—		(4,360	)		(23,963	)
Total net assets	$	694,363,185	$	680,338,633		$	3,681,148,390
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00	$	1.00		$	1.00
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00		1.00			1.00
Net assets:
Investor class of shares	$	110,552,592	$	152,357,461		$	1,195,486,431
Premier class of shares		583,810,593		527,981,172			2,485,661,959
Total net assets	$	694,363,185	$	680,338,633		$	3,681,148,390
Shares outstanding:
Investor class of shares		110,552,969		152,347,112			1,195,700,090
Premier class of shares		583,810,216		527,978,121			2,485,736,881
Total shares outstanding		694,363,185		680,325,233			3,681,436,971
Investments, at cost:
Investments in unaffiliated issuers	$	694,105,547	$	696,526,476		$	3,670,082,350
Total investments, at cost	$	694,105,547	$	696,526,476		$	3,670,082,350

(See Notes which are an integral part of the Financial Statements)

84

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	936,707		$	1,842,149		$	3,282,923	(1)	$	1,382,214	(1)	$	2,338,708
Affiliated issuers		1,664			1,726			3,135			2,402			3,644
Net securities lending income (Note 6)		40,864			47,453			106,005			67,674			83,975
Total income		979,235			1,891,328			3,392,063			1,452,290			2,426,327
Expenses:
Investment advisory fees (Note 6)		221,939			284,736			858,069			707,255			909,979
Shareholder servicing fees (Note 6)		—			—			193,748			195,240			208,955
Administration fees (Note 6)		66,582			85,421			202,857			166,524			192,507
Portfolio accounting fees		26,185			29,751			58,276			51,751			65,536
Recordkeeping fees		8,350			8,606			29,250			37,429			40,671
Custodian fees (Note 6)		1,967			2,521			5,987			4,913			5,879
Registration fees		17,912			23,896			27,354			29,367			33,323
Professional fees		12,234			12,234			12,414			12,414			12,414
Printing and postage		1,482			17,758			16,373			16,173			20,085
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 6):
Advisor class		4,499			93,228			36			183			36
Retirement class R-3		—			—			—			—			62
Miscellaneous		3,871			3,941			4,536			4,599			5,207
Total expenses		371,140			568,211			1,415,019			1,231,967			1,500,773
Deduct:
Expense waivers (Note 6)		(78,120	)		(104,826	)		(25,063	)		(51,678	)		—
Net expenses		293,020			463,385			1,389,956			1,180,289			1,500,773
Net investment income		686,215			1,427,943			2,002,107			272,001			925,554
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(967,249	)		(2,291,662	)		(2,727,618	)		6,638,730			10,634,759
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		2,423,591			108,985			(13,054,973	)		(8,214,697	)		(34,595,940	)
Net realized and unrealized gain (loss) on investments		1,456,342			(2,182,677	)		(15,782,591	)		(1,575,967	)		(23,961,181	)
Change in net assets resulting from operations	$	2,142,557		$	(754,734	)	$	(13,780,484	)	$	(1,303,966	)	$	(23,035,627	)

(1) Net of foreign taxes withheld of $469 and $7,190, respectively.

(See Notes which are an integral part of the Financial Statements)

85

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,526,637	(1)	$	614,692		$	39,210		$	2,158,693	(1)	$	318,314	(1)
Affiliated issuers		3,906			1,830			137			10,708			—
Interest income		—			—			—			—			843
Net securities lending income (Note 6)		68,815			30,551			4,207			321,307			12,826
Total income		1,599,358			647,073			43,554			2,490,708			331,983
Expenses:
Investment advisory fees (Note 6)		638,016			307,131			21,010			2,622,168			97,576
Shareholder servicing fees (Note 6)		141,962			—			—			312,231			—
Administration fees (Note 6)		139,694			66,952			4,849			416,620			22,518
Portfolio accounting fees		55,402			35,915			15,348			85,501			45,524
Recordkeeping fees		37,869			20,320			7,169			28,184			7,102
Custodian fees (Note 6)		4,120			1,984			143			12,287			1,117
Registration fees		32,943			33,434			18,671			20,888			16,883
Professional fees		12,414			12,234			12,234			12,414			12,363
Printing and postage		22,695			18,997			1,194			34,158			1,214
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 6):
Advisor class		35			87,509			775			—			189
Retirement class R-3		58			101			—			—			—
Miscellaneous		5,033			4,476			3,570			6,854			9,629
Total expenses		1,096,360			595,172			91,082			3,557,424			220,234
Deduct:
Expense waivers (Note 6)		(32,227	)		(63,907	)		(61,167	)		—			(89,716	)
Net expenses		1,064,133			531,265			29,915			3,557,424			130,518
Net investment income (loss)		535,225			115,808			13,639			(1,066,716	)		201,465
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(3,495,669	)		2,861,543			(90,637	)		(79,377,371	)		(116,464	)
Foreign currency transactions		—			—			—			—			(11,332	)
Total net realized gain (loss)		(3,495,669	)		2,861,543			(90,637	)		(79,377,371	)		(127,796	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(29,869,637	)		(10,690,489	)		(75,412	)		(43,408,901	)		433,290
Foreign currency translations		—			—			—			—			(682	)
Total net change in unrealized appreciation (depreciation)		(29,869,637	)		(10,690,489	)		(75,412	)		(43,408,901	)		432,608
Net realized and unrealized gain (loss) on investments and foreign currency		(33,365,306	)		(7,828,946	)		(166,049	)		(122,786,272	)		304,812
Change in net assets resulting from operations	$	(32,830,081	)	$	(7,713,138	)	$	(152,410	)	$	(123,852,988	)	$	506,277

(1) Net of foreign taxes withheld of $3,856, $2,006 and $22,647, respectively.

(See Notes which are an integral part of the Financial Statements)

86

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Disciplined International Equity Fund (1)			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	405,166	(2)	$	6,867,581	(2)	$	827,803	(2)	$	553		$	759,139	(2)
Interest income		—			—			—			222,196			278,192
Net securities lending income (Note 6)		932			205,476			12,366			1,703			—
Total income		406,098			7,073,057			840,169			224,452			1,037,331
Expenses:
Investment advisory fees (Note 6)		159,557			2,473,196			650,388			20,351			690,565
Shareholder servicing fees (Note 6)		—			112,627			—			—			—
Administration fees (Note 6)		39,889			501,364			108,398			5,550			60,660
Portfolio accounting fees		21,768			60,858			25,814			24,837			194,984
Recordkeeping fees		9,456			251,155			9,339			6,612			10,138
Custodian fees (Note 6)		47,738			216,184			135,942			1,993			126,539
Registration fees		27,154			49,737			22,842			16,097			9,911
Professional fees		9,773			12,589			15,355			13,859			33,026
Printing and postage		2,365			16,813			18,124			1,208			1,887
Directors’ fees		5,673			6,119			6,119			6,119			6,119
Interest expense and dividends on securities sold short		—			—			—			—			357,105
Distribution services fees (Note 6):
Advisor class		115			937			80,698			4,653			731
Retirement class R-3		—			55			—			—			—
Miscellaneous		4,727			17,530			12,782			4,684			4,211
Total expenses		328,215			3,719,164			1,085,801			105,963			1,495,876
Deduct:
Expense waivers (Note 6)		(88,765	)		(245,719	)		(170,670	)		(71,090	)		(345,451	)
Net expenses		239,450			3,473,445			915,131			34,873			1,150,425
Net investment income (loss)		166,648			3,599,612			(74,962	)		189,579			(113,094	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency:
Net realized loss on transactions from:
Investments in unaffiliated issuers		(649,469	)		(8,989,693	)		(6,022,581	)(3)		(70,122	)		(3,181,410	)
Foreign currency transactions		(349,872	)		(225,057	)		(357,510	)		(1,768	)		(31,621	)
Forward contracts		—			—			—			—			11,891
Futures contracts		—			—			—			—			(864,523	)
Purchased options		—			—			—			—			195,265
Written options		—			—			—			—			434,072
Short sales		—			—			—			—			2,085,591
Total net realized loss		(999,341	)		(9,214,750	)		(6,380,091	)		(71,890	)		(1,350,735	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(6,134,534	)		(19,064,567	)		1,350,316			(429,197	)		(3,102,347	)
Futures contracts		—			—			—			—			83,379
Forward contracts		—			—			—			—			147,982
Purchased options		—			—			—			—			(193,023	)
Written options		—			—			—			—			556,835
Short sales		—			—			—			—			784,042
Foreign currency translations		(1,223	)		28,771			1,952			113			133,815
Total net change in unrealized appreciation (depreciation)		(6,135,757	)		(19,035,796	)		1,352,268			(429,084	)		(1,589,317	)
Net realized and unrealized loss on investments, options, futures contracts and foreign currency		(7,135,098	)		(28,250,546	)		(5,027,823	)		(500,974	)		(2,940,052	)
Change in net assets resulting from operations	$	(6,968,450	)	$	(24,650,934	)	$	(5,102,785	)	$	(311,395	)	$	(3,053,146	)

(1) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(2) Net of foreign taxes withheld of $19,416, $537,527, $89,442 and $334, respectively.

(3) Net of foreign taxes withheld of $24,924, $24,924 of which is related to appreciated investments held at period end.

(See Notes which are an integral part of the Financial Statements)

87

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Global Long/Short Equity Fund (1)			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	19,827	(2)	$	—		$	—		$	134,025		$	349,571
Affiliated issuers		—			2,118			5,221			5,328			16,173
Interest income		—			3,065,367			1,198,932			2,133,481			23,664,659
Net securities lending income (Note 6)		52			—			—			40,536			—
Total income		19,879			3,067,485			1,204,153			2,313,370			24,030,403
Expenses:
Investment advisory fees (Note 6)		11,629			554,446			144,633			324,078			1,031,977
Shareholder servicing fees (Note 6)		—			77,393			24,628			79,315			1,591,369
Administration fees (Note 6)		1,744			525,850			110,258			259,626			1,331,655
Portfolio accounting fees		21,768			147,141			72,040			82,861			238,882
Recordkeeping fees		9,456			15,900			15,224			22,685			38,085
Custodian fees (Note 6)		20,202			15,516			3,259			7,667			39,324
Registration fees		27,154			31,046			29,300			28,381			91,725
Professional fees		9,773			14,469			14,469			14,469			14,469
Printing and postage		2,365			3,310			2,297			8,863			27,704
Directors’ fees		5,673			6,119			6,119			6,119			6,119
Interest expense and dividends on securities sold short		7,386			—			—			—			—
Distribution services fees (Note 6):
Advisor class		187			54			694			32			3,141
Miscellaneous		4,727			7,124			3,942			4,819			11,910
Total expenses		122,064			1,398,368			426,863			838,915			4,426,360
Deduct:
Expense waivers (Note 6)		(98,791	)		(269,144	)		(117,642	)		(153,775	)		(121,812	)
Net expenses		23,273			1,129,224			309,221			685,140			4,304,548
Net investment income (loss)		(3,394	)		1,938,261			894,932			1,628,230			19,725,855
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(35,319	)		214,156			16,407			75,176			4,861,990
Foreign currency transactions		(11,608	)		—			—			—			—
Short sales		27,154			—			—			—			—
Net realized gain on capital gains distributions from:
Investments in affiliated issuers		—			—			787			—			4,640
Total net realized gain (loss)		(19,773	)		214,156			17,194			75,176			4,866,630
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		(79,480	)		9,825			811,622			334,787			26,979,560
Investments in affiliated issuers		—			—			(845	)		—			(4,980	)
Short sales		105,964			—			—			—			—
Foreign currency translations		(14	)		—			—			—			—
Total net change in unrealized appreciation		26,470			9,825			810,777			334,787			26,974,580
Net realized and unrealized gain on investments and foreign currency		6,697			223,981			827,971			409,963			31,841,210
Change in net assets resulting from operations	$	3,303		$	2,162,242		$	1,722,903		$	2,038,193		$	51,567,065

��

(1) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(2) Net of foreign taxes withheld of $1,141.

(See Notes which are an integral part of the Financial Statements)

88

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Mortgage Income Fund			TCH Intermediate Income Fund			TCH Corporate Income Fund			TCH Core Plus Bond Fund			Monegy High Yield Bond Fund
Investment income:
Dividend income from:
Affiliated issuers	$	658		$	1,944		$	7,221		$	23,658		$	2,338
Interest income		1,817,563			1,405,077			5,416,367			18,432,168			2,165,407
Net securities lending income (Note 6)		—			21,251			51,395			130,072			—
Total income		1,818,221			1,428,272			5,474,983			18,585,898			2,167,745
Expenses:
Investment advisory fees (Note 6)		140,614			118,810			242,462			653,157			174,904
Shareholder servicing fees (Note 6)		115,551			—			137,087			706,554			—
Administration fees (Note 6)		86,813			71,444			190,775			763,425			52,471
Portfolio accounting fees		41,575			28,916			63,596			139,004			39,205
Recordkeeping fees		28,002			15,632			15,939			17,775			8,401
Custodian fees (Note 6)		2,563			2,108			5,623			22,528			1,549
Registration fees		21,308			18,852			31,106			44,555			20,002
Professional fees		15,495			15,226			15,496			15,496			15,226
Printing and postage		6,217			2,484			7,136			16,995			16,973
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 6):
Advisor class		33			32,868			61			890			52,307
Miscellaneous		4,097			3,829			5,084			8,490			3,624
Total expenses		468,387			316,288			720,484			2,394,988			390,781
Deduct:
Expense waivers (Note 6)		(34,209	)		(21,458	)		(64,480	)		—			(111,099	)
Net expenses		434,178			294,830			656,004			2,394,988			279,682
Net investment income		1,384,043			1,133,442			4,818,979			16,190,910			1,888,063
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		378,377			(403,732	)		(803,426	)		(2,324,343	)		(4,208,467	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		351,552			(2,121,841	)		(11,901,186	)		(23,150,967	)		94,946
Net realized and unrealized gain (loss) on investments		729,929			(2,525,573	)		(12,704,612	)		(25,475,310	)		(4,113,521	)
Change in net assets resulting from operations	$	2,113,972		$	(1,392,131	)	$	(7,885,633	)	$	(9,284,400	)	$	(2,225,458	)

(See Notes which are an integral part of the Financial Statements)

89

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	25,799		$	10,342		$	406,534
Interest income		602,320			467,851			5,809,420
Total income		628,119			478,193			6,215,954
Expenses:
Investment advisory fees (Note 6)		617,788			688,037			2,634,465
Shareholder servicing fees (Note 6)		134,130			193,072			1,454,677
Administration fees (Note 6)		101,868			113,449			607,066
Portfolio accounting fees		63,387			71,742			186,364
Recordkeeping fees		13,757			14,452			45,218
Custodian fees (Note 6)		13,679			15,238			81,519
Registration fees		31,621			34,210			53,199
Professional fees		13,954			16,522			16,522
Printing and postage		6,823			5,331			39,197
Directors’ fees		6,119			6,119			6,119
Miscellaneous		7,625			7,817			25,040
Total expenses		1,010,751			1,165,989			5,149,386
Deduct:
Expense waivers (Note 6)		(507,800	)		(721,568	)		(759,502	)
Net expenses		502,951			444,421			4,389,884
Net investment income		125,168			33,772			1,826,070
Net realized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		—			221,124			4,287
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		—			1,226			—
Net realized gain on investments		—			222,350			4,287
Change in net assets resulting from operations	$	125,168		$	256,122		$	1,830,357

(See Notes which are an integral part of the Financial Statements)

90

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Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	686,215		$	1,029,150		$	1,427,943		$	3,017,712		$	2,002,107		$	2,459,040
Net realized gain (loss) on investments		(967,249	)		3,091,790			(2,291,662	)		7,674,193			(2,727,618	)		31,924,904
Net change in unrealized appreciation (depreciation) on investments		2,423,591			(1,007,578	)		108,985			(15,228,557	)		(13,054,973	)		(34,447,348	)
Change in net assets resulting from operations		2,142,557			3,113,362			(754,734	)		(4,536,652	)		(13,780,484	)		(63,404	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			(6,977	)(1)		—			(1,186,086	)(2)		(948,050	)		(901,154	)
Advisor class of shares		(25,881	)		(4,349	)		(826,241	)		(431,612	)		(171	)		(168	)
Institutional class of shares		(584,193	)		(1,010,451	)		(475,597	)		(1,409,959	)		(948,351	)		(999,630	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			(39,615	)(1)		—			(4,222,585	)(2)		(16,736,440	)		(12,652,370	)
Advisor class of shares		(186,472	)		(1,786	)		(4,585,710	)		(1,714	)		(3,030	)		(2,498	)
Institutional class of shares		(2,310,319	)		(3,826,363	)		(2,265,424	)		(3,470,285	)		(12,497,099	)		(11,211,505	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Change in net assets resulting from distributions to shareholders		(3,106,865	)		(4,889,541	)		(8,152,972	)		(10,722,241	)		(31,133,141	)		(25,767,325	)
Capital stock transactions:
Proceeds from sale of shares		30,679,985			34,066,885			10,561,304			105,157,269			49,060,813			76,243,337
Net asset value of shares issued to shareholders in payment of distributions declared		2,990,333			4,688,331			7,869,791			10,451,304			30,718,551			25,273,282
Cost of shares redeemed		(10,834,889	)		(16,885,622	)		(19,304,225	)		(99,642,010	)		(30,159,341	)		(74,680,109	)
Change in net assets resulting from capital stock transactions		22,835,429			21,869,594			(873,130	)		15,966,563			49,620,023			26,836,510
Change in net assets		21,871,121			20,093,415			(9,780,836	)		707,670			4,706,398			1,005,781
Net assets:
Beginning of period		77,953,522			57,860,107			119,808,150			119,100,480			251,307,462			250,301,681
End of period	$	99,824,643		$	77,953,522		$	110,027,314		$	119,808,150		$	256,013,860		$	251,307,462
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	223,056		$	146,915		$	485,590		$	359,485		$	980,267		$	874,732

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

(See Notes which are an integral part of the Financial Statements)

92

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	272,001		$	397,721		$	925,554		$	964,079		$	535,225		$	(982,669	)	$	115,808		$	(135,737	)
	6,638,730			35,989,512			10,634,759			30,944,561			(3,495,669	)		28,317,329			2,861,543			2,257,682
	(8,214,697	)		(17,793,146	)		(34,595,940	)		(41,027,357	)		(29,869,637	)		(30,951,900	)		(10,690,489	)		(8,437,907	)
	(1,303,966	)		18,594,087			(23,035,627	)		(9,118,717	)		(32,830,081	)		(3,617,240	)		(7,713,138	)		(6,315,962	)
	(172,029	)		(46,157	)		(666,348	)		(218,425	)		—			—			—			—
	(108	)		(11	)		(109	)		(31	)		—			—			—			—
	(227,954	)		(316,730	)		(560,197	)		(359,452	)		—			—			—			—
	—			—			(32	)		—			—			—			—			—
	—			—			(68,013	)		(88	)		—			—			—			—
	(23,424,642	)		(16,187,273	)		(17,282,806	)		(21,590,475	)		(17,888,356	)		(16,700,632	)		—			(3,753,213	)(2)
	(14,660	)		(3,860	)		(2,836	)		(3,095	)		(4,458	)		(3,530	)		(2,966,991	)		(1,447	)
	(9,138,591	)		(18,306,862	)		(8,980,221	)		(16,682,449	)		(11,158,688	)		(18,349,361	)		(864,410	)		(901,472	)
	—			—			(2,517	)		(3,100	)		(3,577	)		(3,467	)		(1,046	)		(1,439	)
	—			—			(830,126	)		(3,100	)		(3,575	)		(3,467	)		(22,642	)		(1,439	)
	(32,977,984	)		(34,860,893	)		(28,393,205	)		(38,860,215	)		(29,058,654	)		(35,060,457	)		(3,855,089	)		(4,659,010	)
	15,947,681			111,470,511			19,719,341			63,552,263			13,588,929			42,265,777			12,692,082			121,626,984
	32,552,097			34,439,604			27,880,232			38,180,122			28,499,772			34,376,134			3,718,314			4,638,347
	(45,911,066	)		(123,442,486	)		(41,841,599	)		(101,837,128	)		(30,994,805	)		(96,911,614	)		(16,201,140	)		(105,569,640	)
	2,588,712			22,467,629			5,757,974			(104,743	)		11,093,896			(20,269,703	)		209,256			20,695,691
	(31,693,238	)		6,200,823			(45,670,858	)		(48,083,675	)		(50,794,839	)		(58,947,400	)		(11,358,971	)		9,720,719
	234,913,285			228,712,462			286,618,249			334,701,924			207,865,699			266,813,099			92,165,675			82,444,956
$	203,220,047		$	234,913,285		$	240,947,391		$	286,618,249		$	157,070,860		$	207,865,699		$	80,806,704		$	92,165,675
$	269,426		$	397,516		$	293,978		$	663,123		$	(167,180	)	$	(702,405	)	$	38,959		$	(76,849	)

93

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	13,639		$	5,778		$	(1,066,716	)	$	(3,580,580	)	$	201,465		$	92,774
Net realized gain (loss) on investments and foreign currency transactions		(90,637	)		93,653			(79,377,371	)		40,663,432			(127,796	)		(26,315	)
Net change in unrealized appreciation (depreciation) on investment and foreign currency translation		(75,412	)		(131,581	)		(43,408,901	)		(45,106,843	)		432,608			(71,030	)
Change in net assets resulting from operations		(152,410	)		(32,150	)		(123,852,988	)		(8,023,991	)		506,277			(4,571	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			(864	)(1)
Advisor class of shares		—			—			—			—			(842	)		(168	)
Institutional class of shares		(8,676	)		—			—			—			(276,907	)		(33,606	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			(19,043,435	)		(68,550,887	)		—			(601	)(1)
Advisor class of shares		(4,815	)		—			—			—			(5	)		(117	)
Institutional class of shares		(44,857	)		—			(21,414,838	)		(60,216,571	)		(1,223	)		(17,829	)
Change in net assets resulting from distributions to shareholders		(58,348	)		—			(40,458,273	)		(128,767,458	)		(278,977	)		(53,185	)
Capital stock transactions:
Proceeds from sale of shares		5,133,551			1,415,032			101,406,318			166,986,254			30,036,597			367,175
Net asset value of shares issued to shareholders in payment of distributions declared		55,327			—			38,844,689			121,850,268			278,762			53,034
Cost of shares redeemed		(1,400,003	)		(699,241	)		(152,431,569	)		(301,057,602	)		(10	)		(153,917	)
Redemption fees		—			—			—			—			—			—
Change in net assets resulting from capital stock transactions		3,788,875			715,791			(12,180,562	)		(12,221,080	)		30,315,349			266,292
Change in net assets		3,578,117			683,641			(176,491,823	)		(149,012,529	)		30,542,649			208,536
Net assets:
Beginning of period		4,261,279			3,577,638			646,068,058			795,080,587			4,286,082			4,077,546
End of period	$	7,839,396		$	4,261,279		$	469,576,235		$	646,068,058		$	34,828,731		$	4,286,082
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	9,744		$	4,781		$	(3,196,693	)	$	(2,129,977	)	$	155		$	76,439

(1) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(See Notes which are an integral part of the Financial Statements)

94

BMO Funds

Disciplined International Equity Fund			Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Period Ended February 29, 2016 (2) (Unaudited)			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	166,648		$	3,599,612		$	11,929,205		$	(74,962	)	$	1,852,065		$	189,579		$	384,376
	(999,341	)		(9,214,750	)		(242,296	)		(6,380,091	)		1,015,506			(71,890	)		119,447
	(6,135,757	)		(19,035,796	)		(84,208,246	)		1,352,268			(27,532,485	)		(429,084	)		(831,288	)
	(6,968,450	)		(24,650,934	)		(72,521,337	)		(5,102,785	)		(24,664,914	)		(311,395	)		(327,465	)
	—			(1,934,163	)		(529,973	)		—			(754,339	)(1)		—			(169,763	)(1)
	—			(16,401	)		(155	)		(565,517	)		(304	)		(184,869	)		(1,108	)
	—			(13,383,043	)		(2,124,604	)		(891,245	)		(1,668,087	)		(187,204	)		(175,997	)
	—			(399	)		(121	)		—			—			—			—
	—			(314,323	)		(206	)		—			—			—			—
	—			—			—			—			—			—			(113,483	)(1)
	—			—			—			—			—			(35,898	)		(740	)
	—			—			—			—			—			(35,236	)		(113,843	)
	—			(15,648,329	)		(2,655,059	)		(1,456,762	)		(2,422,730	)		(443,207	)		(574,934	)
	78,921,216			79,808,717			524,295,353			14,991,073			113,611,622			6,501			4,064,723
	—			7,286,600			2,287,805			1,293,613			2,136,875			443,206			574,934
	(855,925	)		(154,685,470	)		(79,991,695	)		(20,468,716	)		(114,321,966	)		(66,845	)		(3,982,719	)
	—			7,644			3,177			87			261			—			—
	78,065,291			(67,582,509	)		446,594,640			(4,183,943	)		1,426,792			382,862			656,938
	71,096,841			(107,881,772	)		371,418,244			(10,743,490	)		(25,660,852	)		(371,740	)		(245,461	)
	—			725,331,499			353,913,255			148,999,898			174,660,750			7,694,480			7,939,941
$	71,096,841		$	617,449,727		$	725,331,499		$	138,256,408		$	148,999,898		$	7,322,740		$	7,694,480
$	166,648		$	1,125,382		$	13,174,099		$	(75,466	)	$	1,456,258		$	70,182		$	252,676

95

Statements of Changes in Net Assets

	Alternative Strategies Fund						Global Long/Short Equity Fund			Ultra Short Tax-Free Fund
	Six Months Ended February 29, 2016 (Unaudited)			Period Ended August 31, 2015 (1)			Period Ended February 29, 2016 (2) (Unaudited)			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(113,094	)	$	(275,413	)	$	(3,394	)	$	1,938,261		$	4,390,268
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		(1,350,735	)		1,067,819			(19,773	)		214,156			722,593
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		(1,589,317	)		542,428			26,470			9,825			(1,720,781	)
Change in net assets resulting from operations		(3,053,146	)		1,334,834			3,303			2,162,242			3,392,080
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			(101,182	)		(237,646	)
Advisor class of shares		—			—			—			(70	)		(92	)
Institutional class of shares		(80,732	)		—			—			(1,837,009	)		(4,152,530	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			(57,924	)		(2,132	)
Advisor class of shares		(4,097	)		—			—			(47	)		(1	)
Institutional class of shares		(965,757	)		—			—			(615,255	)		(21,209	)
Change in net assets resulting from distributions to shareholders		(1,050,586	)		—			—			(2,611,487	)		(4,413,610	)
Capital stock transactions:
Proceeds from sale of shares		72,736,692			36,088,693			3,787,875			192,109,884			766,804,855
Net asset value of shares issued to shareholders in payment of distributions declared		967,655			—			—			1,185,977			1,495,429
Cost of shares redeemed		(4,373,687	)		(2,151,437	)		—			(343,681,755	)		(731,777,138	)
Change in net assets resulting from capital stock transactions		69,330,660			33,937,256			3,787,875			(150,385,894	)		36,523,146
Change in net assets		65,226,928			35,272,090			3,791,178			(150,835,139	)		35,501,616
Net assets:
Beginning of period		35,272,090			—			—			766,681,796			731,180,180
End of period	$	100,499,018		$	35,272,090		$	3,791,178		$	615,846,657		$	766,681,796
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(258,687	)	$	(64,861	)	$	(3,394	)	$	(11,238	)	$	(11,238	)

(1) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015

(2) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(See Notes which are an integral part of the Financial Statements)

96

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund						Mortgage Income Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	894,932		$	1,662,632		$	1,628,230		$	2,911,608		$	19,725,855		$	37,901,124		$	1,384,043		$	2,994,424
	17,194			342,639			75,176			196,403			4,866,630			5,236,926			378,377			840,188
	810,777			(369,319	)		334,787			(1,491,738	)		26,974,580			(5,850,199	)		351,552			(670,112	)
	1,722,903			1,635,952			2,038,193			1,616,273			51,567,065			37,287,851			2,113,972			3,164,500
	(109,525	)		(320,815	)		(326,043	)		(881,646	)		(13,744,888	)		(26,563,637	)		(1,322,102	)		(2,865,537	)
	(3,010	)		(676	)		(135	)		(296	)		(27,104	)		(46,467	)		(379	)		(729	)
	(782,397	)		(1,341,165	)		(1,807,254	)		(2,437,768	)		(5,953,863	)		(11,291,168	)		(362,820	)		(737,426	)
	(53,401	)		(6,928	)		—			—			(2,043,712	)		(121,985	)		—			—
	(1,269	)		(6	)		—			—			(3,906	)		(219	)		—			—
	(280,303	)		(28,169	)		—			—			(788,345	)		(43,436	)		—			—
	(1,229,905	)		(1,697,759	)		(2,133,432	)		(3,319,710	)		(22,561,818	)		(38,066,912	)		(1,685,301	)		(3,603,692	)
	89,350,246			108,741,030			96,868,632			209,764,498			282,402,197			773,132,228			11,961,772			17,372,434
	344,115			522,359			1,371,929			1,963,139			18,692,734			29,457,695			1,423,081			3,022,491
	(28,415,921	)		(81,843,010	)		(72,468,590	)		(98,286,430	)		(426,005,381	)		(390,430,836	)		(16,832,480	)		(36,955,253	)
	61,278,440			27,420,379			25,771,971			113,441,207			(124,910,450	)		412,159,087			(3,447,627	)		(16,560,328	)
	61,771,438			27,358,572			25,676,732			111,737,770			(95,905,203	)		411,380,026			(3,018,956	)		(16,999,520	)
	130,875,950			103,517,378			331,294,679			219,556,909			1,812,847,067			1,401,467,041			117,386,867			134,386,387
$	192,647,388		$	130,875,950		$	356,971,411		$	331,294,679		$	1,716,941,864		$	1,812,847,067		$	114,367,911		$	117,386,867
$	8,885		$	8,885		$	(503,843	)	$	1,359		$	73,742		$	73,742		$	(316,185	)	$	(14,927	)

97

Statements of Changes in Net Assets

	TCH Intermediate Income Fund						TCH Corporate Income Fund						TCH Core Plus Bond Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	1,133,442		$	2,729,628		$	4,818,979		$	8,115,410		$	16,190,910		$	28,988,864
Net realized gain (loss) on investments		(403,732	)		522,798			(803,426	)		1,721,663			(2,324,343	)		5,137,972
Net change in unrealized appreciation (depreciation) on investments		(2,121,841	)		(3,844,747	)		(11,901,186	)		(17,755,993	)		(23,150,967	)		(46,860,911	)
Change in net assets resulting from operations		(1,392,131	)		(592,321	)		(7,885,633	)		(7,918,920	)		(9,284,400	)		(12,734,075	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			(439,742	)(1)		(2,028,678	)		(3,600,461	)		(8,779,561	)		(15,403,838	)
Advisor class of shares		(296,456	)		(184,867	)		(986	)		(721	)		(11,197	)		(6,047	)
Institutional/Premier class of shares		(861,171	)		(2,295,387	)		(2,789,315	)		(4,553,378	)		(7,590,332	)		(14,177,598	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			(418,374	)		(405,429	)		(197,248	)		(2,668,765	)
Advisor class of shares		—			—			(93	)		(91	)		(295	)		(127	)
Institutional/Premier class of shares		—			—			(572,757	)		(514,709	)		(156,189	)		(2,218,338	)
Change in net assets resulting from distributions to shareholders		(1,157,627	)		(2,919,996	)		(5,810,203	)		(9,074,789	)		(16,734,822	)		(34,474,713	)
Capital stock transactions:
Proceeds from sale of shares		7,771,486			61,092,933			19,715,933			190,134,968			108,744,222			369,085,747
Net asset value of shares issued to shareholders in payment of distributions declared		809,246			2,063,283			3,698,679			6,210,848			15,495,321			31,818,510
Cost of shares redeemed		(28,741,239	)		(99,406,202	)		(119,449,796	)		(79,378,889	)		(227,867,154	)		(218,938,744	)
Change in net assets resulting from capital stock transactions		(20,160,507	)		(36,249,986	)		(96,035,184	)		116,966,927			(103,627,611	)		181,965,513
Change in net assets		(22,710,265	)		(39,762,303	)		(109,731,020	)		99,973,218			(129,646,833	)		134,756,725
Net assets:
Beginning of period		105,387,518			145,149,821			300,118,708			200,145,490			1,075,475,551			940,718,826
End of period	$	82,677,253		$	105,387,518		$	190,387,688		$	300,118,708		$	945,828,718		$	1,075,475,551
Distributions in excess of net investment income included in net assets at end of period	$	(34,212	)	$	(10,027	)	$	(2,698	)	$	(2,698	)	$	(203,285	)	$	(13,105	)

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

(See Notes which are an integral part of the Financial Statements)

98

BMO Funds

Monegy High Yield Bond Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	1,888,063		$	3,963,918		$	125,168		$	65,492		$	33,772		$	65,053		$	1,826,070		$	475,573
	(4,208,467	)		(1,863,055	)		—			1,022			222,350			60,821			4,287			11,653
	94,946			(4,162,348	)		—			—			—			—			—			—
	(2,225,458	)		(2,061,485	)		125,168			66,514			256,122			125,874			1,830,357			487,226
	—			(1,340,611	)(2)		(5,362	)		(12,960	)		(7,728	)		(13,614	)		(103,582	)		(130,308	)
	(1,108,744	)		(795,951	)		—			—			—			—			—			—
	(779,319	)		(1,827,356	)		(119,806	)		(52,532	)		(27,270	)		(55,106	)		(1,722,488	)		(345,265	)
	—			(943,476	)(2)		—			(200	)		(40,847	)		(12,785	)		(1,345	)		(11,392	)
	—			(583	)		—			—			—			—			—			—
	—			(816,183	)		—			(822	)		(139,262	)		(44,369	)		(2,942	)		(22,454	)
	(1,888,063	)		(5,724,160	)		(125,168	)		(66,514	)		(215,107	)		(125,874	)		(1,830,357	)		(509,419	)
	9,566,728			56,999,453			1,410,452,043			2,766,898,733			933,845,846			2,147,500,616			5,382,255,762			11,715,102,065
	1,727,274			5,079,659			13,080			10,972			37,073			21,921			160,821			72,243
	(11,220,479	)		(58,906,170	)		(1,284,989,368	)		(2,731,202,400	)		(910,642,710	)		(2,075,540,945	)		(5,574,146,663	)		(11,167,584,776	)
	73,523			3,172,942			125,475,755			35,707,305			23,240,209			71,981,592			(191,730,080	)		547,589,532
	(4,039,998	)		(4,612,703	)		125,475,755			35,707,305			23,281,224			71,981,592			(191,730,080	)		547,567,339
	73,016,490			77,629,193			568,887,430			533,180,125			657,057,409			585,075,817			3,872,878,470			3,325,311,131
$	68,976,492		$	73,016,490		$	694,363,185		$	568,887,430		$	680,338,633		$	657,057,409		$	3,681,148,390		$	3,872,878,470
$	(9,387	)	$	(9,387	)	$	—		$	—		$	(4,360	)	$	(3,134	)	$	(23,963	)	$	(23,963	)

99

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)				Ratios to Average Net Assets (5)
																																			Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Large-Cap Value Fund
2016(8)		$	15.23		$	0.10			$	(0.81	)		$	(0.71	)		$	(0.09	)		$	(1.61	)		$	(1.70	)		$	12.82		(5.39	)%			1.15	%		1.14	%		1.37	%		$	146,727		23	%
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)			1.22			1.21			0.80				156,840		72
2014			14.54			0.11				3.57				3.68				(0.12	)			(1.06	)			(1.18	)			17.04		26.47				1.23			1.23			0.70				131,012		68
2013(3)			12.21			0.13				2.37				2.50				(0.17	)			—				(0.17	)			14.54		20.65				1.27			1.24			1.00				111,769		71
2012(3)			10.62			0.12				1.57				1.69				(0.10	)			—				(0.10	)			12.21		16.04				1.30			1.24			1.10				76,786		127
2011(3)			9.27			0.09				1.31				1.40				(0.05	)			—				(0.05	)			10.62		15.15				1.29			1.24			0.78				67,845		55
Large-Cap Growth Fund
2016(8)			16.26			0.01				(0.05	)			(0.04	)			(0.02	)			(2.37	)			(2.39	)			13.83		(1.12	)			1.19			1.14			0.17				141,985		28
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58				1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33				1.24			1.24			0.03				97,738		67
2013(3)			14.16			0.06				1.93				1.99				(0.03	)			(1.04	)			(1.07	)			15.08		15.07				1.25			1.24			0.37				92,037		100
2012(3)			11.97			0.01				2.18				2.19				—				—				—				14.16		18.30				1.29			1.24			0.11				103,385		185
2011(3)			9.90			(0.02	)			2.10				2.08				(0.01	)			—				(0.01	)			11.97		20.99				1.29			1.24			(0.14	)			80,508		113
Mid-Cap Value Fund
2016(8)			15.02			0.04				(1.20	)			(1.16	)			(0.06	)			(1.47	)			(1.53	)			12.33		(8.60	)			1.23			1.23			0.58				149,905		12
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)			1.22			1.22			0.19				178,631		27
2014			16.24			0.04				3.64				3.68				(0.06	)			(2.20	)			(2.26	)			17.66		24.65				1.20			1.20			0.23				189,016		30
2013(3)			13.24			0.08				3.62				3.70				(0.08	)			(0.62	)			(0.70	)			16.24		29.23				1.22			1.22			0.51				191,459		48
2012(3)			11.93			0.09				1.27				1.36				(0.05	)			—				(0.05	)			13.24		11.47				1.25			1.23			0.69				132,283		31
2011(3)			10.30			0.06				1.63				1.69				(0.06	)			—				(0.06	)			11.93		16.35				1.26			1.24			0.47				131,209		37
Mid-Cap Growth Fund
2016(8)			20.02			0.05				(3.00	)			(2.95	)			—				(2.88	)			(2.88	)			14.19		(16.42	)			1.28			1.24			(0.48	)			99,070		38
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)			1.25			1.24			(0.52	)			125,019		53
2014			22.94			(0.14	)			4.19				4.05				—				(3.06	)			(3.06	)			23.93		19.16				1.22			1.22			(0.61	)			121,928		57
2013(3)			20.11			(0.11	)			4.21				4.10				—				(1.27	)			(1.27	)			22.94		21.40				1.22			1.22			(0.49	)			107,410		58
2012(3)			17.78			(0.10	)			2.43				2.33				—				—				—				20.11		13.10				1.25			1.24			(0.52	)			95,884		69
2011(3)			14.42			(0.04	)			3.40				3.36				—				—				—				17.78		23.30				1.30			1.23			(0.21	)			92,911		79
Small-Cap Growth Fund
2016(8)			18.11			(0.06	)			(3.34	)			(3.40	)			—				(1.24	)			(1.24	)			13.47		(19.68	)			1.42			1.42			(0.51	)			184,149		34
2015			22.31			(0.14	)			(0.27	)			(0.41	)			—				(3.79	)			(3.79	)			18.11		(1.56	)			1.40			1.40			(0.61	)			307,052		59
2014			22.21			(0.08	)			3.12				3.04				—				(2.94	)			(2.94	)			22.31		14.44				1.40			1.40			(0.36	)			431,093		82
2013(3)			18.12			(0.17	)			5.59				5.42				—				(1.33	)			(1.33	)			22.21		31.90				1.41			1.41			(0.87	)			412,282		76
2012(3)			17.49			(0.15	)			1.89				1.74				—				(1.11	)			(1.11	)			18.12		10.19				1.46			1.44			(0.83	)			331,307		85
2011(3)			14.03			(0.14	)			3.60				3.46				—				—				—				17.49		24.66				1.46			1.44			(0.90	)			335,200		101
Pyrford International Stock Fund																																		��
2016(3)(8)			11.74			0.04				(0.51	)			(0.47	)			(0.24	)			—				(0.24	)			11.03		(4.05	)			1.31			1.24			0.83				84,402		2
2015(3)			13.11			0.23				(1.52	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)			1.28			1.24			2.02				91,700		9
2014(3)			12.07			0.36				1.27				1.63				(0.56	)			(0.03	)			(0.59	)			13.11		13.69				1.27			1.24			3.12				81,352		6
2013(3)			10.76			0.24				1.35				1.59				(0.23	)			(0.05	)			(0.28	)			12.07		14.98				1.34			1.24			2.23				51,265		15
2012(3)(6)			10.00			0.23				0.53				0.76				—				—				—				10.76		7.60				1.39			1.24			3.55				39,938		13
Ultra Short Tax-Free Fund
2016(8)			10.08			0.02				0.01				0.03				(0.02	)			(0.01	)			(0.03	)			10.08		0.26				0.63			0.55			0.33				59,896		28
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25				0.60			0.55			0.34				64,333		57
2014			10.04			0.06				0.05				0.11				(0.06	)			(0.00	)			(0.06	)			10.09		1.10				0.59			0.55			0.57				67,617		86
2013			10.09			0.07				(0.04	)			0.03				(0.08	)			(0.00	)			(0.08	)			10.04		0.26				0.57			0.55			0.72				99,168		71
2012(3)			10.06			0.11				0.03				0.14				(0.11	)			(0.00	)			(0.11	)			10.09		1.41				0.62			0.55			1.06				107,582		128
2011(3)			10.07			0.14				(0.01	)			0.13				(0.14	)			(0.00	)			(0.14	)			10.06		1.33				0.65			0.55			1.41				55,069		148

(See Notes which are an integral part of the Financial Statements)

100

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Short Tax-Free Fund
2016(8)		$	10.20		$	0.06		$	0.05			$	0.11			$	(0.06	)		$	(0.02	)		$	(0.08	)		$	10.23		1.08	%		0.80	%		0.55	%		1.11	%		$	14,934		11	%
2015			10.20			0.12			(0.00	)			0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.18				24,689		50
2014			9.95			0.13			0.25				0.38				(0.13	)			—				(0.13	)			10.20		3.86			0.87			0.55			1.30				25,442		69
2013(3)(7)			10.00			0.08			(0.05	)			0.03				(0.08	)			—				(0.08	)			9.95		0.34			1.06			0.55			1.17				15,240		74
Short-Term Income Fund
2016(8)			9.33			0.03			0.02				0.05				(0.05	)			—				(0.05	)			9.33		0.51			0.69			0.60			0.74				59,216		14
2015			9.40			0.09			(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				67,376		29
2014			9.37			0.10			0.04				0.14				(0.11	)			—				(0.11	)			9.40		1.55			0.68			0.60			1.11				77,006		43
2013(3)			9.47			0.14			(0.09	)			0.05				(0.15	)			—				(0.15	)			9.37		0.55			0.68			0.60			1.45				111,792		51
2012(3)			9.32			0.18			0.15				0.33				(0.18	)			—				(0.18	)			9.47		3.62			0.72			0.60			1.89				90,098		63
2011(3)			9.30			0.25			(0.00	)			0.25				(0.23	)			—				(0.23	)			9.32		2.59			0.78			0.60			2.65				64,882		114
Intermediate Tax-Free Fund
2016(8)			11.26			0.12			0.20				0.32				(0.12	)			(0.02	)			(0.14	)			11.44		2.86			0.57			0.55			2.16				1,212,245		25
2015			11.25			0.26			0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28			0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
2013(3)			11.30			0.28			(0.57	)			(0.29	)			(0.28	)			(0.07	)			(0.35	)			10.66		(2.67	)		0.61			0.55			2.51				844,129		39
2012(3)			10.75			0.34			0.55				0.89				(0.33	)			(0.01	)			(0.34	)			11.30		8.41			0.70			0.55			3.02				730,555		53
2011(3)			10.87			0.36			(0.09	)			0.27				(0.36	)			(0.03	)			(0.39	)			10.75		2.65			0.88			0.55			3.44				385,220		59
Mortgage Income Fund
2016(8)			9.31			0.11			0.06				0.17				(0.13	)			—				(0.13	)			9.35		1.87			0.86			0.80			2.34				89,022		5
2015			9.36			0.22			—				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20			0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
2013(3)			9.77			0.11			(0.38	)			(0.27	)			(0.22	)			(0.11	)			(0.33	)			9.17		(2.81	)		0.88			0.80			1.33				138,914		307
2012(3)			10.04			0.18			0.22				0.40				(0.27	)			(0.40	)			(0.67	)			9.77		4.23			0.93			0.80			1.91				177,442		355
2011(3)			10.09			0.21			0.25				0.46				(0.21	)			(0.30	)			(0.51	)			10.04		4.72			0.93			0.80			2.08				204,664		717
TCH Corporate Income Fund
2016(8)			12.33			0.23			(0.59	)			(0.36	)			(0.23	)			(0.04	)			(0.27	)			11.70		(2.93	)		0.71			0.59			3.71				78,486		24
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44			0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
2013(3)			13.05			0.41			(0.34	)			0.07				(0.43	)			(0.30	)			(0.73	)			12.39		0.40			0.75			0.65			3.20				35,860		123
2012(3)			12.36			0.47			0.83				1.30				(0.49	)			(0.12	)			(0.61	)			13.05		10.82			0.80			0.79			3.55				47,507		79
2011(3)			12.48			0.49			0.18				0.67				(0.51	)			(0.28	)			(0.79	)			12.36		5.60			0.88			0.80			3.95				17,542		48
TCH Core Plus Bond Fund
2016(8)			11.42			0.17			(0.26	)			(0.09	)			(0.18	)			(0.00	)			(0.18	)			11.15		(0.81	)		0.58			0.58			3.07				517,286		16
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31			0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
2013(3)			11.90			0.30			(0.30	)			0.00				(0.30	)			(0.28	)			(0.58	)			11.32		(0.18	)		0.68			0.61			2.26				463,851		101
2012(3)			11.41			0.40			0.61				1.01				(0.44	)			(0.08	)			(0.52	)			11.90		9.23			0.77			0.77			3.43				94,648		84
2011(3)			11.44			0.46			0.22				0.68				(0.48	)			(0.23	)			(0.71	)			11.41		6.18			0.84			0.80			4.03				62,121		48

(See Notes which are an integral part of the Financial Statements)

101

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Government Money Market Fund
2016(8)		$	1.00		$	0.00		$	—		$	0.00		$	(0.00	)		$	—			$	(0.00	)		$	1.00		0.01	%		0.54	%		0.20	%		0.01	%		$	110,552		—	%
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
2013			1.00			0.00			—			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.13			0.01				133,255		—
2012			1.00			0.00			0.00			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.56			0.16			0.01				101,548		—
2011			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.21			0.01				256,327		—
Tax-Free Money Market Fund
2016(8)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.53			0.13			0.01				152,358		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.16			0.01				142,052		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.30			0.01				121,613		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.04			0.54			0.43			0.03				160,882		—
2011			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.07			0.54			0.44			0.06				243,833		—
Prime Money Market Fund
2016(8)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.32			0.02				1,195,486		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.27			0.01				1,423,007		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.38			0.01				1,288,067		—
2011			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.46			0.38			0.01				1,401,557		—

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective February 8, 2012, the Ultra Short Tax-Free Fund discontinued it’s redemption fee policy and effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

(4) Not annualized for periods less than one year.

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from December 29, 2011 (inception date) to August 31, 2012.

(7) Reflects operations for the period from November 29, 2012 (inception date) to August 31, 2013.

(8) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

102

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Low Volatility Equity Fund
2016(12)		$	12.81		$	0.06			$	0.23			$	0.29			$	(0.08	)		$	(0.36	)		$	(0.44	)		$	12.66		2.24	%		1.07	%		0.90	%		1.41	%		$	4,416		21	%
2015			13.20			0.14				0.55				0.69				(0.18	)			(0.90	)			(1.08	)			12.81		5.22			1.12			0.90			1.12				1,162		47
2014(6)			12.74			0.04				0.47				0.51				(0.05	)			—				(0.05	)			13.20		4.03			1.02			0.90			1.17				26		47
Dividend Income Fund
2016(12)			12.59			0.15				(0.24	)			(0.09	)			(0.14	)			(0.76	)			(0.90	)			11.60		(0.98	)		0.72			0.90			2.43				72,198		28
2015			14.29			0.31				(0.76	)			(0.45	)			(0.33	)			(0.92	)			(1.25	)			12.59		(3.63	)		1.05			0.90			2.16				74,254		46
2014(6)			13.57			0.08				0.71				0.79				(0.07	)			—				(0.07	)			14.29		5.84			1.08			0.90			2.09				26		45
Large-Cap Value Fund
2016(12)			15.23			0.09				(0.80	)			(0.71	)			(0.09	)			(1.61	)			(1.70	)			12.82		(5.39	)		1.15			1.14			1.47				34		23
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)		1.22			1.21			0.80				28		72
2014(6)			16.23			0.04				0.82				0.86				(0.05	)			—				(0.05	)			17.04		5.32			1.23			1.23			0.83				27		68
Large-Cap Growth Fund
2016(12)			16.26			—				(0.04	)			(0.04	)			(0.02	)			(2.37	)			(2.39	)			13.83		(1.12	)		1.19			1.14			0.25				311		28
2015			17.94			0.00				0.92				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				37		94
2014(6)			16.81			0.01				1.12				1.13				—				—				—				17.94		6.72			1.24			1.24			0.17				26		67
Mid-Cap Value Fund
2016(12)			15.02			0.05				(1.21	)			(1.16	)			(0.06	)			(1.47	)			(1.53	)			12.33		(8.60	)		1.23			1.23			0.95				33		12
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)		1.22			1.22			0.19				26		27
2014(6)			16.61			0.01				1.04				1.05				—				—				—				17.66		6.32			1.20			1.20			0.31				27		30
Mid-Cap Growth Fund
2016(12)			20.02			0.06				(3.01	)			(2.95	)			—				(2.88	)			(2.88	)			14.19		(16.42	)		1.28			1.24			0.52				26		38
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			28		53
2014(6)			22.89			(0.04	)			1.08				1.04				—				—				—				23.93		4.54			1.24			1.24			(0.63	)			26		57
Small-Cap Value Fund
2016(12)			12.72			0.01				(1.02	)			(1.01	)			—				(0.52	)			(0.52	)			11.19		(8.32	)		1.38			1.24			0.20				61,730		25
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(6)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43
Small-Cap Core Fund
2016(12)			10.41			0.01				(0.29	)			(0.28	)			—				(0.08	)			(0.08	)			10.05		(2.74	)		3.03			1.15			0.22				562		36
2015			10.38			(0.01	)			0.04				0.03				—				—				—				10.41		0.29			5.02			1.15			(0.28	)			629		64
2014(6)			10.08			(0.01	)			0.31				0.30				—				—				—				10.38		2.98			4.82			1.15			(0.30	)			26		43
Global Low Volatility Equity Fund
2016(3)(12)			11.31			0.05				(0.07	)			(0.02	)			(0.06	)			(0.00	)			(0.06	)			11.23		(0.16	)		1.70			1.10			1.18				156		9
2015(3)			11.47			0.14				(0.17	)			(0.03	)			(0.08	)			(0.05	)			(0.13	)			11.31		(0.28	)		5.76			1.10			2.38				142		31
2014(3)(6)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Disciplined International Equity Fund
2016(3)(7)			10.00			0.01				(1.01	)			(1.00	)			—				—				—				9.00		(10.00	)		1.48			1.15			0.48				170		19
Pyrford International Stock Fund
2016(3)(12)			11.74			0.22				(0.69	)			(0.47	)			(0.24	)			—				(0.24	)			11.03		(4.05	)		1.31			1.24			0.68				57		2
2015(3)			13.11			0.05				(1.34	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.79				817		9
2014(3)(6)			13.13			0.07				(0.09	)			(0.02	)			—				—				—				13.11		(0.15	)		1.28			1.24			1.95				25		6
LGM Emerging Markets Equity Fund
2016(3)(12)			12.12			(0.02	)			(0.42	)			(0.44	)			(0.10	)			—				(0.10	)			11.58		(3.60	)		1.64			1.40			(0.24	)			63,889		12
2015(3)			14.30			0.08				(2.09	)			(2.01	)			(0.17	)			—				(0.17	)			12.12		(14.18	)		1.59			1.40			2.01				63,966		25
2014(3)(6)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38

(See Notes which are an integral part of the Financial Statements)

103

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
TCH Emerging Markets Bond Fund
2016(3)(12)		$	9.89		$	0.23			$	(0.64	)		$	(0.41	)		$	(0.47	)		$	(0.09	)		$	(0.56	)		$	8.92		(4.13	)%		2.97	%		1.00	%		5.05	%		$	3,659		24	%
2015(3)			11.14			0.34				(0.79	)			(0.45	)			(0.48	)			(0.32	)			(0.80	)			9.89		(4.11	)		3.21			1.00			4.94				3,882		60
2014(3)(6)			10.80			0.12				0.22				0.34				—				—				—				11.14		3.15			2.42			1.00			4.26				26		72
Alternative Strategies Fund
2016(3)(12)			10.40			(0.14	)			(0.24	)			(0.38	)			—				(0.10	)			(0.10	)			9.92		(3.71	)		3.93	(9)		3.08	(9)		(1.14	)			320		126
2015(3)(8)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(10)		2.72	(10)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2016(3)(7)			10.00			(0.01	)			0.06				0.05				—				—				—				10.05		0.50			10.73	(11)		2.24	(11)		(0.53	)			388		15
Ultra Short Tax-Free Fund
2016(12)			10.08			0.02				0.01				0.03				(0.02	)			(0.01	)			(0.03	)			10.08		0.26			0.63			0.55			0.32				34		28
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(6)			10.09			0.01				0.00				0.01				(0.01	)			—				(0.01	)			10.09		0.13			0.59			0.55			0.50				25		86
Short Tax-Free Fund
2016(12)			10.20			0.06				0.05				0.11				(0.06	)			(0.02	)			(0.08	)			10.23		1.08			0.79			0.55			1.08				734		11
2015			10.20			0.12				(0.00	)			0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.15				453		50
2014(6)			10.17			0.03				0.03				0.06				(0.03	)			—				(0.03	)			10.20		0.64			0.83			0.55			1.29				25		69
Short-Term Income Fund
2016(12)			9.33			0.03				0.02				0.05				(0.05	)			—				(0.05	)			9.33		0.51			0.68			0.60			0.74				25		14
2015			9.40			0.09				(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				25		29
2014(6)			9.42			0.02				(0.01	)			0.01				(0.03	)			—				(0.03	)			9.40		0.10			0.71			0.60			1.10				25		43
Intermediate Tax-Free Fund
2016(12)			11.26			0.12				0.20				0.32				(0.12	)			(0.02	)			(0.14	)			11.44		2.86			0.57			0.55			2.16				1,424		25
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.24				2,095		26
2014(6)			11.16			0.07				0.09				0.16				(0.07	)			—				(0.07	)			11.25		1.46			0.60			0.55			2.41				2,044		35
Mortgage Income Fund
2016(12)			9.31			0.11				0.06				0.17				(0.13	)			—				(0.13	)			9.35		1.87			0.86			0.80			2.34				28		5
2015			9.36			0.22				0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				26		44
2014(6)			9.35			0.03				0.05				0.08				(0.07	)			—				(0.07	)			9.36		0.86			0.94			0.80			2.38				25		129
TCH Intermediate Income Fund
2016(12)			10.35			0.11				(0.26	)			(0.15	)			(0.12	)			—				(0.12	)			10.08		(1.51	)		0.76			0.80			2.21				24,285		20
2015			10.65			0.20				(0.29	)			(0.09	)			(0.21	)			—				(0.21	)			10.35		(0.89	)		0.90			0.80			2.01				27,579		58
2014(6)			10.61			0.05				0.04				0.09				(0.05	)			—				(0.05	)			10.65		0.88			0.90			0.80			1.90				25		118
TCH Corporate Income Fund
2016(12)			12.33			0.23				(0.59	)			(0.36	)			(0.23	)			(0.04	)			(0.27	)			11.70		(2.93	)		0.73			0.59			4.05				89		24
2015			13.09			0.36				(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				25		26
2014(6)			12.93			0.09				0.17				0.26				(0.10	)			—				(0.10	)			13.09		2.02			0.72			0.59			2.92				25		25
TCH Core Plus Bond Fund
2016(12)			11.42			0.17				(0.26	)			(0.09	)			(0.18	)			(0.00	)			(0.18	)			11.15		(0.81	)		0.58			0.58			3.11				962		16
2015			11.95			0.32				(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.71				312		25
2014(6)			11.82			0.08				0.14				0.22				(0.09	)			—				(0.09	)			11.95		1.85			0.60			0.59			2.74				25		44

(See Notes which are an integral part of the Financial Statements)

104

Financial Highlights—Advisor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Monegy High Yield Bond Fund
2016		$	9.41		$	0.24		$	(0.53	)		$	(0.29	)		$	(0.24	)		$	—			$	(0.24	)		$	8.88		(3.11	)%		1.22	%		0.90	%		5.30	%		$	42,364		27	%
2015			10.44			0.51			(0.79	)			(0.28	)			(0.51	)			(0.24	)			(0.75	)			9.41		(2.70	)		1.21			0.90			5.13				42,843		46
2014(6)			10.52			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.44		0.58			1.17			0.90			5.09				25		42

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

(4) Not annualized for periods less than one year.

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(8) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015.

(9) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 3.05% and 2.20%, respectively.

(10) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 4.61% and 2.20%, respectively.

(11) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 10.09% and 1.60%, respectively.

(12) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

105

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Low Volatility Equity Fund
2016(18)		$	12.84		$	0.10			$	0.20			$	0.30			$	(0.09	)		$	(0.36	)		$	(0.45	)		$	12.69		2.33	%		0.82	%		0.65	%		1.55	%		$	95,409		21	%
2015			13.22			0.20				0.53				0.73				(0.21	)			(0.90	)			(1.11	)			12.84		5.56			0.87			0.65			1.52				76,792		47
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
2013(3)(9)			10.00			0.10				1.25				1.35				(0.07	)			—				(0.07	)			11.28		13.47			1.28			0.65			1.79				41,009		101
Dividend Income Fund
2016(18)			12.62			0.17				(0.25	)			(0.08	)			(0.15	)			(0.76	)			(0.91	)			11.63		(0.85	)		0.47			0.65			2.67				37,829		28
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
2013(3)			10.80			0.33				1.46				1.79				(0.32	)			—				(0.32	)			12.27		16.78			0.81			0.65			2.79				50,393		25
2012(3)(8)			10.00			0.19				0.76				0.95				(0.15	)			—				(0.15	)			10.80		9.50			0.90			0.65			2.76				46,959		18
Large-Cap Value Fund
2016(18)			15.26			0.10				(0.80	)			(0.70	)			(0.12	)			(1.61	)			(1.73	)			12.83		(5.34	)		0.90			0.89			1.63				109,207		23
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
2013(3)			12.24			0.17				2.37				2.54				(0.22	)			—				(0.22	)			14.56		20.95			1.02			0.99			1.24				101,834		71
2012(3)			10.65			0.16				1.56				1.72				(0.13	)			—				(0.13	)			12.24		16.32			1.05			0.99			1.36				72,633		127
2011(3)			9.28			0.11				1.32				1.43				(0.06	)			—				(0.06	)			10.65		15.47			1.04			0.99			1.03				78,877		55
Large-Cap Growth Fund
2016(18)			16.39			0.04				(0.06	)			(0.02	)			(0.06	)			(2.37	)			(2.43	)			13.94		(0.98	)		0.93			0.89			0.42				60,877		28
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
2013(3)			14.24			0.08				1.96				2.04				(0.06	)			(1.04	)			(1.10	)			15.18		15.46			1.00			0.99			0.58				122,689		100
2012(3)			12.02			0.05				2.17				2.22				—				—				—				14.24		18.47			1.04			0.99			0.35				89,138		185
2011(3)			9.94			0.01				2.11				2.12				(0.04	)			—				(0.04	)			12.02		21.33			1.04			0.99			0.11				103,598		113
Mid-Cap Value Fund
2016(18)			15.01			0.07				(1.21	)			(1.14	)			(0.09	)			(1.48	)			(1.57	)			12.30		(8.52	)		0.98			0.98			0.86				80,875		12
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)			17.63		24.96			0.95			0.95			0.49				145,606		30
2013(3)			13.23			0.12				3.61				3.73				(0.11	)			(0.62	)			(0.73	)			16.23		29.58			0.97			0.97			0.77				122,818		48
2012(3)			11.93			0.12				1.27				1.39				(0.09	)			—				(0.09	)			13.23		11.71			1.00			0.98			0.94				103,596		31
2011(3)			10.29			0.09				1.63				1.72				(0.08	)			—				(0.08	)			11.93		16.72			1.01			0.99			0.71				108,425		37
Mid-Cap Growth Fund
2016(18)			20.51			0.06				(3.07	)			(3.01	)			—				(2.88	)			(2.88	)			14.62		(16.31	)		1.03			0.99			0.72				57,933		38
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
2013(3)			20.32			(0.05	)			4.26				4.21				—				(1.27	)			(1.27	)			23.26		21.74			0.97			0.97			(0.24	)			142,302		58
2012(3)			17.93			(0.06	)			2.45				2.39				—				—				—				20.32		13.33			1.00			0.99			(0.27	)			131,501		69
2011(3)			14.50			0.02				3.41				3.43				—				—				—				17.93		23.66			0.98			0.98			0.10				161,539		79
Small-Cap Value Fund
2016(18)			12.84			0.03				(1.03	)			(1.00	)			—				(0.52	)			(0.52	)			11.32		(8.16	)		1.13			0.99			0.45				18,363		25
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43
2013(3)			10.51			0.09				3.35				3.44				(0.09	)			(0.24	)			(0.33	)			13.62		33.49			1.26			0.99			0.48				13,404		74
2012(3)			9.26			0.03				1.22				1.25				—				—				—				10.51		13.50			1.50			0.99			0.34				4,135		58
2011(3)(7)			10.00			0.00				(0.74	)			(0.74	)			—				—				—				9.26		(7.40	)		1.56			0.99			0.04				2,814		21

(See Notes which are an integral part of the Financial Statements)

106

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Small-Cap Core Fund
2016(18)		$	10.45		$	0.01			$	(0.28	)		$	(0.27	)		$	(0.01	)		$	(0.08	)		$	(0.09	)		$	10.09		(2.59	)%		2.78	%		0.90	%		0.44	%		$	7,277		36	%
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(12)			10.00			0.00				0.40				0.40				—				—				—				10.40		4.00			6.75			0.90			(0.03	)			3,030		43
Small-Cap Growth Fund
2016(18)			18.60			(0.01	)			(3.49	)			(3.50	)			—				(1.24	)			(1.24	)			13.86		(19.65	)		1.17			1.17			(0.29	)			285,427		34
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
2013(3)			18.33			(0.12	)			5.67				5.55				—				(1.33	)			(1.33	)			22.55		32.26			1.16			1.16			(0.62	)			297,065		76
2012(3)			17.65			(0.09	)			1.88				1.79				—				(1.11	)			(1.11	)			18.33		10.39			1.21			1.19			(0.59	)			224,964		85
2011(3)			14.12			(0.11	)			3.64				3.53				—				—				—				17.65		25.00			1.21			1.19			(0.56	)			193,655		101
Global Low Volatility Equity Fund
2016(3)(18)			11.34			(0.11	)			0.11				—				(0.09	)			(0.00	)			(0.09	)			11.25		(0.01	)		1.45			0.85			1.34				34,673		9
2015(3)			11.50			0.25				(0.26	)			(0.01	)			(0.10	)			(0.05	)			(0.15	)			11.34		(0.08	)		5.51			0.85			2.16				4,144		31
2014(3)(11)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Discipline International Equity Fund
2016(3)(14)			10.00			0.02				(1.02	)			(1.00	)			—				—				—				9.00		(10.00	)		1.23			0.90			0.63				70,927		19
Pyrford International Stock Fund
2016(3)(18)			11.78			0.08				(0.53	)			(0.45	)			(0.27	)			—				(0.27	)			11.06		(3.87	)		1.06			0.99			1.09				519,591		2
2015(3)			13.14			0.22				(1.48	)			(1.26	)			(0.10	)			—				(0.10	)			11.78		(9.63	)		1.03			0.99			2.52				626,232		9
2014(3)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
2013(3)			10.78			0.22				1.40				1.62				(0.25	)			(0.05	)			(0.30	)			12.10		15.29			1.09			0.99			2.63				159,985		15
2012(3)(8)			10.00			0.24				0.54				0.78				—				—				—				10.78		7.80			1.14			0.99			3.83				77,791		13
LGM Emerging Markets Equity Fund
2016(3)(18)			12.16			0.01				(0.44	)			(0.43	)			(0.13	)			—				(0.13	)			11.60		(3.51	)		1.39			1.15			0.00				74,367		12
2015(3)			14.33			0.16				(2.13	)			(1.97	)			(0.20	)			—				(0.20	)			12.16		(13.88	)		1.34			1.15			1.15				85,034		25
2014(3)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
2013(3)			13.69			0.26				(0.34	)			(0.08	)			(0.20	)			(0.80	)			(1.00	)			12.61		(1.00	)		1.40			1.15			2.41				84,760		29
2012(3)			15.86			0.37				(1.17	)			(0.80	)			(0.45	)			(0.92	)			(1.37	)			13.69		(4.79	)		1.70			1.18			2.15				42,949		83
2011(3)			16.21			0.09				0.90				0.99				(0.49	)			(0.85	)			(1.34	)			15.86		5.32			1.61			1.25			0.85				37,164		34
TCH Emerging Markets Bond Fund
2016(3)(18)			9.90			0.24				(0.63	)			(0.39	)			(0.49	)			(0.09	)			(0.58	)			8.93		(3.97	)		2.72			0.85			5.20				3,664		24
2015(3)			11.16			0.51				(0.96	)			(0.45	)			(0.49	)			(0.32	)			(0.81	)			9.90		(4.04	)		2.96			0.85			4.96				3,812		60
2014(3)(11)			10.00			0.44				0.84				1.28				(0.12	)			—				(0.12	)			11.16		12.89			2.85			0.85			4.52				3,961		72
Alternative Strategies Fund
2016(3)(18)			10.42			0.00				(0.38	)			(0.38	)			(0.01	)			(0.09	)			(0.10	)			9.94		(3.63	)		3.68	(15)		2.83	(15)		(0.27	)			100,179		126
2015(3)(13)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(16)		2.47	(16)		(1.11	)			34,261		119
Global Long/Short Equity Fund
2016(3)(14)			10.00			(0.01	)			0.07				0.06				—				—				—				10.06		0.60			10.48	(17)		1.99	(17)		(0.28	)			3,403		15
Ultra Short Tax-Free Fund
2016(18)			10.08			0.03				(0.00	)			0.03				(0.03	)			(0.01	)			(0.04	)			10.07		0.28			0.38			0.30			0.58				555,917		28
2015			10.09			0.06				(0.01	)			0.05				(0.06	)							(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09				0.05				0.14				(0.09	)			(0.00	)			(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
2013			10.09			0.10				(0.05	)			0.05				(0.10	)			(0.00	)			(0.10	)			10.04		0.51			0.32			0.30			0.97				739,246		71
2012(3)			10.06			0.14				0.03				0.17				(0.14	)			(0.00	)			(0.14	)			10.09		1.66			0.37			0.30			1.32				682,788		128
2011(3)			10.07			0.17				(0.01	)			0.16				(0.17	)			(0.00	)			(0.17	)			10.06		1.58			0.40			0.30			1.64				368,540		148

(See Notes which are an integral part of the Financial Statements)

107

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Short Tax-Free Fund
2016(18)		$	10.20		$	0.06		$	0.06			$	0.12			$	(0.06	)		$	(0.03	)		$	(0.09	)		$	10.23		1.16	%		0.54	%		0.40	%		1.23	%		$	176,979		11	%
2015			10.21			0.14			(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15			0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69
2013(3)(10)			10.00			0.10			(0.05	)			(0.05	)			0.10				—				(0.10	)			9.95		0.45			0.81			0.40			1.33				34,138		74
Short-Term Income Fund
2016(18)			9.35			0.05			0.01				0.06				(0.06	)			—				(0.06	)			9.35		0.64			0.44			0.35			0.99				297,730		14
2015			9.42			0.12			(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13			0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
2013(3)			9.48			0.16			(0.07	)			0.09				(0.18	)			—				(0.18	)			9.39		0.91			0.43			0.35			1.70				117,378		51
2012(3)			9.32			0.20			0.17				0.37				(0.21	)			—				(0.21	)			9.48		3.99			0.47			0.35			2.16				101,182		63
2011(3)			9.31			0.26			(0.01	)			0.25				(0.24	)			—				(0.24	)			9.32		2.73			0.52			0.35			2.93				86,591		114
Intermediate Tax-Free Fund
2016(18)			11.26			0.13			0.20				0.33				(0.13	)			(0.02	)			(0.15	)			11.44		2.97			0.32			0.32			2.39				503,273		25
2015			11.25			0.28			0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31			0.59				0.90				(0.31	)			(0.00	)			(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
2013(3)			11.29			0.30			(0.56	)			(0.26	)			(0.30	)			(0.07	)			(0.37	)			10.66		(2.40	)		0.36			0.36			2.70				352,883		39
2012(3)			10.75			0.34			0.55				0.89				(0.34	)			(0.01	)			(0.35	)			11.29		8.41			0.45			0.45			3.10				345,109		55
2011(3)(6)			10.37			0.25			0.38				0.63				(0.25	)			—				(0.25	)			10.75		6.17			0.56			0.50			3.54				166,269		59
Mortgage Income Fund
2016(18)			9.31			0.12			0.05				0.17				(0.14	)			—				(0.14	)			9.34		1.88			0.61			0.55			2.59				25,318		5
2015			9.35			0.24			0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23			0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
2013(3)			9.76			0.15			(0.39	)			(0.24	)			(0.25	)			(0.11	)			(0.36	)			9.16		(2.57	)		0.63			0.55			1.57				35,880		307
2012(3)			10.03			0.21			0.22				0.43				(0.30	)			(0.40	)			(0.70	)			9.76		4.49			0.68			0.55			2.16				41,528		355
2011(3)			10.08			0.24			0.24				0.48				(0.23	)			(0.30	)			(0.53	)			10.03		4.99			0.67			0.55			2.33				47,101		717
TCH Intermediate Income Fund
2016(18)			10.34			0.13			(0.28	)			(0.15	)			(0.13	)			—				(0.13	)			10.06		(1.48	)		0.51			0.55			2.45				58,392		20
2015			10.64			0.21			(0.28	)			(0.07	)			(0.23	)			—				(0.23	)			10.34		(0.64	)		0.65			0.55			2.03				77,809		58
2014			10.28			0.21			0.36				0.57				(0.21	)			—				(0.21	)			10.64		5.63			0.65			0.55			2.03				110,824		118
2013(3)			10.51			0.15			(0.23	)			(0.08	)			(0.15	)			—				(0.15	)			10.28		(0.74	)		0.64			0.55			1.45				95,908		248
2012(3)			10.12			0.20			0.40				0.60				(0.21	)			—				(0.21	)			10.51		5.99			0.67			0.55			1.99				113,933		190
2011(3)			9.90			0.20			0.21				0.41				(0.19	)			—				(0.19	)			10.12		4.22			0.68			0.55			2.03				102,730		445
TCH Corporate Income Fund
2016(18)			12.32			0.23			(0.59	)			(0.36	)			(0.23	)			(0.05	)			(0.28	)			11.68		(2.95	)		0.46			0.46			3.87				111,813		24
2015			13.07			0.38			(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45			0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25
2013(3)			13.03			0.44			(0.35	)			0.09				(0.45	)			(0.30	)			(0.75	)			12.37		0.54			0.50			0.50			3.36				93,490		123
2012(3)			12.35			0.49			0.83				1.32				(0.52	)			(0.12	)			(0.64	)			13.03		11.02			0.55			0.54			3.88				91,611		79
2011(3)			12.48			0.52			0.17				0.69				(0.54	)			(0.28	)			(0.82	)			12.35		5.77			0.63			0.55			4.18				76,263		48
TCH Core Plus Bond Fund
2016(18)			11.42			0.18			(0.26	)			(0.08	)			(0.19	)			(0.00	)			(0.19	)			11.15		(0.68	)		0.33			0.33			3.32				427,581		16
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
2013(3)			11.90			0.32			(0.29	)			0.03				(0.33	)			(0.28	)			(0.61	)			11.32		0.09			0.43			0.43			2.44				321,051		101
2012(3)			11.41			0.43			0.61				1.04				(0.47	)			(0.08	)			(0.55	)			11.90		9.41			0.52			0.52			3.68				63,697		84
2011(3)			11.44			0.49			0.21				0.70				(0.50	)			(0.23	)			(0.73	)			11.41		6.45			0.59			0.55			4.28				47,398		48

(See Notes which are an integral part of the Financial Statements)

108

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Monegy High Yield Bond Fund
2016(18)		$	9.41		$	0.25		$	(0.53	)		$	(0.28	)		$	(0.25	)		$	—			$	(0.25	)		$	8.88		(2.99	)%		0.97	%		0.65	%		5.55	%		$	26,612		27	%
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42
2013(3)			10.32			0.59			0.00				0.59				(0.59	)			(0.00	)			(0.59	)			10.32		5.80			0.83			0.65			5.61				49,722		34
2012(3)(8)			10.00			0.37			0.32				0.69				(0.37	)			—				(0.37	)			10.32		7.00			0.85			0.65			5.54				48,574		16

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective February 8, 2012, the Ultra Short Tax-Free Fund discontinued it’s redemption fee policy and effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

(4) Not annualized for periods less than one year.

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from December 27, 2010 (inception date) to August 31, 2011.

(7) Reflects operations for the period from February 28, 2011 (inception date) to August 31, 2011.

(8) Reflects operations for the period from December 29, 2011 (inception date) to August 31, 2012.

(9) Reflects operations for the period from September 28, 2012 (inception date) to August 31, 2013.

(10) Reflects operations for the period from November 29, 2012 (inception date) to August 31, 2013.

(11) Reflects operations for the period from September 30, 2013 (inception date) to August 31, 2014.

(12) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(13) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015.

(14) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

(15) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 2.80% and 1.95%, respectively.

(16) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 4.38% and 1.95%, respectively.

(17) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios excluding interest expense and dividends on securities sold short are 9.84% and 1.35%, respectively.

(18) For the six months ended February 29, 2016 (Unaudited)

(See Notes which are an integral part of the Financial Statements)

109

Financial Highlights—Premier Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain			Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (4)
																															Gross Expenses			Net Expenses (2)			Net investment income (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
Government Money Market Fund
2016(5)		$	1.00		$	0.00		$	—		$	0.00		$	(0.00	)		$	—			$	(0.00	)		$	1.00		0.02	%		0.28	%		0.16	%		0.05	%		$	583,811		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.28			0.08			0.01				467,294		—
2014			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.29			0.07			0.01				427,913		—
2013			1.00			0.00			—			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.30			0.13			0.01				431,677		—
2012			1.00			0.00			0.00			0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.31			0.16			0.01				334,571		—
2011			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.04			0.30			0.17			0.04				244,082		—
Tax-Free Money Market Fund
2016(5)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.13			0.01				527,981		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.28			0.16			0.01				515,005		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.19			0.02				453,901		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.13			0.28			0.20			0.11				696,785		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.27			0.29			0.20			0.25				582,585		—
2011			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.31			0.28			0.20			0.30				613,935		—
Prime Money Market Fund
2016(5)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.07			0.20			0.20			0.14				2,485,662		—
2015			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.20			0.18			0.01				2,576,245		—
2014			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.20			0.18			0.01				1,968,436		—
2013			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.08			0.21			0.20			0.08				2,590,312		—
2012			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.20			0.21			0.20			0.19				1,934,167		—
2011			1.00			0.00			—			0.00			(0.00	)			—				(0.00	)			1.00		0.19			0.21			0.20			0.19				2,164,483		—

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Not annualized for periods less than one year.

(4) Annualized for periods less than one year.

(5) For the six months ended February 29, 2016 (Unaudited)

(See Notes which are an integral part of the Financial Statements)

110

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Mid-Cap Value Fund
2016(7)		$	14.96		$	0.02			$	(1.21	)		$	(1.19	)		$	(0.02	)		$	(1.47	)		$	(1.49	)		$	12.28		(8.81	)%		1.48	%		1.48	%		0.39	%		$	23		12	%
2015			17.62			(0.01	)			(0.59	)			(0.60	)			—				(2.06	)			(2.06	)			14.96		(3.80	)		1.47			1.47			(0.06	)			25		27
2014(6)			16.58			0.00				1.04				1.04				—				—				—				17.62		6.27			1.45			1.45			0.07				26		30
Mid-Cap Growth Fund
2016(7)			20.37			0.03				(3.05	)			(3.02	)			—				(2.88	)			(2.88	)			14.47		(16.48	)		1.53			1.49			0.26				21		38
2015			24.34			(0.16	)			(0.58	)			(0.74	)			—				(3.23	)			(3.23	)			20.37		(3.11	)		1.50			1.49			(0.77	)			25		53
2014(6)			23.30			(0.06	)			1.10				1.04				—				—				—				24.34		4.46			1.49			1.49			(0.89	)			26		57
Small-Cap Value Fund
2016(7)			12.76			0.01				(1.04	)			(1.03	)			—				(0.52	)			(0.52	)			11.21		(8.45	)		1.63			1.49			0.02				67		25
2015			14.48			(0.08	)			(0.83	)			(0.91	)			—				(0.81	)			(0.81	)			12.76		(6.43	)		1.71			1.49			(0.62	)			24		53
2014(6)			14.07			(0.01	)			0.42				0.41				—				—				—				14.48		2.91			1.71			1.49			(0.39	)			26		43
Pyrford International Stock Fund
2016(3)(7)			11.74			0.03				(0.51	)			(0.48	)			(0.21	)			—				(0.21	)			11.05		(4.17	)		1.56			1.49			0.59				22		2
2015(3)			13.12			0.22				(1.54	)			(1.32	)			(0.06	)			—				(0.06	)			11.74		(10.06	)		1.53			1.49			1.71				22		9
2014(3)(6)			13.15			0.06				(0.09	)			(0.03	)			—				—				—				13.12		(0.23	)		1.53			1.49			1.70				25		6

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

(4) Not annualized for periods less than one year.

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) For the six months ended February 29, 2016 (Unaudited)

(See Notes which are an integral part of the Financial Statements)

111

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)			Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
Large-Cap Value Fund
2016(7)		$	13.81		$	0.06			$	(1.03	)		$	(0.97	)		$	—			$	—			$	—			$	12.84		(7.02	)%		0.62	%		0.60	%		2.53	%		$	46		23	%
Large-Cap Growth Fund
2016(7)			14.75			0.02				(0.83	)			(0.81	)			—				—				—				13.94		(5.49	)		0.65			0.60			0.74				47		28
Mid-Cap Value Fund
2016(8)			15.03			0.10				(1.24	)			(1.14	)			(0.12	)			(1.47	)			(1.59	)			12.30		(8.47	)		0.83			0.83			1.26				10,111		12
2015			17.65			0.11				(0.62	)			(0.51	)			(0.05	)			(2.06	)			(2.11	)			15.03		(3.19	)		0.82			0.82			0.64				8,776		27
2014(6)			16.58			0.03				1.04				1.07				—				—				—				17.65		6.45			0.80			0.80			0.71				27		30
Mid-Cap Growth Fund
2016(8)			20.55			0.08				(3.08	)			(3.00	)			—				(2.88	)			(2.88	)			14.67		(16.22	)		0.88			0.84			0.91				21		38
2015			24.38			(0.03	)			(0.57	)			(0.60	)			—				(3.23	)			(3.23	)			20.55		(2.47	)		0.85			0.84			(0.12	)			26		53
2014(6)			23.30			(0.02	)			1.10				1.08				—				—				—				24.38		4.64			0.84			0.84			(0.24	)			26		57
Small-Cap Value Fund
2016(8)			12.87			0.04				(1.04	)			(1.00	)			—				(0.52	)			(0.52	)			11.35		(8.14	)		0.98			0.84			0.77				647		25
2015			14.50			(0.00	)			(0.82	)			(0.82	)			—				(0.81	)			(0.81	)			12.87		(5.78	)		1.06			0.84			0.01				134		53
2014(6)			14.07			0.01				0.42				0.43				—				—				—				14.50		3.06			1.06			0.84			0.25				26		43
Pyrford International Stock Fund
2016(3)(8)			11.79			(0.03	)			(0.41	)			(0.44	)			(0.29	)			—				(0.29	)			11.06		(3.83	)		0.91			0.84			1.23				13,378		2
2015(3)			13.15			0.20				(1.45	)			(1.25	)			(0.11	)			—				(0.11	)			11.79		(9.56	)		0.88			0.84			3.42				6,560		9
2014(3)(6)			13.15			0.08				(0.08	)			0.00				—				—				—				13.15		0.00			0.88			0.84			2.36				25		6

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01.

(4) Not annualized for periods less than one year.

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(7) Reflects operations for the period from December 29, 2015 (inception date) to February 29, 2016.

(8) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

112

February 29, 2016 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 29, 2016, the Corporation consisted of 43 portfolios. As of February 29, 2016, this annual report includes 28 diversified portfolios of the Corporation (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings. As of February 29, 2016, the Corporation also consisted of 10 target retirement and 5 target risk portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Low Volatility Equity Fund	September 28, 2012	To provide capital appreciation.
Dividend Income Fund	December 29, 2011	To provide capital appreciation and current income.
Large-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Large-Cap Growth Fund	November 20, 1992	To provide capital appreciation.
Mid-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Mid-Cap Growth Fund	September 30, 1993	To provide capital appreciation.
Small-Cap Value Fund	February 28, 2011	To provide capital appreciation.
Small-Cap Core Fund	December 27, 2013	To provide capital appreciation.
Small-Cap Growth Fund	October 31, 1995	To provide capital appreciation.
Global Low Volatility Equity Fund(1)	September 30, 2013	To provide capital appreciation.
Disciplined International Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Pyrford International Stock Fund(1)	December 29, 2011	To provide capital appreciation.
LGM Emerging Markets Equity Fund(1)	December 22, 2008	To provide capital appreciation.
TCH Emerging Markets Bond Fund(1)	September 30, 2013	To maximize total return consistent with current income.
Alternative Strategies Fund(1)	December 16, 2014	To provide capital appreciation with an emphasis on absolute returns.
Global Long/Short Equity Fund (1)	September 17, 2015	To provide capital appreciation.
Ultra Short Tax-Free Fund	September 30, 2009	To provide current income exempt from federal income tax consistent with preservation of capital.
Short Tax-Free Fund	November 29, 2012	To provide current income exempt from federal income tax consistent with preservation of capital.
Short-Term Income Fund	November 1, 1992	To maximize total return consistent with current income.
Intermediate Tax-Free Fund	February 1, 1994	To provide a high level of current income exempt from federal income tax consistent with preservation of capital.
Mortgage Income Fund	December 13, 1992	To provide current income.
TCH Intermediate Income Fund	November 19, 1992	To maximize total return consistent with current income.
TCH Corporate Income Fund	December 22, 2008	To maximize total return consistent with current income.
TCH Core Plus Bond Fund	December 22, 2008	To maximize total return consistent with current income.
Monegy High Yield Bond Fund	December 29, 2011	To maximize total return consistent with current income.
Government Money Market Fund	May 17, 2004	To provide current income consistent with stability of principal.
Tax-Free Money Market Fund	September 22, 2004	To provide current income that is exempt from federal income tax and is consistent with stability of principal.
Prime Money Market Fund	November 23, 1992	To provide current income consistent with stability of principal.

(1) Collectively referred to as the “International Funds”.

On December 22, 2015, the BMO Pyrford Global Equity Fund and BMO Multi-Asset Income Fund ceased operations and liquidated assets.

2. Significant Accounting Policies

The Funds are investment companies and follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange, including NASDAQ. Securities listed on a foreign exchange are valued each

113

Notes to Financial Statements (continued)

trading day at the last closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Fixed income securities that are not exchange traded are valued by an independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase are valued at amortized cost, which approximates fair value. Investments in other open-end registered investment companies are valued at net asset value. The money market funds use the amortized cost method to value portfolio securities in accordance with Rule 2a-7 under the Act.

Securities or other assets for which market valuations are not readily available, or are deemed to be inaccurate, are valued at fair value as determined in good faith using methods approved by the Board of Directors (the “Directors”). The Directors have established a Pricing Committee, which is responsible for determinations of fair value, subject to the supervision of the Directors. In determining fair value, the Pricing Committee takes into account all information available and any factors it deems appropriate. Consequently, the price of securities used by a Fund to calculate its NAV may differ from quoted or published prices for the same securities. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security is materially different than the value that would be realized upon the sale of that security and the differences may be material to the NAV of the respective Fund or the financial statements presented.

Securities held in certain funds may be listed on foreign exchanges that do not value their listed securities at the same time each Fund calculates its NAV. Most foreign markets close well before each Fund values its securities, generally 3:00 p.m. (Central Time). The earlier close of these foreign markets gives rise to the possibility that significant events, including broad market moves, may have occurred in the interim.

The Pricing Committee may determine that a security needs to be fair valued if, among other things, it believes the value of the security might have been materially affected by events occurring after the close of the market in which the security was principally traded, but before the time for determination of the NAV (“a subsequent event”). A subsequent event might include a company-specific development (for example, announcement of a merger that is made after the close of the foreign market), a development that might affect an entire market or region (for example, weather related events) or a potentially global development (such as a terrorist attack that may be expected to have an effect on investor expectations worldwide). The Funds have retained an independent fair value pricing service to assist in fair valuing foreign securities. The service utilizes statistical data based on historical performance of securities, markets, and other data in developing factors used to estimate a fair value.

Repurchase Agreements—The Funds’ policy requires the custodian bank to take possession, to have legally segregated in the Federal Reserve Book Entry System, or to have segregated within the custodian bank’s vault, all securities held as collateral under repurchase agreement transactions. Additionally, procedures have been established by the Funds to monitor, on a daily basis, the market value of each repurchase agreement’s collateral to ensure that the value of collateral at least equals the repurchase price to be paid under the repurchase agreement, including accrued interest.

The Funds will enter into repurchase agreements only with banks and other recognized financial institutions, such as broker-dealers, which are deemed by the Adviser (or sub-advisers, as applicable) to be creditworthy pursuant to the guidelines and/or standards reviewed or established by the Directors. Risks may arise from the potential inability of counterparties to honor the terms of the repurchase agreement. Accordingly, the Funds could receive less than the repurchase price on the sale of collateral securities.

Investment Income, Expenses, and Distributions—Interest income and expenses are accrued daily. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value.

The Funds offer multiple classes of shares which differ in their respective distribution, administration, and service fees. All shareholders bear the common expenses of the Funds. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in class-specific expenses. Income, non-class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based on the value of total shares outstanding of each class without distinction between share classes. Expenses attributable to a particular class of shares, such as shareholder servicing fees, are allocated directly to that class.

Premium and Discount Amortization/Paydown Gains and Losses—Premiums and discounts on fixed income securities are amortized/accreted for tax and financial statement purposes. Gains and losses realized on principal payments of mortgage-backed and asset-backed securities (paydown gains and losses) are classified as part of interest income.

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and distribution to shareholders each year substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends and unrealized appreciation on investments have been provided for in accordance with the applicable country’s tax rules and rates.

When-Issued and Delayed Delivery Transactions—The Funds may engage in when-issued or delayed delivery transactions. The Funds record when-issued securities on the trade date and maintain security positions such that sufficient liquid assets will be available to make payment for the commitment to purchase securities. Securities purchased on a when-issued or delayed delivery basis are marked-to-market daily and begin earning interest on the settlement date. Losses may occur on these transactions due to changes in market conditions or the failure of counterparties to perform under the contract.

114

BMO Funds

Short Sales—Certain Funds may sell a security they do not own in anticipation that the price of the security will decline. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund closes the short sale by purchasing the security at the market price at the time of closure. The price at such time may be more or less than the price at which the security was sold by the Fund. Until the transaction is closed, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. The proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sells the security short, or a loss, potentially unlimited in size, will be recognized upon the closing of a short sale. The Fund may not always be able to borrow a security or to close out a short position at a particular time or at an acceptable price. If the price of the borrowed security increases between the date of the short sale and the date on which the Fund closes the short sale, the Fund will experience a loss. The Fund’s loss on a short sale is the maximum attainable price of the security (which could be limitless) less the price the Fund paid for the security at the time it was borrowed.

Futures Contracts—Certain Funds may purchase futures contracts to manage cash flows, enhance yield, or to potentially reduce transaction costs. Upon entering into a futures contract with a broker, the Fund is required to deposit in a segregated account a specified amount of cash or U.S. government securities. Futures contracts are valued daily and unrealized gains or losses are recorded in a “variation margin” account. Daily, the Fund receives from, or pays to, the broker a specified amount of cash based upon changes in the variation margin account. When a contract is closed, the Fund recognizes a realized gain or loss. Futures contracts have market risks, including the risk that the change in the value of the contract may not correlate with changes in the value of the underlying securities.

Options Contracts—Certain Funds may write covered call and put options on futures, swaps, securities, or currencies a Fund owns, or in which it may invest to create investment exposure consistent with their investment objectives. Writing put options tends to increase a Fund’s exposure to the underlying instrument. Writing call options tends to decrease a Fund’s exposure to the underlying instrument. When a Fund writes a call or put option, an amount equal to the premium received is recorded as a liability and subsequently marked-to-market to reflect the current value of the option written. These liabilities are reflected as written options outstanding in the Statements of Assets and Liabilities. Payments received, or made, from writing options with premiums to be determined on a future date are reflected as such on the Statements of Assets and Liabilities. Premiums received from writing options that expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against amounts paid on the underlying future, swap, security, or currency transaction to determine the realized gain or loss. A Fund, as a writer of an option, has no control over whether the underlying future, swap, security, or currency may be sold (called) or purchased (put) and, as a result, bears the market risk of an unfavorable change in the price of the future, swap, security, or currency underlying the written option. The risk exists that a Fund may not be able to enter into a closing transaction because of an illiquid market.

Certain Funds also may purchase put and call options. Purchasing call options tends to increase a Fund’s exposure to the underlying instrument. Purchasing put options tends to decrease a Fund’s exposure to the underlying instrument. A Fund pays a premium, which is included in a Fund’s Statement of Assets and Liabilities as an investment and subsequently marked- to-market to reflect the current value of the option. Premiums paid for purchasing options that expire are treated as realized losses. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying future, swap, security, or currency transaction to determine the realized gain or loss.

Foreign Exchange Contracts—Certain Funds may enter into foreign currency exchange contracts as a way of managing foreign exchange rate risk. Certain Funds may enter into these contracts for the purchase or sale of a specific foreign currency at a fixed price on a future date as a hedge or cross hedge against either specific transactions or portfolio positions. The objective of foreign currency hedging transactions is to reduce the risk that the U.S. dollar value of these Funds’ foreign currency denominated securities will decline in value due to changes in foreign currency exchange rates. All foreign currency exchange contracts are marked-to-market daily at the applicable translation rates resulting in unrealized gains or losses. Realized gains or losses are recorded at the time the foreign currency exchange contract is offset by entering into a closing transaction or by the delivery or receipt of the currency. Risk may arise upon entering into these contracts from the potential inability of counterparties to meet the terms of their contracts and from unanticipated movements in the value of a foreign currency relative to the U.S. dollar.

Foreign Currency Translation—The accounting records of the Funds are maintained in U.S. dollars. All assets and liabilities denominated in foreign currencies are translated into U.S. dollars based on the rate of exchange of such currencies against U.S. dollars on the date of valuation. Purchases and sales of securities, income, and expenses are translated at the rate of exchange quoted on the respective date that such transactions are recorded. The Fund does not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of securities held. Such fluctuations are included with the net realized and unrealized gain or loss from investments.

Reported net realized foreign exchange gains or losses arise from sales of portfolio securities, sales and maturities of short-term securities, sales of foreign currencies, currency gains or losses realized between the trade and settlement dates on securities transactions, and the difference between the amounts of dividends, interest, and foreign withholding taxes recorded on the Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized foreign exchange gains and losses arise from changes in the value of assets and liabilities other than investments in securities at each reporting period, resulting from changes in the exchange rate.

115

Notes to Financial Statements (continued)

Restricted Securities—Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale at the issuer’s expense either upon demand by the Funds or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Directors.

Redemption Fees—The International Funds impose a 2% redemption fee to shareholders who redeem shares held for 30 days or less. All redemption fees are recorded by the International Funds as paid-in-capital.

Securities Lending—Certain Funds participate in one of two securities lending programs, providing for the lending of corporate bonds, equity, and government securities to qualified brokers, in exchange for the opportunity to earn additional income for participating. State Street Bank & Trust Company and BMO Harris Bank N.A. serve as the securities lending agents for the International Funds and non-International Funds participating in the programs, respectively. The Funds receive cash as collateral in return for the securities and record a corresponding payable for collateral due to the respective broker. The amount of cash collateral received is maintained at a minimum level of 100% of the prior day’s market value on securities and accrued interest loaned. Collateral is reinvested in short-term securities including overnight repurchase agreements, commercial paper, master notes, floating rate corporate notes (with at least quarterly reset rates), and money market funds. The valuation of collateral is discussed in “Investment Valuations” in Note 2 of the Notes to the Financial Statements. When a Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. A Fund also is subject to the risks associated with the investments of cash collateral received from the borrower.

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of February 29, 2016:

Description	Value
State Street Navigator Securities Lending Prime Portfolio Money Market Fund, 0.468%	$	55,870,612

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of February 29, 2016 (1):

Description	Value
American Honda Finance Corp., 0.660%, 7/29/2016(2)	$	8,997,633
Bank of Nova Scotia, 0.718%, 5/12/2016(2)		7,495,545
Bank of Nova Scotia, 0.610%, 7/18/2016(2)		15,000,840
Blackrock Liquidity TempCash Money Market Fund, 0.205%		1,422,352
Blackrock Liquidity TempFund Money Market Fund, 0.371%		62,058,930
Chariot Funding LLC, 0.662%, 7/20/2016(2)		10,000,000
Chariot Funding LLC, 0.664%, 7/26/2016(2)		10,000,000
Chariot Funding LLC, 0.797%, 10/3/2016(2)		7,500,000
Chase Bank USA NA, 0.779%, 10/17/2016(2)		9,999,450
Chevron Corp., 0.511%, 5/18/2016(3)		7,490,437
Coca-Cola Co., 0.532%, 4/18/2016(3)		7,470,298
Coca-Cola Co., 0.552%, 4/20/2016(3)		7,471,010
Coca-Cola Co., 0.562%, 4/21/2016(3)		7,471,300
Coca-Cola Co., 0.613%, 5/16/2016(3)		4,977,210
Commonwealth Bank of Australia, 0.646%, 6/27/2016(2)		8,998,920
DNB ASA, 0.660%, 4/18/2016(2)		15,000,000
Dreyfus Institutional Cash Advantage Money Market Fund, 0.356%		1,022,448
Dreyfus Institutional Cash Advantage Money Market Fund, 0.279%		133,307
Erste Abwicklungsanstalt, 0.451%, 3/24/2016(3)		9,985,000
Erste Abwicklungsanstalt, 0.590%, 4/19/2016(2)		10,000,000
Erste Abwicklungsanstalt, 0.601%, 5/18/2016(3)		4,991,333
Fidelity Institutional Money Market Fund, 0.357%		100,031,861
Goldman Sachs Financial, 0.396%		55,737,661
HSBC Bank, PLC, 0.589%, 3/4/2016(2)		9,999,930
HSBC Bank, PLC, 0.608%, 6/8/2016(2)		9,999,770
HSBC Bank, PLC, 0.625%, 6/2/2016(2)		10,000,120
HSBC Bank, PLC, 0.853%, 9/6/2016(2)		7,500,000
JP Morgan Liquid Asset Money Market Fund, 0.383%		36,475,857
JP Morgan Securities LLC, 0.815%, 8/25/2016(2)		7,500,000
Jupiter Securitization Co., 0.662%, 7/21/2016(2)		15,000,000
Kells Funding LLC, 0.320%, 3/8/2016(3)		9,988,444

Description	Value
Kells Funding LLC, 0.390%, 3/10/2016(3)	$	9,987,217
Kells Funding LLC, 0.431%, 3/14/2016(3)		7,484,950
Legacy Capital LLC, 0.621%, 3/14/2016(3)		4,492,947
Legacy Capital LLC, 0.680%, 4/11/2016(3)		9,983,569
Liberty Street Funding LLC, 0.401%, 3/7/2016(3)		4,492,500
Liberty Street Funding LLC, 0.461%, 4/18/2016(3)		9,976,744
Macquarie Bank Ltd., 0.568%, 4/8/2016(2)		4,999,860
Macquarie Bank Ltd., 0.620%, 3/21/2016(3)		4,999,965
Macquarie Bank Ltd., 0.770%, 6/9/2016(2)		15,000,000
Manhattan Asset Funding Co., 0.480%, 3/24/2016(3)		8,246,700
National Australia Bank Ltd., 0.759%, 8/4/2016(2)		9,000,000
National Australia Bank Ltd., 0.823%, 7/25/2016(2)		4,026,468
Nordea Bank, 0.536%, 5/16/2016(3)		7,490,192
Nordea Bank, 0.546%, 5/11/2016(3)		9,972,750
Old Line Funding Corp., 0.471%, 4/20/2016(3)		9,976,108
Old Line Funding Corp., 0.501%, 3/7/2016(3)		4,987,639
Old Line Funding Corp., 0.702%, 6/20/2016(3)		7,482,062
Old Line Funding Corp., 0.789%, 8/10/2016(2)		8,000,000
Reckitt Benckiser, 0.531%, 3/1/2016(3)		4,987,339
Reckitt Benckiser, 0.663%, 6/1/2016(3)		8,955,285
Regency Markets LLC, 0.430%, 3/21/2016(3)		7,497,492
Regency Markets LLC, 0.450%, 3/15/2016(3)		7,497,492
State Street Bank & Trust Co, 0.616%, 4/28/2016(2)		9,000,072
State Street Bank & Trust Co, 0.631%, 4/15/2016(2)		9,999,230
Sumitomo Mitsui Banking Corporation, 0.622%, 3/3/2016(2)		15,000,000
Suncorp Metway, 0.451%, 3/14/2016(3)		9,485,394
Suncorp Metway, 0.521%, 4/26/2016(3)		6,732,255
Suncorp Metway, 0.752%, 6/22/2016(3)		6,484,021
Suncorp Metway, 0.924%, 7/27/2016(3)		7,465,117
Svenska Handelsbaken, 0.325%, 3/7/2016(3)		9,987,722
Svenska Handelsbaken, 0.390%, 3/10/2016(3)		9,987,217
Svenska Handelsbaken, 0.461%, 3/26/2016(3)		7,482,750
Svenska Handelsbaken, 0.600%, 3/21/2016(2)		5,501,210
Swedbank, 0.451%, 4/6/2016(3)		4,489,931
Swedish Export Credit Corp., 0.783%, 8/17/2016(3)		4,978,767

116

BMO Funds

Description	Value
Thunder Bay Funding, LLC, 0.481%, 4/1/2016(3)	$	9,975,733
Thunder Bay Funding, LLC, 0.491%, 3/22/2016(3)		9,985,028
Thunder Bay Funding, LLC, 0.501%, 3/7/2016(3)		7,481,146
Thunder Bay Funding, LLC, 0.789%, 8/10/2016(2)		8,000,000
Toronto Dominion Bank, 0.642%, 4/4/2016(2)		4,998,595
Toronto Dominion Bank, 0.792%, 7/13/2016(2)		2,831,408
Toronto Dominion Bank, 0.870%, 10/17/2016(2)		8,497,068
Toyota Motor Credit Corp., 0.431%, 4/1/2016(3)		7,483,965
Toyota Motor Credit Corp., 0.522%, 6/13/2016(2)		10,000,990
Toyota Motor Credit Corp., 0.682%, 7/15/2016(2)		7,500,000
Toyota Motor Credit Corp., 0.718%, 5/16/2016(2)		7,000,000
US Bank NA, 0.730%, 7/20/2016(2)		12,500,187
Victory Receivables Corp., 0.500%, 3/28/2016(3)		7,494,271
Wells Fargo Bank, 0.652%, 5/20/2016(2)		6,999,258

Description	Value
Wells Fargo Bank, 0.652%, 6/1/2016(2)	$	7,499,287
Wells Fargo Bank, 0.660%, 4/8/2016(2)		4,998,300
Wells Fargo Bank, 0.670%, 7/5/2016(2)		5,000,085
Wells Fargo Bank, 0.790%, 7/12/2016(2)		10,000,180
Wells Fargo Bank, 0.870%, 10/13/2016(2)		9,500,104
Western Asset Institutional Cash Reserves Money Market Fund, 0.390%		13,444,355
Western Asset Institutional Liquid Reserves Money Market Fund, 0.421%		99,767,229
Westpac Banking Corp., 0.608%, 4/4/2016(2)		9,999,630
Westpac Banking Corp., 0.639%, 7/5/2016(3)		10,000,170
Westpac Banking Corp., 0.747%, 8/8/2016(2)		5,000,110
Other		317,101
Total	$	1,042,124,821

(1) The collateral pool is managed by the fixed income group within the Adviser. Each Fund owns a pro-rata interest in the collateral pool determined by the value of securities on loan for such Fund.

(2) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2016.

(3) Each issue shows the rate of discount at the time of purchase.

Commitments and Contingencies—In the normal course of business, the Corporation enters into contracts that provide general indemnifications to other parties. The Corporation’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Corporation that have not yet occurred. However, the Corporation has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Other—Investment transactions are accounted for on a trade date basis. Net realized gains and losses on securities are computed on the basis of specific security lot identification.

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs), and (2) the reporting issuer’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement.

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Common and preferred stocks, options and futures contracts, and U.S. registered mutual funds are generally categorized as Level 1.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Fixed income securities, repurchase agreements, cash collateral received as part of the securities lending program, and securities valued by an independent fair value pricing service are generally categorized as Level 2.

Level 3—significant unobservable inputs, including management’s own assumptions in determining the fair value of investments.

The Funds have adopted Amendments to Achieve Common Fair Value Measurement Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”) which amends Fair Value Measurement to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. Enhanced disclosure is required to detail any transfers into and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. The Funds did not hold any Level 3 securities as of February 29, 2016.

117

Notes to Financial Statements (continued)

The following is a summary of the inputs used, as of February 29, 2016, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	96,669,587	$	—	$	—	$	96,669,587
Short-Term Investments		1,983,408		44,437,641		—		46,421,049
Total	$	98,652,995	$	44,437,641	$	—	$	143,090,636
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	107,642,184	$	—	$	—	$	107,642,185
Short-Term Investments		1,864,911		53,217,171		—		55,082,082
Total	$	109,507,096	$	53,217,171	$	—	$	162,724,267
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	251,126,400	$	—	$	—	$	251,126,400
Short-Term Investments		3,040,230		118,168,144		—		121,208,374
Total	$	254,166,630	$	118,168,144	$	—	$	372,334,774
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	200,448,804	$	—	$	—	$	200,448,804
Short-Term Investments		2,632,847		96,041,875		—		98,674,722
Total	$	203,081,651	$	96,041,875	$	—	$	299,123,526
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	235,376,717	$	—	$	—	$	235,376,717
Short-Term Investments		5,813,262		115,481,432		—		121,294,694
Total	$	241,189,979	$	115,481,432	$	—	$	356,671,411
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	153,325,343	$	—	$	—	$	153,325,343
Short-Term Investments		6,047,154		69,977,252		—		76,024,406
Total	$	159,372,497	$	69,977,252	$	—	$	229,349,749
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	78,710,566	$	—	$	—	$	78,710,566
Short-Term Investments		1,572,727		31,739,073		—		33,311,800
Total	$	80,283,293	$	31,739,073	$	—	$	112,022,366
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	7,690,126	$	—	$	—	$	7,690,126
Short-Term Investments		138,519		3,539,961		—		3,678,480
Total	$	7,828,645	$	3,539,961	$	—	$	11,368,606
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	452,341,273	$	—	$	—	$	452,341,273
Short-Term Investments		16,610,248		214,875,932		—		231,486,180
Total	$	468,951,521	$	214,875,932	$	—	$	683,827,453

	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Austria	$	—	$	296,305	$	—	$	296,305
Belgium		—		323,616		—		323,616
Bermuda		945,124		55,421		—		1,000,545
Canada		2,686,043		—		—		2,686,043
Czech Republic		—		383,656		—		383,656
Denmark		—		106,241		—		106,241
France		—		51,862		—		51,862
Germany		—		1,203,283		—		1,203,283
Guernsey		605,799		—		—		605,799
Hong Kong		—		1,625,947		—		1,625,947
Hungary		—		145,660		—		145,660
Ireland		65,396		—		—		65,396
Israel		—		1,517,621		—		1,517,621
Italy		—		518,615		—		518,615
Japan		—		1,841,222		—		1,841,222
Malaysia		—		601,202		—		601,202
Netherlands		—		47,160		—		47,160
New Zealand		—		2,378,208		—		2,378,208
Philippines		—		593,534		—		593,534
Portugal		—		69,442		—		69,442
Singapore		—		2,800,300		—		2,800,300
South Korea		—		345,448		—		345,448
Switzerland		—		497,866		—		497,866
Taiwan		—		1,236,225		—		1,236,225
Thailand		254,578		231,707		—		486,285
United Kingdom		—		1,732,519		—		1,732,519
United States		10,938,466		—		—		10,938,466
Short-Term Investments		7,477,666		—		—		7,477,666
Total	$	22,973,072	$	18,603,060	$	—	$	41,576,132
	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	3,856,537	$	—	$	3,856,537
Belgium		—		117,362		—		117,362
Bermuda		152,469		—		—		152,469
Denmark		—		4,861,952		—		4,861,952
Faroe Islands		—		209,917		—		209,917
Finland		—		1,215,785		—		1,215,785
France		—		10,972,863		—		10,972,863
Germany		—		4,318,511		—		4,318,511
Hong Kong		—		638,722		—		638,722
Ireland		315,513		—		—		315,513
Israel		—		651,070		—		651,070
Italy		—		399,699		—		399,699
Japan		—		14,513,326		—		14,513,326
Jersey		1,151,897		364,053		—		1,515,950
Marshall Islands		146,215		—		—		146,215
Netherlands		564,963		3,050,015		—		3,614,978
New Zealand		—		341,714		—		341,714
Norway		—		663,517		—		663,517
Singapore		—		1,505,879		—		1,505,879
Sweden		—		157,790		—		157,790
Switzerland		1,122,804		5,236,120		—		6,358,924
United Kingdom		—		13,067,227		—		13,067,227
Short-Term Investments		4,278,611		—		—		4,278,611
Total	$	7,732,472	$	66,142,059	$	—	$	73,874,531
	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	60,253,420	$	—	$	60,253,420
Finland		—		6,723,856		—		6,723,856
Germany		—		34,310,977		—		34,310,977
Israel		—		9,150,561		—		9,150,561
Japan		—		56,049,201		—		56,049,201
Malaysia		—		25,177,435		—		25,177,435
Netherlands		—		27,728,750		—		27,728,750
Sweden		—		21,487,324		—		21,487,324
United Kingdom		—		96,721,426		—		96,721,426
Preferred Stocks(1)		—		9,272,805		—		9,272,805
Short-Term Investments		47,884,173		—		—		47,884,173
Total	$	47,884,173	$	599,273,655	$	—	$	647,157,828

118

BMO Funds

	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Bermuda	$	2,122,044	$	5,699,713	$	—	$	7,821,757
Brazil		1,047,061		—		—		1,047,061
Cayman Islands		—		5,004,430		—		5,004,430
Chile		2,885,045		—		—		2,885,045
Egypt		3,917,005		1,396,820		—		5,313,825
Hong Kong		—		398,645		—		398,645
India		—		39,899,076		—		39,899,076
Indonesia		—		23,876,651		—		23,876,651
Kenya		—		1,325,914		—		1,325,914
Malaysia		—		735,667		—		735,667
Mexico		9,686,675		—		—		9,686,675
Nigeria		—		1,476,382		—		1,476,382
Philippines		—		13,004,578		—		13,004,578
Singapore		—		6,299,478		—		6,299,478
South Africa		—		4,106,945		—		4,106,945
South Korea		—		1,592,880		—		1,592,880
Taiwan		—		1,229,129		—		1,229,129
Thailand		945,544		—		—		945,544
Turkey		—		4,182,442		—		4,182,442
United States		695,852		—		—		695,852
Vietnam		—		1,226,198		—		1,226,198
Preferred Stocks(1)		774,023		—		—		774,023
Participation Notes		—		4,143,107		—		4,143,107
Short-Term Investments		8,473,222		—		—		8,473,222
Total	$	30,546,471	$	115,598,055	$	—	$	146,144,526
	TCH Emerging Markets Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	4,272,342	$	—	$	4,272,342
International Bonds		—		2,684,100		—		2,684,100
Short-Term Investments		1,432,209		—		—		1,432,209
Total	$	1,432,209	$	6,956,442	$	—	$	8,388,651
	Alternative Strategies Fund(2)
	Level 1		Level 2		Level 3		Total
Assets-Long
Bank Loans	$	—	$	8,165,848	$	—	$	8,165,848
Common Stocks(1)		47,815,970		20,890		—		47,836,860
Convertible Bond		—		56,949		—		56,949
Corporate Bonds & Notes		—		2,049,274		—		2,049,274
Exchange Traded Funds		122,090		—		—		122,090
Limited Partnership Units		1,233,188		—		—		1,233,188
Purchased Options		315,299		—		—		315,299
U.S. Government & U.S. Government Agency Obligations		—		29,142		—		29,142
Short-Term Investments		28,352,779		9,998,540		—		38,351,319
Total	$	77,839,326	$	20,320,643	$	—	$	98,159,969
Liabilities-Short
Common Stocks(1)	$	23,197,858	$	1,001,500	$	—	$	24,199,358
Corporate Bonds & Notes		—		1,042,658		—		1,042,658
Exchange Traded Funds		4,213,966		—		—		4,213,966
Limited Partnership Units		89,577		—		—		89,577
Written Options		704,309		—		—		704,309
Total	$	28,205,710	$	2,044,158	$	—	$	30,249,868

	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks
Australia	$	—	$	65,180	$	—	$	65,180
Bermuda		207,769		46,671		—		254,440
Brazil		20,452		—		—		20,452
Canada		252,410		—		—		252,410
Cayman Islands		4,608		41,143		—		45,751
China		—		21,949		—		21,949
France		—		22,703		—		22,703
Germany		—		116,216		—		116,216
Greece		—		16,508		—		16,508
Hungary		—		31,268		—		31,268
Indonesia		—		9,257		—		9,257
Israel		—		88,651		—		88,651
Italy		—		31,242		—		31,242
Japan		—		210,368		—		210,368
Jersey		37,677		—		—		37,677
Luxembourg		10,589		—		—		10,589
Mexico		7,528		—		—		7,528
Netherlands		73,873		58,081		—		131,954
New Zealand		—		53,143		—		53,143
Poland		—		29,394		—		29,394
Singapore		—		38,590		—		38,590
South Korea		—		32,321		—		32,321
United Kingdom		—		322,647		—		322,647
United States		1,758,659		—		—		1,758,659
Short-Term Investments		1,774,860		—		—		1,774,860
Total	$	4,148,425	$	1,235,332	$	—	$	5,383,757
Liabilities-Short
Common Stocks
Australia	$	—	$	4,035	$	—	$	4,035
Canada		40,033		—		—		40,033
Cayman Islands		20,799		—		—		20,799
France		—		53,889		—		53,889
Germany		—		31,393		—		31,393
Japan		—		217,223		—		217,223
Netherlands		—		31,968		—		31,968
Norway		—		35,779		—		35,779
Spain		—		15,680		—		15,680
Sweden		—		29,982		—		29,982
United Kingdom		33,524		162,920		—		196,444
United States		571,689		—		—		571,689
Total	$	666,045	$	582,869	$	—	$	1,248,914
	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	606,539,520	$	—	$	606,539,520
Mutual Funds		—		2,000,100		—		2,000,100
Short-Term Investments		456,185		3,409,249		—		3,865,434
Total	$	456,185	$	611,948,869	$	—	$	612,405,054
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	178,992,722	$	—	$	178,992,722
Mutual Funds		853,332		—		—		853,332
Short-Term Investments		10,834,960		—		—		10,834,960
Total	$	11,688,292	$	178,992,722	$	—	$	190,681,014

119

Notes to Financial Statements (continued)

	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	71,914,880	$	—	$	71,914,880
Collateralized Mortgage Obligations		—		9,650,087		—		9,650,087
Commercial Mortgage Securities		—		8,964,784		—		8,964,784
Corporate Bonds & Notes		—		137,847,921		—		137,847,921
Mutual Funds		3,326,022		2,747,639		—		6,073,661
U.S. Government & U.S. Government Agency Obligations		—		109,247,691		—		109,247,691
U.S. Government Agency-Mortgage Securities		—		1,839,397		—		1,839,397
Short-Term Investments		9,879,660		47,192,328		—		57,071,988
Total	$	13,205,682	$	389,404,727	$	—	$	402,610,409
	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,692,161,692	$	—	$	1,692,161,692
Mutual Funds		16,605,673		—		—		16,605,673
Short-Term Investments		8,280,661		—		—		8,280,661
Total	$	24,886,334	$	1,692,161,692	$	—	$	1,717,048,026
	Mortgage Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	303,705	$	—	$	303,705
Collateralized Mortgage Obligations		—		14,872,991		—		14,872,991
Commercial Mortgage Securities		—		12,964,038		—		12,964,038
U.S. Government Agency-Mortgage Securities		—		80,787,952		—		80,787,952
Short-Term Investments		5,060,743		—		—		5,060,743
Total	$	5,060,743	$	108,928,686	$	—	$	113,989,429
	TCH Intermediate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	42,230,473	$	—	$	42,230,473
U.S. Government & U.S. Government Agency Obligations		—		9,874,684		—		9,874,684
U.S. Government Agency-Mortgage Securities		—		27,375,442		—		27,375,442
Short-Term Investments		3,191,859		20,215,637		—		23,407,496
Total	$	3,191,859	$	99,696,236	$	—	$	102,888,095
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	169,815,899	$	—	$	169,815,899
Municipals		—		593,935		—		593,935
U.S. Government & U.S. Government Agency Obligations		—		5,121,435		—		5,121,435
Short-Term Investments		16,479,145		26,880,604		—		43,359,749
Total	$	16,479,145	$	202,411,873	$	—	$	218,891,018

	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Commercial Mortgage Securities	$	—	$	504,896	$	—	$	504,896
Corporate Bonds & Notes		—		421,958,200		—		421,958,200
Municipals		—		356,361		—		356,361
U.S. Government & U.S. Government Agency Obligations		—		156,912,302		—		156,912,302
U.S. Government Agency-Mortgage Securities		—		334,203,376		—		334,203,376
Short-Term Investments		29,508,896		204,105,705		—		233,614,601
Total	$	29,508,896	$	1,118,040,840	$	—	$	1,147,549,736
	Monegy High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	65,831,900	$	—	$	65,831,900
Short-Term Investments		1,982,375		—		—		1,982,375
Total	$	1,982,375	$	65,831,900	$	—	$	67,814,275
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	40,000,000	$	—	$	—	$	40,000,000
Repurchase Agreements		—		276,169,165		—		276,169,165
U.S. Government & U.S. Government Agency Obligations		—		377,936,382		—		377,936,382
Total	$	40,000,000	$	654,105,547	$	—	$	694,105,547
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	653,641,261	$	—	$	653,641,261
Mutual Funds		42,885,215		—		—		42,885,215
Total	$	42,885,215	$	653,641,261	$	—	$	696,526,476
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	605,500,648	$	—	$	605,500,648
Commercial Paper		—		2,441,623,118		—		2,441,623,118
Corporate Bonds & Notes		—		21,393,796		—		21,393,796
Municipals		—		46,205,000		—		46,205,000
Mutual Funds		250,000,000		—		—		250,000,000
Notes-Variable		—		15,001,263		—		15,001,263
Repurchase Agreements		—		290,358,525		—		290,358,525
Total	$	250,000,000	$	3,420,082,350	$	—	$	3,670,082,350

(1) All sub-categories within Common Stocks and Preferred Stocks represent either entire Level 1 or Level 2 evaluation status.

(2) The following is a summary of other financial instruments that are derivative instruments not reflected in the Schedules of Investments, such as futures and forward contracts. Amounts below are the unrealized appreciation (depreciation) on the investment.

120

BMO Funds

	Unrealized Appreciation (Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund
Long Forward Contracts	$	—		$	262,903		$	—	$	262,903
Short Forward Contracts		—			(28,920	)		—		(28,920	)
Total Forwards	$	—		$	233,983		$	—	$	233,983
Long Futures Contracts	$	248,661		$	—		$	—	$	248,661
Short Futures Contracts		(359,050	)		—			—		(359,050	)
Total Futures	$	(110,389	)	$	—		$	—	$	(110,389	)

It is the Funds’ policy to recognize transfers between category levels at the end of the period. As described in Note 2, the Funds’ have retained an independent pricing service to fair value foreign equity securities for events occurring after the close of the market in which the security is principally traded. These valuations resulted in transfers between categorization levels at February 29, 2016.

The following is a reconciliation of transfers between category levels from August 31, 2015 to February 29, 2016:

	LGM Emerging Markets Equity Fund			Alternative Strategies Fund—Long Transfers
Transfers into Level 1	$	945,544		$	—
Transfers out of Level 1		—			(16,791	)
Net Transfers in (out) of Level 1	$	945,544		$	(16,791	)
Transfers into Level 2	$	—		$	16,791
Transfers out of Level 2		(945,544	)		—
Net Transfers in (out) of Level 2	$	(945,544	)	$	16,791

4. Derivative Holdings and Activity Detail

At February 29, 2016, the Alternative Strategies Fund had outstanding futures contracts as set forth below:

Expiration Date	Number of Contracts	Description	Value at Trade Date	Value at February 29, 2016	Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
March 2016	5	10 Year Mini JGB	$672,721	$674,826	$	2,105
March 2016	21	SFE 10-Year Australian Bond	1,951,217	1,976,074		24,857
March 2016	2	Eurex 5-Year Euro BOBL	289,154	290,086		932
March 2016	22	Eurex 10-Year Euro BUND	3,883,248	3,986,711		103,463
June 2016	19	MSE 10-Year Canadian Bond	1,995,980	1,988,049		(7,931)
June 2016	2	LIFFE Long Gilt Government Bond	337,082	339,361		2,279
June 2016	32	CBOT 10-Year U.S. Treasury Note	4,178,427	4,176,500		(1,927)
June 2016	11	CBOT 5-Year U.S. Treasury Note	1,331,814	1,330,828		(986)
June 2016	7	CBOT U.S. Long Bond	1,157,861	1,151,719		(6,142)
Interest Rate Futures
June 2017	118	LIFFE 3-Month Euro Euribor	32,167,406	32,213,536		46,130
June 2017	143	CME 3-Month Eurodollar	35,389,467	35,422,888		33,421
June 2017	90	LIFFE 90-Day Sterling	15,518,171	15,570,631		52,460
Short Futures
Index Futures
March 2016	10	CAC 40 10 Euro	(460,545)	(473,487)		(12,942)
March 2016	3	Eurex DAX Index	(771,429)	(772,156)		(727)
March 2016	6	CBOT E-Mini DJIA Index	(482,488)	(494,910)		(12,422)
March 2016	20	Eurex Euro STOXX 50 Index	(643,995)	(638,351)		5,644
March 2016	3	LIFFE FTSE 100 Index	(238,947)	(252,976)		(14,029)
March 2016	8	HKG Hang Seng Index	(992,802)	(980,040)		12,762
March 2016	3	CME E-Mini NASDAQ 100 Index	(245,887)	(252,075)		(6,188)
March 2016	3	OSE Nikkei 225 Index	(423,200)	(423,839)		(639)
March 2016	11	Russell 2000 Mini Index	(1,172,357)	(1,134,870)		37,487
March 2016	138	CME E-Mini S&P 500® Index	(12,968,088)	(13,313,550)		(345,462)
March 2016	7	CME E-Mini S&P 500® Index	(650,593)	(675,325)		(24,732)
March 2016	3	TSE TOPIX Index	(344,888)	(342,690)		2,198
Total Futures Contracts			$79,477,329	$79,366,940	$	(110,389)

121

Notes to Financial Statements (continued)

The following is a summary of the Alternative Strategies Fund’s written option activity for the period ended February 29, 2016:

Contracts	Number of Contracts			Premium
Outstanding @ 8/31/15		388		$	301,168
Options written		5,435			4,016,295
Options expired		(302	)		(645,306	)
Options exercised		(249	)		(89,057	)
Options closed		(4,331	)		(2,474,826	)
Outstanding @ 2/29/16		941		$	1,108,274

At February 29, 2016, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
March 18, 2016	Australian Dollar	AUD	5,232,000	$	3,703,251	$	3,731,614	$	28,363		Bank of America
March 18, 2016	Australian Dollar	$	3,294,496	AUD	4,163,000		3,290,125		4,371		Bank of America
March 18, 2016	Canadian Dollar	CAD	3,835,000	$	2,742,234		2,834,456		92,222		Bank of America
March 18, 2016	Canadian Dollar	$	3,263,752	CAD	4,459,000		3,295,655		(31,903	)	Bank of America
March 18, 2016	Euro Currency	EUR	4,576,000	$	5,066,938		4,980,250		(86,688	)	Bank of America
March 18, 2016	Euro Currency	$	6,958,211	EUR	6,341,000		6,901,173		57,038		Bank of America
March 18, 2016	Japanese Yen	JPY	901,084,000	$	7,650,438		7,995,315		344,877		Bank of America
March 18, 2016	Japanese Yen	$	6,851,971	JPY	821,221,000		7,286,690		(434,719	)	Bank of America
March 18, 2016	Mexican Peso	MXN	5,434,000	$	298,569		299,328		759		Bank of America
March 18, 2016	Mexican Peso	$	1,305,131	MXN	22,758,000		1,253,607		51,524		Bank of America
March 18, 2016	New Zealand Dollar	NZD	3,833,000	$	2,558,775		2,523,164		(35,611	)	Bank of America
March 18, 2016	New Zealand Dollar	$	2,323,762	NZD	3,560,000		2,343,455		(19,693	)	Bank of America
March 18, 2016	Pound Sterling	GBP	1,302,000	$	1,889,574		1,812,279		(77,295	)	Bank of America
March 18, 2016	Pound Sterling	$	4,643,378	GBP	3,110,000		4,328,869		314,509		Bank of America
March 18, 2016	Swiss Franc	CHF	492,000	$	496,831		493,107		(3,724	)	Bank of America
March 18, 2016	Swiss Franc	$	2,557,626	CHF	2,522,000		2,527,673		29,953		Bank of America
								$	233,983

During the period ended February 29, 2016, the following Funds had average quarterly contracts or notional values outstanding:

	Average Quarterly Contracts								Average Quarterly Notional Values
Fund	Long Futures		Short Futures		Purchased Options		Written Options		Short Forwards		Long Forwards
Alternative Strategies Fund		372		126		281		895	$	20,619,800	$	14,731,944

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the period ended February 29, 2016, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

122

BMO Funds

The effects of these derivative instruments on the Funds’ financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of February 29, 2016 by risk category are as follows:

	Statement of Assets and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain (Loss)			Net Change in Unrealized Appreciation (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	265,647
Payables for daily variation margin		(16,986	)
Net daily variation margin on unsettled contracts		248,661
Net realized gain on settled contracts				$	18,876
Net change in unrealized appreciation on unsettled contracts							$	260,707
Equity futures contracts:
Receivables for daily variation margin		58,091
Payables for daily variation margin		(417,141	)
Net daily variation margin on unsettled contracts		(359,050	)
Net realized loss on settled contracts					(883,399	)
Net change in unrealized depreciation on unsettled contracts								(177,328	)
Total receivables for interest rate and equity futures contracts		323,738
Total payables for interest rate and equity futures contracts		(434,127	)
Net daily variation margin on unsettled contracts	$	(110,389	)
Net realized loss on settled contracts				$	(864,523	)
Net change in unrealized appreciation on unsettled contracts							$	83,379
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	923,616
Payables for forward foreign exchange contracts		(689,633	)
Net receivable on unsettled contracts	$	233,983
Net gain on settled contracts				$	11,891
Net change in unrealized appreciation on unsettled contracts							$	147,982
Equity option contracts:
Purchased options, at value	$	315,299
Net gain (loss) on purchased options				$	195,265
Net change in unrealized depreciation on purchased options							$	(193,023	)
Written options, at value	$	(704,309	)
Net gain on written options				$	434,072
Net change in unrealized appreciation on written options							$	556,835

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities requires an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of February 29, 2016, no master netting arrangements exist related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore no net amounts and no offset amounts exist within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:

	Derivative Assets				Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received) (1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Forward Currency Contracts			Futures Contracts			Written Options						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank Of America Merrill Lynch (Over the Counter)	$	923,616	$	—	$	(689,633	)	$	—		$	—		$	233,983		$	—	$	—	$	233,983
Exchange Traded Futures Contracts		—		323,738		—			(434,127	)		—			(110,389	)		—		—		(110,389	)
Exchange Traded Options Contracts		—		—		—			—			(704,309	)		(704,309	)		—		704,309		—

(1) Collateral pledged exceeds amount of liability balance.

At period end, certain Funds covered in this report had investments in repurchase agreements. The gross value and related collateral received for these investments are presented in each applicable Fund’s Schedule of Investments and the value of these investments is also presented in the Statements of Assets and Liabilities. The value of the related collateral received exceeded the value of the repurchase agreements as of February 29, 2016.

123

Notes to Financial Statements (continued)

5. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	2,305,941	(1)	$	—		$	13,228,404	(2)	$	14,290,410		$	51,889,810
Advisor class of shares		8,433,412			284,251			6,432,173			8,891,830			6,500			2,533
Institutional class of shares		22,246,573			30,127,617			4,129,131			9,104,999			34,713,903			24,350,994
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			50,000	(3)		—
Advisor class transfers from termination of Investor class		—			1,349,076			—			73,932,036			—			—
Net proceeds from sale of shares		30,679,985			34,066,885			10,561,304			105,157,269			49,060,813			76,243,337
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			46,550	(1)		—			5,405,306	(2)		17,626,628			13,507,031
Advisor class of shares		210,579			6,032			5,399,097			432,520			3,201			2,666
Institutional class of shares		2,779,754			4,635,749			2,470,694			4,613,478			13,088,722			11,763,585
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from shares issued		2,990,333			4,688,331			7,869,791			10,451,304			30,718,551			25,273,282
Cost of shares redeemed:
Investor class of shares		—			(1,446,946	)(1)		—			(5,896,957	)(2)		(15,907,062	)		(24,583,590	)
Advisor class of shares		(5,084,510	)		(441,640	)		(7,820,506	)		(2,527,026	)		—			—
Institutional class of shares		(5,750,379	)		(13,647,960	)		(11,483,719	)		(17,285,991	)		(14,252,279	)		(50,096,519	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			(1,349,076	)		—			(73,932,036	)		—			—
Net cost of shares redeemed		(10,834,889	)		(16,885,622	)		(19,304,225	)		(99,642,010	)		(30,159,341	)		(74,680,109	)
Net change resulting from fund share transactions in dollars	$	22,835,429		$	21,869,594		$	(873,130	)	$	15,966,563		$	49,620,023		$	26,836,510
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			173,729	(1)		—			957,585	(2)		993,366			3,260,833
Advisor class of shares		654,804			21,262			522,508			659,802			518			156
Institutional class of shares		1,764,561			2,304,058			350,758			667,176			2,363,389			1,532,889
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			3,621	(3)		—
Advisor class transfers from termination of Investor class		—			100,178			—			5,391,964			—			—
Net sale of shares		2,419,365			2,599,227			873,266			7,676,527			3,360,894			4,793,878
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			3,604	(1)		—			401,277	(2)		1,276,973			869,122
Advisor class of shares		16,606			459			446,564			31,874			232			171
Institutional class of shares		218,656			358,152			204,155			341,712			947,006			756,375
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares issued		235,262			362,215			650,719			774,863			2,224,211			1,625,668
Shares redeemed:
Investor class of shares		—			(108,476	)(1)		—			(422,256	)(2)		(1,123,108	)		(1,519,256	)
Advisor class of shares		(413,268	)		(33,149	)		(643,493	)		(188,631	)		—			—
Institutional class of shares		(447,095	)		(1,025,954	)		(911,831	)		(1,266,146	)		(991,970	)		(3,091,202	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			(100,178	)		—			(5,391,964	)		—			—
Net shares redeemed		(860,363	)		(1,267,757	)		(1,555,324	)		(7,268,997	)		(2,115,078	)		(4,610,458	)
Net change resulting from fund share transactions in shares		1,794,264			1,693,685			(31,339	)		1,182,393			3,470,027			1,809,088

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

(3) Reflects operations for the period from December 28, 2015 (inception date) to February 29, 2016.

124

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	13,625,909		$	94,927,499		$	9,834,750		$	35,820,566		$	8,914,395		$	27,450,657		$	—		$	20,687,763	(2)
	283,042			9,184			9,778			—			3,156			6,583			6,556,921			7,597,339
	1,988,730			16,533,828			6,868,125			17,255,206			4,671,378			14,808,537			5,468,807			15,472,198
	—			—			35			—			—			—			49,226			200
	50,000	(3)		—			3,006,653			10,476,491			—			—			617,128			145,932
	—			—			—			—			—			—			—			77,723,552
	15,947,681			111,470,511			19,719,341			63,552,263			13,588,929			42,265,777			12,692,082			121,626,984
	23,450,046			16,094,464			17,832,159			21,716,689			17,851,036			16,670,003			—			3,740,385	(2)
	14,768			3,871			2,945			3,126			4,458			3,529			2,832,915			1,447
	9,087,283			18,341,269			9,144,441			16,454,019			10,637,126			17,695,668			861,712			893,637
	—			—			2,549			3,100			3,577			3,467			1,045			1,439
	—			—			898,138			3,188			3,575			3,467			22,642			1,439
	32,552,097			34,439,604			27,880,232			38,180,122			28,499,772			34,376,134			3,718,314			4,638,347
	(32,440,777	)		(39,032,633	)		(23,963,958	)		(39,236,294	)		(14,682,150	)		(20,533,400	)		—			(10,274,941	)(2)
	—			—			—			—			—			(4,012	)		(11,488,412	)		(6,488,094	)
	(13,470,289	)		(84,409,853	)		(17,097,712	)		(61,375,263	)		(16,312,655	)		(76,374,202	)		(4,674,200	)		(11,052,040	)
	—			—			—			—			—			—			(31	)		—
	—			—			(779,929	)		(1,225,571	)		—			—			(38,497	)		(31,013	)
	—			—			—			—			—			—			—			(77,723,552	)
	(45,911,066	)		(123,442,486	)		(41,841,599	)		(101,837,128	)		(30,994,805	)		(96,911,614	)		(16,201,140	)		(105,569,640	)
$	2,588,712		$	22,467,629		$	5,757,974		$	(104,743	)	$	11,093,896	��	$	(20,269,703	)	$	209,256		$	20,695,691
	895,259			5,824,318			705,976			2,191,108			520,994			1,268,780			—			1,536,678	(2)
	19,232			529			767			—			163			306			534,650			559,792
	135,198			1,007,550			497,168			1,072,196			279,024			667,838			434,532			1,103,954
	—			—			3			—			—			—			3,988			15
	3,390	(3)		—			226,660			658,695			—			—			47,826			10,762
	—			—			—			—			—			—			—			5,640,424
	1,053,079			6,832,397			1,430,574			3,921,999			800,181			1,936,924			1,020,996			8,851,625
	1,597,414			1,019,928			1,321,880			1,401,981			1,110,830			829,353			—			286,839	(2)
	1,006			245			218			202			278			176			231,258			111
	614,421			1,155,719			679,884			1,064,985			643,115			861,103			69,605			68,009
	—			—			190			200			218			169			85			110
	—			—			66,776			206			215			169			1,823			110
	2,212,841			2,175,892			2,068,948			2,467,574			1,754,656			1,690,970			302,771			355,179
	(2,184,078	)		(2,335,983	)		(1,755,879	)		(2,404,283	)		(895,968	)		(949,629	)		—			(765,945	)(2)
	—			—			—			—			—			(189	)		(974,086	)		(478,216	)
	(833,239	)		(4,964,126	)		(1,206,821	)		(3,789,070	)		(995,340	)		(3,434,480	)		(375,638	)		(807,228	)
	—			—			—			—			—			—			(3	)		—
	—			—			(55,241	)		(76,599	)		—			—			(3,015	)		(2,275	)
	—			—			—			—			—			—			—			(5,640,424	)
	(3,017,317	)		(7,300,109	)		(3,017,941	)		(6,269,952	)		(1,891,308	)		(4,384,298	)		(1,352,742	)		(7,694,088	)
	248,603			1,708,180			481,581			119,621			663,529			(756,404	)		(28,975	)		1,512,716

125

Notes to Financial Statements (continued)

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	85,124	(1)	$	15,142,481		$	59,881,274		$	—		$	26,515	(1)
Advisor class of shares		7,447			2,534			—			—			13,840			2,465
Institutional class of shares		5,126,104			661,179			86,263,837			107,104,980			30,022,757			212,246
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			666,195			—			—			—			125,949
Net proceeds from sale of shares		5,133,551			1,415,032			101,406,318			166,986,254			30,036,597			367,175
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			18,971,056			64,686,862			—			1,464	(1)
Advisor class of shares		4,815			—			—			—			723			285
Institutional class of shares		50,512			—			19,873,633			57,163,406			278,039			51,285
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from shares issued		55,327			—			38,844,689			121,850,268			278,762			53,034
Cost of shares redeemed:
Investor class of shares		—			(3,606	)(1)		(83,327,561	)		(178,351,779	)		—			(14,409	)(1)
Advisor class of shares		(54,259	)		(2,890	)		—			—			—			(3,549	)
Institutional class of shares		(1,345,744	)		(26,550	)		(69,104,008	)		(122,705,823	)		(10	)		(10,010	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			(666,195	)		—			—			—			(125,949	)
Net cost of shares redeemed		(1,400,003	)		(699,241	)		(152,431,569	)		(301,057,602	)		(10	)		(153,917	)
Redemption fees		—			—			—			—			—			—
Net change resulting from fund share transactions in dollars	$	3,788,875		$	715,791		$	(12,180,562	)	$	(12,221,080	)	$	30,315,349		$	266,292
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			8,038	(1)		949,504			3,035,093			—			2,380	(1)
Advisor class of shares		716			223			—			—			1,218			209
Institutional class of shares		495,969			58,516			5,359,777			5,259,971			2,692,620			18,591
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			57,981			—			—			—			10,389
Net sale of shares		496,685			124,758			6,309,281			8,295,064			2,693,838			31,569
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			1,220,789			3,632,053			—			130	(1)
Advisor class of shares		451			—			—			—			63			25
Institutional class of shares		4,712			—			1,242,102			3,132,242			24,262			4,542
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares issued		5,163			—			2,462,891			6,764,295			24,325			4,697
Shares redeemed:
Investor class of shares		—			(339	)(1)		(5,448,366	)		(9,037,485	)		—			(1,270	)(1)
Advisor class of shares		(5,681	)		(251	)		—			—			—			(291	)
Institutional class of shares		(126,811	)		(2,386	)		(4,237,903	)		(6,160,736	)		(1	)		(874	)
Retirement class R-6 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			(57,981	)		—			—			—			(10,389	)
Net shares redeemed		(132,492	)		(60,957	)		(9,686,269	)		(15,198,221	)		(1	)		(12,824	)
Net change resulting from fund share transactions in shares		369,356			63,801			(914,097	)		(138,862	)		2,718,162			23,442

(1) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

126

BMO Funds

Disciplined International Equity Fund			Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Period Ended February 29, 2016(2) (Unaudited)			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	—		$	8,700,206		$	29,274,657		$	—		$	10,812,875	(1)	$	—		$	27,714	(1)
	178,000			27,631			837,890			7,174,926			7,937,867			2,240			45,350
	78,743,216			62,198,008			486,602,419			7,816,147			27,318,780			4,261			10,000
	—			8,882,872			7,580,387			—			—			—			—
	—			—			—			—			67,542,100			—			3,981,659
	78,921,216			79,808,717			524,295,353			14,991,073			113,611,622			6,501			4,064,723
	—			1,910,079			523,199			—			748,847	(1)		—			283,246	(1)
	—			16,401			155			562,608			305			220,767			1,848
	—			5,045,398			1,764,124			731,005			1,387,723			222,439			289,840
	—			399			121			—			—			—			—
	—			314,323			206			—			—			—			—
	—			7,286,600			2,287,805			1,293,613			2,136,875			443,206			574,934
	—			(12,322,222	)		(9,501,426	)		—			(5,071,919	)(1)		—			(855	)(1)
	—			(758,240	)		—			(4,843,699	)		(2,512,123	)		(66,845	)		(205	)
	(855,925	)		(140,155,216	)		(70,009,306	)		(15,625,017	)		(39,195,824	)		—			—
	—			(1,449,792	)		(480,963	)		—			—			—			—
	—			—			—			—			(67,542,100	)		—			(3,981,659	)
	(855,925	)		(154,685,470	)		(79,991,695	)		(20,468,716	)		(114,321,966	)		(66,845	)		(3,982,719	)
	—			7,644			3,177			87			261			—			—
$	78,065,291		$	(67,582,509	)	$	446,594,640		$	(4,183,943	)	$	1,426,792		$	382,862		$	656,938
	—			752,589			2,316,403			—			786,382	(1)		—			2,758	(1)
	18,865			2,454			67,683			602,639			598,708			243			4,412
	7,961,965			5,442,686			37,832,055			665,967			1,997,469			429			908
	—			749,256			592,066			—			—			—			—
	—			—			—			—			4,868,984			—			385,759
	7,980,830			6,946,985			40,808,207			1,268,606			8,251,543			672			393,837
	—			166,674			42,467			—			56,136	(1)		—			28,438	(1)
	—			1,431			13			48,376			23			24,722			186
	—			439,495			142,960			62,747			103,871			24,909			29,100
	—			35			10			—			—			—			—
	—			27,380			17			—			—			—			—
	—			635,015			185,467			111,123			160,030			49,631			57,724
	—			(1,081,608	)		(751,917	)		—			(368,299	)(1)		—			(148	)(1)
	—			(68,295	)		—			(410,553	)		(190,894	)		(7,570	)		(20	)
	(85,223	)		(12,056,674	)		(5,543,509	)		(1,312,094	)		(2,907,588	)		—			—
	—			(123,546	)		(37,602	)		—			—			—			—
	—			—			—			—			(4,868,984	)		—			(385,759	)
	(85,223	)		(13,330,123	)		(6,333,028	)		(1,722,647	)		(8,335,765	)		(7,570	)		(385,927	)
	7,895,607			(5,748,123	)		34,660,646			(342,918	)		75,808			42,733			65,634

127

Notes to Financial Statements (continued)

	Alternative Strategies Fund						Global Long/Short Equity Fund		Ultra Short Tax-Free Fund
	Six Months Ended February 29, 2016 (Unaudited)			Period Ended August 31, 2015(1)			Period Ended February 29, 2016(2) (Unaudited)		Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—	$	5,963,414		$	34,499,397
Advisor class of shares		161,309			3,211,693			381,000		53,076			25,000
Institutional class of shares		72,575,383			32,877,000			3,406,875		186,093,394			732,280,458
Net proceeds from sale of shares		72,736,692			36,088,693			3,787,875		192,109,884			766,804,855
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—		158,198			232,743
Advisor class of shares		2,839			—			—		117			91
Institutional class of shares		964,816			—			—		1,027,662			1,262,595
Net proceeds from shares issued		967,655			—			—		1,185,977			1,495,429
Cost of shares redeemed:
Investor class of shares		—			—			—		(10,523,789	)		(37,929,231	)
Advisor class of shares		(826,749	)		(2,151,437	)		—		(44,396	)		(24,979	)
Institutional class of shares		(3,546,938	)		—			—		(333,113,570	)		(693,822,928	)
Net cost of shares redeemed		(4,373,687	)		(2,151,437	)		—		(343,681,755	)		(731,777,138	)
Net change resulting from fund share transactions in dollars	$	69,330,660		$	33,937,256		$	3,787,875	$	(150,385,894	)	$	36,523,146
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—		591,826			3,417,481
Advisor class of shares		15,775			303,423			38,630		5,267			2,478
Institutional class of shares		7,056,584			3,287,526			338,323		18,472,077			72,577,811
Net sale of shares		7,072,359			3,590,949			376,953		19,069,170			75,997,770
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—		15,702			23,056
Advisor class of shares		282			—			—		11			9
Institutional class of shares		95,621			—			—		102,078			125,162
Net shares issued		95,903			—			—		117,791			148,227
Shares redeemed:
Investor class of shares		—			—			—		(1,044,468	)		(3,757,848	)
Advisor class of shares		(80,947	)		(206,249	)		—		(4,407	)		(2,478	)
Institutional class of shares		(357,318	)		—			—		(33,073,023	)		(68,772,910	)
Net shares redeemed		(438,265	)		(206,249	)		—		(34,121,898	)		(72,533,236	)
Net change resulting from fund share transactions in shares		6,729,997			3,384,700			376,953		(14,934,937	)		3,612,761

(1) Reflects operations for the period from December 16, 2014 (inception date) to August 31, 2015

(2) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

128

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund						Mortgage Income Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	5,019,356		$	14,697,884		$	11,982,202		$	21,701,066		$	165,747,806		$	498,756,928		$	6,559,536		$	8,605,907
	282,144			428,043			3,216			—			1,433,325			3,500			1,556			—
	84,048,746			93,615,103			84,883,214			188,063,432			115,221,066			274,371,800			5,400,680			8,766,527
	89,350,246			108,741,030			96,868,632			209,764,498			282,402,197			773,132,228			11,961,772			17,372,434
	161,746			327,112			321,921			848,728			15,553,716			25,330,824			1,296,071			2,813,001
	1,023			380			132			296			28,712			46,680			379			729
	181,346			194,867			1,049,876			1,114,115			3,110,306			4,080,191			126,631			208,761
	344,115			522,359			1,371,929			1,963,139			18,692,734			29,457,695			1,423,081			3,022,491
	(14,967,896	)		(15,767,281	)		(20,425,716	)		(31,671,458	)		(240,951,817	)		(276,080,914	)		(13,555,608	)		(22,523,389	)
	(4,039	)		(38	)		(3,201	)		—			(2,186,200	)		—			—			—
	(13,443,986	)		(66,075,691	)		(52,039,673	)		(66,614,972	)		(182,867,364	)		(114,349,922	)		(3,276,872	)		(14,431,864	)
	(28,415,921	)		(81,843,010	)		(72,468,590	)		(98,286,430	)		(426,005,381	)		(390,430,836	)		(16,832,480	)		(36,955,253	)
$	61,278,440		$	27,420,379		$	25,771,971		$	113,441,207		$	(124,910,450	)	$	412,159,087		$	(3,447,627	)	$	(16,560,328	)
	491,459			1,437,965			1,284,351			2,316,962			14,593,815			44,153,582			703,779			919,498
	27,632			41,925			344			—			126,338			311			167			—
	8,228,637			9,152,374			9,077,485			20,068,196			10,162,080			24,302,385			578,425			941,413
	8,747,728			10,632,264			10,362,180			22,385,158			24,882,233			68,456,278			1,282,371			1,860,911
	15,848			32,003			34,503			90,624			1,368,854			2,240,079			138,919			299,827
	100			37			14			32			2,527			4,128			41			78
	17,766			19,060			112,312			118,778			273,899			361,137			13,585			22,275
	33,714			51,100			146,829			209,434			1,645,280			2,605,344			152,545			322,180
	(1,467,967	)		(1,542,455	)		(2,192,169	)		(3,382,518	)		(21,116,057	)		(24,439,180	)		(1,456,292	)		(2,401,577	)
	(396	)		(4	)		(344	)		—			(190,452	)		—			—			—
	(1,315,728	)		(6,455,094	)		(5,566,466	)		(7,101,162	)		(16,187,996	)		(10,142,271	)		(351,594	)		(1,539,181	)
	(2,784,091	)		(7,997,553	)		(7,758,979	)		(10,483,680	)		(37,494,505	)		(34,581,451	)		(1,807,886	)		(3,940,758	)
	5,997,351			2,685,811			2,750,030			12,110,912			(10,966,992	)		36,480,171			(372,970	)		(1,757,667	)

129

Notes to Financial Statements (continued)

	TCH Intermediate Income Fund						TCH Corporate Income Fund						TCH Core Plus Bond Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	1,349,483	(1)	$	3,280,014		$	102,866,491		$	48,180,979		$	193,582,142
Advisor class of shares		793,797			152,489			65,129			—			717,383			302,957
Institutional/Premier class of shares		6,977,689			29,094,301			16,370,790			87,268,477			59,845,860			175,200,648
Advisor class transfers from termination of Investor class		—			30,496,660			—			—			—			—
Net proceeds from sale of shares		7,771,486			61,092,933			19,715,933			190,134,968			108,744,222			369,085,747
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			391,920	(1)		2,443,369			3,989,662			8,957,649			18,010,897
Advisor class of shares		284,158			177,432			578			813			11,493			6,174
Institutional/Premier class of shares		525,088			1,493,931			1,254,732			2,220,373			6,526,179			13,801,439
Net proceeds from shares issued		809,246			2,063,283			3,698,679			6,210,848			15,495,321			31,818,510
Cost of shares redeemed:
Investor class of shares		—			(5,270,894	)(1)		(59,397,937	)		(39,458,578	)		(127,856,721	)		(100,988,848	)
Advisor class of shares		(3,655,459	)		(2,681,713	)		—			—			(61,638	)		(12,103	)
Institutional/Premier class of shares		(25,085,780	)		(60,956,935	)		(60,051,859	)		(39,920,311	)		(99,948,795	)		(117,937,793	)
Advisor class transfers from termination of Investor class		—			(30,496,660	)		—			—			—			—
Net cost of shares redeemed		(28,741,239	)		(99,406,202	)		(119,449,796	)		(79,378,889	)		(227,867,154	)		(218,938,744	)
Net change resulting from fund share transactions in dollars	$	(20,160,507	)	$	(36,249,986	)	$	(96,035,184	)	$	116,966,927		$	(103,627,611	)	$	181,965,513
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			127,371	(1)		272,369			7,988,013			4,280,056			16,475,479
Advisor class of shares		76,975			13,906			5,514			—			63,402			25,699
Institutional/Premier class of shares		683,335			2,755,232			1,355,165			6,805,605			5,298,535			14,894,239
Advisor class transfers from termination of Investor class		—			2,888,573			—			—			—			—
Net sale of shares		760,310			5,785,082			1,633,048			14,793,618			9,641,993			31,395,417
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			37,000	(1)		204,048			312,288			797,676			1,535,138
Advisor class of shares		27,796			16,990			49			64			1,027			527
Institutional/Premier class of shares		51,424			141,649			105,011			173,659			581,522			1,176,276
Net shares issued		79,220			195,639			309,108			486,011			1,380,225			2,711,941
Shares redeemed:
Investor class of shares		—			(497,206	)(1)		(4,958,298	)		(3,095,232	)		(11,430,005	)		(8,602,275	)
Advisor class of shares		(358,691	)		(257,544	)		—			—			(5,479	)		(1,053	)
Institutional/Premier class of shares		(2,457,329	)		(5,791,240	)		(5,053,241	)		(3,132,389	)		(8,898,046	)		(10,104,876	)
Advisor class transfers from termination of Investor class		—			(2,888,573	)		—			—			—			—
Net shares redeemed		(2,816,020	)		(9,434,563	)		(10,011,539	)		(6,227,621	)		(20,333,530	)		(18,708,204	)
Net change resulting from fund share transactions in shares		(1,976,490	)		(3,453,842	)		(8,069,383	)		9,052,008			(9,311,312	)		15,399,154

(1) Reflects operations for the period from September 1, 2014, to May 19, 2015 (termination of Investor class of shares).

(2) Reflects operations for the period from September 1, 2014, to April 21, 2015 (termination of Investor class of shares).

130

BMO Funds

Monegy High Yield Bond Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
$	—		$	5,088,580	(2)	$	279,838,362		$	503,002,591		$	163,240,907		$	326,883,986		$	1,619,735,824		$	3,522,719,193
	5,366,674			3,962,546			—			—			—			—			—			—
	4,200,054			6,100,393			1,130,613,681			2,263,896,142			770,604,939			1,820,616,630			3,762,519,938			8,192,382,872
	—			41,847,934			—			—			—			—			—			—
	9,566,728			56,999,453			1,410,452,043			2,766,898,733			933,845,846			2,147,500,616			5,382,255,762			11,715,102,065
	—			2,155,397	(2)		2,403			5,698			35,762			18,578			29,001			36,126
	1,106,855			795,168			—			—			—			—			—			—
	620,419			2,129,094			10,677			5,274			1,311			3,343			131,820			36,117
	1,727,274			5,079,659			13,080			10,972			37,073			21,921			160,821			72,243
	—			(3,409,628	)(2)		(270,881,127	)		(506,682,034	)		(152,978,748	)		(316,026,171	)		(1,720,911,225	)		(3,582,990,393	)
	(4,514,907	)		(1,835,239	)		—			—			—			—			—			—
	(6,705,572	)		(11,813,369	)		(1,014,108,241	)		(2,224,520,366	)		(757,663,962	)		(1,759,514,774	)		(3,853,235,438	)		(7,584,594,383	)
	—			(41,847,934	)		—			—			—			—			—			—
	(11,220,479	)		(58,906,170	)		(1,284,989,368	)		(2,731,202,400	)		(910,642,710	)		(2,075,540,945	)		(5,574,146,663	)		(11,167,584,776	)
$	73,523		$	3,172,942		$	125,475,755		$	35,707,305		$	23,240,209		$	71,981,592		$	(191,730,080	)	$	547,589,532
	—			512,898	(2)		279,838,362			503,002,591			163,240,907			326,883,986			1,619,735,824			3,522,719,193
	596,097			406,925			—			—			—			—			—			—
	464,287			617,472			1,130,613,681			2,263,896,142			770,604,939			1,820,616,630			3,762,519,938			8,192,382,872
	—			4,249,540			—			—			—			—			—			—
	1,060,384			5,786,835			1,410,452,043			2,766,898,733			933,845,846			2,147,500,616			5,382,255,762			11,715,102,065
	—			219,824	(2)		2,403			5,698			35,762			18,578			29,001			36,126
	122,215			82,464			—			—			—			—			—			—
	68,465			218,115			10,677			5,274			1,311			3,343			131,820			36,117
	190,680			520,403			13,080			10,972			37,073			21,921			160,821			72,243
	—			(341,231	)(2)		(270,881,127	)		(506,682,034	)		(152,978,748	)		(316,026,171	)		(1,720,911,225	)		(3,582,990,393	)
	(500,446	)		(190,085	)		—			—			—			—			—			—
	(742,449	)		(1,202,200	)		(1,014,108,241	)		(2,224,520,366	)		(757,663,962	)		(1,759,514,774	)		(3,853,235,438	)		(7,584,594,383	)
	—			(4,249,540	)		—			—			—			—			—			—
	(1,242,895	)		(5,983,056	)		(1,284,989,368	)		(2,731,202,400	)		(910,642,710	)		(2,075,540,945	)		(5,574,146,663	)		(11,167,584,776	)
	8,169			324,182			125,475,755			35,707,305			23,240,209			71,981,592			(191,730,080	)		547,589,532

131

Notes to Financial Statements (continued)

6. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser receives for its services an investment adviser fee based on a percentage of each Fund’s average daily net assets (“ADNA”) as listed below.

	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.50	%		0.49	%		0.45	%		0.40	%
Dividend Income Fund		0.50			0.49			0.45			0.40
Mid-Cap Value Fund		0.69			0.67			0.57			0.51
Mid-Cap Growth Fund		0.69			0.67			0.57			0.51
Small-Cap Value Fund		0.69			0.68			0.62			0.61
Small-Cap Growth Fund		0.95			0.90			0.90			0.90
Global Low Volatility Equity Fund		0.65			0.64			0.60			0.55
Pyrford International Stock Fund		0.74			0.72			0.62			0.56
LGM Emerging Markets Equity Fund		0.90			0.89			0.85			0.80
	Fund’s ADNA
	on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
TCH Emerging Markets Bond Fund		0.55	%		0.55	%		0.55	%		0.55	%
Ultra Short Tax-Free Fund		0.20			0.19			0.17			0.10
Short Tax-Free Fund		0.20			0.19			0.17			0.15
Short-Term Income Fund		0.20			0.19			0.17			0.10
Intermediate Tax-Free Fund		0.25			0.16			0.12			0.10
Mortgage Income Fund		0.25			0.20			0.20			0.20
TCH Intermediate Income Fund		0.25			0.20			0.20			0.20
TCH Corporate Income Fund		0.20			0.19			0.15			0.10
TCH Core Plus Bond Fund		0.25			0.16			0.12			0.10
Monegy High Yield Bond Fund		0.50			0.50			0.50			0.50

	Fund’s ADNA										Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion			Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Large-Cap Value Fund(1)		0.500	%		0.475	%		0.450	%	Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Large-Cap Growth Fund(1)		0.500			0.475			0.450		Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Small-Cap Core Fund		0.650			0.625			0.600		Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Disciplined International Equity Fund(2)		0.600			0.575			0.550
Alternative Strategies Fund		1.700			1.675			1.650
Global Long/Short Equity Fund(2)		1.000			0.975			0.950

(1) Effective December 29, 2015, the investment adviser fees and breakpoint tiers changed for some BMO Funds as presented. Prior to December 29, 2015, the fees charged based on the Funds’ ADNA were as follows: 0.70% on the first $500 million, 0.65% on the next $200 million, 0.60% on the next $100 million and 0.55% in excess of $800 million.

(2) Fund inception date is September 17, 2015.

The Pyrford International Stock Fund’s sub-adviser is Pyrford International Ltd., an affiliate of the Adviser. The LGM Emerging Markets Equity Fund’s sub-adviser is LGM Investments Limited, an affiliate of the Adviser. The TCH Emerging Markets Bond Fund, TCH Intermediate Income Fund, TCH Corporate Income Fund and TCH Core Plus Bond Fund’s sub-adviser is Taplin, Canida & Habacht, LLC, an affiliate of the Adviser. One of the sub-advisers of the Alternative Strategies Fund is CTC myCFO, LLC, an affiliate of the Adviser. The Monegy High Yield Bond Fund’s sub-adviser is Monegy, Inc., an affiliate of the Adviser. The Adviser compensates each sub-adviser based on the level of average daily net assets of each respective Fund managed by each sub-adviser.

Contractual Expense Limitation—The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent class specific total annual operating expenses (excluding taxes, dividend and interest expense, brokerage commissions, other investment related costs, Acquired Fund Fees and Expenses and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to December 31, 2016, without the consent of the Directors, unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or

132

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terminate this voluntary waiver at any time at its sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Premier Class			Retirement Class R-3			Retirement Class R-6
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund		1.00	%(1)		1.00	(1)		0.75	(2)								0.60	%(3)
Large-Cap Growth Fund		1.00	(1)		1.00	(1)		0.75	(2)								0.60	(3)
Mid-Cap Value Fund		1.24			1.24			0.99						1.49	%		0.84
Mid-Cap Growth Fund		1.24			1.24			0.99						1.49			0.84
Small-Cap Value Fund					1.24			0.99						1.49			0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund		1.44						1.19
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund(4)					1.15			0.90
Pyrford International Stock Fund		1.24			1.24			0.99						1.49			0.84
LGM Emerging Markets Equity Fund					1.40			1.15
TCH Emerging Markets Bond Fund					1.00			0.85
Alternative Strategies Fund					2.20			1.95
Global Long/Short Equity Fund(4)					1.60			1.35
Ultra Short Tax-Free Fund		0.55			0.55			0.30
Short Tax-Free Fund		0.55			0.55			0.40
Short-Term Income Fund		0.60			0.60			0.35
Intermediate Tax-Free Fund		0.55			0.55			0.50
Mortgage Income Fund		0.80			0.80			0.55
TCH Intermediate Income Fund					0.80			0.55
TCH Corporate Income Fund		0.59			0.59			0.55
TCH Core Plus Bond Fund		0.59			0.59			0.55
Monegy High Yield Bond Fund					0.90			0.65
Government Money Market Fund		0.45									0.20	%
Tax-Free Money Market Fund		0.45									0.20
Prime Money Market Fund		0.45									0.20

(1) Effective December 29, 2015. Prior to December 29, 2015, the annual rate was 1.20%.

(2) Effective December 29, 2015. Prior to December 29, 2015, the annual rate was 0.95%.

(3) Class inception date is December 29, 2015.

(4) Fund inception date is September 17, 2015.

For the period ended February 29, 2016, the Adviser chose to voluntarily waive beyond its contractual expense limitations for the following Funds in the following amounts to ensure shareholders earned at least 0.01% return on their investment:

Fund	Amount
Government Money Market Fund	$	248,968
Tax-Free Money Market Fund		436,688
Prime Money Market Fund		743,751

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, each Fund pays the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—Certain Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Advisor Class and Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.25% and 0.50% of the average daily net assets of the Fund’s Advisor Class and Retirement Class R-3 shares, respectively.

133

Notes to Financial Statements (continued)

Administration Fees—The fee paid to the Adviser is based on each Fund’s average daily net assets with respect to Administration Fee Schedules A and the aggregate average daily net assets of all Funds representing Administration Fee Schedule B as listed below.

Administration Fee Schedule A	Administration Fee Schedule B
Annual Rate	Annual Rate	ADNA
0.1500%	0.0400%	on the first $2 billion
	0.0300	on the next $2 billion
	0.0250	on the next $2 billion
	0.0200	on the next $2 billion
	0.0100	in excess of $8 billion
Fund	Fund
Low Volatility Equity Fund	Government Money Market Fund
Dividend Income Fund	Tax-Free Money Market Fund
Large-Cap Value Fund(2)	Prime Money Market Fund
Large-Cap Growth Fund(2)
Mid-Cap Value Fund(2)
Mid-Cap Growth Fund(2)
Small-Cap Value Fund(2)
Small-Cap Core Fund
Small-Cap Growth Fund
Global Low Volatility Equity Fund
Disciplined International Equity Fund(1)
Pyrford International Stock Fund(2)
LGM Emerging Markets Equity Fund
TCH Emerging Markets Bond Fund
Alternative Strategies Fund
Global Long/Short Equity Fund(1)
Ultra Short Tax-Free Fund
Short Tax-Free Fund
Short-Term Income Fund
Intermediate Tax-Free Fund
Mortgage Income Fund
TCH Intermediate Income Fund
TCH Corporate Income Fund
TCH Core Plus Bond Fund
Monegy High Yield Bond Fund

(1) Fund inception date is September 17, 2015

(2) For the period ended February 29, 2016, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class		Advisor Class		Institutional Class		Retirement Class R-3		Retirement Class R-6(a)
Large-Cap Value Fund	$	116,205	$	22	$	86,630	$	—	$	—
Large-Cap Growth Fund		117,165		110		49,249		—		—
Mid-Cap Value Fund		125,373		22		67,094		18		—
Mid-Cap Growth Fund		85,177		21		54,478		18		—
Small-Cap Value Fund		—		52,506		14,416		30		—
Pyrford International Stock Fund		67,576		562		433,210		16		—

(a) Retirement Class R-6 does not pay an Administrative Fee.

Custodian Fees—BMO Harris is the Funds’ custodian, except for the International Funds, for which State Street Bank & Trust Company maintains custody. BMO Harris receives fees consisting of 0.005% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

Securities Lending—The Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the period ended February 29, 2016:

Fund	Fees Paid
Low Volatility Equity Fund	$	10,207
Dividend Income Fund		11,849
Large-Cap Value Fund		26,484
Large-Cap Growth Fund		16,905
Mid-Cap Value Fund		20,984
Mid-Cap Growth Fund		17,189
Small-Cap Value Fund		7,625

Fund	Fees Paid
Small-Cap Core Fund	$	1,041
Small-Cap Growth Fund		80,306
Short-Term Income Fund		10,128
TCH Intermediate Income Fund		5,311
TCH Corporate Income Fund		12,844
TCH Core Plus Bond Fund		32,512

134

BMO Funds

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the year with entities that are affiliates as of February 29, 2016 and may include acquisitions of new investments, prior year holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of year-end.

Security/Fund Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 0.160%
Mortgage Income Fund	$	1,524,417	$	19,511,399	$	15,975,073	$	5,060,743	$	658	$	—
Cash Sweep Investments in BMO Tax-Free Money Market Fund, Premier Class, 0.130%
Ultra Short Tax-Free Fund		2,807,077		188,009,986		190,360,878		456,185		2,118		—
Short Tax-Free Fund		2,946,935		53,528,524		45,640,499		10,834,960		2,774		—
Intermediate Tax-Free Fund		19,318,314		127,289,052		142,321,694		4,285,672		1,740		—
Cash Sweep Investments in BMO Prime Money Market Fund, Premier Class, 0.310%
Low Volatility Equity Fund		6,245,933		33,110,484		37,373,009		1,983,408		1,664		—
Dividend Income Fund		2,800,936		12,879,498		13,815,523		1,864,911		1,726		—
Large-Cap Value Fund		5,959,946		34,316,439		37,236,155		3,040,230		3,135		—
Large-Cap Growth Fund		4,499,155		24,529,002		26,395,310		2,632,847		2,402		—
Mid-Cap Value Fund		11,221,418		32,765,007		38,173,163		5,813,262		3,644		—
Mid-Cap Growth Fund		4,639,539		36,493,116		35,085,501		6,047,154		3,906		—
Small-Cap Value Fund		5,566,813		20,770,243		24,764,329		1,572,727		1,830		—
Small-Cap Core Fund		47,479		4,099,998		4,008,958		138,519		137		—
Small-Cap Growth Fund		22,731,181		163,032,858		169,153,791		16,610,248		10,708		—
Short-Term Income Fund		6,644,766		99,378,717		96,143,823		9,879,660		5,328		—
TCH Intermediate Income Fund		4,336,323		33,011,813		34,156,277		3,191,859		1,944		—
TCH Corporate Income Fund		6,085,570		106,580,137		96,186,562		16,479,145		7,221		—
TCH Core Plus Bond Fund		19,640,890		289,123,737		279,255,731		29,508,896		23,658		—
Monegy High Yield Bond Fund		3,669,881		17,670,574		19,358,080		1,982,375		2,338		—
Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		851,005		3,172		—		853,332		2,447		787
Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		5,019,275		18,706		—		5,033,001		14,433		4,640

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes, although the Money Market Funds cannot participate as borrowers. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of a Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of February 29, 2016.

Funds utilizing the Interfund lending program, borrowing solely from the BMO Prime Money Market Fund during the period ended February, 29, 2016, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Large-Cap Growth Fund	$	7,696		0.810	%
Small-Cap Value Fund		17,677		0.845
Small-Cap Core Fund		5,991		0.810
Small-Cap Growth Fund		1,632		0.845
Ultra Short Tax-Free Fund		22,075		0.691
Short Tax-Free Fund		1,595		0.825
Mortgage Income Fund		67,704		0.808
TCH Intermediate Income Fund		481		0.695
TCH Corporate Income Fund		98,520		0.808

135

Notes to Financial Statements (continued)

Investment Transactions—The Funds, on occasion, may purchase or sell a security with another Fund or client of the Adviser pursuant to procedures approved by the Directors.

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund officers or interested directors receives any compensation from the Funds.

7. Line of Credit

Through January 14, 2016, the Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank and Trust Company. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings were charged interest at a rate of 1.25% per annum over the greater of the Federal Funds rate or the London Interbank Offered Rate (“LIBOR”) and included a commitment fee of 0.15% per annum on the daily unused portion and an administrative fee of 0.025% per annum on the entire LOC. Effective January 15, 2016, the Corporation, on behalf of the respective Funds, entered into $25 million unsecured, committed revolving LOC agreement with UMB Bank, n.a. Borrowings are charged interest at a rate of LIBOR plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 29, 2016. The Funds did not utilize either LOC during the period ended February 29, 2016.

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February, 29, 2016 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	43,267,658	$	18,207,231	$	—	$	—
Dividend Income Fund		31,274,425		38,526,833		—		—
Large-Cap Value Fund		82,092,286		62,046,379		—		—
Large-Cap Growth Fund		62,139,641		92,325,140		—		—
Mid-Cap Value Fund		31,127,791		46,239,540		—		—
Mid-Cap Growth Fund		69,566,436		86,045,757		—		—
Small-Cap Value Fund		21,802,654		23,749,369		—		—
Small-Cap Core Fund		5,881,185		2,247,508		—		—
Small-Cap Growth Fund		183,478,178		245,474,273		—		—
Global Low Volatility Equity Fund		32,441,120		2,813,816		—		—
Disciplined International Equity Fund (1)		87,935,748		11,555,855		—		—
Pyrford International Stock Fund		16,192,801		80,178,082		—		—
LGM Emerging Markets Equity Fund		17,029,705		19,436,513		—		—
TCH Emerging Markets Bond Fund		1,694,718		1,701,703		—		—
Alternative Strategies Fund		106,804,120		64,778,137		27,776		—
Global Long/Short Equity Fund (1)		4,048,927		325,231		—		—
Ultra Short Tax-Free Fund		192,744,084		345,033,814		—		—
Short Tax-Free Fund		70,062,019		20,707,939		—		—
Short-Term Income Fund		47,580,829		42,849,369		51,704,140		24,317,779
Intermediate Tax-Free Fund		433,046,144		531,867,407		—		—
Mortgage Income Fund		—		2,292,537		6,159,606		10,659,378
TCH Intermediate Income Fund		5,957,721		20,412,581		11,490,436		15,420,633
TCH Corporate Income Fund		48,499,264		135,112,383		10,266,992		20,597,127
TCH Core Plus Bond Fund		99,456,838		211,356,611		59,412,566		59,450,276
Monegy High Yield Bond Fund		18,397,592		19,831,568		—		—

(1) Reflects operations for the period from September 17, 2015 (inception date) to February 29, 2016.

9. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatment of net operating loss, foreign currency transactions, paydown gain or loss, market discount accretion, premium amortization, and expiring capital loss carryforwards.

To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts, on the Statements of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the NAV of the Funds.

The Funds complied with the FASB interpretation Accounting for Uncertainty in Income Taxes, which provides guidance for how uncertain tax provisions should be recognized, measured, presented, and disclosed in the financial statements. Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken

136

BMO Funds

in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 29, 2016. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales, the realization for tax purposes of unrealized gains on investments in passive foreign investment companies, derivatives, foreign currency, and the discount accretion/premium amortization of debt securities.

	Cost of Investments for Federal Tax Purposes			Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
Low Volatility Equity Fund	$	136,585,652		$	10,924,259	$	(4,419,275	)	$	6,504,984
Dividend Income Fund		152,537,952			15,420,732		(5,234,418	)		10,186,314
Large-Cap Value Fund		359,210,124			31,724,079		(18,599,429	)		13,124,650
Large-Cap Growth Fund		265,537,791			39,938,425		(6,352,690	)		33,585,735
Mid-Cap Value Fund		332,264,493			48,450,929		(24,043,911	)		24,406,918
Mid-Cap Growth Fund		210,790,092			33,128,970		(14,569,213	)		18,559,657
Small-Cap Value Fund		118,738,470			7,232,304		(13,948,409	)		(6.716.105	)
Small-Cap Core Fund		11,454,880			639,859		(726,133	)		(86,274	)
Small-Cap Growth Fund		688,376,469			72,060,517		(76,654,502	)		(4,593,985	)
Global Low Volatility Fund		41,054,525			1,922,182		(1,400,575	)		521,607
Disciplined International Equity Fund		80,255,966			1,042,390		(7,423,855	)		(6,381,465	)
Pyrford International Stock Fund		709,540,734			36,989,371		(99,372,278	)		(62,382,907	)
LGM Emerging Markets Equity Fund		149,969,230			18,765,098		(22,589,802	)		(3,824,704	)
TCH Emerging Markets Bond Fund		9,223,597			84,084		(919,030	)		(834,946	)
Alternative Strategies Fund		103,082,590			972,407		(5,895,028	)		(4,922,621	)
Global Long/Short Equity Fund		5,473,515			24,923		(114,681	)		(89,758	)
Ultra Short Tax-Free Fund		612,011,965			1,230,418		(837,329	)		393,089
Short Tax-Free Fund		189,159,614			1,718,568		(215,037	)		1,503,531
Short-Term Income Fund		402,890,224			1,259,631		(1,539,446	)		(279,815	)
Intermediate Tax-Free Fund		1,645,210,506			73,657,805		(1,820,285	)		71,837,520
Mortgage Income Fund		111,489,999			2,879,592		(380,162	)		2,499,430
TCH Intermediate Income Fund		106,324,242			1,021,970		(4,458,117	)		(3,436,147	)
TCH Corporate Income Fund		236,411,497			2,785,997		(20,306,476	)		(17,520,479	)
TCH Core Plus Bond Fund		1,181,535,216			18,317,615		(52,303,095	)		(33,985,480	)
Monegy High Yield Bond Fund		69,362,057			949,557		(2,497,339	)		(1,547,782	)
Government Money Market Fund		694,105,547	*		—		—			—
Tax-Free Money Market Fund		696,526,476	*		—		—			—
Prime Money Market Fund		3,670,082,350	*		—		—			—

* at amortized cost

137

Notes to Financial Statements (continued)

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2015 and 2014 was as follows:

	2015						2014
Fund	Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	3,608,561	$	—	$	1,280,980	$	1,054,029	$	—	$	12,142
Dividend Income Fund		3,621,411		—		7,100,830		3,240,966		—		2,772,596
Large-Cap Value Fund		5,149,082		—		20,618,243		4,017,673		—		12,022,953
Large-Cap Growth Fund		12,930,101		—		21,930,792		9,634,030		—		8,762,754
Mid-Cap Value Fund		7,822,943		—		31,037,272		9,101,983		—		34,599,806
Mid-Cap Growth Fund		820,032		—		34,240,425		12,732,841		—		18,985,770
Small-Cap Value Fund		599,661		—		4,059,349		3,255,130		—		2,539,680
Small-Cap Core Fund		—		—		—		—		—		—
Small-Cap Growth Fund		32,110,510		—		96,656,948		54,758,306		—		42,844,352
Global Low Volatility Equity Fund		53,185		—		—		—		—		—
Pyrford International Stock Fund		2,655,059		—		—		12,984,772		—		666,055
LGM Emerging Markets Equity Fund		2,422,730		—		—		2,213,603		—		—
TCH Emerging Markets Bond Fund		574,934		—		—		79,800		—		—
Alternative Strategies Fund		—		—		—		—		—		—
Ultra Short Tax-Free Fund		736		4,498,991		23,343		436		5,614,701		169,545
Short Tax-Free Fund		27,354		1,642,272		8,101		93		1,025,728		—
Short-Term Income Fund		3,300,401		—		—		3,273,149		—		—
Intermediate Tax-Free Fund		195,902		37,974,429		—		86,987		32,886,448		—
Mortgage Income Fund		3,603,797		—		—		4,176,352		—		—
TCH Intermediate Income Fund		2,916,603		—		—		2,721,639		—		—
TCH Corporate Income Fund		7,982,948		—		920,229		5,115,960		—		—
TCH Core Plus Bond Fund		30,079,660		—		4,351,530		23,835,203		—		—
Monegy High Yield Bond Fund		4,170,116		—		1,566,305		5,891,477		—		830,552
Government Money Market Fund		63,363		—		—		58,206		—		—
Tax-Free Money Market Fund		57,184		62,197		—		33,997		174,896		4,302
Prime Money Market Fund		449,144		—		—		400,645		—		—

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

As of August 31, 2015, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency, Dividend Payable, and Other Components			Unrealized Appreciation (Depreciation) on Securities
Low Volatility Equity Fund	$	412,061	$	—	$	2,230,802	$	—		$	—		$	4,588,041
Dividend Income Fund		359,485		—		6,850,723		(65,513	)		—			10,392,071
Large-Cap Value Fund		5,937,708		—		24,169,961		—			—			26,342,145
Large-Cap Growth Fund		6,025,451		—		24,560,519		—			—			41,833,875
Mid-Cap Value Fund		663,123		—		23,092,521		(471,481	)		—			59,128,695
Mid-Cap Growth Fund		—		—		29,191,034		(8,355,734	)		—			49,140,122
Small-Cap Value Fund		—		—		1,934,974		(76,849	)		—			3,974,385
Small-Cap Core Fund		4,642		—		49,665		—			—			30,397
Small-Cap Growth Fund		—		—		40,457,251		(2,242,444	)		(1	)		44,613,299
Global Low Volatility Equity Fund		80,426		—		831		(22,464	)		(118	)		122,470
Pyrford International Stock Fund		13,159,615		—		—		(687,291	)		(60,818	)		(43,180,209	)
LGM Emerging Markets Equity Fund		1,456,258		—		—		(3,851,955	)		(4,788	)		(5,213,978	)
TCH Emerging Markets Bond Fund		274,092		—		49,962		—			(139	)		(405,748	)
Alternative Strategies Fund		1,031,826		—		—		—			686,351			(373,411	)
Ultra Short Tax-Free Fund		—		189,177		565,559		—			(200,415	)		383,264
Short Tax-Free Fund		185,879		108,788		141,819		—			(99,903	)		691,927
Short-Term Income Fund		131,591		—		—		(1,669,014	)		(119,312	)		(625,522	)
Intermediate Tax-Free Fund		—		650,730		2,808,572		—			(601,991	)		44,752,361
Mortgage Income Fund		30,696		—		—		(5,083,903	)		(45,624	)		2,812,035
TCH Intermediate Income Fund		61,528		—		—		(22,029,896	)		(71,555	)		(1,314,306	)
TCH Corporate Income Fund		300,525		—		989,894		(81,757	)		(303,223	)		(5,619,293	)
TCH Core Plus Bond Fund		216,051		—		311,730		(16,209	)		(229,156	)		(10,845,876	)
Monegy High Yield Bond Fund		17,969		—		—		(1,862,153	)		(27,356	)		(1,642,728	)
Government Money Market Fund		7,138		—		—		—			(7,138	)		—
Tax-Free Money Market Fund		—		19,247		3,187		—			(22,381	)		—
Prime Money Market Fund		60,275		—		—		—			(84,238	)		—

138

BMO Funds

At August 31, 2015, certain Funds had capital loss carryforwards, which may reduce taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code and thus will reduce the amount of distributions to shareholders that would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards will expire as follows:

							Not Subject to Expiration
Fund	2016		2018		2019		ST		LT		Total
Pyrford International Stock Fund	$	—	$	—	$	—	$	687,291	$	—	$	687,291
LGM Emerging Markets Equity Fund		—		—		—		1,200,915		1,476,955		2,677,870
Short-Term Income Fund		216,882		—		—		608,137		680,831		1,505,850
Mortgage Income Fund		—		—		—		1,568,358		3,376,459		4,944,817
TCH Intermediate Income Fund		—		20,798,157		952,005		—		—		21,750,162
Monegy High Yield Bond Fund		—		—		—		123,197		29,872		153,069

Under The Registered Investment Company Modernization Act of 2010 (the “Modernization Act”), capital losses incurred during the fiscal years beginning after the enactment date of the Modernization Act (December 22, 2010) are carried forward indefinitely and retain the character of the original loss. However, any remaining pre-enactment capital loss carryovers may expire unused, since the post-enactment capital losses are utilized before pre-enactment capital loss carryovers according to the Modernization Act.

During the fiscal year ended August 31, 2015, the Ultra Short Tax-Free, Intermediate Tax-Free and TCH Intermediate Income Funds, respectively, utilized $127,129, $2,496,222 and $611,248 of capital loss carryforwards.

The Short-Term Income and TCH Intermediate Income Funds, had losses expiring during the fiscal year ended August 31, 2015, in the amount of $983,288 and $3,502,554, respectively.

As of August 31, 2015, the following Funds had post-October losses, which are deferred until fiscal year 2015 for tax purposes, of:

Fund	Post-October Losses
Dividend Income Fund	$	65,513
Mid-Cap Value Fund		471,481
Mid-Cap Growth Fund		7,653,329
Global Low Volatility Equity Fund		22,464
LGM Emerging Markets Equity Fund		1,174,085
Short-Term Income Fund		163,164
Mortgage Income Fund		139,806
TCH Intermediate Income Fund		279,734
TCH Core Plus Bond Fund		16,209
Monegy High Yield Bond Fund		1,709,084

Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

As of August 31, 2015, the following Funds had qualified late-year ordinary losses, which are deferred until fiscal year 2016 for tax purposes, of:

Fund	Post-October Losses
Mid-Cap Growth Fund	$	702,405
Small-Cap Value Fund		76,849
Small-Cap Growth Fund		2,242,444

Net late-year losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

10. Recently Issued Accounting Pronouncements and Money Market Reform

In May 2015, the FASB issued ASU No. 2015-07 (“ASU 2015-07”) eliminating the requirement for investments measured at net asset value to be categorized within the fair value hierarchy under GAAP and requiring the disclosure of sufficient information to reconcile the fair value of the remaining assets categorized within the fair value hierarchy to the financial statements. ASU 2015-07 is effective for interim and annual reporting periods beginning after December 15, 2015. Management has reviewed the requirements and believes the adoption of ASU 2015-07 will not have a material impact on the financial statements.

On July 23, 2014, the Securities and Exchange Commission (“SEC”) adopted changes to the rules that govern money market funds. These rule changes create new definitions for government money market funds and retail money market funds and require institutional money market funds to operate with a floating NAV. Retail and government money market funds will be permitted to continue to transact at a constant NAV. Additionally, non-government money market funds are required to adopt policies and procedures to allow for a fund’s Board of Directors to impose liquidity fees and redemption gates if the

139

Notes to Financial Statements (continued)

fund’s weekly liquid assets fall below the regulatory threshold set by the SEC. The date for compliance with the floating NAV and liquidity fees and redemption gate requirements is no later than October 14, 2016.

11. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

140

Shareholder Report Disclosure of Directors’ Approval of
Advisory Contracts

Initial Approval of Advisory Agreement for BMO Disciplined International Equity Fund and BMO Global Long/Short Equity Fund

During the reporting period, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation (the “Independent Directors”) as defined in the Investment Company Act of 1940, as amended, (the “1940 Act”) considered the initial approval of the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of each of BMO Disciplined International Equity Fund and BMO Global Long/Short Equity Fund (each a “Fund” and together the “Funds”).

At Board meetings held on May 5-6, 2015 (“May Meeting”) and August 11-12, 2015 (“August Meeting”), the Board met with management of the Adviser regarding the initial approval of the Funds’ Advisory Agreement. During the May and August Meetings, the Board met with management of the Adviser and discussed the objectives and principal investment strategy of each Fund; the rationale for launching the Funds within the mutual fund family; the capabilities of the investment teams, including performance records and capacity; the proposed fee and expense structure; the competitive landscape; and the schedule for launch. The Board then discussed the products, the investment teams, the nature and quality of services to be provided by the investment teams, the fees and expenses to be charged to each Fund, the anticipated growth of each Fund, and the potential for economies of scale. The Board, including the Independent Directors, was satisfied with the proposed Funds; the capabilities of the Adviser and the investment teams to adequately manage the Funds; and the relative fees and expenses. The Independent Directors also met separately in executive session with independent legal counsel to review and consider the information provided by the Adviser regarding the proposed Advisory Agreement for each Fund.

The Independent Directors considered, among other factors, the Adviser’s long-term relationship with funds in the BMO complex and the services the Adviser provides for such funds. The Directors noted that, in evaluating the Advisory Agreement, they were taking into account their accumulated experience as Directors in working with the Adviser on matters relating to other funds in the BMO complex. Based on their review, the Independent Directors and the full Board concluded that it was in the best interests of each Fund to approve the Advisory Agreement. In reaching its decision, the Board considered materials relevant to its review of the Advisory Agreement, including copies of the proposed Advisory Agreement; the fees proposed to be paid to the Adviser; information regarding each Fund’s investment strategy and operations; information regarding the Adviser’s financial condition, personnel, compliance program and operations; and other information provided in response to the requirements of Section 15(c) of the 1940 Act. Although the Advisory Agreement for both Funds was considered at the same Board meeting, the Directors considered each Fund separately. In their deliberations, the Directors did not identify any single factor or group of factors as all-important or controlling but considered all factors together. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services to be provided by the Adviser, the Board reviewed information describing the financial strength, experience, resources and key personnel of the Adviser, including the personnel who would provide investment management services to the Funds. The Board also considered the administrative services that would be provided to each Fund, as well as other services to be performed by the Adviser, including monitoring of the execution of portfolio transactions; monitoring adherence to the Funds’ investment restrictions; monitoring the Funds’ compliance with their compliance policies and procedures and with applicable securities laws and regulations; producing shareholder reports; providing support services for the Board and Board committees; communicating with shareholders; and overseeing the activities of other service providers. The Board also considered the Adviser’s experience in providing investment advisory services to funds.

Based upon this review, the Board concluded that the nature, quality, and extent of the services to be provided to the Fund by the Adviser are expected to be satisfactory.

Performance Information

As each Fund is a newly created series, the Board did not review performance information for the Funds. The Board did, however, review historical composite performance data of the Adviser’s disciplined international equity strategy and simulated performance for the BMO Global Long/Short Equity Fund over various periods.

Costs of Services Provided and Profitability

The Board considered the fees to be payable by each Fund under the Advisory Agreement. The Board reviewed information provided by the Adviser comparing each Fund’s contractual advisory fee to the median fee of its Strategic Insight’s Simfund peer category (“Simfund peer category”). In addition, the Board reviewed information provided by the Adviser comparing each Fund’s expected net expense ratio to the median net expense ratio of the Simfund peer category.

The Board noted that each Fund’s contractual advisory fee and expected net expense ratio were lower than or within a reasonable range of the median of its Simfund peer category. The Board considered that the Adviser has agreed to contractual expense limitations for the Funds (the “Expense Limitations”), and that the expected net expense ratios for the Funds take into account the effect of the Expense Limitations. The Board considered that because the Funds were newly organized and had no assets, the Adviser did not provide profitability information. The Board considered the proposed Expense Limitation Agreement and concluded that the Adviser’s profitability was not expected to be unreasonable.

141

Shareholder Report Disclosure of Directors’ Approval of
Advisory Contracts (continued)

The Board considered the methodology used by the Adviser in determining compensation payable to its portfolio managers and the competitive environment for investment management talent. The Board also considered the financial condition of the Adviser and certain of its affiliates, and particularly focused on the financial strength of the ultimate parent company of the Adviser, and the parent company’s commitment, financial and otherwise, to the global asset management business and the Funds.

On the basis of the information provided, the Board concluded that each Fund’s proposed advisory fees were reasonable, taking into account the nature, quality, and extent of services to be provided by the Adviser.

Economies of Scale

The Board considered the extent to which economies of scale would be realized as the Funds grow and whether the Funds’ fee levels reflect these economies of scale for the benefit of Fund shareholders. The Board considered that the Funds were not yet operational and had no assets. In addition, the Board considered that the management fee for each Fund had breakpoints so that the Funds could experience economies of scale as they grow. The Board then noted each Fund’s net expense ratio giving effect to the Expense Limitation. The Board concluded that these factors were reasonable in providing the benefits of economies of scale to shareholders at this time.

Other Benefits to the Adviser

The Board considered benefits that could accrue to the Adviser and its affiliates from their relationships with the Funds, including revenue in the form of administration fees, custody fees, shareholder service fees and securities lending revenue. In addition, the Board considered soft dollar arrangements in connection with equity security brokerage transactions that may occur for the Funds and/or other clients. The Board noted that, other than the services provided by the Adviser pursuant to the Advisory Agreement and the related fees to be paid by each Fund, the Adviser may potentially benefit from their relationship with each other in other ways. The Board also considered that the success of the Funds could attract other business to the Adviser and that the success of the Adviser could enhance the Adviser’s ability to serve the Funds.

The Board concluded that, taking into account all of the information reviewed, each Fund’s advisory fee was reasonable.

Overall Conclusions

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the Advisory Agreement for each Fund are fair and reasonable and that the approval of each Advisory Agreement is in the best interests of each Fund.

Approval of Amendments to the Fee Schedule of the Advisory Agreement for the BMO Large-Cap Value Fund and the BMO Large-Cap Growth Fund

At a meeting held on November 3-4, 2015, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended, considered an amendment to the investment advisory agreement between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of the BMO Large-Cap Value Fund and the BMO Large-Cap Growth Fund series of the Corporation (each a “Fund” and together the “Funds”) to reflect an amended fee schedule. The contractual fee schedule for each Fund was proposed to be amended to reflect a reduced advisory fee for each Fund in an attempt to increase the ability of the Funds to compete in their highly competitive fund categories. In approving the amended fee schedules, the Board took into consideration that the contractual fee to be paid to the Adviser by each Fund under the amended fee schedule would not be less advantageous to the Fund and its shareholders. In addition, the Board considered that the Adviser represented that the nature and quality of services the Adviser provides to each Fund would not be affected by the change in fee schedule.

142

NOTES

143

NOTES

144

This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds’ prospectuses, which contain facts concerning each Fund’s objective and policies, management fees, expenses, and other information.

Proxy Voting

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the Funds’ Statement of Additional Information, which is available on the Funds’ website at http://www.bmofunds.com and on the SEC’s website at http://www.sec.gov.

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Shares of the BMO Funds are not bank deposits or other obligations of, or issued, endorsed or guaranteed by, BMO Harris Bank, NA, or any of its affiliates. Shares of the BMO Funds, like shares of all mutual funds, are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

Investment products are: NOT FDIC INSURED — NO BANK GUARANTEE — MAY LOSE VALUE.

© 2016 BMO Financial Corp. (3/16)

BMO Funds February 29, 2016

Semi-Annual

report

Target Retirement Funds

Target Risk Funds

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
BMO In-Retirement Fund	5	BMO Target Retirement 2050 Fund	12
BMO Target Retirement 2015 Fund	5	BMO Target Retirement 2055 Fund	12
BMO Target Retirement 2020 Fund	6	BMO Conservative Allocation Fund	13
BMO Target Retirement 2025 Fund	7	BMO Moderate Allocation Fund	14
BMO Target Retirement 2030 Fund	8	BMO Balanced Allocation Fund	15
BMO Target Retirement 2035 Fund	9	BMO Growth Allocation Fund	16
BMO Target Retirement 2040 Fund	10	BMO Aggressive Allocation Fund	17
BMO Target Retirement 2045 Fund	11
Notes to Schedules of Investments			18
Statements of Assets and Liabilities			19
Statements of Operations			22
Statements of Changes in Net Assets			25
Financial Highlights			30
Notes to Financial Statements			38

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 29, 2016

As a shareholder of the Fund, you may incur two types of costs: (1) transaction costs, which may include sales charges (loads) on purchase payments, reinvested dividends, or other distributions; redemption fees; and exchange fees; and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees; and other Fund expenses. This Example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 29, 2016 (9/1/15-2/29/16).

Actual Expenses

The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The second line of the table below provides information about hypothetical account values and hypothetical expenses based on a Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in a Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads), redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.

	Investor									Institutional
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
In-Retirement Fund
Actual	$	1,000.00	$	973.80		0.33	%	$	1.62	$	1,000.00	$	974.60		0.08	%	$	0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40
2015 Fund
Actual		1,000.00		967.30		0.33			1.62		1,000.00		969.60		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.30		0.33			1.66		1,000.00		1,024.60		0.08			0.40
2020 Fund
Actual		1,000.00		958.90		0.33			1.61		1,000.00		960.20		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40
2025 Fund
Actual		1,000.00		951.40		0.33			1.60		1,000.00		952.30		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40
2030 Fund
Actual		1,000.00		945.80		0.37			1.79		1,000.00		947.40		0.12			0.58
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.37			1.86		1,000.00		1,024.40		0.12			0.60
2035 Fund
Actual		1,000.00		942.00		0.37			1.78		1,000.00		942.30		0.12			0.58
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.37			1.86		1,000.00		1,024.40		0.12			0.60
2040 Fund
Actual		1,000.00		937.60		0.36			1.73		1,000.00		939.80		0.11			0.53
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81		1,000.00		1,024.50		0.11			0.55
2045 Fund
Actual		1,000.00		937.90		0.36			1.73		1,000.00		939.70		0.11			0.53
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81		1,000.00		1,024.50		0.11			0.55
2050 Fund
Actual		1,000.00		938.00		0.36			1.73		1,000.00		938.90		0.11			0.53
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81		1,000.00		1,024.50		0.11			0.55
2055 Fund
Actual		1,000.00		939.20		0.36			1.73		1,000.00		941.00		0.11			0.53
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81		1,000.00		1,024.50		0.11			0.55

2

Expense Example (Unaudited) (continued)

	Investor									Institutional
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
Conservative Allocation Fund
Actual	$	1,000.00	$	977.00		0.33	%	$	1.62	$	1,000.00	$	977.80		0.08	%	$	0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40
Moderate Allocation Fund
Actual		1,000.00		964.80		0.30			1.47		1,000.00		967.20		0.05			0.24
Hypothetical (5% return before expenses)		1,000.00		1,023.50		0.30			1.51		1,000.00		1,024.80		0.05			0.25
Balanced Allocation Fund
Actual		1,000.00		952.80		0.33			1.60		1,000.00		954.70		0.08			0.39
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40
Growth Allocation Fund
Actual		1,000.00		941.70		0.30			1.45		1,000.00		942.70		0.05			0.24
Hypothetical (5% return before expenses)		1,000.00		1,023.50		0.30			1.51		1,000.00		1,024.80		0.05			0.25
Aggressive Allocation Fund
Actual		1,000.00		934.90		0.33			1.59		1,000.00		935.10		0.08			0.38
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66		1,000.00		1,024.60		0.08			0.40

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2015 through February 29, 2016, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
In-Retirement Fund
Actual	$	1,000.00	$	972.50		0.58	%	$	2.85	$	1,000.00	$	975.40		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00
2015 Fund
Actual		1,000.00		966.50		0.58			2.85		1,000.00		970.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00
2020 Fund
Actual		1,000.00		958.10		0.58			2.83		1,000.00		961.00		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00
2025 Fund
Actual		1,000.00		949.40		0.58			2.82		1,000.00		952.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00
2030 Fund
Actual		1,000.00		945.70		0.62			3.00		1,000.00		948.10		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.12		1,000.00		1,025.00		0.00			0.00
2035 Fund
Actual		1,000.00		940.70		0.62			3.00		1,000.00		943.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.12		1,000.00		1,025.00		0.00			0.00
2040 Fund
Actual		1,000.00		936.40		0.61			2.94		1,000.00		939.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.07		1,000.00		1,025.00		0.00			0.00
2045 Fund
Actual		1,000.00		936.80		0.61			2.95		1,000.00		939.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.07		1,000.00		1,025.00		0.00			0.00
2050 Fund
Actual		1,000.00		937.00		0.61			2.94		1,000.00		939.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.07		1,000.00		1,025.00		0.00			0.00
2055 Fund
Actual		1,000.00		937.90		0.61			2.94		1,000.00		941.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.07		1,000.00		1,025.00		0.00			0.00
Conservative Allocation Fund
Actual		1,000.00		975.40		0.58			2.85		1,000.00		978.30		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00
Moderate Allocation Fund
Actual		1,000.00		963.80		0.55			2.69		1,000.00		967.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.77		1,000.00		1,025.00		0.00			0.00
Balanced Allocation Fund
Actual		1,000.00		952.30		0.58			2.81		1,000.00		955.10		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00

3

Expense Example (Unaudited) (continued)

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)		Beginning account value 9/1/15		Ending account value 2/29/16		Annualized Expense Ratio(1)			Expenses paid during period 9/1/15- 2/29/16(1)
Growth Allocation Fund
Actual	$	1,000.00	$	939.60		0.55	%	$	2.65	$	1,000.00	$	943.20		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.77		1,000.00		1,025.00		0.00			0.00
Aggressive Allocation Fund
Actual		1,000.00		932.30		0.58			2.79		1,000.00		936.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.92		1,000.00		1,025.00		0.00			0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2015 through February 29, 2016, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 29, 2016 (Unaudited)

Schedules of Investments BMO Funds

In-Retirement Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 17.9%
BMO Dividend Income Fund—Institutional Class (1)		32,623	$	379,400
BMO Large-Cap Value Fund—Institutional Class (1)		43,553		558,780
BMO Low Volatility Equity Fund—Institutional Class (1)		39,250		498,077
Harbor Capital Appreciation Fund—Institutional Class		7,419		400,685
T Rowe Price Growth Stock Fund—Retail Class		8,338		401,074
Vanguard Equity Income Fund—Institutional Class		7,294		438,734
Vanguard Institutional Index Fund—Institutional Class		5,301		938,864
Total Large-Cap Funds				3,615,614
Mid-Cap Funds — 3.2%
BMO Mid-Cap Growth Fund—Institutional Class (1)		8,205		119,955
BMO Mid-Cap Value Fund—Institutional Class (1)		19,766		243,121
Vanguard Mid-Cap Index Fund—Institutional Class		9,211		283,528
Total Mid-Cap Funds				646,604
Small-Cap Funds — 1.5%
BMO Small-Cap Growth Fund—Institutional Class (1)		7,406		102,723
Goldman Sachs Small Cap Value Fund—Institutional Class		4,406		203,786
Total Small-Cap Funds				306,509
International Funds — 12.3%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		44,812		403,308
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		22,657		262,817
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		13,429		105,421
BMO Pyrford International Stock Fund—Institutional Class (1)		50,655		560,249
DFA International Small Company Portfolio—Institutional Class		3,700		59,171
Dodge & Cox International Stock Fund—Retail Class		11,356		364,512
Harbor International Fund—Institutional Class		6,492		362,277
MFS International Value Fund—Institutional Class		10,452		359,114
Total International Funds				2,476,869
Fixed Income Funds — 55.9%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		34,405		305,517
BMO TCH Core Plus Bond Fund—Institutional Class (1)		334,264		3,727,040
Federated Institutional High-Yield Bond Fund—Institutional Class		47,905		430,189
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		67,793		606,744
Metropolitan West Total Return Bond Fund—Institutional Class		347,676		3,740,996
PIMCO Unconstrained Bond Fund—Institutional Class		60,639		604,571

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
TCW Emerging Markets Income Fund—Institutional Class		59,333	$	443,811
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		41,291		1,006,260
Vanguard Short-Term Investment Grade Fund—Institutional Class		37,910		401,842
Total Fixed Income Funds				11,266,970
Alternative Funds — 7.6%
BMO Alternative Strategies Fund—Institutional Class (1)		121,936		1,212,040
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		37,006		162,088
Vanguard REIT Index Fund—Institutional Class		9,671		162,761
Total Alternative Funds				1,536,889
Total Mutual Funds (identified cost $18,308,326)				19,849,455
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		294,418		294,418
Total Short-Term Investments (identified cost $294,418)				294,418
Total Investments — 99.9% (identified cost $18,602,744)				20,143,873
Other Assets and Liabilities — 0.1%				25,430
Total Net Assets — 100.0%			$	20,169,303

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		17.9	%
Mid-Cap Funds		3.2
Small-Cap Funds		1.5
International Funds		12.3
Fixed Income Funds		55.9
Alternative Funds		7.6
Other Assets & Liabilities, Net		1.6
Total		100.0	%

2015 Fund

Description	Shares		Value
Mutual Funds — 99.9%
Large-Cap Funds — 24.2%
BMO Dividend Income Fund—Institutional Class (1)		6,787	$	78,933
BMO Large-Cap Value Fund—Institutional Class (1)		12,257		157,251
BMO Low Volatility Equity Fund—Institutional Class (1)		11,433		145,082
Harbor Capital Appreciation Fund—Institutional Class		2,320		125,308
T Rowe Price Growth Stock Fund—Retail Class		2,599		125,011
Vanguard Equity Income Fund—Institutional Class		1,788		107,527

(See Notes which are an integral part of the Financial Statements)

5

February 29, 2016 (Unaudited)

Schedules of Investments

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Vanguard Institutional Index Fund—Institutional Class		1,405	$	248,853
Total Large-Cap Funds				987,965
Mid-Cap Funds — 5.3%
BMO Mid-Cap Growth Fund—Institutional Class (1)		2,863		41,854
BMO Mid-Cap Value Fund—Institutional Class (1)		6,802		83,670
Vanguard Mid-Cap Index Fund—Institutional Class		2,988		91,976
Total Mid-Cap Funds				217,500
Small-Cap Funds — 2.3%
BMO Small-Cap Growth Fund—Institutional Class (1)		2,463		34,168
Goldman Sachs Small Cap Value Fund—Institutional Class		1,274		58,921
Total Small-Cap Funds				93,089
International Funds — 17.2%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		12,878		115,900
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		6,773		78,572
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		3,443		27,026
BMO Pyrford International Stock Fund—Institutional Class (1)		13,386		148,052
DFA International Small Company Portfolio—Institutional Class		1,303		20,829
Dodge & Cox International Stock Fund—Retail Class		3,257		104,564
Harbor International Fund—Institutional Class		1,848		103,092
MFS International Value Fund—Institutional Class		2,993		102,851
Total International Funds				700,886
Fixed Income Funds — 43.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		5,163		45,850
BMO TCH Core Plus Bond Fund—Institutional Class (1)		56,656		631,712
Federated Institutional High-Yield Bond Fund—Institutional Class		7,917		71,090
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		11,114		99,473
Metropolitan West Total Return Bond Fund—Institutional Class		55,018		591,993
PIMCO Unconstrained Bond Fund—Institutional Class		10,355		103,243
TCW Emerging Markets Income Fund—Institutional Class		11,065		82,763
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		6,276		152,943
Total Fixed Income Funds				1,779,067
Alternative Funds — 7.4%
BMO Alternative Strategies Fund—Institutional Class (1)		22,899		227,615
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		8,548		37,440

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds (continued)
Vanguard REIT Index Fund—Institutional Class		2,228	$	37,493
Total Alternative Funds				302,548
Total Mutual Funds (identified cost $4,383,309)				4,081,055
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		65,986		65,986
Total Short-Term Investments (identified cost $65,986)				65,986
Total Investments — 101.5% (identified cost $4,449,295)				4,147,041
Other Assets and Liabilities — (1.5)%				(60,055	)
Total Net Assets — 100.0%			$	4,086,986

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		24.2	%
Mid-Cap Funds		5.3
Small-Cap Funds		2.3
International Funds		17.2
Fixed Income Funds		43.5
Alternative Funds		7.4
Other Assets & Liabilities, Net		0.1
Total		100.0	%

2020 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 28.0%
BMO Dividend Income Fund—Institutional Class (1)		133,173	$	1,548,803
BMO Large-Cap Value Fund—Institutional Class (1)		292,838		3,757,114
BMO Low Volatility Equity Fund—Institutional Class (1)		228,292		2,897,022
Harbor Capital Appreciation Fund—Institutional Class		61,872		3,341,706
T Rowe Price Growth Stock Fund—Retail Class		69,544		3,345,050
Vanguard Equity Income Fund—Institutional Class		32,613		1,961,695
Vanguard Institutional Index Fund—Institutional Class		41,006		7,262,493
Total Large-Cap Funds				24,113,883
Mid-Cap Funds — 7.7%
BMO Mid-Cap Growth Fund—Institutional Class (1)		134,601		1,967,871
BMO Mid-Cap Value Fund—Institutional Class (1)		180,453		2,219,575
Vanguard Mid-Cap Index Fund—Institutional Class		77,880		2,397,145
Total Mid-Cap Funds				6,584,591

(See Notes which are an integral part of the Financial Statements)

6

BMO Funds

2020 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 3.1%
BMO Small-Cap Growth Fund—Institutional Class (1)		86,842	$	1,204,503
Goldman Sachs Small Cap Value Fund—Institutional Class		31,360		1,450,381
Total Small-Cap Funds				2,654,884
International Funds — 20.8%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		199,943		1,799,491
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		235,527		2,732,114
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		77,033		604,706
BMO Pyrford International Stock Fund—Institutional Class (1)		306,804		3,393,252
DFA International Small Company Portfolio—Institutional Class		31,791		508,340
Dodge & Cox International Stock Fund—Retail Class		106,545		3,420,087
Harbor International Fund—Institutional Class		61,443		3,428,492
MFS International Value Fund—Institutional Class		57,124		1,962,779
Total International Funds				17,849,261
Fixed Income Funds — 31.7%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		87,808		779,735
BMO TCH Core Plus Bond Fund—Institutional Class (1)		921,614		10,275,997
Federated Institutional High-Yield Bond Fund—Institutional Class		134,726		1,209,837
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		199,763		1,787,877
Metropolitan West Total Return Bond Fund—Institutional Class		712,102		7,662,214
PIMCO Unconstrained Bond Fund—Institutional Class		173,147		1,726,273
TCW Emerging Markets Income Fund—Institutional Class		172,509		1,290,370
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		105,680		2,575,425
Total Fixed Income Funds				27,307,728
Alternative Funds — 7.3%
BMO Alternative Strategies Fund—Institutional Class (1)		445,738		4,430,637
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		214,730		940,518
Vanguard REIT Index Fund—Institutional Class		55,614		935,982
Total Alternative Funds				6,307,137
Total Mutual Funds (identified cost $75,227,618)				84,817,484

Description	Shares		Value
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		1,128,035	$	1,128,035
Total Short-Term Investments (identified cost $1,128,035)				1,128,035
Total Investments — 99.9% (identified cost $76,355,653)				85,945,519
Other Assets and Liabilities — 0.1%				48,631
Total Net Assets — 100.0%			$	85,994,150

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		28.0	%
Mid-Cap Funds		7.7
Small-Cap Funds		3.1
International Funds		20.8
Fixed Income Funds		31.7
Alternative Funds		7.3
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2025 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 32.1%
BMO Dividend Income Fund—Institutional Class (1)		31,532	$	366,720
BMO Large-Cap Value Fund—Institutional Class (1)		106,540		1,366,912
BMO Low Volatility Equity Fund—Institutional Class (1)		64,662		820,561
Harbor Capital Appreciation Fund—Institutional Class		28,093		1,517,293
T Rowe Price Growth Stock Fund—Retail Class		31,256		1,503,420
Vanguard Equity Income Fund—Institutional Class		8,437		507,487
Vanguard Institutional Index Fund—Institutional Class		16,410		2,906,318
Total Large-Cap Funds				8,988,711
Mid-Cap Funds — 9.0%
BMO Mid-Cap Growth Fund—Institutional Class (1)		53,003		774,901
BMO Mid-Cap Value Fund—Institutional Class (1)		66,148		813,618
Vanguard Mid-Cap Index Fund—Institutional Class		30,761		946,822
Total Mid-Cap Funds				2,535,341
Small-Cap Funds — 4.0%
BMO Small-Cap Growth Fund—Institutional Class (1)		40,623		563,438
Goldman Sachs Small Cap Value Fund—Institutional Class		12,098		559,529
Total Small-Cap Funds				1,122,967

(See Notes which are an integral part of the Financial Statements)

7

February 29, 2016 (Unaudited)

Schedules of Investments

2025 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 24.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		81,462	$	733,161
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		87,727		1,017,630
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		25,437		199,683
BMO Pyrford International Stock Fund—Institutional Class (1)		115,802		1,280,773
DFA International Small Company Portfolio—Institutional Class		14,084		225,206
Dodge & Cox International Stock Fund—Retail Class		40,321		1,294,312
Harbor International Fund—Institutional Class		22,970		1,281,698
MFS International Value Fund—Institutional Class		21,049		723,252
Total International Funds				6,755,715
Fixed Income Funds — 22.1%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		23,156		205,626
BMO TCH Core Plus Bond Fund—Institutional Class (1)		219,521		2,447,655
Federated Institutional High-Yield Bond Fund—Institutional Class		37,526		336,979
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		43,293		387,475
Metropolitan West Total Return Bond Fund—Institutional Class		148,779		1,600,858
PIMCO Unconstrained Bond Fund—Institutional Class		42,298		421,710
TCW Emerging Markets Income Fund—Institutional Class		37,682		281,861
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		21,540		524,919
Total Fixed Income Funds				6,207,083
Alternative Funds — 6.9%
BMO Alternative Strategies Fund—Institutional Class (1)		126,511		1,257,519
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		77,394		338,987
Vanguard REIT Index Fund—Institutional Class		19,888		334,713
Total Alternative Funds				1,931,219
Total Mutual Funds (identified cost $30,839,457)				27,541,036
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		434,973		434,973
Total Short-Term Investments (identified cost $434,973)				434,973
Total Investments — 99.8% (identified cost $31,274,430)				27,976,009
Other Assets and Liabilities — 0.2%				67,738
Total Net Assets — 100.0%			$	28,043,747

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		32.1	%
Mid-Cap Funds		9.0
Small-Cap Funds		4.0
International Funds		24.1
Fixed Income Funds		22.1
Alternative Funds		6.9
Other Assets & Liabilities, Net		1.8
Total		100.0	%

2030 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 34.9%
BMO Dividend Income Fund—Institutional Class (1)		108,349	$	1,260,101
BMO Large-Cap Value Fund—Institutional Class (1)		385,646		4,947,840
BMO Low Volatility Equity Fund—Institutional Class (1)		233,532		2,963,517
Harbor Capital Appreciation Fund—Institutional Class		98,652		5,328,171
T Rowe Price Growth Stock Fund—Retail Class		110,885		5,333,579
Vanguard Equity Income Fund—Institutional Class		28,394		1,707,874
Vanguard Institutional Index Fund—Institutional Class		56,946		10,085,742
Total Large-Cap Funds				31,626,824
Mid-Cap Funds — 9.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		197,615		2,889,137
BMO Mid-Cap Value Fund—Institutional Class (1)		234,965		2,890,073
Vanguard Mid-Cap Index Fund—Institutional Class		105,535		3,248,367
Total Mid-Cap Funds				9,027,577
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund—Institutional Class (1)		163,369		2,265,925
Goldman Sachs Small Cap Value Fund—Institutional Class		48,913		2,262,213
Total Small-Cap Funds				4,528,138
International Funds — 26.6%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		264,636		2,381,725
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		308,841		3,582,552
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		120,699		947,491
BMO Pyrford International Stock Fund—Institutional Class (1)		413,594		4,574,347
DFA International Small Company Portfolio—Institutional Class		51,004		815,547
Dodge & Cox International Stock Fund—Retail Class		144,838		4,649,285
Harbor International Fund—Institutional Class		82,349		4,595,090
MFS International Value Fund—Institutional Class		74,320		2,553,625
Total International Funds				24,099,662

(See Notes which are an integral part of the Financial Statements)

8

BMO Funds

2030 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 15.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		41,727	$	370,540
BMO TCH Core Plus Bond Fund—Institutional Class (1)		496,033		5,530,765
Federated Institutional High-Yield Bond Fund—Institutional Class		72,108		647,532
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		112,197		1,004,167
Metropolitan West Total Return Bond Fund—Institutional Class		346,458		3,727,886
PIMCO Unconstrained Bond Fund—Institutional Class		90,101		898,309
TCW Emerging Markets Income Fund—Institutional Class		87,204		652,285
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		48,957		1,193,089
Total Fixed Income Funds				14,024,573
Alternative Funds — 6.7%
BMO Alternative Strategies Fund—Institutional Class (1)		374,373		3,721,265
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		271,590		1,189,563
Vanguard REIT Index Fund—Institutional Class		70,279		1,182,788
Total Alternative Funds				6,093,616
Total Mutual Funds (identified cost $79,912,171)				89,400,390
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		1,042,678		1,042,678
Total Short-Term Investments (identified cost $1,042,678)				1,042,678
Total Investments — 99.7% (identified cost $80,954,849)				90,443,068
Other Assets and Liabilities — 0.3%				249,253
Total Net Assets — 100.0%			$	90,692,321

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		34.9	%
Mid-Cap Funds		9.9
Small-Cap Funds		5.0
International Funds		26.6
Fixed Income Funds		15.5
Alternative Funds		6.7
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2035 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 38.0%
BMO Dividend Income Fund—Institutional Class (1)		36,027	$	418,998
BMO Large-Cap Value Fund—Institutional Class (1)		126,580		1,624,023
BMO Low Volatility Equity Fund—Institutional Class (1)		78,442		995,423
Harbor Capital Appreciation Fund—Institutional Class		33,471		1,807,747
T Rowe Price Growth Stock Fund—Retail Class		37,386		1,798,262
Vanguard Equity Income Fund—Institutional Class		9,179		552,109
Vanguard Institutional Index Fund—Institutional Class		18,966		3,359,019
Total Large-Cap Funds				10,555,581
Mid-Cap Funds — 10.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		66,028		965,324
BMO Mid-Cap Value Fund—Institutional Class (1)		81,137		997,986
Vanguard Mid-Cap Index Fund—Institutional Class		34,966		1,076,248
Total Mid-Cap Funds				3,039,558
Small-Cap Funds — 5.4%
BMO Small-Cap Growth Fund—Institutional Class (1)		53,966		748,507
Goldman Sachs Small Cap Value Fund—Institutional Class		16,171		747,919
Total Small-Cap Funds				1,496,426
International Funds — 29.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		93,446		841,010
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		103,870		1,204,889
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		31,805		249,669
BMO Pyrford International Stock Fund—Institutional Class (1)		140,035		1,548,792
DFA International Small Company Portfolio—Institutional Class		17,243		275,713
Dodge & Cox International Stock Fund—Retail Class		48,809		1,566,772
Harbor International Fund—Institutional Class		27,751		1,548,511
MFS International Value Fund—Institutional Class		24,929		856,545
Total International Funds				8,091,901
Fixed Income Funds — 8.8%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		9,838		87,363
BMO TCH Core Plus Bond Fund—Institutional Class (1)		85,014		947,902
Federated Institutional High-Yield Bond Fund—Institutional Class		12,806		114,995
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		18,232		163,180
Metropolitan West Total Return Bond Fund—Institutional Class		59,489		640,107
PIMCO Unconstrained Bond Fund—Institutional Class		14,092		140,494
TCW Emerging Markets Income Fund—Institutional Class		15,872		118,725

(See Notes which are an integral part of the Financial Statements)

9

February 29, 2016 (Unaudited)

Schedules of Investments

2035 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		9,038	$	220,254
Total Fixed Income Funds				2,433,020
Alternative Funds — 6.0%
BMO Alternative Strategies Fund—Institutional Class (1)		87,536		870,104
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		89,472		391,887
Vanguard REIT Index Fund—Institutional Class		23,193		390,335
Total Alternative Funds				1,652,326
Total Mutual Funds (identified cost $30,865,082)				27,268,812
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		426,396		426,396
Total Short-Term Investments (identified cost $426,396)				426,396
Total Investments — 99.8% (identified cost $31,291,478)				27,695,208
Other Assets and Liabilities — 0.2%				64,078
Total Net Assets — 100.0%			$	27,759,286

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		38.0	%
Mid-Cap Funds		10.9
Small-Cap Funds		5.4
International Funds		29.1
Fixed Income Funds		8.8
Alternative Funds		6.0
Other Assets & Liabilities, Net		1.8
Total		100.0	%

2040 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 40.8%
BMO Dividend Income Fund—Institutional Class (1)		70,422	$	819,013
BMO Large-Cap Value Fund—Institutional Class (1)		283,957		3,643,168
BMO Low Volatility Equity Fund—Institutional Class (1)		182,542		2,316,456
Harbor Capital Appreciation Fund—Institutional Class		74,916		4,046,190
T Rowe Price Growth Stock Fund—Retail Class		84,491		4,064,021
Vanguard Equity Income Fund—Institutional Class		21,147		1,271,983
Vanguard Institutional Index Fund—Institutional Class		43,000		7,615,751
Total Large-Cap Funds				23,776,582

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund—Institutional Class (1)		143,374	$	2,096,129
BMO Mid-Cap Value Fund—Institutional Class (1)		169,938		2,090,235
Vanguard Mid-Cap Index Fund—Institutional Class		84,876		2,612,495
Total Mid-Cap Funds				6,798,859
Small-Cap Funds — 5.6%
BMO Small-Cap Growth Fund—Institutional Class (1)		117,254		1,626,316
Goldman Sachs Small Cap Value Fund—Institutional Class		35,129		1,624,710
Total Small-Cap Funds				3,251,026
International Funds — 31.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		212,226		1,910,030
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		225,219		2,612,544
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		95,235		747,591
BMO Pyrford International Stock Fund—Institutional Class (1)		307,776		3,404,005
DFA International Small Company Portfolio—Institutional Class		39,645		633,921
Dodge & Cox International Stock Fund—Retail Class		107,369		3,446,551
Harbor International Fund—Institutional Class		61,104		3,409,597
MFS International Value Fund—Institutional Class		57,074		1,961,066
Total International Funds				18,125,305
Fixed Income Funds — 3.9%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		13,933		123,723
BMO TCH Core Plus Bond Fund—Institutional Class (1)		67,149		748,710
Federated Institutional High-Yield Bond Fund—Institutional Class		19,530		175,378
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		25,748		230,448
Metropolitan West Total Return Bond Fund—Institutional Class		59,437		639,544
TCW Emerging Markets Income Fund—Institutional Class		15,690		117,358
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class (2)		9,494		231,362
Total Fixed Income Funds				2,266,523
Alternative Funds — 5.5%
BMO Alternative Strategies Fund—Institutional Class (1)		145,843		1,449,682
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		197,305		864,194
Vanguard REIT Index Fund—Institutional Class		51,575		868,002
Total Alternative Funds				3,181,878
Total Mutual Funds (identified cost $50,054,735)				57,400,173

(See Notes which are an integral part of the Financial Statements)

10

BMO Funds

2040 Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		551,731	$	551,731
Total Short-Term Investments (identified cost $551,731)				551,731
Total Investments — 99.6% (identified cost $50,606,466)				57,951,904
Other Assets and Liabilities — 0.4%				241,877
Total Net Assets — 100.0%			$	58,193,781

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		40.8	%
Mid-Cap Funds		11.7
Small-Cap Funds		5.6
International Funds		31.1
Fixed Income Funds		3.9
Alternative Funds		5.5
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2045 Fund

Description	Shares		Value
Mutual Funds — 98.3%
Large-Cap Funds — 40.9%
BMO Dividend Income Fund—Institutional Class (1)		17,816	$	207,200
BMO Large-Cap Value Fund—Institutional Class (1)		71,429		916,440
BMO Low Volatility Equity Fund—Institutional Class (1)		46,006		583,819
Harbor Capital Appreciation Fund—Institutional Class		18,956		1,023,835
T Rowe Price Growth Stock Fund—Retail Class		21,347		1,026,804
Vanguard Equity Income Fund—Institutional Class		5,352		321,903
Vanguard Institutional Index Fund—Institutional Class		10,832		1,918,521
Total Large-Cap Funds				5,998,522
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund—Institutional Class (1)		36,277		530,365
BMO Mid-Cap Value Fund—Institutional Class (1)		42,995		528,833
Vanguard Mid-Cap Index Fund—Institutional Class		21,320		656,223
Total Mid-Cap Funds				1,715,421
Small-Cap Funds — 5.7%
BMO Small-Cap Growth Fund—Institutional Class (1)		30,103		417,530
Goldman Sachs Small Cap Value Fund—Institutional Class		8,996		416,048
Total Small-Cap Funds				833,578

Description	Shares		Value
Mutual Funds (continued)
International Funds — 31.5%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		41,067	$	369,602
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		62,035		719,605
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		21,050		165,242
BMO Pyrford International Stock Fund—Institutional Class (1)		81,999		906,910
DFA International Small Company Portfolio—Institutional Class		11,149		178,276
Dodge & Cox International Stock Fund—Retail Class		29,607		950,380
Harbor International Fund—Institutional Class		16,913		943,764
MFS International Value Fund—Institutional Class		11,013		378,423
Total International Funds				4,612,202
Fixed Income Funds — 3.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		3,403		30,223
BMO TCH Core Plus Bond Fund—Institutional Class (1)		17,033		189,916
Federated Institutional High-Yield Bond Fund—Institutional Class		5,011		45,001
Metropolitan West Total Return Bond Fund—Institutional Class		13,551		145,813
TCW Emerging Markets Income Fund—Institutional Class		4,157		31,095
Total Fixed Income Funds				442,048
Alternative Funds — 5.5%
BMO Alternative Strategies Fund—Institutional Class (1)		36,565		363,455
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		50,031		219,135
Vanguard REIT Index Fund—Institutional Class		13,101		220,489
Total Alternative Funds				803,079
Total Mutual Funds (identified cost $16,410,601)				14,404,850
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		227,704		227,704
Total Short-Term Investments (identified cost $227,704)				227,704
Total Investments — 99.9% (identified cost $16,638,305)				14,632,554
Other Assets and Liabilities — 0.1%				17,646
Total Net Assets — 100.0%			$	14,650,200

(See Notes which are an integral part of the Financial Statements)

11

February 29, 2016 (Unaudited)

Schedules of Investments

2045 Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		40.9	%
Mid-Cap Funds		11.7
Small-Cap Funds		5.7
International Funds		31.5
Fixed Income Funds		3.0
Alternative Funds		5.5
Other Assets & Liabilities, Net		1.7
Total		100.0	%

2050 Fund

Description	Shares		Value
Mutual Funds — 98.5%
Large-Cap Funds — 40.8%
BMO Dividend Income Fund—Institutional Class (1)		45,376	$	527,719
BMO Large-Cap Value Fund—Institutional Class (1)		183,839		2,358,651
BMO Low Volatility Equity Fund—Institutional Class (1)		118,726		1,506,631
Harbor Capital Appreciation Fund—Institutional Class		48,978		2,645,291
T Rowe Price Growth Stock Fund—Retail Class		54,866		2,639,035
Vanguard Equity Income Fund—Institutional Class		13,668		822,114
Vanguard Institutional Index Fund—Institutional Class		27,990		4,957,307
Total Large-Cap Funds				15,456,748
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund—Institutional Class (1)		93,709		1,370,032
BMO Mid-Cap Value Fund—Institutional Class (1)		110,375		1,357,618
Vanguard Mid-Cap Index Fund—Institutional Class		55,304		1,702,262
Total Mid-Cap Funds				4,429,912
Small-Cap Funds — 5.6%
BMO Small-Cap Growth Fund—Institutional Class (1)		76,230		1,057,314
Goldman Sachs Small Cap Value Fund—Institutional Class		22,967		1,062,234
Total Small-Cap Funds				2,119,548
International Funds — 31.3%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		105,537		949,831
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		155,412		1,802,776
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		55,960		439,287
BMO Pyrford International Stock Fund—Institutional Class (1)		209,654		2,318,777
DFA International Small Company Portfolio—Institutional Class		28,454		454,977
Dodge & Cox International Stock Fund—Retail Class		76,903		2,468,571
Harbor International Fund—Institutional Class		43,923		2,450,880

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund—Institutional Class		28,478	$	978,504
Total International Funds				11,863,603
Fixed Income Funds — 3.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		8,347		74,122
BMO TCH Core Plus Bond Fund—Institutional Class (1)		50,444		562,448
Federated Institutional High-Yield Bond Fund—Institutional Class		8,438		75,772
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		16,250		145,439
Metropolitan West Total Return Bond Fund—Institutional Class		35,230		379,072
TCW Emerging Markets Income Fund—Institutional Class		9,996		74,769
Total Fixed Income Funds				1,311,622
Alternative Funds — 5.6%
BMO Alternative Strategies Fund—Institutional Class (1)		99,953		993,536
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		130,584		571,956
Vanguard REIT Index Fund—Institutional Class		34,062		573,265
Total Alternative Funds				2,138,757
Total Mutual Funds (identified cost $34,476,787)				37,320,190
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		465,853		465,853
Total Short-Term Investments (identified cost $465,853)				465,853
Total Investments — 99.7% (identified cost $34,942,640)				37,786,043
Other Assets and Liabilities — 0.3%				105,637
Total Net Assets — 100.0%			$	37,891,680

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		40.8	%
Mid-Cap Funds		11.7
Small-Cap Funds		5.6
International Funds		31.3
Fixed Income Funds		3.5
Alternative Funds		5.6
Other Assets & Liabilities, Net		1.5
Total		100.0	%

2055 Fund

Description	Shares		Value
Mutual Funds — 97.1%
Large-Cap Funds — 40.4%
BMO Dividend Income Fund—Institutional Class (1)		6,496	$	75,551

(See Notes which are an integral part of the Financial Statements)

12

BMO Funds

2055 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Large-Cap Value Fund—Institutional Class (1)		26,414	$	338,889
BMO Low Volatility Equity Fund—Institutional Class (1)		17,034		216,164
Harbor Capital Appreciation Fund—Institutional Class		6,988		377,410
T Rowe Price Growth Stock Fund—Retail Class		7,847		377,436
Vanguard Equity Income Fund—Institutional Class		1,973		118,658
Vanguard Institutional Index Fund—Institutional Class		4,017		711,504
Total Large-Cap Funds				2,215,612
Mid-Cap Funds — 11.5%
BMO Mid-Cap Growth Fund—Institutional Class (1)		13,268		193,975
BMO Mid-Cap Value Fund—Institutional Class (1)		15,819		194,578
Vanguard Mid-Cap Index Fund—Institutional Class		7,876		242,432
Total Mid-Cap Funds				630,985
Small-Cap Funds — 5.6%
BMO Small-Cap Growth Fund—Institutional Class (1)		11,182		155,089
Goldman Sachs Small Cap Value Fund—Institutional Class		3,307		152,930
Total Small-Cap Funds				308,019
International Funds — 31.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		15,611		140,503
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		23,129		268,300
BMO LGM Frontier Markets Equity Fund—Institutional Class (1)		6,542		51,356
BMO Pyrford International Stock Fund—Institutional Class (1)		30,322		335,365
DFA International Small Company Portfolio—Institutional Class		4,085		65,322
Dodge & Cox International Stock Fund—Retail Class		11,033		354,154
Harbor International Fund—Institutional Class		6,301		351,595
MFS International Value Fund—Institutional Class		4,086		140,382
Total International Funds				1,706,977
Fixed Income Funds — 3.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		1,198		10,640
BMO TCH Core Plus Bond Fund—Institutional Class (1)		5,830		64,999
Federated Institutional High-Yield Bond Fund—Institutional Class		1,182		10,613
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		2,418		21,643
Metropolitan West Total Return Bond Fund—Institutional Class		4,017		43,218
TCW Emerging Markets Income Fund—Institutional Class		1,432		10,708
Total Fixed Income Funds				161,821

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 5.5%
BMO Alternative Strategies Fund—Institutional Class (1)		13,625	$	135,428
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		18,734		82,054
Vanguard REIT Index Fund—Institutional Class		4,849		81,602
Total Alternative Funds				299,084
Total Mutual Funds (identified cost $5,964,521)				5,322,498
Short-Term Investments — 2.1%
Mutual Funds — 2.1%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		115,348		115,348
Total Short-Term Investments (identified cost $115,348)				115,348
Total Investments — 99.2% (identified cost $6,079,869)				5,437,846
Other Assets and Liabilities — 0.8%				43,658
Total Net Assets — 100.0%			$	5,481,504

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		40.4	%
Mid-Cap Funds		11.5
Small-Cap Funds		5.6
International Funds		31.1
Fixed Income Funds		3.0
Alternative Funds		5.5
Other Assets & Liabilities, Net		2.9
Total		100.0	%

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 9.0%
BMO Dividend Income Fund—Institutional Class (1)		75,699	$	880,379
BMO Large-Cap Growth Fund—Institutional Class (1)		112,957		1,574,618
BMO Large-Cap Value Fund—Institutional Class (1)		119,668		1,535,335
BMO Low Volatility Equity Fund—Institutional Class (1)		79,802		1,012,690
Dodge & Cox Stock Fund—Retail Class		7,301		1,099,176
Harbor Capital Appreciation Fund—Institutional Class		27,328		1,475,981
T Rowe Price Growth Stock Fund—Retail Class		27,658		1,330,349
Vanguard Institutional Index Fund—Institutional Class		19,628		3,476,394
Total Large-Cap Funds				12,384,922
Mid-Cap Funds — 2.4%
BMO Mid-Cap Growth Fund—Institutional Class (1)		71,227		1,041,336

(See Notes which are an integral part of the Financial Statements)

13

February 29, 2016 (Unaudited)

Schedules of Investments

Conservative Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds (continued)
BMO Mid-Cap Value Fund—Institutional Class (1)		87,435	$	1,075,448
Vanguard Mid-Cap Index Fund—Institutional Class		40,985		1,261,527
Total Mid-Cap Funds				3,378,311
Small-Cap Funds — 1.6%
BMO Small-Cap Growth Fund—Institutional Class (1)		79,080		1,096,835
BMO Small-Cap Value Fund—Institutional Class (1)		24,522		277,584
Goldman Sachs Small Cap Value Fund—Institutional Class		16,882		780,811
Total Small-Cap Funds				2,155,230
International Funds — 7.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		178,845		1,609,609
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		112,219		1,301,746
BMO Pyrford International Stock Fund—Institutional Class (1)		154,798		1,712,066
Dodge & Cox International Stock Fund—Retail Class		54,718		1,756,448
Harbor International Fund—Institutional Class		31,265		1,744,607
MFS International Value Fund—Institutional Class		46,661		1,603,259
Total International Funds				9,727,735
Fixed Income Funds — 68.2%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		424,321		3,767,973
BMO TCH Core Plus Bond Fund—Institutional Class (3)(1)		3,980,493		44,382,496
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		551,636		4,937,138
Metropolitan West Total Return Bond Fund—Institutional Class		2,873,094		30,914,487
PIMCO Unconstrained Bond Fund—Institutional Class		961,526		9,586,419
Total Fixed Income Funds				93,588,513
Alternative Funds — 10.1%
BMO Alternative Strategies Fund—Institutional Class (1)		1,132,502		11,257,069
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		305,372		1,337,527
Vanguard REIT Index Fund—Institutional Class		80,183		1,349,476
Total Alternative Funds				13,944,072
Total Mutual Funds (identified cost $132,485,528)				135,178,783

Description	Shares		Value
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		2,154,294	$	2,154,294
Total Short-Term Investments (identified cost $2,154,294)				2,154,294
Total Investments — 100.0% (identified cost $134,639,822)				137,333,077
Other Assets and Liabilities — 0.0%				(40,838	)
Total Net Assets — 100.0%			$	137,292,239

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		9.0	%
Mid-Cap Funds		2.4
Small-Cap Funds		1.6
International Funds		7.1
Fixed Income Funds		68.2
Alternative Funds		10.1
Other Assets & Liabilities, Net		1.6
Total		100.0	%

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 18.3%
BMO Dividend Income Fund—Institutional Class (1)		148,858	$	1,731,218
BMO Large-Cap Growth Fund—Institutional Class (1)		226,224		3,153,569
BMO Large-Cap Value Fund—Institutional Class (1)		246,634		3,164,318
BMO Low Volatility Equity Fund—Institutional Class (1)		157,302		1,996,157
Dodge & Cox Stock Fund—Retail Class		15,300		2,303,602
Harbor Capital Appreciation Fund—Institutional Class		57,202		3,089,470
T Rowe Price Growth Stock Fund—Retail Class		59,812		2,876,965
Vanguard Institutional Index Fund—Institutional Class		39,489		6,993,856
Total Large-Cap Funds				25,309,155
Mid-Cap Funds — 5.1%
BMO Mid-Cap Growth Fund—Institutional Class (1)		155,201		2,269,040
BMO Mid-Cap Value Fund—Institutional Class (1)		186,744		2,296,957
Vanguard Mid-Cap Index Fund—Institutional Class		80,443		2,476,022
Total Mid-Cap Funds				7,042,019
Small-Cap Funds — 3.2%
BMO Small-Cap Growth Fund—Institutional Class (1)		164,336		2,279,346
BMO Small-Cap Value Fund—Institutional Class (1)		48,898		553,531
Goldman Sachs Small Cap Value Fund—Institutional Class		35,066		1,621,814
Total Small-Cap Funds				4,454,691

(See Notes which are an integral part of the Financial Statements)

14

BMO Funds

Moderate Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 14.1%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		375,548	$	3,379,934
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		225,670		2,617,768
BMO Pyrford International Stock Fund—Institutional Class (1)		315,079		3,484,772
Dodge & Cox International Stock Fund—Retail Class		105,538		3,387,769
Harbor International Fund—Institutional Class		62,671		3,497,025
MFS International Value Fund—Institutional Class		92,066		3,163,372
Total International Funds				19,530,640
Fixed Income Funds — 47.3%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		309,806		2,751,075
BMO TCH Core Plus Bond Fund—Institutional Class (1)		2,681,698		29,900,936
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		386,669		3,460,689
Metropolitan West Total Return Bond Fund—Institutional Class		2,083,019		22,413,284
PIMCO Unconstrained Bond Fund—Institutional Class		686,588		6,845,286
Total Fixed Income Funds				65,371,270
Alternative Funds — 10.4%
BMO Alternative Strategies Fund—Institutional Class (1)		1,075,346		10,688,936
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		412,993		1,808,910
Vanguard REIT Index Fund—Institutional Class		107,201		1,804,196
Total Alternative Funds				14,302,042
Total Mutual Funds (identified cost $129,482,713)				136,009,817
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		2,296,099		2,296,099
Total Short-Term Investments (identified cost $2,296,099)				2,296,099
Total Investments — 100.0% (identified cost $131,778,812)				138,305,916
Other Assets and Liabilities — 0.0%				(43,402	)
Total Net Assets — 100.0%			$	138,262,514

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		18.3	%
Mid-Cap Funds		5.1
Small-Cap Funds		3.2
International Funds		14.1
Fixed Income Funds		47.3
Alternative Funds		10.4
Other Assets & Liabilities, Net		1.6
Total		100.0	%

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 27.6%
BMO Dividend Income Fund—Institutional Class (1)		790,159	$	9,189,551
BMO Large-Cap Growth Fund—Institutional Class (1)		1,184,344		16,509,750
BMO Large-Cap Value Fund—Institutional Class (1)		1,284,856		16,484,705
BMO Low Volatility Equity Fund—Institutional Class (1)		829,135		10,521,718
Dodge & Cox Stock Fund—Retail Class		78,363		11,798,356
Harbor Capital Appreciation Fund—Institutional Class		306,893		16,575,300
T Rowe Price Growth Stock Fund—Retail Class		304,374		14,640,393
Vanguard Institutional Index Fund—Institutional Class		208,012		36,840,985
Total Large-Cap Funds				132,560,758
Mid-Cap Funds — 7.4%
BMO Mid-Cap Growth Fund—Institutional Class (1)		786,604		11,500,154
BMO Mid-Cap Value Fund—Institutional Class (1)		937,981		11,537,165
Vanguard Mid-Cap Index Fund—Institutional Class		409,524		12,605,160
Total Mid-Cap Funds				35,642,479
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund—Institutional Class (1)		843,566		11,700,257
BMO Small-Cap Value Fund—Institutional Class (1)		264,673		2,996,100
Goldman Sachs Small Cap Value Fund—Institutional Class		191,801		8,870,807
Total Small-Cap Funds				23,567,164
International Funds — 21.3%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		2,003,234		18,029,103
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		1,176,468		13,647,034
BMO Pyrford International Stock Fund—Institutional Class (1)		1,629,611		18,023,500
Dodge & Cox International Stock Fund—Retail Class		562,350		18,051,443
Harbor International Fund—Institutional Class		324,802		18,123,951

(See Notes which are an integral part of the Financial Statements)

15

February 29, 2016 (Unaudited)

Schedules of Investments

Balanced Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund—Institutional Class		476,748	$	16,381,058
Total International Funds				102,256,089
Fixed Income Funds — 26.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		610,277		5,419,257
BMO TCH Core Plus Bond Fund—Institutional Class (1)		5,202,655		58,009,601
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		738,840		6,612,619
Metropolitan West Total Return Bond Fund—Institutional Class		3,994,388		42,979,619
PIMCO Unconstrained Bond Fund—Institutional Class		1,407,992		14,037,677
Total Fixed Income Funds				127,058,773
Alternative Funds — 10.5%
BMO Alternative Strategies Fund—Institutional Class (1)		3,603,915		35,822,916
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		1,627,358		7,127,827
Vanguard REIT Index Fund—Institutional Class		430,498		7,245,289
Total Alternative Funds				50,196,032
Total Mutual Funds (identified cost $417,075,650)				471,281,295
Short-Term Investments — 2.0%
Mutual Funds — 2.0%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		9,434,621		9,434,621
Total Short-Term Investments (identified cost $9,434,621)				9,434,621
Total Investments — 100.2% (identified cost $426,510,271)				480,715,916
Other Assets and Liabilities — (0.2)%				(804,257	)
Total Net Assets — 100.0%			$	479,911,659

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		27.6	%
Mid-Cap Funds		7.4
Small-Cap Funds		4.9
International Funds		21.3
Fixed Income Funds		26.5
Alternative Funds		10.5
Other Assets & Liabilities, Net		1.8
Total		100.0	%

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 97.8%
Large-Cap Funds — 36.8%
BMO Dividend Income Fund—Institutional Class (1)		296,830	$	3,452,136
BMO Large-Cap Growth Fund—Institutional Class (1)		452,188		6,303,498
BMO Large-Cap Value Fund—Institutional Class (1)		495,600		6,358,543
BMO Low Volatility Equity Fund—Institutional Class (1)		318,332		4,039,629
Dodge & Cox Stock Fund—Retail Class		30,700		4,622,224
Harbor Capital Appreciation Fund—Institutional Class		117,060		6,322,387
T Rowe Price Growth Stock Fund—Retail Class		117,846		5,668,392
Vanguard Institutional Index Fund—Institutional Class		79,242		14,034,551
Total Large-Cap Funds				50,801,360
Mid-Cap Funds — 9.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		301,100		4,402,086
BMO Mid-Cap Value Fund—Institutional Class (1)		365,092		4,490,626
Vanguard Mid-Cap Index Fund—Institutional Class		156,759		4,825,045
Total Mid-Cap Funds				13,717,757
Small-Cap Funds — 6.5%
BMO Small-Cap Growth Fund—Institutional Class (1)		325,498		4,514,656
BMO Small-Cap Value Fund—Institutional Class (1)		99,905		1,130,919
Goldman Sachs Small Cap Value Fund—Institutional Class		73,317		3,390,908
Total Small-Cap Funds				9,036,483
International Funds — 28.3%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		751,430		6,762,868
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		435,747		5,054,663
BMO Pyrford International Stock Fund—Institutional Class (1)		623,438		6,895,228
Dodge & Cox International Stock Fund—Retail Class		218,124		7,001,766
Harbor International Fund—Institutional Class		124,528		6,948,659
MFS International Value Fund—Institutional Class		184,256		6,331,023
Total International Funds				38,994,207
Fixed Income Funds — 6.1%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		50,990		452,793
BMO TCH Core Plus Bond Fund—Institutional Class (1)		287,816		3,209,152
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		70,062		627,059
Metropolitan West Total Return Bond Fund—Institutional Class		254,966		2,743,430
PIMCO Unconstrained Bond Fund—Institutional Class		137,981		1,375,667
Total Fixed Income Funds				8,408,101

(See Notes which are an integral part of the Financial Statements)

16

BMO Funds

Growth Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 10.2%
BMO Alternative Strategies Fund—Institutional Class (1)		938,328	$	9,326,980
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		529,833		2,320,668
Vanguard REIT Index Fund—Institutional Class		141,541		2,382,136
Total Alternative Funds				14,029,784
Total Mutual Funds (identified cost $118,664,152)				134,987,692
Short-Term Investments — 2.0%
Mutual Funds — 2.0%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		2,798,480		2,798,480
Total Short-Term Investments (identified cost $2,798,480)				2,798,480
Total Investments — 99.8% (identified cost $121,462,632)				137,786,172
Other Assets and Liabilities — 0.2%				238,168
Total Net Assets — 100.0%			$	138,024,340

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		36.8	%
Mid-Cap Funds		9.9
Small-Cap Funds		6.5
International Funds		28.3
Fixed Income Funds		6.1
Alternative Funds		10.2
Other Assets & Liabilities, Net		2.2
Total		100.0	%

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 97.0%
Large-Cap Funds — 43.6%
BMO Dividend Income Fund—Institutional Class (1)		561,573	$	6,531,088
BMO Large-Cap Growth Fund—Institutional Class (1)		859,212		11,977,414
BMO Large-Cap Value Fund—Institutional Class (1)		932,761		11,967,321
BMO Low Volatility Equity Fund—Institutional Class (1)		599,029		7,601,673
Dodge & Cox Stock Fund—Retail Class		57,950		8,724,928
Harbor Capital Appreciation Fund—Institutional Class		218,902		11,822,875
T Rowe Price Growth Stock Fund—Retail Class		222,698		10,711,761
Vanguard Institutional Index Fund—Institutional Class		150,035		26,572,762
Total Large-Cap Funds				95,909,822

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 11.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		574,591	$	8,400,519
BMO Mid-Cap Value Fund—Institutional Class (1)		693,987		8,536,038
Vanguard Mid-Cap Index Fund—Institutional Class		298,391		9,184,481
Total Mid-Cap Funds				26,121,038
Small-Cap Funds — 7.8%
BMO Small-Cap Growth Fund—Institutional Class (1)		610,394		8,466,169
BMO Small-Cap Value Fund—Institutional Class (1)		192,972		2,184,441
Goldman Sachs Small Cap Value Fund—Institutional Class		137,986		6,381,867
Total Small-Cap Funds				17,032,477
International Funds — 33.7%
BMO Disciplined International Equity Fund—Institutional Class (1)(2)		1,447,691		13,029,220
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		853,017		9,894,993
BMO Pyrford International Stock Fund—Institutional Class (1)		1,186,110		13,118,377
Dodge & Cox International Stock Fund—Retail Class		403,361		12,947,896
Harbor International Fund—Institutional Class		234,530		13,086,747
MFS International Value Fund—Institutional Class		348,237		11,965,422
Total International Funds				74,042,655
Total Mutual Funds (identified cost $171,498,974)				213,105,992
Short-Term Investments — 2.6%
Mutual Funds — 2.6%
BMO Prime Money Market Fund—Premier Class, 0.310% (1)		5,811,282		5,811,282
Total Short-Term Investments (identified cost $5,811,282)				5,811,282
Total Investments — 99.6% (identified cost $177,310,256)				218,917,274
Other Assets and Liabilities — 0.4%				825,324
Total Net Assets — 100.0%			$	219,742,598

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		43.6	%
Mid-Cap Funds		11.9
Small-Cap Funds		7.8
International Funds		33.7
Other Assets & Liabilities, Net		3.0
Total		100.0	%

(See Notes which are an integral part of the Financial Statements)

17

February 29, 2016 (Unaudited)

Notes to Schedules of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for each Fund as of February 29, 2016.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on February 29, 2016 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

(1) Denotes an investment in an affiliated entity. Please refer to Note 5, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(2) Non-income producing.

(3) Holding is greater than 25% of portfolio value. Additional information regarding the underlying Fund’s holdings and financial statements may be found at https://www.sec.gov.

(See Notes which are an integral part of the Financial Statements)

18

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	In-Retirement Fund		2015 Fund			2020 Fund			2025 Fund			2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	11,371,007	$	2,265,370		$	47,206,664		$	15,692,839		$	51,075,112
Cash sweep investments in affiliated issuers, at value		294,418		65,986			1,128,035			434,973			1,042,678
Investments in other affiliated issuers, at value		8,478,448		1,815,685			37,610,820			11,848,197			38,325,278
Dividends and interest receivable		24,487		4,103			62,863			14,717			33,198
Receivable for investments sold		—		—			77,331			61,334			112,138
Receivable for capital stock sold		275,149		3,572			2,909,020			713,860			2,397,413
Receivable from affiliates, net (Note 5)		13,319		13,539			8,317			14,886			6,789
Prepaid expenses		30,236		35,768			26,585			37,635			26,606
Total assets		20,487,064		4,204,023			89,029,635			28,818,441			93,019,212
Liabilities:
Payable for investments purchased		—		—			—			73,293			—
Payable for capital stock redeemed		299,336		98,576			3,013,179			682,370			2,304,428
Other liabilities		18,425		18,461			22,306			19,031			22,463
Total liabilities		317,761		117,037			3,035,485			774,694			2,326,891
Total net assets	$	20,169,303	$	4,086,986		$	85,994,150		$	28,043,747		$	90,692,321
Net assets consist of:
Paid-in capital	$	18,401,912	$	4,507,220		$	75,235,860		$	31,186,708		$	80,023,495
Net unrealized appreciation (depreciation) on investments		1,541,129		(302,254	)		9,589,866			(3,298,421	)		9,488,219
Accumulated net realized gain (loss) on investments		203,336		(119,478	)		1,224,225			166,591			1,294,028
Undistributed net investment income (distributions in excess of net investment income)		22,926		1,498			(55,801	)		(11,131	)		(113,421	)
Total net assets	$	20,169,303	$	4,086,986		$	85,994,150		$	28,043,747		$	90,692,321
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.81	$	9.75		$	9.24		$	9.66		$	9.65
Institutional class of shares		8.81		9.79			9.24			9.70			9.66
Retirement class R-3 of shares		8.82		9.75			9.26			9.62			9.65
Retirement class R-6 of shares		8.80		9.80			9.24			9.70			9.65
Net assets:
Investor class of shares	$	3,506,084	$	389,772		$	17,509,888		$	655,390		$	18,090,763
Institutional class of shares		276,916		106,492			3,509,087			600,665			2,574,268
Retirement class R-3 of shares		1,327,137		127,727			10,825,464			883,571			9,046,175
Retirement class R-6 of shares		15,059,166		3,462,995			54,149,711			25,904,121			60,981,115
Total net assets	$	20,169,303	$	4,086,986		$	85,994,150		$	28,043,747		$	90,692,321
Shares outstanding:
Investor class of shares		398,109		39,965			1,895,186			67,852			1,874,783
Institutional class of shares		31,429		10,881			379,759			61,940			266,541
Retirement class R-3 of shares		150,419		13,095			1,169,577			91,802			936,849
Retirement class R-6 of shares		1,711,407		353,447			5,859,335			2,669,860			6,320,225
Total shares outstanding		2,291,364		417,388			9,303,857			2,891,454			9,398,398
Investments, at cost:
Investments in unaffiliated issuers	$	9,967,924	$	2,404,349		$	38,165,426		$	17,301,850		$	40,826,556
Cash sweep investments in affiliated issuers		294,418		65,986			1,128,035			434,973			1,042,678
Investments in other affiliated issuers		8,340,402		1,978,960			37,062,192			13,537,607			39,085,615
Total investments, at cost	$	18,602,744	$	4,449,295		$	76,355,653		$	31,274,430		$	80,954,849

(See Notes which are an integral part of the Financial Statements)

19

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	15,768,822		$	33,812,571		$	8,475,710		$	22,001,448		$	3,141,661
Cash sweep investments in affiliated issuers, at value		426,396			551,731			227,704			465,853			115,348
Investments in other affiliated issuers, at value		11,499,990			23,587,602			5,929,140			15,318,742			2,180,837
Dividends and interest receivable		5,767			5,760			1,261			3,645			471
Receivable for investments sold		63,033			84,334			11,251			24,408			—
Receivable for capital stock sold		393,971			1,059,585			568,122			1,082,446			860,868
Receivable from affiliates, net (Note 5)		14,351			10,865			13,791			10,824			13,023
Prepaid expenses		37,621			25,959			36,384			26,096			35,718
Total assets		28,209,951			59,138,407			15,263,363			38,933,462			6,347,926
Liabilities:
Payable for investments purchased		72,052			53,887			18,277			111,254			29,236
Payable for capital stock redeemed		359,560			868,948			576,027			910,007			819,097
Other liabilities		19,053			21,791			18,859			20,521			18,089
Total liabilities		450,665			944,626			613,163			1,041,782			866,422
Total net assets	$	27,759,286		$	58,193,781		$	14,650,200		$	37,891,680		$	5,481,504
Net assets consist of:
Paid-in capital	$	31,022,332		$	49,845,953		$	16,423,692		$	34,517,767		$	6,052,630
Net unrealized appreciation (depreciation) on investments		(3,596,270	)		7,345,438			(2,005,751	)		2,843,403			(642,023	)
Accumulated net realized gain on investments		370,360			1,116,285			258,634			605,826			80,633
Distributions in excess of net investment income		(37,136	)		(113,895	)		(26,375	)		(75,316	)		(9,736	)
Total net assets	$	27,759,286		$	58,193,781		$	14,650,200		$	37,891,680		$	5,481,504
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	9.55		$	9.47		$	9.66		$	9.78		$	9.60
Institutional class of shares		9.57			9.48			9.70			9.79			9.64
Retirement class R-3 of shares		9.51			9.49			9.63			9.79			9.58
Retirement class R-6 of shares		9.58			9.48			9.70			9.79			9.65
Net assets:
Investor class of shares	$	634,836		$	10,845,974		$	743,869		$	8,382,417		$	378,375
Institutional class of shares		79,108			2,086,511			129,195			2,052,402			189,502
Retirement class R-3 of shares		426,983			4,955,826			371,856			4,111,167			370,679
Retirement class R-6 of shares		26,618,359			40,305,470			13,405,280			23,345,694			4,542,948
Total net assets	$	27,759,286		$	58,193,781		$	14,650,200		$	37,891,680		$	5,481,504
Shares outstanding:
Investor class of shares		66,495			1,144,729			76,973			856,729			39,394
Institutional class of shares		8,265			220,188			13,322			209,565			19,664
Retirement class R-3 of shares		44,899			522,170			38,597			419,958			38,681
Retirement class R-6 of shares		2,778,139			4,252,926			1,381,614			2,384,255			470,772
Total shares outstanding		2,897,798			6,140,013			1,510,506			3,870,507			568,511
Investments, at cost:
Investments in unaffiliated issuers	$	17,556,098		$	26,158,485		$	9,500,392		$	18,498,767		$	3,468,493
Cash sweep investments in affiliated issuers		426,396			551,731			227,704			465,853			115,348
Investments in other affiliated issuers		13,308,984			23,896,250			6,910,209			15,978,020			2,496,028
Total investments, at cost	$	31,291,478		$	50,606,466		$	16,638,305		$	34,942,640		$	6,079,869

(See Notes which are an integral part of the Financial Statements)

20

February 29, 2016 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Conservative Allocation Fund		Moderate Allocation Fund		Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Assets:
Investments in unaffiliated issuers, at value	$	62,653,599	$	65,742,260	$	231,890,484		$	68,593,915		$	111,398,739
Cash sweep investments in affiliated issuers, at value		2,154,294		2,296,099		9,434,621			2,798,480			5,811,282
Investments in other affiliated issuers, at value		72,525,184		70,267,557		239,390,811			66,393,777			101,707,253
Dividends and interest receivable		214,470		149,038		290,734			19,655			985
Receivable for investments sold		297,830		—		164,444			88,375			189,371
Receivable for capital stock sold		134,499		908,083		4,173,030			2,710,811			9,424,274
Receivable from affiliates, net (Note 5)		11,696		14,426		—			3,148			—
Prepaid expenses		20,954		22,476		20,928			21,082			25,312
Total assets		138,012,526		139,399,939		485,365,052			140,629,243			228,557,216
Liabilities:
Payable for investments purchased		166,561		—		—			—			—
Payable for capital stock redeemed		529,831		1,115,947		5,396,395			2,579,500			8,783,809
Payable to affiliates, net (Note 5)		—		—		15,461			—			1,771
Other liabilities		23,895		21,478		41,537			25,403			29,038
Total liabilities		720,287		1,137,425		5,453,393			2,604,903			8,814,618
Total net assets	$	137,292,239	$	138,262,514	$	479,911,659		$	138,024,340		$	219,742,598
Net assets consist of:
Paid-in capital	$	134,110,680	$	130,448,111	$	415,196,465		$	118,182,363		$	170,738,168
Net unrealized appreciation on investments		2,693,255		6,527,104		54,205,645			16,323,540			41,607,018
Accumulated net realized gain on investments		92,412		1,162,745		10,870,342			3,916,764			8,145,506
Undistributed net investment income (distributions in excess of net investment income)		395,892		124,554		(360,793	)		(398,327	)		(748,094	)
Total net assets	$	137,292,239	$	138,262,514	$	479,911,659		$	138,024,340		$	219,742,598
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	9.12	$	8.92	$	8.53		$	8.56		$	8.50
Institutional class of shares		9.11		8.92		8.53			8.56			8.49
Retirement class R-3 of shares		9.12		8.93		8.53			8.55			8.49
Retirement class R-6 of shares		9.12		8.92		8.53			8.56			8.50
Net assets:
Investor class of shares	$	19,923,729	$	14,781,886	$	120,390,568		$	28,862,101		$	57,150,476
Institutional class of shares		27,421,615		14,808,267		74,700,087			13,137,220			27,410,884
Retirement class R-3 of shares		7,142,339		14,536,167		36,402,508			27,376,881			20,221,504
Retirement class R-6 of shares		82,804,556		94,136,194		248,418,496			68,648,138			114,959,734
Total net assets	$	137,292,239	$	138,262,514	$	479,911,659		$	138,024,340		$	219,742,598
Shares outstanding:
Investor class of shares		2,185,805		1,656,731		14,111,576			3,371,125			6,727,306
Institutional class of shares		3,008,651		1,660,418		8,756,801			1,534,565			3,228,242
Retirement class R-3 of shares		783,008		1,627,227		4,268,562			3,200,271			2,380,881
Retirement class R-6 of shares		9,082,657		10,553,083		29,109,965			8,017,983			13,531,798
Total shares outstanding		15,060,121		15,497,459		56,246,904			16,123,944			25,868,227
Investments, at cost:
Investments in unaffiliated issuers	$	60,469,095	$	59,216,860	$	183,511,117		$	51,871,541		$	74,510,261
Cash sweep investments in affiliated issuers		2,154,294		2,296,099		9,434,621			2,798,480			5,811,282
Investments in other affiliated issuers		72,016,433		70,265,853		233,564,533			66,792,611			96,988,713
Total investments, at cost	$	134,639,822	$	131,778,812	$	426,510,271		$	121,462,632		$	177,310,256

(See Notes which are an integral part of the Financial Statements)

21

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	165,261		$	35,368		$	658,627		$	207,101		$	672,006
Affiliated issuers		125,451			26,473			459,234			132,208			419,638
Interest income		2,665			498			12,981			3,159			16,223
Excess expense reimbursement from investment adviser (Note 5)		5,384			1,383			18,162			8,988			8,906
Total income		298,761			63,722			1,149,004			351,456			1,116,773
Expenses:
Shareholder servicing fees (Note 5)		5,473			725			26,577			2,017			28,194
Administration fees (Note 5)		4,822			657			29,009			2,599			27,912
Portfolio accounting fees		24,313			21,745			34,605			25,387			35,503
Recordkeeping fees		17,146			18,939			17,685			18,499			17,539
Custodian fees (Note 5)		483			107			2,005			645			2,137
Registration fees		24,434			23,210			24,930			23,970			24,948
Professional fees		9,939			9,939			9,939			9,939			9,939
Printing and postage		3,088			1,720			3,496			1,780			3,460
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 5)		4,443			472			33,397			3,105			29,541
Miscellaneous		3,668			3,652			3,990			3,739			3,993
Total expenses		103,928			87,285			191,752			97,799			189,285
Deduct:
Expense waivers (Note 5)		(91,435	)		(85,735	)		(116,292	)		(91,289	)		(109,215	)
Net expenses		12,493			1,550			75,460			6,510			80,070
Net investment income		286,268			62,172			1,073,544			344,946			1,036,703
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		128,159			(86,422	)		(72,914	)		(313,624	)		(559,538	)
Investments in affiliated issuers		27,136			(85,103	)		(193,545	)		(236,663	)		(464,805	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		134,934			39,277			850,427			333,272			1,202,950
Investments in affiliated issuers		183,769			54,862			1,290,546			463,934			1,726,036
Total net realized gain (loss)		473,998			(77,386	)		1,874,514			246,919			1,904,643
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(700,665	)		(70,460	)		(3,421,277	)		(1,049,566	)		(4,175,905	)
Investments in affiliated issuers		(583,950	)		(64,779	)		(3,171,269	)		(979,883	)		(3,934,933	)
Total net change in unrealized depreciation		(1,284,615	)		(135,239	)		(6,592,546	)		(2,029,449	)		(8,110,838	)
Net realized and unrealized loss on investments		(810,617	)		(212,625	)		(4,718,032	)		(1,782,530	)		(6,206,195	)
Change in net assets resulting from operations	$	(524,349	)	$	(150,453	)	$	(3,644,488	)	$	(1,437,584	)	$	(5,169,492	)

(See Notes which are an integral part of the Financial Statements)

22

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	194,103		$	420,045		$	100,468		$	264,816		$	32,701
Affiliated issuers		114,791			239,130			57,453			152,453			18,563
Interest income		3,368			11,149			1,691			7,005			523
Excess expense reimbursement from investment adviser (Note 5)		4,053			7,895			2,603			4,465			641
Total income		316,315			678,219			162,215			428,739			52,428
Expenses:
Shareholder servicing fees (Note 5)		1,213			16,153			1,620			12,469			1,462
Administration fees (Note 5)		1,248			16,596			1,498			12,704			1,310
Portfolio accounting fees		25,318			30,268			23,225			26,908			21,759
Recordkeeping fees		18,343			19,422			19,214			18,472			18,343
Custodian fees (Note 5)		635			1,365			332			869			110
Registration fees		23,962			24,434			23,518			24,565			23,184
Professional fees		9,939			9,939			9,939			9,939			9,939
Printing and postage		1,780			3,478			1,766			3,469			1,780
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 5)		1,550			17,076			1,451			12,424			962
Miscellaneous		3,780			3,854			3,676			3,732			3,631
Total expenses		93,887			148,704			92,358			131,670			88,599
Deduct:
Expense waivers (Note 5)		(90,125	)		(103,294	)		(88,188	)		(97,457	)		(85,213	)
Net expenses		3,762			45,410			4,170			34,213			3,386
Net investment income		312,553			632,809			158,045			394,526			49,042
Net realized and unrealized gain (loss) on investments:
Net realized loss on transactions from:
Investments in unaffiliated issuers		(248,172	)		(351,403	)		(113,316	)		(233,962	)		(35,470	)
Investments in affiliated issuers		(186,754	)		(234,217	)		(91,171	)		(198,235	)		(27,741	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		380,809			874,487			215,062			557,414			70,599
Investments in affiliated issuers		554,175			1,236,939			302,956			799,746			100,691
Total net realized gain		500,058			1,525,806			313,531			924,963			108,079
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(1,269,394	)		(3,109,068	)		(750,510	)		(1,964,442	)		(238,646	)
Investments in affiliated issuers		(1,203,394	)		(2,847,969	)		(661,938	)		(1,761,122	)		(214,646	)
Total net change in unrealized depreciation		(2,472,788	)		(5,957,037	)		(1,412,448	)		(3,725,564	)		(453,292	)
Net realized and unrealized loss on investments		(1,972,730	)		(4,431,231	)		(1,098,917	)		(2,800,601	)		(345,213	)
Change in net assets resulting from operations	$	(1,660,177	)	$	(3,798,422	)	$	(940,872	)	$	(2,406,075	)	$	(296,171	)

(See Notes which are an integral part of the Financial Statements)

23

Six Months Ended February 29, 2016 (Unaudited)

Statements of Operations BMO Funds

	Conservative Allocation Fund			Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,052,962		$	1,040,168		$	3,365,099		$	931,310		$	1,429,080
Affiliated issuers		1,016,845			880,855			2,370,676			525,273			823,357
Interest income		11,515			15,938			68,359			23,994			35,504
Excess expense reimbursement from investment adviser (Note 5)		29,340			46,632			84,133			33,432			38,515
Total income		2,110,662			1,983,593			5,888,267			1,514,009			2,326,456
Expenses:
Shareholder servicing fees (Note 5)		26,961			25,181			182,807			48,207			93,651
Administration fees (Note 5)		42,908			41,096			196,813			60,978			95,344
Portfolio accounting fees		42,134			43,179			88,271			43,199			55,613
Recordkeeping fees		18,978			18,862			20,670			19,407			19,346
Custodian fees (Note 5)		3,122			3,275			11,134			3,278			5,247
Registration fees		23,711			23,790			24,708			24,018			26,783
Professional fees		9,939			9,939			9,939			9,939			9,939
Printing and postage		3,279			4,033			5,307			3,678			4,799
Directors’ fees		6,119			6,119			6,119			6,119			6,119
Distribution services fees (Note 5)		18,121			47,666			93,314			70,333			53,983
Miscellaneous		4,666			6,028			4,589			4,463			4,264
Total expenses		199,938			229,168			643,671			293,619			375,088
Deduct:
Expense waivers (Note 5)		(131,968	)		(142,591	)		(262,486	)		(154,733	)		(176,590	)
Net expenses		67,970			86,577			381,185			138,886			198,498
Net investment income		2,042,692			1,897,016			5,507,082			1,375,123			2,127,958
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(756,879	)		(562,105	)		2,630,490			(103,190	)		280,883
Investments in affiliated issuers		(448,213	)		(875,850	)		(804,094	)		(710,701	)		(750,943	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		690,889			1,013,996			4,448,556			1,599,972			2,980,636
Investments in affiliated issuers		991,861			1,908,993			9,711,539			3,711,710			6,875,480
Total net realized gain		477,658			1,485,034			15,986,491			4,497,791			9,386,056
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(2,374,774	)		(3,803,601	)		(22,055,895	)		(6,780,301	)		(12,516,055	)
Investments in affiliated issuers		(3,331,199	)		(4,465,442	)		(22,706,349	)		(7,676,583	)		(14,198,159	)
Total net change in unrealized depreciation		(5,705,973	)		(8,269,043	)		(44,762,244	)		(14,456,884	)		(26,714,214	)
Net realized and unrealized loss on investments		(5,228,315	)		(6,784,009	)		(28,775,753	)		(9,959,093	)		(17,328,158	)
Change in net assets resulting from operations	$	(3,185,623	)	$	(4,886,993	)	$	(23,268,671	)	$	(8,583,970	)	$	(15,200,200	)

(See Notes which are an integral part of the Financial Statements)

24

Statements of Changes in Net Assets BMO Funds

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	286,268		$	618,476		$	62,172		$	86,581		$	1,073,544		$	1,936,625
Net realized gain (loss) on investments		473,998			1,766,802			(77,386	)		22,504			1,874,514			6,068,337
Net change in unrealized depreciation on investments		(1,284,615	)		(2,837,334	)		(135,239	)		(179,004	)		(6,592,546	)		(10,240,559	)
Change in net assets resulting from operations		(524,349	)		(452,056	)		(150,453	)		(69,919	)		(3,644,488	)		(2,235,597	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(103,894	)		(181,665	)		(13,918	)		(1,517	)		(451,096	)		(722,854	)
Institutional class of shares		(7,826	)		(11,464	)		(2,846	)		(622	)		(98,138	)		(82,689	)
Retirement class R-3 of shares		(36,938	)		(90,947	)		(3,317	)		(552	)		(219,576	)		(407,198	)
Retirement class R-6 of shares		(434,975	)		(521,306	)		(106,160	)		(35,295	)		(1,343,153	)		(1,324,916	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(311,898	)		(330,937	)		(6,126	)		(43	)		(1,326,705	)		(915,902	)
Institutional class of shares		(20,244	)		(20,064	)		(1,148	)		(16	)		(249,266	)		(94,633	)
Retirement class R-3 of shares		(128,069	)		(192,905	)		(1,728	)		(21	)		(792,457	)		(596,688	)
Retirement class R-6 of shares		(1,061,036	)		(829,463	)		(40,512	)		(775	)		(3,175,449	)		(1,434,053	)
Change in net assets resulting from distributions to shareholders		(2,104,880	)		(2,178,751	)		(175,755	)		(38,841	)		(7,655,840	)		(5,578,933	)
Capital stock transactions:
Proceeds from sale of shares		3,033,990			9,317,444			537,556			7,103,755			10,470,242			28,351,818
Net asset value of shares issued to shareholders in payment of distributions declared		2,104,880			2,178,751			175,755			38,841			7,655,840			5,577,681
Cost of shares redeemed		(6,179,403	)		(17,488,361	)		(1,494,868	)		(2,452,449	)		(15,688,693	)		(49,088,498	)
Change in net assets resulting from capital stock transactions		(1,040,533	)		(5,992,166	)		(781,557	)		4,690,147			2,437,389			(15,158,999	)
Change in net assets		(3,669,762	)		(8,622,973	)		(1,107,765	)		4,581,387			(8,862,939	)		(22,973,529	)
Net assets:
Beginning of period		23,839,065			32,462,038			5,194,751			613,364			94,857,089			117,830,618
End of period	$	20,169,303		$	23,839,065		$	4,086,986		$	5,194,751		$	85,994,150		$	94,857,089
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	22,926		$	320,291		$	1,498		$	65,567		$	(55,801	)	$	982,618

(See Notes which are an integral part of the Financial Statements)

25

Statements of Changes in Net Assets BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	344,946		$	301,390		$	1,036,703		$	1,563,303		$	312,553		$	188,536
Net realized gain on investments		246,919			237,455			1,904,643			4,694,064			500,058			23,645
Net change in unrealized depreciation on investments		(2,029,449	)		(1,320,378	)		(8,110,838	)		(9,062,923	)		(2,472,788	)		(1,177,692	)
Change in net assets resulting from operations		(1,437,584	)		(781,533	)		(5,169,492	)		(2,805,556	)		(1,660,177	)		(965,511	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(30,647	)		(1,907	)		(377,127	)		(512,696	)		(15,846	)		(553	)
Institutional class of shares		(11,812	)		(12	)		(58,803	)		(50,968	)		(1,325	)		(4	)
Retirement class R-3 of shares		(19,884	)		(1,597	)		(165,352	)		(235,080	)		(7,371	)		(575	)
Retirement class R-6 of shares		(528,417	)		(137,310	)		(1,288,776	)		(1,141,860	)		(501,371	)		(66,017	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(14,765	)		(60	)		(985,760	)		(738,765	)		(3,660	)		(92	)
Institutional class of shares		(5,183	)		—			(126,881	)		(67,698	)		(268	)		(1	)
Retirement class R-3 of shares		(10,790	)		(47	)		(527,693	)		(426,231	)		(2,131	)		(59	)
Retirement class R-6 of shares		(217,966	)		(3,174	)		(2,558,242	)		(1,321,738	)		(95,399	)		(4,528	)
Change in net assets resulting from distributions to shareholders		(839,464	)		(144,107	)		(6,088,634	)		(4,495,036	)		(627,371	)		(71,829	)
Capital stock transactions:
Proceeds from sale of shares		2,653,036			30,906,811			10,998,434			38,734,904			2,429,566			31,581,279
Net asset value of shares issued to shareholders in payment of distributions declared		839,464			144,107			6,088,634			4,495,036			627,371			71,829
Cost of shares redeemed		(2,888,585	)		(2,065,412	)		(14,449,932	)		(44,118,917	)		(2,293,619	)		(2,887,872	)
Change in net assets resulting from capital stock transactions		603,915			28,985,506			2,637,136			(888,977	)		763,318			28,765,236
Change in net assets		(1,673,133	)		28,059,866			(8,620,990	)		(8,189,569	)		(1,524,230	)		27,727,896
Net assets:
Beginning of period		29,716,880			1,657,014			99,313,311			107,502,880			29,283,516			1,555,620
End of period	$	28,043,747		$	29,716,880		$	90,692,321		$	99,313,311		$	27,759,286		$	29,283,516
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(11,131	)	$	234,683		$	(113,421	)	$	739,934		$	(37,136	)	$	176,224

(See Notes which are an integral part of the Financial Statements)

26

Statements of Changes in Net Assets BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	632,809		$	934,365		$	158,045		$	75,609		$	394,526		$	499,305
Net realized gain on investments		1,525,806			4,054,927			313,531			9,469			924,963			1,435,848
Net change in unrealized depreciation on investments		(5,957,037	)		(6,871,065	)		(1,412,448	)		(631,975	)		(3,725,564	)		(3,204,100	)
Change in net assets resulting from operations		(3,798,422	)		(1,881,773	)		(940,872	)		(546,897	)		(2,406,075	)		(1,268,947	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(203,534	)		(322,333	)		(20,716	)		(82	)		(146,769	)		(190,421	)
Institutional class of shares		(44,537	)		(62,399	)		(2,048	)		(2	)		(35,896	)		(49,742	)
Retirement class R-3 of shares		(73,664	)		(164,222	)		(6,178	)		(510	)		(60,323	)		(87,836	)
Retirement class R-6 of shares		(791,125	)		(887,900	)		(231,014	)		(24,270	)		(428,840	)		(421,540	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(830,743	)		(377,226	)		(3,806	)		(56	)		(350,073	)		(237,181	)
Institutional class of shares		(150,868	)		(64,415	)		(337	)		(1	)		(72,362	)		(54,724	)
Retirement class R-3 of shares		(416,388	)		(228,230	)		(1,532	)		(78	)		(181,590	)		(133,510	)
Retirement class R-6 of shares		(2,427,746	)		(848,765	)		(35,560	)		(2,771	)		(776,404	)		(426,694	)
Change in net assets resulting from distributions to shareholders		(4,938,605	)		(2,955,490	)		(301,191	)		(27,770	)		(2,052,257	)		(1,601,648	)
Capital stock transactions:
Proceeds from sale of shares		8,253,917			19,982,337			2,297,829			16,077,852			6,350,503			17,843,952
Net asset value of shares issued to shareholders in payment of distributions declared		4,938,605			2,955,490			301,191			27,770			2,052,257			1,601,648
Cost of shares redeemed		(9,498,965	)		(27,744,060	)		(1,752,624	)		(1,540,048	)		(5,794,413	)		(15,243,411	)
Change in net assets resulting from capital stock transactions		3,693,557			(4,806,233	)		846,396			14,565,574			2,608,347			4,202,189
Change in net assets		(5,043,470	)		(9,643,496	)		(395,667	)		13,990,907			(1,849,985	)		1,331,594
Net assets:
Beginning of period		63,237,251			72,880,747			15,045,867			1,054,960			39,741,665			38,410,071
End of period	$	58,193,781		$	63,237,251		$	14,650,200		$	15,045,867		$	37,891,680		$	39,741,665
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(113,895	)	$	366,156		$	(26,375	)	$	75,536		$	(75,316	)	$	201,986

(See Notes which are an integral part of the Financial Statements)

27

Statements of Changes in Net Assets BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	49,042		$	20,681		$	2,042,692		$	3,509,305		$	1,897,016		$	3,061,499
Net realized gain on investments		108,079			12,371			477,658			3,811,739			1,485,034			5,831,828
Net change in unrealized depreciation on investments		(453,292	)		(216,558	)		(5,705,973	)		(9,055,244	)		(8,269,043	)		(11,709,768	)
Change in net assets resulting from operations		(296,171	)		(183,506	)		(3,185,623	)		(1,734,200	)		(4,886,993	)		(2,816,441	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(15,495	)		(1,208	)		(507,382	)		(402,928	)		(392,348	)		(410,110	)
Institutional class of shares		(2,838	)		(729	)		(759,470	)		(503,254	)		(383,423	)		(276,634	)
Retirement class R-3 of shares		(3,993	)		(641	)		(146,369	)		(154,574	)		(253,918	)		(292,686	)
Retirement class R-6 of shares		(51,903	)		(13,016	)		(2,356,604	)		(1,604,876	)		(2,429,323	)		(1,793,405	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(6,757	)		(302	)		(428,827	)		(215,030	)		(636,841	)		(157,772	)
Institutional class of shares		(1,095	)		(162	)		(572,126	)		(246,113	)		(533,972	)		(98,536	)
Retirement class R-3 of shares		(2,123	)		(175	)		(145,688	)		(91,471	)		(513,289	)		(123,276	)
Retirement class R-6 of shares		(18,378	)		(2,585	)		(1,676,949	)		(747,767	)		(3,181,486	)		(606,593	)
Change in net assets resulting from distributions to shareholders		(102,582	)		(18,818	)		(6,593,415	)		(3,966,013	)		(8,324,600	)		(3,759,012	)
Capital stock transactions:
Proceeds from sale of shares		3,196,943			4,793,642			4,444,509			28,756,651			11,623,460			29,590,644
Net asset value of shares issued to shareholders in payment of distributions declared		102,582			18,818			6,593,415			3,966,013			8,324,600			3,759,012
Cost of shares redeemed		(1,862,729	)		(946,728	)		(10,930,125	)		(38,862,100	)		(22,665,760	)		(30,816,952	)
Change in net assets resulting from capital stock transactions		1,436,796			3,865,732			107,799			(6,139,436	)		(2,717,700	)		2,532,704
Change in net assets		1,038,043			3,663,408			(9,671,239	)		(11,839,649	)		(15,929,293	)		(4,042,749	)
Net assets:
Beginning of period		4,443,461			780,053			146,963,478			158,803,127			154,191,807			158,234,556
End of period	$	5,481,504		$	4,443,461		$	137,292,239		$	146,963,478		$	138,262,514		$	154,191,807
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(9,736	)	$	15,451		$	395,892		$	2,123,025		$	124,554		$	1,686,550

(See Notes which are an integral part of the Financial Statements)

28

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Change in net assets resulting from:
Operations:
Net investment income	$	5,507,082		$	9,328,269		$	1,375,123		$	1,880,459		$	2,127,958		$	2,229,126
Net realized gain on investments		15,986,491			34,485,101			4,497,791			9,520,494			9,386,056			16,008,062
Net change in unrealized depreciation on investments		(44,762,244	)		(56,561,320	)		(14,456,884	)		(16,236,823	)		(26,714,214	)		(24,906,848	)
Change in net assets resulting from operations		(23,268,671	)		(12,747,950	)		(8,583,970	)		(4,835,870	)		(15,200,200	)		(6,669,660	)
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(2,670,667	)		(2,909,419	)		(594,557	)		(696,737	)		(947,452	)		(1,043,835	)
Institutional class of shares		(1,639,131	)		(1,372,958	)		(281,588	)		(264,749	)		(528,389	)		(490,234	)
Retirement class R-3 of shares		(571,392	)		(677,457	)		(392,670	)		(409,958	)		(232,515	)		(237,316	)
Retirement class R-6 of shares		(5,290,678	)		(5,537,512	)		(1,388,142	)		(1,086,800	)		(2,050,840	)		(1,452,470	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(10,179,207	)		(1,128,902	)		(2,245,206	)		(136,573	)		(4,638,293	)		(256,288	)
Institutional class of shares		(5,371,935	)		(489,713	)		(889,202	)		(47,764	)		(2,052,379	)		(111,509	)
Retirement class R-3 of shares		(2,566,382	)		(285,267	)		(1,711,464	)		(88,876	)		(1,422,315	)		(63,876	)
Retirement class R-6 of shares		(16,132,271	)		(1,883,488	)		(4,043,597	)		(185,451	)		(7,266,289	)		(315,973	)
Change in net assets resulting from distributions to shareholders		(44,421,663	)		(14,284,716	)		(11,546,426	)		(2,916,908	)		(19,138,472	)		(3,971,501	)
Capital stock transactions:
Proceeds from sale of shares		38,564,189			77,001,090			13,812,746			33,760,854			19,922,445			129,770,330	(1)
Net asset value of shares issued to shareholders in payment of distributions declared		44,421,663			14,284,716			11,546,426			2,916,908			19,138,472			3,971,501
Cost of shares redeemed		(60,238,562	)		(132,510,380	)		(22,109,649	)		(26,850,099	)		(36,324,906	)		(51,445,710	)
Change in net assets resulting from capital stock transactions		22,747,290			(41,224,574	)		3,249,523			9,827,663			2,736,011			82,296,121
Change in net assets		(44,943,044	)		(68,257,240	)		(16,880,873	)		2,074,885			(31,602,661	)		71,654,960
Net assets:
Beginning of period		524,854,703			593,111,943			154,905,213			152,830,328			251,345,259			179,690,299
End of period	$	479,911,659		$	524,854,703		$	138,024,340		$	154,905,213		$	219,742,598		$	251,345,259
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(360,793	)	$	4,303,993		$	(398,327	)	$	883,507		$	(748,094	)	$	883,144

(1) Includes paid-in-capital received from a non-taxable in-kind subscription merger of the BMO Aggressive Stock Fund effective as of the close of business on December 19, 2014.

(See Notes which are an integral part of the Financial Statements)

29

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (2)
In-Retirement Fund
2016(7)		$	10.02		$	0.14			$	(0.38	)		$	(0.24	)		$	(0.24	)		$	(0.73	)		$	(0.97	)		$	8.81		(2.62	)%		1.22	%		0.33	%		2.37	%		$	3,506		26	%
2015			11.05			0.24				(0.44	)			(0.20	)			(0.29	)			(0.54	)			(0.83	)			10.02		(1.94	)		1.03			0.33			1.96				4,804		53
2014			10.00			0.20				0.99				1.19				(0.12	)			(0.02	)			(0.14	)			11.05		12.03			1.08			0.33			1.92				7,120		45
2015 Fund
2016(7)			10.44			0.13				(0.46	)			(0.33	)			(0.25	)			(0.11	)			(0.36	)			9.75		(3.27	)		3.92			0.33			2.27				390		30
2015			10.74			0.11				(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(5)			10.00			0.02				0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
2016(7)			10.49			0.11				(0.50	)			(0.39	)			(0.22	)			(0.64	)			(0.86	)			9.24		(4.11	)		0.63			0.33			2.16				17,510		20
2015			11.34			0.18				(0.46	)			(0.28	)			(0.25	)			(0.32	)			(0.57	)			10.49		(2.58	)		0.59			0.33			1.64				21,331		37
2014			10.00			0.18				1.35				1.53				(0.15	)			(0.04	)			(0.19	)			11.34		15.43			0.63			0.33			1.72				32,064		35
2025 Fund
2016(7)			10.42			0.10				(0.59	)			(0.49	)			(0.18	)			(0.09	)			(0.27	)			9.66		(4.86	)		1.02			0.33			2.15				655		19
2015			10.78			0.06				(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(5)			10.00			0.01				0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
2016(7)			10.84			0.10				(0.65	)			(0.55	)			(0.18	)			(0.46	)			(0.64	)			9.65		(5.42	)		0.61			0.37			1.93				18,091		19
2015			11.61			0.15				(0.49	)			(0.34	)			(0.18	)			(0.25	)			(0.43	)			10.84		(3.07	)		0.59			0.37			1.30				23,332		45
2014			10.00			0.15				1.66				1.81				(0.18	)			(0.02	)			(0.20	)			11.61		18.26			0.66			0.37			1.40				33,059		29
2035 Fund
2016(7)			10.33			0.07				(0.66	)			(0.59	)			(0.16	)			(0.03	)			(0.19	)			9.55		(5.80	)		1.03			0.37			1.87				635		16
2015			10.71			0.01				(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(5)			10.00			0.00				0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2016(7)			10.92			0.09				(0.71	)			(0.62	)			(0.16	)			(0.67	)			(0.83	)			9.47		(6.24	)		0.72			0.36			1.84				10,846		18
2015			11.75			0.12				(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14				1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22
2045 Fund
2016(7)			10.48			0.06				(0.70	)			(0.64	)			(0.15	)			(0.03	)			(0.18	)			9.66		(6.21	)		1.57			0.36			1.86				744		14
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(5)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35
2050 Fund
2016(7)			10.96			0.10				(0.74	)			(0.64	)			(0.16	)			(0.38	)			(0.54	)			9.78		(6.20	)		0.88			0.36			1.79				8,383		14
2015			11.76			0.12				(0.50	)			(0.38	)			(0.19	)			(0.23	)			(0.42	)			10.96		(3.37	)		0.84			0.36			1.06				10,275		39
2014			10.00			0.14				1.81				1.95				(0.17	)			(0.02	)			(0.19	)			11.76		19.69			1.08			0.36			1.36				11,231		28
2055 Fund
2016(7)			10.41			0.06				(0.67	)			(0.61	)			(0.13	)			(0.06	)			(0.19	)			9.61		(6.08	)		3.81			0.36			1.81				379		14
2015			10.85			0.06				(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(5)			10.00			0.00				0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123
Conservative Allocation Fund
2016(7)			9.76			0.14				(0.36	)			(0.22	)			(0.23	)			(0.19	)			(0.42	)			9.12		(2.30	)		0.56			0.33			2.62				19,924		13
2015			10.14			0.20				(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(6)			10.00			0.03				0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2016(7)			9.78			0.15				(0.48	)			(0.33	)			(0.20	)			(0.33	)			(0.53	)			8.92		(3.52	)		0.56			0.30			2.28				14,782		19
2015			10.20			0.17				(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(6)			10.00			0.04				0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8

(See Notes which are an integral part of the Financial Statements)

30

Financial Highlights—Investor Class of Shares (For a share outstanding throughout each period) (continued)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
Balanced Allocation Fund
2016(7)		$	9.78		$	0.10		$	(0.52	)		$	(0.42	)		$	(0.17	)		$	(0.66	)		$	(0.83	)		$	8.53		(4.72	)%		0.47	%		0.33	%		2.02	%		$	120,391		15	%
2015			10.26			0.15			(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(6)			10.00			0.03			0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2016(7)			9.82			0.09			(0.61	)			(0.52	)			(0.16	)			(0.58	)			(0.74	)			8.56		(5.83	)		0.55			0.30			1.69				28,862		18
2015			10.31			0.11			(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(6)			10.00			0.02			0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6
Aggressive Allocation Fund
2016(7)			9.85			0.09			(0.67	)			(0.58	)			(0.13	)			(0.64	)			(0.77	)			8.50		(6.51	)		0.51			0.33			1.56				57,150		14
2015			10.36			0.12			(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(6)			10.00			0.01			0.35				0.36				—				—				—				10.36		3.60			0.58			0.36			0.42				63,049		3

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

(3) Not annualized for periods less than one year.

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

31

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
In-Retirement Fund
2016(7)		$	10.05		$	0.13		$	(0.36	)		$	(0.23	)		$	(0.28	)		$	(0.73	)		$	(1.01	)		$	8.81		(2.54	)%		0.97	%		0.08	%		2.61	%		$	277		26	%
2015			11.07			0.50			(0.68	)			(0.18	)			(0.31	)			(0.53	)			(0.84	)			10.05		(1.73	)		0.78			0.08			2.25				275		53
2014			10.00			0.22			1.00				1.22				(0.13	)			(0.02	)			(0.15	)			11.07		12.32			0.83			0.08			2.10				931		45
2015 Fund
2016(7)			10.48			0.13			(0.44	)			(0.31	)			(0.27	)			(0.11	)			(0.38	)			9.79		(3.04	)		3.67			0.08			2.51				106		30
2015			10.77			0.20			(0.42	)			(0.22	)			(0.07	)			—				(0.07	)			10.48		(2.10	)		3.96			0.08			1.85				108		83
2014(5)			10.00			0.05			0.72				0.77				—				—				—				10.77		7.70			73.29			0.08			1.68				105		29
2020 Fund
2016(7)			10.51			0.16			(0.54	)			(0.38	)			(0.25	)			(0.64	)			(0.89	)			9.24		(3.98	)		0.38			0.08			2.42				3,509		20
2015			11.36			0.24			(0.49	)			(0.25	)			(0.28	)			(0.32	)			(0.60	)			10.51		(2.33	)		0.34			0.08			1.78				5,264		37
2014			10.00			0.22			1.34				1.56				(0.16	)			(0.04	)			(0.20	)			11.36		15.73			0.38			0.08			2.11				3,240		35
2025 Fund
2016(7)			10.47			0.12			(0.60	)			(0.48	)			(0.20	)			(0.09	)			(0.29	)			9.70		(4.77	)		0.77			0.08			2.26				601		19
2015			10.80			0.08			(0.36	)			(0.28	)			(0.05	)			—				(0.05	)			10.47		(2.59	)		1.01			0.08			1.35				611		53
2014(5)			10.00			0.08			0.72				0.80				—				—				—				10.80		8.00			24.35			0.08			1.11				3		22
2030 Fund
2016(7)			10.87			0.11			(0.64	)			(0.53	)			(0.22	)			(0.46	)			(0.68	)			9.66		(5.26	)		0.36			0.12			2.20				2,574		19
2015			11.63			0.24			(0.56	)			(0.32	)			(0.19	)			(0.25	)			(0.44	)			10.87		(2.85	)		0.34			0.12			1.43				2,867		45
2014			10.00			0.18			1.66				1.84				(0.19	)			(0.02	)			(0.21	)			11.63		18.55			0.41			0.12			1.70				5,286		29
2035 Fund
2016(7)			10.37			0.10			(0.68	)			(0.58	)			(0.18	)			(0.04	)			(0.22	)			9.57		(5.77	)		0.78			0.12			2.03				79		16
2015			10.72			0.03			(0.37	)			(0.34	)			(0.01	)			—				(0.01	)			10.37		(3.14	)		1.04			0.12			1.01				67		96
2014(5)			10.00			0.05			0.67				0.72				—				—				—				10.72		7.20			23.38			0.12			0.70				4		29
2040 Fund
2016(7)			10.94			0.11			(0.71	)			(0.60	)			(0.20	)			(0.66	)			(0.86	)			9.48		(6.02	)		0.47			0.11			2.08				2,087		18
2015			11.77			0.18			(0.54	)			(0.36	)			(0.23	)			(0.24	)			(0.47	)			10.94		(3.23	)		0.42			0.11			1.35				2,444		36
2014			10.00			0.17			1.82				1.99				(0.20	)			(0.02	)			(0.22	)			11.77		20.10			0.51			0.11			1.45				3,602		22
2045 Fund
2016(7)			10.52			0.10			(0.72	)			(0.62	)			(0.17	)			(0.03	)			(0.20	)			9.70		(6.03	)		1.32			0.11			2.01				129		14
2015			10.86			0.03			(0.36	)			(0.33	)			(0.01	)			—				(0.01	)			10.52		(3.05	)		1.89			0.11			0.96				112		95
2014(5)			10.00			0.04			0.82				0.86				—				—				—				10.86		8.60			33.12			0.11			0.51				3		35
2050 Fund
2016(7)			10.99			0.11			(0.74	)			(0.63	)			(0.19	)			(0.38	)			(0.57	)			9.79		(6.11	)		0.63			0.11			2.06				2,052		14
2015			11.78			0.17			(0.52	)			(0.35	)			(0.21	)			(0.23	)			(0.44	)			10.99		(3.07	)		0.59			0.11			1.30				1,908		39
2014			10.00			0.17			1.81				1.98				(0.18	)			(0.02	)			(0.20	)			11.78		19.98			0.83			0.11			1.48				3,007		28
2055 Fund
2016(7)			10.45			0.10			(0.70	)			(0.60	)			(0.15	)			(0.06	)			(0.21	)			9.64		(5.90	)		3.57			0.11			2.02				189		14
2015			10.87			0.09			(0.42	)			(0.33	)			(0.07	)			(0.02	)			(0.09	)			10.45		(3.05	)		6.66			0.11			0.91				190		61
2014(5)			10.00			0.03			0.84				0.87				—				—				—				10.87		8.70			49.80			0.11			0.97				106		123
Conservative Allocation Fund
2016(7)			9.77			0.14			(0.35	)			(0.21	)			(0.26	)			(0.19	)			(0.45	)			9.11		(2.22	)		0.31			0.08			2.87				27,422		13
2015			10.15			0.23			(0.35	)			(0.12	)			(0.17	)			(0.09	)			(0.26	)			9.77		(1.22	)		0.32			0.08			2.23				29,104		39
2014 (6)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2016(7)			9.79			0.13			(0.43	)			(0.30	)			(0.24	)			(0.33	)			(0.57	)			8.92		(3.28	)		0.31			0.05			2.58				14,809		19
2015			10.21			0.21			(0.38	)			(0.17	)			(0.18	)			(0.07	)			(0.25	)			9.79		(1.75	)		0.32			0.05			1.95				16,112		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8

(See Notes which are an integral part of the Financial Statements)

32

Financial Highlights—Institutional Class of Shares (For a share outstanding throughout each period) (continued)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
Balanced Allocation Fund
2016(7)		$	9.79		$	0.11		$	(0.51	)		$	(0.40	)		$	(0.20	)		$	(0.66	)		$	(0.86	)		$	8.53		(4.53	)%		0.22	%		0.08	%		2.23	%		$	74,700		15	%
2015			10.26			0.17			(0.39	)			(0.22	)			(0.19	)			(0.06	)			(0.25	)			9.79		(2.17	)		0.22			0.08			1.59				81,475		29
2014(6)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2016(7)			9.84			0.10			(0.61	)			(0.51	)			(0.19	)			(0.58	)			(0.77	)			8.56		(5.73	)		0.30			0.05			1.98				13,137		18
2015			10.32			0.15			(0.42	)			(0.27	)			(0.18	)			(0.03	)			(0.21	)			9.84		(2.72	)		0.32			0.05			1.32				15,252		20
2014(6)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2016(7)			9.87			0.09			(0.67	)			(0.58	)			(0.16	)			(0.64	)			(0.80	)			8.49		(6.49	)		0.26			0.08			1.89				27,411		14
2015			10.37			0.14			(0.40	)			(0.26	)			(0.19	)			(0.05	)			(0.24	)			9.87		(2.55	)		0.28			0.09			1.06				31,770		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.33			0.11			0.66				27,401		3

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

(3) Not annualized for periods less than one year.

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

33

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
In-Retirement Fund
2016(7)		$	10.01		$	0.15			$	(0.40	)		$	(0.25	)		$	(0.21	)		$	(0.73	)		$	(0.94	)		$	8.82		(2.75	)%		1.47	%		0.58	%		2.14	%		$	1,327		26	%
2015			11.03			0.19				(0.42	)			(0.23	)			(0.26	)			(0.53	)			(0.79	)			10.01		(2.24	)		1.28			0.58			1.76				2,149		53
2014			10.00			0.19				0.98				1.17				(0.12	)			(0.02	)			(0.14	)			11.03		11.74			1.33			0.58			1.64				4,283		45
2015 Fund
2016(7)			10.41			0.20				(0.54	)			(0.34	)			(0.21	)			(0.11	)			(0.32	)			9.75		(3.35	)		4.17			0.58			2.22				128		30
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(5)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
2016(7)			10.48			0.13				(0.53	)			(0.40	)			(0.18	)			(0.64	)			(0.82	)			9.26		(4.19	)		0.88			0.58			1.94				10,825		20
2015			11.33			0.17				(0.48	)			(0.31	)			(0.22	)			(0.32	)			(0.54	)			10.48		(2.88	)		0.84			0.58			1.39				15,177		37
2014			10.00			0.15				1.36				1.51				(0.14	)			(0.04	)			(0.18	)			11.33		15.23			0.88			0.58			1.28				23,025		35
2025 Fund
2016(7)			10.38			0.11				(0.62	)			(0.51	)			(0.16	)			(0.09	)			(0.25	)			9.62		(5.06	)		1.27			0.58			1.83				884		19
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(5)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
2016(7)			10.82			0.10				(0.66	)			(0.56	)			(0.15	)			(0.46	)			(0.61	)			9.65		(5.43	)		0.87			0.62			1.71				9,046		19
2015			11.59			0.13				(0.51	)			(0.38	)			(0.14	)			(0.25	)			(0.39	)			10.82		(3.39	)		0.84			0.62			1.09				12,812		45
2014			10.00			0.13				1.65				1.78				(0.17	)			(0.02	)			(0.19	)			11.59		17.98			0.91			0.62			1.21				20,329		29
2035 Fund
2016(7)			10.27			0.11				(0.71	)			(0.60	)			(0.12	)			(0.04	)			(0.16	)			9.51		(5.93	)		1.28			0.62			1.59				427		16
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014(5)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2016(7)			10.91			0.10				(0.74	)			(0.64	)			(0.11	)			(0.67	)			(0.78	)			9.49		(6.36	)		0.97			0.61			1.62				4,956		18
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22
2045 Fund
2016(7)			10.42			0.11				(0.76	)			(0.65	)			(0.11	)			(0.03	)			(0.14	)			9.63		(6.32	)		1.82			0.61			1.56				372		14
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(5)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35
2050 Fund
2016(7)			10.95			0.08				(0.73	)			(0.65	)			(0.13	)			(0.38	)			(0.51	)			9.79		(6.30	)		1.13			0.61			1.59				4,111		14
2015			11.74			0.09				(0.50	)			(0.41	)			(0.15	)			(0.23	)			(0.38	)			10.95		(3.57	)		1.09			0.61			0.81				5,072		39
2014			10.00			0.11				1.82				1.93				(0.17	)			(0.02	)			(0.19	)			11.74		19.40			1.33			0.61			0.87				6,826		28
2055 Fund
2016(7)			10.38			0.08				(0.71	)			(0.63	)			(0.11	)			(0.06	)			(0.17	)			9.58		(6.21	)		4.06			0.61			1.49				371		14
2015			10.84			0.03				(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(5)			10.00			0.01				0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123
Conservative Allocation Fund
2016(7)			9.74			0.12				(0.35	)			(0.23	)			(0.20	)			(0.19	)			(0.39	)			9.12		(2.46	)		0.81			0.58			2.37				7,142		13
2015			10.14			0.20				(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(6)			10.00			0.02				0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2016			9.76			0.17				(0.51	)			(0.34	)			(0.16	)			(0.33	)			(0.49	)			8.93		(3.62	)		0.81			0.55			2.01				14,536		19
2015			10.20			0.15				(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014(6)			10.00			0.03				0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8

(See Notes which are an integral part of the Financial Statements)

34

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period) (continued)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Balanced Allocation Fund
2016(7)		$	9.76		$	0.08		$	(0.45	)		$	(0.37	)		$	(0.14	)		$	(0.66	)		$	(0.80	)		$	8.59		(4.77	)%		0.72	%		0.58	%		1.74	%		$	36,403		15	%
2015			10.25			0.12			(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(6)			10.00			0.02			0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2016(7)			9.81			0.07			(0.61	)			(0.54	)			(0.14	)			(0.58	)			(0.72	)			8.55		(6.04	)		0.80			0.55			1.44				27,377		18
2015			10.30			0.09			(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(6)			10.00			0.01			0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6
Aggressive Allocation Fund
2016(7)			9.84			0.07			(0.68	)			(0.61	)			(0.10	)			(0.64	)			(0.74	)			8.49		(6.77	)		0.76			0.58			1.36				20,222		14
2015			10.35			0.10			(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(6)			10.00			0.00			0.35				0.35				—				—				—				10.35		3.50			0.83			0.61			0.16				16,200		3

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Not annualized for periods less than one year.

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

35

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period				Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
In-Retirement Fund
2016(8)		$	10.05		$	0.17		$	(0.39	)		$	(0.22	)		$	(0.30	)		$	(0.73	)		$	(1.03	)		$	8.80			(2.46	)%		0.82	%		0.00	%		2.75	%		$	15,059		26	%
2015			11.08			0.29			(0.45	)			(0.16	)			(0.34	)			(0.53	)			(0.87	)			10.05			(1.54	)		0.63			0.00			2.35				16,611		53
2014			10.00			0.25			0.99				1.24				(0.14	)			(0.02	)			(0.16	)			11.08			12.47			0.68			0.00			2.31				20,128		45
2015 Fund
2016(8)			10.50			0.16			(0.46	)			(0.30	)			(0.29	)			(0.11	)			(0.40	)			9.80			(2.98	)		3.52			0.00			2.62				3,463		30
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50			(1.92	)		3.81			0.00			1.94				4,234		83
2014(5)			10.00			0.08			0.70				0.78				—				—				—				10.78			7.80			73.14			0.00			1.75				174		29
2020 Fund
2016(8)			10.52			0.14			(0.51	)			(0.37	)			(0.27	)			(0.64	)			(0.91	)			9.24			(3.90	)		0.23			0.00			2.56				54,150		20
2015			11.38			0.25			(0.50	)			(0.25	)			(0.29	)			(0.32	)			(0.61	)			10.52			(2.28	)		0.19			0.00			1.98				53,085		37
2014			10.00			0.22			1.36				1.58				(0.16	)			(0.04	)			(0.20	)			11.38			15.98			0.23			0.00			1.97				59,502		35
2025 Fund
2016(8)			10.48			0.12			(0.60	)			(0.48	)			(0.21	)			(0.09	)			(0.30	)			9.70			(4.75	)		0.62			0.00			2.41				25,904		19
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48			(2.45	)		0.86			0.00			1.48				26,042		53
2014(5)			10.00			0.05			0.76				0.81				—				—				—				10.81			8.10			24.20			0.00			1.39				1,363		22
2030 Fund
2016(8)			10.87			0.13			(0.65	)			(0.52	)			(0.24	)			(0.46	)			(0.70	)			9.65			(5.19	)		0.21			0.00			2.31				60,981		19
2015			11.64			0.16			(0.46	)			(0.30	)			(0.22	)			(0.25	)			(0.47	)			10.87			(2.70	)		0.19			0.00			1.57				60,302		45
2014			10.00			0.19			1.66				1.85				(0.19	)			(0.02	)			(0.21	)			11.64			18.70			0.26			0.00			1.50				48,829		29
2035 Fund
2016(8)			10.38			0.12			(0.69	)			(0.57	)			(0.19	)			(0.04	)			(0.23	)			9.58			(5.66	)		0.63			0.00			2.20				26,618		16
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38			(2.99	)		0.89			0.00			0.97				27,613		96
2014(5)			10.00			0.04			0.69				0.73				—				—				—				10.73			7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2016(8)			10.96			0.12			(0.72	)			(0.60	)			(0.21	)			(0.67	)			(0.88	)			9.48			(6.02	)		0.32			0.00			2.19				40,305		18
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96			(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78			20.26			0.36			0.00			1.39				39,760		22
2045 Fund
2016(8)			10.53			0.11			(0.73	)			(0.62	)			(0.18	)			(0.03	)			(0.21	)			9.70			(6.02	)		1.17			0.00			2.15				13,405		14
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53			(2.91	)		1.74			0.00			0.85				13,046		95
2014(5)			10.00			0.04			0.83				0.87				—				—				—				10.87			8.70			32.97			0.00			0.93				895		35
2050 Fund
2016(8)			11.00			0.12			(0.74	)			(0.62	)			(0.21	)			(0.38	)			(0.59	)			9.79			(6.02	)		0.48			0.00			2.19				23,346		14
2015			11.80			0.14			(0.48	)			(0.34	)			(0.23	)			(0.23	)			(0.46	)			11.00			(2.99	)		0.44			0.00			1.37				22,487		39
2014			10.00			0.18			1.83				2.01				(0.19	)			(0.02	)			(0.21	)			11.80	��		20.24			0.68			0.00			1.39				17,346		28
2055 Fund
2016(8)			10.47			0.11			(0.71	)			(0.60	)			(0.16	)			(0.06	)			(0.22	)			9.65			(5.86	)		3.42			0.00			2.09				4,543		14
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47			(2.96	)		6.51			0.00			0.90				2,809		61
2014(5)			10.00			0.03			0.86				0.89				—				—				—				10.89			8.90			49.65			0.00			0.84				477		123
Conservative Allocation Fund
2016(8)			9.79			0.15			(0.36	)			(0.21	)			(0.27	)			(0.19	)			(0.46	)			9.12			(2.17	)		0.16			0.00			3.02				82,804		13
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79			(0.94	)		0.17			0.00			2.38				86,637		39
2014(6)			10.00			0.04			0.11				0.15				—				—				—				10.15			1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2016(8)			9.80			0.13			(0.43	)			(0.30	)			(0.25	)			(0.33	)			(0.58	)			8.92			(3.23	)		0.16			0.00			2.73				94,136		19
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80			(1.56	)		0.17			0.00			2.11				93,206		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21			2.10			0.20			0.00			1.99				95,654		8

(See Notes which are an integral part of the Financial Statements)

36

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period) (continued)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
Balanced Allocation Fund
2016(8)		$	9.80		$	0.12		$	(0.52	)		$	(0.40	)		$	(0.21	)		$	(0.66	)		$	(0.87	)		$	8.53		(4.49	)%		0.07	%		0.00	%		2.35	%		$	248,418		15	%
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(6)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2016(8)			9.85			0.11			(0.62	)			(0.51	)			(0.20	)			(0.58	)			(0.78	)			8.56		(5.68	)		0.15			0.00			2.10				68,648		18
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014(6)			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6
Aggressive Allocation Fund
2016(8)			9.88			0.11			(0.67	)			(0.56	)			(0.18	)			(0.64	)			(0.82	)			8.50		(6.32	)		0.11			0.00			2.02				114,960		14
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.18			0.00			0.82				73,040		3

(1) Based on net asset value as of end of period date.

(2) The contractual and voluntary expense waivers pursuant to Note 5 of the financial statements are reflected in both the net expense and net investment income ratios.

(3) Not annualized for periods less than one year.

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from December 27, 2013 (inception date) to August 31, 2014.

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Please refer to Note 5, subsection Investment Adviser Fee and Other Transactions with Affiliates, in the Notes to Financial Statements.

(8) For the six months ended February 29, 2016 (Unaudited).

(See Notes which are an integral part of the Financial Statements)

37

February 29, 2016 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 29, 2016, the Corporation consisted of 43 portfolios. As of February 29, 2016, this annual report includes 10 target retirement and 5 target risk diversified portfolios (individually referred to as the “Fund,” or collectively as the “Funds”), each with Investor, Institutional, Retirement R-3 and Retirement R-6 classes of shares. As of February 29, 2016, the Corporation also consisted of 28 other portfolios whose annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
In-Retirement Fund*	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund approaches its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
2035 Fund	December 27, 2013
2040 Fund	August 30, 2013
2045 Fund	December 27, 2013
2050 Fund	August 30, 2013
2055 Fund	December 27, 2013
Target Risk
Conservative Allocation Fund	May 30, 2014	To provide total return primarily from income, secondarily from appreciation.
Moderate Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Balanced Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Growth Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Aggressive Allocation Fund	May 30, 2014	To provide total investment return primarily from appreciation, secondarily from income.

* Name change effective December 15, 2015. Prior to December 15, 2015, the Fund was known as the BMO Target Retirement 2010 Fund.

The target investment allocation for each of the Target Risk Funds, based on each Fund’s total assets, is set forth below.

Target Risk Fund	Equity		Fixed Income		Money Market Funds
Conservative Allocation Fund		10%–30%		70%–100%		0%–10%
Moderate Allocation Fund		30%–50%		50%–70%		0%–10%
Balanced Allocation Fund		50%–70%		30%–50%		0%–10%
Growth Allocation Fund		70%–90%		10%–30%		0%–10%
Aggressive Allocation Fund		90%–100%		0%		0%–10%

Each Fund seeks to achieve its investment objectives by investing in a mix (without limitation) of BMO Funds and unaffiliated mutual funds. The Funds are designed to provide investors with investment management, asset allocation, and ongoing reallocation over time. Each Fund is considered a “fund of funds” because it invests in other mutual funds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of expenses charged to the underlying funds in which it invests.

2. Significant Accounting Policies

The Funds are investment companies and follow the accounting and reporting guidance under Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) Topic 946, Financial Services—Investment Companies. The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

Investment Valuations—Investments in other open-end registered investment companies are valued at net asset value.

Securities or other assets for which market valuations are not readily available, or are deemed to be inaccurate, are valued at fair value as determined in good faith using methods approved by the Board of Directors (the “Directors”). The Directors have established a Pricing Committee, which is responsible for determinations of fair value, subject to the supervision of the Directors. In determining fair value, the Pricing Committee takes into account all information available and any factors it deems appropriate. Consequently, the price of securities used by a Fund to calculate its Net Asset Value (“NAV”) may differ from quoted or published prices for the same securities. Fair value pricing involves subjective judgments and it is possible that the fair value determined for a security is materially different than the value that would be realized upon the sale of that security and the differences may be material to the NAV of the respective Fund or the financial statements presented.

38

BMO Funds

The Pricing Committee may determine that a security needs to be fair valued. In valuing underlying fund investments, the Funds use the NAVs reported by the underlying funds. An underlying fund may need to fair value one or more of its investments, which may, in turn, require a Fund to do the same because of delays in obtaining the underlying fund’s NAV.

Investment Income, Expenses, and Distributions—Investment income and expenses are accrued daily. The Funds distribute net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value.

The Funds offer multiple classes of shares which differ in their respective distribution, administration, and service fees. All shareholders bear the common expenses of the Funds. Dividends are declared separately for each class. No class has preferential dividend rights; differences in per share dividend rates are generally due to differences in class-specific expenses. Income, non-class specific expenses, and realized and unrealized gains and losses are allocated daily to each class of shares based on the value of total shares outstanding of each class without distinction between share classes. Expenses attributable to a particular class of shares, such as shareholder servicing fees, are allocated directly to that class.

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and distribution to shareholders each year substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.

Securities of Other Investment Companies & Underlying Fund Investment Risk—The Funds may invest in the securities of other investment companies, including exchange-traded funds, within the limits prescribed by the 1940 Act and the rules promulgated thereunder. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. The Funds also may invest in investment companies that are not organized under the laws of the United States. The Fund’s risks are directly related to the risks of the underlying funds. It is important to understand the risks associated with investing in the underlying funds.

Commitments and Contingencies—In the normal course of business, the Corporation enters into contracts that provide general indemnifications to other parties. The Corporation’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Corporation that have not yet occurred. However, the Corporation has not had prior claims or losses pursuant to these contracts and expects the risk of loss to be remote.

Other—Investment transactions are accounted for on a trade date basis. Net realized gains and losses on securities are computed on the basis of specific security lot identification.

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs) and (2) the reporting issuer’s own assumptions about market participant assumptions developed based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement.

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

Level 1—quoted prices in active markets for identical securities. An active market for the security is a market in which transactions occur with sufficient frequency and volume to provide pricing information on an ongoing basis. Common and preferred stocks, options and futures contracts, and U.S. registered mutual funds are generally categorized as Level 1.

Level 2—other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.). Fixed income securities, repurchase agreements, cash collateral received as part of the securities lending program, and securities valued by an independent fair value pricing service are generally categorized as Level 2.

Level 3—significant unobservable inputs, including management’s own assumptions in determining the fair value of investments.

The Funds have adopted Amendments to Achieve Common Fair Value Measurement Requirements in U.S. GAAP and International Financial Reporting Standards (“IFRS”) which amends Fair Value Measurement to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with U.S. GAAP and IFRS. Enhanced disclosure is required to detail any transfers into and out of Level 1 and Level 2 measurements and Level 2 and Level 3 measurements and the reasons for the transfers. The Funds did not hold any Level 2 or Level 3 securities as of February 29, 2016.

39

Notes to Financial Statements (continued)

The following is a summary of the inputs used, as of February 29, 2016, in valuing the Funds’ assets:

	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	19,849,455	$	—	$	—	$	19,849,455
Short-Term Investments		294,418		—		—		294,418
Total	$	20,143,873	$	—	$	—	$	20,143,873
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	4,081,055	$	—	$	—	$	4,081,055
Short-Term Investments		65,986		—		—		65,986
Total	$	4,147,041	$	—	$	—	$	4,147,041
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	84,817,484	$	—	$	—	$	84,817,484
Short-Term Investments		1,128,035		—		—		1,128,035
Total	$	85,945,519	$	—	$	—	$	85,945,519
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	27,541,036	$	—	$	—	$	27,541,036
Short-Term Investments		434,973		—		—		434,973
Total	$	27,976,009	$	—	$	—	$	27,976,009
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	89,400,390	$	—	$	—	$	89,400,390
Short-Term Investments		1,042,678		—		—		1,042,678
Total	$	90,443,068	$	—	$	—	$	90,443,068
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	27,268,812	$	—	$	—	$	27,268,812
Short-Term Investments		426,396		—		—		426,396
Total	$	27,695,208	$	—	$	—	$	27,695,208
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	57,400,173	$	—	$	—	$	57,400,173
Short-Term Investments		551,731		—		—		551,731
Total	$	57,951,904	$	—	$	—	$	57,951,904
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	14,404,850	$	—	$	—	$	14,404,850
Short-Term Investments		227,704		—		—		227,704
Total	$	14,632,554	$	—	$	—	$	14,632,554

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	37,320,190	$	—	$	—	$	37,320,190
Short-Term Investments		465,853		—		—		465,853
Total	$	37,786,043	$	—	$	—	$	37,786,043
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	5,322,498	$	—	$	—	$	5,322,498
Short-Term Investments		115,348		—		—		115,348
Total	$	5,437,846	$	—	$	—	$	5,437,846
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	135,178,783	$	—	$	—	$	135,178,783
Short-Term Investments		2,154,294		—		—		2,154,294
Total	$	137,333,077	$	—	$	—	$	137,333,077
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	136,009,817	$	—	$	—	$	136,009,817
Short-Term Investments		2,296,099		—		—		2,296,099
Total	$	138,305,916	$	—	$	—	$	138,305,916
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	471,281,295	$	—	$	—	$	471,281,295
Short-Term Investments		9,434,621		—		—		9,434,621
Total	$	480,715,916	$	—	$	—	$	480,715,916
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	134,987,692	$	—	$	—	$	134,987,692
Short-Term Investments		2,798,480		—		—		2,798,480
Total	$	137,786,172	$	—	$	—	$	137,786,172
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	213,105,992	$	—	$	—	$	213,105,992
Short-Term Investments		5,811,282		—		—		5,811,282
Total	$	218,917,274	$	—	$	—	$	218,917,274

40

BMO Funds

4. Capital Stock

The Articles of Incorporation permit the Directors to issue an indefinite number of full and fractional shares of common stock, par value $0.0001 per share. Transactions in capital stock were as follows:

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	469,698		$	2,553,201		$	46,414		$	429,164		$	2,124,074		$	5,536,279
Institutional class of shares		19,243			252,410			1,841			5,628			153,259			3,913,111
Retirement class R-3 of shares		122,922			1,685,053			322,992			133,225			926,614			3,123,675
Retirement class R-6 of shares		2,422,127			4,826,780			166,309			6,535,738			7,266,293			15,778,753
Net proceeds from sale of shares		3,033,990			9,317,444			537,556			7,103,755			10,470,240			28,351,818
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		415,792			512,602			20,044			1,560			1,777,801			1,637,504
Institutional class of shares		28,070			31,528			3,994			637			347,404			177,322
Retirement class R-3 of shares		165,007			283,852			5,045			574			1,012,033			1,003,886
Retirement class R-6 of shares		1,496,011			1,350,769			146,672			36,070			4,518,604			2,758,969
Net proceeds from shares issued		2,104,880			2,178,751			175,755			38,841			7,655,842			5,577,681
Cost of shares redeemed:
Investor class of shares		(1,650,424	)		(4,770,741	)		(268,947	)		(10,509	)		(5,026,966	)		(15,828,088	)
Institutional class of shares		(10,043	)		(897,324	)		—			(1	)		(1,734,184	)		(1,742,714	)
Retirement class R-3 of shares		(900,010	)		(3,746,584	)		(408,116	)		(11,244	)		(4,743,279	)		(10,627,609	)
Retirement class R-6 of shares		(3,618,926	)		(8,073,712	)		(817,805	)		(2,430,695	)		(4,184,264	)		(20,890,087	)
Net cost of shares redeemed		(6,179,403	)		(17,488,361	)		(1,494,868	)		(2,452,449	)		(15,688,693	)		(49,088,498	)
Net change resulting from fund share transactions in dollars	$	(1,040,533	)	$	(5,992,166	)	$	(781,557	)	$	4,690,147		$	2,437,389		$	(15,158,999	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		46,926			242,367			4,421			39,990			207,144			502,747
Institutional class of shares		2,037			23,535			180			517			15,063			355,799
Retirement class R-3 of shares		12,654			157,157			31,212			12,414			94,125			283,520
Retirement class R-6 of shares		264,868			463,921			16,558			607,578			758,921			1,445,729
Net sale of shares		326,485			886,980			52,371			660,499			1,075,253			2,587,795
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		46,097			50,403			1,987			146			184,037			152,326
Institutional class of shares		3,112			3,097			395			60			35,963			16,495
Retirement class R-3 of shares		18,253			27,883			499			54			104,549			93,298
Retirement class R-6 of shares		166,223			132,819			14,479			3,374			467,765			256,410
Net shares issued		233,685			214,202			17,360			3,634			792,314			518,529
Shares redeemed:
Investor class of shares		(174,378	)		(457,492	)		(26,976	)		(976	)		(529,775	)		(1,447,608	)
Institutional class of shares		(1,065	)		(83,315	)		—			—			(172,025	)		(156,644	)
Retirement class R-3 of shares		(95,108	)		(358,566	)		(39,800	)		(1,040	)		(477,523	)		(961,216	)
Retirement class R-6 of shares		(372,741	)		(759,711	)		(80,821	)		(223,913	)		(411,944	)		(1,887,513	)
Net shares redeemed		(643,292	)		(1,659,084	)		(147,597	)		(225,929	)		(1,591,267	)		(4,452,981	)
Net change resulting from fund share transactions in shares		(83,122	)		(557,902	)		(77,866	)		438,204			276,300			(1,346,657	)

41

Notes to Financial Statements (continued)

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	261,854		$	1,586,365		$	1,423,883		$	7,013,564		$	328,769		$	729,095
Institutional class of shares		25,424			642,649			248,902			1,964,022			19,793			71,433
Retirement class R-3 of shares		118,082			1,600,512			1,201,951			2,657,521			69,995			796,104
Retirement class R-6 of shares		2,247,676			27,077,285			8,123,696			27,099,797			2,011,009			29,984,647
Net proceeds from sale of shares		2,653,036			30,906,811			10,998,432			38,734,904			2,429,566			31,581,279
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		45,412			1,967			1,362,887			1,251,461			19,506			644
Institutional class of shares		16,995			13			185,684			118,666			1,593			5
Retirement class R-3 of shares		30,674			1,644			693,045			661,311			9,502			634
Retirement class R-6 of shares		746,383			140,483			3,847,020			2,463,598			596,770			70,546
Net proceeds from shares issued		839,464			144,107			6,088,636			4,495,036			627,371			71,829
Cost of shares redeemed:
Investor class of shares		(1,201,930	)		(142,754	)		(5,399,604	)		(16,119,882	)		(495,362	)		(180,026	)
Institutional class of shares		(5,533	)		(5,055	)		(384,187	)		(4,314,720	)		(3,221	)		(4,526	)
Retirement class R-3 of shares		(558,802	)		(149,080	)		(4,300,824	)		(9,870,793	)		(345,579	)		(32,471	)
Retirement class R-6 of shares		(1,122,320	)		(1,768,523	)		(4,365,317	)		(13,813,522	)		(1,449,457	)		(2,670,849	)
Net cost of shares redeemed		(2,888,585	)		(2,065,412	)		(14,449,932	)		(44,118,917	)		(2,293,619	)		(2,887,872	)
Net change resulting from fund share transactions in dollars	$	603,915		$	28,985,506		$	2,637,136		$	(888,977	)	$	763,318		$	28,765,236
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		25,386			146,929			133,746			615,955			31,425			68,499
Institutional class of shares		2,472			58,534			23,915			172,856			1,951			6,520
Retirement class R-3 of shares		11,774			147,004			115,079			233,694			6,941			74,119
Retirement class R-6 of shares		224,529			2,508,756			817,340			2,354,977			203,012			2,788,354
Net sale of shares		264,161			2,861,223			1,090,080			3,377,482			243,329			2,937,492
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		4,448			184			132,706			112,038			1,907			60
Institutional class of shares		1,660			1			18,080			10,614			155			1
Retirement class R-3 of shares		3,013			154			67,416			59,151			932			59
Retirement class R-6 of shares		72,818			13,080			374,953			220,555			58,165			6,587
Net shares issued		81,939			13,419			593,155			402,358			61,159			6,707
Shares redeemed:
Investor class of shares		(122,782	)		(13,120	)		(544,520	)		(1,423,231	)		(51,014	)		(16,867	)
Institutional class of shares		(519	)		(458	)		(39,195	)		(374,363	)		(303	)		(409	)
Retirement class R-3 of shares		(56,696	)		(13,697	)		(429,288	)		(863,781	)		(34,433	)		(2,969	)
Retirement class R-6 of shares		(112,530	)		(162,853	)		(418,970	)		(1,223,538	)		(142,793	)		(247,165	)
Net shares redeemed		(292,527	)		(190,128	)		(1,431,973	)		(3,884,913	)		(228,543	)		(267,410	)
Net change resulting from fund share transactions in shares		53,573			2,684,514			251,262			(105,073	)		75,945			2,676,789

42

BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	2,492,298		$	5,453,708		$	422,740		$	1,112,090		$	1,075,195		$	4,228,983
Institutional class of shares		294,900			1,096,925			25,066			116,310			339,400			1,066,096
Retirement class R-3 of shares		664,392			2,439,717			141,160			812,631			760,183			1,786,394
Retirement class R-6 of shares		4,802,327			10,991,987			1,708,863			14,036,821			4,175,725			10,762,479
Net proceeds from sale of shares		8,253,917			19,982,337			2,297,829			16,077,852			6,350,503			17,843,952
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,034,277			699,560			24,522			138			496,842			427,602
Institutional class of shares		195,405			126,814			2,385			2			108,258			104,466
Retirement class R-3 of shares		490,052			392,452			7,710			589			241,913			221,346
Retirement class R-6 of shares		3,218,871			1,736,664			266,574			27,041			1,205,244			848,234
Net proceeds from shares issued		4,938,605			2,955,490			301,191			27,770			2,052,257			1,601,648
Cost of shares redeemed:
Investor class of shares		(3,592,081	)		(10,354,982	)		(721,827	)		(80,294	)		(2,344,030	)		(4,855,407	)
Institutional class of shares		(501,275	)		(2,201,952	)		—			(783	)		(65,721	)		(2,137,292	)
Retirement class R-3 of shares		(3,071,002	)		(5,937,625	)		(492,987	)		(35,159	)		(1,386,283	)		(3,412,701	)
Retirement class R-6 of shares		(2,334,607	)		(9,249,501	)		(537,810	)		(1,423,812	)		(1,998,379	)		(4,838,011	)
Net cost of shares redeemed		(9,498,965	)		(27,744,060	)		(1,752,624	)		(1,540,048	)		(5,794,413	)		(15,243,411	)
Net change resulting from fund share transactions in dollars	$	3,693,557		$	(4,806,233	)	$	846,396		$	14,565,574		$	2,608,347		$	4,202,189
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		227,782			474,203			39,598			102,004			102,314			366,132
Institutional class of shares		28,093			94,942			2,467			10,445			31,990			92,321
Retirement class R-3 of shares		63,266			212,967			13,644			74,574			70,905			155,015
Retirement class R-6 of shares		489,802			951,253			171,052			1,283,748			411,405			923,693
Net sale of shares		808,943			1,733,365			226,761			1,470,771			616,614			1,537,161
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		101,400			61,853			2,358			13			47,139			37,674
Institutional class of shares		19,157			11,213			229			—			10,271			9,204
Retirement class R-3 of shares		47,904			34,700			743			55			22,930			19,502
Retirement class R-6 of shares		315,576			153,551			25,534			2,485			114,349			74,734
Net shares issued		484,037			261,317			28,864			2,553			194,689			141,114
Shares redeemed:
Investor class of shares		(361,308	)		(899,332	)		(73,957	)		(7,291	)		(230,123	)		(421,096	)
Institutional class of shares		(50,435	)		(188,879	)		—			(69	)		(6,366	)		(183,009	)
Retirement class R-3 of shares		(299,474	)		(512,014	)		(47,431	)		(3,238	)		(137,188	)		(292,448	)
Retirement class R-6 of shares		(221,093	)		(811,474	)		(54,282	)		(129,275	)		(186,207	)		(424,080	)
Net shares redeemed		(932,310	)		(2,411,699	)		(175,670	)		(139,873	)		(559,884	)		(1,320,633	)
Net change resulting from fund share transactions in shares		360,670			(417,017	)		79,955			1,333,451			251,419			357,642

43

Notes to Financial Statements (continued)

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	401,399		$	1,098,199		$	586,338		$	4,306,416		$	1,850,845		$	2,881,305
Institutional class of shares		13,107			98,627			1,033,741			3,370,800			839,969			2,705,694
Retirement class R-3 of shares		119,531			447,023			252,555			1,791,937			958,580			6,777,124
Retirement class R-6 of shares		2,662,906			3,149,793			2,571,875			19,287,498			7,974,066			17,226,521
Net proceeds from sale of shares		3,196,943			4,793,642			4,444,509			28,756,651			11,623,460			29,590,644
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		22,252			1,511			936,209			617,958			1,029,189			567,882
Institutional class of shares		3,933			891			1,331,596			749,367			917,395			375,169
Retirement class R-3 of shares		6,116			816			292,057			246,045			767,207			415,963
Retirement class R-6 of shares		70,281			15,600			4,033,553			2,352,643			5,610,809			2,399,998
Net proceeds from shares issued		102,582			18,818			6,593,415			3,966,013			8,324,600			3,759,012
Cost of shares redeemed:
Investor class of shares		(997,264	)		(155,201	)		(3,742,706	)		(6,320,438	)		(8,997,844	)		(4,759,392	)
Institutional class of shares		(1,847	)		(5,156	)		(2,069,701	)		(3,012,964	)		(1,622,673	)		(4,019,821	)
Retirement class R-3 of shares		(122,456	)		(82,353	)		(550,798	)		(5,634,372	)		(8,075,874	)		(3,930,130	)
Retirement class R-6 of shares		(741,162	)		(704,018	)		(4,566,920	)		(23,894,326	)		(3,969,369	)		(18,107,609	)
Net cost of shares redeemed		(1,862,729	)		(946,728	)		(10,930,125	)		(38,862,100	)		(22,665,760	)		(30,816,952	)
Net change resulting from fund share transactions in dollars	$	1,436,796		$	3,865,732		$	107,799		$	(6,139,436	)	$	(2,717,700	)	$	2,532,704
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		39,333			101,616			61,118			430,479			197,124			284,984
Institutional class of shares		1,274			8,831			108,359			337,105			90,328			268,603
Retirement class R-3 of shares		11,856			40,547			26,760			179,833			101,157			674,343
Retirement class R-6 of shares		266,670			286,828			271,288			1,932,026			854,109			1,699,470
Net sale of shares		319,133			437,822			467,525			2,879,443			1,242,718			2,927,400
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,152			140			101,322			62,673			111,747			57,016
Institutional class of shares		379			83			144,268			76,001			99,717			37,668
Retirement class R-3 of shares		593			76			31,574			24,954			83,121			41,763
Retirement class R-6 of shares		6,771			1,446			437,005			238,604			609,871			240,964
Net shares issued		9,895			1,745			714,169			402,232			904,456			377,411
Shares redeemed:
Investor class of shares		(102,944	)		(14,049	)		(394,636	)		(631,714	)		(963,225	)		(474,178	)
Institutional class of shares		(172	)		(460	)		(221,499	)		(300,982	)		(174,655	)		(395,336	)
Retirement class R-3 of shares		(11,844	)		(7,545	)		(57,846	)		(564,945	)		(839,710	)		(389,879	)
Retirement class R-6 of shares		(71,012	)		(63,795	)		(479,554	)		(2,398,228	)		(417,809	)		(1,799,149	)
Net shares redeemed		(185,972	)		(85,849	)		(1,153,535	)		(3,895,869	)		(2,395,399	)		(3,058,542	)
Net change resulting from fund share transactions in shares		143,056			353,718			28,159			(614,194	)		(248,225	)		246,269

44

BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015			Six Months Ended February 29, 2016 (Unaudited)			Year Ended August 31, 2015
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	3,258,446		$	9,913,030		$	924,644		$	5,133,135		$	1,372,996		$	38,844,900	(1)
Institutional class of shares		4,898,713			22,559,749			858,024			2,658,620			1,603,369			10,021,134	(1)
Retirement class R-3 of shares		1,415,881			6,394,929			1,142,180			3,228,660			775,462			16,598,429	(1)
Retirement class R-6 of shares		28,991,149			38,133,382			10,887,898			22,740,439			16,170,618			64,305,867	(1)
Net proceeds from sale of shares		38,564,189			77,001,090			13,812,746			33,760,854			19,922,445			129,770,330
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		12,849,874			4,038,321			2,839,763			833,310			5,585,745			1,300,124
Institutional class of shares		7,011,066			1,862,671			1,170,790			312,513			2,580,768			601,742
Retirement class R-3 of shares		3,137,774			962,724			2,104,134			498,834			1,654,830			301,192
Retirement class R-6 of shares		21,422,949			7,421,000			5,431,739			1,272,251			9,317,129			1,768,443
Net proceeds from shares issued		44,421,663			14,284,716			11,546,426			2,916,908			19,138,472			3,971,501
Cost of shares redeemed:
Investor class of shares		(32,734,717	)		(33,716,254	)		(12,906,380	)		(7,268,277	)		(22,832,070	)		(16,570,068	)
Institutional class of shares		(7,979,603	)		(18,567,065	)		(2,115,093	)		(5,579,041	)		(3,920,006	)		(4,816,804	)
Retirement class R-3 of shares		(1,853,909	)		(11,427,399	)		(952,675	)		(4,448,513	)		(1,656,639	)		(9,647,034	)
Retirement class R-6 of shares		(17,670,333	)		(68,799,662	)		(6,135,501	)		(9,554,268	)		(7,916,191	)		(20,411,804	)
Net cost of shares redeemed		(60,238,562	)		(132,510,380	)		(22,109,649	)		(26,850,099	)		(36,324,906	)		(51,445,710	)
Net change resulting from fund share transactions in dollars	$	22,747,290		$	(41,224,574	)	$	3,249,523		$	9,827,663		$	2,736,011		$	82,296,121
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		355,278			973,466			99,411			495,656			150,122			3,811,043	(1)
Institutional class of shares		538,917			2,208,098			90,895			258,691			176,514			978,980	(1)
Retirement class R-3 of shares		152,536			631,978			125,622			313,743			83,510			1,622,915	(1)
Retirement class R-6 of shares		3,359,387			3,730,462			1,214,226			2,194,288			1,828,798			6,271,303	(1)
Net sale of shares		4,406,118			7,544,004			1,530,154			3,262,378			2,238,944			12,684,241
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,432,539			402,223			309,680			82,019			606,487			131,061
Institutional class of shares		782,485			185,710			127,676			30,729			280,518			60,660
Retirement class R-3 of shares		349,808			95,984			229,458			49,050			179,677			30,362
Retirement class R-6 of shares		2,388,289			739,880			592,338			125,221			1,012,732			178,271
Net shares issued		4,953,121			1,423,797			1,259,152			287,019			2,079,414			400,354
Shares redeemed:
Investor class of shares		(3,753,536	)		(3,321,043	)		(1,417,866	)		(709,849	)		(2,458,191	)		(1,598,806	)
Institutional class of shares		(883,994	)		(1,828,408	)		(233,987	)		(542,103	)		(447,175	)		(464,405	)
Retirement class R-3 of shares		(196,649	)		(1,120,626	)		(102,019	)		(430,551	)		(177,249	)		(922,935	)
Retirement class R-6 of shares		(1,881,750	)		(6,888,647	)		(664,954	)		(931,824	)		(836,462	)		(1,965,741	)
Net shares redeemed		(6,715,929	)		(13,158,724	)		(2,418,826	)		(2,614,327	)		(3,919,077	)		(4,951,887	)
Net change resulting from fund share transactions in shares		2,643,310			(4,190,923	)		370,480			935,070			399,281			8,132,708

(1) Includes paid-in-capital and shares received from a non-taxable in-kind subscription merger of the BMO Aggressive Stock Fund effective as of the close of business on December 19, 2014.

5. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser does not receive an investment advisory fee for the services it performs for the Funds. However, the Adviser is entitled to receive an investment advisory fee from each of the BMO Funds that serve as underlying funds.

Contractual Expense Limitation—The Adviser has contractually agreed to waive or reduce fees and reimburse expenses to the extent necessary to prevent class total annual operating expenses (excluding acquired fund fees and expenses, interest, taxes, brokerage commissions, other investment-related costs and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the levels set out in the table below through December 31, 2016. This agreement may not be terminated prior to December 31, 2016 without the consent of the

45

Notes to Financial Statements (continued)

Funds’ Board of Directors, unless terminated due to the termination of the investment advisory agreement. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation Exclusive of Acquired Fund Fees and Expenses												Annualized Contractual Expense Limitation Inclusive of Acquired Fund Fees and Expenses per the Funds’ Prospectus Dated December 29, 2015
Fund	Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)			Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)
In-Retirement Fund		0.33	%		0.08	%		0.58	%		(0.07	)%		0.86	%		0.60	%		1.10	%		0.45	%
2015 Fund		0.33			0.08			0.58			(0.07	)		0.88			0.63			1.13			0.48
2020 Fund		0.33			0.08			0.58			(0.07	)		0.91			0.66			1.16			0.51
2025 Fund		0.33			0.08			0.58			(0.07	)		0.93			0.68			1.18			0.53
2030 Fund		0.37			0.12			0.62			(0.03	)		0.99			0.74			1.24			0.59
2035 Fund		0.37			0.12			0.62			(0.03	)		1.00			0.75			1.25			0.60
2040 Fund		0.36			0.11			0.61			(0.04	)		1.01			0.76			1.26			0.61
2045 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
2050 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
2055 Fund		0.36			0.11			0.61			(0.04	)		1.00			0.75			1.25			0.60
Conservative Allocation Fund		0.33			0.08			0.58			(0.07	)		0.89			0.64			1.14			0.49
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.89			0.64			1.14			0.49
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		0.95			0.70			1.20			0.55
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		0.95			0.70			1.20			0.55
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		0.99			0.74			1.24			0.59

(1) As a result of reimbursing expenses including acquired fund expenses, the Adviser reimbursed amounts in excess of the respective share classes operating expenses. The aggregate excess reimbursement is accounted for as “Excess expense reimbursement from investment adviser” on the Statements of Operations.

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, each Fund pays the Adviser at the annual rate of 0.25% of average daily net assets of the Fund’s Investor Class shares for the period. The fee paid to the Adviser is used to finance certain services for shareholders and to maintain shareholder accounts.

Distribution Services Fees—The Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.50% of the average daily net assets of the Fund’s Retirement Class R-3 shares.

Administration Fees—Each Fund pays the Adviser at the annual rate of 0.15% of average daily net assets per class (except the Retirement class R-6, which does not pay an Administration Fee).

For the period ended February 29, 2016, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	3,284	$	205	$	1,333
2015 Fund		435		80		142
2020 Fund		15,946		3,044		10,019
2025 Fund		1,211		457		931
2030 Fund		16,916		2,134		8,862
2035 Fund		727		56		465
2040 Fund		9,692		1,781		5,123
2045 Fund		973		90		435
2050 Fund		7,482		1,495		3,727
2055 Fund		877		144		289
Conservative Allocations Fund		16,176		21,296		5,436
Moderate Allocation Fund		15,108		11,688		14,300
Balanced Allocation Fund		109,685		59,134		27,994
Growth Allocation Fund		28,923		10,955		21,100
Aggressive Allocation Fund		56,191		22,958		16,195

Custodian Fees—BMO Harris Bank N.A. (“BMO Harris”) is the Funds’ custodian. BMO Harris receives fees based on 0.0050% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

46

BMO Funds

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 29, 2016.

Fund/Security Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
In-Retirement Fund
BMO Low Volatility Equity Fund	$	559,319	$	78,103	$	133,399	$	498,077	$	3,869	$	15,117
BMO Dividend Income Fund		532,321		54,268		178,437		379,400		5,282		53,683
BMO Large-Cap Value Fund		672,975		135,102		152,112		558,780		5,121		65,627
BMO Mid-Cap Value Fund		351,756		67,729		119,953		243,121		1,854		54,499
BMO Mid-Cap Growth Fund		303,635		43,522		163,212		119,955		—		87,320
BMO Small-Cap Growth Fund		164,171		23,239		54,018		102,723		—		33,247
BMO Disciplined International Equity Fund		—		441,428		15,531		403,308		—		272
BMO Pyrford International Stock Fund		696,510		64,783		166,913		560,249		14,292		17,846
BMO LGM Emerging Markets Equity Fund		427,272		25,614		168,097		262,817		4,383		(28,604	)
BMO Alternative Strategies Fund		—		1,439,463		179,482		1,212,040		1,049		8,224
BMO TCH Core Plus Bond Fund		5,653,389		309,110		2,116,581		3,727,040		78,502		(89,163	)
BMO Monegy High Yield Bond Fund		367,353		25,954		68,367		305,517		9,141		(7,163	)
BMO Prime Money Market Fund		366,785		4,951,104		5,023,471		294,418		204		—
BMO LGM Frontier Markets Equity Fund		112,594		1,754		—		105,421		1,754		—
Totals	$	10,208,080	$	7,661,173	$	8,539,573	$	8,772,866	$	125,451	$	210,905
2015 Fund
BMO Low Volatility Equity Fund	$	149,930	$	43,933	$	48,424	$	145,082	$	1,038	$	1,595
BMO Dividend Income Fund		118,893		16,183		49,930		78,933		1,232		867
BMO Large-Cap Value Fund		201,412		46,699		61,424		157,251		1,634		11,052
BMO Mid-Cap Value Fund		124,576		20,227		43,219		83,670		597		3,823
BMO Mid-Cap Growth Fund		108,046		19,680		63,702		41,854		—		(3,760	)
BMO Small-Cap Growth Fund		67,851		12,151		33,293		34,168		—		(2,689	)
BMO Disciplined International Equity Fund		—		129,623		7,909		115,900		—		(416	)
BMO Pyrford International Stock Fund		196,526		28,512		66,018		148,052		4,258		(6,339	)
BMO LGM Emerging Markets Equity Fund		133,737		17,710		67,102		78,572		1,335		(10,446	)
BMO Alternative Strategies Fund		—		293,077		55,142		227,615		225		558
BMO TCH Core Plus Bond Fund		977,259		106,240		429,026		631,712		14,181		(22,552	)
BMO Monegy High Yield Bond Fund		59,146		5,588		15,558		45,850		1,478		(1,934	)
BMO Prime Money Market Fund		78,523		1,309,524		1,322,061		65,986		45		—
BMO LGM Frontier Markets Equity Fund		28,865		450		—		27,026		450		—
Totals	$	2,244,764	$	2,049,597	$	2,262,808	$	1,881,671	$	26,473	$	(30,241	)
2020 Fund
BMO Low Volatility Equity Fund	$	3,204,039	$	108,432	$	379,521	$	2,897,022	$	22,010	$	85,854
BMO Dividend Income Fund		2,140,209		154,470		627,805		1,548,803		22,182		212,402
BMO Large-Cap Value Fund		4,341,166		619,979		551,780		3,757,114		32,994		390,146
BMO Mid-Cap Value Fund		2,735,058		347,498		416,136		2,219,575		14,606		272,344
BMO Mid-Cap Growth Fund		2,525,223		614,635		508,162		1,967,871		—		280,431
BMO Small-Cap Growth Fund		1,701,108		392,888		526,098		1,204,503		—		125,222
BMO Disciplined International Equity Fund		—		1,951,667		—		1,799,491		—		—
BMO Pyrford International Stock Fund		4,265,286		216,238		841,772		3,393,252		96,570		(45,111	)
BMO LGM Emerging Markets Equity Fund		3,249,594		113,346		505,907		2,732,114		32,598		(55,711	)
BMO Alternative Strategies Fund		—		4,831,474		232,611		4,430,637		3,715		35,680
BMO TCH Core Plus Bond Fund		14,372,788		1,331,602		5,135,824		10,275,997		201,179		(194,999	)
BMO Monegy High Yield Bond Fund		887,984		33,561		92,907		779,735		22,718		(9,257	)
BMO Prime Money Market Fund		965,999		10,955,623		10,793,587		1,128,035		603		—
BMO LGM Frontier Markets Equity Fund		645,853		10,059		—		604,706		10,059		—
Totals	$	41,034,307	$	21,681,472	$	20,612,110	$	38,738,855	$	459,234	$	1,097,001

47

Notes to Financial Statements (continued)

Fund/Security Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2025 Fund
BMO Low Volatility Equity Fund	$	883,175	$	42,239	$	95,448	$	820,561	$	6,088	$	18,091
BMO Dividend Income Fund		503,822		27,829		136,671		366,720		4,901		11,868
BMO Large-Cap Value Fund		1,480,397		225,808		101,364		1,366,912		11,570		135,313
BMO Mid-Cap Value Fund		982,075		136,149		141,877		813,618		5,274		62,030
BMO Mid-Cap Growth Fund		914,450		206,857		78,008		774,901		—		105,318
BMO Small-Cap Growth Fund		718,213		152,659		140,787		563,438		—		6,239
BMO Disciplined International Equity Fund		—		788,844		—		733,161		—		—
BMO Pyrford International Stock Fund		1,482,521		75,624		187,231		1,280,773		34,174		(29,336	)
BMO LGM Emerging Markets Equity Fund		1,188,403		88,218		203,675		1,017,630		13,320		(41,736	)
BMO Alternative Strategies Fund		—		1,380,565		74,767		1,257,519		1,062		9,678
BMO TCH Core Plus Bond Fund		3,307,937		337,302		1,132,810		2,447,655		46,505		(49,745	)
BMO Monegy High Yield Bond Fund		211,364		10,182		3,844		205,626		5,699		(449	)
BMO Prime Money Market Fund		440,254		2,712,113		2,717,394		434,973		293		—
BMO LGM Frontier Markets Equity Fund		213,270		3,322		—		199,683		3,322		—
Totals	$	12,325,881	$	6,187,711	$	5,013,876	$	12,283,170	$	132,208	$	227,271
2030 Fund
BMO Low Volatility Equity Fund	$	3,386,413	$	113,984	$	503,911	$	2,963,517	$	23,229	$	95,811
BMO Dividend Income Fund		1,847,849		112,020		594,164		1,260,101		18,681		183,978
BMO Large-Cap Value Fund		5,635,981		840,045		645,167		4,947,840		43,683		500,673
BMO Mid-Cap Value Fund		3,671,221		469,690		659,763		2,890,073		19,256		264,084
BMO Mid-Cap Growth Fund		3,347,520		840,415		298,289		2,889,137		—		403,965
BMO Small-Cap Growth Fund		2,585,923		859,468		500,822		2,265,925		—		131,742
BMO Disciplined International Equity Fund		—		2,572,653		—		2,381,725		—		—
BMO Pyrford International Stock Fund		5,316,729		386,821		803,664		4,574,347		125,334		(80,649	)
BMO LGM Emerging Markets Equity Fund		4,346,997		335,929		904,215		3,582,552		48,285		(152,855	)
BMO Alternative Strategies Fund		—		4,054,161		191,832		3,721,265		3,117		30,162
BMO TCH Core Plus Bond Fund		8,126,493		622,271		3,067,928		5,530,765		109,923		(104,665	)
BMO Monegy High Yield Bond Fund		513,438		12,405		131,380		370,540		11,739		(11,015	)
BMO Prime Money Market Fund		1,040,488		10,471,890		10,469,700		1,042,678		630		—
BMO LGM Frontier Markets Equity Fund		1,011,963		15,762		—		947,491		15,761		—
Totals	$	40,831,015	$	21,707,514	$	18,770,835	$	39,367,956	$	419,638	$	1,261,231
2035 Fund
BMO Low Volatility Equity Fund	$	1,068,005	$	68,247	$	129,471	$	995,423	$	7,442	$	24,576
BMO Dividend Income Fund		608,260		39,534		195,198		418,998		5,616		7,855
BMO Large-Cap Value Fund		1,814,616		258,088		165,647		1,624,023		13,794		166,047
BMO Mid-Cap Value Fund		1,168,573		187,617		159,579		997,986		6,384		83,759
BMO Mid-Cap Growth Fund		1,108,128		293,541		108,682		965,324		—		133,629
BMO Small-Cap Growth Fund		828,294		271,581		133,171		748,507		—		29,242
BMO Disciplined International Equity Fund		—		911,590		8,025		841,010		—		49
BMO Pyrford International Stock Fund		1,729,373		123,537		198,460		1,548,792		39,899		(25,041	)
BMO LGM Emerging Markets Equity Fund		1,399,299		156,694		283,916		1,204,889		15,890		(44,314	)
BMO Alternative Strategies Fund		—		912,300		10,787		870,104		693		8,208
BMO TCH Core Plus Bond Fund		1,357,800		103,407		488,716		947,902		18,198		(16,238	)
BMO Monegy High Yield Bond Fund		91,929		4,134		3,569		87,363		2,428		(351	)
BMO Prime Money Market Fund		443,036		3,225,192		3,241,832		426,396		294		—
BMO LGM Frontier Markets Equity Fund		266,658		4,154		—		249,669		4,153		—
Totals	$	11,883,971	$	6,559,616	$	5,127,053	$	11,926,386	$	114,791	$	367,421

48

BMO Funds

Fund/Security Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2040 Fund
BMO Low Volatility Equity Fund	$	2,533,109	$	169,167	$	353,002	$	2,316,456	$	17,694	$	67,010
BMO Dividend Income Fund		1,385,086		64,754		576,140		819,013		12,047		167,947
BMO Large-Cap Value Fund		4,304,237		543,779		553,656		3,643,168		31,837		384,732
BMO Mid-Cap Value Fund		2,712,893		363,098		560,991		2,090,235		13,873		199,179
BMO Mid-Cap Growth Fund		2,553,941		645,487		381,913		2,096,129		—		300,499
BMO Small-Cap Growth Fund		1,900,739		462,777		249,612		1,626,316		—		94,980
BMO Disciplined International Equity Fund		—		2,071,571		7,682		1,910,030		—		8
BMO Pyrford International Stock Fund		3,862,162		288,751		501,820		3,404,005		92,231		(56,111	)
BMO LGM Emerging Markets Equity Fund		3,238,017		239,599		703,094		2,612,544		36,869		(142,470	)
BMO Alternative Strategies Fund		—		1,658,539		151,220		1,449,682		1,276		9,779
BMO TCH Core Plus Bond Fund		1,525,740		166,626		923,057		748,710		17,006		(22,707	)
BMO Monegy High Yield Bond Fund		129,433		3,481		1,908		123,723		3,451		(124	)
BMO Prime Money Market Fund		669,469		6,491,976		6,609,714		551,731		410		—
BMO LGM Frontier Markets Equity Fund		798,461		12,436		—		747,591		12,436		—
Totals	$	25,613,287	$	13,182,041	$	11,573,809	$	24,139,333	$	239,130	$	1,002,722
2045 Fund
BMO Low Volatility Equity Fund	$	600,150	$	52,952	$	60,846	$	583,819	$	4,251	$	13,030
BMO Dividend Income Fund		329,663		26,170		134,447		207,200		2,979		3,165
BMO Large-Cap Value Fund		1,023,726		175,647		122,656		916,440		7,608		91,763
BMO Mid-Cap Value Fund		647,725		98,285		112,216		528,833		3,388		45,821
BMO Mid-Cap Growth Fund		613,255		186,485		90,795		530,365		—		68,295
BMO Small-Cap Growth Fund		452,711		143,060		56,925		417,530		—		19,858
BMO Disciplined International Equity Fund		—		403,373		—		369,602		—		—
BMO Pyrford International Stock Fund		932,013		117,073		82,176		906,910		22,343		(10,536	)
BMO LGM Emerging Markets Equity Fund		768,577		103,279		114,006		719,605		8,875		(17,823	)
BMO Alternative Strategies Fund		—		392,317		15,259		363,455		301		3,088
BMO TCH Core Plus Bond Fund		362,869		12,036		180,130		189,916		4,136		(4,876	)
BMO Monegy High Yield Bond Fund		31,155		847		—		30,223		842		—
BMO Prime Money Market Fund		303,712		2,115,182		2,191,190		227,704		166		—
BMO LGM Frontier Markets Equity Fund		148,983		29,354		—		165,242		2,564		—
Totals	$	6,214,539	$	3,856,060	$	3,160,646	$	6,156,844	$	57,453	$	211,785
2050 Fund
BMO Low Volatility Equity Fund	$	1,572,621	$	135,904	$	180,378	$	1,506,631	$	11,258	$	39,214
BMO Dividend Income Fund		871,870		48,046		357,541		527,719		7,737		78,404
BMO Large-Cap Value Fund		2,701,317		401,693		328,296		2,358,651		20,155		234,263
BMO Mid-Cap Value Fund		1,708,869		240,169		322,155		1,357,618		8,899		124,389
BMO Mid-Cap Growth Fund		1,614,662		456,155		236,823		1,370,032		—		178,426
BMO Small-Cap Growth Fund		1,195,538		332,266		157,010		1,057,314		—		59,411
BMO Disciplined International Equity Fund		—		1,039,253		—		949,831		—		—
BMO Pyrford International Stock Fund		2,456,216		222,677		203,320		2,318,777		58,782		(27,371	)
BMO LGM Emerging Markets Equity Fund		2,013,302		311,199		420,697		1,802,776		23,597		(79,172	)
BMO Alternative Strategies Fund		—		1,049,527		19,853		993,536		807		9,281
BMO TCH Core Plus Bond Fund		923,822		123,535		469,722		562,448		11,463		(14,649	)
BMO Monegy High Yield Bond Fund		81,506		2,193		4,931		74,122		2,157		(685	)
BMO Prime Money Market Fund		636,169		5,016,810		5,187,126		465,853		290		—
BMO LGM Frontier Markets Equity Fund		469,178		7,307		—		439,287		7,308		—
Totals	$	16,245,070	$	9,386,734	$	7,887,852	$	15,784,595	$	152,453	$	601,511

49

Notes to Financial Statements (continued)

Fund/Security Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
2055 Fund
BMO Low Volatility Equity Fund	$	176,097	$	64,750	$	22,730	$	216,164	$	1,338	$	4,911
BMO Dividend Income Fund		96,842		24,031		40,357		75,551		970		1,568
BMO Large-Cap Value Fund		300,194		147,855		57,109		338,889		2,329		29,698
BMO Mid-Cap Value Fund		181,234		80,788		33,169		194,578		1,123		15,004
BMO Mid-Cap Growth Fund		188,404		107,029		43,855		193,975		—		21,766
BMO Small-Cap Growth Fund		133,359		76,033		15,671		155,089		—		7,653
BMO Disciplined International Equity Fund		—		156,854		4,912		140,503		—		53
BMO Pyrford International Stock Fund		273,743		113,561		32,882		335,365		7,410		(3,639	)
BMO LGM Emerging Markets Equity Fund		225,398		84,920		30,630		268,300		2,972		(4,175	)
BMO Alternative Strategies Fund		—		139,959		—		135,428		102		1,214
BMO TCH Core Plus Bond Fund		78,215		20,081		31,982		64,999		1,126		(1,063	)
BMO Monegy High Yield Bond Fund		9,193		2,321		324		10,640		272		(40	)
BMO Prime Money Market Fund		117,595		1,817,931		1,820,178		115,348		67		—
BMO LGM Frontier Markets Equity Fund		39,414		16,570		—		51,356		854		—
Totals	$	1,819,688	$	2,852,683	$	2,133,799	$	2,296,185	$	18,563	$	72,950
Conservative Allocation Fund
BMO Low Volatility Equity Fund	$	1,084,588	$	36,419	$	96,368	$	1,012,690	$	7,365	$	30,562
BMO Dividend Income Fund		1,082,398		64,830		197,135		880,379		10,978		68,944
BMO Large-Cap Value Fund		1,713,288		185,456		94,490		1,535,335		13,180		173,281
BMO Large-Cap Growth Fund		1,846,140		235,617		264,608		1,574,618		5,735		248,368
BMO Mid-Cap Value Fund		1,406,668		122,580		232,726		1,075,448		7,197		116,965
BMO Mid-Cap Growth Fund		1,235,616		304,338		123,042		1,041,336		—		142,535
BMO Small-Cap Value Fund		309,478		12,165		7,278		277,584		—		11,415
BMO Small-Cap Growth Fund		1,363,464		257,792		204,465		1,096,835		—		68,065
BMO Disciplined International Equity Fund		—		1,773,640		—		1,609,609		—		—
BMO Pyrford International Stock Fund		1,963,073		41,470		188,169		1,712,066		41,470		(9,349	)
BMO LGM Emerging Markets Equity Fund		1,466,423		95,460		200,356		1,301,746		16,014		(31,064	)
BMO Alternative Strategies Fund		7,189,800		4,629,764		71,829		11,257,069		9,025		105,361
BMO TCH Core Plus Bond Fund		50,478,391		1,368,702		6,272,156		44,382,496		799,490		(373,845	)
BMO Monegy High Yield Bond Fund		3,980,152		118,277		108,771		3,767,973		105,147		(7,590	)
BMO Prime Money Market Fund		1,647,374		8,030,285		7,523,365		2,154,294		1,244		—
Totals	$	76,766,853	$	17,276,795	$	15,584,758	$	74,679,478	$	1,016,845	$	543,648
Moderate Allocation Fund
BMO Low Volatility Equity Fund	$	2,250,337	$	109,219	$	342,022	$	1,996,157	$	15,569	$	54,997
BMO Dividend Income Fund		2,254,699		238,835		627,269		1,731,218		23,151		104,721
BMO Large-Cap Value Fund		3,531,882		600,285		420,048		3,164,318		28,139		304,223
BMO Large-Cap Growth Fund		3,851,869		694,324		906,531		3,153,569		11,790		487,593
BMO Mid-Cap Value Fund		2,932,626		445,241		639,322		2,296,957		14,759		214,276
BMO Mid-Cap Growth Fund		2,565,572		741,217		283,931		2,269,040		—		326,581
BMO Small-Cap Value Fund		617,194		58,808		51,714		553,531		—		21,786
BMO Small-Cap Growth Fund		2,802,097		742,659		604,593		2,279,346		—		92,983
BMO Disciplined International Equity Fund		—		3,906,754		187,548		3,379,934		—		(7,039	)
BMO Pyrford International Stock Fund		4,107,820		122,135		527,952		3,484,772		87,547		(38,736	)
BMO LGM Emerging Markets Equity Fund		3,025,977		188,171		470,963		2,617,768		32,663		(76,295	)
BMO Alternative Strategies Fund		5,522,600		6,475,637		827,810		10,688,936		9,177		76,541
BMO TCH Core Plus Bond Fund		38,047,573		1,299,621		8,556,033		29,900,936		577,513		(507,152	)
BMO Monegy High Yield Bond Fund		2,971,865		121,809		172,241		2,751,075		79,227		(21,336	)
BMO Prime Money Market Fund		1,792,804		10,707,215		10,203,920		2,296,099		1,320		—
Totals	$	76,274,915	$	26,451,930	$	24,821,897	$	72,563,656	$	880,855	$	1,033,143

50

BMO Funds

Fund/Security Description	Value Beginning of Period		Purchases		Sales Proceeds		Value End of Period		Dividends Credited to Income		Net Realized Gain(Loss)
Balanced Allocation Fund
BMO Low Volatility Equity Fund	$	11,684,285	$	391,922	$	1,442,802	$	10,521,718	$	79,720	$	387,717
BMO Dividend Income Fund		11,665,936		694,530		2,433,594		9,189,551		119,748		790,004
BMO Large-Cap Value Fund		18,330,481		2,339,753		1,294,216		16,484,705		142,638		1,801,855
BMO Large-Cap Growth Fund		19,852,259		2,505,802		3,282,782		16,509,750		60,984		2,664,690
BMO Mid-Cap Value Fund		14,988,454		1,315,013		2,397,890		11,537,165		77,215		1,196,868
BMO Mid-Cap Growth Fund		13,252,263		2,354,585		46,995		11,500,154		—		1,876,234
BMO Small-Cap Value Fund		3,373,049		131,302		113,605		2,996,100		—		121,996
BMO Small-Cap Growth Fund		14,679,978		2,254,658		1,726,200		11,700,257		—		761,011
BMO Disciplined International Equity Fund		—		19,744,815		—		18,029,103		—		—
BMO Pyrford International Stock Fund		21,005,631		446,133		2,300,422		18,023,500		446,132		(162,440	)
BMO LGM Emerging Markets Equity Fund		15,679,321		362,938		1,775,971		13,647,034		163,602		(246,239	)
BMO Alternative Strategies Fund		17,714,000		19,602,627		—		35,822,916		28,538		341,386
BMO TCH Core Plus Bond Fund		73,392,349		1,724,842		15,527,629		58,009,601		1,090,563		(581,345	)
BMO Monegy High Yield Bond Fund		5,905,033		202,792		351,391		5,419,257		156,502		(44,292	)
BMO Prime Money Market Fund		6,132,819		38,637,431		35,335,629		9,434,621		5,034		—
Totals	$	247,655,858	$	92,709,143	$	68,029,126	$	248,825,432	$	2,370,676	$	8,907,445
Growth Allocation Fund
BMO Low Volatility Equity Fund	$	4,629,963	$	152,410	$	693,726	$	4,039,629	$	31,238	$	105,372
BMO Dividend Income Fund		4,593,963		398,377		1,254,503		3,452,136		47,008		168,393
BMO Large-Cap Value Fund		7,243,404		778,145		538,376		6,358,543		56,327		688,641
BMO Large-Cap Growth Fund		7,965,505		975,976		1,647,168		6,303,498		23,753		1,003,397
BMO Mid-Cap Value Fund		5,932,435		556,914		1,083,379		4,490,626		29,916		442,447
BMO Mid-Cap Growth Fund		5,191,593		1,056,786		286,118		4,402,086		—		682,330
BMO Small-Cap Value Fund		1,324,247		58,261		106,539		1,130,919		—		43,790
BMO Small-Cap Growth Fund		5,707,117		1,036,438		858,818		4,514,656		—		210,027
BMO Disciplined International Equity Fund		—		7,774,498		321,893		6,762,868		—		(14,718	)
BMO Pyrford International Stock Fund		8,305,854		267,695		1,228,110		6,895,228		176,396		(119,317	)
BMO LGM Emerging Markets Equity Fund		6,101,023		441,322		1,204,060		5,054,663		66,669		(231,119	)
BMO Alternative Strategies Fund		3,751,200		6,654,619		670,528		9,326,980		7,969		65,859
BMO TCH Core Plus Bond Fund		6,305,288		119,952		3,130,018		3,209,152		71,384		(39,549	)
BMO Monegy High Yield Bond Fund		496,931		19,790		35,409		452,793		13,258		(4,544	)
BMO Prime Money Market Fund		1,633,049		12,693,923		11,528,492		2,798,480		1,355		—
Totals	$	69,181,572	$	32,985,106	$	24,587,137	$	69,192,257	$	525,273	$	3,001,009
Aggressive Allocation Fund
BMO Low Volatility Equity Fund	$	8,820,381	$	371,839	$	1,487,979	$	7,601,673	$	59,495	$	203,001
BMO Dividend Income Fund		8,805,913		512,786		2,238,738		6,531,088		88,126		259,379
BMO Large-Cap Value Fund		13,852,851		1,585,853		1,324,557		11,967,321		107,865		1,261,044
BMO Large-Cap Growth Fund		15,008,427		1,861,357		2,999,157		11,977,414		45,300		1,909,938
BMO Mid-Cap Value Fund		11,340,533		1,078,018		2,136,032		8,536,038		56,989		906,291
BMO Mid-Cap Growth Fund		10,000,148		2,047,271		670,705		8,400,519		—		1,346,119
BMO Small-Cap Value Fund		2,518,151		156,159		210,808		2,184,441		—		79,719
BMO Small-Cap Growth Fund		11,092,490		1,959,849		2,016,978		8,466,169		—		724,643
BMO Disciplined International Equity Fund		—		14,805,554		489,750		13,029,220		—		(3,883	)
BMO Pyrford International Stock Fund		15,874,998		336,382		2,244,264		13,118,377		336,382		(199,047	)
BMO LGM Emerging Markets Equity Fund		11,850,613		396,179		1,800,429		9,894,993		126,950		(362,667	)
BMO Prime Money Market Fund		2,652,702		13,611,692		10,453,112		5,811,282		2,250		—
Totals	$	111,817,207	$	38,722,939	$	28,072,509	$	107,518,535	$	823,357	$	6,124,537

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of BMO Prime Money Market Fund or BMO Government Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of February 29, 2016.

51

Notes to Financial Statements (continued)

Funds utilizing the Interfund lending program, borrowing solely from the BMO Prime Money Market Fund during the period ended February 29, 2016, were as follows:

	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Fund
In-Retirement Fund	$	3,436		0.699	%
2015 Fund		3,432		0.759
2020 Fund		5,665		0.802
2030 Fund		909		0.845
2040 Fund		6,100		0.845
2045 Fund		182		0.691
2050 Fund		2,098		0.700
2055 Fund		658		0.691
Balanced Allocation		42,644		0.845

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more of the above companies, which are affiliates of the Corporation. None of the Fund officers or interested directors receives any compensation from the Funds.

6. Line of Credit

Through January 14, 2016, the Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank and Trust Company. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings were charged interest at a rate of 1.25% per annum over the greater of the Federal Funds rate or the London Interbank Offered Rate (“LIBOR”) and included a commitment fee of 0.15% per annum on the daily unused portion and an administrative fee of 0.025% per annum on the entire LOC. Effective January 15, 2016, the Corporation, on behalf of the respective Funds, entered into $25 million unsecured, committed revolving LOC agreement with UMB Bank, n.a. Borrowings are charged interest at a rate of LIBOR plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 29, 2016. The Funds did not utilize either LOC during the period ended February 29, 2016.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 29, 2016 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	5,570,056	$	8,036,328	$	—	$	—
2015 Fund		1,430,829		2,146,551		—		—
2020 Fund		18,040,135		20,271,216		—		—
2025 Fund		6,243,874		5,348,129		—		—
2030 Fund		18,712,779		18,296,085		—		—
2035 Fund		5,928,700		4,621,413		—		—
2040 Fund		12,286,089		10,930,944		—		—
2045 Fund		3,325,508		2,038,084		—		—
2050 Fund		8,120,830		5,667,426		—		—
2055 Fund		2,242,354		702,011		—		—
Conservative Allocation Fund		18,487,536		21,531,734		—		—
Moderate Allocation Fund		27,322,602		33,829,484		—		—
Balanced Allocation Fund		73,461,526		76,982,888		—		—
Growth Allocation Fund		26,337,504		29,094,570		—		—
Aggressive Allocation Fund		32,490,529		41,144,857		—		—

8. Federal Tax Information

The timing and character of income and capital gain distributions are determined in accordance with income tax regulations, which may differ from GAAP. These differences are due in part to differing treatment of wash sales.

To the extent that differences arise that are permanent in nature, such amounts are reclassified within the capital accounts, on the Statements of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the NAV of the Funds.

52

BMO Funds

The Funds complied with the FASB interpretation Accounting for Uncertainty in Income Taxes, which provides guidance for how uncertain tax provisions should be recognized, measured, presented, and disclosed in the financial statements. Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 29, 2016. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.

	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
In-Retirement Fund	$	18,807,160	$	2,131,477	$	(794,764	)	$	1,336,713
2015 Fund		4,531,124		4,357		(388,440	)		(384,083	)
2020 Fund		77,155,004		12,438,624		(3,648,109	)		8,790,515
2025 Fund		31,586,213		3,423		(3,613,626	)		(3,610,203	)
2030 Fund		82,096,674		13,529,227		(5,182,833	)		8,346,394
2035 Fund		31,642,724		11,680		(3,959,196	)		(3,947,516	)
2040 Fund		51,179,907		9,880,574		(3,108,577	)		6,771,997
2045 Fund		16,819,275		8,082		(2,194,803	)		(2,186,721	)
2050 Fund		35,581,384		5,117,450		(2,912,791	)		2,204,659
2055 Fund		6,165,792		10,078		(738,024	)		(727,946	)
Conservative Allocation Fund		135,276,821		8,125,706		(6,069,450	)		2,056,256
Moderate Allocation Fund		132,597,784		13,055,339		(7,347,207	)		5,708,132
Balanced Allocation Fund		428,764,339		76,923,108		(24,971,531	)		51,951,577
Growth Allocation Fund		122,361,087		24,889,889		(9,464,804	)		15,425,085
Aggressive Allocation Fund	��	178,325,636		50,798,840		(10,207,202	)		40,591,638

The tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2015 and 2014 was as follows:

	2015				2014
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
In Retirement Fund	$	920,536	$	1,258,215	$	468,073	$	2,170
2015 Fund		38,413		428		—		43,462
2020 Fund		2,879,598		2,699,335		1,838,615		—
2025 Fund		142,313		1,794		—		—
2030 Fund		2,387,859		2,107,177		1,687,505		6,637
2035 Fund		69,366		2,463		—		—
2040 Fund		1,603,878		1,351,612		1,248,014		9,765
2045 Fund		25,677		2,093		—		—
2050 Fund		881,509		720,139		566,270		1,149
2055 Fund		17,467		1,351		—		—
Conservative Allocation Fund		2,754,573		1,211,440		—		—
Moderate Allocation Fund		2,924,437		834,575		—		—
Balanced Allocation Fund		11,258,227		3,026,489		—		—
Growth Allocation Fund		2,621,083		329,073		—		—
Aggressive Allocation Fund		3,503,157		468,344		—		—

(1) For tax purposes, short-term capital gain distributions are considered ordinary income.

53

Notes to Financial Statements (continued)

As of August 31, 2015, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)
In Retirement Fund	$	343,633	$	1,370,028	$	—		$	2,682,959
2015 Fund		68,961		45,055		—			(209,042	)
2020 Fund		1,322,956		5,022,689		—			15,712,973
2025 Fund		234,683		248,669		(10,256	)		(1,339,009	)
2030 Fund		917,471		3,990,966		—			17,018,515
2035 Fund		197,368		80,199		—			(1,253,065	)
2040 Fund		475,422		3,627,185		—			12,982,248
2045 Fund		75,536		41,095		(7,854	)		(640,206	)
2050 Fund		201,986		1,380,197		(2,212	)		6,252,274
2055 Fund		15,451		28,367		(1,779	)		(214,412	)
Conservative Allocation Fund		2,144,698		2,772,230		—			8,043,669
Moderate Allocation Fund		1,686,550		4,857,344		(16,266	)		14,498,368
Balanced Allocation Fund		4,478,091		30,741,166		—			97,186,271
Growth Allocation Fund		976,458		8,459,185		—			30,536,730
Aggressive Allocation Fund		1,278,329		14,447,528		—			67,617,245

As of August 31, 2015, the 2025, 2045, 2050, 2055, and Moderate Allocation Funds had $10,256, $7,854, $2,212, $1,779, and $16,266, respectively, of post-October losses, which are deferred until fiscal year 2015 for tax purposes. Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first day of the Fund’s next taxable year.

9. Recently Issued Accounting Pronouncements and Money Market Reform

In May 2015, the FASB issued ASU No. 2015-07 (“ASU 2015-07”) eliminating the requirement for investments measured at net asset value to be categorized within the fair value hierarchy under GAAP and requiring the disclosure of sufficient information to reconcile the fair value of the remaining assets categorized within the fair value hierarchy to the financial statements. ASU 2015-07 is effective for interim and annual reporting periods beginning after December 15, 2015. Management has reviewed the requirements and believes the adoption of ASU 2015-07 will not have a material impact on the financial statements.

On July 23, 2014, the Securities and Exchange Commission (“SEC”) adopted changes to the rules that govern money market funds. These rule changes create new definitions for government money market funds and retail money market funds and require institutional money market funds to operate with a floating NAV. Retail and government money market funds will be permitted to continue to transact at a constant NAV. Additionally, non-government money market funds are required to adopt policies and procedures to allow for a fund’s Board of Directors to impose liquidity fees and redemption gates if the fund’s weekly liquid assets fall below the regulatory threshold set by the SEC. The date for compliance with the floating NAV and liquidity fees and redemption gate requirements is no later than October 14, 2016.

10. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

54

NOTES

55

NOTES

56

This report is authorized for distribution to prospective investors only when preceded or accompanied by the Funds’ prospectuses, which contain facts concerning each Fund’s objective and policies, management fees, expenses, and other information.

Proxy Voting

A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the Funds’ Statement of Additional Information, which is available on the Funds’ website at http://www.bmofunds.com and on the SEC’s website at http://www.sec.gov.

Each Fund’s proxy voting record for the most recent 12-month period ended June 30 is available without charge, upon request, by calling toll free, 1-800-236-FUND (3863) and by accessing the SEC’s website at http://www.sec.gov.

Disclosure of Portfolio Holdings

The Funds file their complete schedules of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. Each Fund’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330.

Shares of the BMO Funds are not bank deposits or other obligations of, or issued, endorsed or guaranteed by, BMO Harris Bank, NA, or any of its affiliates. Shares of the BMO Funds, like shares of all mutual funds, are not insured or guaranteed by the U.S. government, the Federal Deposit Insurance Corporation, the Federal Reserve Board, or any other government agency. Investment in mutual funds involves investment risk, including the possible loss of principal.

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

Investment products are: NOT FDIC INSURED — NO BANK GUARANTEE — MAY LOSE VALUE.

© 2016 BMO Financial Corp. (3/16)

Item 2. Code of Ethics.

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Except as noted below, the schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form. The schedules of investments for BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund, are filed under this Item.

Ultra Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 29, 2016

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 98.5%
Alabama — 3.2%
Bessemer Governmental Utility Services Corp., 0.290%, 12/1/2030 (6) (8)	$	5,085,000	$	5,085,000
City of Brundidge, AGM:
2.000%, 12/1/2017		380,000		389,618
2.000%, 12/1/2018		385,000		392,761
Health Care Authority for Baptist Health, 0.550%, 11/1/2042 (8)		14,125,000		14,125,000
				19,992,379
Arizona — 1.7%
Arizona Health Facilities Authority:
1.860%, 2/5/2020, Call 8/9/2019 (8)		3,250,000		3,332,972
1.860%, 2/5/2020, Call 8/9/2019 (8)		750,000		769,148
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2018		300,000		328,926
County of Mohave, AGC, 4.125%, 4/1/2017		100,000		103,913
Industrial Development Authority of the County of Pima:
4.000%, 7/1/2016		305,000		306,751
5.000%, 9/1/2017		250,000		266,690
Maricopa County Pollution Control Corp., 1.750%, 5/30/2018 (8)		500,000		506,730
Scottsdale Industrial Development Authority, 5.000%, 9/1/2016		140,000		143,150
Scottsdale Industrial Development Authority, FSA, 0.550%, 9/1/2045, Call 3/1/2016 (8) (12)		4,275,000		4,275,000
Yuma County Elementary School District No. 1 Yuma, BAM, 3.000%, 7/1/2017		175,000		180,192
				10,213,472
Arkansas — 1.8%
Arkansas Development Finance Authority:
0.650%, 9/1/2044, Call 3/1/2016 (8)		6,000,000		6,000,000
1.110%, 9/1/2019, Call 3/1/2019 (8)		3,000,000		3,006,630
3.000%, 2/1/2017		345,000		350,420
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		700,000		700,329
City of Fort Smith, 2.375%, 5/1/2027, Call 5/1/2022		125,000		125,054
City of Little Rock, 1.250%, 4/1/2033, Call 4/1/2016		40,000		40,032
City of North Little Rock, 2.625%, 5/1/2016		350,000		350,609
County of Crawford, AGM:
1.850%, 9/1/2024, Call 9/1/2021		200,000		206,030
3.000%, 9/1/2017		175,000		181,238
				10,960,342
California — 10.2%
Anaheim Public Financing Authority, 5.000%, 5/1/2017		500,000		525,835
Bay Area Toll Authority:
1.000%, 4/3/2017, Call 10/1/2016 (8)		8,000,000		8,027,200
1.110%, 4/1/2024, Call 10/1/2023 (8)		1,750,000		1,737,032
BB&T Municipal Trust, 0.710%, 11/15/2017 (6) (8)		1,764,189		1,765,777
California County Tobacco Securitization Agency:
4.000%, 6/1/2016		500,000		504,140
4.000%, 6/1/2017		615,000		637,054
California Health Facilities Financing Authority, NATL-RE, 0.490%, 7/1/2022, Call 3/1/2016 (8) (12)		1,100,000		1,054,237
California Housing Finance Agency, 0.850%, 8/1/2016		50,000		49,972
California Infrastructure & Economic Development Bank, 0.290%, 4/2/2018, Call 1/2/2018 (8)		550,000		545,446
California Municipal Finance Authority, 5.000%, 7/1/2016		100,000		101,231
California Pollution Control Financing Authority, 0.450%, 5/2/2016 (6) (8)		2,500,000		2,500,150
California Statewide Communities Development Authority:
3.500%, 11/1/2018		700,000		704,536
5.250%, 12/1/2027, Call 12/1/2017		1,250,000		1,351,850
California Statewide Communities Development Authority, AGM, 2.000%, 10/1/2016		120,000		120,724

California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016	1,000,000		1,010,250
Carson Redevelopment Agency Successor Agency, 4.000%, 10/1/2017	1,265,000		1,329,363
Chabot-Las Positas Community College District, AMBAC:
8/1/2020, Call 8/1/2016	265,000		218,617
8/1/2026, Call 8/1/2016	175,000		106,823
City of Sacramento:
2.000%, 9/1/2016	150,000		150,924
2.000%, 9/1/2017	200,000		202,190
Compton Unified School District, AMBAC, 0.000%, 6/1/2016	385,000		384,361
County of San Joaquin, 3.000%, 4/1/2017	150,000		153,664
Deutsche Bank Spears/Lifers Trust, 0.310%, 8/1/2047 (6) (8)	16,159,000		16,159,000
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2016	200,000		203,162
Hemet Unified School District, 0.660%, 10/3/2016 (8)	2,400,000		2,400,288
Imperial Community College District, AGM, 0.000%, 8/1/2016	180,000		179,293
Inglewood Unified School District School Facilities Financing Authority, AGM, 5.000%, 10/15/2016	100,000		102,446
Kaweah Delta Health Care District, 4.000%, 6/1/2016	490,000		494,268
Lynwood Unified School District, 5.000%, 8/1/2017	1,500,000		1,588,875
Marysville Joint Unified School District, NATL-RE FGIC, 3.875%, 8/1/2016, Call 3/31/2016	40,000		40,506
Mendota Unified School District, 0.000%, 8/1/2018, Call 3/31/2016	1,275,000		1,183,799
Montebello Unified School District, NATL-RE FGIC, 0.000%, 8/1/2016	300,000		298,821
Northern California Gas Authority No. 1:
1.010%, 7/1/2017 (8)	65,000		64,744
1.040%, 7/1/2019 (8)	7,500,000		7,335,150
Puttable Floating Option Tax-Exempt Receipts, 0.440%, 8/1/2030, Call 3/31/2016 (6) (8)	3,490,000		3,490,000
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 0.290%, 8/1/2037, Call 8/1/2017 (6) (8)	2,500,000		2,500,000
State of California, 1.128%, 12/3/2018, Call 6/1/2018 (8)	950,000		958,084
Successor Agency to the Richmond County Redevelopment Agency, BAM, 4.000%, 9/1/2017	400,000		420,756
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2016 (8)	2,000,000		2,004,260
			62,604,828
Colorado — 1.6%
Auraria Higher Education Center:
6.000%, 5/1/2016	149,000		150,387
6.000%, 5/1/2017	159,000		168,669
City & County of Denver, AGC, 0.300%, 11/15/2025, Call 3/1/2016 (8) (12)	525,000		525,000
Colorado Educational & Cultural Facilities Authority:
3.000%, 6/1/2016	255,000		255,806
3.000%, 8/15/2016	150,000		151,964
3.000%, 8/15/2017	175,000		181,780
3.000%, 11/15/2017	190,000		197,043
Colorado Health Facilities Authority:
4.000%, 2/1/2017	310,000		317,068
4.000%, 2/1/2018	175,000		182,434
County of Montrose, 4.000%, 12/1/2017	385,000		401,978
Denver Health & Hospital Authority:
5.000%, 12/1/2019, Call 12/1/2016	200,000		205,992
5.000%, 12/1/2020, Call 12/1/2016	1,730,000		1,781,294
E-470 Public Highway Authority, 1.190%, 8/31/2017, Call 3/1/2017 (8)	4,600,000		4,613,524
E-470 Public Highway Authority, NATL-RE, 5.250%, 9/1/2016	50,000		51,177
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2016	500,000		518,170
Rangely Hospital District, 5.000%, 11/1/2016	330,000		337,187
		��	10,039,473
Connecticut — 1.0%
City of New Britain, AGM, 4.000%, 3/1/2017	1,250,000		1,290,425
State of Connecticut, 0.270%, 1/1/2018, Call 3/1/2016 (8)	5,000,000		5,000,000
			6,290,425
Delaware — 0.0%
Delaware State Health Facilities Authority, 3.000%, 6/1/2016	200,000		200,962
District of Columbia — 1.4%
Deutsche Bank Spears/Lifers Trust, 0.260%, 6/1/2031, Call 6/1/2021 (6) (8)	8,185,000		8,185,000
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 3/31/2016	390,000		391,166
			8,576,166

Florida — 3.0%
Brevard County Health Facilities Authority, 5.000%, 4/1/2016	175,000	175,654
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2017	1,000,000	1,054,200
Citizens Property Insurance Corp., NATL-RE, 5.000%, 3/1/2017	1,720,000	1,797,039
City of Lakeland, 5.000%, 10/1/2017	1,500,000	1,604,955
City of Port Orange, 2.000%, 10/1/2016	265,000	267,568
City of Port St. Lucie, 4.000%, 9/1/2016	100,000	101,781
City of Tampa, 3.000%, 9/1/2016	800,000	810,304
Columbia County School Board, 5.000%, 7/1/2018	880,000	957,158
County of Bay, 3.500%, 9/1/2016	95,000	94,908
County of Volusia, 5.250%, 10/1/2017	1,000,000	1,073,890
Dupree Lakes Community Development District, BAM, 3.000%, 5/1/2016	100,000	100,362
Florida Governmental Utility Authority, 2.000%, 10/1/2016	245,000	246,732
Florida Higher Educational Facilities Financial Authority, 4.000%, 4/1/2016	100,000	100,273
Florida Municipal Power Agency, AMBAC:
0.480%, 10/1/2021 (8) (12)	325,000	304,912
0.502%, 10/1/2021, Call 3/3/2016 (8) (12)	250,000	234,548
Highlands County Health Facilities Authority, 5.125%, 11/15/2023, Call 11/15/2016 (8)	750,000	774,525
Miami-Dade County School Board Foundation, Inc., NATL-RE, 5.000%, 5/1/2018, Call 5/1/2017	300,000	315,213
North Sumter County Utility Dependent District, 5.000%, 10/1/2017	225,000	238,795
Orange County Health Facilities Authority, 3.000%, 8/1/2017	625,000	640,425
Palm Beach County Health Facilities Authority, 3.000%, 12/1/2016	465,000	472,607
Southeast Overtown Park West Community Redevelopment Agency, 4.000%, 3/1/2016 (6)	2,000,000	2,000,000
Sumter County Industrial Development Authority:
3.000%, 7/1/2016	1,620,000	1,633,608
4.000%, 7/1/2017	1,180,000	1,230,882
4.000%, 7/1/2019	620,000	668,025
Suncoast Community Development District, 2.000%, 5/1/2016	170,000	170,376
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2016	1,500,000	1,503,000
		18,571,740
Georgia — 9.3%
Appling County Development Authority:
0.180%, 9/1/2029, Call 3/1/2016 (8)	12,300,000	12,300,000
0.180%, 9/1/2041, Call 3/1/2016 (8)	10,500,000	10,500,000
Bartow County Development Authority, 2.375%, 8/10/2017 (8)	1,000,000	1,020,560
Burke County Development Authority:
0.180%, 7/1/2049, Call 3/1/2016 (8)	5,000,000	5,000,000
1.550%, 6/21/2016 (8)	265,000	265,498
1.750%, 6/1/2017 (8)	500,000	504,935
City of Atlanta:
1.791%, 11/1/2018, Call 5/1/2018 (8)	2,750,000	2,807,282
5.000%, 1/1/2017	4,160,000	4,313,338
Downtown Dalton Development Authority, NATL-RE, 5.500%, 8/15/2017	130,000	134,296
Effingham County Industrial Development Authority, 0.180%, 2/1/2038, Call 3/1/2016 (8)	7,000,000	7,000,000
Fulton County Development Authority, 5.000%, 3/15/2016	1,465,000	1,467,359
Georgia Housing & Finance Authority, FHA, 0.000%, 12/1/2016	325,000	299,273
Milledgeville & Baldwin County Development Authority, AMBAC, 0.910%, 10/1/2016 (8)	215,000	214,650
Monroe County Development Authority, 0.180%, 11/1/2048, Call 3/1/2016 (8)	11,300,000	11,300,000
Private Colleges & Universities Authority, 4.000%, 10/1/2017	110,000	114,815
		57,242,006
Guam — 0.1%
Territory of Guam, 3.000%, 11/15/2017	300,000	310,293
Idaho — 1.4%
Idaho Housing & Finance Association, 0.260%, 1/1/2038, Call 3/1/2016 (8)	8,800,000	8,800,000
Illinois — 5.9%
Arlington Heights Park District, 5.000%, 12/1/2017	170,000	182,466
Chicago Board of Education, 4.010%, 3/1/2017, Call 9/1/2016 (8)	4,250,000	4,039,030
Chicago Board of Education, AGM, 5.000%, 12/1/2018, Call 12/1/2016	250,000	255,920
Chicago Housing Authority, FSA, 5.000%, 7/1/2026, Call 7/1/2016	430,000	436,269
City of Burbank, 3.450%, 12/1/2016	500,000	510,375
City of Burbank, BAM:
3.000%, 12/1/2016	500,000	508,710
3.000%, 12/1/2017	1,040,000	1,076,608

City of Chicago, 4.000%, 1/1/2017	1,250,000	1,276,850
City of Chicago, AGM:
4.250%, 11/1/2018	150,000	160,881
5.000%, 1/1/2019, Call 3/31/2016	250,000	250,878
City of Decatur, 3.000%, 3/1/2016	250,000	250,000
City of Rockford, BAM, 5.000%, 12/15/2017	1,600,000	1,715,472
City of Springfield:
5.000%, 3/1/2016	300,000	300,000
5.000%, 3/1/2017	350,000	364,602
City of Waukegan, 3.000%, 12/30/2016	425,000	432,034
City of Waukegan, AGM, 2.000%, 12/30/2016	515,000	519,305
Cook County Community Consolidated School District No. 15 Palatine, NATL-RE, 0.000%, 12/1/2017	250,000	243,230
Cook County School District No. 123 Oak Lawn, NATL-RE, 0.000%, 12/1/2016	210,000	207,677
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	3,350,000	3,354,690
2.700%, 5/15/2016	375,000	375,788
4.000%, 11/15/2017	200,000	210,156
4.700%, 2/1/2025, Call 2/1/2017	25,000	25,949
5.000%, 8/15/2016	280,000	284,936
5.000%, 12/15/2016, Call 3/31/2016	100,000	100,019
5.000%, 7/1/2017	140,000	145,999
5.000%, 11/15/2018	350,000	383,754
5.000%, 11/15/2019	605,000	679,760
Illinois Housing Development Authority, 1.000%, 8/1/2017, Call 8/1/2016	2,350,000	2,351,433
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2017	1,865,000	1,932,961
Lake County Forest Preserve District, 0.823%, 12/15/2020 (8)	450,000	448,785
Lockport Township Park District, AMBAC, 0.000%, 11/1/2016	125,000	123,714
McHenry County Community Consolidated School District No. 47 Crystal Lake, AGM, 5.000%, 2/1/2018	210,000	226,903
McHenry County Community Unit School District No. 12 Johnsburg, AGM, 4.000%, 1/1/2018	125,000	132,290
Northeastern Illinois University, BAM:
3.000%, 7/1/2016	235,000	236,748
3.000%, 7/1/2017	120,000	123,318
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2018	1,150,000	1,233,525
Quad Cities Regional Economic Development Authority, 3.000%, 10/1/2016	200,000	202,518
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2017	20,000	21,053
Southwestern Illinois Development Authority, AGM:
5.250%, 12/1/2020, Call 12/1/2017	275,000	295,306
5.250%, 2/1/2023, Call 2/1/2017	1,165,000	1,211,309
St. Clair County Community Consolidated School District No. 90 O’Fallon, AGM, 2.800%, 12/1/2016	145,000	147,223
State of Illinois:
4.000%, 4/1/2016	350,000	350,931
4.000%, 7/1/2016	100,000	101,008
5.000%, 4/1/2016	1,000,000	1,003,470
5.000%, 5/1/2017	500,000	521,065
5.000%, 1/1/2018	2,000,000	2,120,100
Town of Cicero, AGM, 4.000%, 1/1/2017	1,900,000	1,951,965
Village of Bensenville, CIFG, 5.000%, 4/1/2016	80,000	80,195
Village of Cary, RADIAN, 4.400%, 3/1/2016	105,000	105,000
Village of Franklin Park, BAM, 4.000%, 10/1/2017	95,000	99,817
Village of Gilberts, BAM, 1.500%, 3/1/2017	300,000	300,501
Village of Lansing, AGM, 3.000%, 3/1/2017	860,000	878,275
Village of Lyons, AGM, 5.000%, 12/1/2016	325,000	335,156
Village of Plainfield:
2.000%, 12/15/2016	125,000	126,504
2.000%, 12/15/2017	130,000	132,826
Will & Kankakee Counties School District No 255, 4.000%, 6/1/2017	1,030,000	1,070,850
Will County Elementary School District No. 122, AGM, 0.000%, 11/1/2016	130,000	128,959
		36,285,066
Indiana — 4.2%
Center Grove Community School Corp.:
2.000%, 7/1/2016	475,000	476,748
2.000%, 1/1/2017	495,000	498,906
2.000%, 7/1/2017	500,000	505,645
City of Goshen, NATL-RE, 3.800%, 1/1/2018, Call 3/31/2016	615,000	615,959

City of Indianapolis Department of Public Utilities, NATL-RE, 3.500%, 6/1/2017	200,000	206,824
Clark-Pleasant Community School Building Corp., SAW, 4.000%, 1/15/2018	910,000	965,064
County of Jasper, NATL-RE:
5.600%, 11/1/2016	200,000	206,126
5.600%, 11/1/2016	600,000	618,378
County of Lake:
2.000%, 7/15/2016	555,000	558,391
2.000%, 1/15/2017	285,000	287,576
Gary Community School Corp., SAW, 2.000%, 1/15/2017	520,000	527,098
Hamilton Southeastern Consolidated School Building Corp., 5.000%, 1/15/2018	900,000	972,864
Indiana Finance Authority:
0.480%, 6/1/2016 (8)	5,000,000	5,000,000
5.000%, 9/15/2016	500,000	510,770
5.000%, 3/1/2017	930,000	956,403
Indiana Health & Educational Facilities Financing Authority:
4.100%, 11/3/2016 (8)	100,000	102,535
5.250%, 3/1/2016	590,000	590,000
5.250%, 3/1/2016	370,000	370,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2017	1,000,000	1,053,300
La Porte Community School Corp.:
2.000%, 6/30/2016	960,000	964,070
2.000%, 12/30/2016	865,000	873,010
Tender Option Bond Trust Receipts/Certificates, 0.350%, 4/15/2018 (6) (8)	8,500,000	8,500,000
Whitley County Multi School Building Corp.:
3.000%, 7/15/2017	410,000	423,940
3.000%, 1/15/2018	250,000	261,215
		26,044,822
Iowa — 0.6%
City of Randall, 1.250%, 8/1/2016, Call 3/31/2016	3,000,000	3,001,980
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018 (9)	405,000	404,891
		3,406,871
Kansas — 0.5%
Bourbon County Unified School District No. 234-Fort Scott, 3.000%, 9/1/2017	745,000	769,637
Kansas Turnpike Authority, 5.000%, 9/1/2017	1,000,000	1,066,450
Wyandotte County-Kansas City Unified Government, 4.000%, 8/1/2017	900,000	942,795
		2,778,882
Kentucky — 0.8%
Commonwealth of Kentucky, 2.000%, 6/15/2017	275,000	279,950
County of Harrison, 1.500%, 5/1/2017, Call 11/1/2016	3,000,000	3,002,730
Kentucky State Property & Building Commission, 5.250%, 10/1/2017	425,000	456,055
Louisville/Jefferson County Metropolitan Government, 4.000%, 11/15/2017	1,000,000	1,058,110
		4,796,845
Louisiana — 2.6%
City of Bossier City, 2.000%, 10/1/2016	135,000	136,230
City of New Orleans, 4.000%, 6/1/2016	300,000	302,679
East Baton Rouge Sewerage Commission, 0.798%, 8/1/2018, Call 2/1/2018 (8)	6,230,000	6,258,720
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	1,075,000	1,079,709
Louisiana Public Facilities Authority, 0.260%, 7/1/2021, Call 3/3/2016 (8)	1,665,000	1,665,000
Louisiana State Citizens Property Insurance Corp., AMBAC, 5.000%, 6/1/2017, Call 6/1/2016	200,000	202,274
Parish of St. James, 0.430%, 11/1/2040, Call 3/1/2016 (8)	4,000,000	4,000,000
State of Louisiana, 0.768%, 5/1/2018, Call 11/1/2017 (8)	2,500,000	2,491,800
		16,136,412
Maryland — 0.0%
Maryland Community Development Administration:
4.100%, 9/1/2016	60,000	61,069
4.300%, 9/1/2017, Call 3/1/2017	75,000	77,678
		138,747
Massachusetts — 0.3%
Commonwealth of Massachusetts, 0.873%, 11/1/2018, Call 11/1/2017 (8)	750,000	753,533
Massachusetts Bay Transportation Authority, 6.200%, 3/1/2016	35,000	35,000
Massachusetts Development Finance Agency, 0.490%, 1/29/2020, Call 8/1/2019 (8)	500,000	496,615
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.562%, 7/1/2018, Call 3/1/2016 (8) (12)	300,000	289,056
		1,574,204

Michigan — 3.5%
Bay De Noc Community College District, XLCA, 4.000%, 5/1/2016	315,000	316,922
Brownfield Redevelopment Authorities, NATL-RE, 4.000%, 11/1/2017, Call 11/1/2016	100,000	102,415
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2016	1,670,000	1,681,957
Chippewa Hills School District, Q-SBLF:
4.000%, 5/1/2016	685,000	688,836
4.000%, 5/1/2017	735,000	762,298
City of Detroit Sewage Disposal System Revenue, NATL-RE FGIC, 5.250%, 7/1/2016	265,000	268,681
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	100,000	109,491
City of Wayne, AMBAC, 4.000%, 10/1/2017, Call 3/31/2016	300,000	300,537
City of Wyandotte, AGC, 4.000%, 10/1/2016	215,000	219,539
Ecorse Public School District, AGM Q-SBLF, 5.000%, 5/1/2016, Call 3/31/2016	100,000	100,321
Fitzgerald Public School District, BAM:
4.000%, 5/1/2016	625,000	628,469
4.000%, 5/1/2016	1,490,000	1,498,269
4.000%, 5/1/2017	985,000	1,020,765
Grand Traverse County Hospital Finance Authority:
3.000%, 7/1/2016	310,000	312,709
3.000%, 7/1/2017	320,000	330,010
4.000%, 7/1/2016	180,000	182,162
4.000%, 7/1/2017	255,000	266,342
Harbor Beach Community School District, Q-SBLF, 2.000%, 5/1/2017	75,000	76,099
Healthsource Saginaw, Inc., 4.000%, 5/1/2017	200,000	208,212
Michigan Finance Authority:
4.000%, 6/1/2017	100,000	103,712
5.000%, 7/1/2016	1,000,000	1,012,940
5.000%, 7/1/2016	2,000,000	2,029,160
Michigan State Building Authority, 5.000%, 10/15/2017	30,000	32,166
Michigan State Building Authority, AGC FGIC:
10/15/2018, Call 10/15/2016	30,000	27,360
10/15/2018, Call 10/15/2016	135,000	123,069
Mount Clemens Community School District, Q-SBLF, 4.000%, 5/1/2017	1,655,000	1,713,719
Newaygo County Regional Educational Service Agency, 2.000%, 5/1/2016	75,000	75,143
Roseville Community Schools, Q-SBLF, 5.000%, 5/1/2017	250,000	262,020
Star International Academy:
3.150%, 3/1/2016	130,000	130,000
3.400%, 3/1/2017	375,000	378,551
Taylor Tax Increment Finance Authority, AGM:
2.000%, 5/1/2016	1,245,000	1,248,772
4.000%, 5/1/2020, Call 3/31/2016	785,000	787,033
4.000%, 5/1/2021, Call 3/31/2016	600,000	601,050
Waterford School District, AGM, 5.000%, 8/1/2017	870,000	921,034
Wayne County Airport Authority, 5.000%, 12/1/2017	250,000	268,423
Wayne-Westland Community Schools, Q-SBLF, 5.000%, 5/1/2017	1,060,000	1,108,940
White Cloud Public Schools, Q-SBLF:
4.000%, 5/1/2016	110,000	110,653
4.000%, 5/1/2017	245,000	254,680
4.000%, 5/1/2018	215,000	229,470
4.000%, 5/1/2019	175,000	191,524
Zeeland Public Schools:
4.000%, 5/1/2016	300,000	301,704
4.000%, 5/1/2017	500,000	518,865
		21,504,022
Minnesota — 1.3%
City of Crosslake, 2.000%, 12/1/2016	335,000	336,853
City of Hayward, 2.750%, 11/1/2017, Call 5/1/2017	2,000,000	2,001,100
City of Norwood Young America, 1.500%, 8/1/2016, Call 3/31/2016	2,000,000	1,997,340
City of Winona, 2.300%, 7/1/2016	500,000	501,100
St. Cloud Independent School District No. 742, 1.250%, 2/1/2017	170,000	171,018
St. Paul Housing & Redevelopment Authority, 0.850%, 6/1/2017, Call 6/1/2016	3,000,000	3,000,660
		8,008,071

Mississippi — 2.4%
City of D’Iberville, 2.000%, 4/1/2016	265,000	265,156
Mississippi Business Finance Corp.:
0.400%, 5/1/2037, Call 5/1/2016 (8)	6,000,000	5,999,820
0.950%, 12/1/2036, Call 3/1/2016 (8)	8,000,000	8,000,000
Mississippi Development Bank, 5.000%, 4/1/2018	300,000	325,131
		14,590,107
Missouri — 0.7%
City of St. Louis, NATL-RE, 5.500%, 7/1/2016	360,000	365,943
Health & Educational Facilities Authority of the State of Missouri, 3.000%, 2/1/2017	185,000	188,245
Joplin Industrial Development Authority, 4.000%, 2/15/2017	400,000	411,124
Missouri Development Finance Board, 3.000%, 4/1/2016	300,000	300,630
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	270,000	284,799
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 0.018%, 12/1/2022, Call 3/1/2016 (8) (12)	1,750,000	1,612,072
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2016	1,000,000	1,000,800
		4,163,613
Nebraska — 0.5%
Central Plains Energy Project, 5.000%, 6/1/2017	3,000,000	3,165,300
Nevada — 0.4%
State of Nevada:
5.000%, 6/1/2017	475,000	502,156
5.000%, 12/1/2017	550,000	592,630
County of Clark, 5.000%, 7/1/2017	1,260,000	1,334,592
		2,429,378
New Hampshire — 0.1%
New Hampshire Health & Education Facilities Authority, 3.000%, 7/1/2016	755,000	761,470
New Jersey — 8.6%
Casino Reinvestment Development Authority, 4.000%, 11/1/2016	1,500,000	1,519,470
City of Margate City, 5.000%, 2/1/2018	200,000	215,740
County of Middlesex, 3.000%, 6/15/2017	1,625,000	1,676,041
New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 3/1/2016 (8)	6,765,000	6,765,000
0.320%, 11/1/2040, Call 3/1/2016 (8)	5,875,000	5,875,000
0.320%, 11/1/2040, Call 3/1/2016 (8)	4,800,000	4,800,000
0.740%, 2/1/2017, Call 8/1/2016 (8)	3,225,000	3,189,912
1.810%, 2/1/2018, Call 8/1/2017 (8)	500,000	497,495
2.198%, 2/1/2018, Call 8/1/2017 (8)	1,750,000	1,753,850
5.000%, 6/15/2017	250,000	259,545
New Jersey Educational Facilities Authority, 3.000%, 7/1/2017	125,000	128,624
New Jersey Health Care Facilities Financing Authority:
0.300%, 7/1/2028, Call 3/2/2016 (8)	400,000	400,000
0.320%, 7/1/2038, Call 3/1/2016 (8)	3,900,000	3,900,000
0.570%, 7/1/2018, Call 3/1/2016 (8)	100,000	100,000
3.250%, 7/1/2016	515,000	519,748
New Jersey Health Care Facilities Financing Authority, AGC, 0.400%, 7/1/2038, Call 7/1/2019 (6) (8)	7,002,902	7,002,902
New Jersey Higher Education Student Assistance Authority, 5.000%, 6/1/2016	180,000	181,935
New Jersey State Turnpike Authority, 0.710%, 1/1/2017, Call 7/1/2016 (8)	5,000,000	4,998,550
New Jersey Transportation Trust Fund Authority:
1.010%, 12/15/2019, Call 6/15/2019 (8)	5,000,000	4,784,900
5.000%, 12/15/2017	1,200,000	1,275,804
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	277,735
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	135,000	144,564
New Jersey Transportation Trust Fund Authority, NATL-RE, 5.500%, 12/15/2016	2,405,000	2,493,648
New Jersey Turnpike Authority, 0.690%, 1/1/2018, Call 7/1/2017 (8)	200,000	199,744
Newark Housing Authority, 4.000%, 12/1/2017	100,000	105,783
		53,065,990

New Mexico — 0.9%
New Mexico Municipal Energy Acquisition Authority, 1.036%, 8/1/2019, Call 2/1/2019 (8)	5,500,000	5,467,275
New York — 7.3%
Albany Capital Resource Corp.:
3.000%, 12/1/2016	175,000	177,784
3.000%, 12/1/2017	115,000	118,947
Albany Industrial Development Agency, 0.370%, 7/1/2032, Call 3/3/2016 (8)	1,340,000	1,340,000
Chautauqua County Capital Resource Corp., 1.300%, 11/1/2018 (8)	775,000	775,000
City of New York:
0.410%, 8/1/2026, Call 3/1/2016 (8) (12)	50,000	50,000
0.410%, 8/1/2027, Call 10/3/2016 (8)	1,070,000	1,067,154
5.000%, 8/1/2017	250,000	265,763
City of New York, AGC, 0.460%, 10/1/2021, Call 3/7/2016 (8) (12)	100,000	100,000
City of New York, AGM, 0.210%, 11/1/2026 (8)	5,000,000	5,000,000
City of Schenectady, BAM, 3.125%, 5/15/2017	300,000	309,591
City of Yonkers, AGM:
2.000%, 10/15/2016	1,600,000	1,611,488
4.000%, 9/1/2016	95,000	96,497
County of Monroe, AGM NATL-RE, 6.000%, 3/1/2017	100,000	105,284
County of Rockland, 5.000%, 3/1/2016	350,000	350,000
County of Suffolk, AGM, 5.000%, 2/1/2017	1,000,000	1,039,540
Long Island Power Authority, 0.948%, 11/1/2018, Call 5/1/2018 (8)	1,600,000	1,605,136
Metropolitan Transportation Authority, AGM:
0.860%, 11/1/2022, Call 3/17/2016 (8) (12)	3,050,000	2,964,637
0.872%, 11/1/2022, Call 3/2/2016 (8) (12)	3,600,000	3,499,031
0.894%, 5/15/2018, Call 11/15/2017 (8)	4,650,000	4,642,746
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC, 1.188%, 1/1/2030, Call 3/28/2016 (8) (12)	75,000	68,837
New York City Transit Authority/Metropolitan Transportation Authority/Triborough Bridge & Tunnel, AMBAC, 1.193%, 1/1/2030, Call 3/3/2016 (8) (12)	650,000	595,267
New York Local Government Assistance Corp., AGM, 5.250%, 4/1/2016	530,000	532,290
New York State Dormitory Authority:
5.000%, 3/15/2017	750,000	785,685
5.000%, 7/1/2017	960,000	1,014,451
New York State Energy Research & Development Authority, 0.467%, 4/1/2020, Call 3/23/2016 (8) (12)	145,000	140,338
New York State Energy Research & Development Authority, NATL-RE, 0.467%, 12/1/2020, Call 3/1/2016 (8) (12)	7,350,000	7,100,864
Oswego City School District, SAW, 1.000%, 4/21/2016	5,950,000	5,954,700
Rensselaer County Industrial Development Agency, 0.220%, 10/30/2035, Call 3/1/2016 (8)	480,000	480,000
State of New York, NATL-RE FGIC:
0.572%, 2/15/2022, Call 3/3/2016 (8) (12)	1,630,000	1,582,513
0.572%, 2/13/2032, Call 3/3/2016 (8) (12)	1,495,000	1,378,874
Upper Mohawk Valley Regional Water Finance Authority, 4.000%, 4/1/2018	65,000	69,152
Village of Freeport, AGM, 3.000%, 5/1/2017	100,000	102,796
		44,924,365
North Carolina — 0.3%
North Carolina Medical Care Commission, 0.330%, 6/1/2029, Call 6/1/2020 (6) (8)	1,000,000	1,000,000
University of North Carolina at Chapel Hill, 1.036%, 12/1/2017, Call 6/1/2017 (8)	925,000	925,527
		1,925,527
North Dakota — 1.6%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2016	520,000	522,558
4.000%, 5/1/2017	545,000	560,680
4.000%, 5/1/2018	565,000	591,589
4.000%, 5/1/2019	590,000	625,217
City of Bowman, 2.500%, 2/15/2017, Call 8/15/2016	1,650,000	1,651,006
City of Grand Forks, 5.000%, 12/15/2017	850,000	913,708
City of Williston, 5.000%, 5/1/2016	255,000	256,958
City of Williston, AGM, 2.650%, 11/1/2020, Call 3/31/2016	1,865,000	1,866,026
North Dakota Housing Finance Agency, 3.600%, 7/1/2032, Call 7/1/2022	650,000	664,391
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 3/16/2016	2,085,000	2,111,334
		9,763,467
Ohio — 3.6%
County of Crawford, 1.430%, 11/1/2017, Call 5/1/2017	5,000,000	5,004,550
Lancaster Port Authority, 1.006%, 8/1/2019, Call 2/1/2019 (8)	5,000,000	4,993,050
Middletown City School District, 2.000%, 7/8/2016	1,090,000	1,092,540
Painesville City Local School District, 0.000%, 12/1/2016	840,000	832,919
State of Ohio:
0.340%, 1/15/2045, Call 3/1/2016 (8)	5,500,000	5,500,000
0.340%, 1/15/2045, Call 3/1/2016 (8)	5,000,000	5,000,000
		22,423,059

Oregon — 0.4%
Oregon State Facilities Authority, 0.240%, 9/30/2016 (8)	2,150,000	2,150,989
Port of Morrow:
2.000%, 6/1/2016	200,000	200,716
2.000%, 6/1/2017	75,000	76,037
2.000%, 6/1/2017	200,000	202,766
2.000%, 6/1/2018	70,000	71,424
		2,701,932
Pennsylvania — 4.9%
Bethlehem Area School District, SAW, 0.728%, 1/1/2018, Call 7/1/2017 (8)	3,070,000	3,073,162
Bethlehem Area Vocational Technical School Authority, MAC SAW:
0.700%, 9/15/2016	180,000	180,202
1.500%, 9/15/2017	185,000	187,026
County of Cambria, BAM, 4.000%, 8/1/2016	1,035,000	1,048,817
Jim Thorpe Area School District, BAM SAW, 3.000%, 3/15/2017	180,000	184,255
Lehigh County General Purpose Authority, 3.000%, 11/1/2016	455,000	462,498
Montgomery County Industrial Development Authority, 5.000%, 11/15/2016	1,000,000	1,029,100
Mount Pleasant Area School District, 0.000%, 5/15/2017	965,000	954,887
North Penn Water Authority, 0.786%, 11/1/2019, Call 5/1/2019 (8)	2,000,000	2,006,060
Pennsylvania Economic Development Financing Authority, 4.000%, 3/1/2016	500,000	500,000
Pennsylvania Higher Educational Facilities Authority, 1.200%, 11/1/2017 (8)	2,300,000	2,303,013
Pennsylvania Higher Educational Facilities Authority, RADIAN, 5.000%, 12/15/2017, Call 6/15/2016	300,000	303,894
Pennsylvania Turnpike Commission:
0.460%, 12/1/2017, Call 6/1/2017 (8)	560,000	557,284
0.610%, 12/1/2017, Call 6/1/2017 (8)	100,000	99,770
0.690%, 12/1/2018, Call 6/1/2018 (8)	6,000,000	5,978,700
0.890%, 12/1/2020, Call 6/1/2020 (8)	1,800,000	1,782,144
1.160%, 12/1/2019, Call 6/1/2019 (8)	2,225,000	2,228,449
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017	600,000	631,596
Philadelphia Authority for Industrial Development, 4.000%, 10/1/2017	1,250,000	1,315,212
Philadelphia Gas Works Co., AMBAC, 5.000%, 10/1/2016	345,000	353,618
Scranton School District, AGM SAW, 2.000%, 6/15/2017	250,000	253,853
Scranton School District, SAW, 1.290%, 4/2/2018, Call 10/2/2017 (8)	3,000,000	3,006,990
University Area Joint Authority, 0.410%, 11/1/2017, Call 5/1/2017 (8)	1,070,000	1,070,588
Wayne Highlands School District, BAM:
2.000%, 4/1/2016	360,000	360,475
3.000%, 4/1/2017	120,000	122,932
		29,994,525
Puerto Rico — 0.2%
Commonwealth of Puerto Rico, AGM, 5.250%, 7/1/2016	100,000	101,102
Commonwealth of Puerto Rico, NATL-RE, 0.000%, 7/1/2016	270,000	267,146
Puerto Rico Electric Power Authority, 0.000%, 7/1/2017	385,000	368,588
Puerto Rico Electric Power Authority, NATL-RE, 0.000%, 7/1/2017	40,000	38,282
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, 5.000%, 4/1/2016	500,000	499,510
		1,274,628
Rhode Island — 0.2%
Rhode Island Health & Educational Building Corp., NATL-RE, 5.500%, 4/1/2017	1,000,000	1,050,440
Tennessee — 0.1%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, 3.000%, 11/1/2016	510,000	517,278
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	150,000	155,866
		673,144
Texas — 8.8%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (8)	2,000,000	2,001,920
City of Houston:
0.760%, 6/1/2017, Call 12/1/2016 (8)	300,000	299,946
4.000%, 9/1/2017	200,000	209,550
City of Irving, 2.000%, 8/15/2016	140,000	140,809

City of Lewisville, AGM:
2.000%, 9/1/2016	325,000	327,096
2.000%, 9/1/2017	335,000	340,156
4.000%, 9/1/2018	340,000	363,066
Clifton Higher Education Finance Corp., 3.750%, 8/15/2016	485,000	489,651
County of Bexar, AGM, 4.000%, 8/15/2017	370,000	387,804
County of Jones, 4.000%, 9/1/2016	165,000	167,897
Crane County Water District, 4.000%, 2/15/2019	1,000,000	1,077,280
Denton Independent School District, PSF, 2.000%, 8/1/2016 (8)	250,000	251,683
Fort Bend County Municipal Utility District No. 138, BAM:
2.000%, 9/1/2016	200,000	201,004
2.000%, 9/1/2017	200,000	204,462
Fort Bend County Municipal Utility District No. 151, MAC:
2.000%, 9/1/2016	165,000	166,205
2.000%, 9/1/2017	180,000	182,529
Fort Bend County Municipal Utility District No. 50, MAC:
2.000%, 9/1/2016	180,000	181,028
2.000%, 9/1/2017	340,000	344,675
Gainesville Hospital District, AMBAC, 4.000%, 8/15/2016	100,000	101,585
Goose Creek Consolidated Independent School District, PSF, 1.350%, 8/15/2018 (8)	700,000	704,557
Grand Mission Municipal Utility District No. 1, BAM, 2.000%, 9/1/2016	340,000	342,482
Gulf Coast Industrial Development Authority, 0.630%, 11/1/2019, Call 3/1/2016 (8)	2,350,000	2,350,000
Harris County Cultural Education Facilities Finance Corp., 0.410%, 6/1/2016 (8)	1,000,000	1,000,380
Harris County Municipal Utility District No. 165, BAM, 2.000%, 3/1/2016	125,000	125,000
Harris County Municipal Utility District No. 468, AGM, 2.000%, 9/1/2017	100,000	101,959
Houston Independent School District, 5.000%, 9/15/2017	2,025,000	2,164,340
Nolan County Hospital District, 3.000%, 8/15/2016	200,000	202,026
North Texas Tollway Authority:
6.000%, 1/1/2020, Call 1/1/2018	220,000	241,307
6.000%, 1/1/2020, Call 1/1/2018	30,000	32,744
Northpointe Water Control & Improvement District, AGM, 2.000%, 9/1/2016	300,000	301,878
Northside Independent School District, PSF:
1.200%, 8/1/2017 (8)	90,000	90,542
2.125%, 8/1/2020, Call 8/1/2016 (8)	1,980,000	1,992,949
Panhandle-Plains Higher Education Authority, Inc., 1.412%, 10/1/2020, Call 3/1/2016 (8)	50,000	50,024
Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)	2,200,000	2,200,000
0.170%, 4/1/2040, Call 3/1/2016 (8)	6,250,000	6,250,000
0.170%, 4/1/2040, Call 3/1/2016 (8)	2,800,000	2,800,000
0.170%, 11/1/2040, Call 3/1/2016 (8)	10,000,000	10,000,000
Spring Creek Utility District of Montgomery County, BAM, 2.000%, 10/1/2017	375,000	380,321
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	2,525,000	2,560,956
4.000%, 9/1/2017	550,000	575,085
5.000%, 10/1/2017	1,025,000	1,096,217
5.250%, 8/15/2028, Call 8/15/2018	230,000	254,900
Tender Option Bond Trust Receipts/Certificates, 0.290%, 7/1/2021 (6) (8)	8,500,000	8,500,000
Texas Municipal Gas Acquisition & Supply Corp. II:
0.480%, 9/15/2017 (8)	100,000	99,293
1.043%, 9/15/2017 (8)	1,650,000	1,645,545
Travis County Water Control & Improvement District No. 17, BAM:
11/1/2016	390,000	387,972
11/1/2017	250,000	246,055
Walnut Creek Special Utility District, MAC, 2.000%, 1/10/2017	255,000	257,443
		54,392,321
Utah — 0.3%
Utah Associated Municipal Power Systems, 5.000%, 6/1/2017	1,670,000	1,759,011
Vermont — 0.0%
City of Burlington, AGM, 5.000%, 7/1/2016	125,000	126,693
Virginia — 0.2%
Virginia Small Business Financing Authority, 5.000%, 11/1/2017	1,215,000	1,304,898
Washington — 0.8%
Grant County Public Hospital District No. 1, RADIAN, 5.000%, 12/1/2016	325,000	334,243
Pierce County School District No 10 Tacoma, 5.000%, 12/1/2017	2,280,000	2,454,648
Washington Biomed Research Properties 3.2, 5.000%, 1/1/2019	500,000	559,790
Washington Health Care Facilities Authority, 2.500%, 12/1/2017 (6)	500,000	502,465
Washington Higher Education Facilities Authority, 5.000%, 10/1/2016	1,000,000	1,024,100
		4,875,246

West Virginia — 0.0%
Berkeley County Building Commission:
3.000%, 9/1/2016		140,000	141,873
3.000%, 9/1/2017		50,000	51,836
			193,709
Wisconsin — 1.8%
City of Edgerton, 1.750%, 6/1/2017, Call 6/1/2016		1,925,000	1,929,485
City of South Milwaukee, 4.000%, 9/1/2017, Call 9/1/2016		100,000	101,786
City of Weyauwega, 1.500%, 8/1/2016, Call 3/31/2016		2,840,000	2,840,170
County of Langlade:
2.000%, 10/1/2016		350,000	352,698
2.000%, 10/1/2017		365,000	369,665
2.000%, 10/1/2018		100,000	101,463
Raymond School District No. 14, 3.000%, 4/1/2016		75,000	75,170
Town of Salem, 1.375%, 11/1/2018, Call 11/1/2017		1,690,000	1,697,622
Town of Somers:
4.000%, 8/1/2016		400,000	404,756
4.000%, 8/1/2017		435,000	451,304
Wisconsin Center District:
3.000%, 12/15/2016		615,000	622,774
3.000%, 12/15/2017		635,000	648,868
Wisconsin Health & Educational Facilities Authority:
2.250%, 5/1/2016		100,000	100,068
3.000%, 8/15/2016		320,000	323,098
3.000%, 8/15/2017		410,000	419,680
3.300%, 10/1/2016		50,000	50,816
5.000%, 9/1/2016		375,000	382,717
5.000%, 8/15/2021, Call 8/15/2018		150,000	165,254
			11,037,394
Total Municipals (identified cost $606,157,432)			606,539,520
Mutual Funds — 0.3%
New York — 0.3%
Nuveen New York AMT-Free Municipal Income Fund, Preferred Shares, 0.630%, 10/1/2017, Call 3/31/2016 (6) (8)		2,000,000	2,000,100
Total Mutual Funds (identified cost $2,000,000)			2,000,100
Short-Term Investments — 0.6%
Mutual Funds — 0.1%
BMO Tax-Free Money Market Fund - Premier Class, 0.130% (4)		456,185	456,185
Short-Term Municipals — 0.5%
Georgia — 0.0%
Private Colleges & Universities Authority, 3.000%, 10/1/2016	$	150,000	151,888
Illinois — 0.0%
Village of Gilberts, BAM, 1.000%, 3/1/2016		180,000	180,000
New Jersey — 0.0%
New Jersey Educational Facilities Authority, 2.000%, 7/1/2016		200,000	201,026
New York — 0.3%
City of Glens Falls, 1.500%, 11/23/2016, Call 3/31/2016		2,000,000	2,010,660
Ohio — 0.1%
City of Garfield Heights, 1.500%, 6/22/2016		300,000	300,675

Wisconsin — 0.1%
City of Juneau, 2.000%, 3/1/2016 565,000		565,000
Total Short-Term Municipals		3,409,249
Total Short-Term Investments (identified cost $3,854,533)		3,865,434
Total Investments — 99.4% (identified cost $612,011,965)		612,405,054
Other Assets and Liabilities — 0.6%		3,441,603
Total Net Assets — 100.0%	$	615,846,657

(4) Denotes an investment in an affiliated entity. Please refer to Note 6, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2016, these securities amounted to:

Fund	Amount	% of Total Net Assets
Ultra Short Tax-Free Fund	$69,190,394	11.24%

(8) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2016.

(9) Purchased on a when-issued or delayed delivery basis.

(12) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 29, 2016

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 92.9%
Alabama — 0.7%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,104,570
Alabama State Docks Department, NATL-RE, 5.000%, 10/1/2019, Call 10/1/2016		100,000		102,563
County of Jefferson, AGM, 0.864%, 2/1/2042, Call 3/24/2016 (8)		259,832		214,033
				1,421,166
Alaska — 0.5%
Alaska Housing Finance Corp., NATL-RE, 5.250%, 12/1/2021, Call 12/1/2017		100,000		108,111
Alaska Industrial Development & Export Authority, 4.000%, 4/1/2017		200,000		206,986
City of Valdez, 5.000%, 1/1/2021		500,000		565,615
				880,712
Arizona — 1.9%
Arizona Health Facilities Authority:
1.860%, 2/5/2020, Call 8/9/2019 (8)		250,000		256,382
1.860%, 2/5/2020, Call 8/9/2019 (8)		250,000		256,383
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2017		130,000		136,911
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		535,685
Greater Arizona Development Authority, 5.000%, 8/1/2024, Call 8/1/2018		25,000		27,364
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6)		185,000		188,768
McAllister Academic Village LLC, 5.750%, 7/1/2016		95,000		96,685
Phoenix Civic Improvement Corp., 5.500%, 7/1/2019 (15)		100,000		113,144
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		278,090
Salt Verde Financial Corp., 5.000%, 12/1/2016		30,000		30,876
Scottsdale Industrial Development Authority, FSA, 0.550%, 9/1/2045, Call 3/1/2016 (8) (12)		575,000		575,000
State of Arizona, AGM, 5.000%, 7/1/2018		500,000		548,820
Yuma Municipal Property Corp., 2.000%, 7/1/2016		655,000		658,576
				3,702,684
Arkansas — 0.5%
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		230,000		230,108
City of Hot Springs, 5.000%, 12/1/2020		245,000		284,854
City of Little Rock, 1.800%, 4/1/2030, Call 4/1/2016		150,000		150,185
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021		200,000		200,964
DeWitt School District No. 1, SAW, 3.000%, 6/1/2017		100,000		103,173
				969,284
California — 6.5%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		577,370
Bay Area Toll Authority, 1.110%, 4/1/2024, Call 10/1/2023 (8)		500,000		496,295
BB&T Municipal Trust, 0.810%, 11/15/2019 (6) (8)		500,000		501,905
California Health Facilities Financing Authority, NATL-RE:
0.015%, 7/15/2018, Call 3/31/2016 (8) (12)		100,000		97,181
0.490%, 7/1/2022, Call 3/1/2016 (8) (12)		500,000		479,198
California Housing Finance Agency, AGM GO, 0.988%, 2/1/2037, Call 3/3/2016 (8) (12)		10,000		9,443
California Housing Finance Agency, NATL-RE GO, 1.075%, 8/1/2038, Call 3/17/2016 (8) (12) (14)		5,000		4,697
California Pollution Control Financing Authority, 0.450%, 5/2/2016 (6) (8)		1,000,000		1,000,060
California School Finance Authority, 4.000%, 8/1/2018 (6)		300,000		318,795
California State Public Works Board:
5.000%, 4/1/2020		320,000		371,994
5.000%, 11/1/2020, Call 11/1/2019		35,000		39,912
5.125%, 10/1/2022, Call 10/1/2019		245,000		279,038
California Statewide Communities Development Authority, 3.500%, 11/1/2018		100,000		100,648
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017		200,000		205,354
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016		500,000		505,125

California Statewide Communities Development Authority, NATL-RE, 1.110%, 4/1/2028 (8) (12)	75,000	68,302
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	785,963
Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2019, Call 9/1/2016	250,000	255,887
City of Redding, NATL-RE, 0.480%, 7/1/2022 (8) (12)	150,000	140,316
County of San Joaquin, 4.000%, 4/1/2019	225,000	244,906
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	536,735
Golden Empire Schools Financing Authority, 0.210%, 5/1/2016 (8)	1,000,000	999,470
Imperial Unified School District, XLCA, 5.000%, 8/1/2023, Call 3/31/2016	50,000	50,671
Lynwood Unified School District, 5.000%, 8/1/2017	500,000	529,625
Mendota Unified School District, 0.000%, 8/1/2018, Call 3/31/2016	350,000	324,964
Northern California Gas Authority No. 1:
1.010%, 7/1/2017 (8)	70,000	69,724
1.040%, 7/1/2019 (8)	1,040,000	1,017,141
Northern California Transmission Agency, NATL-RE:
0.977%, 5/1/2024, Call 3/1/2016 (8) (12)	200,000	200,000
0.977%, 5/1/2024, Call 3/3/2016 (8) (12)	50,000	50,000
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	470,016
State of California:
0.910%, 5/1/2018, Call 11/1/2017 (8)	180,000	180,590
0.998%, 12/1/2017, Call 6/1/2017 (8)	250,000	250,950
1.128%, 12/3/2018, Call 6/1/2018 (8)	610,000	615,191
Stockton Unified School District, AGM, 5.000%, 8/1/2018, Call 8/1/2017	200,000	212,638
Twin Rivers Unified School District, AGM:
3.200%, 6/1/2020, Call 4/1/2016 (8)	295,000	295,628
3.200%, 6/1/2020, Call 4/1/2016 (8)	245,000	245,439
		12,531,171
Colorado — 2.7%
Auraria Higher Education Center:
6.000%, 5/1/2018	169,000	182,887
6.000%, 5/1/2019	178,000	198,539
City of Burlington, 3.000%, 11/1/2019	100,000	103,011
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)	590,000	593,387
3.000%, 10/1/2017	380,000	391,746
3.000%, 11/15/2017	200,000	207,414
Colorado Health Facilities Authority:
1.875%, 11/6/2019 (8)	400,000	405,196
4.000%, 12/1/2018	250,000	264,450
4.500%, 2/1/2019	250,000	268,172
5.000%, 6/1/2016	55,000	55,578
County of Montrose:
4.000%, 12/1/2018	175,000	186,035
4.000%, 12/1/2019	200,000	215,106
Denver Health & Hospital Authority:
5.000%, 12/1/2017, Call 12/1/2016	275,000	283,258
5.000%, 12/1/2020, Call 12/1/2016	250,000	257,412
E-470 Public Highway Authority, 1.190%, 8/31/2017, Call 3/1/2017 (8)	550,000	551,617
E-470 Public Highway Authority, NATL-RE:
4.500%, 9/1/2016	55,000	56,091
5.000%, 9/1/2017, Call 9/1/2016	300,000	306,552
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	572,135
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	138,290
		5,236,876
Connecticut — 0.4%
Connecticut State Health & Educational Facility Authority, NATL-RE, 5.000%, 7/1/2023, Call 7/1/2017	150,000	158,756
State of Connecticut:
0.890%, 8/15/2018 (8)	250,000	250,530
0.930%, 5/15/2018 (8)	150,000	150,393
0.930%, 9/15/2019 (8)	115,000	114,839
		674,518
Delaware — 0.1%
Delaware State Housing Authority, 4.800%, 1/1/2023, Call 7/1/2018	145,000	150,887

Florida — 7.3%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	571,095
5.000%, 4/1/2021	400,000	467,560
Citizens Property Insurance Corp., 4.250%, 6/1/2017	50,000	52,246
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2016	50,000	50,569
City of Cape Coral, NATL-RE, 5.000%, 7/1/2016	185,000	187,795
City of Margate, AGM, 4.375%, 7/1/2019, Call 3/31/2016	50,000	50,135
City of Miami Gardens, 3.000%, 7/1/2017	250,000	257,922
City of Port St. Lucie:
4.000%, 7/1/2016	425,000	430,104
5.000%, 7/1/2020	295,000	343,899
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	28,824
Columbia County School Board:
5.000%, 7/1/2019	920,000	1,028,900
5.000%, 7/1/2021	400,000	473,672
County of Brevard, AMBAC, 4.000%, 7/1/2017, Call 7/1/2016	250,000	252,255
County of Broward, 5.000%, 10/1/2020	100,000	117,756
County of Broward, AMBAC, 5.000%, 9/1/2020, Call 9/1/2016	100,000	102,169
County of Jackson, 0.100%, 7/1/2022, Call 3/1/2016 (8)	3,330,000	3,330,000
County of Miami-Dade, AGC, 5.000%, 6/1/2017	50,000	52,774
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	352,389
Florida Department of Environmental Protection, AMBAC, 5.000%, 7/1/2017, Call 7/1/2016	105,000	107,650
Florida HomeLoan Corp., GNMA/FNMA COLL, 3.100%, 1/1/2017	295,000	300,906
Florida HomeLoan Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	85,000	89,063
Florida Municipal Power Agency, AMBAC, 0.480%, 10/1/2027, Call 3/2/2016 (8) (12)	575,000	515,993
Florida Municipal Power Agency, NATL-RE FGIC, 0.737%, 10/1/2027 (8) (12)	25,000	22,535
Hillsborough County Industrial Development Authority, 5.000%, 10/1/2021, Call 10/1/2016	200,000	205,540
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	46,793
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018	300,000	325,791
5.000%, 5/1/2019	225,000	252,261
Miami-Dade County School Board, AMBAC, 5.000%, 8/1/2023, Call 8/1/2018	100,000	109,103
Orange County Health Facilities Authority, 3.000%, 8/1/2017	350,000	358,638
Orange County School Board, AGM FGIC, 5.000%, 8/1/2021, Call 8/1/2016	50,000	50,898
Orlando Community Redevelopment Agency, 4.000%, 9/1/2017	70,000	72,168
Pinellas County Educational Facilities Authority, 5.000%, 10/1/2017	300,000	318,786
Pinellas County Health Facilities Authority, NATL-RE, 0.593%, 11/15/2023, Call 3/1/2016 (8) (12)	200,000	187,128
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,130,230
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (6)	250,000	272,380
St. Lucie County School Board, NATL-RE, 5.000%, 10/1/2020, Call 10/1/2016	70,000	71,881
Sumter County Industrial Development Authority:
4.000%, 7/1/2017	500,000	521,560
5.000%, 7/1/2020	235,000	264,290
5.000%, 7/1/2020	300,000	340,593
Tampa Bay Water:
5.000%, 10/1/2017	15,000	16,030
5.000%, 10/1/2017	25,000	26,717
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2016	235,000	235,470
		13,992,468
Georgia — 6.0%
Appling County Development Authority, 0.180%, 9/1/2029, Call 3/1/2016 (8)	1,000,000	1,000,000
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	567,650
Burke County Development Authority, 0.180%, 5/1/2022, Call 3/1/2016 (8)	4,000,000	4,000,000
Burke County Development Authority, AGM, 0.750%, 1/1/2024, Call 3/10/2016 (8) (12)	410,000	396,399
City of Atlanta:
1.791%, 11/1/2018, Call 5/1/2018 (8)	250,000	255,207
6.000%, 11/1/2029, Call 11/1/2019	290,000	343,952
County of DeKalb, 5.000%, 10/1/2020	150,000	176,781
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	483,349
Effingham County Industrial Development Authority, 0.180%, 2/1/2038, Call 3/1/2016 (8)	500,000	500,000
Floyd County Development Authority, 0.180%, 9/1/2026, Call 3/1/2016 (8)	600,000	600,000
Fulton County Development Authority:
4.000%, 3/15/2016	50,000	50,064
5.000%, 3/15/2016	150,000	150,242

Gainesville & Hall County Hospital Authority, 0.960%, 2/18/2020, Call 8/22/2019 (8)	350,000	350,098
Heard County Development Authority, 0.110%, 9/1/2029, Call 3/1/2016 (8)	2,000,000	2,000,000
Heard County Development Authority, AGM, 0.750%, 1/1/2024, Call 3/10/2016 (8) (12)	25,000	23,188
Main Street Natural Gas, Inc.:
5.000%, 3/15/2016	165,000	165,266
5.250%, 9/15/2018	100,000	109,418
Monroe County Development Authority, AGM, 0.753%, 1/1/2020, Call 3/24/2016 (8) (12)	500,000	472,266
		11,643,880
Idaho — 0.1%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	171,480
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	84,428
		255,908
Illinois — 10.1%
Bureau & Putnam Counties High School District No. 500 Princeton Township, BAM, 2.000%, 12/1/2018	400,000	406,760
Chicago Board of Education, 4.010%, 3/1/2017, Call 9/1/2016 (8)	1,000,000	950,360
Chicago O’Hare International Airport:
5.000%, 1/1/2019	200,000	222,248
5.000%, 1/1/2021, Call 1/1/2018	100,000	107,472
5.000%, 1/1/2022	100,000	118,845
Chicago Transit Authority, 5.500%, 6/1/2019, Call 12/1/2018	105,000	115,385
City of Chicago:
5.000%, 1/1/2018	50,000	51,692
5.000%, 1/1/2021	840,000	942,640
City of Chicago, AMBAC, 4.000%, 1/1/2017, Call 3/31/2016	50,000	50,140
City of Chicago, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	175,000	182,252
City of Springfield, 5.000%, 3/1/2016	350,000	350,000
City of Waukegan, 5.000%, 12/30/2020	250,000	287,430
Clyde Park District, AGM, 4.250%, 2/1/2019	500,000	521,645
Cook County High School District No. 209 Proviso Township, AGM, 5.000%, 12/1/2019, Call 12/1/2016 (15)	50,000	51,521
Cook County School District No. 100 South Berwyn, BAM, 2.000%, 12/1/2017	65,000	66,223
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
12/1/2018	170,000	154,350
12/1/2019	100,000	87,430
Cook County Township High School District No. 220 Reavis, 4.000%, 12/1/2017	100,000	105,603
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,144,650
County of Cook, 5.000%, 11/15/2020, Call 11/15/2019	250,000	272,872
County of Winnebago, NATL-RE, 4.250%, 12/30/2019, Call 12/30/2016	50,000	51,327
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2018	350,000	340,508
Du Page & Will Counties Community School District No. 204 Indian Prairie, 2.000%, 12/30/2019, Call 12/30/2017	575,000	585,264
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	1,000,000	1,001,400
2.500%, 5/15/2018	150,000	150,477
4.000%, 10/1/2018	275,000	289,743
5.000%, 8/15/2016	195,000	198,065
5.000%, 7/1/2017	250,000	260,712
5.000%, 2/15/2018	40,000	43,050
5.000%, 11/15/2022	555,000	657,753
5.500%, 8/15/2018	100,000	110,812
Illinois Finance Authority, AGM:
1/1/2018	40,000	39,449
1/1/2018	55,000	53,810
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 3/31/2016	190,000	190,574
Kane County Forest Preserve District, CIFG, 0.000%, 12/15/2024, Call 12/15/2016	500,000	342,085
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,194,770
Kendall, Kane, & Will Counties Community Unit School District No. 308, NATL-RE FGIC, 4.250%, 10/1/2020, Call 10/1/2017	50,000	52,416
Lake County Community High School District No. 117 Antioch, NATL-RE FGIC, 0.000%, 12/1/2016	235,000	232,572
Lake County Forest Preserve District, 0.823%, 12/15/2020 (8)	300,000	299,190
Marion-Clinton Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	194,788
McHenry & Lake Counties Community Consolidated School District No. 15, AGM, 0.000%, 1/1/2018	100,000	97,270

Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	30,000	27,097
Montgomery & Bond Counties Community Unit School District No. 3 Hillsboro, AGM, 4.100%, 12/1/2016	30,000	30,733
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	430,932
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2016	50,000	50,553
5.000%, 6/1/2018	40,000	43,337
Rock Island County Public Building Commission, 3.700%, 12/1/2018	210,000	215,246
Southwestern Illinois Development Authority, AGM, 5.250%, 2/1/2023, Call 2/1/2017	250,000	259,937
State of Illinois:
3.875%, 9/1/2017	100,000	103,346
5.000%, 5/1/2017	250,000	260,532
5.000%, 1/1/2018	1,000,000	1,060,050
5.000%, 4/1/2020	100,000	111,027
State of Illinois, AGM, 4.500%, 9/1/2020, Call 3/31/2016	100,000	100,078
State of Illinois, NATL-RE FGIC, 5.500%, 6/15/2017	30,000	31,868
Town of Cicero, 5.000%, 1/1/2020	500,000	556,950
Town of Cicero, AGM, 4.000%, 1/1/2017	250,000	256,838
United City of Yorkville, AMBAC, 4.000%, 12/30/2018, Call 12/30/2016	145,000	148,479
Village of Bensenville, CIFG, 5.000%, 4/1/2016	150,000	150,366
Village of Maywood, 4.000%, 1/1/2017	500,000	506,010
Village of Round Lake Beach:
2.000%, 1/1/2018	275,000	279,364
2.000%, 1/1/2018	205,000	208,253
Wabash General Hospital District, AMBAC, 4.750%, 9/1/2016	450,000	457,492
Wayne County Public School District No. 112 Fairfield, 3.000%, 12/1/2017	205,000	209,949
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,193,150
Will County School District No. 159 Mokena, 2.000%, 12/1/2018 (9)	110,000	112,001
Will County School District No. 88A Richland, 1.100%, 1/1/2017	30,000	30,096
Winnebago County School District No. 122 Harlem-Loves Park, AGM, 0.000%, 1/1/2017	25,000	24,539
		19,433,776
Indiana — 2.4%
Center Grove Community School Corp., 2.000%, 1/1/2018	505,000	511,727
City of Whiting, 1.850%, 10/1/2019 (8)	1,000,000	1,003,100
County of Jasper, NATL-RE, 5.600%, 11/1/2016	175,000	180,360
County of Lake, 2.000%, 7/15/2017	245,000	248,148
Hammond Local Public Improvement Bond Bank, 5.000%, 8/1/2018, Call 2/1/2018	150,000	157,515
Indiana Finance Authority:
4.000%, 10/1/2017	250,000	262,193
5.000%, 5/1/2020	100,000	115,245
5.000%, 8/15/2020	250,000	279,733
5.250%, 10/1/2022, Call 10/1/2021	150,000	180,702
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	115,902
Indianapolis Local Public Improvement Bond Bank, NATL, 5.000%, 7/1/2017	1,000,000	1,056,720
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	284,167
Vigo County Building Corp., AMBAC, 4.200%, 7/15/2017, Call 3/31/2016	255,000	255,683
		4,651,195
Iowa — 0.5%
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018 (9)	1,000,000	999,730
Kansas — 0.4%
Bourbon County Unified School District No. 234 Fort Scott, 5.000%, 9/1/2020	420,000	486,830
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	93,161
Kansas Development Finance Authority, BAM, 5.000%, 12/1/2019	200,000	224,740
		804,731
Kentucky — 0.5%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	608,185
Kentucky Asset Liability Commission, NATL-RE, 0.813%, 11/1/2017 (8)	55,000	54,815
Kentucky Housing Corp., 4.000%, 7/1/2028, Call 1/1/2023	125,000	130,656
Kentucky State Property & Building Commission, 5.375%, 11/1/2023, Call 11/1/2018	25,000	27,872
Lexington Center Corp., AGC, 4.100%, 10/1/2020, Call 10/1/2017	65,000	68,041
Magoffin County School District Finance Corp., AMBAC, 4.000%, 8/1/2018, Call 8/1/2016	125,000	126,768
		1,016,337

Louisiana — 2.4%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	463,476
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	70,000	70,307
Louisiana Local Government Environmental Facilities & Community Development Authority:
0.998%, 8/1/2018, Call 2/1/2018 (8)	450,000	455,513
4.000%, 8/1/2016	180,000	182,606
Louisiana Public Facilities Authority, 0.010%, 12/1/2043, Call 3/1/2016 (8)	2,000,000	2,000,000
Louisiana Public Facilities Authority, AMBAC, 0.478%, 9/1/2027, Call 3/15/2016 (8) (12)	50,000	44,336
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2018	1,000,000	1,089,950
St. Charles Parish Consolidated Waterworks & Wastewater District No. 1, AMBAC, 5.000%, 7/1/2025, Call 7/1/2017	100,000	105,906
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	127,559
		4,539,653
Maine — 0.1%
City of Portland:
4.000%, 7/1/2019	130,000	139,108
4.000%, 7/1/2020	110,000	118,837
		257,945
Maryland — 0.2%
City of Baltimore, 0.497%, 7/1/2037, Call 3/2/2016 (8) (12)	25,000	21,724
City of Baltimore, NATL-RE, 0.560%, 7/1/2020 (8) (12)	50,000	47,947
Howard County Housing Commission, 1.260%, 7/1/2018, Call 1/1/2018 (8)	150,000	150,090
Maryland Community Development Administration, 4.300%, 9/1/2017, Call 3/1/2017	150,000	155,357
Maryland Community Development Administration, GNMA/FNMA, 4.500%, 3/1/2027, Call 3/1/2021	65,000	66,496
		441,614
Massachusetts — 1.0%
Commonwealth of Massachusetts, NATL-RE FGIC, 0.495%, 12/1/2030, Call 3/3/2016 (8) (12)	100,000	91,244
Massachusetts Development Finance Agency:
0.950%, 7/1/2017, Call 1/1/2017 (8)	1,000,000	1,000,820
4.000%, 4/15/2020	500,000	539,115
Massachusetts Health & Educational Facilities Authority, 3.250%, 7/1/2016	100,000	100,581
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.562%, 7/1/2018, Call 3/1/2016 (8) (12)	100,000	96,352
		1,828,112
Michigan — 5.1%
Avondale School District, Q-SBLF, 5.000%, 11/1/2018	300,000	331,347
City of Detroit Water Supply System Revenue, AGM, 5.000%, 7/1/2020, Call 7/1/2016	25,000	25,336
City of Detroit Water Supply System Revenue, BHAC, 4.000%, 7/1/2017	100,000	104,163
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	200,000	218,982
City of Port Huron, AMBAC, 4.250%, 10/1/2016	100,000	101,354
City of Wyandotte, BAM:
5.000%, 10/1/2017	100,000	106,686
5.000%, 10/1/2018	200,000	217,792
5.000%, 10/1/2019	250,000	277,230
Dexter Community Schools, NATL-RE Q-SBLF, 5.100%, 5/1/2018	225,000	240,426
East Branch of the Willow Creek and Branches Drainage District, AGM, 3.800%, 6/1/2017, Call 3/31/2016	40,000	40,095
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	685,970
Jackson County Hospital Finance Authority, AGM, 4.000%, 6/1/2016	25,000	25,230
Kalamazoo Hospital Finance Authority, 4.000%, 5/15/2016	55,000	55,371
Lake St. Claire Clean Water Initiative, 5.000%, 10/1/2020	150,000	173,646
Lawrence Public Schools, Q-SBLF, 4.000%, 5/1/2018	255,000	271,029
Michigan Finance Authority, 5.000%, 7/1/2016	725,000	734,382
Michigan State Building Authority, AGC FGIC:
10/15/2021, Call 10/15/2016	135,000	106,364
10/15/2021, Call 10/15/2016	115,000	90,261
Michigan State Hospital Finance Authority:
5.000%, 11/15/2018, Call 11/15/2016	200,000	206,222
5.000%, 11/15/2020, Call 11/15/2019	520,000	589,274
Michigan State Housing Development Authority, 4.600%, 12/1/2026, Call 6/1/2021	40,000	42,404
Montrose Community Schools, NATL-RE Q-SBLF, 6.200%, 5/1/2017	385,000	398,152
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	218,668
Orchard View Schools, AGM Q-SBLF, 3.000%, 5/1/2018	500,000	521,980
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6) (8)	2,000,000	2,000,000
Romulus Community Schools, AGM:
3.000%, 11/1/2016	110,000	111,247

4.000%, 11/1/2017	100,000	104,742
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	345,042
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 3/31/2016	270,000	270,473
Wayne County Airport Authority, 5.000%, 12/1/2022	200,000	239,068
Woodhaven-Brownstown School District, Q-SBLF, 4.000%, 5/1/2018	1,000,000	1,065,520
		9,918,456
Minnesota — 0.4%
City of Minneapolis/ St. Paul Housing & Redevelopment Authority, AMBAC, 0.015%, 11/15/2017, Call 3/1/2016 (8) (12)	100,000	98,570
City of Norwood Young America, 1.500%, 8/1/2016, Call 3/31/2016	500,000	499,335
Minnesota Housing Finance Agency, 2.750%, 1/1/2018	160,000	164,998
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2021, Call 11/15/2017	50,000	53,715
		816,618
Mississippi — 1.4%
City of D’Iberville, 2.125%, 4/1/2017	190,000	191,142
Mississippi Business Finance Corp., 0.950%, 12/1/2036, Call 3/1/2016 (8)	500,000	500,000
Mississippi Development Bank:
5.000%, 1/1/2018	1,000,000	1,077,570
5.000%, 8/1/2019	155,000	175,572
Mississippi Development Bank, AGC, 4.000%, 7/1/2017	480,000	492,811
Mississippi Development Bank, AMBAC, 4.375%, 8/1/2021, Call 8/1/2016	50,000	50,270
State of Mississippi, 0.540%, 9/1/2017, Call 3/1/2017 (8)	295,000	295,000
		2,782,365
Missouri — 2.7%
Chesterfield Valley Transportation Development District, 3.250%, 5/15/2028, Call 5/15/2023	250,000	253,850
Health & Educational Facilities Authority of the State of Missouri:
3.750%, 2/1/2017	45,000	46,094
4.000%, 2/1/2018	255,000	267,852
5.000%, 2/1/2024, Call 2/1/2021	250,000	284,410
Health & Educational Facilities Authority of the State of Missouri, AMBAC, 0.467%, 6/1/2020, Call 3/1/2016 (8) (12)	50,000	48,008
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 12/1/2017	1,000,000	1,002,740
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	310,000	326,991
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 0.018%, 12/1/2022, Call 3/1/2016 (8) (12)	805,000	741,553
Southeast Missouri State University, 5.000%, 4/1/2019 (9)	1,000,000	1,119,220
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2016	600,000	600,480
St. Louis Municipal Finance Corp., AMBAC, 5.000%, 2/15/2019, Call 2/15/2017	450,000	464,886
		5,156,084
Nebraska — 0.2%
Central Plains Energy Project, 0.778%, 12/1/2017 (8)	310,000	307,024
Nevada — 1.2%
Clark County School District, 5.000%, 6/15/2018	1,000,000	1,095,550
Clark County School District, NATL-RE FGIC:
5.000%, 6/15/2021, Call 6/15/2017	100,000	108,374
5.000%, 6/15/2023, Call 6/15/2017	175,000	189,203
Las Vegas Valley Water District, 0.250%, 6/1/2036, Call 3/1/2016 (8)	1,000,000	1,000,000
		2,393,127
New Hampshire — 0.1%
New Hampshire Health and Education Facilities Authority Act, 5.250%, 10/1/2023, Call 10/1/2017	250,000	268,063
New Jersey — 2.4%
City of Jersey City, AGM, 4.000%, 2/15/2019	620,000	672,613
New Jersey Economic Development Authority, 2.198%, 2/1/2018, Call 8/1/2017 (8)	250,000	250,550
New Jersey Educational Facilities Authority, 5.000%, 7/1/2020, Call 7/1/2018	20,000	22,075
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2016	15,000	15,224
5.125%, 7/1/2019, Call 7/1/2018	130,000	142,401
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019	420,000	452,466
5.000%, 12/1/2017	370,000	394,723
5.000%, 6/1/2018	100,000	108,374
New Jersey Housing & Mortgage Finance Agency, 4.350%, 10/1/2017, Call 3/16/2016	200,000	200,230

New Jersey State Turnpike Authority, NATL-RE:
0.467%, 1/1/2030, Call 3/1/2016 (8) (12)	25,000	23,015
0.467%, 1/1/2030, Call 3/1/2016 (8) (12)	25,000	23,015
0.480%, 1/1/2030, Call 3/4/2016 (8) (12)	25,000	23,015
0.502%, 1/1/2030, Call 3/3/2016 (8) (12)	500,000	460,298
0.502%, 1/1/2030, Call 3/3/2016 (8) (12)	100,000	92,060
New Jersey Transportation Trust Fund Authority:
1.010%, 12/15/2019, Call 6/15/2019 (8)	475,000	454,565
4.000%, 12/15/2019	75,000	79,592
5.000%, 6/15/2019	150,000	162,930
New Jersey Transportation Trust Fund Authority, AGM-CR, 5.250%, 12/15/2019	250,000	281,403
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	300,000	321,252
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	152,657
5.500%, 12/15/2020	10,000	11,495
Township of Lopatcong, NATL-RE, 4.000%, 9/1/2018, Call 9/1/2017	30,000	31,514
Township of Lyndhurst, XLCA, 3.550%, 10/1/2016	90,000	91,361
West Orange School District, NATL-RE, 5.000%, 10/1/2017, Call 10/1/2016	200,000	204,218
		4,671,046
New Mexico — 1.7%
City of Farmington, 1.875%, 4/1/2020 (8)	1,000,000	1,019,050
County of Bernalillo, 5.750%, 10/1/2017	300,000	317,361
New Mexico Educational Assistance Foundation, 1.114%, 12/1/2020 (8)	110,000	110,001
New Mexico Mortgage Finance Authority, 5.300%, 9/1/2040, Call 9/1/2019	35,000	36,351
New Mexico Municipal Energy Acquisition Authority, 1.036%, 8/1/2019, Call 2/1/2019 (8)	650,000	646,133
Town of Clayton, NATL, 4.000%, 11/1/2017	1,000,000	1,048,950
		3,177,846
New York — 7.7%
City of Buffalo, AGM SAW, 2.375%, 11/15/2017	100,000	102,825
City of New York, AGM, 0.210%, 11/1/2026 (8)	595,000	595,000
County of Nassau, 5.000%, 10/1/2018	1,000,000	1,105,310
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	455,180
Long Island Power Authority, 0.948%, 11/1/2018, Call 5/1/2018 (8)	1,000,000	1,003,210
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017	150,000	157,354
Metropolitan Transportation Authority, 5.000%, 11/15/2021, Call 11/15/2016	150,000	154,592
Metropolitan Transportation Authority, AGM:
0.860%, 11/1/2022, Call 3/17/2016 (8) (12)	500,000	486,006
0.872%, 11/1/2022, Call 3/2/2016 (8) (12)	900,000	874,758
0.894%, 5/15/2018, Call 11/15/2017 (8)	250,000	249,610
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
1.188%, 1/1/2030, Call 3/28/2016 (8) (12)	100,000	91,783
1.192%, 1/1/2030, Call 3/1/2016 (8) (12)	625,000	573,783
1.198%, 1/1/2030, Call 3/2/2016 (8) (12)	100,000	92,216
1.206%, 1/1/2030, Call 4/4/2016 (8) (12)	500,000	461,169
New York City Transitional Finance Authority, 0.210%, 11/1/2022 (8)	1,000,000	1,000,000
New York Local Government Assistance Corp., AGM:
0.570%, 4/1/2017, Call 3/2/2016 (8) (12)	225,000	222,035
0.570%, 4/1/2017, Call 3/3/2016 (8) (12)	75,000	73,794
0.570%, 4/1/2017, Call 3/2/2016 (8) (12)	25,000	24,606
New York Mortgage Agency, 5.000%, 10/1/2019	600,000	685,278
New York State Dormitory Authority:
5.000%, 7/1/2018	1,000,000	1,098,370
5.000%, 12/15/2019	495,000	571,715
5.250%, 2/15/2024, Call 2/15/2019	400,000	450,540
New York State Dormitory Authority, NATL-RE, 0.760%, 7/1/2029, Call 3/7/2016 (8) (12)	625,000	558,846
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (8)	350,000	349,580
New York State Energy Research & Development Authority, NATL-RE, 0.467%, 12/1/2020, Call 3/1/2016 (8) (12)	1,000,000	966,104
New York State Housing Finance Agency, FNMA/FHLMC COLL, 0.900%, 11/1/2017	705,000	705,345
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,127,820
State of New York, AGM, 0.572%, 3/15/2021, Call 3/3/2016 (8) (12)	25,000	24,348
State of New York, NATL-RE FGIC:
0.572%, 2/15/2022, Call 3/3/2016 (8) (12)	580,000	563,103
0.572%, 2/13/2032, Call 3/3/2016 (8) (12)	70,000	64,563
		14,888,843

North Carolina — 0.7%
County of Halifax, NATL-RE, 4.125%, 6/1/2019, Call 6/1/2016	165,000	166,446
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	135,000	147,319
North Carolina Eastern Municipal Power Agency, FGIC, 0.706%, 1/1/2025 (8) (12)	600,000	461,632
University of North Carolina at Chapel Hill, 1.036%, 12/1/2017, Call 6/1/2017 (8)	525,000	525,299
		1,300,696
North Dakota — 0.7%
City of Williston, 5.000%, 5/1/2020	240,000	273,341
North Dakota Housing Finance Agency:
3.600%, 7/1/2032, Call 7/1/2022	265,000	270,867
3.750%, 7/1/2034, Call 7/1/2022	190,000	195,717
3.750%, 7/1/2042, Call 7/1/2022	185,000	191,301
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 3/16/2016	505,000	511,378
		1,442,604
Ohio — 1.6%
Bucyrus City School District, 0.000%, 12/1/2017	155,000	151,457
City of Cleveland, AGM:
5.000%, 1/1/2018	510,000	548,398
5.000%, 1/1/2019	600,000	666,390
City of Cleveland, AMBAC, 5.250%, 1/1/2018	50,000	53,895
City of Harrison:
2.000%, 10/1/2018	180,000	181,537
4.000%, 11/1/2016	50,000	51,154
City of Marysville, XLCA:
5.250%, 12/1/2021, Call 12/1/2016	105,000	108,733
5.250%, 12/1/2021, Call 12/1/2016	45,000	46,627
Lancaster Port Authority, 0.906%, 8/1/2019, Call 2/1/2019 (8)	145,000	144,130
New Lexington City School District, BAM, 1.200%, 12/1/2017	110,000	110,026
Ohio Housing Finance Agency, GNMA/FNMA COLL, 4.000%, 5/1/2022, Call 5/1/2021	115,000	123,416
Pickerington Local School District, NATL-RE, 4.300%, 12/1/2024, Call 12/1/2016	35,000	35,870
State of Ohio, 0.340%, 1/15/2045, Call 3/1/2016 (8)	500,000	500,000
University of Toledo, 5.000%, 6/1/2020	375,000	432,611
		3,154,244
Oklahoma — 0.1%
Oklahoma Municipal Power Authority, 0.810%, 8/1/2018, Call 2/1/2018 (8)	155,000	155,386
Oregon — 0.1%
Port of Morrow, 2.000%, 6/1/2016	100,000	100,358
Pennsylvania — 4.2%
Allegheny County Hospital Development Authority:
1.133%, 2/1/2021, Call 5/1/2016 (8)	130,000	130,356
5.375%, 8/15/2029, Call 8/15/2019	225,000	253,397
Allentown City School District, 5.000%, 2/15/2020, Call 2/15/2018	50,000	53,873
Berks County Municipal Authority, 1.510%, 7/1/2022, Call 7/1/2017 (8)	350,000	358,207
City of Philadelphia, 5.250%, 8/1/2018	100,000	110,250
City of Philadelphia, AGC, 5.125%, 8/1/2025, Call 8/1/2019	100,000	113,043
City of Philadelphia, AMBAC:
5.000%, 10/1/2017	250,000	265,533
5.000%, 10/1/2023, Call 10/1/2017	100,000	106,948
Commonwealth of Pennsylvania:
5.000%, 4/15/2020, Call 4/15/2019	600,000	672,474
5.000%, 3/15/2022	275,000	328,045
Cumberland County Municipal Authority, 5.000%, 1/1/2017	35,000	35,907
Delaware County Vocational & Technical School Authority, BAM:
1.200%, 11/1/2016	140,000	140,813
3.000%, 11/1/2018	120,000	123,565
Delaware Valley Regional Financial Authority, AMBAC, 5.500%, 8/1/2018	130,000	142,169
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	234,410
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	314,526
Monroe County Hospital Authority, 5.000%, 1/1/2017	90,000	93,256
North Penn Water Authority, 0.786%, 11/1/2019, Call 5/1/2019 (8)	800,000	802,424
Northampton County General Purpose Authority, 1.410%, 8/15/2020, Call 2/15/2020 (8)	150,000	150,851
Pennsylvania Economic Development Financing Authority:
1.250%, 5/1/2017 (8)	180,000	180,151
5.000%, 3/1/2020	200,000	225,632

Pennsylvania Turnpike Commission:
0.690%, 12/1/2018, Call 6/1/2018 (8)	90,000	89,681
0.890%, 12/1/2020, Call 6/1/2020 (8)	325,000	321,776
0.990%, 12/1/2021, Call 6/1/2021 (8)	80,000	79,085
1.160%, 12/1/2019, Call 6/1/2019 (8)	600,000	600,930
Pittsburgh Public Parking Authority, NATL-RE, 0.000%, 12/1/2017	50,000	49,360
School District of Philadelphia, 5.000%, 9/1/2018	65,000	71,187
Scranton School District, SAW, 1.290%, 4/2/2018, Call 10/2/2017 (8)	1,000,000	1,002,330
State Public School Building Authority, AGM, 5.000%, 6/1/2019, Call 12/1/2016	100,000	103,369
State Public School Building Authority, FSA, 5.375%, 10/1/2023, Call 10/1/2018	160,000	177,595
State Public School Building Authority, SAW, 1.086%, 9/1/2018, Call 3/1/2018 (8)	690,000	691,483
		8,022,626
Puerto Rico — 0.1%
Commonwealth of Puerto Rico, NATL-RE, 0.000%, 7/1/2016	120,000	118,732
Rhode Island — 0.5%
Rhode Island Turnpike & Bridge Authority, 3.000%, 10/1/2018	275,000	289,394
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	700,000	716,478
		1,005,872
South Carolina — 1.2%
County of Spartanburg, SAW, 5.000%, 4/1/2018	1,000,000	1,089,630
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,141,080
South Carolina Jobs-Economic Development Authority, 4.000%, 7/1/2017	100,000	102,447
		2,333,157
Tennessee — 1.0%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	140,294
Knox County Health Educational & Housing Facility Board, NATL-RE, 0.574%, 1/1/2023, Call 3/3/2016 (8) (12)	50,000	46,218
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 5.000%, 7/1/2018	220,000	237,125
Public Building Authority of Sevier County, 5.000%, 6/1/2018	1,000,000	1,092,290
Public Building Authority of Sevier County, AMBAC, 0.480%, 6/1/2018 (8) (12)	200,000	196,655
Tennessee Energy Acquisition Corp.:
5.000%, 9/1/2016	95,000	97,037
5.250%, 9/1/2020	10,000	11,558
5.250%, 9/1/2021	55,000	64,884
		1,886,061
Texas — 10.3%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (8)	650,000	650,624
Cinco Southwest Municipal Utility District No. 1, BAM, 2.000%, 12/1/2017	310,000	315,292
City of Coppell, 5.750%, 2/1/2023, Call 2/1/2018	50,000	54,916
City of Mission, BAM, 3.000%, 2/15/2017	125,000	127,850
City of The Colony, 6.000%, 2/15/2019	795,000	913,018
City Public Service Board of San Antonio, 3.000%, 12/1/2019 (8)	775,000	827,095
Clifton Higher Education Finance Corp., 5.000%, 8/15/2017	225,000	235,323
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	186,117
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	276,989
Crane County Water District, 3.000%, 2/15/2021	605,000	646,346
Harris County Cultural Education Facilities Finance Corp., 0.840%, 6/1/2021 (8)	350,000	347,714
Harris County Municipal Utility District No. 156, AGM, 4.750%, 9/1/2016	100,000	101,830
Houston Higher Education Finance Corp., 0.410%, 11/16/2016, Call 5/15/2016 (8)	75,000	75,000
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,124,640
Midland Independent School District, PSF, 5.000%, 2/15/2032, Call 3/31/2016	200,000	200,614
Nacogdoches County Hospital District, AGM, 2.000%, 5/15/2016	175,000	175,497
New Hope Cultural Education Facilities Corp., 4.000%, 4/1/2018	225,000	234,297
New Hope Cultural Education Facilities Corp., AGM, 4.000%, 4/1/2020	250,000	272,043
North Texas Higher Education Authority, Inc., 1.512%, 7/1/2030 (8)	165,000	166,638
North Texas Tollway Authority:
0.680%, 1/1/2020, Call 7/1/2019 (8)	350,000	344,200
0.810%, 1/1/2019, Call 7/1/2018 (8)	250,000	248,343
5.000%, 1/1/2022	250,000	298,957
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2016 (8)	730,000	734,774
Panhandle-Plains Higher Education Authority, Inc.:
1.412%, 10/1/2020, Call 3/1/2016 (8)	80,000	80,038
1.862%, 4/1/2035, Call 3/1/2016 (8)	250,000	246,670

Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)	500,000	500,000
0.170%, 12/1/2039, Call 3/1/2016 (8)	2,005,000	2,005,000
0.170%, 4/1/2040, Call 3/1/2016 (8)	2,500,000	2,500,000
0.170%, 4/1/2040, Call 3/1/2016 (8)	1,000,000	1,000,000
0.170%, 11/1/2040, Call 3/1/2016 (8)	1,000,000	1,000,000
Rib Floater Trust Various States, 0.160%, 7/1/2018 (6) (8)	2,000,000	2,000,000
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	700,000	709,968
5.000%, 2/15/2022, Call 2/15/2017	90,000	93,658
Tarrant County Cultural Education Facilities Finance Corp., NATL-RE, 5.000%, 2/15/2021, Call 2/15/2017	180,000	187,403
Texas Municipal Gas Acquisition & Supply Corp., 5.625%, 12/15/2017	520,000	549,671
Texas Municipal Gas Acquisition & Supply Corp. I, 0.893%, 12/15/2017, Call 3/1/2016 (8)	20,000	19,819
Texas Municipal Gas Acquisition & Supply Corp. II, 1.043%, 9/15/2017 (8)	400,000	398,920
		19,849,264
Utah — 0.4%
Salt Lake City Corp., AMBAC, 0.259%, 5/15/2020, Call 3/1/2016 (8) (12)	800,000	788,584
Vermont — 0.2%
City of Burlington, AGM:
5.000%, 7/1/2018	250,000	269,580
5.000%, 7/1/2019	100,000	110,494
		380,074
Virgin Islands — 0.1%
Virgin Islands Public Finance Authority, 2.250%, 10/1/2017	100,000	101,053
Virginia — 0.7%
Henrico County Economic Development Authority, 4.000%, 11/1/2016	100,000	102,327
Henrico County Economic Development Authority, AGM, 0.763%, 8/23/2027, Call 3/1/2016 (8) (12)	1,350,000	1,258,376
		1,360,703
Washington — 0.7%
City of Tacoma, 5.750%, 12/1/2017	100,000	108,721
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	406,591
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	285,000	294,337
NJB Properties, County Guarantee, 5.000%, 12/1/2021, Call 12/1/2016	100,000	103,446
Washington Health Care Facilities Authority, 0.000%, 12/1/2017 (6)	25,000	23,722
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 5.000%, 10/1/2020	320,000	364,800
		1,301,617
Wisconsin — 3.1%
Arcadia School District, 3.000%, 3/15/2019, Call 3/15/2017	700,000	716,107
City of Stanley, 2.500%, 3/1/2018, Call 9/1/2017 (9)	1,000,000	1,018,150
City of Two Rivers, 3.500%, 4/1/2017	250,000	255,758
State of Wisconsin:
5.000%, 9/1/2020	175,000	205,774
5.000%, 3/1/2021	300,000	357,513
Town of Somers, 4.125%, 8/1/2019, Call 8/1/2017	375,000	386,505
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017	130,000	130,872
3.000%, 8/15/2019	105,000	112,103
3.250%, 5/1/2018	200,000	202,710
4.000%, 8/15/2016	750,000	758,850
4.000%, 3/1/2017	150,000	154,320
4.000%, 8/15/2018	300,000	317,082
5.000%, 3/1/2020	200,000	221,788
5.000%, 8/15/2020	260,000	303,056
5.250%, 8/15/2017, Call 8/15/2016	65,000	66,362
5.500%, 12/15/2020, Call 12/15/2019	80,000	93,007
Wisconsin Health & Educational Facilities Authority, NATL-RE, 0.467%, 6/1/2019, Call 3/1/2016 (8) (12)	350,000	338,552

Wisconsin Housing & Economic Development Authority, 3.625%, 12/1/2019, Call 6/1/2016 (8)	240,000		241,063
			5,879,572
Total Municipals (identified cost $177,469,634)			178,992,722
Mutual Funds — 0.5%
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	84,740		853,332
Total Mutual Funds (identified cost $855,020)			853,332
Short-Term Investments — 5.6%
Mutual Funds — 5.6%
BMO Tax-Free Money Market Fund - Premier Class, 0.130% (4)	10,834,960		10,834,960
Total Short-Term Investments (identified cost $10,834,960)			10,834,960
Total Investments — 99.0% (identified cost $189,159,614)			190,681,014
Other Assets and Liabilities — 1.0%			1,966,374
Total Net Assets — 100.0%		$	192,647,388

(4) Denotes an investment in an affiliated entity. Please refer to Note 6, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2016, these securities amounted to:

Fund	Amount	% of Total Net Assets
Short Tax-Free Fund	$6,899,017	3.58%

(8) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2016.

(9) Purchased on a when-issued or delayed delivery basis.

(12) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(14) Securities that are subject to alternative minimum tax represent 0.00% of the Short Tax-Free Fund’s portfolio as calculated based upon total portfolio market value.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

Intermediate Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 29, 2016

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 98.5%
Alabama — 1.0%
Alabama Board of Education:
3.000%, 6/1/2021	$	305,000	$	321,354
4.000%, 7/1/2021		1,895,000		2,143,946
4.375%, 10/1/2017		200,000		211,544
5.000%, 10/1/2020, Call 10/1/2018		230,000		254,221
Alabama Housing Finance Authority, GNMA, 4.800%, 6/20/2032, Call 12/20/2016 (14)		200,000		205,008
Butler County Board of Education, AGM:
2.000%, 7/1/2017		375,000		380,929
4.000%, 7/1/2020		585,000		648,905
City of Alexander City, AGC, 5.000%, 5/1/2018		1,000,000		1,072,580
City of Birmingham, 0.000%, 3/1/2022 (15)		1,945,000		2,066,913
County of Jefferson, AGM, 0.864%, 2/1/2042, Call 3/24/2016 (8)		454,517		374,403
Health Care Authority for Baptist Health, 0.550%, 11/1/2042 (8)		3,485,000		3,485,000
Health Care Authority for Baptist Health, AGC, 0.350%, 11/15/2037, Call 3/4/2016 (8) (12)		2,175,000		2,175,000
Pell City Special Care Facilities, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,564,040
				17,903,843
Alaska — 0.6%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,375,000		1,657,177
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,994,600
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,190,910
Alaska Municipal Bond Bank Authority, AMBAC:
5.100%, 4/1/2033, Call 4/1/2018		165,000		180,163
5.100%, 4/1/2033, Call 4/1/2018		35,000		37,883
Borough of Matanuska-Susitna:
5.000%, 11/1/2021		500,000		605,815
5.000%, 11/1/2022		500,000		615,520
5.000%, 4/1/2031, Call 4/1/2021		150,000		175,976
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,198,816
City of Anchorage, NATL-RE, 5.000%, 12/1/2024, Call 3/31/2016		305,000		306,043
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,346,164
				10,309,067
Arizona — 3.2%
Arizona Department of Transportation State Highway, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,614,880
Arizona Health Facilities Authority:
1.860%, 2/5/2020, Call 8/9/2019 (8)		4,500,000		4,614,885
5.000%, 1/1/2020, Call 1/1/2017		1,400,000		1,452,682
5.000%, 2/1/2022		1,000,000		1,181,740
Arizona School Facilities Board, AMBAC, 4.000%, 7/1/2016		250,000		252,660
Arizona Sports & Tourism Authority, 4.000%, 7/1/2018		765,000		805,338
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018		1,050,000		1,177,543
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,472,348
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,641,138
City of Glendale, 5.000%, 7/1/2021, Call 7/1/2017		400,000		423,624
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020		345,000		398,775
City of Peoria, 4.000%, 7/1/2019		515,000		565,614
City of Tucson, AGM, 5.000%, 7/1/2020		500,000		580,115
County of Pima, 5.000%, 7/1/2027, Call 7/1/2022		1,450,000		1,720,570
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019		825,000		952,075
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020		500,000		572,500
Greater Arizona Development Authority, NATL-RE:
5.000%, 8/1/2019, Call 8/1/2017		250,000		264,703
5.000%, 8/1/2027, Call 8/1/2017		975,000		1,032,476

Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6)	500,000	510,185
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	3,000,000	3,382,440
Maricopa County Elementary School District No. 33 Buckeye, 5.250%, 7/1/2018	365,000	396,627
Maricopa County Industrial Development Authority:
3.000%, 1/1/2017	315,000	320,021
3.000%, 1/1/2018	325,000	334,588
4.000%, 1/1/2019	200,000	213,962
Maricopa County Unified School District No. 60 Higley, AGM:
4.000%, 7/1/2022	500,000	572,260
5.000%, 7/1/2023	1,000,000	1,218,740
5.000%, 7/1/2024	575,000	705,226
Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019	615,000	695,313
5.000%, 7/1/2020, Call 7/1/2018	600,000	657,852
5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,215,354
Phoenix Civic Improvement Corp., BHAC, 5.500%, 7/1/2027 (15)	500,000	639,770
Phoenix Civic Improvement Corp., NATL-RE FGIC:
5.500%, 7/1/2021 (15)	555,000	663,225
5.500%, 7/1/2036 (15)	530,000	688,693
Pima County Industrial Development Authority:
4.500%, 7/1/2020	535,000	563,098
4.500%, 7/1/2021, Call 7/1/2020	1,320,000	1,389,498
4.500%, 7/1/2022, Call 7/1/2020	1,385,000	1,453,322
6.375%, 7/1/2028, Call 7/1/2018	270,000	286,508
Pinal County School District No. 1 Florence, BAM, 5.000%, 7/1/2023	350,000	423,885
Rio Nuevo Multipurpose Facilities District, AGC, 6.000%, 7/15/2020, Call 7/15/2018	240,000	268,354
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	130,995
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	273,880
Scottsdale Industrial Development Authority, FSA, 0.550%, 9/1/2045, Call 3/1/2016 (8) (12)	2,175,000	2,175,000
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,144,760
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,703,250
Town of Marana, 5.000%, 7/1/2023	450,000	556,438
Tucson & Pima Counties Industrial Development Authorities, GNMA/FNMA/FHLMC, 5.400%, 6/1/2040, Call 12/1/2017 (14)	175,000	182,079
University Medical Center Corp., 5.000%, 7/1/2021	425,000	506,651
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	536,686
Yuma Municipal Property Corp., XLCA:
5.000%, 7/1/2021, Call 7/1/2017	1,900,000	2,012,214
5.000%, 7/1/2023, Call 7/1/2017	1,950,000	2,065,167
5.000%, 7/1/2025, Call 7/1/2017	1,000,000	1,059,060
		55,668,767
Arkansas — 1.3%
Arkansas Development Finance Authority:
5.000%, 2/1/2020	255,000	287,120
5.000%, 2/1/2021	315,000	362,811
5.000%, 2/1/2022	150,000	175,698
Arkansas Development Finance Authority, BAM, 1.000%, 12/1/2021	65,000	65,111
Arkansas Development Finance Authority, GNMA/FNMA:
4.000%, 1/1/2025, Call 7/1/2021	265,000	279,018
4.000%, 7/1/2025, Call 7/1/2021	560,000	589,624
4.750%, 7/1/2032, Call 1/1/2017 (14)	145,000	146,164
Arkansas State University:
4.000%, 3/1/2021	390,000	437,947
4.000%, 3/1/2022	1,140,000	1,290,913
4.000%, 3/1/2023	985,000	1,119,187
City of Fayetteville, 3.300%, 11/1/2023	2,985,000	3,224,039
City of Little Rock, 1.250%, 4/1/2033, Call 4/1/2016	10,000	10,008
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	1,000,000	1,031,450
City of Rogers:
2.125%, 11/1/2029, Call 11/1/2021	1,655,000	1,662,977
4.125%, 11/1/2031, Call 11/1/2021	85,000	85,077
City of Springdale:
3.000%, 11/1/2021	1,000,000	1,083,940
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,196,530
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	1,895,000	1,889,277

Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	647,925
County of Greene, AGM:
4.000%, 3/1/2019, Call 3/1/2017	840,000	865,973
4.000%, 3/1/2020, Call 3/1/2017	1,430,000	1,473,215
County of Jefferson, AGM, 5.000%, 6/1/2026, Call 12/1/2019	20,000	22,570
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,088,525
5.000%, 11/1/2023, Call 11/1/2022	860,000	1,021,904
University of Arkansas:
5.000%, 12/1/2021	300,000	363,093
5.000%, 12/1/2022	520,000	637,816
5.000%, 12/1/2023, Call 12/1/2022	500,000	614,005
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,196,160
		22,868,077
California — 7.1%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	594,691
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,152,930
ABC Unified School District, MBIA, 5.000%, 2/1/2021	1,250,000	1,465,437
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036 (15)	1,150,000	958,042
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	251,701
Baldwin Park Unified School District, AMBAC, 0.000%, 8/1/2020, Call 8/1/2016	240,000	197,998
Bay Area Toll Authority, 1.260%, 4/1/2027, Call 10/1/2026 (8)	5,000,000	4,930,200
BB&T Municipal Trust, 0.810%, 11/15/2019 (6) (8)	1,500,000	1,505,715
Bellevue Union School District, AGM:
8/1/2030	585,000	331,520
8/1/2031	615,000	330,027
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,161,699
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (15)	1,325,000	1,080,259
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 3/31/2016	4,855,000	4,856,165
California Health Facilities Financing Authority, 5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,285,320
California Health Facilities Financing Authority, NATL-RE, 0.490%, 7/1/2022, Call 3/1/2016 (8) (12)	2,300,000	2,204,313
California Municipal Finance Authority, 2.110%, 11/1/2016, Call 3/21/2016 (8)	330,000	330,007
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,154,150
California Statewide Communities Development Authority, AGM, 0.420%, 7/1/2040, Call 3/4/2016 (8) (12)	475,000	475,000
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 11/1/2016	2,100,000	2,121,525
California Statewide Communities Development Authority, NATL-RE, 5.125%, 7/1/2024, Call 7/1/2018	1,500,000	1,643,820
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	1,010,106
Central Union High School District-Imperial County, NATL-RE, 4.000%, 8/1/2019, Call 8/1/2016	670,000	671,260
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,036,734
City of Madera:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,836,719
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,552,858
Corcoran Joint Unified School District, AGM, 2.700%, 12/1/2039, Call 12/1/2016 (8)	2,000,000	2,006,860
County of Los Angeles, 0.000%, 9/1/2018	750,000	729,937
County of Los Angeles, AMBAC, 0.000%, 9/1/2020	600,000	563,028
County of San Joaquin, 5.000%, 4/1/2022	350,000	417,312
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	510,000	449,927
Desert Community College District, AGM, 0.000%, 8/1/2026, Call 8/1/2017	400,000	245,880
Deutsche Bank Spears/Lifers Trust, 0.310%, 8/1/2047 (6) (8)	8,000,000	8,000,000
Duarte Unified School District, 0.000%, 8/1/2026 (15)	585,000	703,199
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	523,158
5.000%, 10/1/2022	515,000	622,115
5.000%, 10/1/2022	580,000	705,883
5.000%, 10/1/2023	800,000	975,504
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032 (15)	500,000	517,835
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (15)	1,250,000	1,179,050
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	284,198
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	381,373
Fresno Unified School District, MBIA, 6.000%, 8/1/2026	2,890,000	3,662,988
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	480,240

5.000%, 6/1/2023	400,000	486,260
5.000%, 6/1/2024	775,000	950,878
5.000%, 6/1/2025	425,000	525,640
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	209,619
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,309,840
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	102,070
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	434,318
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027	295,000	197,529
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,188,060
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	2,057,300
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	750,367
5.000%, 8/1/2025, Call 8/1/2023	760,000	909,948
McFarland Unified School District, BAM, 5.000%, 11/1/2039, Call 11/1/2024	300,000	357,300
McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (15)	165,000	155,084
McKinleyville Union School District, BAM:
8/1/2036, Call 8/1/2021	1,200,000	475,692
8/1/2037, Call 8/1/2021	1,980,000	737,372
Mendocino-Lake Community College District, AGM, 0.000%, 8/1/2031, Call 8/1/2026 (15)	300,000	364,302
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,421,980
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	600,630
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025 (15)	2,125,000	1,829,072
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020	500,000	461,515
New Haven Unified School District, NATL-RE, 0.000%, 8/1/2025, Call 3/31/2016	1,455,000	897,517
Northern California Gas Authority No. 1:
1.040%, 7/1/2019 (8)	3,000,000	2,934,060
1.130%, 7/1/2027 (8)	1,915,000	1,733,343
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	592,975
5.000%, 7/1/2032, Call 7/1/2022	700,000	825,587
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023	590,000	509,093
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,257,980
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 8/1/2017	1,500,000	631,335
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	264,075
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	289,407
5.000%, 12/1/2028, Call 12/1/2025	425,000	517,191
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,201,560
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,382,280
San Francisco International Airport, 5.000%, 5/1/2024, Call 5/1/2021	1,040,000	1,238,338
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,642,673
San Jose Unified School District, NATL, 0.000%, 8/1/2027	1,495,000	1,092,217
San Miguel Joint Union Elementary School District, AGM:
6/15/2020	415,000	379,156
6/15/2021	490,000	434,233
6/15/2022	505,000	430,139
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	458,200
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018	930,000	1,029,910
Santa Barbara County College Elementary School District:
8/1/2027	365,000	254,077
8/1/2031	470,000	272,436
Sierra View Local Health Care District:
3.800%, 7/1/2017	370,000	379,461
4.875%, 7/1/2018, Call 7/1/2017	900,000	951,543
5.250%, 7/1/2022, Call 7/1/2017	1,580,000	1,678,308
5.250%, 7/1/2023, Call 7/1/2017	250,000	265,555
5.300%, 7/1/2026, Call 7/1/2017	350,000	372,008
State of California:
0.998%, 12/1/2017, Call 6/1/2017 (8)	2,500,000	2,509,500
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,475,636
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,849,367
Tahoe Forest Hospital District:
5.500%, 8/1/2027, Call 8/1/2018	1,345,000	1,498,397
5.500%, 8/1/2035, Call 8/1/2018	1,000,000	1,108,960

Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2016 (8)	1,625,000	1,627,909
Upland Community Facilities District, 3.000%, 9/1/2017	530,000	540,362
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025	1,225,000	1,507,999
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,298,809
Watereuse Finance Authority, BAM, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,176,334
West Contra Costa Unified School District, AGM-CR NATL-RE FGIC, 0.000%, 8/1/2025	310,000	239,289
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,331,940
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,019,059
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	180,715
Windsor Unified School District, AGM:
8/1/2020	105,000	95,966
8/1/2023	240,000	196,740
8/1/2024, Call 8/1/2023	330,000	244,718
8/1/2025, Call 8/1/2023	270,000	189,057
8/1/2026, Call 8/1/2023	330,000	217,487
8/1/2028, Call 8/1/2023	420,000	246,179
Yosemite Community College District, AGM, 5.000%, 8/1/2032, Call 8/1/2018	75,000	82,830
		122,663,369
Colorado — 1.8%
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	627,985
5.000%, 12/1/2026, Call 12/1/2024	355,000	436,522
5.000%, 12/1/2027, Call 12/1/2024	500,000	609,910
City & County of Denver, 5.000%, 11/15/2021	500,000	598,270
Colorado Educational & Cultural Facilities Authority:
0.370%, 6/1/2029, Call 3/3/2016 (8)	3,855,000	3,855,000
3.000%, 12/1/2016	120,000	121,883
4.000%, 12/1/2017	120,000	126,144
4.000%, 12/15/2025 (6)	535,000	551,601
5.000%, 9/1/2020 (15)	1,060,000	1,209,259
5.000%, 9/1/2021 (15)	865,000	1,007,223
Colorado Health Facilities Authority:
4.000%, 12/1/2016	505,000	515,706
4.500%, 2/1/2020	455,000	495,791
5.000%, 9/1/2018	530,000	577,160
5.000%, 9/1/2019	560,000	626,483
5.000%, 2/1/2021	475,000	535,168
5.000%, 9/1/2022	750,000	878,918
5.000%, 12/1/2023	215,000	249,667
5.000%, 2/1/2024	420,000	485,797
5.125%, 11/15/2020, Call 11/15/2016 (8)	555,000	573,348
5.250%, 1/1/2025, Call 1/1/2020	460,000	522,289
Colorado Mountain Junior College District, NATL-RE, 3.750%, 8/1/2016	400,000	405,380
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	912,311
5.000%, 12/1/2021	725,000	861,510
5.000%, 12/1/2022	1,185,000	1,432,321
County of Boulder:
5.000%, 12/1/2023, Call 12/1/2020	500,000	587,615
5.000%, 12/1/2025, Call 12/1/2020	475,000	557,755
County of El Paso, GNMA/FNMA, 5.450%, 12/1/2039, Call 12/1/2016 (14)	125,113	129,199
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,782,555
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,349,812
E-470 Public Highway Authority, NATL-RE, 5.000%, 9/1/2016	250,000	255,575
Park Creek Metropolitan District:
5.000%, 12/1/2028, Call 12/1/2025	835,000	992,247
5.000%, 12/1/2029, Call 12/1/2025	655,000	773,444
5.000%, 12/1/2030, Call 12/1/2025	545,000	640,511
Public Authority for Colorado Energy, 5.750%, 11/15/2018	490,000	529,151
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,421,340
Weld County School District No. RE-7 Platte Valley, SAW:
4.000%, 12/1/2021, Call 12/1/2020	625,000	706,081
4.000%, 12/1/2022, Call 12/1/2020	400,000	448,940
4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,270,576
		30,660,447

Connecticut — 0.5%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,488,418
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	845,000	864,004
State of Connecticut, 5.000%, 3/15/2031, Call 3/15/2025	3,810,000	4,504,906
		7,857,328
Delaware — 0.5%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,559,457
Delaware State Housing Authority:
7/1/2031, Call 7/1/2021	520,000	256,547
5.000%, 1/1/2026, Call 7/1/2019 (14)	245,000	258,965
5.200%, 7/1/2029, Call 7/1/2018	1,205,000	1,260,526
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,864,290
		8,199,785
District of Columbia — 0.3%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	2,113,567
5.000%, 12/1/2036, Call 12/1/2021	500,000	579,825
Washington Convention & Sports Authority, 4.500%, 10/1/2030, Call 10/1/2020	2,125,000	2,314,444
		5,007,836
Florida — 5.0%
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,953,433
City of Boynton Beach, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,194,060
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,119,540
City of Gainesville, AMBAC, 5.500%, 8/1/2017	1,000,000	1,067,860
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,336,360
City of Lakeland, AGM, 5.250%, 10/1/2028	1,250,000	1,633,187
City of North Port, 5.000%, 7/1/2022	200,000	240,630
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	562,525
City of Sunrise, 4.000%, 10/1/2019	540,000	587,245
City of Sunrise, NATL-RE:
10/1/2019	905,000	871,099
10/1/2020	975,000	924,300
10/1/2021	175,000	162,708
City of Tallahassee:
5.000%, 12/1/2025	305,000	365,896
5.000%, 12/1/2026, Call 12/1/2025	450,000	534,321
5.000%, 12/1/2027, Call 12/1/2025	400,000	471,960
5.000%, 12/1/2028, Call 12/1/2025	500,000	586,235
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,296,220
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	422,961
Columbia County School Board, 5.000%, 7/1/2026, Call 7/1/2025	495,000	599,668
County of Bay, 3.500%, 9/1/2016	95,000	94,908
County of Brevard, AMBAC, 5.000%, 7/1/2016	910,000	921,803
County of Broward:
5.000%, 10/1/2026, Call 10/1/2025 (14)	750,000	898,912
5.000%, 10/1/2031, Call 10/1/2025 (14)	1,000,000	1,159,080
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023 (14)	740,000	815,376
County of Lee, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,389,820
County of Miami-Dade:
5.000%, 10/1/2025, Call 10/1/2024	800,000	984,048
5.250%, 10/1/2029, Call 10/1/2023	100,000	120,792
5.500%, 10/1/2026, Call 10/1/2020	1,900,000	2,252,583
County of Miami-Dade, AGC:
10/1/2021	610,000	540,515
5.000%, 10/1/2029, Call 10/1/2019	400,000	452,172
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,135,160
County of Miami-Dade, NATL-RE BHAC-CR, 5.000%, 10/1/2030, Call 10/1/2017 (15)	475,000	505,286
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,883,572
County of Polk, NATL-RE, 5.000%, 12/1/2016	625,000	645,487
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,900,031
5.000%, 10/1/2021	1,110,000	1,326,306
Dupree Lakes Community Development District, BAM:
3.000%, 5/1/2018	230,000	236,909
3.000%, 5/1/2019	190,000	197,629

Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,672,472
Emerald Coast Utilities Authority, NATL-RE FGIC:
5.000%, 1/1/2020, Call 1/1/2017	1,000,000	1,034,490
5.000%, 1/1/2022, Call 1/1/2017	970,000	1,003,290
Florida HomeLoan Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020	375,000	382,237
Florida HomeLoan Corp., GNMA/FNMA/FHLMC:
4.450%, 1/1/2030, Call 7/1/2021	445,000	469,911
5.000%, 7/1/2021, Call 3/31/2016 (14)	260,000	260,390
Florida Municipal Loan Council, AGM, 5.000%, 5/1/2021	1,745,000	2,061,473
Highlands County Health Facilities Authority, 5.125%, 11/15/2023, Call 11/15/2016 (8)	500,000	516,350
Hillsborough County Industrial Development Authority, 5.000%, 10/1/2021, Call 10/1/2016	295,000	303,172
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,359,420
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,938,225
Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,368,100
Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018	440,000	478,412
Orange County Housing Finance Authority, 0.550%, 1/15/2040, Call 3/15/2016 (8) (14)	4,770,000	4,770,000
Orange County Housing Finance Authority, GMNA FNMA FHLMC COLL, 4.000%, 9/1/2040, Call 9/1/2024	3,965,000	4,285,491
Pinellas County Educational Facilities Authority, 4.000%, 10/1/2016	350,000	356,422
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020	150,000	161,951
South Florida Water Management District, 5.000%, 10/1/2026, Call 4/1/2026	1,500,000	1,874,670
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2018 (6)	2,405,000	2,570,272
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,915,700
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,077,460
5.000%, 7/1/2020	500,000	567,655
Suncoast Community Development District, 2.000%, 5/1/2017	170,000	172,135
Town of Davie:
5.000%, 4/1/2019	75,000	82,390
5.000%, 4/1/2021	615,000	693,825
5.000%, 4/1/2022	830,000	942,805
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2017	1,000,000	1,017,340
University of North Florida Financing Corp., 5.000%, 11/1/2026, Call 11/1/2017	4,285,000	4,562,197
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	855,100
Volusia County School Board, BAM, 5.000%, 8/1/2031, Call 2/1/2026	1,000,000	1,189,230
		86,333,182
Georgia — 3.4%
Appling County Development Authority, 0.180%, 9/1/2029, Call 3/1/2016 (8)	4,900,000	4,900,000
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	2,790,000	3,230,653
5.000%, 7/1/2024, Call 7/1/2020	1,640,000	1,890,789
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,177,480
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,932,050
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,168,960
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,165,110
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022	1,000,000	1,223,740
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,381,450
County of DeKalb, 4.500%, 12/1/2024, Call 3/31/2016	250,000	250,787
East Point Building Authority, XLCA:
4.500%, 2/1/2025, Call 3/31/2016	500,000	500,285
5.000%, 2/1/2017	875,000	893,532
Effingham County Industrial Development Authority, 0.180%, 2/1/2038, Call 3/1/2016 (8)	5,870,000	5,870,000
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,548,293
5.000%, 7/1/2021	1,155,000	1,374,265
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,476,700
Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,245,843
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,612,831
Main Street Natural Gas, Inc.:
5.000%, 3/15/2017	1,320,000	1,373,447
5.250%, 9/15/2018	250,000	273,545
Monroe County Development Authority, 0.180%, 11/1/2048, Call 3/1/2016 (8)	10,000,000	10,000,000
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	651,711

Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,263,562
5.375%, 1/1/2029, Call 1/1/2019	940,000	1,036,059
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	959,784
5.000%, 1/1/2024	1,000,000	1,209,900
5.000%, 1/1/2025, Call 1/1/2024	700,000	837,431
South Georgia Governmental Services Authority, MBIA, 5.000%, 1/1/2020, Call 3/31/2016	300,000	300,915
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	30,055
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018	700,000	793,926
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,464,467
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,181,050
		59,218,620
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	615,200
5.000%, 10/1/2023	500,000	624,500
		1,239,700
Idaho — 0.3%
Boise-Kuna Irrigation District:
5.875%, 6/1/2022, Call 6/1/2018	200,000	223,196
7.375%, 6/1/2034, Call 6/1/2018	340,000	390,775
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,230,030
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	588,748
Idaho Housing & Finance Association, AGC, 5.250%, 7/15/2026, Call 7/15/2018	2,965,000	3,283,293
		5,716,042
Illinois — 11.5%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,219,332
Chicago Board of Education, 4.010%, 3/1/2017, Call 9/1/2016 (8)	6,750,000	6,414,930
Chicago Board of Education, NATL:
12/1/2022	365,000	267,523
5.250%, 12/1/2021	1,000,000	1,094,660
Chicago Board of Education, NATL-RE, 5.000%, 12/1/2019	70,000	75,126
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (14)	1,500,000	1,769,325
5.000%, 1/1/2031, Call 1/1/2025 (14)	1,000,000	1,136,610
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	886,437
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,194,270
5.000%, 1/1/2025, Call 7/1/2020	230,000	245,734
5.000%, 1/1/2026, Call 1/1/2021	730,000	786,962
5.000%, 11/15/2029, Call 11/15/2018	130,000	135,829
Chicago Transit Authority, AGC:
5.250%, 6/1/2019, Call 6/1/2018	375,000	403,583
5.250%, 6/1/2022, Call 6/1/2018	3,250,000	3,459,917
City of Calumet City, AGM:
2.500%, 3/1/2016	275,000	275,000
4.000%, 3/1/2017	435,000	446,088
City of Chicago:
5.000%, 1/1/2019	455,000	479,479
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,155,822
5.000%, 1/1/2039, Call 1/1/2025	500,000	545,005
City of Chicago, AGM, 5.000%, 11/1/2027, Call 11/1/2018	200,000	212,258
City of Chicago, AGM-CR FGIC, 5.000%, 1/1/2023, Call 1/1/2017	200,000	203,848
City of Chicago, NATL-RE, 5.530%, 1/1/2020, Call 3/31/2016 (15)	1,000,000	1,013,850
City of Rochelle, AGM, 3.000%, 5/1/2017	250,000	255,288
City of Springfield:
5.000%, 12/1/2022	905,000	1,076,733
5.000%, 3/1/2026, Call 3/1/2025	1,000,000	1,207,420
5.000%, 3/1/2027, Call 3/1/2025	1,000,000	1,194,030
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,186,090
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,178,210
5.000%, 3/1/2031, Call 3/1/2025	900,000	1,047,141
5.500%, 3/1/2032, Call 3/1/2018	1,000,000	1,087,190

City of Springfield, NATL-RE:
5.000%, 3/1/2018, Call 3/1/2017	1,000,000	1,043,250
5.000%, 3/1/2022, Call 3/1/2017	650,000	678,112
Cook County Community Consolidated School District No. 65 Evanston:
12/1/2027, Call 12/1/2024	300,000	206,028
12/1/2029, Call 12/1/2024	400,000	245,600
12/1/2030, Call 12/1/2024	1,130,000	657,377
12/1/2031, Call 12/1/2024	1,500,000	824,205
Cook County Community High School District No. 219-Niles Township, FSA, 5.000%, 12/1/2025, Call 12/1/2017	1,405,000	1,510,572
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	747,481
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	505,499
Cook County School District No. 144 Prairie Hills, AGM:
12/1/2028	2,830,000	1,712,631
12/1/2029	2,580,000	1,480,920
Cook County School District No. 159 Matteson-Richton Park, FSA, 0.000%, 12/1/2016	300,000	294,438
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,587,086
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	590,152
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,234,690
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,502,969
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,644,877
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,729,740
County of Cook, 5.250%, 11/15/2023, Call 11/15/2020	350,000	388,318
County of Cook, AMBAC, 5.000%, 11/15/2023, Call 5/15/2016	270,000	272,165
County of Cook, BAM, 5.000%, 11/15/2023	1,000,000	1,178,680
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	559,671
5.250%, 10/1/2024, Call 10/1/2019	215,000	243,141
5.250%, 10/1/2027, Call 10/1/2019	835,000	963,557
5.250%, 10/1/2027, Call 10/1/2019	315,000	354,470
5.500%, 1/1/2038, Call 1/1/2023	825,000	953,650
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	556,626
DeKalb County Community Unit School District No. 428 DeKalb:
1/1/2025, Call 7/1/2020	400,000	286,004
1/1/2028, Call 7/1/2020	1,000,000	586,560
DeKalb Kane & LaSalle Counties Etc Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	153,554
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	481,304
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	548,911
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	960,000	961,344
2.500%, 5/15/2018	170,000	170,541
2.700%, 5/15/2016	375,000	375,788
4.000%, 10/1/2016	345,000	351,331
5.000%, 11/15/2023, Call 11/15/2022	215,000	253,184
5.000%, 8/15/2024	250,000	295,875
5.000%, 5/15/2025	1,000,000	1,090,760
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,206,460
5.000%, 11/15/2027, Call 11/15/2025	500,000	598,015
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,050,340
5.250%, 11/15/2022, Call 11/15/2017	1,450,000	1,564,376
5.250%, 2/15/2030, Call 2/15/2020	250,000	281,418
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,135,816
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	3,130,016
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,557,340
Illinois Finance Authority, AGC:
5.250%, 8/15/2019	250,000	282,575
5.250%, 8/15/2033, Call 8/15/2018	880,000	952,662
Illinois Finance Authority, AGM:
1/1/2020	450,000	432,648
1/1/2020	500,000	470,590
1/1/2021	255,000	231,642
5.150%, 1/1/2019	420,000	469,224
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018	335,000	367,096

Illinois Housing Development Authority, GNMA/FNMA COLL, 2.450%, 6/1/2043, Call 1/1/2023	822,479	820,694
Illinois Municipal Electric Agency, MBIA, 5.250%, 2/1/2019, Call 2/1/2017	1,000,000	1,043,400
Illinois Municipal Electric Agency, NATL-RE FGIC, 5.250%, 2/1/2024, Call 2/1/2017	1,830,000	1,909,422
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,166,230
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,157,350
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,202,120
5.000%, 12/1/2031, Call 1/1/2026	5,220,000	6,230,174
5.000%, 12/1/2032, Call 1/1/2026	2,100,000	2,488,500
5.500%, 1/1/2033, Call 1/1/2018	490,000	533,012
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE FGIC, 0.000%, 2/1/2023	5,450,000	4,484,914
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
1/1/2023	350,000	315,623
1/1/2023	650,000	545,629
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,194,770
5.000%, 1/1/2024	1,000,000	1,198,710
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,784,120
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,025,334
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,687,273
La Salle & Grundy Counties Township High School District No. 160 Seneca, 4.000%, 2/1/2017	325,000	334,903
Lake County School District No. 33, XLCA:
12/1/2026	525,000	333,433
12/1/2028	335,000	193,097
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	187,118
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	529,536
Madison County Community Unit School District No. 7 Edwardsville, AGM, 5.000%, 12/1/2016	225,000	232,409
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM-CR FGIC, 0.000%, 1/1/2024	500,000	403,755
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL, 0.000%, 1/1/2021	1,900,000	1,699,778
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL-RE:
1/1/2017	20,000	19,903
1/1/2017	190,000	187,665
McHenry County Community High School District No. 154 Marengo, NATL-RE FGIC, 0.000%, 1/1/2018	325,000	316,989
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	282,283
5.000%, 1/1/2020	550,000	613,079
5.000%, 1/1/2021	810,000	918,483
5.000%, 1/1/2022	895,000	1,024,489
Metropolitan Pier & Exposition Authority, NATL-RE:
6/15/2023 (15)	3,530,000	3,943,292
12/15/2023	855,000	667,302
6/15/2024	1,000,000	758,810
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	440,000	397,426
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	2,215,000	2,367,924
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	925,350
Railsplitter Tobacco Settlement Authority, 5.250%, 6/1/2021	1,120,000	1,310,075
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	726,220
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,393,338
Southern Illinois University, NATL-RE, 0.000%, 4/1/2017	500,000	489,180
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	2,056,114
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,513,596
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,154,560
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	705,474
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (14)	745,000	849,285
State of Illinois:
5.000%, 3/1/2020	500,000	554,065
5.000%, 4/1/2024, Call 4/1/2023	500,000	558,935
5.000%, 6/1/2024, Call 12/1/2016	360,000	366,102
5.000%, 1/1/2025, Call 3/31/2016	275,000	275,459
5.000%, 1/1/2030, Call 1/1/2026	8,000,000	8,767,040

5.250%, 6/15/2034, Call 6/15/2019	3,715,000	4,093,001
6.500%, 6/15/2022	395,000	458,864
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,550,595
Stephenson County School District No. 145 Freeport, AMBAC, 0.000%, 1/1/2018	425,000	414,749
Tazewell County School District No. 51 Washington Central, NATL-RE FGIC, 9.000%, 12/1/2025	165,000	251,521
Town of Cicero:
5.000%, 1/1/2020	1,000,000	1,113,900
5.000%, 1/1/2021	1,000,000	1,134,910
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,605,291
Village of Elwood, RADIAN:
3/1/2024, Call 9/1/2016	250,000	162,480
3/1/2026, Call 9/1/2016	1,280,000	742,016
Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	453,101
4.000%, 10/1/2019	420,000	455,524
4.000%, 10/1/2020	615,000	678,468
5.000%, 10/1/2022, Call 10/1/2021	730,000	856,392
5.000%, 10/1/2023, Call 10/1/2021	685,000	800,032
5.000%, 10/1/2024, Call 10/1/2021	425,000	495,877
5.000%, 10/1/2025, Call 10/1/2021	920,000	1,072,370
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	545,287
Village of Maywood, 4.000%, 1/1/2017	1,635,000	1,654,653
Village of South Chicago Heights, NATL-RE FGIC, 0.000%, 11/1/2016	505,000	500,859
Will & Kankakee Counties School District No 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	572,800
5.000%, 6/1/2029, Call 6/1/2025	600,000	673,044
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC:
1/1/2017	750,000	741,450
1/1/2019	695,000	657,338
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE FGIC:
11/1/2020	2,000,000	1,807,760
11/1/2021	300,000	262,245
11/1/2022	250,000	209,375
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 4/15/2016	1,025,000	1,031,006
Will County School District No. 114 Manhattan, NATL, 0.000%, 12/1/2017	375,000	364,151
Will County School District No. 114, NATL-RE FGIC:
12/1/2020	1,180,000	1,054,708
12/1/2023	1,600,000	1,260,832
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	609,935
Will, Grundy, Etc. Counties Community College District No. 525:
5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,897,182
5.750%, 6/1/2028, Call 6/1/2018	170,000	187,554
Williamson County Community Unit School District No. 5 Carterville, AGC:
1/1/2029, Call 1/1/2019	300,000	158,118
1/1/2033, Call 1/1/2019	1,000,000	393,710
1/1/2034, Call 1/1/2019	1,000,000	364,360
Winnebago & Boone Counties School District No. 205 Rockford:
2/1/2020	500,000	463,275
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,982,094
		197,179,538
Indiana — 2.8%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	402,724
City of Greenwood:
4.000%, 10/1/2017	225,000	232,607
4.250%, 10/1/2020, Call 10/1/2018	820,000	894,095
4.625%, 10/1/2024, Call 10/1/2018	520,000	573,336
City of Rockport:
1.750%, 6/1/2018 (8)	1,500,000	1,511,880
1.750%, 6/1/2018 (8)	700,000	705,544
City of Whiting, 1.850%, 10/1/2019 (8)	1,150,000	1,153,565
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018	1,000,000	1,095,780
County of Knox, 4.000%, 4/1/2018	250,000	260,435
County of Lake, 2.000%, 7/15/2017	285,000	290,030
Crown Point Multi School Building Corp., AGM SAW, 5.000%, 1/15/2022, Call 7/15/2017	1,000,000	1,057,810

Damon Run Conservancy District:
4.500%, 1/1/2018	215,000	226,462
4.500%, 7/1/2018	220,000	234,883
East Chicago Multi School Building Corp., SAW, 6.000%, 7/15/2016	670,000	683,782
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	2,168,381
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,867,048
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	141,572
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	688,628
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	3,007,847
Gary Chicago International Airport Authority:
5.000%, 2/1/2017 (14)	210,000	216,216
5.000%, 2/1/2018 (14)	885,000	932,303
Indiana Bond Bank, 0.670%, 10/15/2022 (8)	1,650,000	1,561,428
Indiana Finance Authority:
3.000%, 7/1/2019	250,000	259,563
5.000%, 8/15/2020	700,000	783,251
5.000%, 10/1/2022	300,000	350,775
5.000%, 10/1/2023	400,000	472,572
5.000%, 10/1/2024, Call 10/1/2023	275,000	322,809
5.000%, 5/1/2029, Call 5/1/2022	4,070,000	4,662,551
5.250%, 10/1/2024, Call 10/1/2021	710,000	847,747
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,596,902
5.500%, 5/1/2024, Call 5/1/2019	1,000,000	1,133,310
Indiana Finance Authority, AMBAC, 4.550%, 12/1/2024, Call 12/1/2016	1,750,000	1,777,143
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018	500,000	549,275
Indiana Health Facility Financing Authority, AMBAC, 0.560%, 5/1/2031, Call 3/22/2016 (8) (12)	600,000	556,221
Indiana Housing & Community Development Authority, GNMA/FNMA, 4.000%, 12/1/2027, Call 6/1/2021	930,000	979,179
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	562,835
Indiana Municipal Power Agency, NATL-RE, 5.000%, 1/1/2037, Call 1/1/2017	1,850,000	1,919,616
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	203,684
5.000%, 1/1/2022, Call 1/1/2021	200,000	231,568
5.750%, 1/1/2038, Call 1/1/2019	1,790,000	2,013,607
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	601,725
Lafayette Redevelopment Authority, 3.000%, 2/1/2018	95,000	98,974
Marion High School Building Corp.:
4.000%, 7/15/2019	455,000	495,177
4.000%, 7/15/2020, Call 1/15/2020	935,000	1,025,433
4.000%, 7/15/2021, Call 1/15/2020	375,000	414,701
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018	1,000,000	1,099,640
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	330,291
5.000%, 1/15/2024	215,000	254,850
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	200,000	226,654
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	633,026
South Bend Community School Corp., NATL-RE SAW, 4.125%, 7/15/2019, Call 7/15/2017	450,000	470,421
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,479,592
		47,259,448
Iowa — 0.1%
Iowa Finance Authority, GNMA/FNMA/FHLMC, 5.000%, 1/1/2038, Call 1/1/2019	60,000	60,682
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,703,762
		1,764,444
Kansas — 0.2%
City of Salina, 5.000%, 10/1/2018, Call 4/1/2016	350,000	351,260
County of Sedgwick/County of Shawnee, GNMA/FNMA/FHLMC, 5.875%, 6/1/2039, Call 6/1/2017 (14)	50,000	53,600
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	800,000	923,832
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,109,750
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018	475,000	529,340
Wyandotte County-Kansas City, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,138,080
		4,105,862

Kentucky — 1.0%
City of Winchester, BAM, 3.000%, 7/1/2017	105,000	108,441
Deutsche Bank Spears/Lifers Trust, NATL-RE, 0.210%, 9/1/2042, Call 9/1/2017 (6) (8)	13,150,000	13,150,000
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,228,030
5.000%, 9/1/2025	1,250,000	1,549,625
Kentucky State Property & Building Commission, NATL, 5.000%, 3/1/2022, Call 3/1/2017	35,000	36,453
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	110,265
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	293,709
		16,476,523
Louisiana — 2.7%
City of Bossier, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,354,346
City of New Orleans:
5.000%, 6/1/2021	800,000	941,136
5.000%, 12/1/2021	500,000	578,945
5.000%, 6/1/2022	450,000	534,969
5.000%, 12/1/2022	725,000	849,091
5.000%, 6/1/2023	500,000	601,425
5.000%, 12/1/2024	765,000	911,704
5.000%, 6/1/2026, Call 6/1/2025	150,000	180,501
5.000%, 12/1/2026, Call 12/1/2025	240,000	289,291
5.000%, 6/1/2027, Call 6/1/2025	200,000	238,304
5.000%, 6/1/2029, Call 6/1/2025	200,000	235,254
5.000%, 12/1/2029, Call 12/1/2025	350,000	412,314
5.000%, 6/1/2031, Call 6/1/2025	1,650,000	1,921,871
City of Shreveport, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,448,724
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	752,914
4.000%, 10/1/2021	675,000	743,661
Louisiana Housing Corp., GNMA/FNMA/FHLMC:
4.750%, 6/1/2027, Call 6/1/2020	945,000	1,010,989
5.200%, 6/1/2039, Call 6/1/2017 (14)	65,000	66,219
Louisiana Local Government Environmental Facilities & Community Development Authority, AGM, 4.100%, 10/1/2038, Call 10/1/2024	550,000	573,843
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	974,992
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2020	650,000	751,322
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,802,287
4.000%, 3/1/2021	3,585,000	3,981,860
Parish of St. James, 0.430%, 11/1/2040, Call 3/1/2016 (8)	14,000,000	14,000,000
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023 (14)	725,000	809,484
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2021	300,000	227,064
State of Louisiana, 0.768%, 5/1/2018, Call 11/1/2017 (8)	7,000,000	6,977,040
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	569,661
		46,739,211
Maine — 0.6%
City of Portland, 5.000%, 7/1/2022	300,000	344,580
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,500,000	7,677,150
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,774,995
		9,796,725
Maryland — 0.3%
Maryland Health & Higher Educational Facilities Authority, 5.750%, 7/1/2034, Call 7/1/2021	775,000	910,020
Montgomery County Housing Opportunites Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	704,878
5.000%, 1/1/2043, Call 7/1/2022	360,000	380,880
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,342,846
		5,338,624
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.465%, 12/1/2030, Call 3/7/2016 (8) (12)	1,450,000	1,323,029
0.495%, 12/1/2030, Call 3/3/2016 (8) (12)	7,375,000	6,729,223
Massachusetts Development Finance Agency:
5.000%, 1/1/2023, Call 1/1/2017	650,000	674,180
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,683,438
5.000%, 7/1/2027, Call 7/1/2025	125,000	151,664

Massachusetts Educational Financing Authority:
5.000%, 1/1/2017	300,000	307,794
5.000%, 7/1/2025, Call 7/1/2022 (14)	620,000	673,084
5.250%, 1/1/2019	480,000	518,261
5.250%, 1/1/2019 (14)	1,245,000	1,352,767
Massachusetts Health & Educational Facilities Authority:
5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,481,171
5.750%, 7/1/2036, Call 7/1/2019	805,000	904,184
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (14)	2,385,000	2,400,550
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	979,190
		21,178,535
Michigan — 5.8%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	1,049,461
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	769,653
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,525,571
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	739,806
5.000%, 5/1/2026	500,000	618,620
Carman-Ainsworth Community School District, BAM:
5.000%, 5/1/2018	950,000	1,025,496
5.000%, 5/1/2020	375,000	427,583
Central Michigan University:
5.000%, 10/1/2034, Call 10/1/2025	750,000	877,455
5.000%, 10/1/2035, Call 10/1/2025	625,000	728,375
Charter Township of Northville:
2.000%, 4/1/2016	370,000	370,581
4.000%, 4/1/2021	400,000	444,984
4.000%, 4/1/2022	240,000	267,629
Chippewa Valley Schools, Q-SBLF:
5.000%, 5/1/2027, Call 11/1/2025	1,355,000	1,648,005
5.000%, 5/1/2029, Call 11/1/2025	1,000,000	1,202,890
5.000%, 5/1/2030, Call 11/1/2025	1,000,000	1,197,230
5.000%, 5/1/2031, Call 11/1/2025	1,000,000	1,188,790
5.000%, 5/1/2031, Call 5/1/2023	765,000	875,627
City of Battle Creek, BAM, 5.000%, 6/1/2033, Call 6/1/2018	1,000,000	1,085,280
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 7/1/2017	95,000	99,651
City of Detroit Sewage Disposal System Revenue, NATL, 0.000%, 7/1/2020	110,000	92,653
City of Detroit Water Supply System Revenue, AGM:
5.000%, 7/1/2018, Call 7/1/2016	250,000	253,403
5.000%, 7/1/2019, Call 7/1/2016	50,000	50,684
5.000%, 7/1/2020, Call 7/1/2016	720,000	729,677
5.000%, 7/1/2020, Call 7/1/2016	50,000	50,672
5.000%, 7/1/2023, Call 7/1/2016	200,000	202,482
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018	1,035,000	1,112,304
City of Detroit Water Supply System Revenue, NATL-RE:
5.000%, 7/1/2016 (8)	725,000	734,476
5.000%, 7/1/2027, Call 7/1/2016	5,000,000	5,051,400
City of Wyandotte, BAM:
5.000%, 10/1/2020	200,000	225,746
5.000%, 10/1/2021	290,000	331,418
5.000%, 10/1/2022	290,000	333,529
5.000%, 10/1/2023	250,000	288,605
5.000%, 10/1/2024	300,000	347,781
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	977,309
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	460,464
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	368,772
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,437,672
5.000%, 5/1/2025	1,000,000	1,233,010
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,243,127
Forest Hills Public Schools:
5.000%, 5/1/2020	1,600,000	1,851,680
5.000%, 5/1/2021	1,600,000	1,896,320

Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,179,170
5.000%, 5/1/2022	1,000,000	1,198,060
5.000%, 5/1/2025	1,700,000	2,096,117
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2021	535,000	630,856
5.000%, 5/1/2026, Call 5/1/2025	200,000	243,264
5.000%, 5/1/2027, Call 5/1/2025	230,000	276,186
5.000%, 5/1/2030, Call 5/1/2025	1,100,000	1,290,432
5.000%, 5/1/2032, Call 5/1/2025	1,025,000	1,195,252
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,918,540
5.250%, 5/1/2027, Call 5/1/2021	600,000	707,082
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,843,317
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,131,650
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020 (8)	415,000	452,761
Jenison Public Schools:
5.000%, 5/1/2021	500,000	588,765
5.000%, 5/1/2022, Call 5/1/2021	560,000	655,463
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,160,830
Laingsburg Community School District, Q-SBLF, 3.000%, 5/1/2018	510,000	533,429
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,136,780
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,118,830
5.000%, 5/1/2020	1,825,000	2,104,024
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,868,416
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2027, Call 5/1/2025	260,000	291,749
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,527,067
4.000%, 11/1/2029, Call 5/1/2025	940,000	1,033,756
Mattawan Consolidated School District, Q-SBLF:
4.000%, 5/1/2021	600,000	677,724
5.000%, 5/1/2019	1,215,000	1,364,226
5.000%, 5/1/2020	1,205,000	1,389,232
Michigan Finance Authority:
5.000%, 6/1/2016	1,450,000	1,465,225
5.000%, 11/1/2020	2,000,000	2,320,800
5.000%, 7/1/2026, Call 7/1/2025	175,000	209,745
5.000%, 7/1/2027, Call 7/1/2025	600,000	713,646
5.000%, 7/1/2029, Call 7/1/2025	450,000	529,547
5.000%, 7/1/2034, Call 7/1/2025	3,000,000	3,445,440
5.000%, 7/1/2034, Call 7/1/2025	500,000	570,765
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,743,555
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,735,110
Michigan State Building Authority, NATL:
10/15/2021, Call 10/15/2016	835,000	657,880
10/15/2021, Call 10/15/2016	665,000	521,945
10/15/2023, Call 10/15/2016	900,000	641,772
10/15/2023, Call 10/15/2016	700,000	497,168
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	922,964
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	244,462
Plymouth-Canton Community School District, Q-SBLF:
4.000%, 5/1/2019	1,000,000	1,091,800
5.000%, 5/1/2021	450,000	530,626
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	288,600
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,959,913
5.000%, 5/1/2021	1,155,000	1,361,941
State of Michigan, FSA, 5.250%, 9/15/2021, Call 9/15/2017	2,100,000	2,237,130
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2017	875,000	900,804
3.000%, 5/1/2018	855,000	882,719
3.000%, 5/1/2019	340,000	354,504
3.250%, 5/1/2020	90,000	96,029
Wayland Union School District, AGM Q-SBLF:
5.000%, 5/1/2024, Call 5/1/2018	500,000	543,095
5.250%, 5/1/2019, Call 5/1/2018	400,000	436,972

Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (14)	3,000,000	3,531,330
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,477,200
Wayne State University, AGM, 5.000%, 11/15/2025, Call 11/15/2018	515,000	569,441
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,339,788
		99,850,765
Minnesota — 0.6%
City of Howard Lake, 2.000%, 2/1/2017	105,000	106,055
City of Minneapolis, AGC:
6.500%, 11/15/2038, Call 11/15/2018	165,000	189,303
6.500%, 11/15/2038, Call 11/15/2018	905,000	1,006,432
City of Minneapolis/St Paul Housing & Redevelopment Authority, 4.000%, 8/15/2019	445,000	486,194
City of Minneapolis/St Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020 (8)	215,000	245,977
City of Minneapolis/St Paul Housing & Redevelopment Authority, NATL-RE, 0.555%, 8/1/2027, Call 3/1/2016 (8) (12)	375,000	343,078
City of Winona, 3.750%, 7/1/2021	170,000	178,971
Dakota County Community Development Agency, GNMA/FNMA/FHLMC COLL:
3.450%, 6/1/2020	75,000	79,529
3.650%, 6/1/2021, Call 12/1/2020	45,000	44,955
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020	275,000	319,487
Minnesota Agricultural & Economic Development Board, AGC, 5.000%, 2/15/2017	1,400,000	1,458,128
Minnesota Higher Education Facilities Authority:
4.000%, 10/1/2016	250,000	254,587
4.000%, 10/1/2016	440,000	448,074
5.000%, 10/1/2019	400,000	448,436
Minnesota Housing Finance Agency:
3.900%, 7/1/2030, Call 1/1/2022	705,000	735,407
4.000%, 7/1/2040, Call 1/1/2022	850,000	886,822
5.500%, 7/1/2048, Call 1/1/2017 (14)	75,000	75,905
Minnesota Housing Finance Agency, GNMA, 2.600%, 9/1/2042, Call 7/1/2022	1,233,847	1,228,727
Minnesota Housing Finance Agency, GNMA/FNMA COLL:
2.250%, 12/1/2042, Call 1/1/2022	742,157	728,864
5.000%, 1/1/2031, Call 7/1/2021	760,000	809,050
		10,073,981
Mississippi — 0.8%
Mississippi Business Finance Corp., 0.950%, 12/1/2036, Call 3/1/2016 (8)	8,500,000	8,500,000
Mississippi Development Bank:
3.125%, 10/1/2023	195,000	202,250
5.000%, 10/1/2023	2,725,000	3,107,835
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,395,636
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018	315,000	330,813
Mississippi State University Educational Building Corp.:
5.000%, 11/1/2021	225,000	269,746
5.000%, 11/1/2022	135,000	164,365
		13,970,645
Missouri — 1.9%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,669,000
Chesterfield Valley Transportation Development District:
3.250%, 5/15/2028, Call 5/15/2023	1,000,000	1,015,400
4.000%, 5/15/2019	475,000	515,062
5.000%, 5/15/2020	125,000	142,576
5.000%, 5/15/2021	490,000	568,282
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	566,670
5.000%, 9/1/2023, Call 9/1/2019	300,000	339,780
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,121,630
City of St. Louis, AGM, 5.000%, 7/1/2020, Call 7/1/2017	1,885,000	1,991,144
Health & Educational Facilities Authority, 4.000%, 2/1/2040, Call 8/1/2025	1,000,000	1,013,300
Health & Educational Facilities Authority of the State of Missouri, 5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,194,522
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,381,440

Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	368,082
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019	455,000	470,365
Missouri Housing Development Commission, GNMA/FNMA/COLL, 5.000%, 9/1/2039, Call 3/1/2019	70,000	70,508
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	825,000	869,649
4.000%, 5/1/2027, Call 5/1/2021	820,000	869,594
Missouri State Environmental Improvement & Energy Resources Authority:
5.750%, 1/1/2029, Call 1/1/2019	685,000	779,612
5.750%, 1/1/2029, Call 1/1/2019	65,000	73,958
Missouri State Health & Educational Facilities Authority:
3.500%, 2/15/2017	1,430,000	1,459,873
3.750%, 2/15/2018	950,000	989,425
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,153,020
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2016	2,900,000	2,902,320
St. Louis Regional Convention & Sports Complex Authority, 5.000%, 8/15/2020	3,050,000	3,549,316
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,149,350
5.000%, 3/1/2031, Call 3/1/2020	750,000	860,738
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,145,970
		32,230,586
Nebraska — 0.7%
Central Plains Energy Project, 5.000%, 12/1/2019 (8)	4,000,000	4,546,960
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,134,250
Nebraska Public Power District:
5.000%, 1/1/2025, Call 1/1/2018	750,000	809,745
5.000%, 1/1/2026, Call 1/1/2018	750,000	809,745
5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,157,080
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	994,521
5.000%, 5/1/2027, Call 5/1/2022	585,000	704,826
5.000%, 5/1/2028, Call 5/1/2022	550,000	659,785
5.000%, 5/1/2029, Call 5/1/2022	660,000	788,746
		11,605,658
Nevada — 1.8%
City of Reno, 5.250%, 6/1/2032, Call 6/1/2017	105,000	111,084
Clark County School District, AMBAC, 5.000%, 6/15/2019, Call 6/15/2017	1,600,000	1,686,672
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,453,219
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,412,400
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,169,660
County of Clark, AMBAC, 5.000%, 11/1/2024, Call 11/1/2016	410,000	421,882
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	4,311,686
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,124,480
Las Vegas Valley Water District:
0.250%, 6/1/2036, Call 3/1/2016 (8)	7,200,000	7,200,000
5.000%, 6/1/2028, Call 6/1/2022	5,115,000	6,137,693
Las Vegas Valley Water District, AGM, 5.000%, 6/1/2028, Call 6/1/2016	2,815,000	2,844,895
Nevada Housing Division, GNMA/FNMA/FHLMC:
4.400%, 4/1/2029, Call 10/1/2021	1,860,000	1,958,636
5.375%, 10/1/2039, Call 4/1/2019	485,000	498,076
		31,330,383
New Hampshire — 0.3%
New Hampshire Health & Education Facilities Authority, 0.220%, 10/1/2030, Call 3/1/2016 (8)	2,670,000	2,670,000
New Hampshire Housing Finance Authority:
4.500%, 1/1/2029, Call 7/1/2020	640,000	655,386
4.800%, 7/1/2028, Call 1/1/2022	1,500,000	1,638,030
6.000%, 7/1/2038, Call 1/1/2018 (14)	295,000	302,369
		5,265,785
New Jersey — 3.4%
Casino Reinvestment Development Authority, 5.000%, 11/1/2022	4,775,000	5,223,802
City of Passaic, 4.000%, 5/1/2017	280,000	290,730

New Jersey Economic Development Authority:
0.320%, 11/1/2031, Call 3/1/2016 (8)	685,000	685,000
5.000%, 6/15/2019	3,000,000	3,245,730
5.000%, 6/15/2020	1,500,000	1,648,170
New Jersey Higher Education Student Assistance Authority:
3.250%, 12/1/2027, Call 12/1/2022 (14)	650,000	655,876
4.875%, 12/1/2024, Call 12/1/2019	8,135,000	8,763,835
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	630,000	638,455
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,955,518
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,904,269
New Jersey State Turnpike Authority, NATL-RE:
0.467%, 1/1/2030, Call 3/1/2016 (8) (12)	350,000	322,208
0.480%, 1/1/2030, Call 3/4/2016 (8) (12)	1,900,000	1,749,142
0.480%, 1/1/2030, Call 3/4/2016 (8) (12)	500,000	460,301
0.502%, 1/1/2030, Call 3/3/2016 (8) (12)	475,000	437,283
New Jersey Transportation Trust Fund Authority:
1.010%, 12/15/2019, Call 6/15/2019 (8)	5,000,000	4,784,900
5.000%, 6/15/2022	500,000	559,285
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,382,300
5.250%, 12/15/2023, Call 12/15/2018	1,355,000	1,480,934
5.250%, 12/15/2023	240,000	271,529
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,529,350
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,269,370
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,221,942
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	440,000	350,680
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025	500,000	591,065
		58,421,674
New Mexico — 1.6%
City of Farmington:
1.875%, 4/1/2020 (8)	3,000,000	3,058,890
1.875%, 4/1/2020 (8)	3,750,000	3,821,437
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	735,205
New Mexico Finance Authority:
5.000%, 6/1/2026, Call 6/1/2018	2,395,000	2,620,537
5.700%, 6/1/2026, Call 6/1/2018	465,000	516,568
5.800%, 6/1/2027, Call 6/1/2018	825,000	920,296
New Mexico Finance Authority, NATL-RE, 5.250%, 6/15/2023, Call 6/15/2017	1,000,000	1,059,480
New Mexico Mortgage Finance Authority, GNMA, 2.600%, 2/1/2043, Call 1/1/2023	1,092,861	1,118,489
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.200%, 7/1/2028, Call 1/1/2017 (14)	290,000	295,496
4.500%, 9/1/2024, Call 9/1/2019	210,000	222,136
5.650%, 9/1/2039, Call 3/1/2019	430,000	442,762
6.000%, 9/1/2039, Call 3/1/2019	525,000	530,686
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL:
4.625%, 3/1/2028, Call 9/1/2021	795,000	820,798
5.350%, 3/1/2030, Call 9/1/2020	2,035,000	2,136,323
New Mexico Municipal Energy Acquisition Authority, 1.036%, 8/1/2019, Call 2/1/2019 (8)	10,000,000	9,940,500
		28,239,603
New York — 4.0%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	175,214
5.000%, 12/1/2024	200,000	235,948
Byron-Bergen Central School District, AGM SAW, 3.000%, 6/15/2018	1,215,000	1,274,499
City of New York, 0.410%, 8/1/2026, Call 3/1/2016 (8) (12)	100,000	100,000
City of New York, AGC:
0.450%, 10/1/2027, Call 3/4/2016 (8) (12)	850,000	850,000
0.460%, 10/1/2021, Call 3/7/2016 (8) (12)	400,000	400,000
City of Newburgh:
2.000%, 5/15/2016	565,000	566,311
2.000%, 5/15/2017	575,000	580,531
Long Island Power Authority, 0.948%, 11/1/2018, Call 5/1/2018 (8)	2,500,000	2,508,025
Long Island Power Authority, BHAC, 5.000%, 12/1/2021, Call 12/1/2016	600,000	619,758
Metropolitan Transportation Authority, 0.636%, 11/1/2017, Call 5/1/2017 (8)	2,800,000	2,788,548
Metropolitan Transportation Authority, AGM:
0.860%, 11/1/2022, Call 3/17/2016 (8) (12)	425,000	413,105

0.872%, 11/1/2022, Call 3/2/2016 (8) (12)	200,000	194,391
0.894%, 5/15/2018, Call 11/15/2017 (8)	4,000,000	3,993,760
New York City Industrial Development Agency, ACA, 4.400%, 11/1/2016	675,000	693,036
New York City Transit Auth/Metropolitan Transportation Auth/Triborough Bridge & Tunnel, AMBAC:
1.188%, 1/1/2030, Call 3/28/2016 (8) (12)	275,000	252,404
1.192%, 1/1/2030, Call 3/1/2016 (8) (12)	225,000	206,562
1.198%, 1/1/2030, Call 3/2/2016 (8) (12)	150,000	138,324
New York City Transit Authority/Metropolitan Transportation Authority/Triborough Bridge & Tunnel, AMBAC, 1.193%, 1/1/2030, Call 3/3/2016 (8) (12)	150,000	137,369
New York City Transitional Finance Authority:
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,917,893
5.000%, 11/1/2024	2,215,000	2,781,043
5.000%, 11/1/2025, Call 5/1/2025	2,475,000	3,117,262
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,248,060
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,496,120
New York City Transitional Finance Authority, NATL-RE FGIC, 5.000%, 7/15/2024, Call 1/15/2017	435,000	451,713
New York City Water & Sewer System:
5.000%, 6/15/2028, Call 6/15/2024	500,000	610,550
5.000%, 6/15/2029, Call 6/15/2024	600,000	728,082
New York Mortgage Agency:
4.000%, 10/1/2026, Call 4/1/2021	1,000,000	1,051,090
5.000%, 10/1/2019	500,000	571,065
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	9,021,879
5.000%, 3/15/2028, Call 3/15/2019	625,000	699,706
5.000%, 3/15/2031, Call 9/15/2025	5,465,000	6,596,911
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,156,460
New York State Dormitory Authority, NATL-RE, 0.760%, 7/1/2029, Call 3/7/2016 (8) (12)	3,150,000	2,816,582
New York State Energy Research & Development Authority, AMBAC, 0.250%, 10/1/2028, Call 3/4/2016 (8) (12)	500,000	500,000
New York State Energy Research & Development Authority, NATL-RE, 0.467%, 12/1/2020, Call 3/1/2016 (8) (12)	6,450,000	6,231,371
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,200,270
Niagara Tobacco Asset Securitization Corp.:
4.000%, 5/15/2016	395,000	397,729
5.000%, 5/15/2017	300,000	314,976
State of New York, NATL-RE FGIC:
0.572%, 2/15/2022, Call 3/3/2016 (8) (12)	1,270,000	1,233,001
0.572%, 2/13/2032, Call 3/3/2016 (8) (12)	2,280,000	2,102,899
		68,372,447
North Carolina — 0.8%
Charlotte-Mecklenburg Hospital Authority, 5.000%, 1/15/2021, Call 1/15/2017	850,000	883,864
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	650,046
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,186,600
5.000%, 10/1/2024, Call 10/1/2021	835,000	990,811
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	287,108
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,663,677
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,955,477
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	275,000	300,094
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	595,000	630,456
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	519,359
5.000%, 6/1/2027, Call 6/1/2022	500,000	577,460
Orange County Public Facilities, 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,362,690
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,911,643
		12,919,285
North Dakota — 1.7%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	678,294
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,591,023
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,917,987
City of Bowman, 2.500%, 2/15/2017, Call 8/15/2016	3,000,000	3,001,830

City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,629,133
City of Grand Forks:
4.000%, 12/1/2019	535,000	581,679
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,093,170
City of West Fargo, 3.000%, 5/1/2023, Call 5/1/2017	185,000	186,833
North Dakota Housing Finance Agency:
3.600%, 7/1/2032, Call 7/1/2022	1,290,000	1,318,560
3.750%, 7/1/2034, Call 7/1/2022	420,000	432,638
4.125%, 1/1/2026, Call 1/1/2021	705,000	742,323
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,822,738
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,512,609
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,302,014
North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	945,000	945,000
Williston Parks & Recreation District:
3.000%, 3/1/2017	805,000	818,468
4.500%, 3/1/2020	1,455,000	1,590,068
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,859,562
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,981,429
		30,005,358
Ohio — 4.2%
Apollo Joint Vocational School District:
5.250%, 12/1/2032, Call 12/1/2021	600,000	690,534
5.250%, 12/1/2033, Call 12/1/2021	500,000	573,995
Brookfield Local School District, AGM, 5.000%, 1/15/2030, Call 1/15/2018	400,000	429,744
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,665,239
5.000%, 10/1/2024, Call 10/1/2022	460,000	549,976
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,274,283
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,337,954
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,711,429
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,409,128
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,380,558
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,119,790
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,123,980
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	550,765
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,091,880
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,082,330
Cleveland Heights & University Heights City School District:
12/1/2024	400,000	329,204
12/1/2025	600,000	474,168
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,154,270
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,381,220
5.000%, 5/15/2031, Call 5/15/2023	405,000	473,064
County of Hamilton, 5.000%, 12/1/2029, Call 12/1/2021	975,000	1,091,347
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,333,002
County of Lorain, AMBAC:
0.879%, 10/1/2030 (8) (12)	4,350,000	3,887,082
0.884%, 10/1/2030 (8) (12)	500,000	450,768
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	1,105,680
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,433,502
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022	480,000	545,794
4.000%, 12/1/2027, Call 12/1/2022	1,160,000	1,293,261
4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,241,926
4.000%, 12/1/2032, Call 12/1/2022	1,015,000	1,082,914
4.000%, 12/1/2033, Call 12/1/2022	1,550,000	1,644,922
4.000%, 12/1/2034, Call 12/1/2022	1,435,000	1,517,484
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	834,219
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	769,268
4.000%, 12/1/2024, Call 12/1/2019	835,000	920,345
4.000%, 12/1/2025, Call 12/1/2019	855,000	940,406

Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,767,062
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,881,693
Liberty Local School District, AGM:
2.500%, 12/1/2016	555,000	563,109
4.500%, 12/1/2018	885,000	960,597
New Albany Community Authority:
4.000%, 10/1/2020	590,000	650,339
5.000%, 10/1/2022	1,000,000	1,182,680
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,326,442
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	267,480
5.000%, 12/1/2028, Call 12/1/2023	365,000	441,442
5.000%, 12/1/2029, Call 12/1/2023	500,000	601,935
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,159,105
4.000%, 12/1/2021	795,000	887,268
4.000%, 12/1/2022	845,000	948,276
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.200%, 9/1/2029, Call 9/1/2018	1,380,000	1,466,981
Ohio State Turnpike Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,571,289
Ohio State Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,349,249
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	264,722
State of Ohio, 0.340%, 1/15/2045, Call 3/1/2016 (8)	8,250,000	8,250,000
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	289,450
		71,724,550
Oklahoma — 0.7%
Blanchard Municipal Improvement Authority, BAM, 4.000%, 5/1/2039, Call 5/1/2022	315,000	324,885
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,420,620
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 9/1/2017	2,365,000	2,371,622
4.000%, 9/1/2018	415,000	441,045
4.000%, 9/1/2019	740,000	801,176
4.000%, 9/1/2020	700,000	768,110
4.000%, 9/1/2021	805,000	894,580
Oklahoma Housing Finance Agency, GNMA:
2.500%, 3/1/2022	590,000	605,299
3.300%, 3/1/2031, Call 3/1/2022	1,425,000	1,458,530
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	240,000	250,896
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.250%, 9/1/2029, Call 3/1/2019	35,000	36,770
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (14)	1,405,000	1,588,634
		11,962,167
Oregon — 1.1%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,166,000
City of Tigard:
5.000%, 8/1/2029, Call 8/1/2022	690,000	813,958
5.000%, 8/1/2037, Call 8/1/2025	650,000	759,369
City of Woodburn:
3/1/2020	1,380,000	1,289,265
3/1/2021	1,215,000	1,106,051
Clackamas & Washington Counties School District No. 3, NATL-RE FGIC School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,740,160
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	293,103
5.000%, 9/1/2022	505,000	597,849
Multnomah County School District No. 3 Park Rose, School Bond Gty, 5.000%, 6/30/2036, Call 6/30/2021	475,000	554,206
Port of Morrow:
0.200%, 2/1/2027, Call 3/1/2016 (8)	4,360,000	4,360,000
3.500%, 6/1/2020, Call 6/1/2019	210,000	219,776
3.750%, 6/1/2021, Call 6/1/2019	220,000	229,843
4.000%, 6/1/2022, Call 6/1/2019	235,000	247,114
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,578,250
State of Oregon Housing & Community Services Department:
4.450%, 7/1/2023, Call 1/1/2020 (14)	1,625,000	1,730,755

4.750%, 7/1/2036, Call 7/1/2016 (14)	470,000	471,222
		19,156,921
Pennsylvania — 2.2%
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	556,905
City of Philadelphia, AGM, 5.250%, 12/15/2023, Call 12/15/2018	755,000	833,626
City of Pittsburgh:
4.000%, 9/1/2016	415,000	422,391
4.000%, 9/1/2021	750,000	839,700
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,614,923
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	403,499
5.000%, 5/1/2022	430,000	486,296
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	601,143
Montgomery County Industrial Development Authority:
5.000%, 11/15/2016	1,500,000	1,543,650
6.250%, 11/15/2029, Call 11/15/2019	715,000	800,557
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,584,360
Nazareth Area School District, SAW, 0.810%, 2/1/2018, Call 8/1/2017 (8)	500,000	500,190
Pennsylvania Economic Development Financing Authority, 1.250%, 5/1/2017 (8)	500,000	500,420
Pennsylvania Economic Development Financing Authority, AGM:
1/1/2020	600,000	551,172
1/1/2021	600,000	534,978
5.000%, 1/1/2022	305,000	351,281
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2022 (14)	2,300,000	2,420,060
Pennsylvania Turnpike Commission:
0.560%, 12/1/2016, Call 6/1/2016 (8)	1,450,000	1,450,913
0.690%, 12/1/2018, Call 6/1/2018 (8)	2,850,000	2,839,882
0.990%, 12/1/2021, Call 6/1/2021 (8)	5,000,000	4,942,800
4.000%, 12/1/2023, Call 12/1/2019	200,000	218,212
5.000%, 6/1/2021, Call 6/1/2019	715,000	809,995
5.000%, 12/1/2030, Call 12/1/2020 (15)	585,000	676,090
6.000%, 12/1/2034, Call 12/1/2020 (15)	395,000	470,702
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,171,209
Pittsburgh Public Schools, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,195,310
Pocono Mountain School District, AGM SAW, 4.000%, 6/15/2021	2,785,000	3,146,409
Sayre Health Care Facilities Authority, 1.057%, 12/1/2024, Call 12/1/2017 (8)	225,000	214,697
Scranton School District, AGM SAW:
2.000%, 6/15/2017	255,000	258,930
3.000%, 6/15/2017	350,000	359,856
Scranton School District, SAW, 1.290%, 4/2/2018, Call 10/2/2017 (8)	3,325,000	3,332,747
State Public School Building Authority, SAW, 1.086%, 9/1/2018, Call 3/1/2018 (8)	1,545,000	1,548,322
		37,181,225
Puerto Rico — 0.2%
3033AAXNM1Puerto Rico Infrastructure Financing Authority, BHAC, 5.500%, 7/1/2021	275,000	323,708
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, 5.000%, 4/1/2016	2,255,000	2,252,790
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, NATL-RE, 4.250%, 10/1/2024, Call 3/31/2016	150,000	150,009
		2,726,507
Rhode Island — 1.1%
Rhode Island Housing & Mortgage Finance Corp.:
3.625%, 10/1/2029, Call 10/1/2021	760,000	774,280
4.000%, 10/1/2040, Call 10/1/2021	990,000	1,005,602
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (14)	300,000	308,817
3.950%, 12/1/2017	250,000	261,963
4.000%, 12/1/2022, Call 12/1/2021 (14)	2,885,000	3,110,319
4.200%, 12/1/2018, Call 12/1/2017	600,000	629,586
4.250%, 12/1/2020, Call 12/1/2017	500,000	522,075
4.250%, 12/1/2025, Call 12/1/2021 (14)	2,205,000	2,346,958
4.500%, 12/1/2021, Call 12/1/2017	1,000,000	1,046,840
4.750%, 12/1/2028, Call 12/1/2021 (14)	1,000,000	1,075,810
4.750%, 12/1/2029, Call 12/1/2021 (14)	680,000	727,138
Rhode Island Turnpike & Bridge Authority, 5.000%, 10/1/2030, Call 4/1/2026	900,000	1,086,849
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	4,025,000	4,119,748

Town of Cumberland:
4.000%, 3/15/2024	795,000	910,545
4.000%, 3/15/2026, Call 3/15/2024	460,000	515,982
		18,442,512
South Carolina — 1.1%
City of Rock Hill, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	858,560
5.250%, 1/1/2028, Call 1/1/2022	475,000	558,082
County of Dorchester:
5.000%, 10/1/2022	480,000	578,842
5.000%, 10/1/2026, Call 10/1/2022	400,000	480,436
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,312,980
5.000%, 11/1/2030, Call 11/1/2020	500,000	559,565
5.000%, 11/1/2031, Call 11/1/2024	360,000	419,922
Laurens County Water & Sewer Commission:
5.000%, 3/1/2029, Call 3/1/2017	415,000	431,471
5.000%, 3/1/2032, Call 3/1/2017	1,000,000	1,038,470
Piedmont Municipal Power Agency, AGM:
5.000%, 1/1/2030, Call 7/1/2021	450,000	519,863
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,196,410
South Carolina Jobs-Economic Development Authority, 5.000%, 7/1/2022	1,735,000	2,024,918
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019	150,000	158,162
South Carolina State Housing Finance & Development Authority, AGM, 5.500%, 7/1/2037, Call 7/1/2016 (14)	310,000	314,886
South Carolina State Public Service Authority:
5.000%, 12/1/2028, Call 12/1/2024	500,000	603,725
5.000%, 12/1/2030, Call 6/1/2026	1,250,000	1,509,487
5.000%, 12/1/2031, Call 6/1/2026	1,250,000	1,498,325
5.500%, 1/1/2038, Call 1/1/2019	920,000	1,039,269
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023	1,500,000	1,739,265
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	1,029,267
		18,871,905
South Dakota — 1.0%
City of Rapid City:
5.500%, 12/1/2022, Call 12/1/2019	225,000	248,891
6.750%, 12/1/2031, Call 12/1/2019	500,000	568,955
7.000%, 12/1/2035, Call 12/1/2019	750,000	855,742
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	500,000	564,980
4.250%, 9/1/2023	740,000	815,769
4.500%, 9/1/2018	500,000	531,905
4.500%, 9/1/2020	900,000	985,293
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,182,352
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,098,897
5.000%, 9/1/2019	200,000	225,492
5.000%, 11/1/2022	715,000	856,019
5.000%, 8/1/2023	375,000	454,714
5.000%, 11/1/2023	625,000	755,087
5.000%, 8/1/2024	195,000	238,222
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,133,390
5.000%, 11/1/2024	650,000	793,942
5.000%, 11/1/2025, Call 11/1/2024	600,000	726,546
5.000%, 11/1/2026, Call 11/1/2024	550,000	660,737
5.000%, 9/1/2027, Call 9/1/2024	720,000	820,901
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017	980,000	1,035,066
South Dakota Housing Development Authority:
3.750%, 5/1/2018	500,000	521,325
3.900%, 11/1/2030, Call 11/1/2023	320,000	331,904
South Dakota Housing Development Authority, FHLMC COLL, 3.550%, 11/1/2033, Call 11/1/2022	2,355,000	2,389,171
		17,795,300

Tennessee — 1.0%
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board, 5.000%, 11/1/2027, Call 11/1/2021	500,000		566,150
Metropolitan Nashville Airport Authority, 5.000%, 7/1/2017	585,000		618,743
Public Building Authority of Sevier County, AMBAC, 0.480%, 6/1/2018 (8) (12)	550,000		540,802
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000		6,295,695
5.250%, 9/1/2021	3,810,000		4,494,733
5.250%, 9/1/2022	250,000		299,253
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	915,000		954,555
4.000%, 7/1/2025, Call 1/1/2020	880,000		912,217
4.000%, 7/1/2039, Call 1/1/2024	920,000		982,542
4.125%, 1/1/2025, Call 1/1/2021	770,000		817,178
4.500%, 7/1/2028, Call 1/1/2020	350,000		363,688
4.750%, 7/1/2027, Call 1/1/2017 (14)	165,000		166,931
5.000%, 1/1/2027, Call 7/1/2019	355,000	��	366,892
			17,379,379
Texas — 10.2%
Austin Community College District, 5.000%, 8/1/2031, Call 8/1/2025	5,250,000		6,383,790
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000		747,047
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000		1,095,380
5.250%, 4/1/2021, Call 4/1/2020	400,000		447,660
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000		745,810
City of Beaumont:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000		1,228,160
5.000%, 9/1/2027, Call 9/1/2025	600,000		729,474
5.000%, 9/1/2030, Call 9/1/2025	1,000,000		1,193,340
City of Galveston, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000		1,241,949
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000		300,533
City of Houston Combined Utility System:
5.000%, 11/15/2028, Call 11/15/2025	3,540,000		4,335,580
5.000%, 11/15/2029, Call 11/15/2026 (9)	4,225,000		5,232,367
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000		380,440
City of Houston, XLCA, 0.868%, 7/1/2032 (8) (12) (14)	450,000		413,160
City of Laredo International Toll Bridge, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000		269,910
5.000%, 10/1/2027, Call 10/1/2024	240,000		285,245
City of San Antonio, 0.410%, 11/1/2017 (8)	1,600,000		1,594,976
City of San Marcos:
4.500%, 11/1/2028, Call 11/1/2022	600,000		653,196
5.000%, 11/1/2033, Call 11/1/2022	1,215,000		1,373,205
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000		828,353
5.000%, 8/15/2027, Call 8/15/2025	545,000		663,134
5.000%, 8/15/2028, Call 8/15/2025	835,000		1,008,162
5.000%, 8/15/2029, Call 8/15/2025	335,000		401,353
5.000%, 8/15/2030, Call 8/15/2025	1,250,000		1,491,825
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000		1,194,630
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000		1,487,437
County of Bowie, AGM:
4.000%, 8/1/2021, Call 8/1/2016	1,275,000		1,293,398
4.000%, 8/1/2024, Call 8/1/2016	1,315,000		1,332,582
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000		4,661,440
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000		1,099,857
5.000%, 2/15/2030, Call 2/15/2025	1,000,000		1,161,910
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000		783,797
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000		1,203,480
5.000%, 11/1/2032, Call 11/1/2020	5,000,000		5,787,350
5.000%, 11/1/2033, Call 11/1/2023	2,000,000		2,335,940
5.250%, 11/1/2033, Call 11/1/2023	1,200,000		1,422,312
Denver City Independent School District, PSF, 5.000%, 2/15/2032, Call 8/15/2016	1,000,000		1,018,460
Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018	1,840,000		2,077,434

Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	751,502
Grand Parkway Transportation Corp., 0.000%, 10/1/2030, Call 10/1/2028 (15)	1,000,000	870,320
Gulf Coast Waste Disposal Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,672,027
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,751,715
Harris County Cultural Education Facilities Finance Corp.:
0.760%, 6/1/2020 (8)	2,000,000	1,988,940
0.840%, 6/1/2021 (8)	2,400,000	2,384,328
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,763,342
Harris County Flood Control District, 5.000%, 10/1/2029, Call 10/1/2025	1,145,000	1,407,159
Harris County Hospital District, NATL-RE, 5.250%, 2/15/2027, Call 2/15/2017	5,615,000	5,847,686
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	486,572
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	611,864
La Vernia Higher Education Finance Corp.:
4.750%, 8/15/2016	180,000	183,359
5.000%, 8/15/2017	150,000	159,086
5.000%, 8/15/2018	150,000	164,754
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,318,270
Little Elm Independent School District, PSF:
5.000%, 8/15/2020, Call 8/15/2016	95,000	96,967
5.000%, 8/15/2020, Call 8/15/2016	1,050,000	1,071,357
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	840,158
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,625,661
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018	675,000	740,988
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	589,782
Midland County Public Facility Corp., 1.250%, 3/1/2018, Call 9/1/2017	875,000	878,237
Midland Independent School District, PSF:
5.000%, 2/15/2031, Call 3/31/2016	1,405,000	1,409,426
5.000%, 2/15/2032, Call 3/31/2016	1,050,000	1,053,223
Nacogdoches County Hospital District, AGM:
3.000%, 5/15/2018	495,000	514,171
3.000%, 5/15/2019	510,000	536,260
New Hope Cultural Education Facilities Corp., 5.000%, 7/1/2030, Call 7/1/2025	750,000	842,647
New Hope Cultural Education Facilities Corp., AGM, 4.000%, 4/1/2024	440,000	480,256
Nolan County Hospital District:
5.000%, 8/15/2022	310,000	365,189
5.000%, 8/15/2023	250,000	296,345
5.000%, 8/15/2024	200,000	238,374
North Texas Tollway Authority:
0.810%, 1/1/2019, Call 7/1/2018 (8)	1,750,000	1,738,397
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,510,696
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,929,740
North Texas Tollway Authority, BHAC, 5.125%, 1/1/2028, Call 1/1/2018	500,000	537,255
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2016 (8)	2,190,000	2,204,323
Plano Independent School District, PSF, 5.000%, 2/15/2028, Call 2/15/2026 (9)	8,000,000	9,975,680
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,200,310
Port of Port Arthur Navigation District:
0.170%, 12/1/2039, Call 3/1/2016 (8)	7,500,000	7,500,000
0.170%, 4/1/2040, Call 3/1/2016 (8)	8,230,000	8,230,000
0.170%, 11/1/2040, Call 3/1/2016 (8)	19,000,000	19,000,000
0.170%, 11/1/2040, Call 3/1/2016 (8)	14,700,000	14,700,000
Sabine River Authority, MBIA, 4.950%, 3/1/2018	370,000	393,484
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	580,725
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	445,148
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	1,000,000	1,014,240
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,399,846
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,351,180
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,105,580
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,610,455
		175,271,100
Utah — 0.8%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	972,426
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,140,230

City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	384,345
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,716,463
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,502,320
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	1,070,494
Uintah County Municipal Building Authority, 5.300%, 6/1/2028, Call 6/1/2018	1,350,000	1,490,913
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,179,760
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,569,724
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,211,249
Utah State Charter School Finance Authority, 5.250%, 10/15/2028, Call 10/15/2023	480,000	570,653
		13,808,577
Vermont — 0.1%
Vermont Housing Finance Agency, 4.000%, 11/1/2043, Call 5/1/2023	1,515,000	1,598,871
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (14)	130,000	141,077
5.000%, 6/15/2020 (14)	125,000	137,935
		1,877,883
Virgin Islands — 0.2%
Virgin Islands Public Finance Authority, 5.000%, 9/1/2030, Call 9/1/2025 (6)	3,320,000	3,829,487
Virginia — 0.3%
City of Chesapeake, 5.000%, 7/15/2022	500,000	590,225
Henrico County Economic Development Authority, AGM, 0.763%, 8/23/2027, Call 3/1/2016 (8) (12)	50,000	46,607
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	863,306
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	2,032,939
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,123,420
		4,656,497
Washington — 1.7%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	172,082
King County Housing Authority:
5.200%, 5/1/2028, Call 11/1/2018	660,000	714,358
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,092,840
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	235,624
Marysville Local Improvement District:
2.050%, 6/1/2036, Call 6/1/2024	245,000	253,291
3.350%, 6/1/2036, Call 6/1/2024	350,000	361,466
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,324,032
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,249,348
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	778,316
State of Washington:
4.100%, 7/1/2022, Call 1/1/2019	440,000	474,219
5.000%, 2/1/2027, Call 2/1/2026	6,780,000	8,468,966
Washington Health Care Facilities Authority:
12/1/2017 (6)	375,000	355,834
5.000%, 8/15/2020, Call 8/15/2017	4,460,000	4,645,001
5.000%, 2/1/2023, Call 2/1/2021	1,000,000	1,162,530
5.000%, 10/1/2030, Call 10/1/2022	750,000	866,505
Washington State Housing Finance Commission, GNMA/FNMA COLL, 3.500%, 10/1/2022, Call 4/1/2021	420,000	441,340
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL:
3.050%, 6/1/2022 (14)	750,000	780,750
3.050%, 12/1/2022 (14)	200,000	208,808
3.150%, 6/1/2023, Call 12/1/2022 (14)	330,000	341,154
3.150%, 12/1/2023, Call 12/1/2022 (14)	150,000	155,070
3.300%, 6/1/2024, Call 12/1/2022 (14)	20,000	20,400
3.450%, 6/1/2025, Call 12/1/2022 (14)	845,000	879,577
WBRP 3.2 Washington Biomed Research Properties Lease:
5.000%, 1/1/2026, Call 7/1/2025	750,000	939,847
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,137,889

Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	580,003
5.000%, 12/1/2022	510,000	572,500
		29,211,750
West Virginia — 0.5%
Berkeley County Public Service Sewer District, BAM:
4.500%, 10/1/2029, Call 10/1/2023	1,000,000	1,124,050
4.500%, 10/1/2032, Call 10/1/2023	1,220,000	1,342,329
City of Princeton, 5.000%, 5/1/2017	875,000	913,833
West Virginia Hospital Finance Authority, 5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,849,075
West Virginia Hospital Finance Authority, AMBAC, 5.000%, 6/1/2019, Call 6/1/2016	1,565,000	1,583,185
West Virginia State Hospital Finance Authority, AMBAC, 5.000%, 6/1/2018, Call 6/1/2016	600,000	606,720
		8,419,192
Wisconsin — 3.1%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	103,850
Maple School District, 5.000%, 4/1/2022	1,070,000	1,277,837
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	555,810
Public Finance Authority, 4.750%, 12/1/2035, Call 12/1/2020	2,000,000	2,038,960
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	888,376
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,360,920
5.000%, 5/1/2027, Call 5/1/2022	1,605,000	1,920,800
5.750%, 5/1/2029, Call 5/1/2019	1,155,000	1,324,889
6.000%, 5/1/2033, Call 5/1/2019	1,415,000	1,630,759
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,256,016
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	614,188
5.250%, 12/15/2027	1,930,000	2,329,027
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021	20,000	22,306
4.750%, 10/15/2029, Call 10/15/2021	605,000	672,887
5.000%, 8/15/2018	1,000,000	1,091,470
5.000%, 6/1/2019	645,000	679,243
5.000%, 7/1/2019	990,000	1,102,731
5.000%, 8/15/2019	250,000	280,747
5.000%, 8/15/2019	955,000	1,073,831
5.000%, 8/15/2020	1,060,000	1,223,070
5.000%, 3/1/2021	240,000	269,686
5.000%, 8/15/2021	1,160,000	1,370,366
5.000%, 3/1/2022	205,000	232,755
5.000%, 10/1/2022	750,000	902,370
5.000%, 12/15/2022	500,000	604,565
5.000%, 12/15/2023	500,000	611,235
5.000%, 12/15/2024	500,000	615,735
5.000%, 3/1/2025, Call 3/1/2024	315,000	354,715
5.000%, 6/1/2026, Call 6/1/2020	135,000	153,047
5.000%, 8/15/2027, Call 8/15/2022	500,000	571,465
5.000%, 12/15/2028, Call 12/15/2024	100,000	117,532
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,938,646
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	5,150,018
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,115,480
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,607,300
5.125%, 4/15/2031, Call 4/15/2023	250,000	289,357
5.250%, 8/15/2018, Call 8/15/2016	500,000	510,500
5.250%, 4/1/2023, Call 4/1/2018	365,000	398,876
5.250%, 6/1/2034, Call 6/1/2020	300,000	338,694
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,867,629
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	4,182,234
Wisconsin Housing & Economic Development Authority, 5.750%, 11/1/2025, Call 5/1/2020 (14)	1,605,000	1,739,740
		52,389,662
Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000	1,145,860

Wyoming Municipal Power Agency, Inc., 5.500%, 1/1/2028, Call 1/1/2018	500,000			540,075
				1,685,935
Total Municipals   (identified cost $1,619,570,591)				1,692,161,692
Mutual Funds — 1.0%
BlackRock Long-Term Municipal Advantage Trust	121,500			1,409,400
BlackRock Muni Intermediate Duration Fund, Inc.	110,000			1,603,800
BlackRock Municipal Bond Trust	93,400			1,567,252
BlackRock Municipal Income Quality Trust	107,800			1,600,830
BlackRock Municipal Income Trust	107,000			1,615,700
BlackRock MuniHoldings Quality Fund, Inc.	93,400			1,284,250
BlackRock MuniYield Quality Fund, Inc.	105,000			1,673,700
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	499,802			5,033,001
Eaton Vance Municipal Income Term Trust	42,000			817,740
Total Mutual Funds   (identified cost $15,645,016)				16,605,673
Short-Term Investments — 0.5%
Mutual Funds — 0.5%
BMO Tax-Free Money Market Fund - Premier Class, 0.130% (4)	4,285,672	��		4,285,672
Federated Tax-Free Obligations Money Market Fund - Institutional Class, 0.010%	1,996,024			1,996,024
Goldman Sachs Financial Square Tax-Free Money Market Fund - Institutional Class, 0.010%	1,998,965			1,998,965
Total Short-Term Investments   (identified cost $8,280,661)				8,280,661
Total Investments — 100.0%   (identified cost $1,643,496,268)				1,717,048,026
Other Assets and Liabilities — 0.0%				(106,162	)
Total Net Assets — 100.0%			$	1,716,941,864

(4) Denotes an investment in an affiliated entity. Please refer to Note 6, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(6) Denotes a restricted security which is subject to restrictions on resale under federal securities law. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2016, these securities amounted to:

Fund	Amount	% of Total Net Assets
Intermediate Tax-Free Fund	$30,473,094	1.78%

(8) Denotes a variable or floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2016.

(9) Purchased on a when-issued or delayed delivery basis.

(12) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(14) Securities that are subject to alternative minimum tax represent 2.51% of the Intermediate Tax-Free Fund’s portfolio as calculated based upon total portfolio market value.

(15) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

Item 7.     Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 8.     Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 9.     Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end management investment companies.

Item 10.     Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11.    Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures were effective in ensuring that information required to be disclosed in this report was appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or were reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12.    Exhibits.

(a) (1) Not applicable to semi-annual reports.

(a) (2) Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(a) (3) Not applicable to open-end management investment companies.

(b) Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

BMO Funds, Inc.

/s/ John M. Blaser                

By: John M. Blaser

President

April 21, 2016

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

/s/ John M. Blaser                

By: John M. Blaser

President

(Principal Executive Officer)

April 21, 2016

/s/ Timothy M. Bonin                

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

April 21, 2016