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 28, 2017

Item 1. Reports to Stockholders.

BMO Funds February 28, 2017

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:
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	5	BMO Ultra Short Tax-Free Fund	43
BMO Dividend Income Fund	7	BMO Short Tax-Free Fund	46
BMO Large-Cap Value Fund	8	BMO Short-Term Income Fund	49
BMO Large-Cap Growth Fund	10	BMO Intermediate Tax-Free Fund	53
BMO Mid-Cap Value Fund	12	BMO Mortgage Income Fund	58
BMO Mid-Cap Growth Fund	14	BMO TCH Intermediate Income Fund	60
BMO Small-Cap Value Fund	16	BMO TCH Corporate Income Fund	61
BMO Small-Cap Core Fund	18	BMO TCH Core Plus Bond Fund	64
BMO Small-Cap Growth Fund	21	BMO Monegy High Yield Bond Fund	68
International and Global Funds:		Money Market Funds:
BMO Global Low Volatility Equity Fund	23	BMO Government Money Market Fund	72
BMO Disciplined International Equity Fund	26	BMO Tax-Free Money Market Fund	73
BMO Pyrford International Stock Fund	27	BMO Prime Money Market Fund	75
BMO LGM Emerging Markets Equity Fund	29	BMO Institutional Prime Money Market Fund	77
BMO TCH Emerging Markets Bond Fund	30
Alternative Funds:
BMO Alternative Strategies Fund	32
BMO Global Long/Short Equity Fund	39
Notes to Schedules of Investments			80
Statements of Assets and Liabilities			82
Statements of Operations			89
Statements of Changes in Net Assets			96
Financial Highlights			105
Notes to Financial Statements			118
Shareholder Report Disclosure of Directors’ Approval of Advisory Contract			146
Privacy Policy			147

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2017

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 28, 2017 (9/1/16-2/28/17).

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 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
Low Volatility Equity Fund
Actual										$	1,000.00	$	1,053.40		0.90	%	$	4.58	$	1,000.00	$	1,054.40		0.65	%	$	3.31
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
Dividend Income Fund
Actual											1,000.00		1,108.60		0.90			4.70		1,000.00		1,110.50		0.65			3.40
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
Large-Cap Value Fund
Actual	$	1,000.00	$	1,127.00		1.00	%	$	5.27		1,000.00		1,127.00		1.00			5.25		1,000.00		1,128.20		0.75			3.95
Hypothetical (5% return before expenses)		1,000.00		1,020.04		1.00			5.01		1,000.00		1,020.04		1.00			5.01		1,000.00		1,021.28		0.75			3.76
Large-Cap Growth Fund
Actual		1,000.00		1,108.80		1.00			5.22		1,000.00		1,108.80		1.00			5.23		1,000.00		1,110.60		0.75			3.92
Hypothetical (5% return before expenses)		1,000.00		1,020.04		1.00			5.01		1,000.00		1,020.04		1.00			5.01		1,000.00		1,021.28		0.75			3.76
Mid-Cap Value Fund
Actual		1,000.00		1,125.00		1.24			6.55		1,000.00		1,125.00		1.24			6.54		1,000.00		1,126.20		0.99			5.24
Hypothetical (5% return before expenses)		1,000.00		1,018.85		1.24			6.21		1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96

2

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
Mid-Cap Growth Fund
Actual	$	1,000.00	$	1,096.30		1.24	%	$	6.46	$	1,000.00	$	1,096.30		1.24	%	$	6.46	$	1,000.00	$	1,097.70		0.99	%	$	5.16
Hypothetical (5% return before expenses)		1,000.00		1,018.85		1.24			6.21		1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
Small-Cap Value Fund
Actual											1,000.00		1,146.00		1.24			6.60		1,000.00		1,148.60		0.99			5.28
Hypothetical (5% return before expenses)											1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
Small-Cap Core Fund
Actual											1,000.00		1,155.60		1.15			6.15		1,000.00		1,156.30		0.90			4.79
Hypothetical (5% return before expenses)											1,000.00		1,019.30		1.15			5.76		1,000.00		1,020.54		0.90			4.51
Small-Cap Growth Fund
Actual		1,000.00		1,079.50		1.28			6.57											1,000.00		1,081.20		1.03			5.31
Hypothetical (5% return before expenses)		1,000.00		1,018.65		1.28			6.41											1,000.00		1,019.89		1.03			5.16
Global Low Volatility Equity Fund
Actual											1,000.00		1,005.10		1.10			5.46		1,000.00		1,005.40		0.85			4.24
Hypothetical (5% return before expenses)											1,000.00		1,019.55		1.10			5.51		1,000.00		1,020.79		0.85			4.26
Disciplined International Equity Fund
Actual											1,000.00		1,066.50		1.15			5.89		1,000.00		1,067.50		0.90			4.63
Hypothetical (5% return before expenses)											1,000.00		1,019.30		1.15			5.76		1,000.00		1,020.54		0.90			4.51
Pyrford International Stock Fund
Actual		1,000.00		1,012.40		1.24			6.19		1,000.00		1,012.40		1.24			6.19		1,000.00		1,013.80		0.99			4.92
Hypothetical (5% return before expenses)		1,000.00		1,018.85		1.24			6.21		1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
LGM Emerging Markets Equity Fund
Actual											1,000.00		959.90		1.00			4.97		1,000.00		961.00		1.15			5.59
Hypothetical (5% return before expenses)											1,000.00		1,020.04		1.00			5.01		1,000.00		1,019.30		1.15			5.76
TCH Emerging Markets Bond Fund
Actual											1,000.00		1,003.90		1.23			6.11		1,000.00		1,004.00		0.85			4.22
Hypothetical (5% return before expenses)											1,000.00		1,018.90		1.23			6.16		1,000.00		1,020.79		0.85			4.26
Alternative Strategies Fund
Actual											1,000.00		1,024.30		2.93			14.72		1,000.00		1,025.20		2.68			13.47
Hypothetical (5% return before expenses)											1,000.00		1,010.47		2.93			14.61		1,000.00		1,011.71		2.68			13.37
Global Long/Short Equity Fund
Actual											1,000.00		1,118.80		2.29			12.01		1,000.00		1,120.20		2.04			10.70
Hypothetical (5% return before expenses)											1,000.00		1,013.64		2.29			11.43		1,000.00		1,014.88		2.04			10.19
Ultra Short Tax-Free Fund
Actual		1,000.00		1,003.20		0.55			2.73		1,000.00		1,003.20		0.55			2.73		1,000.00		1,005.50		0.30			1.49
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.51		0.30			1.51
Short Tax-Free Fund
Actual		1,000.00		996.60		0.55			2.72		1,000.00		996.60		0.55			2.72		1,000.00		997.30		0.40			1.98
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.02		0.40			2.01
Short-Term Income Fund
Actual		1,000.00		1,003.20		0.60			2.98		1,000.00		1,003.20		0.60			2.98		1,000.00		1,004.40		0.35			1.74
Hypothetical (5% return before expenses)		1,000.00		1,022.03		0.60			3.01		1,000.00		1,022.03		0.60			3.01		1,000.00		1,023.26		0.35			1.76
Intermediate Tax-Free Fund
Actual		1,000.00		975.40		0.55			2.69		1,000.00		975.40		0.55			2.69		1,000.00		977.40		0.31			1.54
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.46		0.31			1.56
Mortgage Income Fund
Actual		1,000.00		984.80		0.80			3.94		1,000.00		984.80		0.80			3.93		1,000.00		986.00		0.55			2.71
Hypothetical (5% return before expenses)		1,000.00		1,021.03		0.80			4.01		1,000.00		1,021.03		0.80			4.01		1,000.00		1,022.27		0.55			2.76
TCH Intermediate Income Fund
Actual											1,000.00		1,000.60		0.80			3.97		1,000.00		1,002.70		0.55			2.73
Hypothetical (5% return before expenses)											1,000.00		1,021.03		0.80			4.01		1,000.00		1,022.27		0.55			2.76

3

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional/Premier
Fund	Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
TCH Corporate Income Fund
Actual	$	1,000.00	$	1,006.40		0.59	%	$	2.93	$	1,000.00	$	1,006.40		0.59	%	$	2.93	$	1,000.00	$	1,007.00		0.47	%	$	2.34
Hypothetical (5% return before expenses)		1,000.00		1,022.07		0.59			2.96		1,000.00		1,022.07		0.59			2.96		1,000.00		1,022.67		0.47			2.36
TCH Core Plus Bond Fund
Actual		1,000.00		991.50		0.59			2.89		1,000.00		991.50		0.59			2.89		1,000.00		992.80		0.34			1.66
Hypothetical (5% return before expenses)		1,000.00		1,022.07		0.59			2.96		1,000.00		1,022.07		0.59			2.96		1,000.00		1,023.31	��	0.34			1.71
Monegy High Yield Bond Fund
Actual											1,000.00		1,037.60		0.90			4.56		1,000.00		1,038.90		0.65			3.31
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
Government Money Market Fund
Actual		1,000.00		1,000.20		0.38			1.91											1,000.00		1,001.10		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,023.12		0.38			1.91											1,000.00		1,024.01		0.20			1.00
Tax-Free Money Market Fund
Actual		1,000.00		1,001.60		0.45			2.23											1,000.00		1,002.90		0.20			1.00
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
Prime Money Market Fund
Actual		1,000.00		1,001.00		0.45			2.23											1,000.00		1,002.20		0.20			1.00
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
Institutional Prime Money Market Fund
Actual		1,000.00		1,001.70		0.45			2.23											1,000.00		1,002.90		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
Large-Cap Value Fund
Actual										$	1,000.00	$	1,128.80		0.60	%	$	3.16
Hypothetical (5% return before expenses)											1,000.00		1,022.03		0.60			3.01
Large-Cap Growth Fund
Actual											1,000.00		1,111.10		0.60			3.14
Hypothetical (5% return before expenses)											1,000.00		1,022.03		0.60			3.01
Mid-Cap Value Fund
Actual	$	1,000.00	$	1,124.10		1.49	%	$	7.87		1,000.00		1,127.30		0.84			4.44
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21
Mid-Cap Growth Fund
Actual		1,000.00		1,094.60		1.49			7.76		1,000.00		1,098.70		0.84			4.38
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21
Small-Cap Value Fund
Actual		1,000.00		1,145.90		1.49			7.93		1,000.00		1,149.50		0.84			4.48
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21
Pyrford International Stock Fund
Actual		1,000.00		1,011.30		1.49			7.43		1,000.00		1,014.60		0.84			4.18
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2016 through February 28, 2017, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 28, 2017 (Unaudited)

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.3%
Consumer Discretionary — 9.9%
Apparel Retail — 0.4%
Foot Locker, Inc. (1)		9,243	$	699,418
Apparel, Accessories & Luxury Goods — 0.7%
Carter’s, Inc. (1)		13,685		1,204,417
Automotive Retail — 1.8%
AutoZone, Inc. (1)(2)		4,078		3,003,651
Cable & Satellite — 1.2%
Comcast Corp., Class A		51,420		1,924,136
General Merchandise Stores — 0.4%
Target Corp. (1)		12,064		709,001
Movies & Entertainment — 1.0%
Regal Entertainment Group, Class A (1)		37,351		806,035
Walt Disney Co.		7,050		776,134
				1,582,169
Publishing — 0.3%
John Wiley & Sons, Inc., Class A		8,050		420,210
Restaurants — 3.8%
Brinker International, Inc. (1)		17,555		741,523
Darden Restaurants, Inc. (1)		7,623		569,286
Dunkin’ Brands Group, Inc. (1)		35,069		1,929,146
Panera Bread Co., Class A (1)(2)		13,130		3,030,404
				6,270,359
Specialty Stores — 0.3%
Sally Beauty Holdings, Inc. (1)(2)		20,789		454,655
Total Consumer Discretionary				16,268,016
Consumer Staples — 19.8%
Agricultural Products — 1.5%
Bunge, Ltd. (1)		30,236		2,474,817
Drug Retail — 1.8%
CVS Health Corp. (1)		37,966		3,059,300
Food Distributors — 2.2%
Sysco Corp.		58,782		3,098,987
U.S. Foods Holding Corp. (2)		22,144		610,067
				3,709,054
Food Retail — 3.5%
Kroger Co. (1)		93,716		2,980,169
Whole Foods Market, Inc. (1)		89,192		2,735,519
				5,715,688
Household Products — 1.0%
Church & Dwight Co., Inc. (1)		11,115		553,971
Spectrum Brands Holdings, Inc. (1)		7,765		1,053,866
				1,607,837
Hypermarkets & Super Centers — 4.0%
Costco Wholesale Corp. (1)		19,065		3,377,937
Wal-Mart Stores, Inc. (1)		44,707		3,171,067
				6,549,004
Packaged Foods & Meats — 1.9%
General Mills, Inc. (1)		10,468		631,953
Kellogg Co.		8,247		610,855
Tyson Foods, Inc., Class A (1)		30,123		1,884,495
				3,127,303

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Soft Drinks — 3.9%
Dr. Pepper Snapple Group, Inc.		33,881	$	3,165,841
PepsiCo, Inc.		29,705		3,278,838
				6,444,679
Total Consumer Staples				32,687,682
Energy — 0.7%
Integrated Oil & Gas — 0.4%
Exxon Mobil Corp. (1)		7,872		640,151
Oil & Gas-Equipment & Services — 0.3%
RPC, Inc. (1)		21,708		434,160
Total Energy				1,074,311
Financials — 21.1%
Consumer Finance — 2.3%
American Express Co. (1)		46,360		3,711,582
Diversified Banks — 1.2%
Wells Fargo & Co.		33,584		1,943,842
Financial Exchanges & Data — 1.7%
Morningstar, Inc. (1)		35,668		2,861,644
Life & Health Insurance — 2.0%
Aflac, Inc. (1)		44,590		3,226,086
Property & Casualty Insurance — 7.8%
Allstate Corp. (1)		43,898		3,606,660
Aspen Insurance Holdings, Ltd.		41,727		2,338,798
Axis Capital Holdings, Ltd. (1)		54,636		3,786,275
Travelers Cos., Inc. (1)		19,500		2,383,680
White Mountains Insurance Group, Ltd. (1)		839		785,522
				12,900,935
Regional Banks — 1.5%
PNC Financial Services Group, Inc. (1)		20,099		2,557,196
Reinsurance — 4.6%
Everest Re Group, Ltd. (1)		17,134		4,028,889
Validus Holdings, Ltd. (1)		62,007		3,575,323
				7,604,212
Total Financials				34,805,497
Healthcare — 15.2%
Healthcare Distributors — 0.2%
McKesson Corp.		2,135		320,527
Healthcare Equipment — 4.9%
Baxter International, Inc. (1)		10,497		534,507
Becton, Dickinson and Co. (1)		14,034		2,568,924
C.R. Bard, Inc. (1)		5,676		1,391,982
Hill-Rom Holdings, Inc. (1)		8,171		542,963
Medtronic PLC (1)		13,191		1,067,284
Varex Imaging Corp. (1)(2)		7,925		275,949
Varian Medical Systems, Inc. (1)(2)		19,815		1,662,280
				8,043,889
Healthcare Services — 3.0%
DaVita, Inc. (1)(2)		27,687		1,921,755
Express Scripts Holding Co. (1)(2)		43,439		3,068,965
				4,990,720
Healthcare Supplies — 0.7%
Cooper Cos., Inc. (1)		5,413		1,077,945
Managed Healthcare — 0.7%
Anthem, Inc. (1)		7,441		1,226,426

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

5

February 28, 2017 (Unaudited)

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Pharmaceuticals — 5.7%
Eli Lilly & Co. (1)		5,049	$	418,108
Johnson & Johnson (1)		29,189		3,567,188
Merck & Co., Inc.		31,526		2,076,617
Pfizer, Inc. (1)		96,781		3,302,168
				9,364,081
Total Healthcare				25,023,588
Industrials — 6.4%
Aerospace & Defense — 3.1%
Huntington Ingalls Industries, Inc. (1)		3,413		745,740
Lockheed Martin Corp. (1)		7,076		1,886,320
Northrop Grumman Corp. (1)		5,606		1,385,186
Raytheon Co.		2,817		434,241
Spirit AeroSystems Holdings, Inc., Class A (1)		10,690		658,611
				5,110,098
Agricultural & Farm Machinery — 0.2%
Deere & Co. (1)		3,605		394,711
Air Freight & Logistics — 1.4%
United Parcel Service, Inc., Class B (1)		21,530		2,277,013
Environmental & Facilities Services — 1.2%
Waste Management, Inc. (1)		26,480		1,941,514
Trucking — 0.5%
Landstar System, Inc. (1)		10,117		878,156
Total Industrials				10,601,492
Information Technology — 7.8%
Communications Equipment — 2.2%
Cisco Systems, Inc.		90,715		3,100,639
Motorola Solutions, Inc. (1)		6,626		523,255
				3,623,894
Consulting & Other Services — 1.4%
Amdocs, Ltd. (1)		38,496		2,334,782
Data Processing & Outsourced Services — 0.8%
Genpact, Ltd. (1)(2)		57,414		1,391,715
Electronic Components — 0.8%
Dolby Laboratories, Inc., Class A (1)		25,128		1,228,508
Internet Software & Services — 0.5%
eBay, Inc. (1)(2)		23,847		808,413
Technology Hardware, Storage & Peripherals — 2.1%
Apple, Inc.		25,550		3,500,095
Total Information Technology				12,887,407
Materials — 0.8%
Metal & Glass Containers — 0.3%
Silgan Holdings, Inc.		8,129		484,651
Paper Packaging — 0.5%
Avery Dennison Corp. (1)		9,810		791,765
Total Materials				1,276,416
Real Estate — 1.8%
Office REIT’s — 1.8%
Piedmont Office Realty Trust, Inc., Class A (1)		18,457		423,403
Equity Commonwealth (2)		81,049		2,533,592
Total Real Estate				2,956,995

Description	Shares		Value
Common Stocks (continued)
Telecommunication Services — 3.9%
Integrated Telecommunication Services — 3.9%
AT&T, Inc. (1)		82,032	$	3,428,117
Verizon Communications, Inc.		61,315		3,043,064
Total Telecommunication Services				6,471,181
Utilities — 10.9%
Electric Utilities — 7.0%
American Electric Power Co., Inc.		39,862		2,669,558
Edison International (1)		40,585		3,236,248
Entergy Corp. (1)		22,387		1,716,188
Exelon Corp. (1)		33,389		1,225,710
Great Plains Energy, Inc. (1)		55,232		1,605,042
Xcel Energy, Inc.		24,085		1,052,755
				11,505,501
Multi-Utilities — 3.9%
Ameren Corp. (1)		13,604		744,003
Consolidated Edison, Inc. (1)		29,717		2,289,397
PG&E Corp.		51,829		3,459,586
				6,492,986
Total Utilities				17,998,487
Total Common Stocks (identified cost $140,854,825)				162,051,072
Short-Term Investments — 50.9%
Collateral Pool Investments for Securities on Loan — 49.3%
Collateral pool allocation (3)				81,325,876
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		2,546,994		2,547,504
Total Short-Term Investments (identified cost $83,873,206)				83,873,380
Total Investments — 149.2% (identified cost $224,728,031)				245,924,452
Other Assets and Liabilities — (49.2)%				(81,069,922	)
Total Net Assets — 100.0%			$	164,854,530

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		9.9	%
Consumer Staples		19.8
Energy		0.7
Financials		21.1
Healthcare		15.2
Industrials		6.4
Information Technology		7.8
Materials		0.8
Real Estate		1.8
Telecommunication Services		3.9
Utilities		10.9
Other Assets & Liabilities, Net		1.7
Total		100.0	%

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

6

BMO Funds

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.5%
Consumer Discretionary — 9.7%
Advertising — 0.6%
Omnicom Group, Inc. (1)		8,018	$	682,332
Automobile Manufacturers — 2.6%
Ford Motor Co. (1)		145,588		1,824,217
General Motors Co. (1)		35,152		1,295,000
				3,119,217
Cable & Satellite — 0.5%
Comcast Corp., Class A		17,017		636,776
Department Stores — 1.6%
Kohl’s Corp. (1)		26,073		1,111,231
Nordstrom, Inc. (1)		18,168		847,719
				1,958,950
Hotels, Resorts & Cruise Lines — 2.5%
Carnival Corp. (1)		17,308		968,383
Wyndham Worldwide Corp. (1)		25,258		2,102,476
				3,070,859
Restaurants — 1.9%
Darden Restaurants, Inc. (1)		15,980		1,193,386
Yum! Brands, Inc.		16,783		1,096,266
				2,289,652
Total Consumer Discretionary				11,757,786
Consumer Staples — 6.5%
Drug Retail — 0.5%
CVS Health Corp. (1)		7,181		578,645
Food Distributors — 0.5%
Sysco Corp.		11,031		581,554
Hypermarkets & Super Centers — 1.4%
Wal-Mart Stores, Inc.		23,719		1,682,389
Packaged Foods & Meats — 0.5%
ConAgra Brands, Inc. (1)		14,569		600,389
Soft Drinks — 2.0%
Dr. Pepper Snapple Group, Inc.		6,520		609,229
PepsiCo, Inc. (1)		15,920		1,757,249
				2,366,478
Tobacco — 1.6%
Altria Group, Inc. (1)		17,416		1,304,807
Philip Morris International, Inc. (1)		6,332		692,404
				1,997,211
Total Consumer Staples				7,806,666
Energy — 6.3%
Integrated Oil & Gas — 3.4%
Chevron Corp. (1)		25,432		2,861,100
Occidental Petroleum Corp. (1)		18,354		1,203,105
				4,064,205
Oil & Gas-Drilling — 1.2%
Helmerich & Payne, Inc. (1)		21,674		1,481,851
Oil & Gas-Refining & Marketing — 1.3%
Valero Energy Corp. (1)		22,499		1,528,807
Oil & Gas-Storage & Transportation — 0.4%
Kinder Morgan, Inc.		26,128		556,788
Total Energy				7,631,651

Description	Shares		Value
Common Stocks (continued)
Financials — 15.1%
Asset Management & Custody Banks — 2.2%
Ameriprise Financial, Inc. (1)		20,229	$	2,660,113
Consumer Finance — 3.7%
Discover Financial Services		32,984		2,346,482
Navient Corp. (1)		134,995		2,080,273
				4,426,755
Diversified Banks — 5.0%
JPMorgan Chase & Co.		19,013		1,722,958
Wells Fargo & Co.		75,134		4,348,756
				6,071,714
Life & Health Insurance — 2.7%
Lincoln National Corp. (1)		19,269		1,351,913
Prudential Financial, Inc. (1)		17,177		1,898,746
				3,250,659
Property & Casualty Insurance — 1.0%
Allstate Corp.		13,842		1,137,259
Regional Banks — 0.5%
Keycorp (1)		32,902		617,570
Total Financials				18,164,070
Healthcare — 9.4%
Biotechnology — 3.7%
AbbVie, Inc. (1)		34,734		2,147,951
Amgen, Inc. (1)		13,346		2,355,969
				4,503,920
Pharmaceuticals — 5.7%
Johnson & Johnson		10,625		1,298,481
Merck & Co., Inc.		41,257		2,717,598
Pfizer, Inc. (1)		81,614		2,784,670
				6,800,749
Total Healthcare				11,304,669
Industrials — 10.3%
Aerospace & Defense — 3.1%
Boeing Co. (1)		17,185		3,097,252
Lockheed Martin Corp. (1)		2,651		706,704
				3,803,956
Airlines — 1.0%
Delta Air Lines, Inc.		23,198		1,158,276
Construction Machinery & Heavy Trucks — 0.9%
Cummins, Inc.		7,507		1,114,714
Environmental & Facilities Services — 0.5%
Waste Management, Inc. (1)		8,482		621,900
Industrial Machinery — 2.7%
Dover Corp. (1)		9,583		767,598
Ingersoll-Rand PLC		13,688		1,086,280
Parker-Hannifin Corp.		4,716		730,226
Stanley Black & Decker, Inc. (1)		4,868		618,966
				3,203,070
Railroads — 0.5%
Union Pacific Corp.		5,301		572,190
Research & Consulting Services — 0.7%
Nielsen Holdings PLC (1)		18,699		829,488
Trucking — 0.9%
Ryder System, Inc. (1)		14,833		1,129,533
Total Industrials				12,433,127

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

7

February 28, 2017 (Unaudited)

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology — 16.6%
Communications Equipment — 3.4%
Cisco Systems, Inc.		100,705	$	3,442,097
Harris Corp. (1)		5,639		619,726
				4,061,823
Data Processing & Outsourced Services — 0.9%
Western Union Co. (1)		53,466		1,050,072
Semiconductor Equipment — 2.4%
Applied Materials, Inc.		41,973		1,520,262
KLA-Tencor Corp. (1)		14,866		1,339,724
				2,859,986
Semiconductors — 4.4%
Intel Corp. (1)		82,965		3,003,333
QUALCOMM, Inc.		14,833		837,768
Texas Instruments, Inc. (1)		20,147		1,543,663
				5,384,764
Systems Software — 2.9%
Microsoft Corp.		54,645		3,496,187
Technology Hardware, Storage & Peripherals — 2.6%
Apple, Inc.		12,711		1,741,280
HP, Inc.		83,751		1,454,755
				3,196,035
Total Information Technology				20,048,867
Materials — 7.2%
Commodity Chemicals — 1.4%
LyondellBasell Industries NV, Class A (1)		18,002		1,642,502
Diversified Chemicals — 2.0%
Dow Chemical Co. (1)		28,571		1,778,830
Eastman Chemical Co. (1)		7,338		588,875
				2,367,705
Paper Packaging — 2.4%
Avery Dennison Corp. (1)		15,802		1,275,380
International Paper Co. (1)		19,852		1,046,200
WestRock Co.		10,803		580,337
				2,901,917
Steel — 1.4%
Nucor Corp. (1)		27,696		1,732,939
Total Materials				8,645,063
Real Estate — 3.2%
Hotel & Resort REIT’s — 1.1%
Host Hotels & Resorts, Inc. (1)		75,627		1,360,530
Industrial REIT’s — 0.5%
Prologis, Inc. (1)		11,541		589,168
Office REIT’s — 0.5%
SL Green Realty Corp. (1)		5,549		625,261
Residential REIT’s — 1.1%
Essex Property Trust, Inc. (1)		5,369		1,260,104
Total Real Estate				3,835,063
Telecommunication Services — 5.2%
Integrated Telecommunication Services — 5.2%
AT&T, Inc. (1)		65,660		2,743,932
Verizon Communications, Inc.		71,405		3,543,830
Total Telecommunication Services				6,287,762

Description	Shares		Value
Common Stocks (continued)
Utilities — 8.0%
Electric Utilities — 1.9%
American Electric Power Co., Inc.		9,746	$	652,689
Exelon Corp. (1)		44,277		1,625,409
				2,278,098
Multi-Utilities — 6.1%
Ameren Corp. (1)		39,427		2,156,263
CenterPoint Energy, Inc. (1)		87,049		2,378,179
PG&E Corp.		41,788		2,789,349
				7,323,791
Total Utilities				9,601,889
Total Common Stocks (identified cost $91,859,214)				117,516,613
Short-Term Investments — 46.3%
Collateral Pool Investments for Securities on Loan — 44.9%
Collateral pool allocation (3)				54,172,005
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		1,658,210		1,658,541
Total Short-Term Investments (identified cost $55,830,397)				55,830,546
Total Investments — 143.8% (identified cost $147,689,611)				173,347,159
Other Assets and Liabilities — (43.8)%				(52,840,588	)
Total Net Assets — 100.0%			$	120,506,571

Portfolio Sector Allocation*
Sector		Fund
Consumer Discretionary	��		9.7	%
Consumer Staples			6.5
Energy			6.3
Financials			15.1
Healthcare			9.4
Industrials			10.3
Information Technology			16.6
Materials			7.2
Real Estate			3.2
Telecommunication Services			5.2
Utilities			8.0
Other Assets & Liabilities, Net			2.5
Total			100.0	%

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.9%
Consumer Discretionary — 5.9%
Apparel Retail — 0.6%
Gap, Inc. (1)		79,770	$	1,979,891
Auto Parts & Equipment — 1.8%
Lear Corp. (1)		43,536		6,181,677
Cable & Satellite — 0.7%
Comcast Corp., Class A		62,338		2,332,688
Department Stores — 1.1%
Nordstrom, Inc. (1)		81,721		3,813,102

(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)
Consumer Discretionary (continued)
Home Improvement Retail — 0.8%
Lowe’s Cos., Inc.		35,450	$	2,636,416
Hotels, Resorts & Cruise Lines — 0.9%
Wyndham Worldwide Corp. (1)		37,829		3,148,886
Total Consumer Discretionary				20,092,660
Consumer Staples — 9.4%
Drug Retail — 1.0%
CVS Health Corp. (1)		43,809		3,530,129
Food Distributors — 0.9%
Sysco Corp.		56,183		2,961,968
Hypermarkets & Super Centers — 2.7%
Wal-Mart Stores, Inc. (1)		128,842		9,138,763
Packaged Foods & Meats — 1.9%
ConAgra Brands, Inc. (1)		39,932		1,645,597
Tyson Foods, Inc., Class A (1)		78,023		4,881,119
				6,526,716
Soft Drinks — 2.9%
Dr. Pepper Snapple Group, Inc. (1)		45,080		4,212,275
PepsiCo, Inc. (1)		51,717		5,708,523
				9,920,798
Total Consumer Staples				32,078,374
Energy — 10.2%
Integrated Oil & Gas — 3.3%
Exxon Mobil Corp. (1)		138,846		11,290,957
Oil & Gas-Equipment & Services — 2.0%
National Oilwell Varco, Inc. (1)		47,699		1,927,994
TechnipFMC PLC (1)(2)		157,292		5,083,677
				7,011,671
Oil & Gas-Exploration & Production — 3.2%
ConocoPhillips		35,661		1,696,394
EOG Resources, Inc. (1)		72,113		6,994,240
Noble Energy, Inc. (1)		63,108		2,297,762
				10,988,396
Oil & Gas-Refining & Marketing — 1.7%
Valero Energy Corp. (1)		84,407		5,735,455
Total Energy				35,026,479
Financials — 25.8%
Asset Management & Custody Banks — 1.8%
Ameriprise Financial, Inc. (1)		31,149		4,096,093
State Street Corp.		25,515		2,033,801
				6,129,894
Consumer Finance — 4.1%
Ally Financial, Inc. (1)		134,462		3,024,050
Discover Financial Services		95,983		6,828,231
Synchrony Financial		114,006		4,131,578
				13,983,859
Diversified Banks — 11.0%
Bank of America Corp. (1)		542,677		13,393,268
Citigroup, Inc. (1)		177,200		10,598,332
Wells Fargo & Co.		235,717		13,643,300
				37,634,900

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Life & Health Insurance — 3.3%
Lincoln National Corp. (1)		81,068	$	5,687,731
Unum Group (1)		111,707		5,454,653
				11,142,384
Multi-Line Insurance — 2.0%
American International Group, Inc. (1)		108,486		6,934,425
Property & Casualty Insurance — 1.8%
Allstate Corp. (1)		76,320		6,270,451
Regional Banks — 1.2%
PNC Financial Services Group, Inc. (1)		32,691		4,159,276
Reinsurance — 0.6%
Reinsurance Group of America, Inc.		14,843		1,930,481
Total Financials				88,185,670
Healthcare — 9.7%
Biotechnology — 1.3%
Amgen, Inc. (1)		24,983		4,410,249
Healthcare Equipment — 1.2%
Becton, Dickinson and Co. (1)		21,938		4,015,751
Pharmaceuticals — 7.2%
Johnson & Johnson (1)		75,150		9,184,082
Merck & Co., Inc. (1)		83,227		5,482,162
Pfizer, Inc. (1)		294,127		10,035,613
				24,701,857
Total Healthcare				33,127,857
Industrials — 13.1%
Aerospace & Defense — 4.3%
Boeing Co. (1)		36,488		6,576,232
Huntington Ingalls Industries, Inc. (1)		20,173		4,407,800
Spirit AeroSystems Holdings, Inc., Class A (1)		62,196		3,831,896
				14,815,928
Air Freight & Logistics — 0.5%
FedEx Corp.		8,289		1,599,611
Airlines — 2.4%
JetBlue Airways Corp. (2)		73,077		1,458,617
Southwest Airlines Co. (1)		117,951		6,817,568
				8,276,185
Construction & Engineering — 1.4%
Quanta Services, Inc. (1)(2)		126,368		4,716,054
Construction Machinery & Heavy Trucks — 1.8%
Cummins, Inc.		41,253		6,125,658
Industrial Conglomerates — 0.5%
Carlisle Cos., Inc. (1)		17,261		1,783,061
Industrial Machinery — 0.4%
Stanley Black & Decker, Inc. (1)		12,470		1,585,561
Trading Companies & Distributors — 1.8%
United Rentals, Inc. (1)(2)		47,340		6,060,940
Total Industrials				44,962,998
Information Technology — 10.6%
Application Software — 0.2%
Citrix Systems, Inc. (1)(2)		10,676		842,870

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

9

February 28, 2017 (Unaudited)

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 4.7%
Cisco Systems, Inc. (1)		327,866	$	11,206,460
F5 Networks, Inc. (1)(2)		35,248		5,049,981
				16,256,441
Electronic Manufacturing Services — 1.1%
Flex, Ltd. (1)(2)		221,852		3,658,339
Semiconductor Equipment — 2.7%
Applied Materials, Inc. (1)		170,587		6,178,661
Lam Research Corp. (1)		24,477		2,901,504
				9,080,165
Semiconductors — 0.8%
Intel Corp. (1)		71,571		2,590,870
Systems Software — 0.5%
Microsoft Corp.		26,273		1,680,947
Technology Hardware, Storage & Peripherals — 0.6%
NCR Corp. (1)(2)		44,683		2,147,912
Total Information Technology				36,257,544
Materials — 3.1%
Metal & Glass Containers — 1.6%
Berry Plastics Group, Inc. (1)(2)		106,662		5,368,298
Paper Packaging — 0.6%
International Paper Co. (1)		42,657		2,248,024
Steel — 0.9%
Steel Dynamics, Inc. (1)		85,228		3,119,345
Total Materials				10,735,667
Real Estate — 5.6%
Office REIT’s — 3.5%
Boston Properties, Inc. (1)		41,658		5,791,712
Highwoods Properties, Inc. (1)		72,930		3,828,096
Kilroy Realty Corp. (1)		31,546		2,433,774
				12,053,582
Residential REIT’s — 2.1%
AvalonBay Communities, Inc. (1)		18,979		3,487,961
Essex Property Trust, Inc. (1)		15,302		3,591,379
				7,079,340
Total Real Estate				19,132,922
Telecommunication Services — 0.6%
Integrated Telecommunication Services — 0.6%
AT&T, Inc. (1)		48,052		2,008,093
Utilities — 4.9%
Electric Utilities — 1.7%
American Electric Power Co., Inc. (1)		89,643		6,003,392
Multi-Utilities — 3.2%
Ameren Corp. (1)		65,223		3,567,044
PG&E Corp. (1)		110,406		7,369,600
				10,936,644
Total Utilities				16,940,036
Total Common Stocks (identified cost $277,272,106)				338,548,300

Description	Shares		Value
Short-Term Investments — 48.1%
Collateral Pool Investments for Securities on Loan — 46.7%
Collateral pool allocation (3)			$	159,922,205
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		4,976,095		4,977,091
Total Short-Term Investments (identified cost $164,899,141)				164,899,296
Total Investments — 147.0% (identified cost $442,171,247)				503,447,596
Other Assets and Liabilities — (47.0)%				(161,077,303	)
Total Net Assets — 100.0%			$	342,370,293

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		5.9	%
Consumer Staples		9.4
Energy		10.2
Financials		25.8
Healthcare		9.7
Industrials		13.1
Information Technology		10.6
Materials		3.1
Real Estate		5.6
Telecommunication Services		0.6
Utilities		4.9
Other Assets & Liabilities, Net		1.1
Total		100.0	%

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 97.5%
Consumer Discretionary — 16.9%
Advertising — 0.6%
Omnicom Group, Inc. (1)		22,800	$	1,940,280
Apparel Retail — 0.5%
Burlington Stores, Inc. (1)(2)		16,255		1,446,858
Broadcasting — 1.0%
CBS Corp., Class B (1)		42,975		2,832,912
Cable & Satellite — 4.9%
Comcast Corp., Class A (1)		234,882		8,789,284
Sirius XM Holdings, Inc. (1)		1,101,267		5,605,449
				14,394,733
Home Improvement Retail — 1.5%
Home Depot, Inc. (1)		30,023		4,350,633
Hotels, Resorts & Cruise Lines — 1.7%
Wyndham Worldwide Corp. (1)		58,887		4,901,754
Internet & Direct Marketing Retail — 4.3%
Amazon.com, Inc. (1)(2)		14,986		12,663,769
Leisure Facilities — 1.7%
Vail Resorts, Inc. (1)		28,449		5,154,390
Motorcycle Manufacturers — 0.7%
Harley-Davidson, Inc. (1)		36,633		2,065,369
Total Consumer Discretionary				49,750,698

(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)
Consumer Staples — 6.3%
Drug Retail — 0.3%
CVS Health Corp. (1)		10,183	$	820,546
Food Distributors — 1.5%
Sysco Corp. (1)		81,586		4,301,214
Packaged Foods & Meats — 1.7%
Kraft Heinz Co. (1)		56,405		5,161,622
Soft Drinks — 2.8%
PepsiCo, Inc. (1)		75,413		8,324,087
Total Consumer Staples				18,607,469
Energy — 1.8%
Integrated Oil & Gas — 1.1%
Occidental Petroleum Corp. (1)		50,400		3,303,720
Oil & Gas-Exploration & Production — 0.7%
EOG Resources, Inc. (1)		19,422		1,883,740
Total Energy				5,187,460
Financials — 5.0%
Consumer Finance — 3.0%
American Express Co. (1)		26,763		2,142,646
Discover Financial Services		69,035		4,911,150
Synchrony Financial		46,594		1,688,566
				8,742,362
Diversified Banks — 0.8%
U.S. Bancorp (1)		39,369		2,165,295
Financial Exchanges & Data — 0.7%
MSCI, Inc. (1)		22,514		2,129,599
Regional Banks — 0.5%
Citizens Financial Group, Inc. (1)		40,983		1,531,535
Total Financials				14,568,791
Healthcare — 16.5%
Biotechnology — 6.1%
Amgen, Inc. (1)		48,139		8,497,978
Celgene Corp. (1)(2)		61,715		7,622,419
Gilead Sciences, Inc.		26,946		1,899,154
				18,019,551
Healthcare Equipment — 3.7%
C.R. Bard, Inc. (1)		12,791		3,136,865
Hologic, Inc. (1)(2)		114,846		4,660,450
IDEXX Laboratories, Inc. (1)(2)		21,536		3,121,428
				10,918,743
Healthcare Supplies — 1.8%
Align Technology, Inc. (1)(2)		50,428		5,181,981
Managed Healthcare — 3.2%
Molina Healthcare, Inc. (1)(2)		16,095		780,768
UnitedHealth Group, Inc.		22,028		3,642,991
WellCare Health Plans, Inc. (1)(2)		35,318		4,986,902
				9,410,661
Pharmaceuticals — 1.7%
Johnson & Johnson (1)		39,526		4,830,473
Total Healthcare				48,361,409
Industrials — 12.0%
Aerospace & Defense — 5.4%
Boeing Co. (1)		36,072		6,501,257
Curtiss-Wright Corp. (1)		30,370		2,971,097

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Aerospace & Defense (continued)
Huntington Ingalls Industries, Inc. (1)		28,692	$	6,269,202
				15,741,556
Airlines — 2.2%
JetBlue Airways Corp. (1)(2)		173,643		3,465,914
Southwest Airlines Co. (1)		52,639		3,042,534
				6,508,448
Construction Machinery & Heavy Trucks — 1.2%
Allison Transmission Holdings, Inc. (1)		98,701		3,551,262
Industrial Conglomerates — 0.9%
Carlisle Cos., Inc. (1)		25,341		2,617,725
Industrial Machinery — 1.2%
Stanley Black & Decker, Inc. (1)		26,971		3,429,363
Trading Companies & Distributors — 1.1%
United Rentals, Inc. (1)(2)		26,411		3,381,400
Total Industrials				35,229,754
Information Technology — 30.1%
Application Software — 4.6%
Adobe Systems, Inc. (1)(2)		31,291		3,702,977
Cadence Design Systems, Inc. (1)(2)		192,543		5,949,579
Synopsys, Inc. (2)		52,255		3,733,097
				13,385,653
Communications Equipment — 3.0%
Cisco Systems, Inc. (1)		141,549		4,838,145
F5 Networks, Inc. (1)(2)		27,757		3,976,745
				8,814,890
Consulting & Other Services — 1.0%
Teradata Corp. (1)(2)		90,466		2,813,493
Data Processing & Outsourced Services — 2.8%
MasterCard, Inc., Class A (1)		31,394		3,467,781
Visa, Inc., Class A (1)		54,853		4,823,773
				8,291,554
Internet Software & Services — 6.0%
Alphabet, Inc., Class A (1)(2)		4,573		3,863,865
Alphabet, Inc., Class C (1)(2)		11,579		9,531,948
Facebook, Inc., Class A (1)(2)		31,648		4,289,570
				17,685,383
Semiconductor Equipment — 1.7%
Applied Materials, Inc.		107,826		3,905,458
Lam Research Corp. (1)		9,426		1,117,358
				5,022,816
Semiconductors — 1.3%
NVIDIA Corp. (1)		38,416		3,898,456
Systems Software — 5.7%
Microsoft Corp.		184,764		11,821,200
Oracle Corp. (1)		88,808		3,782,333
Red Hat, Inc. (1)(2)		12,217		1,011,690
				16,615,223
Technology Hardware, Storage & Peripherals — 4.0%
Apple, Inc. (1)		85,784		11,751,550
Total Information Technology				88,279,018

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

11

February 28, 2017 (Unaudited)

Schedules of Investments

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials — 2.8%
Metal & Glass Containers — 1.9%
Berry Plastics Group, Inc. (1)(2)		107,621	$	5,416,565
Steel — 0.9%
Steel Dynamics, Inc. (1)		74,795		2,737,497
Total Materials				8,154,062
Real Estate — 3.1%
Office REIT’s — 1.7%
Douglas Emmett, Inc. (1)		125,122		5,047,421
Specialized REIT’s — 1.4%
EPR Properties (1)		54,777		4,215,638
Total Real Estate				9,263,059
Telecommunication Services — 3.0%
Integrated Telecommunication Services — 3.0%
AT&T, Inc. (1)		107,919		4,509,935
Verizon Communications, Inc. (1)		85,067		4,221,875
Total Telecommunication Services				8,731,810
Total Common Stocks (identified cost $220,110,557)				286,133,530
Short-Term Investments — 48.6%
Collateral Pool Investments for Securities on Loan — 46.5%
Collateral pool allocation (3)				136,239,178
Mutual Funds — 2.1%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		6,263,557		6,264,810
Total Short-Term Investments (identified cost $142,503,630)				142,503,988
Total Investments — 146.1% (identified cost $362,614,187)				428,637,518
Other Assets and Liabilities — (46.1)%				(135,284,513	)
Total Net Assets — 100.0%			$	293,353,005

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		16.9	%
Consumer Staples		6.3
Energy		1.8
Financials		5.0
Healthcare		16.5
Industrials		12.0
Information Technology		30.1
Materials		2.8
Real Estate		3.1
Telecommunication Services		3.0
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.2%
Consumer Discretionary — 5.8%
Apparel Retail — 0.9%
American Eagle Outfitters, Inc. (1)		132,110	$	2,093,944
Auto Parts & Equipment — 1.6%
Lear Corp. (1)		25,886		3,675,553
Broadcasting — 1.4%
AMC Networks, Inc., Class A (1)(2)		54,373		3,252,049
Department Stores — 0.9%
Kohl’s Corp. (1)		49,094		2,092,386
Restaurants — 1.0%
Brinker International, Inc. (1)		54,450		2,299,968
Total Consumer Discretionary				13,413,900
Consumer Staples — 3.6%
Agricultural Products — 2.2%
Bunge, Ltd. (1)		31,078		2,543,734
Ingredion, Inc.		21,421		2,589,585
				5,133,319
Food Distributors — 1.4%
Sysco Corp.		60,519		3,190,562
Total Consumer Staples				8,323,881
Energy — 8.1%
Oil & Gas-Drilling — 2.7%
Nabors Industries, Ltd. (1)		178,763		2,617,090
Patterson-UTI Energy, Inc. (1)		130,324		3,599,549
				6,216,639
Oil & Gas-Exploration & Production — 4.3%
Diamondback Energy, Inc. (1)(2)		21,421		2,160,522
Noble Energy, Inc. (1)		56,303		2,049,992
Rice Energy, Inc. (1)(2)		92,892		1,732,436
SM Energy Co. (1)		87,178		2,148,938
Whiting Petroleum Corp. (1)(2)		180,065		1,953,705
				10,045,593
Oil & Gas-Refining & Marketing — 1.1%
Valero Energy Corp. (1)		36,599		2,486,902
Total Energy				18,749,134
Financials — 19.5%
Asset Management & Custody Banks — 2.7%
Ameriprise Financial, Inc. (1)		28,565		3,756,297
Northern Trust Corp. (1)		28,671		2,504,412
				6,260,709
Consumer Finance — 3.8%
Ally Financial, Inc. (1)		127,378		2,864,731
Discover Financial Services		47,309		3,365,563
Synchrony Financial		69,626		2,523,246
				8,753,540
Life & Health Insurance — 1.0%
Lincoln National Corp. (1)		32,877		2,306,650
Multi-Line Insurance — 1.5%
Hartford Financial Services Group, Inc. (1)		67,928		3,321,000
Property & Casualty Insurance — 2.8%
Aspen Insurance Holdings, Ltd.		63,378		3,552,337
Assured Guaranty, Ltd.		68,696		2,824,093
				6,376,430

(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)
Financials (continued)
Regional Banks — 6.6%					��
East West Bancorp, Inc. (1)		43,145	$	2,335,007
Keycorp (1)		176,229		3,307,818
Regions Financial Corp. (1)		211,554		3,230,430
SunTrust Banks, Inc. (1)		65,391		3,890,111
TCF Financial Corp. (1)		141,606		2,463,944
				15,227,310
Reinsurance — 1.1%
Everest Re Group, Ltd. (1)		10,712		2,518,820
Total Financials				44,764,459
Healthcare — 6.0%
Biotechnology — 1.0%
United Therapeutics Corp. (1)(2)		15,174		2,241,503
Healthcare Equipment — 2.5%
Hill-Rom Holdings, Inc. (1)		42,834		2,846,319
Hologic, Inc. (1)(2)		70,519		2,861,661
				5,707,980
Healthcare Services — 1.3%
Quest Diagnostics, Inc. (1)		31,242		3,044,221
Life Sciences Tools & Services — 1.2%
Quintiles IMS Holdings, Inc. (1)(2)		35,631		2,757,483
Total Healthcare				13,751,187
Industrials — 14.3%
Aerospace & Defense — 1.6%
Spirit AeroSystems Holdings, Inc., Class A (1)		60,698		3,739,604
Airlines — 2.4%
JetBlue Airways Corp. (1)(2)		128,539		2,565,638
Spirit Airlines, Inc. (1)(2)		54,722		2,857,036
				5,422,674
Building Products — 1.2%
Owens Corning (1)		45,523		2,662,640
Construction Machinery & Heavy Trucks — 1.0%
Allison Transmission Holdings, Inc. (1)		60,979		2,194,024
Environmental & Facilities Services — 1.9%
Republic Services, Inc. (1)		70,669		4,377,945
Human Resource & Employment Services — 1.4%
Robert Half International, Inc. (1)		66,020		3,184,805
Industrial Conglomerates — 0.9%
Carlisle Cos., Inc. (1)		20,531		2,120,852
Industrial Machinery — 1.4%
Parker-Hannifin Corp. (1)		21,421		3,316,828
Trading Companies & Distributors — 1.1%
United Rentals, Inc. (1)(2)		20,531		2,628,584
Trucking — 1.4%
Ryder System, Inc. (1)		42,846		3,262,723
Total Industrials				32,910,679
Information Technology — 11.5%
Application Software — 2.6%
Citrix Systems, Inc. (1)(2)		29,456		2,325,551
Synopsys, Inc. (2)		50,880		3,634,867
				5,960,418

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Data Processing & Outsourced Services — 1.4%
Alliance Data Systems Corp. (1)		13,390	$	3,253,502
Electronic Equipment & Instruments — 1.3%
FLIR Systems, Inc. (1)		83,093		3,050,344
Electronic Manufacturing Services — 1.5%
Jabil Circuit, Inc. (1)		130,960		3,340,790
Semiconductor Equipment — 1.3%
Lam Research Corp. (1)		25,886		3,068,526
Semiconductors — 1.8%
ON Semiconductor Corp. (1)(2)		267,851		4,052,586
Technology Hardware, Storage & Peripherals — 1.6%
Western Digital Corp. (1)		48,363		3,718,148
Total Information Technology				26,444,314
Materials — 5.7%
Commodity Chemicals — 1.1%
Cabot Corp. (1)		41,954		2,432,493
Diversified Chemicals — 1.1%
Eastman Chemical Co. (1)		32,137		2,578,994
Paper Packaging — 2.2%
Avery Dennison Corp. (1)		31,914		2,575,779
WestRock Co. (1)		47,163		2,533,596
				5,109,375
Steel — 1.3%
Nucor Corp. (1)		47,309		2,960,124
Total Materials				13,080,986
Real Estate — 13.1%
Diversified REIT’s — 1.4%
Liberty Property Trust (1)		83,570		3,296,001
Hotel & Resort REIT’s — 1.4%
Host Hotels & Resorts, Inc. (1)		182,991		3,292,008
Industrial REIT’s — 1.3%
Prologis, Inc. (1)		58,240		2,973,152
Office REIT’s — 4.6%
Boston Properties, Inc. (1)		18,105		2,517,138
Highwoods Properties, Inc. (1)		51,393		2,697,618
Kilroy Realty Corp. (1)		46,771		3,608,383
SL Green Realty Corp. (1)		14,281		1,609,183
				10,432,322
Residential REIT’s — 1.7%
Essex Property Trust, Inc. (1)		16,067		3,770,925
Specialized REIT’s — 2.7%
EPR Properties (1)		38,382		2,953,879
Extra Space Storage, Inc. (1)		41,722		3,303,965
				6,257,844
Total Real Estate				30,022,252
Utilities — 10.6%
Electric Utilities — 5.8%
Entergy Corp. (1)		40,169		3,079,356
FirstEnergy Corp. (1)		95,250		3,088,957
Great Plains Energy, Inc. (1)		131,099		3,809,737
Pinnacle West Capital Corp. (1)		40,169		3,301,490
				13,279,540
Gas Utilities — 1.5%
UGI Corp. (1)		71,616		3,454,040

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

13

February 28, 2017 (Unaudited)

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Utilities (continued)
Multi-Utilities — 3.3%
Ameren Corp. (1)		68,733	$	3,759,008
Public Service Enterprise Group, Inc. (1)		84,080		3,865,998
				7,625,006
Total Utilities				24,358,586
Total Common Stocks (identified cost $193,982,882)				225,819,378
Short-Term Investments — 51.3%
Collateral Pool Investments for Securities on Loan — 49.4%
Collateral pool allocation (3)				113,733,758
Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		4,253,465		4,254,316
Total Short-Term Investments (identified cost $117,987,656)				117,988,074
Total Investments — 149.5% (identified cost $311,970,538)				343,807,452
Other Assets and Liabilities — (49.5)%				(113,800,801	)
Total Net Assets — 100.0%			$	230,006,651

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		5.8	%
Consumer Staples		3.6
Energy		8.1
Financials		19.5
Healthcare		6.0
Industrials		14.3
Information Technology		11.5
Materials		5.7
Real Estate		13.1
Utilities		10.6
Other Assets & Liabilities, Net		1.8
Total		100.0	%

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.5%
Consumer Discretionary — 20.5%
Apparel Retail — 3.9%
Burlington Stores, Inc. (1)(2)		22,946	$	2,042,423
Ross Stores, Inc. (1)		37,700		2,585,466
				4,627,889
Auto Parts & Equipment — 1.8%
Lear Corp.		15,700		2,229,243
Distributors — 1.8%
LKQ Corp. (1)(2)		67,500		2,131,650
General Merchandise Stores — 1.8%
Dollar Tree, Inc. (2)		28,100		2,154,708
Homebuilding — 1.3%
D.R. Horton, Inc. (1)		50,200		1,606,400

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail — 1.6%
Expedia, Inc.		16,500	$	1,964,160
Leisure Facilities — 1.7%
Vail Resorts, Inc. (1)		11,000		1,992,980
Leisure Products — 1.7%
Brunswick Corp. (1)		33,700		2,018,293
Movies & Entertainment — 3.3%
Cinemark Holdings, Inc. (1)		45,800		1,917,646
Live Nation Entertainment, Inc. (1)(2)		70,500		2,002,905
				3,920,551
Specialty Stores — 1.6%
Dick’s Sporting Goods, Inc. (1)		38,300		1,874,785
Total Consumer Discretionary				24,520,659
Consumer Staples — 5.0%
Agricultural Products — 0.9%
Ingredion, Inc.		9,200		1,112,188
Packaged Foods & Meats — 4.1%
Blue Buffalo Pet Products, Inc. (1)(2)		66,600		1,627,704
Post Holdings, Inc. (1)(2)		19,900		1,629,213
Tyson Foods, Inc., Class A (1)		25,500		1,595,280
				4,852,197
Total Consumer Staples				5,964,385
Energy — 1.8%
Oil & Gas-Drilling — 0.9%
Patterson-UTI Energy, Inc. (1)		37,500		1,035,750
Oil & Gas-Exploration & Production — 0.9%
Newfield Exploration Co. (2)		31,200		1,137,552
Total Energy				2,173,302
Financials — 7.0%
Financial Exchanges & Data — 1.4%
MSCI, Inc. (1)		17,700		1,674,243
Investment Banking & Brokerage — 1.4%
TD Ameritrade Holding Corp. (1)		41,300		1,614,830
Multi-Line Insurance — 1.0%
American Financial Group, Inc.		12,900		1,213,374
Property & Casualty Insurance — 1.4%
Old Republic International Corp.		80,200		1,660,942
Regional Banks — 1.8%
Citizens Financial Group, Inc. (1)		57,600		2,152,512
Total Financials				8,315,901
Healthcare — 16.6%
Biotechnology — 2.5%
Incyte Corp. (1)(2)		12,700		1,690,370
United Therapeutics Corp. (1)(2)		8,700		1,285,164
				2,975,534
Healthcare Equipment — 6.4%
Hill-Rom Holdings, Inc. (1)		33,100		2,199,495
Hologic, Inc. (1)(2)		58,600		2,377,988
IDEXX Laboratories, Inc. (1)(2)		11,900		1,724,786
Varian Medical Systems, Inc. (1)(2)		16,300		1,367,407
				7,669,676
Healthcare Supplies — 1.6%
Align Technology, Inc. (1)(2)		18,300		1,880,508

(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)
Healthcare (continued)
Healthcare Technology — 1.3%
athenahealth, Inc. (1)(2)		12,800	$	1,509,504
Life Sciences Tools & Services — 1.9%
Waters Corp. (1)(2)		14,900		2,309,351
Managed Healthcare — 1.8%
WellCare Health Plans, Inc. (2)		15,000		2,118,000
Pharmaceuticals — 1.1%
Jazz Pharmaceuticals PLC (1)(2)		10,480		1,389,858
Total Healthcare				19,852,431
Industrials — 13.7%
Aerospace & Defense — 3.8%
Huntington Ingalls Industries, Inc. (1)		11,900		2,600,150
Spirit AeroSystems Holdings, Inc., Class A (1)		31,300		1,928,393
				4,528,543
Airlines — 1.5%
JetBlue Airways Corp. (1)(2)		87,600		1,748,496
Building Products — 1.7%
Masco Corp. (1)		58,500		1,976,130
Construction & Engineering — 1.7%
Quanta Services, Inc. (2)		55,900		2,086,188
Industrial Conglomerates — 1.7%
Carlisle Cos., Inc. (1)		19,100		1,973,030
Industrial Machinery — 1.6%
Ingersoll-Rand PLC (1)		24,800		1,968,128
Trucking — 1.7%
Landstar System, Inc. (1)		24,100		2,091,880
Total Industrials				16,372,395
Information Technology — 24.8%
Application Software — 1.7%
Synopsys, Inc. (2)		28,800		2,057,472
Communications Equipment — 3.3%
CommScope Holding Co., Inc. (1)(2)		44,000		1,674,200
F5 Networks, Inc. (1)(2)		15,900		2,277,993
				3,952,193
Consulting & Other Services — 1.2%
Gartner, Inc. (1)(2)		14,500		1,496,545
Data Processing & Outsourced Services — 3.3%
Euronet Worldwide, Inc. (1)(2)		24,800		2,052,944
MAXIMUS, Inc. (1)		31,500		1,879,605
				3,932,549
Home Entertainment Software — 2.3%
Electronic Arts, Inc. (1)(2)		31,500		2,724,750
Internet Software & Services — 1.5%
Akamai Technologies, Inc. (1)(2)		28,000		1,752,800
Semiconductor Equipment — 1.5%
Lam Research Corp. (1)		15,400		1,825,516
Semiconductors — 5.2%
Maxim Integrated Products, Inc. (1)		34,500		1,528,350
NVIDIA Corp. (1)		12,700		1,288,796
ON Semiconductor Corp. (1)(2)		121,400		1,836,782
Skyworks Solutions, Inc. (1)		16,700		1,583,327
				6,237,255

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Systems Software — 4.8%
Fortinet, Inc. (1)(2)		56,810	$	2,121,854
Red Hat, Inc. (1)(2)		27,114		2,245,310
Tableau Software, Inc., Class A (1)(2)		25,300		1,334,322
				5,701,486
Total Information Technology				29,680,566
Materials — 3.5%
Metal & Glass Containers — 2.0%
Berry Plastics Group, Inc. (1)(2)		47,800		2,405,774
Steel — 1.5%
Steel Dynamics, Inc. (1)		50,400		1,844,640
Total Materials				4,250,414
Real Estate — 5.6%
Office REIT’s — 3.0%
Boston Properties, Inc. (1)		14,700		2,043,741
Highwoods Properties, Inc. (1)		29,900		1,569,451
				3,613,192
Residential REIT’s — 1.3%
Essex Property Trust, Inc. (1)		6,600		1,549,020
Specialized REIT’s — 1.3%
EPR Properties (1)		19,900		1,531,504
Total Real Estate				6,693,716
Total Common Stocks (identified cost $104,269,023)				117,823,769
Short-Term Investments — 51.1%
Collateral Pool Investments for Securities on Loan — 49.5%
Collateral pool allocation (3)				59,144,116
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		1,908,982		1,909,364
Total Short-Term Investments (identified cost $61,053,239)				61,053,480
Total Investments — 149.6% (identified cost $165,322,262)				178,877,249
Other Assets and Liabilities — (49.6)%				(59,337,841	)
Total Net Assets — 100.0%			$	119,539,408

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		20.5	%
Consumer Staples		5.0
Energy		1.8
Financials		7.0
Healthcare		16.6
Industrials		13.7
Information Technology		24.8
Materials		3.5
Real Estate		5.6
Other Assets & Liabilities, Net		1.5
Total		100.0	%

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

15

February 28, 2017 (Unaudited)

Schedules of Investments

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.5%
Consumer Discretionary — 6.6%
Apparel Retail — 2.9%
Caleres, Inc. (1)		13,383	$	399,750
Cato Corp., Class A (1)		11,082		277,161
Children’s Place, Inc. (1)		4,377		443,390
Express, Inc. (1)(2)		43,595		490,008
Genesco, Inc. (1)(2)		6,836		398,539
				2,008,848
Auto Parts & Equipment — 1.9%
Cooper-Standard Holdings, Inc. (1)(2)		5,324		596,288
Dana, Inc.		39,593		747,912
				1,344,200
Education Services — 0.8%
American Public Education, Inc. (1)(2)		9,692		234,062
K12, Inc. (2)		16,890		301,655
				535,717
Tires & Rubber — 1.0%
Cooper Tire & Rubber Co. (1)		17,423		704,760
Total Consumer Discretionary				4,593,525
Consumer Staples — 2.8%
Agricultural Products — 1.0%
Darling Ingredients, Inc. (1)(2)		53,496		695,983
Food Distributors — 0.6%
SpartanNash Co. (1)		11,369		396,778
Packaged Foods & Meats — 1.2%
Dean Foods Co. (1)		27,375		499,320
Sanderson Farms, Inc. (1)		3,603		342,429
				841,749
Total Consumer Staples				1,934,510
Energy — 4.3%
Oil & Gas-Drilling — 0.4%
Atwood Oceanics, Inc. (1)		24,940		262,119
Oil & Gas-Equipment & Services — 1.6%
Bristow Group, Inc. (1)		17,235		270,762
Hornbeck Offshore Services, Inc. (1)(2)		27,061		121,504
McDermott International, Inc. (1)(2)		66,617		490,301
Newpark Resources, Inc. (1)(2)		34,388		264,787
				1,147,354
Oil & Gas-Exploration & Production — 1.9%
Bill Barrett Corp. (1)(2)		53,761		296,223
Carrizo Oil & Gas, Inc. (1)(2)		8,029		261,344
PDC Energy, Inc. (1)(2)		7,855		530,919
RSP Permian, Inc. (2)		6,346		250,604
				1,339,090
Oil & Gas-Refining & Marketing — 0.4%
Green Plains, Inc. (1)		10,413		260,846
Total Energy				3,009,409
Financials — 30.2%
Consumer Finance — 0.6%
Nelnet, Inc., Class A (1)		8,970		401,766
Investment Banking & Brokerage — 0.8%
Stifel Financial Corp. (1)(2)		10,716		578,235
Life & Health Insurance — 0.4%
CNO Financial Group, Inc.		14,253		298,030

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Multi-Line Insurance — 0.9%
Horace Mann Educators Corp. (1)		15,314	$	641,657
Property & Casualty Insurance — 4.6%
AMERISAFE, Inc. (1)		7,257		466,625
Argo Group International Holdings, Ltd.		10,109		676,798
Employers Holdings, Inc. (1)		13,403		503,953
HCI Group, Inc. (1)		13,085		645,090
Navigators Group, Inc. (1)		3,391		186,675
Selective Insurance Group, Inc. (1)		15,997		708,667
				3,187,808
Regional Banks — 18.4%
1st Source Corp. (1)		5,993		279,933
Ameris Bancorp (1)		11,289		545,259
BancFirst Corp. (1)		4,617		440,231
BancorpSouth, Inc. (1)		17,703		548,793
Boston Private Financial Holdings, Inc. (1)		41,559		714,815
Brookline Bancorp, Inc. (1)		29,451		466,798
Cathay General Bancorp (1)		10,571		415,229
Central Pacific Financial Corp. (1)		19,254		608,041
City Holding Co. (1)		5,435		355,992
Customers Bancorp, Inc. (1)(2)		16,127		553,640
Enterprise Financial Services Corp. (1)		13,459		591,523
FCB Financial Holdings, Inc., Class A (1)(2)		9,869		479,633
First Interstate BancSystem, Inc., Class A (1)		13,034		571,541
First Merchants Corp.		10,864		435,864
Great Southern Bancorp, Inc. (1)		2,827		141,491
Hanmi Financial Corp.		18,230		608,882
Heartland Financial USA, Inc. (1)		9,232		457,446
Heritage Financial Corp.		10,460		261,500
Hilltop Holdings, Inc. (1)		22,834		648,029
IBERIABANK Corp. (1)		3,463		293,489
Investors Bancorp, Inc. (1)		60,688		887,865
Preferred Bank (1)		6,127		343,970
Texas Capital Bancshares, Inc. (1)(2)		6,297		561,378
TriCo Bancshares (1)		7,125		258,851
United Community Banks, Inc.		13,748		397,180
Wintrust Financial Corp. (1)		12,417		915,133
				12,782,506
Reinsurance — 0.8%
Maiden Holdings, Ltd. (1)		34,237		528,962
Thrifts & Mortgage Finance — 3.7%
First Defiance Financial Corp.		3,565		175,220
HomeStreet, Inc. (2)		19,054		520,174
TrustCo Bank Corp. (1)		34,360		286,906
Walker & Dunlop, Inc. (1)(2)		19,040		773,976
Washington Federal, Inc. (1)		23,604		798,995
				2,555,271
Total Financials				20,974,235
Healthcare — 6.6%
Biotechnology — 0.9%
Acorda Therapeutics, Inc. (1)(2)		13,717		362,815
Emergent BioSolutions, Inc. (1)(2)		9,228		289,574
				652,389
Healthcare Distributors — 0.8%
Aceto Corp. (1)		11,442		175,521
PharMerica Corp. (1)(2)		15,512		381,595
				557,116

(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)
Healthcare (continued)
Healthcare Equipment — 1.1%
AngioDynamics, Inc. (2)		23,350	$	381,773
Natus Medical, Inc. (1)(2)		9,809		363,178
				744,951
Healthcare Facilities — 0.4%
U.S. Physical Therapy, Inc. (1)		4,109		310,846
Healthcare Services — 0.4%
LHC Group, Inc. (2)		5,956		286,007
Healthcare Supplies — 0.8%
Anika Therapeutics, Inc. (1)(2)		4,183		195,722
Merit Medical Systems, Inc. (2)		11,386		350,689
				546,411
Life Sciences Tools & Services — 0.5%
Luminex Corp. (1)(2)		16,811		312,348
Managed Healthcare — 1.7%
Magellan Health, Inc. (1)(2)		7,350		508,253
Molina Healthcare, Inc. (1)(2)		10,625		515,419
Triple-S Management Corp., Class B (1)(2)		7,890		147,306
				1,170,978
Total Healthcare				4,581,046
Industrials — 15.7%
Aerospace & Defense — 0.8%
Moog, Inc., Class A (2)		8,343		563,820
Air Freight & Logistics — 0.9%
Atlas Air Worldwide Holdings, Inc. (2)		10,738		610,456
Construction & Engineering — 1.6%
EMCOR Group, Inc.		10,179		625,805
MYR Group, Inc. (2)		12,606		472,851
				1,098,656
Construction Machinery & Heavy Trucks — 2.0%
Greenbrier Cos., Inc. (1)		14,349		603,375
Wabash National Corp. (1)		38,825		821,149
				1,424,524
Electrical Components & Equipment — 0.7%
EnerSys		6,182		474,345
Environmental & Facilities Services — 0.3%
CECO Environmental Corp. (1)		16,440		185,772
Industrial Machinery — 2.2%
Chart Industries, Inc. (1)(2)		16,676		593,499
Columbus McKinnon Corp. (1)		7,963		205,525
EnPro Industries, Inc. (1)		5,362		350,032
Global Brass & Copper Holdings, Inc.		12,202		410,597
				1,559,653
Office Services & Supplies — 0.8%
ACCO Brands Corp. (1)(2)		43,060		577,004
Research & Consulting Services — 0.9%
FTI Consulting, Inc. (2)		6,237		250,977
RPX Corp. (2)		38,519		414,079
				665,056
Security & Alarm Services — 1.0%
Brink’s Co.		12,465		666,254

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Trading Companies & Distributors — 2.7%
Aircastle, Ltd. (1)		24,429	$	587,029
MRC Global, Inc. (1)(2)		32,468		656,178
Rush Enterprises, Inc., Class A (1)(2)		18,396		634,294
				1,877,501
Trucking — 1.8%
ArcBest Corp. (1)		17,780		521,843
Saia, Inc. (1)(2)		6,953		336,177
Swift Transportation Co., Class A (1)(2)		18,244		396,260
				1,254,280
Total Industrials				10,957,321
Information Technology — 12.5%
Communications Equipment — 1.1%
Finisar Corp. (1)(2)		22,045		738,067
Data Processing & Outsourced Services — 1.6%
Convergys Corp. (1)		25,765		563,738
Travelport Worldwide, Ltd.		42,190		535,813
				1,099,551
Electronic Components — 2.4%
II-VI, Inc. (2)		17,250		614,100
Rogers Corp. (2)		3,924		323,769
Vishay Intertechnology, Inc. (1)		44,555		706,197
				1,644,066
Electronic Manufacturing Services — 3.0%
Benchmark Electronics, Inc. (1)(2)		18,341		570,405
Sanmina Corp. (1)(2)		19,922		776,958
TTM Technologies, Inc. (1)(2)		44,188		714,078
				2,061,441
Internet Software & Services — 0.2%
DHI Group, Inc. (2)		34,151		169,047
Semiconductor Equipment — 2.3%
Amkor Technology, Inc. (1)(2)		55,736		547,328
Photronics, Inc. (1)(2)		50,763		543,164
Rudolph Technologies, Inc. (2)		25,141		540,531
				1,631,023
Semiconductors — 0.5%
Diodes, Inc. (1)(2)		15,726		375,380
Technology Distributors — 1.4%
Insight Enterprises, Inc. (2)		7,940		336,338
ScanSource, Inc. (2)		8,958		360,560
SYNNEX Corp.		2,661		311,124
				1,008,022
Total Information Technology				8,726,597
Materials — 6.9%
Aluminum — 0.6%
Kaiser Aluminum Corp. (1)		5,641		444,680
Commodity Chemicals — 1.3%
Koppers Holdings, Inc. (2)		13,047		572,111
Tronox, Ltd., Class A		18,404		318,941
				891,052
Forest Products — 0.7%
Boise Cascade Co. (2)		18,415		499,047
Specialty Chemicals — 3.5%
A Schulman, Inc.		7,960		268,650
Innospec, Inc.		10,067		657,375

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

17

February 28, 2017 (Unaudited)

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Specialty Chemicals (continued)
Minerals Technologies, Inc. (1)		8,141	$	628,892
OMNOVA Solutions, Inc. (2)		28,198		260,832
Stepan Co. (1)		7,981		603,443
				2,419,192
Steel — 0.8%
Commercial Metals Co. (1)		25,558		540,041
Total Materials				4,794,012
Real Estate — 7.8%
Diversified REIT’s — 2.3%
American Assets Trust, Inc. (1)		14,425		634,700
First Potomac Realty Trust		29,482		294,525
Washington Real Estate Investment Trust (1)		20,229		661,691
				1,590,916
Hotel & Resort REIT’s — 2.4%
Chesapeake Lodging Trust (1)		21,682		523,837
Hersha Hospitality Trust (1)		12,087		235,817
RLJ Lodging Trust (1)		29,421		669,622
Ryman Hospitality Properties, Inc. (1)		4,354		280,703
				1,709,979
Industrial REIT’s — 1.2%
DCT Industrial Trust, Inc. (1)		9,727		465,340
First Industrial Realty Trust, Inc. (1)		13,135		353,331
				818,671
Retail REIT’s — 0.6%
Getty Realty Corp. (1)		6,390		168,632
Saul Centers, Inc.		3,579		229,199
				397,831
Specialized REIT’s — 1.3%
DuPont Fabros Technology, Inc. (1)		9,561		492,296
EPR Properties (1)		5,109		393,188
				885,484
Total Real Estate				5,402,881
Utilities — 4.1%
Electric Utilities — 2.8%
El Paso Electric Co. (1)		12,209		596,410
PNM Resources, Inc. (1)		16,631		603,705
Portland General Electric Co.		17,125		776,276
				1,976,391
Gas Utilities — 0.7%
Southwest Gas Holdings, Inc.		5,229		447,237
Multi-Utilities — 0.6%
Avista Corp. (1)		10,445		416,442
Total Utilities				2,840,070
Total Common Stocks (identified cost $58,366,200)				67,813,606
Short-Term Investments — 51.9%
Collateral Pool Investments for Securities on Loan — 49.4%
Collateral pool allocation (3)				34,339,980

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 2.5%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		1,715,133	$	1,715,476
Total Short-Term Investments (identified cost $36,055,307)				36,055,456
Total Investments — 149.4% (identified cost $94,421,507)				103,869,062
Other Assets and Liabilities — (49.4)%				(34,336,291	)
Total Net Assets — 100.0%			$	69,532,771

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		6.6	%
Consumer Staples		2.8
Energy		4.3
Financials		30.2
Healthcare		6.6
Industrials		15.7
Information Technology		12.5
Materials		6.9
Real Estate		7.8
Utilities		4.1
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 97.5%
Consumer Discretionary — 9.3%
Apparel Retail — 3.5%
American Eagle Outfitters, Inc. (1)		5,242	$	83,086
Caleres, Inc. (1)		4,078		121,810
Cato Corp., Class A (1)		2,266		56,673
Children’s Place, Inc. (1)		1,119		113,355
DSW, Inc., Class A (1)		4,736		99,598
Express, Inc. (2)		8,680		97,563
Francesca’s Holdings Corp. (1)(2)		5,321		90,297
				662,382
Apparel, Accessories & Luxury Goods — 0.4%
Movado Group, Inc. (1)		3,218		78,036
Auto Parts & Equipment — 3.2%
American Axle & Manufacturing Holdings, Inc. (1)(2)		7,997		158,500
Cooper-Standard Holdings, Inc. (2)		1,347		150,864
Dana, Inc.		9,849		186,048
Tenneco, Inc. (1)(2)		1,515		97,430
				592,842
Education Services — 0.4%
American Public Education, Inc. (1)(2)		3,398		82,062
Housewares & Specialties — 0.2%
Libbey, Inc.		3,062		42,868
Restaurants — 0.6%
BJ’s Restaurants, Inc. (1)(2)		2,913		105,887
Tires & Rubber — 1.0%
Cooper Tire & Rubber Co. (1)		4,478		181,135
Total Consumer Discretionary				1,745,212

(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)
Consumer Staples — 2.4%
Agricultural Products — 1.1%
Darling Ingredients, Inc. (1)(2)		13,048	$	169,755
Fresh Del Monte Produce, Inc. (1)		591		34,201
				203,956
Food Distributors — 0.8%
SpartanNash Co. (1)		4,408		153,839
Packaged Foods & Meats — 0.5%
Sanderson Farms, Inc. (1)		1,042		99,032
Total Consumer Staples				456,827
Energy — 3.0%
Oil & Gas-Drilling — 0.4%
Atwood Oceanics, Inc. (1)		7,074		74,347
Oil & Gas-Equipment & Services — 1.4%
Bristow Group, Inc. (1)		3,893		61,159
Hornbeck Offshore Services, Inc. (1)(2)		6,945		31,183
Matrix Service Co. (2)		2,016		32,659
McDermott International, Inc. (1)(2)		19,746		145,331
				270,332
Oil & Gas-Exploration & Production — 1.2%
PDC Energy, Inc. (1)(2)		1,940		131,125
RSP Permian, Inc. (1)(2)		2,227		87,944
				219,069
Total Energy				563,748
Financials — 17.2%
Investment Banking & Brokerage — 0.4%
Stifel Financial Corp. (1)(2)		1,504		81,156
Life & Health Insurance — 0.6%
Primerica, Inc. (1)		1,367		110,385
Multi-Line Insurance — 0.9%
Horace Mann Educators Corp.		3,960		165,924
Property & Casualty Insurance — 3.1%
Argo Group International Holdings, Ltd.		1,621		108,526
Employers Holdings, Inc.		4,424		166,342
HCI Group, Inc. (1)		2,747		135,427
Selective Insurance Group, Inc.		3,723		164,929
				575,224
Regional Banks — 8.9%
1st Source Corp. (1)		1,561		72,914
BancFirst Corp. (1)		863		82,287
Boston Private Financial Holdings, Inc. (1)		5,394		92,777
Central Pacific Financial Corp. (1)		5,322		168,069
Enterprise Financial Services Corp.		3,725		163,714
First Financial Corp.		1,221		56,715
First Interstate BancSystem, Inc., Class A (1)		1,394		61,127
Hanmi Financial Corp. (1)		4,657		155,544
Heartland Financial USA, Inc. (1)		1,793		88,843
Heritage Financial Corp.		2,331		58,275
Hilltop Holdings, Inc.		3,228		91,611
IBERIABANK Corp. (1)		633		53,647
Investors Bancorp, Inc. (1)		14,156		207,102
Preferred Bank		1,376		77,249
Texas Capital Bancshares, Inc. (1)(2)		2,357		210,126
TriCo Bancshares (1)		1,084		39,382
				1,679,382

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Reinsurance — 0.7%
Maiden Holdings, Ltd. (1)		8,274	$	127,833
Thrifts & Mortgage Finance — 2.6%
HomeStreet, Inc. (2)		4,706		128,474
Walker & Dunlop, Inc. (1)(2)		4,886		198,616
Washington Federal, Inc. (1)		5,097		172,533
				499,623
Total Financials				3,239,527
Healthcare — 15.8%
Biotechnology — 3.5%
Acorda Therapeutics, Inc. (1)(2)		3,272		86,544
BioSpecifics Technologies Corp. (2)		1,376		72,749
Emergent BioSolutions, Inc. (1)(2)		3,913		122,790
Enanta Pharmaceuticals, Inc. (2)		1,362		39,253
Exact Sciences Corp. (1)(2)		1,989		42,803
Exelixis, Inc. (1)(2)		6,069		130,666
Ironwood Pharmaceuticals, Inc. (1)(2)		2,551		43,086
Lexicon Pharmaceuticals, Inc. (1)(2)		2,151		34,524
Myriad Genetics, Inc. (1)(2)		2,660		51,684
Retrophin, Inc. (1)(2)		1,884		40,073
				664,172
Healthcare Equipment — 3.5%
AngioDynamics, Inc. (2)		2,148		35,120
Globus Medical, Inc., Class A (1)(2)		5,256		146,169
LeMaitre Vascular, Inc.		3,451		76,405
Masimo Corp. (2)		2,864		258,791
Natus Medical, Inc. (1)(2)		4,088		151,358
				667,843
Healthcare Facilities — 0.9%
U.S. Physical Therapy, Inc. (1)		2,140		161,891
Healthcare Services — 1.1%
BioTelemetry, Inc. (1)(2)		8,035		204,491
Healthcare Supplies — 1.1%
OraSure Technologies, Inc. (1)(2)		17,960		201,332
Life Sciences Tools & Services — 2.2%
Cambrex Corp. (1)(2)		2,950		166,232
INC Research Holdings, Inc. (1)(2)		3,439		150,112
Luminex Corp. (1)(2)		5,782		107,430
				423,774
Managed Healthcare — 2.1%
HealthEquity, Inc. (1)(2)		1,993		87,094
Magellan Health, Inc. (2)		2,363		163,401
Molina Healthcare, Inc. (1)(2)		3,027		146,840
				397,335
Pharmaceuticals — 1.4%
Heska Corp. (1)(2)		1,449		134,380
Prestige Brands Holdings, Inc. (1)(2)		1,194		67,605
Sucampo Pharmaceuticals, Inc., Class A (1)(2)		5,012		58,891
				260,876
Total Healthcare				2,981,714
Industrials — 17.3%
Aerospace & Defense — 0.8%
DigitalGlobe, Inc. (1)(2)		4,754		150,464
Air Freight & Logistics — 0.5%
Atlas Air Worldwide Holdings, Inc. (2)		1,576		89,596
Airlines — 0.9%
Hawaiian Holdings, Inc. (1)(2)		3,328		161,907

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

19

February 28, 2017 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Building Products — 0.8%
Gibraltar Industries, Inc. (1)(2)		3,733	$	154,733
Construction & Engineering — 1.9%
Argan, Inc. (1)		2,296		158,195
EMCOR Group, Inc.		2,429		149,335
MYR Group, Inc. (2)		1,553		58,253
				365,783
Construction Machinery & Heavy Trucks — 1.9%
Greenbrier Cos., Inc. (1)		3,523		148,142
Wabash National Corp. (1)		9,658		204,267
				352,409
Diversified Support Services — 0.8%
UniFirst Corp. (1)		1,090		145,079
Electrical Components & Equipment — 0.9%
EnerSys		2,238		171,722
Environmental & Facilities Services — 0.2%
CECO Environmental Corp. (1)		3,872		43,754
Human Resource & Employment Services — 0.8%
TrueBlue, Inc. (2)		5,714		148,278
Industrial Machinery — 1.6%
Briggs & Stratton Corp. (1)		5,517		118,064
Chart Industries, Inc. (1)(2)		3,092		110,044
Global Brass & Copper Holdings, Inc.		2,172		73,088
				301,196
Office Services & Supplies — 1.0%
ACCO Brands Corp. (1)(2)		7,306		97,900
Herman Miller, Inc. (1)		2,777		82,755
				180,655
Research & Consulting Services — 0.4%
RPX Corp. (2)		6,775		72,831
Security & Alarm Services — 1.0%
Brink’s Co. (1)		3,383		180,821
Trading Companies & Distributors — 2.1%
H&E Equipment Services, Inc. (1)		6,249		163,974
MRC Global, Inc. (2)		7,082		143,127
Rush Enterprises, Inc., Class A (2)		2,842		97,992
				405,093
Trucking — 1.7%
ArcBest Corp.		5,547		162,804
Saia, Inc. (2)		3,471		167,823
				330,627
Total Industrials				3,254,948
Information Technology — 19.0%
Communications Equipment — 2.2%
Ciena Corp. (1)(2)		6,384		168,155
Ixia (1)(2)		6,002		117,639
Plantronics, Inc.		2,474		132,507
				418,301
Consulting & Other Services — 0.4%
Hackett Group, Inc.		3,971		80,055
Data Processing & Outsourced Services — 2.8%
Cardtronics PLC (1)(2)		3,307		145,773
Convergys Corp.		2,839		62,117
CSG Systems International, Inc. (1)		3,094		121,935

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Data Processing & Outsourced Services (continued)
Sykes Enterprises, Inc. (2)		1,350	$	36,747
Travelport Worldwide, Ltd.		12,209		155,054
				521,626
Electronic Components — 1.6%
Rogers Corp. (2)		1,992		164,360
Vishay Intertechnology, Inc. (1)		8,822		139,829
				304,189
Electronic Equipment & Instruments — 0.6%
Itron, Inc. (1)(2)		1,891		122,348
Electronic Manufacturing Services — 3.5%
Benchmark Electronics, Inc. (1)(2)		5,425		168,718
Methode Electronics, Inc. (1)		3,760		156,040
Sanmina Corp. (2)		5,005		195,195
TTM Technologies, Inc. (1)(2)		8,740		141,238
				661,191
Internet Software & Services — 1.1%
Blucora, Inc. (1)(2)		5,662		88,327
DHI Group, Inc. (2)		7,554		37,392
j2 Global, Inc. (1)		977		79,548
				205,267
Semiconductor Equipment — 3.1%
Amkor Technology, Inc. (1)(2)		13,651		134,053
Entegris, Inc. (1)(2)		9,092		192,750
Photronics, Inc. (1)(2)		13,097		140,138
Rudolph Technologies, Inc. (2)		5,453		117,240
				584,181
Semiconductors — 1.0%
Integrated Device Technology, Inc. (1)(2)		7,612		182,003
Systems Software — 2.4%
Barracuda Networks, Inc. (1)(2)		4,251		100,579
CommVault Systems, Inc. (2)		1,898		93,097
Gigamon, Inc. (1)(2)		2,531		86,180
Qualys, Inc. (1)(2)		2,922		102,124
Rubicon Project, Inc. (2)		7,290		63,714
				445,694
Technology Distributors — 0.3%
Insight Enterprises, Inc. (2)		1,445		61,210
Total Information Technology				3,586,065
Materials — 5.9%
Commodity Chemicals — 2.5%
Koppers Holdings, Inc. (1)(2)		4,109		180,180
Trinseo SA (1)		2,569		177,646
Tronox, Ltd., Class A (1)		6,966		120,721
				478,547
Metal & Glass Containers — 0.8%
Berry Plastics Group, Inc. (2)		3,147		158,389
Specialty Chemicals — 2.2%
Innospec, Inc.		2,320		151,496
Minerals Technologies, Inc.		2,172		167,787
OMNOVA Solutions, Inc. (2)		9,400		86,950
				406,233
Steel — 0.4%
SunCoke Energy, Inc. (1)(2)		6,638		64,720
Total Materials				1,107,889

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

20

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Real Estate — 5.0%
Diversified REIT’s — 1.8%
American Assets Trust, Inc. (1)		3,010	$	132,440
First Potomac Realty Trust (1)		5,249		52,437
Washington Real Estate Investment Trust (1)		5,011		163,910
				348,787
Hotel & Resort REIT’s — 1.1%
Chesapeake Lodging Trust		3,498		84,512
RLJ Lodging Trust (1)		5,461		124,292
				208,804
Office REIT’s — 1.0%
Cousins Properties, Inc. (1)		21,195		181,217
Specialized REIT’s — 1.1%
DuPont Fabros Technology, Inc. (1)		4,083		210,234
Total Real Estate				949,042
Telecommunication Services — 0.7%
Alternative Carriers — 0.7%
Cogent Communications Holdings, Inc. (1)		3,290		136,371
Utilities — 1.9%
Electric Utilities — 1.9%
El Paso Electric Co.		3,398		165,992
Portland General Electric Co.		4,273		193,695
Total Utilities				359,687
Total Common Stocks (identified cost $15,443,108)				18,381,030
Short-Term Investments — 51.5%
Collateral Pool Investments for Securities on Loan — 49.2%
Collateral pool allocation (3)				9,282,409
Mutual Funds — 2.3%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		424,128		424,213
Total Short-Term Investments (identified cost $9,706,589)				9,706,622
Total Investments — 149.0% (identified cost $25,149,697)				28,087,652
Other Assets and Liabilities — (49.0)%				(9,232,292	)
Total Net Assets — 100.0%			$	18,855,360

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		9.3	%
Consumer Staples		2.4
Energy		3.0
Financials		17.2
Healthcare		15.8
Industrials		17.3
Information Technology		19.0
Materials		5.9
Real Estate		5.0
Telecommunication Services		0.7
Utilities		1.9
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.4%
Consumer Discretionary — 12.5%
Apparel Retail — 1.8%
DSW, Inc., Class A (1)		74,100	$	1,558,323
Francesca’s Holdings Corp. (1)(2)		104,000		1,764,880
				3,323,203
Apparel, Accessories & Luxury Goods — 1.4%
Kate Spade & Co. (1)(2)		111,700		2,665,162
Auto Parts & Equipment — 1.7%
American Axle & Manufacturing Holdings, Inc. (1)(2)		92,400		1,831,368
Gentherm, Inc. (1)(2)		36,900		1,337,625
				3,168,993
Home Furnishings — 1.0%
La-Z-Boy, Inc. (1)		70,686		1,908,522
Household Appliances — 1.0%
iRobot Corp. (1)(2)		33,600		1,917,888
Internet & Direct Marketing Retail — 0.8%
Shutterfly, Inc. (1)(2)		33,000		1,497,540
Leisure Facilities — 1.0%
ClubCorp Holdings, Inc. (1)		114,700		1,961,370
Restaurants — 2.1%
BJ’s Restaurants, Inc. (1)(2)		38,100		1,384,935
Buffalo Wild Wings, Inc. (1)(2)		10,100		1,565,500
Potbelly Corp. (1)(2)		72,800		950,040
				3,900,475
Specialty Stores — 1.7%
Five Below, Inc. (1)(2)		39,900		1,538,145
MarineMax, Inc. (1)(2)		70,000		1,575,000
				3,113,145
Total Consumer Discretionary				23,456,298
Consumer Staples — 2.9%
Agricultural Products — 0.9%
Darling Ingredients, Inc. (1)(2)		129,400		1,683,494
Hypermarkets & Super Centers — 1.0%
PriceSmart, Inc. (1)		20,900		1,847,560
Soft Drinks — 1.0%
Coca-Cola Bottling Co. Consolidated (1)		10,900		1,875,563
Total Consumer Staples				5,406,617
Energy — 1.5%
Oil & Gas-Equipment & Services — 0.8%
McDermott International, Inc. (1)(2)		214,700		1,580,192
Oil & Gas-Exploration & Production — 0.7%
PDC Energy, Inc. (1)(2)		19,200		1,297,728
Total Energy				2,877,920
Financials — 6.2%
Life & Health Insurance — 0.9%
CNO Financial Group, Inc. (1)		83,100		1,737,621
Mortgage REIT’s — 0.9%
Redwood Trust, Inc. (1)		105,300		1,723,761
Property & Casualty Insurance — 0.8%
Employers Holdings, Inc. (1)		40,000		1,504,000

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

21

February 28, 2017 (Unaudited)

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 1.8%
Great Western Bancorp, Inc. (1)		41,100	$	1,756,614
Old National Bancorp (1)		92,700		1,701,045
				3,457,659
Reinsurance — 0.9%
Maiden Holdings, Ltd. (1)		105,900		1,636,155
Thrifts & Mortgage Finance — 0.9%
Beneficial Bancorp, Inc. (1)		97,300		1,585,990
Total Financials				11,645,186
Healthcare — 21.7%
Biotechnology — 5.5%
Acorda Therapeutics, Inc. (1)(2)		55,800		1,475,910
Emergent BioSolutions, Inc. (1)(2)		45,600		1,430,928
Exact Sciences Corp. (1)(2)		60,800		1,308,416
Exelixis, Inc. (1)(2)		92,200		1,985,066
Genomic Health, Inc. (1)(2)		50,800		1,533,652
Ironwood Pharmaceuticals, Inc. (1)(2)		78,900		1,332,621
Lexicon Pharmaceuticals, Inc. (1)(2)		78,000		1,251,900
				10,318,493
Healthcare Equipment — 5.3%
Abaxis, Inc. (1)		27,400		1,365,890
Cardiovascular Systems, Inc. (1)(2)		61,200		1,738,080
Cynosure, Inc., Class A (1)(2)		36,700		2,422,200
K2M Group Holdings, Inc. (1)(2)		71,400		1,431,570
Masimo Corp. (2)		32,100		2,900,556
				9,858,296
Healthcare Services — 1.0%
BioTelemetry, Inc. (1)(2)		74,100		1,885,845
Healthcare Supplies — 0.8%
Spectranetics Corp. (1)(2)		54,900		1,527,592
Healthcare Technology — 1.7%
Medidata Solutions, Inc. (1)(2)		37,100		2,074,632
Vocera Communications, Inc. (1)(2)		54,500		1,127,605
				3,202,237
Life Sciences Tools & Services — 3.3%
Cambrex Corp. (1)(2)		37,600		2,118,760
INC Research Holdings, Inc. (1)(2)		34,600		1,510,290
Luminex Corp. (1)(2)		55,300		1,027,474
PRA Health Sciences, Inc. (1)(2)		27,500		1,622,775
				6,279,299
Managed Healthcare — 1.9%
Magellan Health, Inc. (1)(2)		23,400		1,618,110
WellCare Health Plans, Inc. (1)(2)		13,100		1,849,720
				3,467,830
Pharmaceuticals — 2.2%
Amphastar Pharmaceuticals, Inc. (1)(2)		84,200		1,302,574
Pacira Pharmaceuticals, Inc. (1)(2)		34,848		1,522,858
Supernus Pharmaceuticals, Inc. (1)(2)		51,800		1,331,260
				4,156,692
Total Healthcare				40,696,284

Description	Shares		Value
Common Stocks (continued)
Industrials — 16.6%
Air Freight & Logistics — 1.2%
Hub Group, Inc., Class A (2)		45,100	$	2,277,550
Building Products — 3.8%
American Woodmark Corp. (1)(2)		19,800		1,711,710
Gibraltar Industries, Inc. (1)(2)		46,600		1,931,570
NCI Building Systems, Inc. (2)		117,900		1,886,400
Simpson Manufacturing Co., Inc.		36,500		1,575,340
				7,105,020
Construction & Engineering — 1.1%
Comfort Systems USA, Inc.		54,100		2,063,915
Construction Machinery & Heavy Trucks — 2.2%
Greenbrier Cos., Inc. (1)		45,900		1,930,095
Wabash National Corp. (1)		107,300		2,269,395
				4,199,490
Electrical Components & Equipment — 1.0%
EnerSys (1)		25,300		1,941,269
Human Resource & Employment Services — 2.0%
TriNet Group, Inc. (1)(2)		71,000		1,906,350
WageWorks, Inc. (1)(2)		25,100		1,932,700
				3,839,050
Industrial Machinery — 1.6%
Chart Industries, Inc. (1)(2)		46,200		1,644,258
Lydall, Inc. (2)		25,400		1,287,780
				2,932,038
Office Services & Supplies — 1.7%
Herman Miller, Inc. (1)		56,800		1,692,640
Interface, Inc.		83,700		1,581,930
				3,274,570
Research & Consulting Services — 0.8%
ICF International, Inc. (1)(2)		33,000		1,417,350
Trading Companies & Distributors — 1.2%
Univar, Inc. (1)(2)		67,000		2,157,400
Total Industrials				31,207,652
Information Technology — 25.8%
Application Software — 2.3%
BroadSoft, Inc. (1)(2)		33,000		1,412,400
Callidus Software, Inc. (1)(2)		94,112		1,774,011
Synchronoss Technologies, Inc. (1)(2)		39,900		1,080,492
				4,266,903
Communications Equipment — 3.2%
Applied Optoelectronics, Inc. (1)(2)		61,100		2,805,712
Ciena Corp. (1)(2)		83,400		2,196,756
ShoreTel, Inc. (2)		160,200		1,041,300
				6,043,768
Data Processing & Outsourced Services — 0.9%
Travelport Worldwide, Ltd.		135,300		1,718,310
Electronic Components — 0.9%
Rogers Corp. (2)		19,900		1,641,949
Electronic Equipment & Instruments — 1.7%
FARO Technologies, Inc. (1)(2)		36,200		1,248,900
Itron, Inc. (2)		31,100		2,012,170
				3,261,070
Electronic Manufacturing Services — 0.8%
Methode Electronics, Inc. (1)		33,700		1,398,550

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

22

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Internet Software & Services — 3.3%
LogMeIn, Inc. (1)		19,689	$	1,806,466
Shutterstock, Inc. (1)(2)		34,200		1,491,462
Web.com Group, Inc. (1)(2)		64,800		1,247,400
Yelp, Inc. (2)		50,800		1,711,960
				6,257,288
Semiconductor Equipment — 2.3%
Entegris, Inc. (1)(2)		107,100		2,270,520
Rudolph Technologies, Inc. (1)(2)		93,800		2,016,700
				4,287,220
Semiconductors — 3.8%
Integrated Device Technology, Inc. (1)(2)		79,500		1,900,845
NeoPhotonics Corp. (1)(2)		105,976		1,075,657
Semtech Corp. (1)(2)		66,600		2,227,770
Silicon Laboratories, Inc. (1)(2)		28,100		1,896,750
				7,101,022
Systems Software — 5.6%
A10 Networks, Inc. (1)(2)		132,000		1,248,720
Barracuda Networks, Inc. (1)(2)		81,800		1,935,388
CommVault Systems, Inc. (1)(2)		35,500		1,741,275
Gigamon, Inc. (1)(2)		53,395		1,818,100
Qualys, Inc. (1)(2)		42,700		1,492,365
Rubicon Project, Inc. (2)		123,963		1,083,436
Varonis Systems, Inc. (1)(2)		43,400		1,189,160
				10,508,444
Technology Hardware, Storage & Peripherals — 1.0%
Nimble Storage, Inc. (1)(2)		197,400		1,790,418
Total Information Technology				48,274,942
Materials — 5.2%
Commodity Chemicals — 1.2%
Trinseo SA (1)		33,190		2,295,088
Forest Products — 1.1%
Boise Cascade Co. (2)		72,800		1,972,880
Metal & Glass Containers — 1.0%
Berry Plastics Group, Inc. (1)(2)		35,600		1,791,748
Specialty Chemicals — 0.9%
Minerals Technologies, Inc.		22,000		1,699,500
Steel — 1.0%
Commercial Metals Co. (1)		93,300		1,971,429
Total Materials				9,730,645
Real Estate — 4.1%
Diversified REIT’s — 1.9%
American Assets Trust, Inc. (1)		42,400		1,865,600
Washington Real Estate Investment Trust (1)		50,900		1,664,939
				3,530,539
Hotel & Resort REIT’s — 0.9%
Hersha Hospitality Trust (1)		84,600		1,650,546
Specialized REIT’s — 1.3%
DuPont Fabros Technology, Inc. (1)		49,300		2,538,457
Total Real Estate				7,719,542

Description	Shares		Value
Common Stocks (continued)
Telecommunication Services — 1.0%
Alternative Carriers — 1.0%
Cogent Communications Holdings, Inc. (1)		43,718	$	1,812,111
Utilities — 0.9%
Gas Utilities — 0.9%
Southwest Gas Holdings, Inc.		20,200		1,727,706
Total Common Stocks (identified cost $165,781,519)				184,554,903
Short-Term Investments — 51.9%
Collateral Pool Investments for Securities on Loan — 50.2%
Collateral pool allocation (3)				94,042,316
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		3,157,330		3,157,962
Total Short-Term Investments (identified cost $97,200,278)				97,200,278
Total Investments — 150.3% (identified cost $262,981,797)				281,755,181
Other Assets and Liabilities — (50.3)%				(94,294,635	)
Total Net Assets — 100.0%			$	187,460,546

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		12.5	%
Consumer Staples		2.9
Energy		1.5
Financials		6.2
Healthcare		21.7
Industrials		16.6
Information Technology		25.8
Materials		5.2
Real Estate		4.1
Telecommunication Services		1.0
Utilities		0.9
Other Assets & Liabilities, Net		1.6
Total		100.0	%

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.6%
Austria — 0.7%
Flughafen Wien AG		10,802	$	303,771
Belgium — 0.3%
bpost SA		5,994		148,908
Bermuda — 3.7%
Argo Group International Holdings, Ltd.		2,981		199,578
Dairy Farm International Holdings, Ltd.		17,100		145,863
Enstar Group, Ltd. (2)		1,474		285,587
Everest Re Group, Ltd.		4,326		1,017,216
Giordano International, Ltd.		164,000		89,364
				1,737,608

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

23

February 28, 2017 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Canada — 3.4%
BCE, Inc.		12,153	$	530,150
First Capital Realty, Inc.		7,368		116,051
George Weston, Ltd.		1,406		117,820
Laurentian Bank of Canada		6,012		259,817
Loblaw Cos., Ltd.		7,108		370,652
Metro, Inc. (1)		2,337		68,146
Pure Industrial Real Estate Trust		26,246		118,168
				1,580,804
Cayman Islands — 1.3%
361 Degrees International, Ltd.		292,000		110,587
Fresh Del Monte Produce, Inc.		7,755		448,782
Uni-President China Holdings, Ltd. (1)		92,000		62,812
				622,181
China — 3.2%
Agricultural Bank of China, Ltd., Class H		616,000		284,079
China Minsheng Banking Corp., Ltd., Class H		205,000		233,972
China Telecom Corp., Ltd., Class H		176,000		82,753
Industrial & Commercial Bank of China, Ltd., Class H		707,000		463,568
Tsingtao Brewery Co., Ltd., Class H		96,000		441,484
				1,505,856
Czech Republic — 0.7%
CEZ AS		18,021		318,297
Denmark — 0.4%
Dfds A/S		3,666		201,668
France — 0.1%
Boiron SA		752		68,760
Germany — 0.5%
RHOEN-KLINIKUM AG		9,845		247,916
Guernsey — 1.7%
Amdocs, Ltd.		13,113		795,303
Hong Kong — 5.9%
China Unicom Hong Kong, Ltd.		64,000		77,827
CLP Holdings, Ltd.		101,000		1,027,187
HK Electric Investments & HK Electric Investments, Ltd. (1)		800,500		701,207
PCCW, Ltd.		808,000		492,321
VTech Holdings, Ltd.		22,000		248,258
Yuexiu Real Estate Investment Trust		329,000		195,800
				2,742,600
Hungary — 0.6%
Magyar Telekom Telecommunications PLC		102,784		173,132
Richter Gedeon Nyrt		4,321		95,837
				268,969
Ireland — 0.2%
ICON PLC (2)		1,029		86,199
Israel — 4.4%
Bank Hapoalim BM		48,256		297,541
Bank Leumi Le-Israel BM (2)		195,967		859,004
Bezeq — The Israeli Telecommunication Corp., Ltd.		320,431		572,041
Elbit Systems, Ltd.		2,921		345,370
				2,073,956

Description	Shares		Value
Common Stocks (continued)
Italy — 0.4%
Amplifon SpA		19,269	$	206,381
Japan — 7.7%
Benesse Holdings, Inc.		7,900		242,953
Daiichi Sankyo Co., Ltd.		5,800		132,190
Duskin Co., Ltd. (1)		17,800		390,397
Hogy Medical Co., Ltd.		1,500		88,656
Kissei Pharmaceutical Co., Ltd. (1)		7,200		182,652
KYORIN Holdings, Inc.		18,400		388,325
Mitsui Sugar Co., Ltd.		5,600		135,333
Morinaga Milk Industry Co., Ltd.		16,000		123,619
Nippon Telegraph & Telephone Corp.		10,100		427,123
Nisshin Oillio Group, Ltd.		48,000		249,944
Noevir Holdings Co., Ltd.		2,700		107,308
Prima Meat Packers, Ltd.		29,000		116,934
Suzuken Co., Ltd.		8,000		270,595
Takeda Pharmaceutical Co., Ltd.		5,100		237,057
Towa Pharmaceutical Co., Ltd.		2,500		119,053
Tsumura & Co. (1)		9,700		287,516
Vital KSK Holdings, Inc. (1)		12,000		110,873
				3,610,528
Malaysia — 2.8%
Public Bank Bhd		154,400		694,104
Tenaga Nasional Bhd		205,300		626,073
				1,320,177
Netherlands — 0.1%
Sligro Food Group NV		1,374		51,005
New Zealand — 2.9%
Argosy Property, Ltd. (1)		200,163		144,178
Chorus, Ltd.		36,230		108,039
Fisher & Paykel Healthcare Corp., Ltd.		41,029		269,230
Infratil, Ltd.		76,875		159,751
Metlifecare, Ltd.		40,400		175,765
Ryman Healthcare, Ltd.		45,542		290,971
Summerset Group Holdings, Ltd.		61,250		228,974
				1,376,908
Philippines — 1.0%
First Philippine Holdings Corp.		61,250		89,164
Manila Electric Co.		64,420		374,346
				463,510
Singapore — 4.8%
Ascott Residence Trust		84,200		69,997
Cache Logistics Trust, REIT		174,700		102,222
CDL Hospitality Trusts		73,300		74,011
Frasers Centrepoint Trust		192,100		274,154
Mapletree Industrial Trust		74,200		88,157
Mapletree Logistics Trust		475,100		364,445
RHT Health Trust		210,500		127,676
SATS, Ltd.		129,100		460,611
Sheng Siong Group, Ltd.		128,300		86,058
Singapore Airlines, Ltd.		29,900		212,291
Venture Corp., Ltd.		50,300		385,846
				2,245,468
South Korea — 0.8%
GS Home Shopping, Inc.		827		157,757
Kia Motors Corp.		6,139		207,665
				365,422
Switzerland — 4.1%
ALSO Holding AG (2)		1,698		189,860
Cembra Money Bank AG		6,396		519,016
Intershop Holding AG		174		86,796
Novartis AG		6,230		486,317

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

24

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Switzerland (continued)
Roche Holding AG		284	$	69,194
Sonova Holding AG		1,644		215,904
Valora Holding AG		994		330,558
				1,897,645
Taiwan — 2.3%
Far EasTone Telecommunications Co., Ltd.		326,000		785,197
Taichung Commercial Bank Co., Ltd.		495,822		152,183
Taiwan Secom Co., Ltd.		42,075		123,253
				1,060,633
Thailand — 1.2%
Thai Beverage PCL		804,800		545,569
United States — 43.4%
Abaxis, Inc.		4,943		246,409
ALLETE, Inc.		2,621		176,157
Allstate Corp.		6,076		499,204
American Express Co.		1,674		134,020
AT&T, Inc.		7,956		332,481
Atrion Corp. (1)		359		175,210
Avista Corp.		2,590		103,263
Bed Bath & Beyond, Inc.		2,519		101,768
Bryn Mawr Bank Corp.		4,417		181,318
Carter’s, Inc.		825		72,608
Chemed Corp.		5,418		967,384
Children’s Place, Inc.		2,707		274,219
Cintas Corp.		3,023		356,744
Consolidated Edison, Inc.		11,013		848,442
Darden Restaurants, Inc.		4,334		323,663
Discover Financial Services		12,366		879,717
Dr. Pepper Snapple Group, Inc.		10,244		957,199
Edison International		2,755		219,684
Equity Commonwealth (2)		3,665		114,568
Foot Locker, Inc.		1,764		133,482
Forrester Research, Inc.		2,099		76,614
General Mills, Inc.		5,319		321,108
Getty Realty Corp.		10,693		282,188
Huntington Ingalls Industries, Inc.		1,105		241,442
ICU Medical, Inc. (2)		1,339		201,386
IDACORP, Inc.		1,987		164,782
Johnson & Johnson		7,721		943,583
Kroger Co.		15,720		499,896
Masimo Corp. (2)		1,854		167,527
McKesson Corp.		1,068		160,339
Merck & Co., Inc.		14,366		946,288
Meridian Bancorp, Inc.		42,349		806,748
Navigators Group, Inc.		4,912		270,406
Owens & Minor, Inc.		21,221		765,654
PepsiCo, Inc.		6,416		708,198
Pfizer, Inc.		26,861		916,497
Pinnacle West Capital Corp.		1,148		94,354
Portland General Electric Co.		15,641		709,007
Prudential Financial, Inc.		4,678		517,106
Quidel Corp. (2)		5,114		107,394
Safety Insurance Group, Inc.		3,544		251,624
Spirit AeroSystems Holdings, Inc., Class A		2,983		183,783
Sysco Corp.		14,898		785,423
TCF Financial Corp.		5,495		95,613
Tyson Foods, Inc., Class A		6,413		401,197
U.S. Physical Therapy, Inc.		3,187		241,097
United Community Banks, Inc.		3,519		101,664

Description	Shares		Value
Common Stocks (continued)
United States (continued)
Unum Group		8,726	$	426,091
Verizon Communications, Inc.		15,264		757,552
Wal-Mart Stores, Inc.		12,891		914,359
WellCare Health Plans, Inc. (2)		934		131,881
				20,288,341
Total Common Stocks (identified cost $41,399,613)				46,134,383
Short-Term Investments — 2.9%
Collateral Investment for Securities on Loan — 2.9%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.502% (3)		1,366,657		1,366,657
Total Short-Term Investments (identified cost $1,366,657)				1,366,657
Total Investments — 101.5% (identified cost $42,766,270)				47,501,040
Other Assets and Liabilities — (1.5)%				(723,488	)
Total Net Assets — 100.0%			$	46,777,552

Industry Allocation
Industry	Value			% of Total Net Assets
Aerospace/Defense	$	529,152			1.1	%
Airlines		212,291			0.5
Apparel		72,608			0.2
Auto Manufacturers		207,665			0.4
Banks		3,622,863			7.7
Beverages		2,652,451			5.7
Commercial Services		1,189,960			2.5
Computers		795,303			1.7
Cosmetics/Personal Care		107,308			0.2
Distribution/Wholesale		189,860			0.4
Diversified Financial Services		1,532,754			3.3
Electric		5,611,713			12.0
Electronics		385,846			0.8
Engineering & Construction		764,382			1.6
Food		3,898,534			8.3
Healthcare-Products		1,471,715			3.2
Healthcare-Services		2,370,187			5.1
Insurance		3,466,812			7.4
Pharmaceuticals		6,387,112			13.7
Real Estate		474,701			1.0
Real Estate Investment Trusts		1,683,711			3.6
Retail		2,521,815			5.4
Savings & Loans		806,748			1.7
Shipbuilding		241,442			0.5
Telecommunications		4,586,873			9.8
Transportation		350,577			0.8
Total Common Stocks		46,134,383			98.6
Collateral Investment for Securities on Loan		1,366,657			2.9
Total Investments		47,501,040			101.5
Other Assets and Liabilities		(723,488	)		(1.5	)
Total Net Assets	$	46,777,552			100.0	%

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

25

February 28, 2017 (Unaudited)

Schedules of Investments

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 97.9%
Australia — 6.7%
Australia & New Zealand Banking Group, Ltd.		25,124	$	595,214
BHP Billiton, Ltd. (1)		29,472		564,905
CSL, Ltd.		3,279		296,301
Fortescue Metals Group, Ltd. (1)		72,955		370,846
Ramsay Health Care, Ltd.		9,124		488,137
Telstra Corp., Ltd.		177,542		656,105
Woodside Petroleum, Ltd. (1)		38,222		918,413
				3,889,921
Austria — 0.9%
Erste Group Bank AG		17,799		517,793
Belgium — 0.2%
bpost SA		3,423		85,037
Bermuda — 0.2%
Fly Leasing, Ltd. (2)		8,634		116,300
Denmark — 3.2%
Danske Bank A/S		14,091		470,312
Novo Nordisk A/S		31,261		1,110,219
Vestas Wind Systems A/S		4,143		307,322
				1,887,853
Finland — 2.8%
Nokian Renkaat OYJ		3,706		145,777
Orion OYJ		3,354		165,367
UPM-Kymmene OYJ		56,736		1,348,180
				1,659,324
France — 12.5%
Arkema SA		6,792		658,383
Capgemini SA		1,702		145,492
CNP Assurances		34,000		629,802
Credit Agricole SA		33,298		401,969
Eiffage SA		2,341		167,205
Peugeot SA (2)		73,237		1,393,467
Sanofi		17,753		1,529,615
Societe Generale SA		18,346		814,552
TOTAL SA		2,917		145,397
Valeo SA		11,414		701,456
Vinci SA		9,519		685,842
				7,273,180
Germany — 8.6%
Allianz SE		5,776		1,004,755
Bayer AG		3,884		427,107
Continental AG		685		138,970
Evonik Industries AG		37,988		1,219,810
Fresenius Medical Care AG & Co. KGaA		1,724		143,464
Fresenius SE & Co. KGaA		16,239		1,290,613
Merck KGaA		3,275		357,882
Siemens AG		2,261		294,143
Talanx AG		4,225		150,974
				5,027,718
Ireland — 2.0%
Seagate Technology PLC		24,555		1,183,305
Israel — 0.9%
Bezeq — The Israeli Telecommunication Corp., Ltd.		211,824		378,153
Check Point Software Technologies, Ltd. (2)		1,557		154,003
				532,156

Description	Shares		Value
Common Stocks (continued)
Italy — 0.4%
Atlantia SpA		6,122	$	143,333
Recordati SpA		3,492		110,871
				254,204
Japan — 22.7%
Aoyama Trading Co., Ltd.		12,500		468,423
Asahi Glass Co., Ltd.		53,000		433,077
Chubu Electric Power Co., Inc.		31,500		414,972
Dai Nippon Printing Co., Ltd.		63,000		685,264
Daiwa Securities Group, Inc.		79,000		500,883
Fujikura, Ltd.		125,000		927,945
Fujitsu, Ltd.		40,000		232,391
Heiwado Co., Ltd.		13,200		316,650
Hitachi Maxell, Ltd.		9,200		179,668
Ibiden Co., Ltd.		41,400		670,315
Kawasaki Kisen Kaisha, Ltd. (1)		164,000		442,316
Kirin Holdings Co., Ltd.		82,800		1,425,388
Konica Minolta, Inc.		70,300		677,688
Mitsubishi Chemical Holdings Corp.		87,900		674,986
Mitsubishi UFJ Financial Group, Inc. (1)		18,500		121,593
Monex Group, Inc. (1)		97,900		257,070
Morinaga Milk Industry Co., Ltd.		28,000		216,334
NEC Corp. (1)		95,000		236,771
Nippon Telegraph & Telephone Corp.		39,300		1,661,972
Nissan Motor Co., Ltd.		9,400		92,540
Nisshin Oillio Group, Ltd.		44,000		229,116
Nisshinbo Holdings, Inc.		47,200		481,474
NTT DoCoMo, Inc.		10,300		244,516
Sumitomo Riko Co., Ltd.		9,900		103,014
Toho Holdings Co., Ltd. (1)		5,400		116,657
Tokyo Electron, Ltd.		7,800		778,299
Toppan Printing Co., Ltd.		52,000		523,957
Warabeya Nichiyo Holdings Co., Ltd.		5,400		120,935
				13,234,214
Jersey — 2.2%
Centamin PLC		124,390		269,803
Delphi Automotive PLC		13,439		1,023,111
				1,292,914
Luxembourg — 1.0%
Subsea 7 SA (2)		22,023		311,293
Ternium SA		10,240		271,565
				582,858
Marshall Islands — 0.2%
Seaspan Corp. (1)		12,196		95,617
Netherlands — 2.5%
AerCap Holdings NV (2)		8,123		367,972
Boskalis Westminster		13,073		476,424
ING Groep NV		43,045		593,508
				1,437,904
New Zealand — 0.4%
Air New Zealand, Ltd.		138,069		235,202
Norway — 0.6%
Salmar ASA		9,477		239,539
Yara International ASA		3,496		132,734
				372,273
Portugal — 1.0%
EDP — Energias de Portugal SA		179,372		554,688
Singapore — 2.2%
DBS Group Holdings, Ltd.		14,500		193,796
Japfa, Ltd.		194,900		131,426
Mapletree Industrial Trust		212,200		252,114

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

26

BMO Funds

Disciplined International Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Singapore (continued)
Oversea-Chinese Banking Corp., Ltd.		21,300	$	143,783
SATS, Ltd.		70,200		250,464
Singapore Airlines, Ltd.		25,100		178,211
Yanlord Land Group, Ltd.		149,200		154,907
				1,304,701
Spain — 0.8%
Banco Bilbao Vizcaya Argentaria SA		32,796		214,649
Repsol SA		14,890		220,842
				435,491
Sweden — 2.5%
Nordea Bank AB		100,714		1,180,460
Skandinaviska Enskilda Banken AB, Class A		24,708		282,757
				1,463,217
Switzerland — 6.1%
Lonza Group AG		6,047		1,113,850
Roche Holding AG		3,303		804,743
Swiss Re AG		4,225		377,762
TE Connectivity, Ltd.		13,101		975,632
Zurich Insurance Group AG (2)		934		257,876
				3,529,863
United Kingdom — 17.3%
Admiral Group PLC		11,482		260,443
British American Tobacco PLC		24,708		1,557,474
Compass Group PLC		62,153		1,155,296
Diageo PLC		10,218		287,560
Go-Ahead Group PLC		3,858		94,308
Imperial Brands PLC		26,437		1,244,269
Johnson Matthey PLC		17,353		659,755
Jupiter Fund Management PLC		25,422		132,268
National Grid PLC		74,702		906,084
Paragon Group of Cos. PLC		26,905		141,586
Reckitt Benckiser Group PLC		11,244		1,020,040
RELX PLC		45,235		844,754
Rio Tinto PLC		24,198		989,960
Royal Mail PLC		64,643		332,560
Unilever PLC		6,609		313,188
WH Smith PLC		7,063		148,289
				10,087,834
Total Common Stocks (identified cost $52,077,727)				57,053,567
Short-Term Investments — 5.7%
Collateral Investment for Securities on Loan — 4.1%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.502% (3)		2,374,141		2,374,141
Mutual Funds — 1.6%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		958,572		958,572
Total Short-Term Investments (identified cost $3,332,786)				3,332,713
Total Investments — 103.6% (identified cost $55,410,513)				60,386,280
Other Assets and Liabilities — (3.6)%				(2,073,548	)
Total Net Assets — 100.0%			$	58,312,732

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	2,933,169			5.0	%
Airlines		413,413			0.7
Auto Manufacturers		1,486,007			2.6
Auto Parts & Equipment		2,009,314			3.5
Banks		5,530,386			9.5
Beverages		1,712,948			2.9
Biotechnology		296,301			0.5
Building Materials		433,077			0.8
Chemicals		4,459,518			7.7
Commercial Services		2,565,281			4.4
Computers		1,715,192			2.9
Cosmetics/Personal Care		313,188			0.5
Diversified Financial Services		891,037			1.5
Electric		969,659			1.7
Electrical Components & Equipment		927,945			1.6
Electronics		2,062,386			3.5
Energy-Alternate Sources		307,322			0.5
Engineering & Construction		1,579,934			2.7
Food		805,923			1.4
Food Service		1,155,296			2.0
Forest Products & Paper		1,348,179			2.3
Gas		906,084			1.6
Healthcare-Services		1,922,214			3.3
Household Products/Wares		1,020,039			1.8
Insurance		2,681,613			4.6
Internet		257,070			0.4
Iron/Steel		642,411			1.1
Mining		1,824,668			3.1
Miscellaneous Manufacturing		1,074,845			1.9
Oil & Gas		1,284,652			2.2
Oil & Gas Services		311,293			0.5
Pharmaceuticals		4,622,463			7.9
Real Estate		154,906			0.3
Real Estate Investment Trusts		252,114			0.4
Retail		933,362			1.6
Semiconductors		778,299			1.3
Telecommunications		3,422,221			5.9
Transportation		1,049,838			1.8
Total Common Stocks		57,053,567			97.9
Collateral Investment for Securities on Loan		2,374,141			4.1
Mutual Funds		958,572			1.6
Total Investments		60,386,280			103.6
Other Assets and Liabilities		(2,073,548	)		(3.6	)
Total Net Assets	$	58,312,732			100.0	%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 94.6%
Australia — 10.1%
Brambles, Ltd.		1,521,109	$	10,857,642
Computershare, Ltd.		1,030,888		10,678,059
Newcrest Mining, Ltd. (2)		356,380		6,049,458
QBE Insurance Group, Ltd.		716,724		6,764,497
Rio Tinto, Ltd. (1)		110,285		5,241,596
Telstra Corp., Ltd.		826,610		3,054,733
Woodside Petroleum, Ltd.		477,367		11,470,356
Woolworths, Ltd. (1)		616,424		12,174,493
				66,290,834

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

27

February 28, 2017 (Unaudited)

Schedules of Investments

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Belgium — 1.1%
Proximus SADP		248,326	$	7,301,686
Finland — 1.7%
Kone OYJ, Class B (1)		124,621		5,579,310
Sampo Oyj A Shares		125,740		5,729,314
				11,308,624
France — 7.4%
Air Liquide SA		98,685		10,653,323
Legrand SA		126,042		7,106,404
Rubis SCA		89,006		8,344,923
Sanofi		158,664		13,670,642
TOTAL SA		181,487		9,046,173
				48,821,465
Germany — 5.4%
Brenntag AG		162,718		9,329,388
Deutsche Post AG		320,589		10,995,580
GEA Group AG (1)		149,450		5,816,943
SAP AG		99,962		9,313,878
				35,455,789
Hong Kong — 6.1%
ASM Pacific Technology, Ltd.		682,800		8,492,231
China Mobile, Ltd.		1,001,500		11,043,347
CNOOC, Ltd.		5,564,000		6,579,696
Power Assets Holdings, Ltd.		770,000		6,908,565
VTech Holdings, Ltd.		621,700		7,015,538
				40,039,377
Israel — 1.4%
Bezeq — The Israeli Telecommunication Corp., Ltd.		1,795,045		3,204,557
Teva Pharmaceutical Industries, Ltd.		174,252		6,135,432
				9,339,989
Japan — 8.6%
ABC-Mart, Inc. (1)		70,000		4,218,256
Japan Tobacco, Inc.		259,468		8,677,033
KDDI Corp.		385,900		10,095,332
Mitsubishi Electric Corp.		651,000		9,546,687
Nihon Kohden Corp. (1)		351,700		7,697,987
Sumitomo Rubber Industries, Ltd.		440,000		7,261,204
Toyota Tsusho Corp.		289,000		8,617,651
				56,114,150
Malaysia — 2.7%
Axiata Group Bhd		8,493,891		8,474,761
Magnum Bhd		3,042,000		1,493,595
Malayan Banking Bhd		4,019,509		7,785,535
				17,753,891
Netherlands — 4.5%
Koninklijke Vopak NV		190,123		8,039,528
RELX NV		433,082		7,675,838
Unilever NV		287,390		13,583,519
				29,298,885
Norway — 1.9%
Telenor ASA		747,921		12,195,479
Singapore — 5.2%
ComfortDelGro Corp., Ltd.		2,274,000		4,007,978
Sembcorp Industries, Ltd.		2,123,000		4,847,724
Singapore Technologies Engineering, Ltd.		4,244,400		11,145,563

Description	Shares		Value
Common Stocks (continued)
Singapore (continued)
United Overseas Bank, Ltd.		596,000	$	9,143,713
Venture Corp., Ltd.		606,600		4,653,168
				33,798,146
Sweden — 4.5%
Assa Abloy AB, Class B		288,430		5,611,006
Atlas Copco AB, A Shares (1)		370,069		12,118,893
Svenska Cellulosa AB SCA, B Shares		373,555		11,479,866
				29,209,765
Switzerland — 13.8%
Givaudan SA		2,156		3,915,511
Nestle SA		309,799		22,902,948
Novartis AG		249,453		19,472,410
Panalpina Welttransport Holding AG (1)		38,850		4,893,239
Roche Holding AG		87,013		21,199,862
Schindler Holding AG		22,273		4,306,683
Syngenta AG (2)		11,087		4,760,671
Zurich Insurance Group AG (2)		33,326		9,201,274
				90,652,598
Taiwan — 3.8%
Advantech Co., Ltd.		613,218		5,219,344
Chunghwa Telecom Co., Ltd.		2,511,000		8,336,355
MediaTek, Inc.		1,183,000		8,625,059
Merida Industry Co., Ltd.		528,000		2,698,130
				24,878,888
United Kingdom — 16.4%
BP PLC		967,262		5,443,631
British American Tobacco PLC		209,244		13,189,736
GlaxoSmithKline PLC		520,440		10,642,588
Legal & General Group PLC		3,830,307		11,801,296
National Grid PLC		1,052,571		12,766,962
Royal Dutch Shell PLC, A Shares		334,092		8,628,981
Royal Dutch Shell PLC, B Shares		243,230		6,559,884
Sky PLC		815,079		10,088,625
SSE PLC		426,361		8,152,663
United Utilities Group PLC		808,487		9,816,423
Vodafone Group PLC		4,131,537		10,350,644
				107,441,433
Total Common Stocks (identified cost $601,058,051)				619,900,999
Preferred Stocks — 1.7%
Germany — 1.7%
Fuchs Petrolub SE (1)		247,928		11,480,641
Total Preferred Stocks (identified cost $9,396,911)				11,480,641
Short-Term Investments — 7.3%
Collateral Investment for Securities on Loan — 4.9%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.502% (3)		32,450,728		32,450,728

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

28

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 2.4%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		15,511,858	$	15,511,857
Total Short-Term Investments (identified cost $47,963,351)				47,962,585
Total Investments — 103.6% (identified cost $658,418,313)				679,344,225
Other Assets and Liabilities — (3.6)%				(23,748,182	)
Total Net Assets — 100.0%			$	655,596,043

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	21,866,769			3.3	%
Auto Parts & Equipment		7,261,204			1.1
Banks		16,929,249			2.6
Chemicals		28,658,893			4.4
Commercial Services		18,533,481			2.8
Computers		15,897,403			2.4
Cosmetics/Personal Care		25,063,385			3.8
Distribution/Wholesale		8,617,651			1.3
Electric		15,061,228			2.3
Electrical Components & Equipment		7,106,404			1.1
Electronics		10,264,174			1.6
Engineering & Construction		11,145,563			1.7
Food		35,077,441			5.4
Gas		21,111,884			3.2
Hand/Machine Tools		4,306,683			0.7
Healthcare-Products		7,697,987			1.2
Holding Companies-Diversified		1,493,595			0.2
Insurance		33,496,381			5.1
Leisure Time		2,698,130			0.4
Machinery-Construction & Mining		21,665,579			3.3
Machinery-Diversified		11,396,253			1.7
Media		10,088,625			1.5
Mining		11,291,054			1.7
Oil & Gas		47,728,721			7.3
Pharmaceuticals		71,120,934			10.9
Pipelines		8,039,528			1.2
Retail		4,218,256			0.7
Semiconductors		17,117,290			2.6
Shipbuilding		4,847,724			0.8
Software		9,313,878			1.4
Telecommunications		81,072,432			12.4
Transportation		19,896,797			3.0
Water		9,816,423			1.5
Total Common Stocks		619,900,999			94.6
Preferred Stocks		11,480,641			1.7
Collateral Investment for Securities on Loan		32,450,728			4.9
Mutual Funds		15,511,857			2.4
Total Investments		679,344,225			103.6
Other Assets and Liabilities		(23,748,182	)		(3.6	)
Total Net Assets	$	655,596,043			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 94.4%
Bermuda — 3.5%
Credicorp, Ltd.		8,755	$	1,441,248
Dairy Farm International Holdings, Ltd.		405,015		3,454,778
				4,896,026
Cayman Islands — 2.2%
Sands China, Ltd.		725,200		3,026,766
Chile — 1.6%
Aguas Andinas SA, Class A		4,263,203		2,275,658
Egypt — 4.4%
Commercial International Bank Egypt SAE GDR		1,265,531		5,669,579
Edita Food Industries SAE GDR		131,694		553,115
				6,222,694
Hong Kong — 2.6%
AIA Group, Ltd.		569,400		3,597,762
India — 29.3%
Container Corp. Of India, Ltd.		104,585		1,907,709
Emami, Ltd.		304,317		4,730,184
Hindustan Unilever, Ltd.		210,294		2,732,738
Housing Development Finance Corp., Ltd.		177,246		3,641,953
ICICI Bank, Ltd.		1,045,737		4,336,943
ITC, Ltd.		1,813,693		7,105,939
Jyothy Laboratories, Ltd.		41,563		233,516
Mahindra & Mahindra Financial Services, Ltd.		747,126		3,258,659
Nestle India, Ltd.		31,966		2,991,886
Pidilite Industries, Ltd.		202,550		2,072,746
Titan Co., Ltd.		468,313		3,074,414
Yes Bank, Ltd.		234,982		5,114,265
				41,200,952
Indonesia — 15.2%
Bank Mandiri Persero Tbk PT		7,354,804		6,231,950
Bank Rakyat Indonesia Persero Tbk PT		4,847,800		4,343,972
Hanjaya Mandala Sampoerna Tbk PT		12,121,300		3,517,504
Kalbe Farma Tbk PT		32,341,800		3,710,479
Unilever Indonesia Tbk PT		1,109,600		3,509,102
				21,313,007
Kenya — 0.9%
East African Breweries, Ltd.		562,300		1,256,842
Malaysia — 0.9%
Public Bank Bhd		277,300		1,246,601
Mexico — 9.7%
Bolsa Mexicana de Valores SAB de C.V. (1)		1,817,373		2,618,667
Grupo Financiero Banorte SAB de C.V., Class O		727,139		3,618,414
Grupo Herdez SAB de C.V. (1)		555,373		1,034,094
Wal-Mart de Mexico SAB de C.V.		3,287,211		6,397,230
				13,668,405
Nigeria — 0.8%
Guaranty Trust Bank PLC		15,198,387		1,190,801
Philippines — 4.0%
Universal Robina Corp.		1,773,690		5,651,506

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

29

February 28, 2017 (Unaudited)

Schedules of Investments

LGM Emerging Markets Equity Fund (continued)

Description	Shares or Units		Value
Common Stocks (continued)
South Africa — 5.6%
Clicks Group, Ltd.		253,311	$	2,481,453
Life Healthcare Group Holdings, Ltd.		519,427		1,326,930
Mr Price Group, Ltd.		314,803		4,079,780
				7,888,163
South Korea — 0.8%
KT&G Corp.		12,046		1,091,943
Taiwan — 2.0%
President Chain Store Corp.		387,000		2,840,448
Thailand — 1.0%
Kasikornbank PCL		255,869		1,403,759
Turkey — 3.2%
BIM Birlesik Magazalar AS		310,243		4,467,240
United States — 5.7%
Mead Johnson Nutrition Co.		41,107		3,608,784
PriceSmart, Inc.		18,400		1,626,560
Yum China Holdings, Inc. (2)		107,143		2,848,932
				8,084,276
Vietnam — 1.0%
Vietnam Dairy Products JSC		248,570		1,434,814
Total Common Stocks (identified cost $118,105,700)				132,757,663
Common Stock Units — 1.6%
Mexico — 1.6%
Fomento Economico Mexicano SAB de C.V.		268,600		2,165,484
Total Common Stock Units (identified cost $2,071,056)				2,165,484
Participation Notes — 2.6%
United States — 2.6%
Vietnam Dairy Products JSC, Issued by Citigroup Global Markets Holding, Maturity Date 2/8/2018 (5)		641,463		3,702,699
Total Participation Notes (identified cost $2,536,119)				3,702,699
Short-Term Investments — 4.6%
Collateral Investment for Securities on Loan — 1.5%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.502% (3)		2,180,488		2,180,488
Mutual Funds — 3.1%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		4,330,990		4,330,990
Total Short-Term Investments (identified cost $6,511,635)				6,511,478
Total Investments — 103.2% (identified cost $129,224,510)				145,137,324
Other Assets and Liabilities — (3.2)%				(4,514,265	)
Total Net Assets — 100.0%			$	140,623,059

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	11,715,386			8.3	%
Auto Manufacturers		3,258,659			2.3
Banks		34,597,532			24.6
Beverages		1,256,842			0.9
Diversified Financial Services		6,260,620			4.4
Food		19,587,433			13.9
Healthcare-Services		1,326,929			0.9
Household Products/Wares		6,475,356			4.6
Insurance		3,597,762			2.6
Lodging		3,026,766			2.2
Miscellaneous Manufacturing		2,072,746			1.5
Pharmaceuticals		12,049,447			8.6
Retail		23,348,818			16.6
Transportation		1,907,709			1.4
Water		2,275,658			1.6
Total Common Stocks		132,757,663			94.4
Common Stock Units		2,165,484			1.6
Participation Notes		3,702,699			2.6
Collateral Investment for Securities on Loan		2,180,488			1.5
Mutual Funds		4,330,990			3.1
Total Investments		145,137,324			103.2
Other Assets and Liabilities		(4,514,265	)		(3.2	)
Total Net Assets	$	140,623,059			100.0	%

TCH Emerging Markets Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 57.8%
Azerbaijan — 1.6%
International Bank of Azerbaijan, 5.625%, 6/11/2019	$	200,000	$	200,914
Bermuda — 1.6%
Ooredoo International Finance, Ltd., 3.750%, 6/22/2026 (6)		200,000		199,654
British Virgin Islands — 3.6%
China Cinda Finance 2014, Ltd., 5.625%, 5/14/2024 (6)		200,000		219,906
Sinopec Group Overseas Development 2015, Ltd., 3.250%, 4/28/2025 (6)		250,000		244,583
				464,489
Canada — 0.4%
Kinross Gold Corp., 5.125%, 9/1/2021 (1)		50,000		52,875
Cayman Islands — 2.7%
Batelco International Finance No. 1, Ltd., 4.250%, 5/1/2020		200,000		202,160
Odebrecht Finance, Ltd., 7.125%, 6/26/2042 (6)		200,000		93,000
Vale Overseas, Ltd., 4.375%, 1/11/2022		50,000		51,850
				347,010
Chile — 1.6%
Empresa de Transporte de Pasajeros Metro SA, 5.000%, 1/25/2047 (1)(6)		200,000		207,800

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

30

BMO Funds

TCH Emerging Markets Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Colombia — 3.1%
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022	$	200,000	$	199,000
Ecopetrol SA, 5.375%, 6/26/2026		200,000		205,760
				404,760
Costa Rica — 3.2%
Banco de Costa Rica, 5.250%, 8/12/2018 (6)		200,000		203,158
Banco Nacional de Costa Rica, 6.250%, 11/1/2023		200,000		207,246
				410,404
Georgia — 2.1%
Georgian Railway JSC, 7.750%, 7/11/2022 (6)		250,000		276,188
Hungary — 1.6%
Magyar Export-Import Bank Zrt, 4.000%, 1/30/2020 (6)		200,000		205,670
Indonesia — 3.2%
Pelabuhan Indonesia II PT, 4.250%, 5/5/2025 (1)(6)		200,000		200,076
Perusahaan Gas Negara Persero Tbk PT, 5.125%, 5/16/2024 (6)		200,000		211,506
				411,582
Kazakstan — 1.6%
Eurasian Development Bank, 4.767%, 9/20/2022 (6)		200,000		208,800
Luxembourg — 1.7%
Gazprom Neft OAO Via GPN Capital SA, 6.000%, 11/27/2023 (1)(6)		200,000		216,658
Mexico — 9.9%
Alfa SAB de CV, 6.875%, 3/25/2044 (1)(6)		200,000		201,000
America Movil SAB de CV, 6.450%, 12/5/2022 (1)(7)		2,000,000		93,363
Comision Federal de Electricidad, 4.750%, 2/23/2027 (6)		300,000		295,950
Nemak SAB de CV, 5.500%, 2/28/2023 (6)		250,000		256,250
Petroleos Mexicanos:
6.375%, 2/4/2021		150,000		163,275
5.625%, 1/23/2046		300,000		261,765
				1,271,603
Morocco — 3.2%
OCP SA:
4.500%, 10/22/2025 (6)		200,000		196,352
6.875%, 4/25/2044 (6)		200,000		213,933
				410,285
Netherlands — 3.3%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		200,000		213,316
Marfrig Holdings Europe BV, 8.000%, 6/8/2023 (6)		200,000		210,268
				423,584
Peru — 1.7%
Corp Financiera de Desarrollo SA, 4.750%, 7/15/2025 (6)		200,000		212,900

Description	Principal Amount			Value
Corporate Bonds & Notes (continued)
Turkey — 7.8%
Coca-Cola Icecek AS, 4.750%, 10/1/2018 (6)	$	200,000		$	206,253
TC Ziraat Bankasi AS, 4.250%, 7/3/2019 (6)		200,000			199,626
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (6)		200,000			192,961
Turkiye Garanti Bankasi AS, 4.000%, 9/13/2017		200,000			201,561
Turkiye Is Bankasi AS, 3.875%, 11/7/2017 (1)(6)		200,000			201,557
			��		1,001,958
United Kingdom — 2.0%
Standard Chartered PLC, 3.950%, 1/11/2023 (1)(6)		250,000			252,257
United States — 1.9%
CNOOC Finance 2015 USA LLC, 3.500%, 5/5/2025		250,000			248,505
Total Corporate Bonds & Notes (identified cost $7,417,839)					7,427,896
International Bonds — 37.8%
Argentina — 4.5%
Argentine Republic Government International Bond:
5.625%, 1/26/2022 (6)		200,000			202,250
6.250%, 4/22/2019 (6)		200,000			211,800
6.875%, 4/22/2021 (6)		150,000			160,425
					574,475
Armenia — 2.9%
Republic of Armenia, 6.000%, 9/30/2020 (1)(6)		362,000			378,116
Bahamas — 1.6%
Bahamas Government International Bond, 5.750%, 1/16/2024		200,000			199,000
Bahrain — 1.4%
Bahrain Government International Bond, 6.000%, 9/19/2044 (6)		200,000			174,250
Brazil — 1.7%
Brazilian Government International Bond, 6.000%, 4/7/2026 (1)		200,000			217,000
Colombia — 1.6%
Colombia Government International Bond, 5.000%, 6/15/2045		200,000			199,800
Croatia — 1.7%
Croatia Government International Bond, 5.500%, 4/4/2023 (6)		200,000			215,275
Dominican Republic — 0.8%
Dominican Republic International Bond, 5.875%, 4/18/2024 (6)		100,000			104,833
Ethiopia — 1.5%
Federal Democratic Republic of Ethiopia, 6.625%, 12/11/2024 (6)		200,000			189,815
Hungary — 2.0%
Hungary Government International Bond, 4.000%, 3/25/2019		250,000			259,477
Indonesia — 4.0%
Perusahaan Penerbit SBSN Indonesia II, 4.000%, 11/21/2018 (6)		250,000			259,675

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

31

February 28, 2017 (Unaudited)

Schedules of Investments

TCH Emerging Markets Bond Fund (continued)

Description	Shares or Principal Amount		Value
International Bonds (continued)
Indonesia (continued)
Perusahaan Penerbit SBSN Indonesia III, 3.300%, 11/21/2022	$	250,000	$	251,875
				511,550
Oman — 1.5%
Oman Government International Bond, 4.750%, 6/15/2026 (1)(6)		200,000		196,420
Paraguay — 1.6%
Republic of Paraguay, 6.100%, 8/11/2044 (6)		200,000		208,000
Rwanda — 1.6%
Rwanda International Government Bond, 6.625%, 5/2/2023 (6)		200,000		203,095
Saudi Arabia — 1.5%
Saudi Government International Bond, 4.500%, 10/26/2046 (6)		200,000		196,605
South Africa — 1.6%
ZAR Sovereign Capital Fund Propriety, Ltd., 3.903%, 6/24/2020 (6)		200,000		205,748
Sri Lanka — 1.6%
Sri Lanka Government International Bond, 6.000%, 1/14/2019 (6)		200,000		209,172
Turkey — 3.1%
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (6)		200,000		198,166
Turkey Government International Bond, 6.000%, 3/25/2027		200,000		205,119
				403,285
Vietnam — 1.6%
Vietnam Government International Bond, 4.800%, 11/19/2024 (6)		200,000		204,099
Total International Bonds (identified cost $4,788,017)				4,850,015
Short-Term Investments — 17.2%
Collateral Investment for Securities on Loan — 14.3%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.502% (3)		1,836,930		1,836,930
Mutual Funds — 2.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		378,755		378,755
Total Short-Term Investments (identified cost $2,215,716)				2,215,685
Total Investments — 112.8% (identified cost $14,421,572)				14,493,596
Other Assets and Liabilities — (12.8)%				(1,646,147	)
Total Net Assets — 100.0%			$	12,847,449

Industry Allocation
Industry	Value			% of Total Net Assets
Auto Parts & Equipment	$	256,250			2.0	%
Banks		1,679,219			13.1
Beverages		206,253			1.6
Chemicals		410,285			3.2
Diversified Financial Services		219,906			1.7
Electric		295,950			2.3
Engineering & Construction		93,000			0.7
Food		210,268			1.6
Gas		211,506			1.7
Holding Companies-Diversified		201,000			1.6
Iron/Steel		51,850			0.4
Mining		52,875			0.4
Multi-National		208,800			1.6
Oil & Gas		1,340,546			10.4
Sovereign		205,670			1.6
Telecommunications		887,138			6.9
Transportation		897,380			7.0
Total Corporate Bonds & Notes		7,427,896			57.8
International Bonds		4,850,015			37.8
Collateral Investment for Securities on Loan		1,836,930			14.3
Mutual Funds		378,755			2.9
Total Investments		14,493,596			112.8
Other Assets and Liabilities		(1,646,147	)		(12.8	)
Total Net Assets	$	12,847,449			100.0	%

Alternative Strategies Fund

Description	Principal Amount		Value
Bank Loans Purchased Long — 6.8%
Canada — 0.4%
Concordia International Corp., 0.000%, 10/21/2021 (8)(9)	$	27,000	$	22,210
Valeant Pharmaceuticals International, Inc., 5.530%, 4/1/2022 (8)(9)		420,832		424,141
				446,351
Cayman Islands — 0.9%
Offshore Group Investment, Ltd., 7.498%, 12/31/2019 (8)		992,481		983,797
Luxembourg — 0.0%
Pacific Drilling SA, 4.500%, 6/4/2018 (8)		44,777		20,613
United States — 5.5%
21st Century Oncology Holdings, Inc., 7.125%, 4/30/2022 (8)(10)		130,642		122,150
Affinion Group, Inc., 6.750%, 4/30/2018 (8)		515,350		515,270
Air Newco LLC, 6.557%, 1/31/2022 (8)		196,500		189,622
American Bath Group LLC:
0.500%, 9/30/2023		12,358		12,494
6.250%, 9/30/2023		118,642		119,939
AMF Bowling Centers, Inc.:
6.000%, 2/16/2024		60,000		61,475
11.000%, 8/17/2023 (8)		193,515		194,604
Asurion LLC, 8.500%, 3/3/2021 (8)		277,000		281,501
Centurylink, Inc., 0.000%, 2/17/2018 (9)		300,000		298,500

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

32

BMO Funds

Alternative Strategies Fund (continued)

Description	Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
CGG Holding US, Inc., 6.500%, 5/15/2019 (8)	$	108,647	$	105,550
Cheddars Scratch Kitchen, 4.277%, 12/20/2023		174,000		173,565
Chief Power Finance LLC, 5.750%, 12/31/2020 (8)(9)		53,000		43,107
Confie Seguros Holding II Co.:
5.750%, 4/19/2022 (8)		177,000		178,383
10.250%, 5/8/2019 (8)		132,000		131,560
Cortes NP Intermediate Holding II Corp., 6.039%, 11/30/2023 (8)		181,922		183,665
Crosby U.S. Acquisition Corp., 4.052%, 11/23/2020 (8)		14,961		13,811
Cunningham Lindsey US, Inc., 5.000%, 12/10/2019 (8)		315,077		278,843
Del Monte Foods, Inc., 4.307%, 2/18/2021 (8)		15,959		14,648
Duff & Phelps Corp., 9.500%, 4/23/2021 (8)		51,750		52,138
Eastman Kodak Co., 7.250%, 9/3/2019 (8)		64,468		64,811
Electro Rent Corp., 0.000%, 1/19/2024 (9)		141,000		143,996
Everi Payments, Inc., 6.304%, 12/18/2020 (8)		34,628		34,758
EVO Payments International, 6.000%, 12/22/2023		109,000		110,567
Genesys Telecommunications Laboratories, Inc., 5.025%, 12/1/2023 (8)		46,000		46,649
Global Eagle Entertainment, Inc., 7.000%, 1/6/2023 (8)		189,000		189,316
Global Tel*Link Corp., 9.000%, 11/23/2020 (8)		71,000		69,509
Gulf Finance LLC, 6.250%, 8/25/2023 (8)		107,730		109,705
Harbortouch Payments LLC, 5.750%, 10/11/2023		144,000		145,081
Highland Acquisitions Holdings LLC, 6.500%, 11/30/2022		198,000		196,020
Informations Resources, Inc., 5.250%, 1/18/2024		59,000		59,858
Innovative XCessories & Services LLC, 5.750%, 11/29/2022 (8)		90,000		91,013
Invenergy Thermal Operating I LLC, 6.500%, 10/19/2022 (8)		17,397		16,875
Landslide Holdings, Inc., 5.250%, 1/20/2024		103,000		103,754
Lonestar Intermediate Super Holdings, LLC, 10.000%, 8/31/2021		93,000		97,417
Proampac PG Borrower LLC, 9.557%, 11/18/2024 (8)		122,000		124,592
Quorum Health Corp., 6.789%, 4/29/2022 (8)		179,922		179,810
Ramundensen Holdings LLC, 5.250%, 1/13/2024		33,000		33,413
Securus Technologies Holdings, Inc., 9.000%, 4/30/2021 (8)		70,000		69,764
Sirva Worldwide, Inc., 7.550%, 11/14/2022		100,000		98,104
Star West Generation LLC, 5.750%, 3/13/2020 (8)		348,452		318,834

Description	Shares or Principal Amount		Value
Bank Loans Purchased Long (continued)
United States (continued)
SunEdison, Inc.:
0.000%, 7/17/2017 (9)	$	73,721	$	38,704
1.018%, 7/7/2017		79,220		47,037
11.750%, 4/21/2017 (9)		151,193		152,705
11.750%, 4/21/2017		186,000		187,395
12.750%, 7/2/2018 (10)(8)		44,000		14,153
Travel Leaders Group LLC, 6.028%, 1/25/2024		17,000		17,266
Vistra Operations Co. LLC:
3.531%, 8/4/2023 (8)		2,786		2,802
3.531%, 8/4/2023 (8)		12,214		12,288
				5,747,021
Total Bank Loans Purchased Long (identified cost $6,891,086)				7,197,782
Common Stocks Purchased Long — 50.5%
Bermuda — 0.4%
Axalta Coating Systems, Ltd. (2)(11)		14,870		432,866
Syncora Holdings, Ltd. (2)		9,496		22,315
				455,181
Canada — 0.5%
BlackBerry, Ltd. (2)		36,515		254,145
Methanex Corp.		5,115		260,865
				515,010
Cayman Islands — 0.8%
Baidu, Inc., ADR (2)		278		48,408
Ctrip.com International, Ltd., ADR (2)		6,572		311,776
Pace Holdings Corp. (2)		43,610		483,635
				843,819
France — 0.0%
Ste Industrielle d’Aviation Latecoere SA (2)		2,978		13,061
Ireland — 1.9%
Allergan PLC (11)		4,002		979,770
Johnson Controls International PLC (11)		15,445		647,763
Pentair PLC		6,140		356,488
				1,984,021
Liberia — 0.1%
Royal Caribbean Cruises, Ltd.		1,244		119,549
Marshall Islands — 0.0%
Navios Maritime Partners LP (2)		330		576
Netherlands — 0.9%
Constellium NV (2)		27,774		226,358
NXP Semiconductors (2)(11)		7,115		731,493
				957,851
Singapore — 0.6%
Broadcom, Ltd.		2,159		455,398
Flex, Ltd. (2)		10,760		177,432
				632,830
Switzerland — 0.4%
Nestle SA ADR		6,125		451,351
United Kingdom — 1.5%
Nielsen Holdings PLC (11)		16,260		721,293
STERIS PLC		4,620		324,001
TechnipFMC PLC (2)		14,594		471,678
				1,516,972

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

33

February 28, 2017 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States — 43.4%
Abbott Laboratories		6,924	$	312,134
Activision Blizzard, Inc.		1,615		72,885
AdvancePierre Foods Holdings, Inc.		3,360		97,306
Aetna, Inc. (11)		5,560		715,906
Air Products & Chemicals, Inc.		2,575		361,710
Alere, Inc. (2)(11)		14,700		563,010
Allegheny Technologies, Inc. (11)		13,935		267,691
Allscripts Healthcare Solutions, Inc. (2)		15,450		188,181
Ally Financial, Inc.		15,800		355,342
Alphabet, Inc., Class A (2)		371		313,469
Alphabet, Inc., Class C (2)(11)		817		672,563
Anadarko Petroleum Corp. (11)		8,907		575,838
AquaBounty Technologies, Inc. (2)		18		256
Armstrong World Industries, Inc. (2)		8,520		391,920
Artec Group, Inc.		3,308		51,274
Atmos Energy Corp.		3,570		279,495
AutoZone, Inc. (2)(11)		806		593,659
Bioverativ, Inc. (2)		5,130		267,170
Black Hills Corp. (11)		7,465		484,329
Bloomin’ Brands, Inc.		9,920		169,533
C&J Energy Services, Inc. (2)		1,264		50,560
Casey’s General Stores, Inc.		3,100		355,198
CBS Corp., Class B (11)		8,580		565,594
CDK Global, Inc.		5,865		389,612
Charter Communications, Inc., Class A (2)		2,025		654,196
Cognizant Technology Solutions Corp., Class A (2)		9,088		538,646
Comcast Corp., Class A (11)		13,032		487,657
Concho Resources, Inc. (2)(11)		5,638		746,753
Continental Resources, Inc. (2)		1,400		63,280
CST Brands, Inc. (11)		2,220		106,849
CSX Corp.		13,602		660,513
DCP Midstream LP, Class A		19,590		767,928
Deckers Outdoor Corp. (2)		7,210		380,904
Devon Energy Corp.		10,730		465,253
DISH Network Corp., Class A (2)(11)		4,195		260,090
Dollar General Corp.		4,910		358,528
Dover Corp.		4,480		358,848
Dun & Bradstreet Corp.		3,930		414,772
Dynegy, Inc. (2)(11)		11,390		91,576
Eagle Pharmaceuticals, Inc. (2)(11)		8,265		633,843
EnPro Industries, Inc. (11)		4,497		293,564
Everi Holdings, Inc. (2)		43,892		142,649
FedEx Corp. (11)		3,330		642,623
Fiesta Restaurant Group, Inc. (2)		6,710		133,193
Forterra, Inc. (2)(11)		15,724		311,807
GCP Applied Technologies, Inc. (2)(11)		19,495		513,693
General Dynamics Corp. (11)		3,065		581,768
Global Eagle Entertainment, Inc. (2)		2,882		12,623
Gray Television, Inc. (2)(11)		17,808		242,189
Halliburton Co. (11)		17,881		955,918
Halozyme Therapeutics, Inc. (2)(11)		69,555		891,695
Harris Corp. (11)		3,360		369,264
HD Supply Holdings, Inc. (2)		8,070		347,010
Hewlett Packard Enterprise Co.		14,600		333,172
Hilton Worldwide Holdings, Inc.		8,505		486,486
Hornbeck Offshore Services, Inc. (2)		10,270		46,112
HP, Inc.		66,685		1,158,318
Intel Corp.		6,543		236,857
Intrexon Corp. (2)(11)		11,730		261,110
Keryx Biopharmaceuticals, Inc. (2)		18,830		94,715

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Kinder Morgan, Inc. (11)		14,660	$	312,405
KLX, Inc. (2)		5,550		279,387
Kraft Heinz Co.		1,935		177,072
Las Vegas Sands Corp. (11)		5,280		279,576
Liberty Media Corp.-Liberty SiriusXM (2)		940		36,594
Loral Space & Communications, Inc. (2)(11)		5,711		233,580
Louisiana-Pacific Corp. (2)		12,850		303,003
Lowe’s Cos., Inc. (11)		9,317		692,905
Macquarie Infrastructure Corp. (11)		4,990		383,931
Marathon Petroleum Corp. (11)		11,885		589,496
Mead Johnson Nutrition Co.		5,613		492,765
Medicines Co. (2)		6,800		356,456
Microchip Technology, Inc.		8,165		592,126
Microsoft Corp.		6,502		415,998
Midstates Petroleum Co., Inc. (2)		3,263		65,032
Mohawk Industries, Inc. (2)		1,615		365,571
Molson Coors Brewing Co., Class B (11)		5,056		507,572
Mondelez International, Inc.		5,690		249,905
Monsanto Co.		2,115		240,750
New York REIT, Inc.		21,195		208,559
Nexstar Media Group, Inc., Class A (11)		3,266		225,191
NextEra Energy, Inc. (11)		4,550		596,050
Norfolk Southern Corp. (11)		5,520		668,086
Olin Corp. (11)		11,620		361,150
Orbital ATK, Inc.		3,180		293,896
Owens Corning		6,630		387,789
Palo Alto Networks, Inc. (2)		1,175		178,482
Pinnacle Entertainment, Inc. (2)		6,191		107,476
Pioneer Natural Resources Co. (11)		3,202		595,476
Plains GP Holdings LP, Class A		630		20,708
Post Holdings, Inc. (2)(11)		5,145		421,221
PPG Industries, Inc.		2,780		284,755
PTC, Inc. (2)		5,490		295,856
PVH Corp.		4,480		410,368
Quorum Health Corp. (2)(11)		5,858		50,086
Reynolds American, Inc. (11)		12,862		791,913
Rockwell Automation, Inc. (11)		2,810		424,591
S&P Global, Inc.		2,650		343,095
Sealed Air Corp. (11)		12,630		587,042
SemGroup Corp., Class A (11)		20,049		704,722
Sirius XM Holdings, Inc. (11)		20,965		106,712
SS&C Technologies Holdings, Inc.		6,365		222,902
Symantec Corp.		8,626		246,445
Total System Services, Inc. (11)		9,965		542,893
Twitter, Inc. (2)		11,135		175,599
Tyson Foods, Inc., Class A (11)		4,755		297,473
Univar, Inc. (2)(11)		17,685		569,457
Vail Resorts, Inc.		2,220		402,220
Verizon Communications, Inc. (11)		21,592		1,071,611
Versum Materials, Inc. (2)		5,660		171,555
Visteon Corp. (2)		4,480		415,162
Vulcan Materials Co.		1,635		197,197
Western Digital Corp. (11)		9,810		754,193
WR Grace & Co. (11)		13,030		923,045
Wyndham Worldwide Corp. (11)		6,690		556,876
Yahoo!, Inc. (2)(11)		15,370		701,794
Zimmer Biomet Holdings, Inc. (11)		4,560		533,885
ZIOPHARM Oncology, Inc. (2)		23,390		148,526
				45,707,218
Total Common Stocks Purchased Long (identified cost $47,591,544)				53,197,439

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

34

BMO Funds

Alternative Strategies Fund (continued)

Description	Principal Amount		Value
Convertible Bonds Purchased Long — 0.9%
United States — 0.9%
Ascent Capital Group, Inc., 4.000%, 7/15/2020	$	165,000	$	128,081
Cobalt International Energy, Inc., 3.125%, 5/15/2024		156,000		34,905
DISH Network Corp., 3.375%, 8/15/2026 (6)		358,000		432,733
Hornbeck Offshore Services, Inc., 1.500%, 9/1/2019		21,000		14,923
SunEdison, Inc., 5.000%, 7/2/2018 (6)(10)		149,000		41,720
Twitter, Inc., 0.250%, 9/15/2019		208,000		195,650
Walter Investment Management Corp., 4.500%, 11/1/2019		141,000		97,290
Total Convertible Bonds Purchased Long (identified cost $934,362)				945,302
Corporate Bonds & Notes Purchased Long — 3.6%
Canada — 0.1%
Niska Gas Storage, Ltd., 6.500%, 4/1/2019		75,000		75,750
Hong Kong — 0.1%
Hongkong & Shanghai Banking Corp., Ltd., 1.035%, 7/29/2049		80,000		67,400
Ireland — 0.1%
Endo, Ltd., 6.000%, 2/1/2025 (6)		248,000		222,890
United Kingdom — 0.1%
HSBC Bank PLC, 1.500%, 9/30/2049		70,000		59,339
United States — 3.2%
Ambac Assurance Corp., 5.100%, 6/7/2020 (6)		199,934		249,418
APX Group, Inc.:
7.875%, 12/1/2022		17,000		18,488
7.875%, 12/1/2022 (6)		63,000		68,512
BI-LO LLC, 9.250%, 2/15/2019 (6)		63,000		53,392
Cenveo Corp., 6.000%, 8/1/2019 (6)		579,000		495,045
Cobalt International Energy, Inc.:
7.750%, 12/1/2023 (6)		137,000		69,870
10.750%, 12/1/2021 (6)		337,000		318,465
Corporate Risk Holdings LLC, 9.500%, 7/1/2019 (6)		516,000		544,380
Exide Technologies, 11.000%, 4/30/2020		16,000		12,400
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		86,000		91,992
GenOn Energy, Inc.:
9.500%, 10/15/2018		150,000		114,375
9.875%, 10/15/2020		332,000		245,680
Gogo Intermediate Holdings LLC, 12.500%, 7/1/2022 (6)		161,000		177,905
Goodman Networks, Inc., 12.125%, 7/1/2018		380,000		157,700
LBI Media, Inc., 10.000%, 4/15/2019 (6)		150,000		150,750
Midstates Petroleum Co., Inc., 10.000%, 6/1/2020 (10)		72,000		0
Netflix, Inc., 4.375%, 11/15/2026 (6)		192,000		190,560
Rose Rock Midstream LP, 5.625%, 7/15/2022		470,215		464,337

Description	Principal Amount, Units or Contracts		Value
Corporate Bonds & Notes Purchased Long (continued)
United States (continued)
Syncora Guarantee, Inc.:
6.000%, 9/30/2017 (2)(12)	$	10,900	$	8,557
5.000%, 9/30/2017 (2)(12)		2,555		2,236
				3,434,062
Total Corporate Bonds & Notes Purchased Long (identified cost $3,683,418)				3,859,441
Limited Partnership Units Purchased Long — 0.9%
United States — 0.9%
Calumet Specialty Products Partners LP (2)		7,133		28,175
CrossAmerica Partners LP		25,495		676,382
Plains All American Pipeline LP		6,655		213,493
Total Limited Partnership Units Purchased Long (identified cost $838,660)				918,050
Purchased Call Options — 0.2%
United States — 0.2%
Kraft Heinz Co., Exercise Price: $95.00, 3/17/2017 (2)		23		759
Perrigo Co. PLC, Exercise Price: $50.00, 1/19/2018 (2)		58		153,700
S&P 500 Index:
Exercise Price: $2,345.00, 3/17/2017 (2)		7		22,855
Exercise Price: $2,320.00, 3/17/2017 (2)		1		5,135
Tenet Healthcare Corp., Exercise Price: $20.00, 3/17/2017 (2)		165		10,725
Total Purchased Call Options (identified cost $241,903)				193,174
Purchased Put Options — 0.1%
United States — 0.1%
Amphenol Corp., Exercise Price: $70.00, 7/21/2017 (2)		33		11,550
Equinix, Inc., Exercise Price: $370.00, 6/16/2017 (2)		3		4,485
Infosys, Ltd., Exercise Price: $14.00, 4/21/2017 (2)		194		4,268
iShares Russell 2000 ETF:
Exercise Price: $126.00, 3/31/2017 (2)		23		897
Exercise Price: $130.00, 6/30/2017 (2)		122		40,748
Exercise Price: $123.00, 6/30/2017 (2)		23		4,715
Total Purchased Put Options (identified cost $85,971)				66,663
U.S. Government & U.S. Government Agency Obligations Purchased Long — 0.1%
U.S. Treasury Bonds & Notes — 0.1%
United States Treasury Bond, 2.000%, 11/15/2026 (11)	$	61,000		59,034
United States Treasury Bond, 2.250%, 8/15/2046		27,000		23,093
Total U.S. Government & U.S. Government Agency Obligations Purchased Long (identified cost $82,040)				82,127

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

35

February 28, 2017 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares or Principal Amount			Value
Short-Term Investments — 39.5%
Mutual Funds — 27.6%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		29,066,262		$	29,066,262
U.S. Treasury Bills — 11.9%
United States Treasury Bill, 0.480%, 3/9/207 (11)(13)	$	12,500,000			12,498,850
Total Short-Term Investments (identified cost $41,565,398)					41,565,112
Total Investments — 102.6% (identified cost $101,914,382)					108,025,090
Other Assets and Liabilities — 26.0%					27,378,631
Securities Sold Short & Written Options (see below) — (28.6)%					(30,093,253	)
Total Net Assets — 100.0%				$	105,310,468
Securities Sold Short & Written Options — (28.6)%
Common Stocks Sold Short — (22.7)%
Belgium — (0.1)%
UCB SA		(1,518	)	$	(108,085	)
Bermuda — (0.4)%
Axis Capital Holdings, Ltd.		(2,800	)		(194,040	)
Everest Re Group, Ltd.		(815	)		(191,639	)
					(385,679	)
Canada — (0.4)%
Canadian Western Bank		(3,860	)		(85,471	)
Genworth MI Canada, Inc.		(1,810	)		(51,702	)
Home Capital Group, Inc.		(7,540	)		(150,210	)
National Bank of Canada		(2,230	)		(95,164	)
					(382,547	)
Germany — (0.2)%
Deutsche Lufthansa AG		(12,770	)		(187,100	)
India — (0.5)%
Infosys, Ltd., ADR		(38,570	)		(583,950	)
Japan — (0.4)%
Toyota Motor Corp. ADR		(3,725	)		(421,484	)
Luxembourg — (0.1)%
SES SA		(4,288	)		(87,515	)
Netherlands — (0.6)%
Schlumberger, Ltd.		(8,176	)		(657,023	)
Switzerland — (0.3)%
Roche Holding AG		(1,129	)		(275,070	)
United Kingdom — (0.7)%
British American Tobacco PLC ADR		(6,764	)		(431,814	)
LivaNova PLC (2)		(3,920	)		(197,568	)
Royal Mail PLC		(26,130	)		(134,427	)
					(763,809	)
United States — (19.0)%
Abbott Laboratories		(6,924	)		(312,134	)
ABIOMED, Inc. (2)		(1,570	)		(185,213	)
Activision Blizzard, Inc.		(12,497	)		(563,990	)
Acuity Brands, Inc.		(875	)		(184,887	)
Adobe Systems, Inc. (2)		(2,266	)		(268,158	)

Description	Shares			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
United States (continued)
Advanced Energy Industries, Inc. (2)		(2,940	)	$	(182,574	)
American Electric Power Co., Inc.		(4,355	)		(291,654	)
Amphenol Corp., Class A		(6,522	)		(451,388	)
Apache Corp.		(5,722	)		(300,920	)
Autoliv, Inc.		(2,585	)		(270,650	)
Avnet, Inc.		(3,860	)		(177,869	)
Baker Hughes, Inc.		(4,979	)		(300,134	)
Best Buy Co., Inc.		(452	)		(19,947	)
BofI Holding, Inc. (2)		(7,005	)		(220,938	)
Brown-Forman Corp., Class B		(4,810	)		(234,536	)
Bruker Corp.		(5,840	)		(141,036	)
Charter Communications, Inc., Class A (2)		(2,025	)		(654,197	)
Chevron Corp.		(2,814	)		(316,575	)
Chico’s FAS, Inc.		(8,400	)		(121,632	)
Church & Dwight Co., Inc.		(3,330	)		(165,967	)
Consolidated Edison, Inc.		(3,790	)		(291,982	)
Constellation Brands, Inc., Class A		(907	)		(144,041	)
Corning, Inc.		(36,994	)		(1,021,404	)
Costco Wholesale Corp.		(811	)		(143,693	)
Darden Restaurants, Inc.		(2,475	)		(184,833	)
DCT Industrial Trust, Inc.		(1,985	)		(94,962	)
Digital Realty Trust, Inc.		(4,120	)		(444,960	)
Dillard’s, Inc., Class A		(1,809	)		(98,627	)
Duke Energy Corp.		(3,555	)		(293,465	)
Duke Realty Corp.		(5,580	)		(143,071	)
Electronic Arts, Inc. (2)		(6,154	)		(532,321	)
EOG Resources, Inc.		(4,692	)		(455,077	)
Equinix, Inc.		(756	)		(284,309	)
Exxon Mobil Corp.		(1,209	)		(98,316	)
First American Financial Corp.		(4,785	)		(186,950	)
Five Below, Inc. (2)		(4,660	)		(179,643	)
Flowserve Corp.		(3,760	)		(174,652	)
Foot Locker, Inc.		(289	)		(21,869	)
Fossil Group, Inc. (2)		(2,685	)		(50,773	)
Gap, Inc.		(2,081	)		(51,650	)
GATX Corp.		(2,980	)		(173,078	)
General Electric Co.		(8,309	)		(247,691	)
General Mills, Inc.		(4,479	)		(270,397	)
GNC Holdings, Inc., Class A		(1,784	)		(14,807	)
Goodyear Tire & Rubber Co.		(3,238	)		(113,492	)
Hasbro, Inc.		(1,095	)		(106,073	)
Hess Corp.		(2,859	)		(147,067	)
Hormel Foods Corp.		(13,938	)		(491,315	)
ICU Medical, Inc. (2)		(635	)		(95,504	)
International Business Machines Corp.		(4,566	)		(821,058	)
International Flavors & Fragrances, Inc.		(1,140	)		(143,298	)
J.C. Penney Co., Inc. (2)		(11,105	)		(70,406	)
Knight Transportation, Inc.		(2,850	)		(93,195	)
Kohl’s Corp.		(3,666	)		(156,245	)
Kraft Heinz Co.		(4,720	)		(431,927	)
L Brands, Inc.		(332	)		(17,470	)
Lam Research Corp.		(1,560	)		(184,922	)
Leggett & Platt, Inc.		(3,795	)		(186,638	)
Macy’s, Inc.		(675	)		(22,423	)
Marathon Oil Corp.		(17,535	)		(280,560	)
National Oilwell Varco, Inc.		(14,238	)		(575,500	)
Netflix, Inc. (2)		(810	)		(115,125	)
New Media Investment Group, Inc.		(9,481	)		(146,292	)
Noble Energy, Inc.		(640	)		(23,302	)
Nordstrom, Inc.		(2,355	)		(109,884	)
NVIDIA Corp.		(519	)		(52,668	)

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

36

BMO Funds

Alternative Strategies Fund (continued)

Description		Shares or Principal Amount			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
United States (continued)
Occidental Petroleum Corp.			(8,499	)	$	(557,109	)
Owens Corning			(3,280	)		(191,847	)
Park Hotels & Resorts, Inc.			(6,900	)		(176,226	)
Praxair, Inc.			(1,925	)		(228,517	)
Primerica, Inc.			(139	)		(11,224	)
Procter & Gamble Co.			(2,964	)		(269,931	)
Regal Beloit Corp.			(3,100	)		(230,795	)
Ryder System, Inc.			(2,420	)		(184,283	)
ServiceMaster Global Holdings, Inc. (2)			(7,335	)		(292,153	)
Southern Co.			(5,845	)		(297,043	)
Staples, Inc.	��		(2,211	)		(19,877	)
TerraForm Power, Inc., Class A (2)			(2,200	)		(25,322	)
TransDigm Group, Inc.			(545	)		(138,539	)
Triumph Group, Inc.			(6,110	)		(169,858	)
Union Pacific Corp.			(1,558	)		(168,171	)
United Technologies Corp.			(3,170	)		(356,784	)
Varex Imaging Corp. (2)			(3,850	)		(134,350	)
VF Corp.			(2,625	)		(137,681	)
WageWorks, Inc. (2)			(1,250	)		(96,250	)
Williams-Sonoma, Inc.			(405	)		(19,679	)
Wolverine World Wide, Inc.			(5,335	)		(134,282	)
Workday, Inc., Class A (2)			(8,030	)		(665,928	)
Worthington Industries, Inc.			(2,795	)		(137,095	)
						(19,994,278	)
Total Common Stocks Sold Short (proceeds $(23,185,647))						(23,846,540	)
Corporate Bonds & Notes Sold Short — (2.0)%
Canada — (0.3)%
Valeant Pharmaceuticals International, Inc., 6.750%, 8/15/2018 (6)		$	(286,000	)		(283,140	)
United States — (1.7)%
APX Group, Inc., 8.750%, 12/1/2020			(80,000	)		(83,200	)
BlueLine Rental Finance Corp., 7.000%, 2/1/2019 (6)			(227,000	)		(232,675	)
Endo Finance LLC, 5.750%, 1/15/2022 (6)			(248,000	)		(231,260	)
Flowers Foods, Inc.:
4.375%, 4/1/2022			(165,000	)		(174,678	)
3.500%, 10/1/2026			(38,000	)		(36,947	)
Gap, Inc., 5.950%, 4/12/2021			(277,000	)		(295,786	)
Goodyear Tire & Rubber Co., 5.125%, 11/15/2023			(166,000	)		(173,263	)
Gray Television, Inc., 5.875%, 7/15/2026 (6)			(127,000	)		(129,104	)
Hertz Corp., 6.750%, 4/15/2019			(90,000	)		(90,225	)
International Lease Finance Corp., 5.875%, 8/15/2022			(194,000	)		(219,430	)
Macy’s Retail Holdings, Inc., 4.500%, 12/15/2034			(46,000	)		(41,411	)
Sungard Availability Services Capital, Inc., 8.750%, 4/1/2022 (6)			(54,000	)		(37,935	)
Wynn Las Vegas LLC, 5.500%, 3/1/2025 (6)			(36,000	)		(36,900	)

Description	Shares, Principal Amount or Contracts			Value
Securities Sold Short & Written Options (continued)
Corporate Bonds & Notes Sold Short (continued)
United States (continued)
XPO Logistics, Inc., 6.500%, 6/15/2022 (6)	$	(32,000	)	$	(33,720	)
					(1,816,534	)
Total Corporate Bonds & Notes Sold Short (proceeds $(2,041,096))					(2,099,674	)
Exchange Traded Funds Sold Short — (3.4)%
United States — (3.4)%
Alerian MLP		(7,220	)		(92,849	)
Consumer Discretionary Select Sector SPDR		(1,180	)		(101,917	)
Consumer Staples Select Sector SPDR		(9,960	)		(548,796	)
Energy Select Sector SPDR		(7,635	)		(544,986	)
Industrial Select Sector SPDR		(3,325	)		(218,984	)
iShares Nasdaq Biotechnology		(116	)		(34,479	)
iShares Russell 2000		(1,305	)		(179,881	)
iShares Russell 2000 Growth		(3,820	)		(612,155	)
iShares Russell 2000 Value		(1,265	)		(151,281	)
iShares Russell Mid-Cap		(1,385	)		(260,602	)
iShares Russell Mid-Cap Growth		(3,385	)		(350,212	)
iShares Russell Mid-Cap Value		(1,452	)		(121,983	)
SPDR S&P 500 Trust		(1,628	)		(384,973	)
Total Exchange Traded Funds Sold Short (proceeds $(3,390,419))					(3,603,098	)
Written Call Options — (0.4)%
United States — (0.4)%
Allergan PLC:
Exercise Price: $240.00, 3/17/2017 (2)		(2	)		(1,630	)
Exercise Price: $245.00, 5/19/2017 (2)		(1	)		(1,285	)
Allscripts Healthcare Solution, Exercise Price: $12.00, 3/17/2017 (2)		(43	)		(1,720	)
Ally Financial, Inc.:
Exercise Price: $23.00, 3/17/2017 (2)		(8	)		(200	)
Exercise Price: $22.00, 3/17/2017 (2)		(21	)		(1,575	)
Exercise Price: $21.00, 3/17/2017 (2)		(21	)		(3,360	)
Bioverativ, Inc.:
Exercise Price: $50.00, 3/17/2017 (2)		(9	)		(2,880	)
Exercise Price: $50.00, 4/21/2017 (2)		(9	)		(3,735	)
Blackberry, Ltd., Exercise Price: $7.00, 3/17/2017 (2)		(64	)		(1,024	)
Eagle Pharmaceuticals, Inc.:
Exercise Price: $90.00, 3/17/2017 (2)		(5	)		(115	)
Exercise Price: $85.00, 3/17/2017 (2)		(6	)		(480	)
Exercise Price: $65.00, 3/17/2017 (2)		(4	)		(4,600	)
Exercise Price: $75.00, 3/17/2017 (2)		(11	)		(4,620	)
Exercise Price: $80.00, 3/17/2017 (2)		(3	)		(603	)
Exercise Price: $75.00, 6/16/2017 (2)		(8	)		(6,840	)

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

37

February 28, 2017 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Contracts			Value
Securities Sold Short & Written Options (continued)
Written Call Options (continued)
United States (continued)
Flex, Ltd., Exercise Price: $15.00, 3/17/2017 (2)		(21	)	$	(3,182	)
Halozyme Therapeutics, Inc.:
Exercise Price: $13.00, 3/17/2017 (2)		(14	)		(944	)
Exercise Price: $14.00, 4/21/2017 (2)		(14	)		(804	)
HD Supply Holdings, Inc., Exercise Price: $42.50, 3/17/2017 (2)		(12	)		(2,004	)
Intrexon Corp., Exercise Price: $28.00, 4/21/2017 (2)		(18	)		(540	)
iShares Nasdaq Biotechnology:
Exercise Price: $295.00, 3/17/2017 (2)		(2	)		(1,446	)
Exercise Price: $290.00, 3/17/2017 (2)		(1	)		(1,048	)
iShares Russell 2000 ETF:
Exercise Price: $138.00, 3/17/2017 (2)		(13	)		(2,431	)
Exercise Price: $135.00, 3/17/2017 (2)		(13	)		(4,979	)
Keryx Biopharmaceuticals, Inc., Exercise Price: $5.00, 3/17/2017 (2)		(54	)		(1,750	)
Louisiana-Pacific Corp.:
Exercise Price: $24.00, 3/17/2017 (2)		(8	)		(360	)
Exercise Price: $23.00, 3/17/2017 (2)		(8	)		(760	)
Marathon Petroleum Corp., Exercise Price: $50.00, 3/17/2017 (2)		(9	)		(1,260	)
Olin Corp., Exercise Price: $29.00, 5/19/2017 (2)		(9	)		(2,767	)
Orbital ATK, Inc., Exercise Price: $90.00, 3/17/2017 (2)		(6	)		(3,324	)
Owens Corning, Exercise Price: $55.00, 3/17/2017 (2)		(7	)		(2,590	)
S&P 500 Index, Exercise Price: $2,375.00, 3/17/2017 (2)		(138	)		(207,000	)
Sealed Air Corp., Exercise Price: $47.00, 3/17/2017 (2)		(16	)		(880	)
SPDR S&P 500 ETF Trust, Exercise Price: $220.00, 4/21/2017 (2)		(78	)		(131,586	)
SS&C Technologies Holdings, Inc., Exercise Price: $35.00, 4/21/2017 (2)		(12	)		(1,440	)
Tyson Foods, Inc.:
Exercise Price: $63.00, 3/17/2017 (2)		(21	)		(2,100	)
Exercise Price: $63.50, 3/17/2017 (2)		(14	)		(1,190	)
Exercise Price: $62.50, 3/17/2017 (2)		(7	)		(896	)
Univar, Inc., Exercise Price: $30.00, 3/17/2017 (2)		(45	)		(9,962	)
Western Digital Corp.:
Exercise Price: $75.00, 3/17/2017 (2)		(17	)		(5,474	)
Exercise Price: $77.50, 4/21/2017 (2)		(1	)		(315	)
Exercise Price: $75.00, 4/21/2017 (2)		(4	)		(1,784	)
Exercise Price: $77.50, 7/21/2017 (2)		(2	)		(1,230	)

Description	Contracts			Value
Securities Sold Short & Written Options (continued)
Written Call Options (continued)
United States (continued)
Ziopharm Oncology, Inc., Exercise Price: $7.00, 3/17/2017 (2)		(42	)	$	(630	)
Total Written Call Options (proceeds $(363,559))					(429,343	)
Written Put Options — (0.1)%
United States — (0.1)%
iShares Russell 2000 ETF:
Exercise Price: $126.00, 3/31/2017 (2)		(23	)		(897	)
Exercise Price: $123.00, 6/30/2017 (2)		(23	)		(4,715	)
S&P 500 Index:
Exercise Price: $2,345.00, 3/17/2017 (2)		(7	)		(10,101	)
Exercise Price: $2,320.00, 3/17/2017 (2)		(1	)		(905	)
Exercise Price: $2,305.00, 3/17/2017 (2)		(138	)		(97,980	)
Total Written Put Options (proceeds $(191,040))					(114,598	)
Total Securities Sold Short & Written Options (proceeds $(29,171,761))				$	(30,093,253	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Aerospace/Defense	$	1,537,376		1.5	%
Agriculture		791,913		0.8
Apparel		380,904		0.4
Auto Parts & Equipment		415,162		0.4
Beverages		507,572		0.5
Biotechnology		1,925,214		1.8
Building Materials		2,239,479		2.1
Chemicals		4,119,846		3.9
Commercial Services		2,133,862		2.0
Computers		3,038,473		2.9
Distribution/Wholesale		347,010		0.3
Diversified Financial Services		406,616		0.4
Electric		1,171,955		1.1
Electronics		177,432		0.2
Entertainment		509,695		0.5
Food		1,597,022		1.5
Food Service		97,306		0.1
Gas		279,495		0.3
Healthcare-Products		1,733,029		1.6
Healthcare-Services		765,992		0.7
Holding Companies-Diversified		483,635		0.5
Insurance		22,316		0.0
Internet		2,661,159		2.5
Iron/Steel		267,691		0.3
Leisure Time		119,548		0.1
Lodging		1,322,938		1.3
Machinery-Diversified		424,591		0.4
Media		2,578,223		2.4
Mining		226,358		0.2
Miscellaneous Manufacturing		1,008,901		1.0
Oil & Gas		3,101,127		2.9
Oil & Gas Services		1,478,156		1.4
Packaging & Containers		587,042		0.6
Pharmaceuticals		2,201,093		2.1
Pipelines		1,805,763		1.7

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

38

BMO Funds

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Real Estate Investment Trusts	$	208,559			0.2	%
Retail		2,820,234			2.7
Semiconductors		2,015,873			1.9
Software		2,000,207			1.9
Telecommunications		1,305,191			1.2
Textiles		365,571			0.3
Transportation		2,017,910			1.9
Total Common Stocks Purchased Long		53,197,439			50.5
Bank Loans Purchased Long		7,197,782			6.8
Convertible Bonds Purchased Long		945,302			0.9
Corporate Bonds & Notes Purchased Long
Auto Parts & Equipment		12,400			0.0
Banks		126,739			0.1
Commercial Services		1,126,425			1.1
Electric		360,055			0.3
Food		53,393			0.1
Insurance		260,210			0.2
Internet		190,560			0.2
Media		150,750			0.1
Oil & Gas		388,335			0.4
Pharmaceuticals		222,890			0.2
Pipelines		540,087			0.5
Savings & Loans		91,992			0.1
Telecommunications		335,605			0.3
Total Corporate Bonds & Notes Purchased Long		3,859,441			3.6
Limited Partnership Units Purchased Long		918,050			0.9
Purchased Call Options		193,174			0.2
Purchased Put Options		66,663			0.1
U.S. Government & U.S. Government Agency Obligations Purchased Long		82,127			0.1
Short-Term Investments		41,565,112			39.5
Total Investments		108,025,090			102.6
Other Assets and Liabilities		27,378,631			26.0
Securities Sold Short & Written Options (see below)		(30,093,253	)		(28.6	)
Total Net Assets	$	105,310,468			100.0	%
Securities Sold Short & Written Options
Common Stocks Sold Short
Aerospace/Defense	$	(665,181	)		(0.6	)%
Agriculture		(431,814	)		(0.4	)
Airlines		(187,100	)		(0.2	)
Apparel		(271,963	)		(0.3	)
Auto Manufacturers		(421,484	)		(0.4	)
Auto Parts & Equipment		(384,141	)		(0.4	)
Banks		(330,844	)		(0.3	)
Beverages		(378,576	)		(0.4	)
Building Materials		(191,847	)		(0.2	)
Chemicals		(371,815	)		(0.4	)
Commercial Services		(292,153	)		(0.3	)
Computers		(1,405,008	)		(1.3	)
Cosmetics/Personal Care		(269,931	)		(0.3	)
Distribution/Wholesale		(50,773	)		(0.0	)
Diversified Financial Services		(96,250	)		(0.1	)
Electric		(1,174,144	)		(1.1	)
Electrical Components & Equipment		(367,461	)		(0.3	)
Electronics		(1,650,661	)		(1.6	)
Energy-Alternate Sources		(25,322	)		(0.0	)
Food		(1,193,639	)		(1.1	)
Hand/Machine Tools		(230,795	)		(0.2	)
Healthcare-Products		(1,065,805	)		(1.0	)
Home Furnishings		(186,638	)		(0.2	)
Household Products/Wares		(165,967	)		(0.2	)
Insurance		(635,556	)		(0.6	)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Internet	$	(261,417	)		(0.2	) %
Machinery-Diversified		(174,652	)		(0.2	)
Media		(654,196	)		(0.6	)
Metal Fabricate/Hardware		(137,095	)		(0.1	)
Miscellaneous Manufacturing		(247,691	)		(0.2	)
Oil & Gas		(2,178,927	)		(2.1	)
Oil & Gas Services		(1,532,657	)		(1.5	)
Pharmaceuticals		(383,155	)		(0.4	)
Real Estate Investment Trusts		(1,143,529	)		(1.1	)
Retail		(1,252,685	)		(1.2	)
Savings & Loans		(220,938	)		(0.2	)
Semiconductors		(237,591	)		(0.2	)
Software		(2,030,397	)		(1.9	)
Telecommunications		(87,515	)		(0.1	)
Toys/Games/Hobbies		(106,073	)		(0.1	)
Transportation		(580,076	)		(0.5	)
Trucking & Leasing		(173,078	)		(0.2	)
Total Common Stocks Sold Short		(23,846,540	)		(22.7	)
Corporate Bonds & Notes Sold Short
Auto Parts & Equipment		(173,262	)		(0.2	)
Commercial Services		(173,425	)		(0.2	)
Computers		(37,935	)		(0.1	)
Diversified Financial Services		(219,430	)		(0.2	)
Food		(211,626	)		(0.2	)
Lodging		(36,900	)		(0.0	)
Machinery-Construction & Mining		(232,675	)		(0.2	)
Media		(129,104	)		(0.1	)
Pharmaceuticals		(514,400	)		(0.5	)
Retail		(337,197	)		(0.3	)
Transportation		(33,720	)		(0.0	)
Total Corporate Bonds & Notes Sold Short		(2,099,674	)		(2.0	)
Exchange Traded Funds Sold Short		(3,603,098	)		(3.4	)
Written Call Options		(429,343	)		(0.4	)
Written Put Options		(114,598	)		(0.1	)
Total Securities Sold Short & Written Options	$	(30,093,253	)		(28.6	)%

Global Long/Short Equity Fund

Description	Shares		Value
Common Stocks Purchased Long — 97.3%
Australia — 0.8%
Regis Resources, Ltd.		26,491	$	68,650
Austria — 0.2%
RHI AG		732		17,429
Bermuda — 4.5%
Argo Group International Holdings, Ltd. (11)		1,768		118,368
Aspen Insurance Holdings, Ltd. (11)		3,291		184,460
BW LPG, Ltd. (6)		7,028		34,329
Everest Re Group, Ltd.		200		47,028
Maiden Holdings, Ltd.		1,236		19,096
				403,281
Canada — 7.2%
Celestica, Inc. (2)		3,204		42,335
Dream Global Real Estate Investment Trust		5,882		43,710
Genworth MI Canada, Inc. (1)(11)		6,051		172,847
George Weston, Ltd. (11)		1,869		156,618

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

39

February 28, 2017 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Canada (continued)
Just Energy Group, Inc.		3,521	$	20,094
Lucara Diamond Corp.		11,680		23,831
Medical Facilities Corp. (1)		1,683		23,024
Parex Resources, Inc. (2)		4,488		53,456
Pure Industrial Real Estate Trust		9,540		42,952
SEMAFO, Inc. (2)		14,105		43,222
Transcontinental, Inc.		1,822		27,751
				649,840
Cayman Islands — 0.4%
China Dongxiang Group Co., Ltd.		170,000		32,192
China — 0.4%
China Machinery Engineering Corp., Class H		59,000		41,041
France — 1.5%
Boiron SA		593		54,222
IPSOS		1,048		33,730
Peugeot SA (2)		2,320		44,142
				132,094
Germany — 1.2%
Hamburger Hafen und Logistik AG		574		11,368
Software AG (11)		2,591		96,113
				107,481
Greece — 0.4%
JUMBO SA		2,682		37,932
Hungary — 0.9%
Richter Gedeon Nyrt		3,485		77,295
Ireland — 0.6%
Seagate Technology PLC		1,088		52,431
Israel — 1.6%
Bezeq — The Israeli Telecommunication Corp., Ltd.		80,252		143,268
Italy — 1.0%
Amplifon SpA		5,248		56,209
ASTM SpA		949		12,265
Societa Iniziative Autostradali e Servizi SpA		2,057		18,022
				86,496
Japan — 13.8%
ESPEC Corp.		1,400		17,608
Futaba Corp. (1)		2,200		39,772
Heiwado Co., Ltd. (11)		5,100		122,342
Kato Sangyo Co., Ltd.		800		21,185
Keihin Corp.		3,400		56,896
Mitsui Sugar Co., Ltd.		1,200		29,000
Monex Group, Inc.		19,000		49,891
Nippon Road Co., Ltd. (11)		4,000		17,233
Nippon Telegraph & Telephone Corp. (1		4,200		177,615
Nipro Corp.		6,700		86,654
Nissan Motor Co., Ltd.		7,500		73,835
Okinawa Electric Power Co., Inc.		800		18,465
Paramount Bed Holdings Co., Ltd.		2,600		98,011
Press Kogyo Co., Ltd.		6,300		31,964
Sankyo Co., Ltd.		2,000		70,764
Sapporo Holdings, Ltd. (11)		7,100		178,408
Shimachu Co., Ltd. (1)		2,400		60,905
Wakita & Co., Ltd.		3,200		29,338

Description	Shares		Value
Common Stocks Purchased Long (continued)
Japan (continued)
Warabeya Nichiyo Holdings Co., Ltd.		1,600	$	35,833
Yorozu Corp.		1,400		22,244
				1,237,963
Jersey — 0.2%
Wizz Air Holdings PLC (2)(6)		912		18,910
Luxembourg — 2.4%
Orion Engineered Carbons SA		1,630		33,904
Ternium SA		2,559		67,864
Trinseo SA (11)		1,685		116,518
				218,286
Netherlands — 2.4%
BE Semiconductor Industries NV (11)		2,597		99,279
Boskalis Westminster (11)		3,165		115,343
				214,622
New Zealand — 0.9%
Air New Zealand, Ltd.		46,079		78,496
Norway — 0.4%
Austevoll Seafood ASA		4,031		35,581
Panama — 0.6%
Copa Holdings SA, Class A		538		57,292
Poland — 0.6%
Asseco Poland SA		4,073		56,101
Singapore — 1.3%
SATS, Ltd.		27,300		97,402
Yanlord Land Group, Ltd.		22,400		23,257
				120,659
South Korea — 1.3%
Samsung Electronics Co., Ltd.		67		113,884
Sweden — 0.5%
Mycronic AB (1)		3,918		43,297
United Kingdom — 4.0%
Debenhams PLC		31,817		21,181
DFS Furniture PLC		5,378		16,583
Go-Ahead Group PLC		1,452		35,494
Greggs PLC		3,030		36,770
Imperial Brands PLC (11)		2,122		99,873
QinetiQ Group PLC		15,784		54,272
WH Smith PLC (11)		4,365		91,644
				355,817
United States — 48.2%
American Axle & Manufacturing Holdings, Inc. (2)		1,301		25,786
Amkor Technology, Inc. (2)		4,696		46,115
ArcBest Corp. (11)		4,557		133,748
Avis Budget Group, Inc. (2)		993		34,338
Benchmark Electronics, Inc. (2)		2,453		76,288
Best Buy Co., Inc.		1,596		70,431
BioTelemetry, Inc. (2)(11)		5,319		135,369
Cabot Corp. (11)		2,441		141,529
Chemed Corp. (11)		721		128,735
Cooper Tire & Rubber Co. (11)		3,750		151,687
Cooper-Standard Holdings, Inc. (2)		750		84,000
Discover Financial Services (11)		1,596		113,539
DuPont Fabros Technology, Inc. (11)		2,894		149,012
Employers Holdings, Inc.		1,377		51,775
Ennis, Inc.		2,500		40,875
F5 Networks, Inc. (2)		330		47,279
GameStop Corp., Class A (1)		1,709		41,768
Great Plains Energy, Inc.		791		22,986
Highwoods Properties, Inc.		1,389		72,909

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

40

BMO Funds

Global Long/Short Equity Fund (continued)

Description	Shares			Value
Common Stocks Purchased Long (continued)
United States (continued)
Huntington Ingalls Industries, Inc. (11)		665		$	145,303
ICU Medical, Inc. (2)		245			36,848
INC Research Holdings, Inc. (2)		1,171			51,114
Lear Corp. (11)		1,303			185,013
Magellan Health, Inc. (2)(11)		1,203			83,187
Masimo Corp. (2)(11)		2,221			200,690
Merit Medical Systems, Inc. (2)(11)		4,018			123,754
Molina Healthcare, Inc. (1)(2)		1,841			89,307
Natus Medical, Inc. (2)		1,187			43,949
Navigators Group, Inc.		1,104			60,775
NCR Corp. (2)		2,279			109,552
Nordstrom, Inc. (1)		2,407			112,311
OraSure Technologies, Inc. (2)		4,464			50,041
Owens Corning		1,703			99,608
PennyMac Financial Services, Inc., Class A (2)		2,249			40,145
PG&E Corp. (11)		2,534			169,144
PharMerica Corp. (2)		1,665			40,959
Photronics, Inc. (2)		3,483			37,268
PNM Resources, Inc. (11)		3,412			123,856
Quanta Services, Inc. (2)		2,221			82,888
Raymond James Financial, Inc.		1,300			102,128
Selective Insurance Group, Inc. (11)		2,520			111,636
Sykes Enterprises, Inc. (2)		2,275			61,926
Sysco Corp.		1,559			82,190
Tyson Foods, Inc., Class A		868			54,302
United Fire Group, Inc.		601			25,374
United Rentals, Inc. (2)(11)		1,284			164,391
Unum Group		734			35,841
Wabash National Corp. (11)		6,233			131,828
WellCare Health Plans, Inc. (2)(11)		730			103,076
					4,326,573
Total Common Stocks Purchased Long (identified cost $7,933,954)					8,726,911
Short-Term Investments — 37.3%
Collateral Investment for Securities on Loan — 4.9%
State Street Navigator Securities Lending Government Money Market Portfolio Fund, 0.261% (3)		439,108			439,108
Mutual Funds — 32.4%
State Street Institutional Liquid Reserves Fund — Premier Class, 0.760%		2,910,992			2,910,993
Total Short-Term Investments (identified cost $3,350,259)					3,350,101
Total Investments — 134.6% (identified cost $11,284,213)					12,077,012
Other Assets and Liabilities — (4.6)%					(411,586	)
Securities Sold Short (see below) — (30.0)%					(2,694,760	)
Total Net Assets — 100.0%				$	8,970,666
Securities Sold Short — (30.0)%
Common Stocks Sold Short — (30.0)%
Australia — (1.0)%
Aconex, Ltd. (2)		(6,560	)		(17,151	)

Description	Shares			Value
Securities Sold Short (continued)
Common Stocks Sold Short (continued)
Australia (continued)
Mayne Pharma Group, Ltd. (2)		(45,094	)	$	(50,996	)
Nanosonics, Ltd. (2)		(11,409	)		(25,105	)
					(93,252	)
Belgium — (0.3)%
Tessenderlo Chemie NV (2)		(639	)		(23,389	)
Bermuda — (0.3)%
Esprit Holdings, Ltd. (2)		(30,300	)		(28,688	)
Canada — (1.0)%
Crew Energy, Inc. (2)		(10,568	)		(43,443	)
MEG Energy Corp. (2)		(9,405	)		(50,275	)
					(93,718	)
Cayman Islands — (0.6)%
JD.com, Inc. (2)		(1,705	)		(52,122	)
Finland — (0.2)%
Caverion Corp.		(2,225	)		(16,241	)
France — (0.6)%
Television Francaise 1		(2,447	)		(27,751	)
Vallourec SA (2)		(4,982	)		(27,335	)
					(55,086	)
Germany — (0.2)%
zooplus AG (2)		(135	)		(19,300	)
Japan — (3.5)%
ABC-Mart, Inc.		(400	)		(24,104	)
Don Quijote Holdings Co., Ltd.		(1,000	)		(35,427	)
Fuji Seal International, Inc.		(2,000	)		(40,162	)
Hoshizaki Corp.		(100	)		(7,922	)
Kose Corp.		(400	)		(34,252	)
Kura Corp.		(600	)		(24,834	)
M3, Inc.		(1,400	)		(35,516	)
MISUMI Group, Inc.		(3,400	)		(59,408	)
Pilot Corp.		(1,200	)		(47,692	)
					(309,317	)
Netherlands — (0.7)%
TomTom NV (2)		(7,532	)		(65,327	)
Norway — (1.0)%
Schibsted ASA		(2,328	)		(61,425	)
XXL ASA (6)		(2,243	)		(25,016	)
					(86,441	)
Singapore — (0.5)%
Sembcorp Industries, Ltd.		(18,200	)		(41,558	)
Spain — (0.6)%
Cellnex Telecom SA (6)		(2,611	)		(39,320	)
Inmobiliaria Colonial SA		(1,551	)		(11,336	)
					(50,656	)
Sweden — (0.7)%
AAK AB		(496	)		(33,079	)
Wallenstam AB		(3,928	)		(32,137	)
					(65,216	)
Switzerland — (0.1)%
Arbonia AG (2)		(752	)		(12,579	)
United Kingdom — (5.2)%
Associated British Foods PLC		(1,752	)		(56,936	)
Balfour Beatty PLC		(9,834	)		(33,752	)
Capital & Counties Properties PLC		(8,458	)		(30,845	)
Cobham PLC		(32,476	)		(48,277	)

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

41

February 28, 2017 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares			Value
Securities Sold Short (continued)
Common Stocks Sold Short (continued)
United Kingdom (continued)
Imagination Technologies Group PLC (2)		(15,946	)	$	(51,544	)
Just Eat PLC (2)		(9,415	)		(58,472	)
Liberty Global PLC (2)		(969	)		(34,593	)
Royal Bank of Scotland Group PLC (2)		(24,376	)		(71,927	)
Serco Group PLC (2)		(30,120	)		(44,027	)
Sophos Group PLC (6)		(10,695	)		(37,026	)
					(467,399	)
United States — (13.5)%
Acadia Realty Trust		(864	)		(27,674	)
Aerojet Rocketdyne Holdings, Inc. (2)		(1,408	)		(27,301	)
Aerovironment, Inc. (2)		(1,622	)		(43,826	)
Apartment Investment & Management Co., Class A		(1,954	)		(90,920	)
Benefitfocus, Inc. (2)		(1,648	)		(43,754	)
Brown-Forman Corp., Class B		(1,361	)		(66,362	)
Coeur Mining, Inc. (2)		(4,882	)		(41,936	)
Deltic Timber Corp.		(580	)		(43,106	)
Duke Realty Corp.		(2,953	)		(75,715	)
Eclipse Resources Corp. (2)		(17,995	)		(38,869	)
Education Realty Trust, Inc.		(1,602	)		(67,524	)
Financial Engines, Inc.		(846	)		(37,478	)
Five9, Inc. (2)		(3,101	)		(49,337	)
Guidewire Software, Inc. (2)		(823	)		(44,969	)
Interactive Brokers Group, Inc.		(2,332	)		(85,608	)
Macquarie Infrastructure Corp.		(1,112	)		(85,557	)
Netflix, Inc. (2)		(313	)		(44,487	)
PHH Corp. (2)		(6,029	)		(76,086	)
Rayonier, Inc.		(2,668	)		(76,412	)
Senior Housing Properties Trust		(2,039	)		(41,799	)
Splunk, Inc. (2)		(601	)		(37,100	)
Stryker Corp.		(534	)		(68,651	)
					(1,214,471	)
Total Securities Sold Short (proceeds $(2,705,044))				$	(2,694,760	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	33,729		0.4	%
Agriculture		99,873		1.1
Airlines		154,698		1.7
Auto Manufacturers		249,805		2.8
Auto Parts & Equipment		557,590		6.2
Beverages		178,408		2.0
Building Materials		99,608		1.1
Chemicals		175,433		2.0
Commercial Services		497,284		5.5
Computers		280,009		3.1
Distribution/Wholesale		29,338		0.3
Diversified Financial Services		255,812		2.9
Electric		334,451		3.7
Electronics		219,301		2.4
Engineering & Construction		271,020		3.0
Entertainment		70,764		0.8

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Food	$	451,479			5.0	%
Gas		20,094			0.2
Healthcare-Products		775,315			8.6
Healthcare-Services		427,329			4.8
Insurance		827,201			9.2
Internet		97,170			1.1
Iron/Steel		67,865			0.8
Mining		135,703			1.5
Miscellaneous Manufacturing		133,947			1.5
Oil & Gas		53,456			0.6
Pharmaceuticals		228,685			2.6
Real Estate		23,257			0.3
Real Estate Investment Trusts		308,583			3.4
Retail		607,288			6.8
Semiconductors		296,546			3.3
Shipbuilding		145,303			1.6
Software		96,113			1.1
Telecommunications		320,883			3.6
Transportation		203,571			2.3
Total Common Stocks Purchased Long		8,726,911			97.3
Collateral Investment for Securities on Loan		439,108			4.9
Mutual Funds		2,910,993			32.4
Total Investments		12,077,012			134.6
Other Assets and Liabilities		(411,586	)		(4.6	)
Securities Sold Short (see below)		(2,694,760	)		(30.0	)
Total Net Assets	$	8,970,666			100.0	%
Securities Sold Short
Aerospace/Defense	$	(119,404	)		(1.3	)%
Banks		(71,927	)		(0.8	)
Beverages		(66,362	)		(0.7	)
Building Materials		(12,579	)		(0.1	)
Chemicals		(23,389	)		(0.3	)
Commercial Services		(101,798	)		(1.1	)
Computers		(81,053	)		(0.9	)
Cosmetics/Personal Care		(34,252	)		(0.4	)
Diversified Financial Services		(199,172	)		(2.2	)
Engineering & Construction		(33,752	)		(0.4	)
Food		(90,015	)		(1.0	)
Forest Products & Paper		(43,106	)		(0.5	)
Healthcare-Products		(93,756	)		(1.0	)
Home Furnishings		(7,922	)		(0.1	)
Household Products/Wares		(47,692	)		(0.5	)
Internet		(209,896	)		(2.3	)
Media		(123,769	)		(1.4	)
Metal Fabricate/Hardware		(86,743	)		(1.0	)
Mining		(41,936	)		(0.5	)
Oil & Gas		(132,588	)		(1.5	)
Packaging & Containgers		(40,162	)		(0.5	)
Pharmaceuticals		(50,996	)		(0.6	)
Real Estate		(74,318	)		(0.8	)
Real Estate Investment Trusts		(380,044	)		(4.2	)
Retail		(138,069	)		(1.5	)
Semiconductors		(51,544	)		(0.6	)
Shipbuilding		(41,558	)		(0.5	)
Software		(257,638	)		(2.9	)
Telecommunications		(39,320	)		(0.4	)
Total Securities Sold Short	$	(2,694,760	)		(30.0	)%

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

42

BMO Funds

Ultra Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 95.7%
Alabama — 5.3%
Chatom Industrial Development Board, 1.050%, 8/1/2037, Call 8/1/2017 (8)	$	5,500,000	$	5,501,320
Health Care Authority for Baptist Health, 1.300%, 11/1/2042 (8)		14,125,000		14,125,000
Tender Option Bond Trust Receipts/Certificates, 0.920%, 12/1/2030 (6)(8)		5,085,000		5,085,000
Other securities				7,099,839
				31,811,159
Arizona — 1.7%
Arizona Health Facilities Authority:
2.490%, 2/5/2020, Call 8/9/2019 (8)		3,250,000		3,311,620
2.490%, 2/5/2020, Call 8/9/2019 (8)		750,000		764,220
Scottsdale Industrial Development Authority, FSA, 0.880%, 9/1/2045, Call 3/7/2017 (8)(14)		4,275,000		4,275,000
Other securities				1,861,704
				10,212,544
Arkansas — 2.3%
Arkansas Development Finance Authority:
1.300%, 9/1/2044, Call 3/1/2017 (8)		10,400,000		10,400,000
1.740%, 9/1/2019, Call 3/1/2019 (8)		3,000,000		3,007,170
Other securities				721,385
				14,128,555
California — 7.6%
California Municipal Finance Authority, 1.200%, 2/1/2018 (8)		3,750,000		3,753,375
Northern California Gas Authority No. 1:
1.269%, 7/1/2017 (8)		25,000		25,013
1.299%, 7/1/2019 (8)		7,500,000		7,445,775
State of California, AGM, 0.820%, 8/1/2027 (6)(8)		7,985,000		7,985,000
Tender Option Bond Trust Receipts/Certificates:
0.710%, 11/1/2023 (6)(8)		7,000,000		7,000,000
0.760%, 5/1/2022 (6)(8)		3,000,000		3,000,000
0.940%, 8/1/2037, Call 8/1/2017 (6)(8)		2,500,000		2,500,000
Other securities				13,970,620
				45,679,783
Colorado — 1.7%
E-470 Public Highway Authority:
0.000%, 9/1/2019, Call 3/1/2019 (8)(9)		2,000,000		2,005,640
1.820%, 8/31/2017, Call 3/1/2017 (8)		4,600,000		4,600,000
Other securities				3,764,074
				10,369,714

Description	Principal Amount		Value
Municipals (continued)
Connecticut — 1.4%
State of Connecticut, 0.690%, 1/1/2018, Call 3/1/2017 (8)	$	5,000,000	$	5,000,000
Other securities				3,451,342
				8,451,342
District of Columbia — 0.1%
Other securities				391,400
Florida — 4.7%
Citizens Property Insurance Corp., 5.250%, 6/1/2017		850,000		859,571
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2017		1,000,000		1,010,650
Citizens Property Insurance Corp., NATL-RE, 5.000%, 3/1/2017		1,720,000		1,720,000
Miami-Dade County School Board Foundation, Inc., NATL-RE, 5.000%, 5/1/2018, Call 5/1/2017		300,000		302,124
School Board of Miami-Dade County, FGIC, 1.030%, 5/1/2037, Call 3/1/2017 (6)(8)		8,000,000		8,000,000
Other securities				16,542,235
				28,434,580
Georgia — 1.1%
Other securities				6,356,762
Guam — 0.1%
Other securities				770,738
Idaho — 1.2%
Idaho Housing & Finance Association, 0.830%, 1/1/2038, Call 3/1/2017(8)		7,100,000		7,100,000
Illinois — 6.9%
Chicago Board of Education, 4.640%, 3/1/2017 (8)		4,250,000		4,250,000
Rib Floater Trust Various States, 0.940%, 4/1/2036, Call 4/1/2027 (6)(8)		4,250,000		4,250,000
State of Illinois:
5.000%, 3/1/2017		1,250,000		1,250,000
5.000%, 4/1/2017		500,000		501,320
5.000%, 5/1/2017		500,000		502,710
5.000%, 1/1/2018		2,000,000		2,050,960	��
5.000%, 2/1/2018		500,000		513,880
Tender Option Bond Trust Receipts/Certificates, 0.840%, 6/15/2032, Call 6/15/2026 (6)(8)		4,655,000		4,655,000
Other securities				23,545,773
				41,519,643
Indiana — 5.2%
Indiana Finance Authority, 0.900%, 3/1/2017 (8)		3,500,000		3,500,000
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC COLL, 0.870%, 7/1/2039, Call 3/31/2017 (8)		14,400,000		14,400,000

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

43

February 28, 2017 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Indiana (continued)
Tender Option Bond Trust Receipts/Certificates, 0.990%, 4/15/2018 (6)(8)	$	8,500,000	$	8,500,000
Other securities				5,175,665
				31,575,665
Iowa — 1.2%
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 3/1/2018		3,000,000		2,979,150
2.000%, 12/1/2018, Call 6/1/2018		3,500,000		3,526,215
Other securities				978,583
				7,483,948
Kansas — 0.4%
Other securities				2,685,340
Kentucky — 0.3%
Other securities				1,735,168
Louisiana — 2.4%
East Baton Rouge Sewerage Commission, 1.046%, 8/1/2018, Call 2/1/2018 (8)		6,090,000		6,059,672
Parish of St. James, 0.800%, 11/1/2040, Call 3/1/2017 (8)		4,000,000		4,000,000
Other securities				4,589,312
				14,648,984
Maine — 0.1%
Other securities				615,965
Massachusetts — 0.3%
Other securities				1,887,764
Michigan — 3.8%
Rib Floater Trust Various States, 0.790%, 7/1/2018 (6)(8)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, AGM Q-SBLF, 0.790%, 5/1/2029, Call 5/1/2017 (6)(8)		5,220,000		5,220,000
Other securities				12,514,726
				22,734,726
Minnesota — 1.9%
Other securities				11,249,676
Mississippi — 1.2%
Mississippi Business Finance Corp., 0.950%, 5/1/2037, Call 5/1/2017 (8)		6,775,000		6,775,610
Other securities				690,788
				7,466,398
Missouri — 0.6%
Other securities				3,365,643
Nebraska — 0.6%
Other securities				3,531,035
Nevada — 0.2%
Other securities				1,047,736

Description	Principal Amount		Value
Municipals (continued)
New Jersey — 6.3%
New Jersey Economic Development Authority:
0.930%, 11/1/2040, Call 3/1/2017 (8)	$	5,770,000	$	5,770,000
0.930%, 11/1/2040, Call 3/1/2017 (8)		4,700,000		4,700,000
0.940%, 11/1/2031, Call 3/1/2017 (8)		5,895,000		5,895,000
2.440%, 2/1/2018, Call 8/1/2017 (8)		500,000		502,465
2.446%, 2/1/2018, Call 8/1/2017 (8)		1,750,000		1,758,785
5.000%, 6/15/2017		250,000		252,220
New Jersey Health Care Facilities Financing Authority, 0.930%, 7/1/2038, Call 3/1/2017 (8)		3,700,000		3,700,000
New Jersey Transportation Trust Fund Authority:
1.640%, 12/15/2019, Call 6/15/2019 (8)		5,000,000		4,926,600
5.000%, 12/15/2017		1,200,000		1,236,384
Tender Option Bond Trust Receipts/Certificates, 0.810%, 1/1/2043, Call 7/1/2022 (6)(8)		5,000,000		5,000,000
Other securities				4,079,032
				37,820,486
New Mexico — 0.9%
New Mexico Municipal Energy Acquisition Authority, 1.273%, 8/1/2019, Call 2/1/2019 (8)		5,500,000		5,487,570
New York — 8.5%
City of New York, AGM, 0.790%, 11/1/2026 (8)		4,300,000		4,300,000
Metropolitan Transportation Authority, 1.223%, 2/1/2020 (8)		3,500,000		3,485,510
Metropolitan Transportation Authority, AGM, 1.138%, 5/15/2018, Call 11/15/2017 (8)		4,650,000		4,651,813
New York City Transitional Finance Authority:
0.780%, 11/1/2022 (8)		3,795,000		3,795,000
0.790%, 8/1/2022, Call 3/1/2017 (8)		3,320,000		3,320,000
0.790%, 8/1/2023, Call 3/1/2017 (8)		6,550,000		6,550,000
New York State Energy Research & Development Authority, NATL-RE, 1.120%, 12/1/2020, Call 3/7/2017 (8)(14)		7,350,000		7,079,763
Triborough Bridge & Tunnel Authority, 1.223%, 2/1/2021 (8)		5,000,000		4,997,300
Other securities				12,899,995
				51,079,381
North Carolina — 0.3%
Other securities				1,925,065
North Dakota — 0.9%
Other securities				5,564,485

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

44

BMO Funds

Ultra Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio — 4.5%
County of Crawford, 1.430%, 11/1/2017, Call 5/1/2017	$	5,000,000	$	5,002,150
County of Montgomery, 0.580%, 11/15/2039, Call 3/1/2017 (8)		3,850,000		3,850,000
Lancaster Port Authority, 1.243%, 8/1/2019, Call 2/1/2019 (8)		5,000,000		4,976,250
State of Ohio:
0.870%, 1/15/2045, Call 3/1/2017 (8)		5,500,000		5,500,000
1.100%, 1/15/2045, Call 3/1/2017 (8)		5,000,000		5,000,000
Other securities				2,698,742
				27,027,142
Oklahoma — 0.0%
Other securities				130,179
Oregon — 0.1%
Other securities				346,592
Pennsylvania — 5.5%
Pennsylvania Turnpike Commission:
1.240%, 12/1/2017, Call 6/1/2017 (8)		100,000		99,994
1.320%, 12/1/2018, Call 6/1/2018 (8)		6,000,000		6,004,080
1.790%, 12/1/2019, Call 6/1/2019 (8)		2,225,000		2,248,830
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017		600,000		606,102
Other securities				24,532,927
				33,491,933
Puerto Rico — 0.0%
Other securities				204,557
Rhode Island — 0.3%
Other securities				2,039,860
South Carolina — 0.2%
Other securities				1,017,820
Tennessee — 0.8%
Tender Option Bond Trust Receipts/Certificates, 0.870%, 7/1/2046, Call 7/1/2026 (6)(8)		5,000,000		5,000,000
Other securities				124,400
				5,124,400
Texas — 8.3%
Port of Port Arthur Navigation District:
0.700%, 12/1/2039, Call 3/1/2017 (8)		11,100,000		11,100,000
0.700%, 11/1/2040, Call 3/1/2017 (8)		2,500,000		2,500,000
Tender Option Bond Trust Receipts/Certificates, 0.920%, 7/1/2021 (6)(8)		11,950,000		11,950,000
Other securities				24,890,997
				50,440,997

Description	Principal Amount		Value
Municipals (continued)
Utah — 0.7%
Tender Option Bond Trust Receipts/Certificates, 0.840%, 1/1/2025 (6)(8)	$	2,500,000	$	2,500,000
Other securities				1,686,867
				4,186,867
Virginia — 0.4%
Other securities				2,235,240
Washington — 3.2%
Tender Option Bond Trust Receipts/Certificates:
0.770%, 6/15/2033, Call 6/1/2019 (6)(8)		5,050,000		5,050,000
0.940%, 1/1/2035 (6)(8)		5,000,000		5,000,000
Washington Health Care Facilities Authority:
0.610%, 8/15/2041, Call 3/1/2017 (8)		6,000,000		6,000,000
2.500%, 12/1/2017 (6)		200,000		200,048
Other securities				3,382,657
				19,632,705
West Virginia — 0.0%
Other securities				50,559
Wisconsin — 2.5%
City of Waukesha, 2.000%, 7/1/2017, Call 4/1/2017		8,670,000		8,677,803
Other securities				6,674,753
				15,352,556
Total Municipals (identified cost $578,426,604)				578,412,662
Mutual Funds — 0.3%
New York — 0.3%
Other securities				2,000,140
Total Mutual Funds (identified cost $2,000,000)				2,000,140
Short-Term Investments — 4.6%
Mutual Funds — 0.0%
Other securities (4)				44,454
Short-Term Municipals — 4.6%
California — 0.1%
Other securities				516,835
Connecticut — 0.2%
Other securities				1,008,650
Illinois — 0.1%
Other securities				507,270
Massachusetts — 0.1%
Other securities				851,547
New Jersey — 1.2%
Passaic County Improvement Authority, County Guarantee:
2.000%, 6/28/2017		5,000,000		5,017,950
2.500%, 6/28/2017 (9)		2,000,000		2,010,380
				7,028,330
New York — 1.4%
County of Suffolk, 2.000%, 7/26/2017		4,500,000		4,518,900

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

45

February 28, 2017 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Short-Term Municipals (continued)
New York (continued)
Owego Apalachin Central School District, SAW, 1.300%, 2/22/2018, Call 11/15/2017	$	4,000,000	$	4,001,400
				8,520,300
Ohio — 1.2%
City of Tipp, 1.750%, 2/14/2018		4,000,000		4,016,920
Other securities				3,234,660
				7,251,580
Wisconsin — 0.3%
Other securities				1,754,335
Total Short-Term Municipals				27,438,847
Total Short-Term Investments (identified cost $27,480,845)				27,483,301
Total Investments — 100.6% (identified cost $607,907,449)				607,896,103
Other Assets and Liabilities — (0.6)%				(3,625,520	)
Total Net Assets — 100.0%			$	604,270,583

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—17.5%
School District		7.0	%
State or Local		10.5
Revenue Bonds—83.1%
Appropriation		17.7
Education		6.9
General Revenue		0.3
Healthcare		20.3
Housing		6.8
Industrial Revenue		4.6
Power		3.4
Special Tax		3.1
Tobacco		0.1
Transportation		9.4
Water & Sewer		10.5
Other Assets & Liabilities, Net		(0.6)
Total		100.0	%

Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 98.7%
Alabama — 1.6%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,057,800
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (8)		1,000,000		1,079,700
Other securities				748,388
				2,885,888
Alaska — 0.5%
Other securities				856,054

Description	Principal Amount		Value
Municipals (continued)
Arizona — 2.4%
Other securities			$	4,408,648
Arkansas — 0.4%
Other securities				709,330
California — 12.2%
California Municipal Finance Authority, 5.000%, 2/1/2022	$	1,000,000		1,130,640
California Statewide Communities Development Authority:
3.500%, 11/1/2018		100,000		100,847
5.000%, 12/1/2025 (6)		200,000		220,676
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017		200,000		201,904
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021, Call 11/1/2019		750,000		786,967
Northern California Gas Authority No. 1:
1.269%, 7/1/2017 (8)		40,000		40,020
1.299%, 7/1/2019 (8)		1,040,000		1,032,481
Tender Option Bond Trust, 0.840%, 8/1/2022 (6)(8)		2,000,000		2,000,000
Tender Option Bond Trust, AMBAC, 0.890%, 9/1/2030, Call 3/31/2017 (6)(8)		5,000,000		5,000,000
Other securities				11,490,325
				22,003,860
Colorado — 4.8%
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)		590,000		587,941
3.000%, 10/1/2017		380,000		384,298
3.000%, 11/15/2017		200,000		203,050
5.000%, 10/1/2021		1,000,000		1,111,150
Denver Convention Center Hotel Authority, 5.000%, 12/1/2022		1,000,000		1,132,390
E-470 Public Highway Authority:
0.000%, 9/1/2021, Call 3/1/2021 (8)(9)		575,000		576,317
1.820%, 8/31/2017, Call 3/1/2017 (8)		550,000		550,000
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2022		1,000,000		1,184,040
Other securities				2,920,945
				8,650,131
Connecticut — 0.8%
State of Connecticut:
1.520%, 8/15/2018 (8)		250,000		251,243
1.560%, 5/15/2018 (8)		150,000		150,702
1.560%, 9/15/2019 (8)		115,000		115,324
5.000%, 3/15/2021		500,000		562,595
Other securities				402,277
				1,482,141
Delaware — 0.1%
Other securities				122,080
Florida — 5.7%
Columbia County School Board:
5.000%, 7/1/2019		920,000		991,613
5.000%, 7/1/2021		400,000		449,148

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

46

BMO Funds

Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
School District of Broward County, 5.000%, 7/1/2019	$	1,000,000	$	1,082,870
Sumter County Industrial Development Authority:
4.000%, 7/1/2017		500,000		505,155
5.000%, 7/1/2020		235,000		258,617
5.000%, 7/1/2020		300,000		330,150
Other securities				6,734,195
				10,351,748
Georgia — 3.0%
City of Atlanta:
5.000%, 1/1/2021		250,000		280,345
5.000%, 1/1/2022		700,000		797,202
Gainesville & Hall County Hospital Authority:
1.590%, 2/18/2020, Call 8/22/2019 (8)		350,000		348,792
5.000%, 2/15/2021		700,000		786,737
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019		1,000,000		1,061,740
5.250%, 9/15/2018		100,000		105,569
Other securities				2,001,440
				5,381,825
Guam — 0.6%
Territory of Guam:
5.000%, 12/1/2021		500,000		557,235
5.000%, 12/1/2022		500,000		562,495
				1,119,730
Idaho — 0.1%
Other securities				243,482
Illinois — 13.6%
City of Chicago, 5.000%, 11/1/2021		1,000,000		1,111,650
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019		1,000,000		1,098,280
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019		250,000		269,885
5.000%, 11/15/2021		720,000		804,067
Illinois Finance Authority:
1.896%, 5/1/2021, Call 11/1/2020 (8)		1,000,000		1,001,720
2.250%, 5/15/2017		225,000		225,074
2.500%, 5/15/2018		150,000		150,581
4.000%, 10/1/2018		275,000		282,458
5.000%, 7/1/2017		250,000		252,620
5.000%, 1/1/2021		200,000		220,134
5.000%, 11/15/2021		400,000		455,492
5.000%, 1/1/2022		150,000		167,022
5.000%, 11/15/2022		555,000		639,088
5.000%, 11/15/2022		500,000		576,625
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023		1,000,000		1,143,510
Rib Floater Trust Various States, 0.940%, 4/1/2036, Call 4/1/2027 (6)(8)		1,710,000		1,710,000

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
State of Illinois:
5.000%, 5/1/2017	$	250,000	$	251,355
5.000%, 1/1/2018		1,000,000		1,025,480
5.000%, 4/1/2020		100,000		105,414
5.000%, 2/1/2021		240,000		254,215
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019		1,110,000		1,167,220
Other securities				11,647,693
				24,559,583
Indiana — 3.4%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC COLL, 0.870%, 7/1/2039, Call 3/31/2017 (8)		2,400,000		2,400,000
Other securities				3,696,808
				6,096,808
Iowa — 1.1%
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 6/1/2018		1,000,000		1,007,490
Other securities				994,520
				2,002,010
Kansas — 0.4%
Other securities				780,324
Kentucky — 1.1%
Other securities				2,017,778
Louisiana — 0.7%
Other securities				1,199,867
Maine — 0.7%
Other securities				1,253,552
Maryland — 0.1%
Other securities				256,332
Massachusetts — 0.7%
Massachusetts Development Finance Agency:
4.000%, 4/15/2020		430,000		452,919
5.000%, 7/1/2021		280,000		314,404
5.000%, 7/1/2022		315,000		357,745
Other securities				165,838
				1,290,906
Michigan — 3.5%
Rib Floater Trust Various States, 0.790%, 7/1/2018 (6)(8)		1,900,000		1,900,000
Other securities				4,414,746
				6,314,746
Minnesota — 0.1%
Other securities 182,510
Mississippi — 0.5%
Other securities				874,413
Missouri — 2.9%
Southeast Missouri State University, 5.000%, 4/1/2019		1,000,000		1,075,600
Other securities				4,243,400
				5,319,000
Nebraska — 0.1%
Other securities				159,674

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

47

February 28, 2017 (Unaudited)

Schedules of Investments

Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Nevada — 0.2%
Other securities			$	286,397
New Hampshire — 0.1%
Other securities				256,429
New Jersey — 2.9%
Other securities				5,263,397
New Mexico — 1.6%
Town of Clayton, NATL, 4.000%, 11/1/2017	$	1,000,000		1,018,240
Other securities				1,832,105
				2,850,345
New York — 9.0%
County of Nassau, 5.000%, 10/1/2018		1,000,000		1,060,340
Long Island Power Authority, 1.196%, 11/1/2018, Call 5/1/2018 (8)		1,000,000		1,000,950
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017		150,000		151,057
New York City Transitional Finance Authority, 0.790%, 8/1/2022, Call 3/1/2017 (8)		1,250,000		1,250,000
New York State Dormitory Authority, 5.000%, 7/1/2018		1,000,000		1,053,160
New York State Thruway Authority, 5.000%, 5/1/2019		1,000,000		1,081,930
TSASC, Inc., 5.000%, 6/1/2021		1,000,000		1,120,600
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020		1,155,000		1,268,259
Other securities				8,371,840
				16,358,136
North Carolina — 0.6%
Other securities				1,119,738
North Dakota — 0.5%
Other securities				858,602
Ohio — 2.2%
Other securities				4,042,179
Oklahoma — 0.1%
Other securities				135,186
Pennsylvania — 5.8%
Capital Region Water, 5.000%, 7/15/2021		1,000,000		1,129,290
Montgomery County Industrial Development Authority, AGC, 0.740%, 11/15/2029, Call 3/1/2017 (8)		2,150,000		2,150,000
Other securities				7,123,315
				10,402,605
Rhode Island — 0.8%
Other securities				1,484,163
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019		1,000,000		1,095,440
Other securities				55,567
				1,151,007
Tennessee — 0.3%
Other securities				560,142

Description	Principal Amount		Value
Municipals (continued)
Texas — 6.5%
Lower Colorado River Authority, 5.000%, 5/15/2019	$	1,000,000	$	1,080,200
New Hope Cultural Education Facilities Finance Corp.:
4.000%, 11/15/2021		615,000		630,301
5.000%, 11/1/2022		500,000		548,140
Other securities				9,539,779
				11,798,420
Utah — 0.4%
Other securities				689,995
Vermont — 0.2%
Other securities				367,696
Virgin Islands — 0.1%
Other securities				92,031
Virginia — 0.7%
Henrico County Economic Development Authority, AGM, 1.353%, 8/23/2027, Call 3/1/2017 (8)(14)		1,250,000		1,187,829
Washington — 1.2%
State of Washington, 5.000%, 2/1/2022		1,000,000		1,161,500
Other securities				1,023,500
				2,185,000
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018		1,250,000		1,320,525
Wisconsin — 3.1%
City of Stanley, 2.500%, 3/1/2018, Call 9/1/2017		1,000,000		1,006,240
Hilbert School District, 2.100%, 4/1/2019, Call 4/1/2018		1,000,000		1,007,890
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017		130,000		130,030
3.250%, 5/1/2018		200,000		200,698
4.000%, 3/1/2017		150,000		150,000
4.000%, 8/15/2018		300,000		309,708
5.000%, 3/1/2020		200,000		216,022
Other securities				2,549,978
				5,570,566
Total Municipals (identified cost $178,253,016)				178,502,808
Mutual Funds — 0.4%
Other securities (4)				860,981
Short-Term Investments — 0.6%
Mutual Funds — 0.0%
Other securities (4)				42,663
Short-Term Municipals — 0.6%
Ohio — 0.6%
Other securities				1,004,230
Total Short-Term Investments (identified cost $1,046,922)				1,046,893
Total Investments — 99.7% (identified cost $180,162,601)				180,410,682
Other Assets and Liabilities — 0.3%				483,418
Total Net Assets — 100.0%			$	180,894,100

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

48

BMO Funds

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—19.8%
School District		8.1	%
State or Local		11.7
Revenue Bonds—79.5%
Appropriation		14.1
Education		13.7
General Revenue		1.6
Healthcare		20.4
Housing		4.6
Industrial Revenue		2.6
Power		3.1
Special Tax		2.5
Student Loan		0.3
Tobacco		1.7
Transportation		9.8
Water & Sewer		5.1
Other Assets & Liabilities, Net		0.7
Total		100.0	%

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 19.9%
Automobiles — 4.1%
AmeriCredit Auto Receivables Trust, Class B, (Series 2014-4), 1.870%, 12/9/2019	$	500,000	$	500,963
CarMax Auto Owner Trust:
Class A3, (Series 2015-4), 1.560%, 11/16/2020		650,000		650,004
Class A3, (Series 2016-2), 1.520%, 2/16/2021		420,000		418,871
CPS Auto Receivables Trust:
Class A, (Series 2012-D), 1.480%, 3/16/2020 (6)		95,521		95,498
Class A, (Series 2013-A), 1.310%, 6/15/2020 (6)		292,330		291,031
GM Financial Leasing Trust, Class A3, (Series 2015-2), 1.680%, 12/20/2018		2,500,000		2,504,605
Huntington Auto Trust, Class A4, (Series 2016-1), 1.930%, 4/15/2022		2,015,000		2,005,852
Santander Drive Auto Receivables Trust:
Class C, (Series 2013-A), 3.120%, 10/15/2019 (6)		720,071		724,282
Class D, (Series 2014-1), 2.910%, 4/15/2020		1,001,000		1,013,149
Class D, (Series 2015-2), 3.020%, 4/15/2021		760,000		769,587
Volkswagen Auto Lease Trust, Class A3, (Series 2015-A), 1.250%, 12/20/2017		320,808		320,788
Volkswagen Auto Loan Enhanced Trust, Class A3, (Series 2014-1), 0.910%, 10/22/2018		662,779		661,825
				9,956,455
Credit Cards — 5.3%
Cabela’s Credit Card Master Trust:
Class A, (Series 2014-2), 1.220%, 7/15/2022 (8)		2,000,000		2,005,900

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Credit Cards (continued)
Class A1, (Series 2015-2), 2.250%, 7/17/2023	$	1,015,000	$	1,020,513
Chase Issuance Trust:
Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,461,835
Class A5, (Series 2016-A5), 1.270%, 7/15/2021		2,000,000		1,978,522
Discover Card Execution Note Trust, Class A1, (Series 2016-A1), 1.640%, 7/15/2021		3,385,000		3,384,563
World Financial Network Credit Card Master Trust, Class A, (Series 2016-A), 2.030%, 4/15/2025		2,000,000		1,968,662
				12,819,995
Other Financial — 10.5%
Ally Master Owner Trust, Class A, (Series 2012-5), 1.540%, 9/15/2019		1,000,000		1,001,088
American Homes 4 Rent, Class A, (Series 2014-SFR1), 1.772%, 6/17/2031 (6)(8)		907,595		908,094
Colony American Homes, Class A, (Series 2014-2A), 1.722%, 7/17/2031 (6)(8)		1,930,598		1,932,347
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		1,881,821		1,868,230
Dell Equipment Finance Trust, Class A3, (Series 2015-1), 1.300%, 3/23/2020 (6)		642,669		642,668
Ford Credit Floorplan Master Owner Trust:
Class A1, (Series 2016-3), 1.550%, 7/15/2021		2,000,000		1,986,132
Class A1, (Series 2016-5), 1.950%, 11/15/2021		1,000,000		1,000,013
Class C, (Series 2012-5), 2.140%, 9/15/2019		1,565,000		1,569,042
GMF Floorplan Owner Revolving Trust:
Class A1, (Series 2015-1), 1.650%, 5/15/2020 (6)		1,000,000		1,000,447
Class C, (Series 2015-1), 2.220%, 5/15/2020 (6)		1,170,000		1,167,825
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (6)		871,634		861,914
Invitation Homes Trust, Class A, (Series 2014-SFR1), 1.772%, 6/17/2031 (6)(8)		707,705		708,104
John Deere Owner Trust, Class A3, (Series 2015-B), 1.440%, 10/15/2019		1,000,000		1,000,595
Nissan Master Owner Trust, Class A2, (Series 2015-A), 1.440%, 1/15/2020		2,500,000		2,500,330
Silver Bay Realty Trust, Class A, (Series 2014-1), 1.772%, 9/17/2031 (6)(8)		1,844,016		1,845,189
SLM Student Loan Trust, Class A5, (Series 2004-5A), 1.638%, 10/25/2023 (6)(8)		659,316		660,006
Verizon Owner Trust, Class A, (Series 2016-1A), 1.420%, 1/20/2021 (6)		1,250,000		1,242,088

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

49

February 28, 2017 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
Westgate Resorts LLC:
Class A, (Series 2015-2A), 3.200%, 7/20/2028 (6)	$	1,915,773	$	1,905,497
Class B, (Series 2014-1A), 3.250%, 12/20/2026 (6)		1,531,524		1,521,477
				25,321,086
Total Asset-Backed Securities (identified cost $48,173,706)				48,097,536
Collateralized Mortgage Obligations — 2.6%
Federal National Mortgage Association — 1.0%
3.000%, 6/25/2033, (Series 2014-20)		2,289,707		2,352,921
Federal Home Loan Mortgage Corporation — 0.7%
3.000%, 2/15/2031, (Series 4013)		1,610,597		1,675,899
Private Sponsor — 0.9%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 3.171%, 5/20/2036 (8)		251,367		228,491
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		348,058		368,614
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		231,893		239,564
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		242,775		200,974
JP Morgan Mortgage Trust:
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		164,418		160,582
Class 3A1, (Series 2007-A2), 3.092%, 4/25/2037 (8)		21,475		18,824
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.109%, 11/25/2034 (8)		445,168		452,226
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 3.094%, 5/25/2036 (8)		190,786		182,783
Class 2A4, (Series 2006-AR8), 3.088%, 4/25/2036 (8)		63,328		63,916
Class A1, (Series 2006-AR19), 3.033%, 12/25/2036 (8)		347,183		321,104
				2,237,078
Total Collateralized Mortgage Obligations (identified cost $6,299,134)				6,265,898
Commercial Mortgage Securities — 6.0%
Federal Home Loan Mortgage Corporation — 1.4%
2.757%, 5/25/2020, (Series K009)		664,072		668,451
3.822%, 6/25/2047, (Series 2012-K710) (6)(8)		475,000		488,854
3.883%, 1/25/2047, (Series 2012-K707) (6)(8)		1,835,000		1,880,350
4.160%, 9/25/2044, (Series 2012-K705) (6)(8)		217,211		223,328
				3,260,983

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Government National Mortgage Association — 1.9%
1.600%, 12/16/2042, (Series 2013-2)	$	846,271	$	839,206
1.800%, 7/16/2037, (Series 2013-179)		1,142,102		1,125,908
2.205%, 1/16/2044, (Series 2014-61)		971,938		970,378
2.650%, 2/16/2045, (Series 2015-33)		1,729,680		1,741,786
				4,677,278
Private Sponsor — 2.7%
Assurant Commercial Mortgage Trust, Class A1, (Series 2016-1A), 1.362%, 5/15/2049 (6)		2,516,961		2,491,975
GS Mortgage Securities Trust, Class A1, (Series 2014-GC22), 1.290%, 6/10/2047		631,058		629,095
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C14), 3.019%, 8/15/2046		1,520,000		1,549,626
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		1,899,651		1,875,737
				6,546,433
Total Commercial Mortgage Securities (identified cost $14,594,788)				14,484,694
Corporate Bonds & Notes — 50.3%
Auto Manufacturers — 4.6%
Ford Motor Credit Co. LLC:
2.021%, 5/3/2019 (1)		500,000		497,817
2.551%, 10/5/2018		2,000,000		2,017,530
2.943%, 1/8/2019 (1)		1,500,000		1,525,720
General Motors Financial Co., Inc.:
2.400%, 5/9/2019 (1)		1,000,000		1,007,761
3.000%, 9/25/2017 (1)		500,000		504,254
3.100%, 1/15/2019 (1)		3,000,000		3,055,902
4.750%, 8/15/2017 (1)		500,000		507,345
Toyota Motor Credit Corp., 1.200%, 4/6/2018		1,000,000		998,512
Volkswagen Group of America Finance LLC, 1.250%, 5/23/2017 (6)		1,000,000		999,586
				11,114,427
Banks — 23.3%
ANZ New Zealand Int’l, Ltd./London, 1.750%, 3/29/2018 (6)		1,000,000		1,000,461
Bank of America Corp.:
2.250%, 4/21/2020 (1)		1,000,000		1,002,175
2.625%, 10/19/2020 (1)		1,000,000		1,008,330
Bank of America NA, 1.650%, 3/26/2018		1,000,000		1,002,034
Bank of Nova Scotia:
1.650%, 6/14/2019 (1)		1,000,000		994,982
1.950%, 1/15/2019 (1)		2,000,000		2,007,314
Bank of the Ozarks, Inc., 5.500%, 7/1/2026 (8)		1,225,000		1,292,375
Branch Banking & Trust Co., 2.100%, 1/15/2020		1,200,000		1,202,630

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

50

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Canadian Imperial Bank of Commerce:
1.398%, 8/8/2018 (8)	$	1,350,000	$	1,349,903
1.408%, 7/13/2018 (8)		1,250,000		1,249,914
Capital One Financial Corp., 2.450%, 4/24/2019 (1)		300,000		302,764
Capital One NA, 2.350%, 1/31/2020 (1)		1,300,000		1,303,873
Citigroup, Inc.:
1.700%, 4/27/2018 (1)		1,300,000		1,300,209
2.050%, 12/7/2018 (1)		500,000		501,668
2.350%, 8/2/2021 (1)		520,000		513,120
Discover Bank, 2.600%, 11/13/2018		1,000,000		1,011,497
Eagle Bancorp, Inc., 5.000%, 8/1/2026 (8)		1,900,000		1,941,800
Goldman Sachs Group, Inc.:
2.000%, 4/25/2019 (1)		1,000,000		999,128
2.239%, 4/30/2018 (8)		1,650,000		1,667,513
2.550%, 10/23/2019 (1)		1,500,000		1,517,215
HSBC USA, Inc.:
1.700%, 3/5/2018		1,100,000		1,101,108
2.000%, 8/7/2018		1,000,000		1,001,365
Huntington National Bank, 2.000%, 6/30/2018		1,500,000		1,503,540
Independent Bank Group, Inc., 5.875%, 8/1/2024		2,745,000		2,760,358
KeyBank NA, 2.350%, 3/8/2019		1,000,000		1,009,702
KeyCorp, 2.900%, 9/15/2020 (1)		1,000,000		1,019,342
Macquarie Bank, Ltd., 1.600%, 10/27/2017 (6)		1,000,000		1,000,553
Morgan Stanley:
2.125%, 4/25/2018 (1)		1,000,000		1,006,023
2.500%, 1/24/2019 (1)		900,000		909,111
National Australia Bank, Ltd., 1.875%, 7/23/2018		1,500,000		1,504,359
Peapack Gladstone Financial Corp., 6.000%, 6/30/2026 (8)		1,525,000		1,572,998
PNC Bank NA:
1.600%, 6/1/2018		1,500,000		1,500,795
1.950%, 3/4/2019 (1)		1,000,000		1,003,146
PNC Financial Services Group, Inc., 1.284%, 8/7/2018 (8)		1,350,000		1,350,342
Regions Bank, 2.250%, 9/14/2018 (1)		1,500,000		1,505,394
Renasant Corp., 5.000%, 9/1/2026 (8)		1,125,000		1,157,264
Royal Bank of Canada:
2.000%, 12/10/2018 (1)		1,500,000		1,507,845
2.125%, 3/2/2020 (9)		1,400,000		1,398,992
Sumitomo Mitsui Banking Corp., 1.781%, 7/23/2018 (8)		1,000,000		1,004,355
SunTrust Bank, 2.250%, 1/31/2020		1,000,000		1,004,258
Svenska Handelsbanken AB, 1.625%, 3/21/2018		1,650,000		1,650,805
Toronto-Dominion Bank:
1.625%, 3/13/2018 (1)		1,000,000		1,001,495
1.750%, 7/23/2018 (1)		500,000		501,704
Union Bankshares Corp., 5.000%, 12/15/2026 (8)		1,385,000		1,424,020
Wells Fargo Bank NA, 1.750%, 5/24/2019 (1)		700,000		699,475

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Westpac Banking Corp.:
1.650%, 5/13/2019	$	500,000	$	497,135
2.250%, 1/17/2019 (1)		1,500,000		1,509,895
				56,274,284
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 1.900%, 2/1/2019 (1)		1,405,000		1,410,288
Biotechnology — 0.6%
Amgen, Inc., 2.200%, 5/22/2019		1,450,000		1,464,288
Chemicals — 0.3%
Rohm & Haas Co., 6.000%, 9/15/2017		588,000		602,067
Computers — 0.4%
Diamond 1 Finance Corp., 3.480%, 6/1/2019 (1)(6)		1,000,000		1,023,161
Diversified Financial Services — 3.0%
Ally Financial, Inc.:
3.250%, 9/29/2017 (1)		500,000		504,938
3.250%, 2/13/2018 (1)		1,000,000		1,015,500
American Express Credit Corp.:
1.800%, 7/31/2018 (1)		1,425,000		1,428,631
2.375%, 5/26/2020 (1)		1,000,000		1,005,240
International Lease Finance Corp., 8.750%, 3/15/2017		1,135,000		1,137,707
National Rural Utilities Cooperative Finance Corp., 1.500%, 11/1/2019		1,285,000		1,274,198
Synchrony Financial, 1.875%, 8/15/2017		1,000,000		1,000,903
				7,367,117
Electric — 0.8%
Duke Energy Corp., 2.100%, 6/15/2018 (1)		1,500,000		1,507,993
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/2019		500,000		504,901
				2,012,894
Engineering & Construction — 0.4%
ABB Finance USA, Inc., 1.625%, 5/8/2017		1,000,000		1,000,731
Healthcare-Services — 0.9%
Anthem, Inc., 1.875%, 1/15/2018		750,000		752,141
UnitedHealth Group, Inc., 1.900%, 7/16/2018 (1)		1,500,000		1,510,351
				2,262,492
Insurance — 0.4%
QBE Insurance Group, Ltd., 2.400%, 5/1/2018 (1)(6)		1,000,000		1,001,409
Machinery-Construction & Mining — 0.7%
Caterpillar Financial Services Corp., 1.700%, 6/16/2018		1,685,000		1,690,769
Machinery-Diversified — 1.8%
John Deere Capital Corp.:
1.250%, 10/9/2019 (1)		775,000		765,745
1.300%, 3/12/2018		1,610,000		1,608,054
Roper Technologies, Inc., 2.050%, 10/1/2018 (1)		2,000,000		2,011,152
				4,384,951

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

51

February 28, 2017 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Miscellaneous Manufacturing — 0.4%
Ingersoll-Rand Global Holding Co., Ltd., 2.875%, 1/15/2019	$	1,000,000	$	1,018,565
Office/Business Equipment — 0.7%
Xerox Corp., 2.950%, 3/15/2017		1,575,000		1,576,035
Oil & Gas — 4.3%
BP Capital Markets PLC:
2.237%, 5/10/2019 (1)		2,000,000		2,016,512
2.315%, 2/13/2020		610,000		613,692
Chevron Corp., 1.961%, 3/3/2020 (1)		1,000,000		1,001,420
ConocoPhillips Co., 1.050%, 12/15/2017		2,000,000		1,994,492
Exxon Mobil Corp.:
1.708%, 3/1/2019 (1)		1,000,000		1,002,529
1.912%, 3/6/2020 (1)		1,200,000		1,201,533
Marathon Oil Corp., 6.000%, 10/1/2017		1,500,000		1,533,948
Shell International Finance BV, 1.625%, 11/10/2018		1,039,000		1,040,064
				10,404,190
Pharmaceuticals — 2.2%
Actavis Funding SCS, 1.850%, 3/1/2017		1,000,000		1,000,000
Cardinal Health, Inc.:
1.700%, 3/15/2018		2,000,000		2,002,106
1.950%, 6/15/2018 (1)		400,000		401,656
Express Scripts Holding Co., 2.250%, 6/15/2019 (1)		1,000,000		1,004,861
Novartis Capital Corp., 1.800%, 2/14/2020 (1)		1,000,000		999,773
				5,408,396
Real Estate Investment Trusts — 0.4%
Welltower, Inc., 2.250%, 3/15/2018 (1)		1,000,000		1,005,089
Savings & Loans — 1.8%
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		2,000,000		2,139,352
Meta Financial Group, Inc., 5.750%, 8/15/2026 (8)		2,050,000		2,131,188
				4,270,540
Semiconductors — 0.4%
Intel Corp., 2.450%, 7/29/2020 (1)		1,000,000		1,018,509
Software — 0.4%
Microsoft Corp., 1.850%, 2/6/2020		1,000,000		1,004,604
Telecommunications — 1.9%
AT&T, Inc., 2.450%, 6/30/2020 (1)		500,000		501,606
Cisco Systems, Inc.:
1.400%, 9/20/2019 (1)		500,000		497,272
1.650%, 6/15/2018 (1)		1,000,000		1,004,220
2.125%, 3/1/2019 (1)		1,500,000		1,517,673
Verizon Communications, Inc.:
2.625%, 2/21/2020		500,000		506,885
3.650%, 9/14/2018 (1)		500,000		515,219
				4,542,875
Total Corporate Bonds & Notes (identified cost $120,948,100)				121,857,681

Description	Shares or Principal Amount		Value
Mutual Funds — 1.9%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (15)		110,732	$	1,003,236
Fidelity Floating Rate High Income Fund		374,685		3,623,207
Total Mutual Funds (identified cost $4,439,112)				4,626,443
U.S. Government & U.S. Government Agency Obligations — 16.3%
Federal Home Loan Mortgage Corporation — 0.8%
1.750%, 5/30/2019	$	2,000,000		2,017,748
Federal National Mortgage Association — 2.8%
1.000%, 2/26/2019		2,000,000		1,988,830
1.125%, 7/20/2018 (1)		2,000,000		2,001,514
1.500%, 6/22/2020 (1)		1,000,000		996,683
1.750%, 11/26/2019		1,750,000		1,762,691
				6,749,718
U.S. Treasury Bonds & Notes — 12.7%
0.750%, 3/31/2018 (1)		1,500,000		1,496,514
0.750%, 4/15/2018 (1)		2,000,000		1,995,000
0.875%, 6/15/2019 (1)		2,000,000		1,980,586
0.875%, 7/31/2019		1,000,000		989,219
1.000%, 2/15/2018		1,500,000		1,501,085
1.000%, 5/15/2018 (1)		1,500,000		1,500,293
1.000%, 5/31/2018		1,000,000		1,000,078
1.000%, 8/31/2019		1,500,000		1,487,022
1.000%, 9/30/2019		1,500,000		1,485,879
1.250%, 10/31/2018 (1)		2,000,000		2,003,710
1.250%, 11/15/2018 (1)		1,500,000		1,502,665
1.250%, 11/30/2018		1,500,000		1,502,432
1.250%, 1/31/2019		1,000,000		1,000,977
1.250%, 1/31/2020 (1)		2,000,000		1,988,046
1.375%, 9/30/2018 (1)		1,500,000		1,506,357
1.375%, 1/31/2020		1,000,000		997,617
1.500%, 2/28/2019		1,500,000		1,508,145
1.500%, 10/31/2019 (1)		2,000,000		2,005,118
1.625%, 8/31/2019		1,750,000		1,761,553
1.750%, 9/30/2019		1,500,000		1,514,355
				30,726,651
Total U.S. Government & U.S. Government Agency Obligations (identified cost $39,568,930)				39,494,117
U.S. Government Agency-Mortgage Securities — 0.6%
Federal National Mortgage Association — 0.6%
3.500%, 4/1/2026		138,432		144,610
4.000%, 11/1/2031		537,792		570,788
5.500%, 11/1/2033		155,860		175,090
5.500%, 2/1/2034		117,831		132,386
5.500%, 8/1/2037		275,547		309,384
9.500%, 12/1/2024		3,773		3,808
9.500%, 1/1/2025		6,189		6,252
9.500%, 1/1/2025		4,954		4,998
10.000%, 7/1/2020		12,774		13,047
				1,360,363
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		32,248		34,452
9.000%, 12/15/2019		5,649		6,000
				40,452
Total U.S. Government Agency-Mortgage Securities (identified cost $1,366,239)				1,400,815

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

52

BMO Funds

Short-Term Income Fund (continued)

Description	Shares		Value
Short-Term Investments — 17.2%
Collateral Pool Investments for Securities on Loan — 15.0%
Collateral pool allocation (3)			$	36,341,551
Mutual Funds — 2.2%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		5,314,106		5,315,169
Total Short-Term Investments (identified cost $41,656,122)				41,656,720
Total Investments — 114.8% (identified cost $277,046,131)				277,883,904
Other Assets and Liabilities — (14.8)%				(35,812,483	)
Total Net Assets — 100.0%			$	242,071,421

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		19.9	%
Collateralized Mortgage Obligations		2.6
Commercial Mortgage Securities		6.0
Corporate Bonds & Notes		50.3
Mutual Funds		1.9
U.S. Government & U.S. Government Agency Obligations		16.3
U.S. Government Agency—Mortgage Securities		0.6
Other Assets & Liabilities, Net		2.4
Total		100.0	%

Intermediate Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 98.2%
Alabama — 1.3%
Other securities			$	20,991,577
Alaska — 0.6%
Other securities				9,924,997
Arizona — 3.6%
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	$	1,000,000		1,104,560
5.250%, 10/1/2024, Call 10/1/2019		5,000,000		5,493,650
Other securities				50,447,930
				57,046,140
Arkansas — 1.5%
Other securities				23,440,443
California — 7.4%
Other securities				118,064,969
Colorado — 1.6%
Other securities				26,165,098
Connecticut — 0.9%
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026		2,000,000		2,262,020
5.000%, 1/15/2033, Call 1/15/2027		4,000,000		4,521,760
Other securities				7,213,791
				13,997,571

Description	Principal Amount		Value
Municipals (continued)
Delaware — 0.6%
Other securities			$	8,949,186
District of Columbia — 0.5%
Other securities				7,488,197
Florida — 4.6%
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	$	5,810,000		6,657,156
Other securities				66,174,531
				72,831,687
Georgia — 2.7%
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024		1,000,000		1,144,510
5.000%, 1/1/2032, Call 1/1/2024		2,500,000		2,839,575
5.000%, 1/1/2033, Call 1/1/2024		1,000,000		1,130,520
5.000%, 1/1/2034, Call 1/1/2024		1,000,000		1,126,550
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027		1,500,000		1,646,640
5.000%, 2/15/2037, Call 2/15/2027		2,000,000		2,188,580
5.000%, 2/15/2042, Call 2/15/2027		3,000,000		3,264,750
Other securities				30,322,481
				43,663,606
Guam — 0.1%
Other securities				2,172,600
Hawaii — 0.1%
Other securities				1,180,910
Idaho — 0.4%
Other securities				5,466,850
Illinois — 15.2%
Chicago Board of Education, 4.640%, 3/1/2017 (8)		6,750,000		6,750,000
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022		1,060,000		1,171,639
5.000%, 1/1/2025, Call 7/1/2020		230,000		247,025
5.000%, 1/1/2026, Call 1/1/2021		730,000		785,407
5.000%, 1/1/2028, Call 1/1/2024		2,500,000		2,744,975
5.000%, 11/15/2029, Call 11/15/2018		130,000		138,788
5.000%, 1/1/2031, Call 1/1/2026		1,790,000		1,962,377
5.000%, 1/1/2040, Call 1/1/2026		1,000,000		1,061,480
City of Chicago:
5.000%, 11/1/2025		2,000,000		2,265,500
5.000%, 11/1/2027, Call 11/1/2026		2,500,000		2,807,225
5.000%, 11/1/2027, Call 11/1/2026		1,000,000		1,122,890
5.000%, 11/1/2028, Call 11/1/2026		1,000,000		1,115,930

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

53

February 28, 2017 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund** (continued) 

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
5.000%, 11/1/2029, Call 11/1/2026	$	1,000,000	$	1,109,030
6.000%, 1/1/2038, Call 1/1/2027		10,000,000		10,321,200
City of Chicago, AGM, 5.000%, 11/1/2027, Call 11/1/2018		200,000		211,778
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023		1,000,000		1,178,550
6.000%, 12/1/2031, Call 12/1/2023		2,035,000		2,398,349
6.000%, 12/1/2032, Call 12/1/2023		2,160,000		2,544,221
6.000%, 6/1/2033, Call 12/1/2023		2,235,000		2,623,644
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026		1,500,000		1,669,275
5.000%, 11/15/2030, Call 11/15/2026		2,050,000		2,272,486
5.000%, 11/15/2031, Call 11/15/2026		2,000,000		2,206,760
5.250%, 11/15/2023, Call 11/15/2020		350,000		380,954
County of Cook, BAM, 5.000%, 11/15/2023		1,000,000		1,138,090
Illinois Finance Authority:
2.500%, 5/15/2018		170,000		170,658
5.000%, 11/15/2023, Call 11/15/2022		215,000		245,592
5.000%, 8/15/2024		250,000		282,443
5.000%, 5/15/2025		1,000,000		1,078,690
5.000%, 11/15/2026, Call 11/15/2025		1,000,000		1,150,450
5.000%, 11/15/2027, Call 11/15/2025		500,000		570,705
5.000%, 11/1/2029, Call 11/1/2026		2,000,000		2,204,360
5.000%, 5/15/2030, Call 5/15/2025		1,000,000		1,038,770
5.000%, 11/1/2030, Call 11/1/2026		1,200,000		1,314,456
5.000%, 11/1/2031, Call 11/1/2026		645,000		702,166
5.000%, 1/1/2036, Call 1/1/2027		2,000,000		2,140,940
6.000%, 8/15/2041, Call 8/15/2021		2,665,000		3,021,817
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023		1,000,000		1,124,940
5.000%, 1/1/2029, Call 1/1/2023		1,000,000		1,117,500
5.000%, 1/1/2030, Call 1/1/2026		1,000,000		1,145,710
5.000%, 12/1/2032, Call 1/1/2026		7,790,000		8,809,399
5.500%, 1/1/2033, Call 1/1/2018		490,000		508,997

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	$	1,000,000	$	1,143,510
5.000%, 1/1/2024		1,000,000		1,145,190
5.000%, 1/1/2026, Call 1/1/2025		4,000,000		4,584,320
5.250%, 1/1/2033, Call 1/1/2023		900,000		1,001,898
State of Illinois:
5.000%, 3/1/2020		500,000		526,525
5.000%, 4/1/2024, Call 4/1/2023		500,000		524,250
5.000%, 11/1/2025		7,000,000		7,345,660
5.000%, 2/1/2027		1,000,000		1,043,650
5.000%, 2/1/2029, Call 2/1/2027		1,000,000		1,029,900
5.000%, 11/1/2033, Call 11/1/2026		8,000,000		8,042,080
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023		3,205,000		3,378,070
Other securities				137,430,358
				244,050,577
Indiana — 2.5%
Indiana Finance Authority:
3.000%, 7/1/2019		250,000		254,453
5.000%, 8/15/2020		700,000		759,507
5.000%, 10/1/2022		300,000		334,677
5.000%, 10/1/2023		400,000		449,456
5.000%, 10/1/2024, Call 10/1/2023		275,000		306,908
5.000%, 5/1/2029, Call 5/1/2022		4,070,000		4,495,315
5.500%, 5/1/2024, Call 5/1/2019		1,000,000		1,079,160
Other securities				32,951,071
				40,630,547
Iowa — 0.4%
Other securities				5,915,512
Kansas — 0.2%
Other securities				3,624,539
Kentucky — 1.0%
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019		100,000		108,010
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026		2,000,000		2,309,180
5.000%, 10/1/2028, Call 10/1/2026		1,850,000		2,126,076
5.000%, 10/1/2030, Call 10/1/2026		1,500,000		1,711,875
5.000%, 10/1/2031, Call 10/1/2026		1,250,000		1,419,950
Other securities				8,443,669
				16,118,760
Louisiana — 3.0%
Parish of St. Bernard:
4.000%, 3/1/2020		3,470,000		3,695,758
4.000%, 3/1/2021		3,585,000		3,861,798

(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)
Louisiana (continued)
Parish of St. James, 0.800%, 11/1/2040, Call 3/1/2017 (8)	$	14,000,000	$	14,000,000
State of Louisiana, 1.016%, 5/1/2018, Call 11/1/2017 (8)		7,000,000		6,952,680
Other securities				19,619,886
				48,130,122
Maine — 0.6%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,500,000		7,836,900
Other securities				2,059,941
				9,896,841
Maryland — 0.3%
Other securities				5,164,583
Massachusetts — 1.1%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.840%, 12/1/2030, Call 3/2/2017 (8)(14)		7,375,000		6,806,380
0.840%, 12/1/2030, Call 3/6/2017 (8)(14)		1,450,000		1,338,202
Other securities				9,820,796
				17,965,378
Michigan — 4.7%
Michigan Finance Authority:
5.000%, 7/1/2026, Call 7/1/2025		175,000		197,043
5.000%, 7/1/2027, Call 7/1/2025		600,000		671,400
5.000%, 7/1/2029, Call 7/1/2025		950,000		1,067,448
5.000%, 7/1/2032, Call 7/1/2025		1,500,000		1,655,550
5.000%, 11/15/2032, Call 11/15/2026		1,000,000		1,111,990
5.000%, 7/1/2034, Call 7/1/2025		3,000,000		3,281,670
5.000%, 7/1/2034, Call 7/1/2025		500,000		540,980
5.000%, 11/15/2041, Call 11/15/2026		1,000,000		1,084,710
Other securities				66,071,147
				75,681,938
Minnesota — 0.4%
Other securities				6,720,980
Mississippi — 0.3%
Other securities				5,070,037
Missouri — 2.3%
Other securities				36,097,013
Nebraska — 0.6%
Other securities				10,031,356
Nevada — 1.1%
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022		5,115,000		5,825,985
Other securities				11,845,849
				17,671,834

Description	Principal Amount		Value
Municipals (continued)
New Hampshire — 0.1%
Other securities			$	1,642,297
New Jersey — 3.5%
New Jersey Economic Development Authority:
5.000%, 11/1/2021	$	4,600,000		4,912,524
5.500%, 6/15/2030, Call 12/15/2026		2,500,000		2,673,450
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019		6,995,000		7,307,677
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022		3,440,000		3,846,333
5.000%, 1/1/2035, Call 1/1/2022		1,685,000		1,851,242
New Jersey State Turnpike Authority, NATL-RE:
1.120%, 1/1/2030, Call 3/7/2017 (8)(14)		350,000		315,023
1.120%, 1/1/2030, Call 3/3/2017 (8)(14)		1,900,000		1,710,137
1.138%, 1/1/2030, Call 3/2/2017 (8)(14)		475,000		427,533
1.260%, 1/1/2030, Call 3/3/2017 (8)(14)		500,000		450,037
New Jersey Transportation Trust Fund Authority:
1.640%, 12/15/2019, Call 6/15/2019 (8)		5,000,000		4,926,600
5.000%, 6/15/2022		500,000		538,365
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,083,450
5.250%, 12/15/2023		240,000		261,672
5.250%, 12/15/2023, Call 12/15/2018		1,355,000		1,439,606
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,311,550
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,054,090
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		5,895,055
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024		440,000		355,190
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025		500,000		571,535
Other securities				5,546,993
				56,478,062
New Mexico — 1.5%
New Mexico Municipal Energy Acquisition Authority, 1.273%, 8/1/2019, Call 2/1/2019 (8)		10,000,000		9,977,400
Other securities				14,514,669
				24,492,069
New York — 4.6%
Metropolitan Transportation Authority, 0.873%, 11/1/2017, Call 5/1/2017 (8)		2,800,000		2,794,904

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

55

February 28, 2017 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund** (continued) 

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
Metropolitan Transportation Authority, AGM, 1.138%, 5/15/2018, Call 11/15/2017 (8)	$	4,000,000	$	4,001,560
New York City Transitional Finance Authority, 5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,634,829
New York State Dormitory Authority, 5.000%, 3/15/2027, Call 3/15/2022		7,555,000		8,642,844
New York State Energy Research & Development Authority, NATL-RE, 1.120%, 12/1/2020, Call 3/7/2017 (8)(14)		6,450,000		6,212,853
New York Transportation Development Corp.:
4.000%, 7/1/2031, Call 7/1/2024 (16)		2,000,000		1,992,340
5.000%, 7/1/2034, Call 7/1/2024 (16)		1,250,000		1,354,237
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (16)		2,500,000		2,514,100
Other securities				39,638,295
				73,785,962
North Carolina — 0.8%
Other securities				12,203,251
North Dakota — 1.4%
North Dakota Public Finance Authority:
4.000%, 6/1/2023		2,440,000		2,709,937
4.000%, 6/1/2024, Call 6/1/2023		2,190,000		2,408,014
4.000%, 6/1/2025, Call 6/1/2023		1,145,000		1,252,710
Williston Parks & Recreation District:
3.000%, 3/1/2017		420,000		420,000
4.500%, 3/1/2020		1,205,000		1,241,740
4.500%, 3/1/2025, Call 3/1/2021		2,525,000		2,563,708
4.625%, 3/1/2026, Call 3/1/2021		2,620,000		2,661,501
Other securities				9,112,871
				22,370,481
Ohio — 4.1%
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021		2,320,000		2,572,462
5.000%, 1/1/2031, Call 1/1/2022		1,270,000		1,398,918
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022		3,900,000		4,321,941
5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,101,510
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022		480,000		526,099

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
4.000%, 12/1/2027, Call 12/1/2022	$	1,160,000	$	1,267,474
4.000%, 12/1/2028, Call 12/1/2022		1,130,000		1,233,429
4.000%, 12/1/2032, Call 12/1/2022		1,015,000		1,058,889
4.000%, 12/1/2033, Call 12/1/2022		1,550,000		1,611,225
4.000%, 12/1/2034, Call 12/1/2022		1,435,000		1,487,119
Other securities				48,259,070
				64,838,136
Oklahoma — 0.7%
Other securities				11,251,879
Oregon — 0.8%
Other securities				13,271,736
Pennsylvania — 2.2%
Pennsylvania Turnpike Commission:
1.620%, 12/1/2021, Call 6/1/2021 (8)		5,000,000		5,024,650
5.000%, 12/1/2030, Call 12/1/2020 (17)		215,000		243,978
5.000%, 12/1/2030, Call 12/1/2020 (17)		370,000		411,540
5.500%, 12/1/2042, Call 12/1/2026		3,000,000		3,417,150
6.000%, 12/1/2034, Call 12/1/2020 (17)		55,000		64,417
6.000%, 12/1/2034, Call 12/1/2020 (17)		70,000		81,985
6.000%, 12/1/2034, Call 12/1/2020 (17)		270,000		307,614
Other securities				25,925,144
				35,476,478
Puerto Rico — 0.0%
Other securities				464,667
Rhode Island — 1.1%
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (16)		300,000		301,935
3.950%, 12/1/2017		250,000		255,983
4.000%, 12/1/2022, Call 12/1/2021 (16)		2,885,000		3,024,634
4.200%, 12/1/2018, Call 12/1/2017		600,000		615,198
4.250%, 12/1/2020, Call 12/1/2017		500,000		508,410
4.250%, 12/1/2025, Call 12/1/2021 (16)		2,205,000		2,272,716
4.500%, 12/1/2021, Call 12/1/2017		1,000,000		1,017,380
4.750%, 12/1/2028, Call 12/1/2021 (16)		1,000,000		1,043,480
4.750%, 12/1/2029, Call 12/1/2021 (16)		680,000		701,209
Other securities				7,322,337
				17,063,282
South Carolina — 1.1%
Other securities				17,816,021

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

56

BMO Funds

Intermediate Tax-Free Fund** (continued) 

Description	Principal Amount		Value
Municipals (continued)
South Dakota — 1.1%
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	$	500,000	$	550,370
4.250%, 9/1/2023		740,000		818,588
4.500%, 9/1/2018		500,000		521,780
4.500%, 9/1/2020		900,000		978,120
4.500%, 9/1/2021, Call 9/1/2020		1,080,000		1,169,165
4.500%, 9/1/2022, Call 9/1/2020		1,005,000		1,079,179
5.000%, 9/1/2019		200,000		217,950
5.000%, 11/1/2022		715,000		830,916
5.000%, 8/1/2023		375,000		434,299
5.000%, 11/1/2023		625,000		733,288
5.000%, 8/1/2024		195,000		227,358
5.000%, 11/1/2024		650,000		767,604
5.000%, 11/1/2024, Call 11/1/2019		1,000,000		1,085,750
5.000%, 11/1/2025, Call 11/1/2024		600,000		688,644
5.000%, 11/1/2026, Call 11/1/2024		550,000		626,786
5.000%, 9/1/2027, Call 9/1/2024		720,000		811,375
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017		980,000		994,269
Other securities				4,640,831
				17,176,272
Tennessee — 1.6%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027		5,815,000		6,357,598
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023		5,310,000		5,988,459
5.250%, 9/1/2021		3,810,000		4,316,920
5.250%, 9/1/2022		250,000		286,750
Other securities				7,754,167
				24,703,894
Texas — 6.6%
Austin Community College District, 5.000%, 8/1/2031, Call 8/1/2025		5,250,000		6,063,278
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022		1,000,000		1,144,230
5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,583,150
5.000%, 11/1/2033, Call 11/1/2023		2,000,000		2,259,140
5.250%, 11/1/2033, Call 11/1/2023		1,200,000		1,394,892
Harris County Cultural Education Facilities Finance Corp.:
1.390%, 6/1/2020 (8)		2,000,000		2,006,740
1.470%, 6/1/2021 (8)		2,400,000		2,408,472
5.250%, 10/1/2029, Call 10/1/2019		1,550,000		1,696,010

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
North Texas Tollway Authority:
1.440%, 1/1/2019, Call 7/1/2018 (8)	$	1,750,000	$	1,753,063
5.000%, 1/1/2027, Call 1/1/2025		2,090,000		2,430,252
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019		1,725,000		1,872,677
North Texas Tollway Authority, BHAC:
5.125%, 1/1/2028, Call 1/1/2018		435,000		450,338
5.125%, 1/1/2028, Call 1/1/2018		65,000		67,066
Other securities				76,172,095
				105,301,403
Utah — 0.8%
Other securities				13,393,981
Vermont — 0.1%
Other securities				1,578,037
Virgin Islands — 0.2%
Other securities				3,569,598
Virginia — 0.4%
Other securities				6,951,713
Washington — 1.9%
Other securities				30,706,840
West Virginia — 0.4%
Other securities				5,983,173
Wisconsin — 3.5%
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026		2,200,000		1,088,032
0.000%, 12/15/2034, Call 6/15/2026		6,665,000		3,101,691
Wisconsin Center District, AGM:
5.250%, 12/15/2023		520,000		597,184
5.250%, 12/15/2027		1,930,000		2,264,411
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021		20,000		21,534
4.750%, 10/15/2029, Call 10/15/2021		605,000		651,391
5.000%, 8/15/2018		1,000,000		1,056,240
5.000%, 6/1/2019		430,000		444,177
5.000%, 7/1/2019		990,000		1,060,003
5.000%, 8/15/2019		250,000		269,463
5.000%, 8/15/2019		955,000		1,041,380
5.000%, 8/15/2020		1,060,000		1,188,461
5.000%, 8/15/2021		1,160,000		1,329,824
5.000%, 10/1/2022		750,000		870,330
5.000%, 6/1/2026, Call 6/1/2020		135,000		151,182
5.000%, 8/15/2027, Call 8/15/2022		500,000		585,820
5.000%, 8/15/2029, Call 8/15/2022		1,700,000		1,991,788
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		5,022,658
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,072,730

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

57

February 28, 2017 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund** (continued) 

Description	Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
5.000%, 8/15/2032, Call 8/15/2022	$	5,000,000	$	5,858,200
5.250%, 6/1/2034, Call 6/1/2020		300,000		326,229
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,786,232
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		4,027,481
Other securities				20,678,363
				56,484,804
Wyoming — 0.1%
Other securities				1,621,935
Total Municipals (identified cost $1,533,521,588)				1,572,779,819
Mutual Funds — 1.0%
Other securities (4)				16,131,470
Short-Term Investments — 0.0%
Mutual Funds — 0.0%
Other securities (4)				38,819
Total Short-Term Investments (identified cost $38,819)				38,819
Total Investments — 99.2% (identified cost $1,549,250,504)				1,588,950,108
Other Assets and Liabilities — 0.8%				12,352,194
Total Net Assets — 100.0%			$	1,601,302,302

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—23.1%
School District		13.4	%
State or Local		9.7
Revenue Bonds—75.1%
Appropriation		18.9
Education		8.0
General Revenue		1.0
Healthcare		16.9
Housing		4.3
Industrial Revenue		0.4
Power		2.8
Special Tax		2.1
Student Loan		0.7
Tobacco		0.8
Transportation		10.8
Water & Sewer		8.4
Other Assets & Liabilities, Net		1.8
Total		100.0	%

Mortgage Income Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.3%
Federal Home Loan Mortgage Corporation — 0.3%
1.038%, 8/25/2031, (Series T-32) (8)	$	273,719	$	268,490
Total Asset-Backed Securities (identified cost $273,719)				268,490
Collateralized Mortgage Obligations — 10.4%
Federal National Mortgage Association — 0.7%
1.178%, 4/25/2034, (Series 2004-25) (8)		238,913		239,214
4.000%, 3/25/2041, (Series 2012-21)		370,076		389,323
				628,537
Government National Mortgage Association — 0.4%
4.500%, 8/20/2028, (Series 2009-116)		347,341		350,858
Private Sponsor — 9.3%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034		940,241		971,460
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		348,058		368,614
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 4.096%, 7/25/2037 (8)		567,551		514,960
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		695,680		718,692
ChaseFlex Trust, Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		150,993		142,603
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		174,289		173,866
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.109%, 11/25/2034 (8)		821,325		834,346
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		851,032		763,718
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		762,125		722,601
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 3.538%, 12/25/2034 (8)		717,044		681,094
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		447,960		449,289
Class A1, (Series 2006-AR19), 3.033%, 12/25/2036 (8)		917,950		848,999
Class A1, (Series 2007-15), 6.000%, 11/25/2037		871,739		865,823
Class A8, (Series 2007-11), 6.000%, 8/25/2037		643,599		637,257
				8,693,322
Total Collateralized Mortgage Obligations (identified cost $9,639,473)				9,672,717

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

58

BMO Funds

Mortgage Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities — 11.7%
Private Sponsor — 11.7%
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (8)	$	1,000,000	$	1,027,502
FREMF Mortgage Trust:
Class B, (Series 2012-K19), 4.033%, 5/25/2045 (6)(8)		2,000,000		2,103,788
Class B, (Series 2014-K37), 4.558%, 1/25/2047 (6)(8)		2,000,000		2,136,890
Class C, (Series 2012-K21), 3.938%, 7/25/2045 (6)(8)		1,500,000		1,507,530
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (8)		2,000,000		2,100,430
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (6)(8)		2,000,000		2,047,328
Total Commercial Mortgage Securities (identified cost $10,650,339)				10,923,468
U.S. Government Agency-Mortgage Securities — 76.3%
Federal Home Loan Mortgage Corporation — 18.9%
2.500%, 4/1/2028		1,763,183		1,789,550
3.000%, 2/1/2029		1,361,255		1,402,548
3.500%, 4/1/2042		88,443		91,204
3.500%, 9/1/2044		3,550,905		3,647,184
4.000%, 10/1/2031		1,558,885		1,656,600
4.000%, 12/1/2040		444,084		470,496
4.000%, 2/1/2044		2,841,532		3,015,487
4.000%, 11/1/2045		1,559,017		1,640,901
4.500%, 9/1/2031		460,874		497,339
4.500%, 7/1/2040		33,309		36,015
4.500%, 11/1/2040		900,407		974,460
4.500%, 2/1/2041		1,301,791		1,404,480
5.000%, 12/1/2022		140,404		148,534
5.000%, 1/1/2040		287,574		317,891
5.500%, 11/1/2018		52,569		53,364
5.500%, 10/1/2021		144,553		153,088
5.500%, 7/1/2035		53,894		60,732
6.000%, 12/1/2036		28,861		32,868
6.000%, 12/1/2037		27,510		31,442
7.500%, 4/1/2024		37,994		42,731
7.500%, 4/1/2027		22,037		25,622
8.000%, 8/1/2030		22,303		27,431
8.500%, 9/1/2024		19,946		22,502
9.000%, 6/1/2019		2,619		2,642
9.500%, 2/1/2025		7,457		7,554
				17,552,665
Federal National Mortgage Association — 52.7%
2.500%, 9/1/2029		1,896,931		1,904,259
2.500%, 5/1/2031		2,744,531		2,755,133
2.500%, 11/1/2031		1,946,794		1,954,315
3.000%, 8/1/2032		241,688		246,665
3.000%, 5/1/2043		1,783,248		1,776,946
3.000%, 5/1/2043		2,101,031		2,093,606
3.000%, 8/1/2043		1,573,321		1,567,761
3.000%, 7/1/2045		2,662,940		2,654,826
3.000%, 10/1/2046		1,471,809		1,464,014
3.500%, 7/1/2032		473,377		493,964
3.500%, 10/1/2042		2,107,943		2,172,558
3.500%, 5/1/2043		2,825,270		2,920,193

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
3.500%, 9/1/2043	$	2,246,452	$	2,322,164
3.500%, 2/1/2045		2,564,795		2,638,940
3.500%, 4/1/2045		1,456,353		1,495,007
3.500%, 5/1/2045		980,156		1,006,172
3.500%, 11/1/2045		2,580,358		2,648,846
4.000%, 11/1/2031		896,321		951,314
4.000%, 2/1/2041		1,472,534		1,555,241
4.000%, 3/1/2041		308,903		327,496
4.000%, 9/1/2043		1,242,546		1,317,079
4.000%, 5/1/2044		2,194,274		2,308,796
4.500%, 12/1/2040		1,115,548		1,203,637
4.500%, 4/1/2041		2,495,622		2,695,082
4.500%, 6/1/2042		1,072,736		1,161,768
5.000%, 5/1/2018		61,720		63,237
5.000%, 5/1/2042		1,185,998		1,303,444
5.500%, 1/1/2023		155,518		172,996
5.500%, 10/1/2024		253,827		282,377
5.500%, 2/1/2036		189,256		212,460
5.500%, 7/1/2036		400,194		449,598
5.500%, 8/1/2037		735,368		825,672
6.000%, 9/1/2021		192,063		204,356
6.000%, 5/1/2039		667,118		763,958
6.500%, 8/1/2030		394,363		444,469
6.500%, 12/1/2031		24,408		28,136
6.500%, 11/1/2037		88,485		98,450
7.000%, 3/1/2029		51,937		60,604
7.000%, 7/1/2029		153,593		176,730
7.000%, 2/1/2030		101,901		114,475
7.500%, 10/1/2030		23,190		26,089
8.000%, 10/1/2028		170,512		186,428
8.000%, 4/1/2030		42,248		50,254
				49,099,515
Government National Mortgage Association — 4.7%
3.000%, 2/20/2045		2,222,859		2,256,473
5.000%, 4/15/2034		305,856		339,814
5.500%, 9/15/2033		732,053		827,382
6.000%, 12/20/2033		777,459		905,785
7.000%, 8/15/2031		39,439		45,342
9.500%, 10/15/2024		5,837		5,869
				4,380,665
Total U.S. Government Agency-Mortgage Securities (identified cost $70,447,236)				71,032,845
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Government Money Market Fund — Premier Class, 0.370% (4)		1,032,709		1,032,709
Total Short-Term Investments (identified cost $1,032,709)				1,032,709
Total Investments — 99.8% (identified cost $92,043,476)				92,930,229
Other Assets and Liabilities — 0.2%				182,998
Total Net Assets — 100.0%			$	93,113,227

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

59

February 28, 2017 (Unaudited)

Schedules of Investments

Mortgage Income Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		0.3	%
Collateralized Mortgage Obligations		10.4
Commercial Mortgage Securities		11.7
U.S. Government Agency—Mortgage Securities		76.3
Other Assets & Liabilities, Net		1.3
Total		100.0	%

TCH Intermediate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 50.4%
Auto Manufacturers — 5.3%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (6)	$	700,000	$	682,835
Ford Motor Credit Co. LLC, 1.964%, 11/4/2019 (8)		2,000,000		2,008,750
General Motors Financial Co., Inc., 3.700%, 5/9/2023 (1)		500,000		505,630
Hyundai Capital America, 4.000%, 6/8/2017 (6)		1,000,000		1,006,152
				4,203,367
Banks — 13.1%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (1)(6)		500,000		518,790
Banco Santander Chile, 1.915%, 4/11/2017 (6)(8)		1,000,000		1,000,136
Canadian Imperial Bank of Commerce, 1.466%, 9/6/2019 (8)		800,000		802,748
Capital One Financial Corp., 4.200%, 10/29/2025 (1)		750,000		763,873
Goldman Sachs Group, Inc., 2.239%, 4/30/2018 (8)		2,000,000		2,021,228
HSBC Holdings PLC:
2.712%, 5/25/2021 (8)		900,000		930,372
4.250%, 3/14/2024		1,000,000		1,019,548
Morgan Stanley:
1.739%, 1/5/2018 (8)		1,000,000		1,004,230
1.781%, 7/23/2019 (8)		1,500,000		1,510,886
Westpac Banking Corp., 1.612%, 8/19/2019 (8)		750,000		753,704
				10,325,515
Beverages — 0.9%
Molson Coors Brewing Co., 3.000%, 7/15/2026 (1)		750,000		717,258
Chemicals — 1.0%
CF Industries, Inc., 3.450%, 6/1/2023 (1)		800,000		747,000
Computers — 3.6%
Apple, Inc., 1.285%, 5/3/2018 (1)(8)		2,000,000		2,006,094
Diamond 1 Finance Corp., 5.450%, 6/15/2023 (1)(6)		750,000		811,568
				2,817,662
Diversified Financial Services — 3.9%
American Express Credit Corp., 1.529%, 8/15/2019 (8)		2,000,000		2,002,266

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Discover Financial Services, 4.100%, 2/9/2027	$	500,000	$	504,699
Jefferies Group LLC, 5.125%, 1/20/2023		500,000		533,129
				3,040,094
Food — 1.9%
Kellogg Co., 2.650%, 12/1/2023 (1)		750,000		735,058
Mondelez International Holdings Netherlands BV, 1.649%, 10/28/2019 (6)(8)		750,000		753,074
				1,488,132
Forest Products & Paper — 0.6%
International Paper Co., 3.000%, 2/15/2027		500,000		474,471
Healthcare-Products — 0.9%
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025		750,000		744,843
Holding Companies-Diversified — 0.7%
Leucadia National Corp., 5.500%, 10/18/2023 (1)		500,000		532,864
Insurance — 3.2%
Berkshire Hathaway Finance Corp., 1.498%, 3/7/2018 (8)		1,800,000		1,810,836
Voya Financial, Inc., 3.650%, 6/15/2026		750,000		741,572
				2,552,408
Mining — 1.8%
Barrick Gold Corp., 4.100%, 5/1/2023 (1)		500,000		537,608
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		500,000		527,828
Teck Resources, Ltd., 3.750%, 2/1/2023 (1)		350,000		342,493
				1,407,929
Miscellaneous Manufacturing — 1.0%
Trinity Industries, Inc., 4.550%, 10/1/2024 (1)		800,000		804,739
Oil & Gas — 4.4%
Ensco PLC, 4.500%, 10/1/2024		1,000,000		862,500
Petrobras Global Finance BV, 5.750%, 1/20/2020		1,000,000		1,051,500
Petroleos Mexicanos, 5.375%, 3/13/2022 (6)		750,000		785,400
Rowan Cos., Inc., 4.875%, 6/1/2022 (1)		750,000		720,000
				3,419,400
Pipelines — 1.3%
Energy Transfer Partners LP, 4.150%, 10/1/2020 (1)		1,000,000		1,042,281
Real Estate Investment Trusts — 3.0%
EPR Properties, 5.250%, 7/15/2023		1,250,000		1,320,151
Senior Housing Properties Trust, 4.750%, 5/1/2024		1,000,000		1,023,026
				2,343,177
Retail — 1.0%
Walgreens Boots Alliance, Inc., 3.100%, 6/1/2023 (1)		750,000		751,916

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

60

BMO Funds

TCH Intermediate Income Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Semiconductors — 0.9%
Micron Technology, Inc., 5.500%, 2/1/2025 (1)	$	650,000	$	674,375
Telecommunications — 0.6%
Motorola Solutions, Inc., 4.000%, 9/1/2024 (1)		500,000		501,903
Transportation — 1.3%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (6)		1,000,000		1,041,006
Total Corporate Bonds & Notes (identified cost $38,882,079)				39,630,340
U.S. Government & U.S. Government Agency Obligations — 12.4%
U.S. Treasury Bonds & Notes — 12.4%
0.125%, 4/15/2020 (1)		4,639,275		4,728,168
3.125%, 4/30/2017 (1)		5,000,000		5,021,945
Total U.S. Government & U.S. Government Agency Obligations (identified cost $9,623,064)				9,750,113
U.S. Government Agency-Mortgage Securities — 22.6%
Federal Home Loan Mortgage Corporation — 10.7%
3.000%, 9/1/2045		1,721,589		1,710,877
3.500%, 10/1/2043		2,348,532		2,419,364
3.500%, 2/1/2044		2,249,939		2,317,723
4.000%, 4/1/2044		1,863,588		1,961,963
				8,409,927
Federal National Mortgage Association — 11.9%
3.000%, 5/1/2043		1,359,525		1,354,721
3.000%, 9/1/2044		1,966,503		1,958,027
3.000%, 6/1/2045		2,089,390		2,078,325
3.000%, 7/1/2045		2,611,289		2,597,459
3.500%, 4/1/2045		1,336,819		1,372,301
				9,360,833
Total U.S. Government Agency-Mortgage Securities (identified cost $17,731,592)				17,770,760
Short-Term Investments — 29.2%
Collateral Pool Investments for Securities on Loan — 21.7%
Collateral pool allocation (3)				17,059,991
Mutual Funds — 7.5%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		5,896,967		5,898,146
Total Short-Term Investments (identified cost $22,957,726)				22,958,137
Total Investments — 114.6% (identified cost $89,194,461)				90,109,350
Other Assets and Liabilities — (14.6)%				(11,507,432	)
Total Net Assets — 100.0%			$	78,601,918

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		50.4	%
U.S. Government & U.S. Government Agency Obligations		12.4
U.S. Government Agency—Mortgage Securities		22.6
Other Assets & Liabilities, Net		14.6
Total		100.0	%

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 90.4%
Aerospace/Defense — 1.1%
Lockheed Martin Corp., 2.500%, 11/23/2020 (1)	$	2,500,000	$	2,527,452
Agriculture — 1.9%
Philip Morris International, Inc.:
2.000%, 2/21/2020		2,000,000		1,995,896
2.900%, 11/15/2021 (1)		1,000,000		1,015,797
Reynolds American, Inc., 2.300%, 6/12/2018 (1)		1,500,000		1,510,962
				4,522,655
Apparel — 0.9%
Ralph Lauren Corp., 2.125%, 9/26/2018		2,000,000		2,017,196
Auto Manufacturers — 2.6%
Daimler Finance North America LLC:
1.635%, 1/6/2020 (6)(8)		1,000,000		1,005,019
2.000%, 7/6/2021 (6)		2,500,000		2,438,697
Ford Motor Credit Co. LLC, 1.964%, 11/4/2019 (8)		1,500,000		1,506,563
General Motors Financial Co., Inc., 4.000%, 1/15/2025		1,000,000		1,009,246
				5,959,525
Banks — 12.5%
Banco Santander Chile, 1.915%, 4/11/2017 (6)(8)		1,000,000		1,000,136
Bank of America Corp.:
1.868%, 4/1/2019 (8)		1,000,000		1,009,736
2.063%, 1/15/2019 (8)		2,000,000		2,023,450
Canadian Imperial Bank of Commerce, 1.466%, 9/6/2019 (8)		2,000,000		2,006,870
Citigroup, Inc.:
1.493%, 3/10/2017 (8)		750,000		750,107
2.361%, 9/1/2023 (1)(8)		2,000,000		2,057,434
Goldman Sachs Group, Inc.:
2.139%, 11/15/2018 (8)		1,000,000		1,012,283
2.142%, 4/26/2022 (8)		1,000,000		1,009,350
2.239%, 4/30/2018 (8)		1,500,000		1,515,921
HSBC Holdings PLC, 2.712%, 5/25/2021 (8)		1,500,000		1,550,620
HSBC USA, Inc., 1.298%, 6/23/2017 (8)		1,500,000		1,501,449
JPMorgan Chase & Co.:
1.836%, 3/22/2019 (8)		2,000,000		2,017,478
2.244%, 10/29/2020 (8)		1,000,000		1,022,757
Mizuho Financial Group, Inc., 2.953%, 2/28/2022		1,500,000		1,502,760
Morgan Stanley, 1.781%, 7/23/2019 (8)		1,500,000		1,510,886
National City Bank, 1.318%, 6/7/2017 (8)		2,000,000		2,001,696
Toronto-Dominion Bank, 2.009%, 4/7/2021 (8)		2,000,000		2,032,566
U.S. Bank NA, 1.363%, 1/24/2020 (1)(8)		1,500,000		1,502,585
Wells Fargo Bank NA, 1.654%, 5/24/2019 (8)		1,000,000		1,003,707
Westpac Banking Corp., 1.612%, 8/19/2019 (8)		1,000,000		1,004,939
				29,036,730

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

61

February 28, 2017 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Beverages — 2.1%
Anheuser-Busch InBev Finance, Inc.:
2.294%, 2/1/2021 (8)	$	1,250,000	$	1,287,614
2.650%, 2/1/2021 (1)		1,500,000		1,518,115
PepsiCo, Inc., 1.209%, 4/30/2018 (8)		2,000,000		2,001,624
				4,807,353
Biotechnology — 1.4%
Amgen, Inc.:
1.430%, 5/22/2017 (8)		2,000,000		2,001,258
2.200%, 5/22/2019 (1)		1,300,000		1,312,810
				3,314,068
Chemicals — 2.1%
Braskem America Finance Co., 7.125%, 7/22/2041 (6)		1,000,000		1,058,100
CF Industries, Inc., 5.375%, 3/15/2044		2,000,000		1,785,000
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (6)		500,000		476,250
6.750%, 9/19/2042 (6)		1,500,000		1,554,375
				4,873,725
Commercial Services — 0.3%
ADT Corp.:
4.125%, 6/15/2023		500,000		483,750
4.875%, 7/15/2032 (6)		250,000		202,500
				686,250
Computers — 4.5%
Apple, Inc., 2.250%, 2/23/2021		2,000,000		2,009,350
Diamond 1 Finance Corp., 8.350%, 7/15/2046 (1)(6)		2,000,000		2,616,442
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		1,000,000		1,042,315
International Business Machines Corp., 1.267%, 1/27/2020 (8)		2,500,000		2,504,632
Seagate HDD Cayman, 5.750%, 12/1/2034		2,500,000		2,239,375
				10,412,114
Diversified Financial Services — 4.2%
AerCap Ireland Capital, Ltd., 3.950%, 2/1/2022 (1)		2,000,000		2,074,760
American Express Credit Corp., 1.543%, 3/18/2019 (8)		1,500,000		1,505,223
Capital One Bank USA NA, 2.250%, 2/13/2019 (1)		1,200,000		1,206,312
Discover Financial Services, 4.100%, 2/9/2027		2,000,000		2,018,796
E*TRADE Financial Corp., 4.625%, 9/15/2023 (1)		1,000,000		1,035,949
Jefferies Group, LLC, 6.500%, 1/20/2043		500,000		529,279
Legg Mason, Inc., 4.750%, 3/15/2026		500,000		528,230
Mastercard, Inc., 2.000%, 11/21/2021 (1)		1,000,000		994,488
				9,893,037
Electric — 0.8%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (6)		2,000,000		1,973,000

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Food — 2.8%
Kraft Heinz Foods Co.:
2.800%, 7/2/2020 (1)	$	1,500,000	$	1,517,727
3.000%, 6/1/2026		2,000,000		1,892,386
Marfrig Holdings Europe BV, 8.000%, 6/8/2023 (6)		1,000,000		1,051,340
Mondelez International, Inc., 1.554%, 2/1/2019 (8)		2,000,000		2,005,642
				6,467,095
Forest Products & Paper — 0.8%
International Paper Co., 3.000%, 2/15/2027 (1)		2,000,000		1,897,884
Healthcare-Products — 4.2%
Abbott Laboratories:
4.750%, 11/30/2036		1,500,000		1,544,602
4.900%, 11/30/2046 (1)		2,000,000		2,087,506
Becton, Dickinson and Co., 2.675%, 12/15/2019 (1)		1,500,000		1,524,153
Medtronic, Inc., 1.763%, 3/15/2020 (8)		2,000,000		2,035,428
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023 (1)		1,000,000		990,278
Zimmer Biomet Holdings, Inc., 2.700%, 4/1/2020 (1)		1,500,000		1,511,111
				9,693,078
Healthcare-Services — 0.4%
Aetna, Inc., 2.400%, 6/15/2021 (1)		1,000,000		1,011,990
Holding Companies-Diversified — 0.2%
Leucadia National Corp., 6.625%, 10/23/2043 (1)		500,000		498,627
Insurance — 3.5%
Berkshire Hathaway Finance Corp.:
1.268%, 1/11/2019 (8)		1,000,000		1,003,656
1.498%, 3/7/2018 (1)(8)		2,000,000		2,012,040
Metropolitan Life Global Funding I, 1.423%, 12/19/2018 (6)(8)		2,000,000		2,008,714
Unum Group, 4.000%, 3/15/2024		2,000,000		2,042,538
Voya Financial, Inc., 4.800%, 6/15/2046		1,000,000		1,000,128
				8,067,076
Internet — 2.4%
Amazon.com, Inc., 2.500%, 11/29/2022 (1)		2,500,000		2,490,385
eBay, Inc.:
2.500%, 3/9/2018		1,750,000		1,765,675
4.000%, 7/15/2042		1,500,000		1,300,032
				5,556,092
Iron/Steel — 1.6%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (6)		2,500,000		2,500,000
Vale Overseas, Ltd., 8.250%, 1/17/2034		1,000,000		1,202,120
				3,702,120
Lodging — 0.5%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,100,679
Media — 2.7%
Charter Communications Operating LLC, 6.484%, 10/23/2045 (1)		3,000,000		3,494,160
Scripps Networks Interactive, Inc., 2.750%, 11/15/2019		1,000,000		1,014,549

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

62

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
Viacom, Inc.:
4.375%, 3/15/2043	$	1,050,000	$	924,775
4.850%, 12/15/2034 (1)		1,000,000		976,585
				6,410,069
Mining — 0.4%
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		1,000,000		1,055,655
Oil & Gas — 5.7%
BP Capital Markets PLC, 1.840%, 9/16/2021 (8)		2,000,000		2,025,458
Chevron Corp., 1.303%, 3/3/2020 (8)(9)		3,000,000		3,000,000
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,028,800
7.375%, 9/18/2043 (1)		1,500,000		1,610,250
Ensco PLC, 5.200%, 3/15/2025 (1)		1,000,000		890,000
Exxon Mobil Corp., 1.654%, 2/28/2018 (8)		2,000,000		2,012,408
Petroleos Mexicanos, 5.625%, 1/23/2046		2,000,000		1,745,100
Transocean, Inc., 9.100%, 12/15/2041		1,000,000		992,500
				13,304,516
Pharmaceuticals — 6.6%
Actavis Funding SCS, 4.550%, 3/15/2035		500,000		505,292
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,431,345
Express Scripts Holding Co., 4.800%, 7/15/2046		1,500,000		1,466,097
Johnson & Johnson, 1.201%, 3/1/2019 (8)		2,000,000		2,007,218
Merck & Co., Inc., 2.350%, 2/10/2022 (1)		2,500,000		2,502,197
Novartis Capital Corp., 2.400%, 5/17/2022		1,000,000		999,269
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		1,500,000		1,525,209
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021 (1)		1,000,000		981,251
2.875%, 9/23/2023		2,000,000		1,942,440
Zoetis, Inc., 3.250%, 2/1/2023		1,000,000		1,013,515
				15,373,833
Pipelines — 3.0%
Energy Transfer Partners LP:
5.150%, 3/15/2045		2,000,000		1,956,776
6.500%, 2/1/2042 (1)		1,500,000		1,698,679
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040		250,000		309,639
Kinder Morgan, Inc., 5.300%, 12/1/2034 (1)		3,000,000		3,099,873
				7,064,967
Real Estate Investment Trusts — 2.0%
EPR Properties:
5.250%, 7/15/2023		1,000,000		1,056,121
5.750%, 8/15/2022		1,500,000		1,640,163
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		500,000		516,719
4.500%, 3/15/2025		1,500,000		1,495,555
				4,708,558

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail — 3.9%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044 (1)	$	500,000	$	455,260
CVS Health Corp.:
2.125%, 6/1/2021 (1)		2,000,000		1,965,478
2.250%, 12/5/2018		1,250,000		1,262,870
L Brands, Inc.:
6.950%, 3/1/2033		600,000		578,250
7.600%, 7/15/2037		500,000		502,500
Lowe’s Cos., Inc., 1.559%, 9/14/2018 (8)		2,000,000		2,015,530
McDonald’s Corp.:
2.100%, 12/7/2018		750,000		756,102
2.750%, 12/9/2020 (1)		1,500,000		1,527,624
				9,063,614
Semiconductors — 0.7%
QUALCOMM, Inc., 4.800%, 5/20/2045		1,500,000		1,576,472
Software — 2.8%
Electronic Arts, Inc., 3.700%, 3/1/2021		1,250,000		1,299,847
Microsoft Corp.:
2.000%, 8/8/2023 (1)		1,750,000		1,685,029
2.875%, 2/6/2024		500,000		503,904
Oracle Corp.:
1.519%, 10/8/2019 (8)		2,000,000		2,020,430
2.400%, 9/15/2023		1,000,000		979,075
				6,488,285
Sovereign — 0.9%
Costa Rica Government International Bond, 7.158%, 3/12/2045 (6)		2,000,000		1,996,360
Telecommunications — 9.0%
AT&T, Inc.:
1.962%, 11/27/2018 (8)		1,235,000		1,245,683
5.150%, 3/15/2042		2,000,000		1,986,478
CenturyLink, Inc.:
7.600%, 9/15/2039		550,000		507,100
7.650%, 3/15/2042		2,000,000		1,840,000
Cisco Systems, Inc.:
1.222%, 3/3/2017 (8)		2,500,000		2,500,000
1.337%, 9/20/2019 (8)		2,000,000		2,012,054
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		796,000
Frontier Communications Corp.:
8.750%, 4/15/2022		1,000,000		1,005,000
9.000%, 8/15/2031		2,500,000		2,231,250
Motorola Solutions, Inc., 5.500%, 9/1/2044		1,000,000		979,451
T-Mobile USA, Inc., 6.500%, 1/15/2026 (1)		1,000,000		1,101,250
Telecom Italia Capital SA:
6.375%, 11/15/2033		500,000		507,500
7.200%, 7/18/2036		1,500,000		1,596,000
Verizon Communications, Inc., 2.709%, 9/14/2018 (8)		2,500,000		2,560,255
				20,868,021
Toys/Games/Hobbies — 0.8%
Mattel, Inc., 2.350%, 8/15/2021 (1)		2,000,000		1,956,824
Transportation — 0.2%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		533,290

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

63

February 28, 2017 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Trucking & Leasing — 0.9%
Penske Truck Leasing Co. Lp, 3.300%, 4/1/2021 (1)(6)	$	2,000,000	$	2,035,486
Total Corporate Bonds & Notes (identified cost $208,210,415)				210,453,696
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		575,335
Total Municipals (identified cost $500,000)				575,335
U.S. Government & U.S. Government Agency Obligations — 3.3%
U.S. Treasury Bonds & Notes — 3.3%
2.000%, 11/30/2022		3,000,000		2,992,266
2.000%, 8/15/2025 (1)		2,500,000		2,437,305
2.500%, 2/15/2045 (1)		2,500,000		2,267,675
Total U.S. Government & U.S. Government Agency Obligations (identified cost $8,043,503)				7,697,246
Short-Term Investments — 26.9%
Collateral Pool Investments for Securities on Loan — 19.7%
Collateral pool allocation (3)				45,959,544
Commercial Paper — 0.9%
Colgate Palmolive Co., 0.446%, 3/2/2017 (13)		2,000,000		1,999,934
Mutual Funds — 6.3%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		14,611,090		14,614,012
Total Short-Term Investments (identified cost $62,572,325)				62,573,490
Total Investments — 120.8% (identified cost $279,326,243)				281,299,767
Other Assets and Liabilities — (20.8)%				(48,372,711	)
Total Net Assets — 100.0%			$	232,927,056

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		90.4	%
Municipals		0.2
U.S. Government & U.S. Government Agency Obligations		3.3
Other Assets & Liabilities, Net		6.1
Total		100.0	%

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Commercial Mortgage Securities — 0.0%
Private Sponsor — 0.0%
Bear Stearns Commercial Mortgage Securities, Class A4, (Series 2007-T28), 5.742%, 9/11/2042 (8)	$	263,811	$	266,791
Total Commercial Mortgage Securities (identified cost $180,919)				266,791
Corporate Bonds & Notes — 43.2%
Apparel — 0.4%
Ralph Lauren Corp., 2.125%, 9/26/2018		4,000,000		4,034,392
Auto Manufacturers — 2.6%
Daimler Finance North America LLC, 1.635%, 1/6/2020 (6)(8)		10,000,000		10,050,190
Ford Motor Credit Co. LLC:
1.949%, 1/9/2018 (8)		7,000,000		7,030,751
1.964%, 11/4/2019 (8)		4,000,000		4,017,500
General Motors Financial Co., Inc., 4.000%, 1/15/2025 (1)		5,000,000		5,046,230
				26,144,671
Banks — 9.4%
BB&T Corp., 1.567%, 6/15/2020 (8)		3,000,000		3,005,616
Canadian Imperial Bank of Commerce, 1.466%, 9/6/2019 (8)		5,000,000		5,017,175
Citigroup, Inc.:
1.727%, 4/27/2018 (1)(8)		8,000,000		8,036,880
1.878%, 6/7/2019 (1)(8)		5,000,000		5,035,950
2.021%, 12/8/2021 (1)(8)		1,250,000		1,263,571
2.361%, 9/1/2023 (1)(8)		5,000,000		5,143,585
Goldman Sachs Group, Inc.:
2.139%, 11/15/2018 (8)		5,000,000		5,061,415
2.142%, 4/26/2022 (1)(8)		5,000,000		5,046,750
2.201%, 4/23/2020 (8)		8,000,000		8,131,032
2.239%, 4/30/2018 (8)		5,000,000		5,053,070
HSBC Holdings PLC, 2.712%, 5/25/2021 (8)		5,000,000		5,168,735
HSBC USA, Inc., 1.298%, 6/23/2017 (8)		4,000,000		4,003,864
JPMorgan Chase & Co.:
1.836%, 3/22/2019 (8)		3,500,000		3,530,587
2.048%, 6/7/2021 (8)		5,000,000		5,066,730
2.244%, 10/29/2020 (8)		4,000,000		4,091,028
Morgan Stanley, 1.739%, 1/5/2018 (8)		3,000,000		3,012,690
Toronto-Dominion Bank, 2.009%, 4/7/2021 (1)(8)		4,500,000		4,573,273
U.S. Bank NA, 1.363%, 1/24/2020 (1)(8)		4,000,000		4,006,892
Wells Fargo Bank NA, 1.654%, 5/24/2019 (8)		3,000,000		3,011,121
Westpac Banking Corp., 1.612%, 8/19/2019 (8)		5,000,000		5,024,695
				92,284,659
Beverages — 0.8%
Anheuser-Busch InBev Finance, Inc., 2.294%, 2/1/2021 (1)(8)		3,000,000		3,090,273

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

64

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Beverages (continued)
PepsiCo, Inc., 1.209%, 4/30/2018 (8)	$	5,000,000	$	5,004,060
				8,094,333
Chemicals — 1.6%
Braskem America Finance Co., 7.125%, 7/22/2041 (6)		1,000,000		1,058,100
CF Industries, Inc., 5.150%, 3/15/2034 (1)		6,500,000		6,211,562
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (6)		2,000,000		1,905,000
6.750%, 9/19/2042 (6)		6,400,000		6,632,000
				15,806,662
Computers — 3.3%
Diamond 1 Finance Corp., 8.350%, 7/15/2046 (1)(6)		5,500,000		7,195,215
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		2,000,000		2,084,630
International Business Machines Corp.:
1.267%, 1/27/2020 (1)(8)		11,000,000		11,020,383
1.502%, 8/18/2017 (1)(8)		6,750,000		6,764,884
Seagate HDD Cayman:
4.875%, 6/1/2027		2,000,000		1,868,890
5.750%, 12/1/2034 (1)		3,500,000		3,135,125
				32,069,127
Diversified Financial Services — 1.9%
American Express Credit Corp.:
1.212%, 6/5/2017 (8)		7,500,000		7,505,468
1.649%, 7/31/2018 (1)(8)		3,000,000		3,012,156
1.814%, 11/5/2018 (8)		5,000,000		5,044,445
Jefferies Group, LLC, 6.500%, 1/20/2043 (1)		1,000,000		1,058,559
Legg Mason, Inc., 4.750%, 3/15/2026 (1)		1,950,000		2,060,095
				18,680,723
Electric — 0.4%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (1)(6)		4,000,000		3,946,000
Food — 1.2%
Kraft Heinz Foods Co., 3.000%, 6/1/2026 (1)		3,000,000		2,838,579
Marfrig Holdings Europe BV, 8.000%, 6/8/2023 (6)		2,000,000		2,102,680
Mondelez International Holdings Netherlands BV, 1.649%, 10/28/2019 (6)(8)		7,000,000		7,028,693
				11,969,952
Healthcare-Products — 1.4%
Abbott Laboratories, 4.750%, 11/30/2036		6,500,000		6,693,278
Medtronic, Inc., 1.763%, 3/15/2020 (1)(8)		7,000,000		7,123,998
				13,817,276
Holding Companies-Diversified — 0.1%
Leucadia National Corp., 6.625%, 10/23/2043		500,000		498,627

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Insurance — 1.5%
Berkshire Hathaway Finance Corp., 1.268%, 1/11/2019 (8)	$	5,000,000	$	5,018,280
Berkshire Hathaway, Inc., 3.125%, 3/15/2026 (1)		2,000,000		2,011,788
Metropolitan Life Global Funding I, 1.423%, 12/19/2018 (6)(8)		6,500,000		6,528,320
Voya Financial, Inc., 4.800%, 6/15/2046		1,000,000		1,000,128
				14,558,516
Internet — 0.3%
eBay, Inc., 4.000%, 7/15/2042		4,000,000		3,466,752
Iron/Steel — 1.2%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (1)(6)		6,500,000		6,500,000
Vale Overseas, Ltd.:
6.875%, 11/21/2036 (1)		3,000,000		3,292,500
8.250%, 1/17/2034		1,500,000		1,803,180
				11,595,680
Media — 0.8%
Charter Communications Operating LLC, 4.464%, 7/23/2022 (1)		1,000,000		1,050,728
Viacom, Inc., 4.375%, 3/15/2043 (1)		6,500,000		5,724,797
Walt Disney Co., 1.364%, 5/30/2019 (8)		1,000,000		1,003,473
				7,778,998
Mining — 0.1%
Glencore Funding LLC, 4.625%, 4/29/2024 (6)		1,000,000		1,055,655
Oil & Gas — 3.5%
BP Capital Markets PLC, 1.840%, 9/16/2021 (1)(8)		7,000,000		7,089,103
Chevron Corp., 1.303%, 3/3/2020 (8)(9)		5,000,000		5,000,000
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,028,800
7.375%, 9/18/2043 (1)		6,000,000		6,441,000
Ensco PLC:
5.200%, 3/15/2025 (1)		4,500,000		4,005,000
5.750%, 10/1/2044 (1)		2,168,000		1,701,880
Exxon Mobil Corp., 1.654%, 2/28/2018 (8)		2,500,000		2,515,510
Petroleos Mexicanos:
5.625%, 1/23/2046 (1)		3,000,000		2,617,650
6.375%, 1/23/2045		2,500,000		2,391,250
Transocean, Inc., 9.100%, 12/15/2041 (1)		1,500,000		1,488,750
				34,278,943
Pharmaceuticals — 2.5%
Actavis Funding SCS, 4.550%, 3/15/2035 (1)		1,500,000		1,515,875
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,431,345
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		5,000,000		4,886,990
Merck & Co., Inc., 1.409%, 2/10/2020 (8)		6,000,000		6,051,540
Shire Acquisitions Investments Ireland DAC, 2.875%, 9/23/2023 (1)		7,000,000		6,798,540
Zoetis, Inc., 3.250%, 2/1/2023 (1)		2,500,000		2,533,787
				24,218,077

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

65

February 28, 2017 (Unaudited)

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 0.6%
Energy Transfer Partners LP:
5.150%, 3/15/2045 (1)	$	4,000,000	$	3,913,552
6.500%, 2/1/2042		1,000,000		1,132,453
ONEOK Partners LP, 4.900%, 3/15/2025 (1)		1,300,000		1,394,188
				6,440,193
Real Estate Investment Trusts — 1.3%
EPR Properties:
5.250%, 7/15/2023		5,000,000		5,280,605
5.750%, 8/15/2022		1,000,000		1,093,442
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		1,000,000		1,033,437
4.500%, 3/15/2025		2,500,000		2,492,593
Wellltower, Inc., 4.500%, 1/15/2024		2,500,000		2,653,472
				12,553,549
Retail — 0.7%
CVS Health Corp., 2.250%, 12/5/2018 (1)		1,500,000		1,515,444
L Brands, Inc.:
6.950%, 3/1/2033 (1)		2,500,000		2,409,375
7.600%, 7/15/2037 (1)		1,500,000		1,507,500
McDonald’s Corp., 2.100%, 12/7/2018		2,000,000		2,016,272
				7,448,591
Semiconductors — 1.1%
QUALCOMM, Inc.:
1.322%, 5/18/2018 (8)		7,000,000		6,999,895
4.800%, 5/20/2045 (1)		4,000,000		4,203,924
				11,203,819
Software — 0.8%
Oracle Corp.:
1.519%, 10/8/2019 (1)(8)		3,600,000		3,636,774
2.400%, 9/15/2023 (1)		4,000,000		3,916,300
				7,553,074
Sovereign — 0.6%
Costa Rica Government International Bond:
5.625%, 4/30/2043 (6)		5,000,000		4,301,200
7.000%, 4/4/2044 (6)		2,000,000		1,974,900
				6,276,100
Telecommunications — 5.0%
AT&T, Inc., 5.150%, 3/15/2042		4,000,000		3,972,956
CenturyLink, Inc.:
7.600%, 9/15/2039		4,000,000		3,688,000
7.650%, 3/15/2042 (1)		6,750,000		6,210,000
Cisco Systems, Inc.:
1.273%, 6/15/2018 (8)		5,000,000		5,020,790
1.337%, 9/20/2019 (8)		5,000,000		5,030,135
Frontier Communications Corp.:
7.125%, 1/15/2023 (1)		5,000,000		4,550,000
7.875%, 1/15/2027 (1)		2,500,000		2,087,500
8.750%, 4/15/2022 (1)		3,500,000		3,517,500
9.000%, 8/15/2031 (1)		500,000		446,250
Motorola Solutions, Inc., 5.500%, 9/1/2044		3,000,000		2,938,353
T-Mobile USA, Inc., 6.500%, 1/15/2026 (1)		1,500,000		1,651,875

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Verizon Communications, Inc., 2.709%, 9/14/2018 (8)	$	9,500,000	$	9,728,969
				48,842,328
Transportation — 0.1%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (6)		500,000		533,290
Total Corporate Bonds & Notes (identified cost $418,300,044)				425,149,987
Municipals — 0.1%
California — 0.1%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		345,201
Total Municipals (identified cost $300,000)				345,201
U.S. Government & U.S. Government Agency Obligations — 17.3%
U.S. Treasury Bonds & Notes — 17.3%
1.375%, 7/15/2018		2,798,975		2,910,791
1.750%, 1/15/2028 (1)		1,728,645		1,973,456
1.875%, 7/15/2019 (1)		5,653,600		6,048,069
2.000%, 7/31/2020 (1)		15,000,000		15,198,345
2.000%, 9/30/2020 (1)		5,000,000		5,063,670
2.000%, 11/30/2020 (1)		5,000,000		5,057,225
2.000%, 11/15/2021 (1)		10,000,000		10,058,790
2.000%, 2/15/2023 (1)		15,000,000		14,948,730
2.000%, 2/15/2025 (1)		5,000,000		4,895,410
2.000%, 8/15/2025 (1)		5,000,000		4,874,610
2.125%, 1/15/2019 (1)		5,060,250		5,362,504
2.125%, 8/15/2021 (1)		12,500,000		12,652,350
2.250%, 11/30/2017 (1)		2,500,000		2,526,562
2.250%, 7/31/2018 (1)		10,000,000		10,168,950
2.250%, 8/15/2046 (1)		10,000,000		8,552,740
2.375%, 5/31/2018 (1)		7,500,000		7,627,440
2.500%, 5/15/2024 (1)		5,000,000		5,097,755
2.500%, 2/15/2045 (1)		7,500,000		6,803,025
2.625%, 1/31/2018 (1)		15,000,000		15,233,490
2.750%, 2/28/2018 (1)		7,500,000		7,631,985
3.500%, 2/15/2018 (1)		17,500,000		17,927,595
Total U.S. Government & U.S. Government Agency Obligations (identified cost $172,216,256)				170,613,492
U.S. Government Agency-Mortgage Securities — 34.9%
Federal Home Loan Mortgage Corporation — 17.6%
3.000%, 11/1/2042		1,335,337		1,334,479
3.000%, 4/1/2043		1,631,277		1,630,331
3.000%, 4/1/2043		2,414,515		2,412,963
3.000%, 4/1/2043		5,648,295		5,644,663
3.000%, 5/1/2043		2,837,894		2,833,725
3.000%, 7/1/2043		11,104,642		11,079,145
3.000%, 9/1/2043		11,271,562		11,241,028
3.000%, 4/1/2045		10,014,655		9,952,344
3.000%, 5/1/2045		5,498,389		5,464,178
3.000%, 9/1/2045		17,215,891		17,108,774
3.000%, 1/1/2046		17,703,743		17,593,537
3.000%, 4/1/2046		18,198,859		18,085,553
3.500%, 12/1/2040		936,425		965,656
3.500%, 12/1/2041		928,118		957,100
3.500%, 3/1/2042		347,316		358,166
3.500%, 12/1/2042		748,613		771,773

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

66

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)
3.500%, 7/1/2043	$	4,971,069	$	5,120,931
3.500%, 9/1/2043		9,876,811		10,174,686
3.500%, 11/1/2043		7,841,904		8,078,424
3.500%, 1/1/2044		8,028,511		8,270,290
3.500%, 2/1/2044		8,437,271		8,691,461
3.500%, 11/1/2044		6,149,158		6,313,826
4.000%, 4/1/2026		490,765		517,847
4.000%, 10/1/2031		779,442		828,300
4.000%, 12/1/2039		661,426		698,601
4.000%, 12/1/2040		293,139		310,574
4.000%, 12/1/2040		3,524,609		3,716,827
4.000%, 3/1/2041		293,174		309,688
4.000%, 4/1/2041		7,191,701		7,629,115
4.000%, 8/1/2041		195,042		206,030
4.000%, 11/1/2041		759,336		802,113
4.500%, 9/1/2031		362,115		390,766
4.500%, 3/1/2039		152,424		164,809
4.500%, 5/1/2039		589,246		636,252
4.500%, 2/1/2040		154,491		166,668
4.500%, 11/1/2040		540,244		584,676
4.500%, 2/1/2041		1,139,067		1,228,920
5.000%, 12/1/2035		76,546		84,137
5.000%, 1/1/2038		37,290		40,830
5.000%, 3/1/2038		128,129		140,309
5.000%, 3/1/2038		44,178		48,564
5.000%, 2/1/2039		214,454		234,623
5.000%, 1/1/2040		206,303		228,052
6.000%, 6/1/2037		93,050		105,381
6.000%, 1/1/2038		102,066		115,592
				173,271,707
Federal National Mortgage Association — 17.1%
3.000%, 3/1/2043		3,140,010		3,128,910
3.000%, 7/1/2043		7,395,778		7,369,634
3.000%, 7/1/2043		14,641,010		14,589,254
3.000%, 8/1/2043		11,382,843		11,342,696
3.000%, 9/1/2044		9,832,515		9,790,137
3.000%, 1/1/2045		10,263,315		10,211,126
3.000%, 2/1/2045		14,756,121		14,677,973
3.000%, 6/1/2045		8,498,475		8,453,467
3.000%, 3/1/2046		16,801,629		16,712,648
3.000%, 7/1/2046		19,142,441		19,041,063
3.000%, 10/1/2046		19,624,121		19,520,191
3.500%, 7/1/2032		473,377		493,965
3.500%, 5/1/2042		1,171,371		1,206,333
3.500%, 10/1/2042		937,197		966,096
3.500%, 10/1/2042		1,066,657		1,099,362
3.500%, 10/1/2042		1,326,104		1,366,762
3.500%, 11/1/2042		601,874		621,073
3.500%, 12/1/2042		1,094,084		1,127,625
3.500%, 1/1/2043		3,628,112		3,755,262
3.500%, 5/1/2043		12,467,307		12,844,368
4.000%, 11/1/2040		372,530		393,169
4.000%, 1/1/2041		572,132		602,891
4.000%, 2/1/2041		507,724		536,109
4.000%, 2/1/2041		2,812,540		2,970,509
4.000%, 3/1/2041		213,530		226,383
4.000%, 11/1/2041		499,309		527,139
4.500%, 6/1/2039		832,748		899,268
4.500%, 8/1/2041		582,825		630,395
5.000%, 7/1/2022		277,598		296,712
5.000%, 3/1/2035		310,500		342,386
5.000%, 5/1/2042		790,665		868,963

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
5.500%, 2/1/2034	$	53,965	$	60,630
5.500%, 7/1/2036		288,312		323,904
5.500%, 8/1/2037		562,341		631,397
5.500%, 6/1/2038		74,788		83,810
6.000%, 12/1/2038		30,218		34,193
6.000%, 5/1/2039		213,061		243,989
6.500%, 10/1/2037		59,698		67,348
6.500%, 11/1/2037		44,242		49,225
				168,106,365
Government National Mortgage Association — 0.2%
4.000%, 10/15/2040		545,971		578,100
4.000%, 12/15/2040		676,357		718,501
4.000%, 4/15/2041		615,800		654,470
5.500%, 8/20/2038		106,009		112,013
5.500%, 2/15/2039		46,918		52,442
6.000%, 12/15/2038		70,910		80,466
6.000%, 1/15/2039		35,663		40,469
				2,236,461
Total U.S. Government Agency-Mortgage Securities (identified cost $344,260,796)				343,614,533
Short-Term Investments — 30.5%
Collateral Pool Investments for Securities on Loan — 26.6%
Collateral pool allocation (3)				261,793,463
Commercial Paper — 0.6%
Colgate Palmolive Co., 0.446%, 3/2/2017 (13)		6,500,000		6,499,785
Mutual Funds — 3.3%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		32,281,410		32,287,867
Total Short-Term Investments (identified cost $300,578,655)				300,581,115
Total Investments — 126.0% (identified cost $1,235,836,670)				1,240,571,119
Other Assets and Liabilities — (26.0)%				(255,862,227	)
Total Net Assets — 100.0%			$	984,708,892

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		43.2	%
Municipals		0.1
U.S. Government & U.S. Government Agency Obligations		17.3
U.S. Government Agency — Mortgage Securities		34.9
Other Assets & Liabilities, Net		4.5
Total		100.0	%

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

67

February 28, 2017 (Unaudited)

Schedules of Investments

Monegy High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 95.9%
Aerospace/Defense — 1.1%
KLX, Inc., 5.875%, 12/1/2022 (6)	$	227,000	$	239,814
TransDigm, Inc., 6.500%, 7/15/2024		115,000		118,450
Triumph Group, Inc., 5.250%, 6/1/2022 (9)		205,000		194,750
				553,014
Agriculture — 0.4%
Vector Group, Ltd., 6.125%, 2/1/2025 (6)		188,000		194,110
Airlines — 1.3%
Air Canada, 7.750%, 4/15/2021 (6)		200,000		225,500
American Airlines Group, Inc., 4.625%, 3/1/2020 (6)		251,000		256,020
United Continental Holdings, Inc., 6.000%, 12/1/2020		150,000		161,063
				642,583
Apparel — 0.3%
Levi Strauss & Co., 5.000%, 5/1/2025		127,000		130,334
Auto Manufacturers — 0.5%
Navistar International Corp., 8.250%, 11/1/2021		236,000		239,540
Auto Parts & Equipment — 2.8%
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		240,000		249,600
Dana, Inc., 5.500%, 12/15/2024		250,000		262,500
Goodyear Tire & Rubber Co., 5.000%, 5/31/2026		251,000		256,647
Meritor, Inc., 6.250%, 2/15/2024		350,000		363,125
Tenneco, Inc., 5.000%, 7/15/2026		280,000		281,400
				1,413,272
Beverages — 0.3%
Cott Beverages, Inc., 5.375%, 7/1/2022		151,000		155,341
Building Materials — 1.8%
Builders FirstSource, Inc., 5.625%, 9/1/2024 (6)		268,000		276,710
Louisiana-Pacific Corp., 4.875%, 9/15/2024		163,000		164,630
Norbord, Inc., 6.250%, 4/15/2023 (6)		245,000		260,313
U.S. Concrete, Inc., 6.375%, 6/1/2024		200,000		212,500
				914,153
Chemicals — 2.1%
A Schulman, Inc., 6.875%, 6/1/2023 (6)		90,000		95,400
Alpha 3 BV, 6.250%, 2/1/2025 (6)		200,000		201,000
Blue Cube Spinco, Inc., 9.750%, 10/15/2023		193,000		231,117
PolyOne Corp., 5.250%, 3/15/2023		100,000		103,500
PQ Corp., 6.750%, 11/15/2022 (6)		261,000		283,185
Trinseo Materials Operating SCA, 6.750%, 5/1/2022 (6)		150,000		159,000
				1,073,202
Coal — 0.3%
Peabody Securities Finance Corp.:
6.000%, 3/31/2022 (6)		125,000		127,813
6.375%, 3/31/2025 (6)		14,000		14,315
				142,128

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services — 5.0%
ADT Corp., 3.500%, 7/15/2022	$	85,000	$	81,069
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (6)		213,000		204,746
Great Lakes Dredge & Dock Corp., 7.375%, 2/1/2019		128,000		128,320
Herc Rentals, Inc., 7.500%, 6/1/2022 (6)		293,000		317,905
Hertz Corp.:
6.750%, 4/15/2019		61,000		61,152
7.375%, 1/15/2021		135,000		135,675
Live Nation Entertainment, Inc., 4.875%, 11/1/2024 (6)		136,000		136,000
Prime Security Services Borrower LLC, 9.250%, 5/15/2023 (6)		345,000		378,206
Rent-A-Center, Inc.:
4.750%, 5/1/2021		50,000		40,500
6.625%, 11/15/2020		340,000		301,325
RR Donnelley & Sons Co., 7.000%, 2/15/2022		272,000		281,860
Sotheby’s, 5.250%, 10/1/2022 (6)		191,000		195,775
United Rentals North America, Inc.:
5.500%, 5/15/2027		135,000		138,316
6.125%, 6/15/2023		128,000		135,040
				2,535,889
Computers — 1.8%
Dell, Inc., 6.500%, 4/15/2038		73,000		70,628
Diamond 1 Finance Corp., 7.125%, 6/15/2024 (6)		100,000		110,550
Diebold Nixford, Inc., 8.500%, 4/15/2024		200,000		220,250
EMC Corp., 3.375%, 6/1/2023		73,000		69,900
Harland Clarke Holdings Corp., 8.375%, 8/15/2022 (6)		118,000		122,204
Western Digital Corp., 10.500%, 4/1/2024		257,000		301,332
				894,864
Cosmetics/Personal Care — 0.6%
Revlon Consumer Products Corp., 6.250%, 8/1/2024		275,000		283,250
Distribution/Wholesale — 0.3%
Univar USA, Inc., 6.750%, 7/15/2023 (6)		138,000		145,245
Diversified Financial Services — 2.1%
Ally Financial, Inc.:
5.750%, 11/20/2025		198,000		209,880
8.000%, 11/1/2031		140,000		172,900
CIT Group, Inc., 5.000%, 8/15/2022		241,000		256,062
Fly Leasing, Ltd.:
6.375%, 10/15/2021		200,000		209,000
6.750%, 12/15/2020		200,000		210,250
				1,058,092
Electric — 2.0%
Calpine Corp.:
5.375%, 1/15/2023		300,000		304,500
5.750%, 1/15/2025		207,000		205,965
NRG Energy, Inc.:
6.625%, 3/15/2023		301,000		306,267
7.250%, 5/15/2026		173,000		178,839
				995,571

(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)
Electrical Components & Equipment — 0.8%
Belden, Inc., 5.500%, 9/1/2022 (6)	$	169,000	$	175,126
WESCO Distribution, Inc., 5.375%, 12/15/2021		235,000		244,400
				419,526
Engineering & Construction — 0.4%
MasTec, Inc., 4.875%, 3/15/2023		225,000		226,125
Entertainment — 1.9%
AMC Entertainment Holdings, Inc.:
5.875%, 2/15/2022		271,000		284,211
5.875%, 11/15/2026 (6)		8,000		8,203
Cinemark USA, Inc., 4.875%, 6/1/2023		160,000		164,800
Pinnacle Entertainment, Inc., 5.625%, 5/1/2024 (6)		110,000		112,200
Regal Entertainment Group, 5.750%, 2/1/2025		213,000		220,455
Speedway Motorsports, Inc., 5.125%, 2/1/2023		175,000		178,062
				967,931
Environmental Control — 0.5%
Covanta Holding Corp., 5.875%, 3/1/2024		241,000		245,218
Food — 1.8%
Dean Foods Co., 6.500%, 3/15/2023 (6)		217,000		226,765
Fresh Market, Inc., 9.750%, 5/1/2023 (6)		221,000		185,087
JBS USA LUX SA, 7.250%, 6/1/2021 (6)		263,000		272,205
Post Holdings, Inc., 5.000%, 8/15/2026 (6)		100,000		96,937
SUPERVALU, Inc., 7.750%, 11/15/2022		129,000		128,033
				909,027
Forest Products & Paper — 1.0%
Cascades, Inc., 5.500%, 7/15/2022 (6)		250,000		255,000
Mercer International, Inc., 6.500%, 2/1/2024 (6)		125,000		127,813
P.H. Glatfelter Co., 5.375%, 10/15/2020		143,000		146,575
				529,388
Healthcare-Products — 0.2%
Teleflex, Inc., 4.875%, 6/1/2026		125,000		126,250
Healthcare-Services — 5.5%
Acadia Healthcare Co., Inc., 6.125%, 3/15/2021		253,000		260,590
Centene Corp., 4.750%, 1/15/2025		250,000		257,813
CHS/Community Health Systems, Inc., 7.125%, 7/15/2020		250,000		236,250
DaVita, Inc., 5.000%, 5/1/2025		212,000		213,842
Envision Healthcare Corp., 5.625%, 7/15/2022		257,000		268,565
HCA, Inc., 5.875%, 5/1/2023		240,000		261,600
HealthSouth Corp., 5.125%, 3/15/2023		100,000		100,500
Kindred Healthcare, Inc., 8.750%, 1/15/2023		220,000		214,500
LifePoint Health, Inc.:
5.375%, 5/1/2024 (6)		159,000		160,590
5.500%, 12/1/2021		88,000		91,630
Select Medical Corp., 6.375%, 6/1/2021		271,000		274,049
Tenet Healthcare Corp.:
6.750%, 6/15/2023		375,000		372,656

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Services (continued)
8.000%, 8/1/2020	$	100,000	$	102,500
				2,815,085
Home Builders — 2.9%
Beazer Homes USA, Inc., 8.750%, 3/15/2022 (6)		127,000		138,097
Brookfield Residential Properties, Inc., 6.125%, 7/1/2022 (6)		365,000		377,775
KB Home, 7.500%, 9/15/2022		194,000		213,400
Lennar Corp., 4.875%, 12/15/2023		154,000		159,775
Taylor Morrison Communities, Inc., 5.875%, 4/15/2023 (6)		177,000		187,178
TRI Pointe Group, Inc., 5.875%, 6/15/2024		176,000		183,040
William Lyon Homes, Inc., 5.875%, 1/31/2025 (6)		188,000		188,705
				1,447,970
Home Furnishings — 0.6%
Tempur Sealy International, Inc.:
5.500%, 6/15/2026		77,000		75,845
5.625%, 10/15/2023		223,000		226,345
				302,190
Internet — 0.7%
Netflix, Inc., 4.375%, 11/15/2026 (6)		215,000		213,387
Zayo Group LLC, 5.750%, 1/15/2027 (6)		127,000		134,595
				347,982
Iron/Steel — 1.1%
BlueScope Steel Finance, Ltd., 6.500%, 5/15/2021 (6)		100,000		106,750
Commercial Metals Co., 4.875%, 5/15/2023		117,000		120,218
United States Steel Corp., 8.375%, 7/1/2021 (6)		292,000		329,230
				556,198
Leisure Time — 0.5%
ClubCorp Club Operations, Inc., 8.250%, 12/15/2023 (6)		252,000		274,836
Lodging — 1.0%
Boyd Gaming Corp., 6.375%, 4/1/2026		218,000		236,258
MGM Resorts International, 4.625%, 9/1/2026		279,000		274,812
				511,070
Media — 8.6%
Altice Financing SA, 7.500%, 5/15/2026 (6)		250,000		269,063
AMC Networks, Inc., 5.000%, 4/1/2024		283,000		286,362
Block Communications, Inc., 6.875%, 2/15/2025 (6)		183,000		193,998
Cablevision Systems Corp., 5.875%, 9/15/2022		498,000		511,695
CCO Holdings LLC, 5.500%, 5/1/2026 (6)		474,000		504,217
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		196,000		198,205
CSC Holdings LLC, 5.250%, 6/1/2024		148,000		149,295
DISH DBS Corp., 5.000%, 3/15/2023		150,000		154,500
Gray Television, Inc.:
5.125%, 10/15/2024 (6)		81,000		80,190
5.875%, 7/15/2026 (6)		192,000		195,181

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

69

February 28, 2017 (Unaudited)

Schedules of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
Nexstar Broadcasting, Inc., 6.125%, 2/15/2022 (6)	$	175,000	$	183,969
Nielsen Finance LLC, 5.000%, 4/15/2022 (6)		162,000		167,265
SFR Group SA:
6.000%, 5/15/2022 (6)		200,000		208,188
7.375%, 5/1/2026 (6)		300,000		312,000
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (6)		157,000		160,533
Tribune Media Co., 5.875%, 7/15/2022		359,000		368,424
UPCB Finance IV, Ltd., 5.375%, 1/15/2025 (6)		200,000		205,500
Virgin Media Finance PLC, 6.375%, 4/15/2023 (6)		220,000		232,100
				4,380,685
Metal Fabricate/Hardware — 0.5%
Novelis Corp., 5.875%, 9/30/2026 (6)		222,000		228,938
Mining — 5.1%
Alcoa Nederland Holding BV, 6.750%, 9/30/2024 (6)		400,000		436,000
Aleris International, Inc., 9.500%, 4/1/2021 (6)		284,000		305,243
Anglo American Capital PLC, 4.875%, 5/14/2025 (6)		200,000		208,500
First Quantum Minerals, Ltd., 6.750%, 2/15/2020 (6)		203,000		209,090
FMG Resources (August 2006) Pty, Ltd., 6.875%, 4/1/2022 (6)		270,000		279,619
Freeport-McMoRan, Inc., 3.550%, 3/1/2022		331,000		309,071
HudBay Minerals, Inc., 7.250%, 1/15/2023 (6)		116,000		124,410
Kaiser Aluminum Corp., 5.875%, 5/15/2024		219,000		230,498
Kinross Gold Corp., 5.950%, 3/15/2024		109,000		115,813
Teck Resources, Ltd.:
4.750%, 1/15/2022		250,000		260,937
6.250%, 7/15/2041		120,000		125,100
				2,604,281
Miscellaneous Manufacturing — 0.3%
Bombardier, Inc., 8.750%, 12/1/2021 (6)		149,000		165,390
Oil & Gas — 9.2%
Antero Resources Corp., 5.000%, 3/1/2025 (6)		150,000		146,250
Carrizo Oil & Gas, Inc., 6.250%, 4/15/2023		248,000		252,340
Cenovus Energy, Inc., 6.750%, 11/15/2039		420,000		475,965
Chesapeake Energy Corp., 8.000%, 12/15/2022 (6)		118,000		125,228
Continental Resources, Inc., 3.800%, 6/1/2024		182,000		169,487
EP Energy LLC, 9.375%, 5/1/2020		150,000		147,375
Gulfport Energy Corp., 6.625%, 5/1/2023		160,000		163,600
Halcon Resources Corp., 6.750%, 2/15/2025 (6)		125,000		124,063
MEG Energy Corp., 7.000%, 3/31/2024 (6)		150,000		135,750

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Murphy Oil Corp.:
4.700%, 12/1/2022	$	100,000	$	98,500
6.875%, 8/15/2024		154,000		165,242
Noble Holding International, Ltd., 7.750%, 1/15/2024		130,000		126,750
Northern Tier Energy LLC, 7.125%, 11/15/2020		154,000		160,737
Oasis Petroleum, Inc., 6.875%, 3/15/2022		274,000		280,080
PBF Holding Co. LLC, 8.250%, 2/15/2020		251,000		256,961
Precision Drilling Corp.:
6.500%, 12/15/2021		142,000		146,615
7.750%, 12/15/2023 (6)		15,000		16,313
QEP Resources, Inc., 5.250%, 5/1/2023		300,000		297,000
Range Resources Corp., 5.000%, 8/15/2022 (6)		240,000		235,200
Rowan Cos., Inc., 7.375%, 6/15/2025		124,000		128,960
Transocean, Inc., 9.000%, 7/15/2023 (6)		270,000		292,275
Whiting Petroleum Corp., 5.750%, 3/15/2021		241,000		241,000
WPX Energy, Inc., 8.250%, 8/1/2023		449,000		505,125
				4,690,816
Oil & Gas Services — 1.9%
Era Group, Inc., 7.750%, 12/15/2022		312,000		306,540
SESI LLC, 7.125%, 12/15/2021		260,000		268,450
Trinidad Drilling, Ltd., 6.625%, 2/15/2025 (6)		90,000		92,925
Weatherford International LLC, 6.800%, 6/15/2037		57,000		54,007
Weatherford International, Ltd.:
7.750%, 6/15/2021		128,000		138,560
8.250%, 6/15/2023		106,000		115,275
				975,757
Packaging & Containers — 1.9%
Ardagh Packaging Finance PLC:
6.750%, 1/31/2021 (6)		300,000		312,540
7.250%, 5/15/2024 (6)		200,000		218,750
Berry Plastics Corp., 5.125%, 7/15/2023		200,000		206,750
Coveris Holdings SA, 7.875%, 11/1/2019 (6)		250,000		248,125
				986,165
Pharmaceuticals — 0.5%
Endo Finance LLC:
5.750%, 1/15/2022 (6)		20,000		18,650
6.000%, 7/15/2023 (6)		250,000		231,250
				249,900
Pipelines — 3.1%
Antero Midstream Partners LP, 5.375%, 9/15/2024 (6)		236,000		240,720
Cheniere Corpus Christi Holdings LLC, 7.000%, 6/30/2024 (6)		499,000		561,375
Genesis Energy LP, 6.750%, 8/1/2022		267,000		279,682
Martin Midstream Partners LP, 7.250%, 2/15/2021		214,000		218,548
SemGroup Corp., 7.500%, 6/15/2021		250,000		262,500
				1,562,825

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

70

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Real Estate Investment Trusts — 3.7%
Communications Sales & Leasing, Inc., 8.250%, 10/15/2023	$	300,000	$	326,625
Equinix, Inc., 5.750%, 1/1/2025		78,000		83,070
ESH Hospitality, Inc., 5.250%, 5/1/2025 (6)		272,000		275,060
GEO Group, Inc., 5.875%, 10/15/2024		138,000		142,830
Iron Mountain, Inc., 5.750%, 8/15/2024		250,000		257,810
iStar, Inc., 6.500%, 7/1/2021		287,000		302,785
RHP Hotel Properties LP, 5.000%, 4/15/2023		225,000		230,906
SBA Communications Corp., 4.875%, 9/1/2024 (6)		250,000		249,350
				1,868,436
Retail — 3.7%
Asbury Automotive Group, Inc., 6.000%, 12/15/2024		234,000		244,530
Hot Topic, Inc., 9.250%, 6/15/2021 (6)		252,000		257,040
JC Penney Corp., Inc., 5.650%, 6/1/2020		300,000		297,282
L Brands, Inc.:
5.625%, 10/15/2023		117,000		122,850
6.875%, 11/1/2035		131,000		126,579
Party City Holdings, Inc., 6.125%, 8/15/2023 (6)		274,000		282,220
PetSmart, Inc., 7.125%, 3/15/2023 (6)		359,000		353,166
Sonic Automotive, Inc., 5.000%, 5/15/2023		200,000		197,500
				1,881,167
Semiconductors — 1.1%
Amkor Technology, Inc., 6.375%, 10/1/2022		228,000		237,120
Micron Technology, Inc., 5.250%, 8/1/2023 (6)		308,000		312,235
				549,355
Software — 2.5%
ACI Worldwide, Inc., 6.375%, 8/15/2020 (6)		336,000		347,172
Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024 (6)		224,000		232,960
First Data Corp., 7.000%, 12/1/2023 (6)		532,000		573,230
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (6)		122,000		128,862
				1,282,224
Telecommunications — 11.4%
Anixter, Inc., 5.500%, 3/1/2023		105,000		110,381
CenturyLink, Inc., 5.800%, 3/15/2022		300,000		310,125
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (6)		261,000		276,660
CommScope, Inc., 5.500%, 6/15/2024 (6)		158,000		166,098
Consolidated Communications, Inc., 6.500%, 10/1/2022		294,000		294,735
FairPoint Communications, Inc., 8.750%, 8/15/2019 (6)		200,000		208,000
Frontier Communications Corp.:
6.875%, 1/15/2025		491,000		416,122
7.125%, 1/15/2023		75,000		68,250

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
9.250%, 7/1/2021	$	100,000	$	105,750
GCI, Inc., 6.750%, 6/1/2021		219,000		226,118
Hughes Satellite Systems Corp.:
6.625%, 8/1/2026 (6)		120,000		125,174
7.625%, 6/15/2021		407,000		452,787
Inmarsat Finance PLC, 4.875%, 5/15/2022 (6)		300,000		301,500
Intelsat Jackson Holdings SA, 8.000%, 2/15/2024 (6)		123,000		133,763
Radiate Holdco LLC, 6.625%, 2/15/2025 (6)		130,000		130,813
Sprint Capital Corp., 6.875%, 11/15/2028		149,000		159,244
Sprint Communications, Inc., 6.000%, 11/15/2022		164,000		170,132
Sprint Corp.:
7.125%, 6/15/2024		110,000		119,041
7.875%, 9/15/2023		407,000		453,805
T-Mobile USA, Inc.:
6.375%, 3/1/2025		162,000		174,552
6.500%, 1/15/2026		136,000		149,770
Telecom Italia Capital SA, 6.000%, 9/30/2034		323,000		320,577
Telesat Canada, 8.875%, 11/15/2024 (6)		182,000		199,290
West Corp., 5.375%, 7/15/2022 (6)		253,000		243,955
Windstream Services LLC:
6.375%, 8/1/2023		290,000		265,350
7.500%, 4/1/2023		125,000		120,000
7.750%, 10/1/2021		100,000		103,500
				5,805,492
Transportation — 0.5%
XPO Logistics, Inc., 6.500%, 6/15/2022 (6)		232,000		244,470
Venture Capital — 0.3%
Icahn Enterprises LP, 5.875%, 2/1/2022		150,000		153,927
Total Corporate Bonds & Notes (identified cost $46,393,700)				48,679,212
Short-Term Investments — 2.7%
Mutual Funds — 2.7%
BMO Institutional Prime Money Market Fund — Premier Class, 0.680% (4)		1,380,977		1,381,253
Total Short-Term Investments (identified cost $1,381,163)				1,381,253
Total Investments — 98.6% (identified cost $47,774,863)				50,060,465
Other Assets and Liabilities — 1.4%				716,492
Total Net Assets — 100.0%			$	50,776,957

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		95.9	%
Other Assets & Liabilities, Net		4.1
Total		100.0	%

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

71

February 28, 2017 (Unaudited)

Schedules of Investments

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 5.7%
BlackRock Liquidity Funds T-Fund Portfolio —Institutional Class, 0.410%		40,000,000	$	40,000,000
Invesco Government & Agency Portfolio —Institutional Class, 0.470%		150,000,000		150,000,000
Total Mutual Funds				190,000,000
Repurchase Agreements — 15.8%
Agreement with Fixed Income Clearing Corp., 0.03%, dated 2/28/2017, to be repurchased at $23,786,786 on 3/1/2017, collateralized by U.S. Government Treasury Obligations with various maturities to 2/28/2022, with a market value of $24,262,653	$	23,786,766		23,786,766
Agreement with Goldman Sachs Group, Inc., 0.530%, dated 2/28/2017, to be repurchased at $280,004,122 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 4/1/2046, with a market value of $284,843,338		280,000,000		280,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.530%, dated 2/28/2017, to be repurchased at $75,001,104 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 11/15/2030, with a market value of $76,322,392		75,000,000		75,000,000
Agreement with Toronto Dominion Bank, 0.510%, dated 2/28/2017, to be repurchased at $150,002,125 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 7/1/2043, with a market value of $152,693,947		150,000,000		150,000,000
Total Repurchase Agreements				528,786,766
U.S. Government & U.S. Government Agency Obligations — 85.2%
Federal Farm Credit Bank — 13.5%
0.480%, 3/30/2017 (13)		50,000,000		49,980,667
0.500%, 3/2/2017 (13)		20,000,000		19,999,722
0.500%, 4/21/2017		15,000,000		14,998,202
0.550%, 5/1/2017 (13)		10,000,000		9,990,681
0.675%, 8/8/2018 (8)		15,000,000		15,000,000
0.693%, 11/9/2018 (8)		10,000,000		9,999,186

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
0.720%, 3/30/2017 (8)	$	3,000,000	$	3,000,072
0.729%, 1/23/2019 (8)		10,000,000		10,001,063
0.748%, 10/25/2017 (8)		15,000,000		15,000,000
0.760%, 9/1/2017 (8)		15,000,000		15,000,000
0.767%, 4/4/2017 (8)		8,350,000		8,351,225
0.770%, 8/1/2017 (8)		10,000,000		9,998,721
0.781%, 5/30/2017 (8)		15,000,000		15,006,035
0.788%, 11/27/2017 (8)		8,415,000		8,413,733
0.795%, 1/8/2018 (8)		8,340,000		8,349,605
0.801%, 3/29/2017 (8)		10,600,000		10,601,891
0.801%, 7/14/2017 (8)		5,000,000		5,000,385
0.802%, 1/17/2018 (8)		7,995,000		7,999,152
0.805%, 5/8/2017 (8)		5,860,000		5,854,581
0.806%, 8/28/2017 (8)		23,000,000		23,008,763
0.810%, 9/15/2017 (8)		8,100,000		8,106,370
0.810%, 12/8/2017 (8)		8,000,000		8,006,793
0.818%, 4/9/2018 (8)		27,350,000		27,372,632
0.820%, 4/16/2018 (8)		21,075,000		21,091,504
0.821%, 8/29/2017 (8)		17,620,000		17,627,830
0.822%, 4/17/2017 (8)		15,635,000		15,632,200
0.850%, 3/8/2017 (8)		7,500,000		7,499,992
0.851%, 9/28/2017 (8)		6,500,000		6,510,611
0.875%, 10/3/2018 (8)		14,000,000		14,003,520
0.891%, 11/13/2017 (8)		5,000,000		5,000,000
0.896%, 9/14/2017 (8)		5,000,000		5,003,992
0.904%, 3/2/2018 (8)		25,950,000		26,007,858
0.907%, 10/6/2017 (8)		5,300,000		5,310,186
0.918%, 1/25/2018 (8)		3,500,000		3,500,655
0.938%, 3/26/2018 (8)		5,235,000		5,244,217
1.002%, 1/26/2018 (8)		12,500,000		12,520,357
				453,992,401
Federal Home Loan Bank — 30.5%
0.460%, 3/6/2017 (13)		15,000,000		14,999,042
0.480%, 3/24/2017 (13)		6,500,000		6,498,007
0.485%, 3/2/2017 (13)		15,500,000		15,499,791
0.493%, 3/1/2017 (13)		56,802,000		56,802,000
0.500%, 3/14/2017 (13)		16,300,000		16,297,057
0.509%, 3/22/2017 (13)		35,000,000		34,989,608
0.510%, 3/8/2017 (13)		25,000,000		24,997,521
0.510%, 3/13/2017 (13)		30,000,000		29,994,900
0.511%, 3/10/2017 (13)		29,412,000		29,408,242
0.511%, 3/17/2017 (13)		50,000,000		49,988,649
0.513%, 4/21/2017 (13)		28,400,000		28,379,348
0.515%, 3/15/2017 (13)		65,000,000		64,986,990
0.528%, 4/5/2017 (13)		35,000,000		34,982,038
0.530%, 4/12/2017 (13)		5,300,000		5,296,723
0.530%, 5/3/2017 (13)		14,100,000		14,086,922
0.557%, 7/17/2017 (8)		20,000,000		19,999,703
0.558%, 7/27/2017 (8)		10,000,000		10,000,345
0.560%, 8/1/2017 (8)		40,000,000		40,000,172
0.608%, 7/12/2017 (8)		20,000,000		20,000,000
0.612%, 4/17/2017 (8)		25,000,000		25,000,000
0.639%, 8/4/2017 (8)		25,000,000		25,000,000
0.644%, 8/11/2017 (13)		10,000,000		9,970,841
0.678%, 4/26/2017 (8)		18,000,000		18,000,000
0.688%, 9/7/2017 (8)		10,000,000		10,000,019
0.699%, 7/23/2018 (8)		10,000,000		10,000,000
0.709%, 11/22/2017 (8)		18,800,000		18,798,500
0.722%, 10/10/2017 (8)		23,000,000		23,000,000
0.735%, 2/1/2019 (8)		10,000,000		10,000,070
0.740%, 9/15/2017 (8)		17,500,000		17,500,000
0.747%, 8/16/2017 (8)		23,000,000		23,000,000
0.777%, 3/26/2018 (8)		18,500,000		18,500,000

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

72

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
0.790%, 3/1/2017 (8)	$	15,000,000	$	15,000,000
0.790%, 6/1/2017 (8)		5,000,000		5,000,000
0.790%, 12/8/2017 (8)		10,000,000		9,999,612
0.791%, 8/21/2017 (8)		10,000,000		10,000,000
0.792%, 3/10/2017 (8)		5,000,000		5,000,000
0.792%, 5/16/2017 (8)		13,000,000		13,000,000
0.796%, 11/28/2017 (8)		20,725,000		20,724,788
0.799%, 3/23/2018 (8)		25,000,000		25,000,175
0.814%, 3/24/2017 (8)		10,000,000		10,000,321
0.817%, 9/5/2017 (8)		25,390,000		25,407,727
0.821%, 7/12/2017 (8)		7,500,000		7,500,000
0.827%, 11/17/2017 (8)		12,500,000		12,500,000
0.830%, 7/3/2017 (8)		2,500,000		2,500,000
0.841%, 4/19/2017 (8)		5,000,000		5,000,000
0.846%, 12/7/2017 (8)		17,535,000		17,549,637
0.847%, 12/5/2017 (8)		25,530,000		25,542,568
0.854%, 11/13/2017 (8)		12,500,000		12,500,451
0.855%, 11/3/2017 (8)		10,000,000		10,000,000
0.861%, 10/18/2017 (8)		5,000,000		5,000,000
0.875%, 3/10/2017		10,000,000		10,000,983
0.892%, 5/16/2017 (8)		5,000,000		4,999,745
0.938%, 9/11/2017 (8)		7,500,000		7,499,437
0.944%, 11/6/2017 (8)		4,600,000		4,604,930
0.998%, 8/9/2017 (8)		32,435,000		32,466,515
				1,022,773,377
Federal Home Loan Mortgage Corporation — 10.4%
0.450%, 3/1/2017 (13)		50,000,000		50,000,000
0.480%, 3/13/2017 (13)		25,000,000		24,996,000
0.489%, 3/3/2017 (13)		62,000,000		61,998,317
0.490%, 3/23/2017 (13)		25,000,000		24,992,514
0.510%, 3/17/2017 (13)		25,000,000		24,994,333
0.562%, 4/17/2017 (8)		25,000,000		25,000,000
0.564%, 5/4/2017 (8)		20,000,000		20,000,000
0.638%, 10/12/2017 (8)		15,000,000		15,000,000
0.754%, 8/10/2018 (8)		15,000,000		15,000,000
0.786%, 4/20/2017 (8)		5,800,000		5,801,069
0.788%, 7/25/2018 (8)		10,000,000		10,000,000
0.800%, 9/28/2017		6,400,000		6,400,000
0.811%, 11/13/2017 (8)		36,935,000		36,962,889
0.818%, 4/27/2017 (8)		10,000,000		9,999,663
0.909%, 7/21/2017 (8)		11,000,000		11,016,015
1.000%, 3/8/2017		6,000,000		6,000,592
				348,161,392
Federal National Mortgage Association — 19.3%
0.450%, 3/2/2017 (13)		225,000,000		224,997,187
0.458%, 3/1/2017 (13)		306,641,000		306,641,000
0.470%, 4/3/2017 (13)		20,000,000		19,991,383
0.500%, 3/15/2017 (13)		13,800,000		13,797,317
0.510%, 3/14/2017 (13)		10,900,000		10,897,993
0.785%, 9/8/2017 (8)		3,000,000		2,994,450
0.787%, 10/5/2017 (8)		29,555,000		29,575,810
0.801%, 7/20/2017 (8)		29,445,000		29,462,788
0.985%, 1/11/2018 (8)		7,500,000		7,500,000
				645,857,928
U.S. Treasury Bonds & Notes — 11.5%
0.457%, 3/2/2017 (13)		170,000,000		169,997,844
0.476%, 4/6/2017 (13)		15,000,000		14,992,860
0.485%, 3/15/2017 (13)		75,000,000		74,985,865
0.491%, 3/9/2017 (13)		100,000,000		99,989,092

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
0.516%, 3/16/2017 (13)	$	25,000,000	$	24,994,625
				384,960,286
Total U.S. Government & U.S. Government Agency Obligations				2,855,745,384
Total Investments — 106.7% (at amortized cost)				3,574,532,150
Other Assets and Liabilities — (6.7)%				(224,926,605	)
Total Net Assets — 100.0%			$	3,349,605,545

Portfolio Sector Allocation*
Sector	Fund
Mutual Funds		5.7	%
Repurchase Agreements		15.8
U.S. Government & U.S. Government Agency Obligations		85.2
Other Assets & Liabilities, Net		(6.7	)
Total		100.0	%

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 95.8%
Alabama — 10.0%
Chatom Industrial Development Board:
1.000%, 12/1/2024 (8)	$	6,000,000	$	6,000,000
1.050%, 8/1/2037 (8)		9,000,000		9,000,000
City of Oxford, 0.820%, 9/1/2041 (8)		12,745,000		12,745,000
Mobile County Industrial Development Authority, 0.570%, 7/15/2032 (8)		3,000,000		3,000,000
Mobile Industrial Development Board, 0.670%, 6/1/2034 (8)		7,200,000		7,200,000
				37,945,000
Colorado — 4.4%
Colorado Health Facilities Authority, 0.690%, 1/1/2035 (8)		9,900,000		9,900,000
Tender Option Bond Trust Receipts/Certificates, 0.740%, 12/1/2044 (6)(8)		6,985,000		6,985,000
				16,885,000
Florida — 6.4%
Broward County Educational Facilities Authority, 0.590%, 4/1/2038 (8)		3,000,000		3,000,000
County of Brevard, 0.770%, 10/1/2019 (8)		800,000		800,000
County of Manatee, 0.640%, 9/1/2024 (8)		3,000,000		3,000,000
Jacksonville Pollution Control, 0.750%, 3/8/2017		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates, 0.740%, 11/1/2027 (6)(8)		7,400,000		7,400,000
				24,200,000

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

73

February 28, 2017 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Georgia — 0.2%
Columbia County Development Authority, 0.720%, 8/1/2018 (8)	$	700,000	$	700,000
Illinois — 2.7%
Jackson-Union Counties Regional Port District, 0.680%, 4/1/2024 (8)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 0.660%, 4/1/2020 (8)		8,075,000		8,075,000
				10,475,000
Indiana — 2.0%
Tender Option Bond Trust Receipts/Certificates, 0.820%, 5/14/2026 (6)(8)		7,770,000		7,770,000
Iowa — 3.6%
Iowa Finance Authority:
0.590%, 6/1/2027 (8)		9,155,000		9,155,000
0.670%, 9/1/2036 (8)		3,200,000		3,200,000
0.720%, 3/1/2022 (8)		1,175,000		1,175,000
				13,530,000
Louisiana — 6.4%
Eclipse Funding Trust, 0.600%, 11/1/2031 (8)		11,500,000		11,500,000
Louisiana Public Facilities Authority, 0.610%, 12/1/2042 (8)		13,000,000		13,000,000
				24,500,000
Michigan — 3.2%
Michigan Strategic Fund:
0.640%, 12/1/2033 (8)		7,100,000		7,100,000
0.640%, 6/1/2039 (8)		1,520,000		1,520,000
Rib Floater Trust Various States, 0.790%, 7/1/2018 (6)(8)		3,400,000		3,400,000
				12,020,000
Minnesota — 4.3%
City of Ramsey, 0.840%, 12/1/2023 (8)		2,090,000		2,090,000
Minnesota Higher Education Facilities Authority:
0.680%, 4/1/2035 (8)		9,145,000		9,145,000
0.700%, 3/1/2024 (8)		2,000,000		2,000,000
0.700%, 3/1/2033 (8)		3,215,000		3,215,000
				16,450,000
Mississippi — 0.8%
Mississippi Business Finance Corp., 0.950%, 5/1/2037 (8)		2,928,000		2,928,000
Missouri — 3.2%
City of St. Louis, 2.000%, 6/1/2017		3,400,000		3,410,190
Greene County Industrial Development Authority, 0.720%, 5/1/2039 (8)		1,025,000		1,025,000
Missouri Health & Educational Facilities Authority, 0.600%, 10/1/2035 (8)		7,900,000		7,900,000
				12,335,190

Description	Principal Amount		Value
Municipals (continued)
Nebraska — 0.2%
Nebraska Investment Finance Authority, 0.800%, 9/1/2031 (8)	$	600,000	$	600,000
New York — 9.6%
City of New York, 0.630%, 8/1/2024 (8)		7,625,000		7,625,000
Metropolitan Transportation Authority, 0.620%, 11/1/2035 (8)		8,900,000		8,900,000
New York City Transitional Finance Authority, 0.620%, 5/1/2028 (8)		8,000,000		8,000,000
New York City Water & Sewer System, 0.610%, 6/15/2049 (8)		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates, 0.740%, 1/1/2024 (6)(8)		2,000,000		2,000,000
				36,525,000
North Carolina — 4.6%
University of North Carolina at Chapel Hill:
0.570%, 2/15/2031 (8)		15,800,000		15,800,000
0.570%, 2/15/2031 (8)		1,900,000		1,900,000
				17,700,000
Ohio — 4.3%
County of Franklin, 0.630%, 7/1/2029 (8)		3,370,000		3,370,000
Ohio Higher Educational Facility Commission:
0.580%, 1/1/2039 (8)		8,800,000		8,800,000
0.670%, 1/15/2046 (8)		2,368,000		2,368,000
Port of Greater Cincinnati Development Authority:
0.780%, 11/1/2023 (8)		1,675,000		1,675,000
0.780%, 11/1/2025 (8)		315,000		315,000
				16,528,000
South Carolina — 1.3%
South Carolina Jobs-Economic Development Authority, 0.670%, 6/1/2030 (8)		5,000,000		5,000,000
South Dakota — 3.4%
South Dakota Housing Development Authority:
0.800%, 11/1/2048 (8)		6,290,000		6,290,000
0.810%, 5/1/2048 (8)		6,735,000		6,735,000
				13,025,000
Texas — 9.5%
Dallam County Industrial Development Corp., 0.690%, 5/1/2039 (8)		2,800,000		2,800,000
Gulf Coast Industrial Development Authority, 0.550%, 11/1/2041 (8)		15,000,000		15,000,000
Lower Neches Valley Authority Industrial Development Corp., 0.550%, 11/1/2051 (8)		5,000,000		5,000,000
Mission Economic Development Corp., 0.690%, 4/1/2022 (8)		11,000,000		11,000,000
University of Texas System, 0.600%, 8/1/2032 (8)		2,350,000		2,350,000
				36,150,000

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

74

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Utah — 1.7%
City of Murray:
0.560%, 5/15/2037 (8)	$	5,500,000	$	5,500,000
0.560%, 5/15/2037 (8)		900,000		900,000
				6,400,000
Virginia — 1.5%
Loudoun County Economic Development Authority, 0.630%, 2/15/2038 (8)		5,600,000		5,600,000
Washington — 5.6%
Seattle Housing Authority, 0.770%, 6/1/2040 (8)		1,000,000		1,000,000
Tender Option Bond Trust Receipts/Certificates:
0.770%, 6/15/2029 (6)(8)		11,320,000		11,320,000
0.770%, 6/15/2033 (6)(8)		6,070,000		6,070,000
Washington State Housing Finance Commission, 0.720%, 7/1/2028 (8)		2,920,000		2,920,000
				21,310,000
Wisconsin — 4.1%
Burlington Area School District, 1.000%, 9/20/2017		2,000,000		2,001,100
Luxemburg-Casco School District/Brown & Kewaunee Counties, 2.000%, 7/17/2017		3,410,000		3,414,817
Pewaukee School District, 1.000%, 9/27/2017		2,400,000		2,402,049
PMA, 2.000%, 10/20/2017		5,800,000		5,837,399
Wisconsin Health & Educational Facilities Authority, 0.700%, 5/1/2030 (8)		1,955,000		1,955,000
				15,610,365
Wyoming — 2.8%
County of Uinta, 0.580%, 8/15/2020 (8)		10,550,000		10,550,000
Total Municipals				364,736,555
Mutual Funds — 4.1%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.410%		3,820,916		3,820,916
Federated Institutional Tax-Free Cash Trust — Institutional Class, 0.510%		12,000,000		12,000,000
Total Mutual Funds				15,820,916
Total Investments — 99.9% (at amortized cost)				380,557,471
Other Assets and Liabilities — 0.1%				303,681
Total Net Assets — 100.0%			$	380,861,152

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—6.2%
State or Local		6.2	%
Revenue Bonds—89.6%
Appropriation		13.4
Education		13.3
General Revenue		2.0
Healthcare		19.0
Housing		6.0
Industrial Revenue		13.8
Special Tax		11.5
Transportation		2.9
Water & Sewer		7.7
Other Assets & Liabilities, Net		4.2
Total		100.0	%

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 19.4%
Banks — 11.4%
Bank of Nova Scotia/Houston:
1.201%, 7/13/2017 (8)	$	2,500,000	$	2,500,000
1.382%, 3/17/2017 (8)		2,500,000		2,500,000
Canadian Imperial Bank of Commerce/New York, 1.182%, 8/17/2017 (8)		2,500,000		2,500,000
Commonwealth Bank of Australia/New York, 1.294%, 2/2/2018 (8)		2,000,000		2,000,730
HSBC Bank USA NA:
1.251%, 10/13/2017 (8)		2,500,000		2,500,000
1.289%, 3/20/2017 (8)		2,500,000		2,500,000
1.584%, 8/4/2017 (8)		1,250,000		1,250,000
Nordea Bank Finland PLC/New York, 1.370%, 6/16/2017 (8)		2,500,000		2,500,000
Skandinaviska Enskilda Banken AB:
1.079%, 9/21/2017 (8)		2,500,000		2,500,000
1.239%, 4/19/2017 (8)		2,500,000		2,500,000
State Street Bank & Trust Co.:
1.222%, 3/10/2017 (8)		2,500,000		2,500,000
1.422%, 4/13/2017 (8)		2,500,000		2,500,000
Sumitomo Mitsui Banking Corp./New York, 1.185%, 8/8/2017 (8)		2,500,000		2,500,000
Toronto Dominion Bank:
1.220%, 11/1/2017 (8)		2,500,000		2,500,000
1.292%, 1/10/2018 (8)		2,750,000		2,750,000
1.299%, 11/20/2017 (8)		2,000,000		2,000,000
1.339%, 4/20/2017 (8)		2,500,000		2,500,000
1.468%, 7/12/2017 (8)		2,000,000		2,000,000
Wells Fargo Bank NA:
1.211%, 2/14/2018 (8)		2,500,000		2,500,000
1.241%, 10/11/2017 (8)		2,500,000		2,500,000
1.249%, 5/3/2017 (8)		2,250,000		2,250,000
1.387%, 11/16/2017 (8)		1,850,000		1,850,000
				51,600,730
European Time Deposit — 8.0%
DNB NOR Bank ASA Cayman, 0.550%, 3/1/2017		18,000,000		18,000,000
Svenska Handelsbanken, Inc., 0.550%, 3/1/2017		18,000,000		18,000,000
				36,000,000
Total Certificates of Deposit				87,600,730

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

75

February 28, 2017 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper — 48.6%
Asset-Backed Securities — 24.0%
Atlantic Asset Securitization LLC:
0.730%, 3/14/2017 (6)(13)	$	3,000,000	$	2,999,209
0.740%, 3/15/2017 (6)(13)		4,000,000		3,998,849
Bedford Row Funding Corp.:
1.160%, 8/1/2017 (6)(8)		2,250,000		2,250,000
1.205%, 7/17/2017 (6)(8)		3,750,000		3,749,919
1.415%, 10/6/2017 (6)(8)		2,500,000		2,504,653
Chesham Finance, Ltd., 0.680%, 3/1/2017 (6)(13)		18,000,000		18,000,000
Kells Funding LLC:
0.700%, 3/10/2017 (6)(13)		6,000,000		5,998,950
0.770%, 3/8/2017 (6)(13)		5,750,000		5,749,139
Manhattan Asset Funding Co.:
0.780%, 3/24/2017 (6)(13)		2,504,000		2,502,752
1.025%, 5/8/2017 (6)(8)		4,000,000		4,000,000
1.110%, 3/1/2017 (6)(8)		2,500,000		2,500,000
1.346%, 6/7/2017 (6)(8)		2,000,000		2,000,000
Old Line Funding LLC:
1.017%, 6/22/2017 (6)(8)		2,500,000		2,500,000
1.177%, 7/24/2017 (6)(8)		2,250,000		2,250,000
1.200%, 5/16/2017 (6)(8)		2,500,000		2,500,000
1.219%, 7/24/2017 (6)(8)		1,250,000		1,250,000
Regency Markets No. 1 LLC:
0.800%, 3/14/2017 (6)(13)		2,500,000		2,499,278
0.800%, 3/28/2017 (6)(13)		2,500,000		2,498,500
0.820%, 3/9/2017 (6)(13)		8,000,000		7,998,542
Thunder Bay Funding LLC:
1.081%, 8/14/2017 (6)(8)		2,500,000		2,500,000
1.177%, 6/6/2017 (6)(8)		2,500,000		2,500,000
1.181%, 7/11/2017 (6)(8)		2,500,000		2,500,000
1.190%, 5/15/2017 (6)(8)		2,500,000		2,500,000
1.191%, 6/13/2017 (6)(8)		2,500,000		2,500,000
1.269%, 4/20/2017 (6)(8)		2,500,000		2,500,000
Victory Receivables Corp.:
0.750%, 3/9/2017 (6)(13)		4,500,000		4,499,250
0.790%, 3/7/2017 (6)(13)		5,000,000		4,999,342
0.810%, 3/3/2017 (6)(13)		6,000,000		5,999,730
				108,248,113
Automobiles — 3.3%
Toyota Motor Credit Corp.:
0.600%, 3/6/2017 (13)		7,500,000		7,499,375
1.200%, 3/13/2017 (8)		2,500,000		2,500,000
1.283%, 8/3/2017 (8)		2,500,000		2,500,000
1.297%, 3/31/2017 (8)		2,500,000		2,500,000
				14,999,375
Chemicals — 1.1%
Praxair, Inc., 0.610%, 3/2/2017 (13)		5,000,000		4,999,915
Diversified Financial Services — 1.7%
JP Morgan Securities LLC:
1.229%, 4/26/2017 (8)		2,000,000		2,000,000
1.330%, 7/10/2017 (8)		2,500,000		2,500,000
National Rural Utilities, 0.700%, 3/21/2017 (13)		3,000,000		2,998,833
				7,498,833
Foreign Banks — 6.7%
Commonwealth Bank of Australia:
1.222%, 3/10/2017 (6)(8)		2,500,000		2,500,000
1.327%, 6/19/2017 (6)(8)		2,500,000		2,500,000

Description	Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
HSBC Bank PLC, 1.112%, 9/15/2017 (8)	$	3,250,000	$	3,250,000
Suncorp Metway, Ltd.:
0.770%, 3/22/2017 (6)(13)		3,000,000		2,998,652
1.050%, 3/14/2017 (6)(13)		2,000,000		1,999,242
1.330%, 7/17/2017 (6)(13)		2,500,000		2,487,254
1.360%, 8/9/2017 (6)(13)		2,250,000		2,236,315
Swedbank, 0.660%, 3/1/2017 (13)		9,750,000		9,750,000
Westpac Banking Corp., 1.232%, 10/20/2017 (6)(8)		2,500,000		2,500,000
				30,221,463
Government Development Banks — 2.2%
Swedish Export Credit, 0.740%, 3/16/2017 (13)		10,000,000		9,996,917
Government Regional — 1.5%
Province of Ontario, 0.640%, 3/1/2017 (13)		7,000,000		7,000,000
Life Insurance — 1.1%
MetLife Short Term Funding LLC, 0.950%, 5/15/2017 (6)(13)		5,000,000		4,990,104
Pharmaceuticals — 2.8%
Novartis Finance Corp.:
0.680%, 3/16/2017 (6)(13)		7,500,000		7,497,875
0.680%, 3/17/2017 (6)(13)		5,000,000		4,998,489
				12,496,364
Utilities — 2.0%
Florida Power & Light Co.:
0.830%, 3/29/2017 (13)		3,000,000		2,998,063
0.850%, 3/8/2017 (13)		6,000,000		5,999,009
				8,997,072
Winding Up Agencies — 2.2%
Erste Abwicklungsanstalt:
1.060%, 6/26/2017 (6)(13)		2,500,000		2,491,387
1.110%, 5/26/2017 (6)(13)		2,500,000		2,493,371
1.112%, 4/19/2017 (6)(8)		2,500,000		2,500,000
1.120%, 4/3/2017 (6)(8)		2,500,000		2,500,000
				9,984,758
Total Commercial Paper				219,432,914
Municipals — 12.1%
Colorado — 1.1%
Colorado Housing & Finance Authority, 0.720%, 10/1/2036 (8)		5,000,000		5,000,000
Maryland — 0.5%
Maryland Economic Development Corp., 0.630%, 2/15/2043 (8)		2,395,000		2,395,000
Mississippi — 1.5%
County of Jackson, 0.580%, 6/1/2023 (8)		7,000,000		7,000,000
Ohio — 1.2%
Ohio State University, 0.600%, 6/1/2035 (8)		5,350,000		5,350,000
Tennessee — 2.5%
Johnson City Health & Educational Facilities Board, 0.730%, 8/15/2043 (8)		11,075,000		11,075,000

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

76

BMO Funds

Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Texas — 1.1%
Gulf Coast Industrial Development Authority, 0.550%, 11/1/2041 (8)	$	5,000,000	$	5,000,000
Virginia — 1.8%
Loudoun County Economic Development Authority, 0.630%, 2/15/2038 (8)		8,250,000		8,250,000
Wyoming — 2.4%
County of Uinta, 0.580%, 8/15/2020 (8)		10,685,000		10,685,000
Total Municipals				54,755,000
Mutual Funds — 5.6%
BlackRock Liquidity Funds T-Fund Portfolio —Institutional Class, 0.410%		7,500,000		7,500,000
Invesco Government & Agency Portfolio —Institutional Class, 0.470%		17,500,000		17,500,000
Total Mutual Funds				25,000,000
Repurchase Agreements — 14.3%
Agreement with Fixed Income Clearing Corp., 0.030%, dated 2/28/2017, to be repurchased at $24,406,462 on 3/1/2017, collateralized by U.S. Government Treasury Obligations with various maturities to 2/15/2047, with a market value of $24,897,731	$	24,406,442		24,406,442
Agreement with Goldman Sachs Group, Inc., 0.530%, dated 2/28/2017, to be repurchased at $40,000,589 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 11/1/2046, with a market value of $40,695,161		40,000,000		40,000,000
Total Repurchase Agreements				64,406,442
Total Investments — 100.0% (at amortized cost)				451,195,086
Other Assets and Liabilities — 0.0%				(58,061	)
Total Net Assets — 100.0%			$	451,137,025

Portfolio Sector Allocation*
Sector	Fund
Certificates of Deposit		19.4	%
Commercial Paper		48.6
Municipals		12.1
Mutual Funds		5.6
Repurchase Agreements		14.3
Total		100.0	%

Institutional Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 17.2%
Banks — 17.2%
Bank of Nova Scotia/Houston:
1.201%, 7/13/2017 (8)	$	2,500,000	$	2,501,217
1.359%, 6/21/2017 (8)		2,500,000		2,502,569
1.382%, 3/17/2017 (8)		1,500,000		1,500,493
Canadian Imperial Bank of Commerce/New York, 1.182%, 8/17/2017 (8)		2,000,000		2,001,273
Commonwealth Bank of Australia/New York, 1.294%, 2/2/2018 (8)		2,000,000		2,001,968
Credit Suisse AG/New York, 1.583%, 6/12/2017 (8)		5,000,000		5,008,137
HSBC Bank USA NA:
1.251%, 10/13/2017 (8)		2,500,000		2,502,352
1.277%, 7/5/2017 (8)		2,500,000		2,502,239
1.289%, 3/20/2017 (8)		3,500,000		3,501,155
1.584%, 8/4/2017 (8)		1,225,000		1,227,694
Nordea Bank Finland PLC/New York, 1.370%, 6/16/2017 (8)		3,500,000		3,504,952
Skandinaviska Enskilda Banken AB:
1.079%, 9/21/2017 (8)		2,500,000		2,499,786
1.239%, 4/19/2017 (8)		2,500,000		2,501,574
State Street Bank & Trust Co.:
1.222%, 3/10/2017 (8)		2,500,000		2,500,387
1.422%, 4/13/2017 (8)		2,500,000		2,501,977
Sumitomo Mitsui Banking Corp./New York, 1.185%, 8/8/2017 (8)		2,500,000		2,499,802
Svenska Handelsbanken, Inc.:
1.070%, 9/15/2017 (8)		2,500,000		2,500,998
1.500%, 8/1/2017 (8)		2,200,000		2,204,787
Toronto Dominion Bank:
1.220%, 11/1/2017 (8)		2,000,000		2,001,215
1.292%, 1/10/2018 (8)		2,250,000		2,252,363
1.299%, 11/20/2017 (8)		2,000,000		2,002,290
1.339%, 4/20/2017 (8)		2,500,000		2,501,948
1.453%, 5/23/2017 (8)		2,000,000		2,002,577
1.468%, 7/12/2017 (8)		3,000,000		3,005,174
Wells Fargo Bank NA:
1.211%, 2/14/2018 (8)		2,500,000		2,500,561
1.241%, 10/11/2017 (8)		2,000,000		2,001,344
1.249%, 5/3/2017 (8)		2,250,000		2,251,684
1.346%, 6/6/2017 (8)		3,000,000		3,004,127
1.387%, 11/16/2017 (8)		1,850,000		1,852,854
Total Certificates of Deposit (identified cost $71,276,462)				71,339,497
Commercial Paper — 52.1%
Asset-Backed Securities — 24.5%
Atlantic Asset Securitization LLC:
0.730%, 3/14/2017 (6)(13)		3,000,000		2,999,019
0.740%, 3/15/2017 (6)(13)		4,000,000		3,998,592
Bedford Row Funding Corp.:
1.160%, 8/1/2017 (6)(8)		2,250,000		2,251,002
1.205%, 7/17/2017 (6)(8)		3,500,000		3,502,566
1.415%, 10/6/2017 (6)(8)		2,500,000		2,505,078
Chesham Finance, Ltd., 0.680%, 3/1/2017 (6)(13)		16,000,000		15,999,693
Kells Funding LLC:
0.700%, 3/10/2017 (6)(13)		6,000,000		5,998,840
0.770%, 3/8/2017 (6)(13)		5,500,000		5,499,158

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

77

February 28, 2017 (Unaudited)

Schedules of Investments

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Manhattan Asset Funding Co.:
0.780%, 3/24/2017 (6)(13)	$	2,500,000	$	2,498,708
1.025%, 5/8/2017 (6)(8)		4,000,000		4,000,653
1.110%, 3/1/2017 (6)(8)		2,500,000		2,500,033
1.346%, 6/7/2017 (6)(8)		2,000,000		2,001,866
Old Line Funding LLC:
1.017%, 6/22/2017 (6)(8)		2,500,000		2,500,038
1.177%, 7/24/2017 (6)(8)		2,250,000		2,250,044
1.200%, 5/16/2017 (6)(8)		2,500,000		2,500,998
1.219%, 7/24/2017 (6)(8)		1,250,000		1,250,024
Regency Markets No. 1 LLC:
0.800%, 3/14/2017 (6)(13)		2,500,000		2,499,280
0.800%, 3/28/2017 (6)(13)		2,500,000		2,498,468
0.820%, 3/9/2017 (6)(13)		5,000,000		4,999,096
Thunder Bay Funding LLC:
1.081%, 8/14/2017 (6)(8)		2,500,000		2,500,055
1.177%, 6/6/2017 (6)(8)		2,500,000		2,499,968
1.181%, 7/11/2017 (6)(8)		2,500,000		2,499,956
1.190%, 5/15/2017 (6)(8)		2,500,000		2,501,721
1.191%, 6/13/2017 (6)(8)		2,500,000		2,500,034
1.269%, 4/20/2017 (6)(8)		2,500,000		2,499,984
Victory Receivables Corp.:
0.750%, 3/9/2017 (6)(13)		3,500,000		3,499,193
0.790%, 3/7/2017 (6)(13)		5,000,000		4,999,110
0.810%, 3/3/2017 (6)(13)		6,000,000		5,999,550
				101,752,727
Automobiles — 3.2%
Toyota Motor Credit Corp.:
1.196%, 3/3/2017 (8)		5,000,000		5,000,230
1.200%, 3/13/2017 (8)		3,500,000		3,500,664
1.283%, 8/3/2017 (8)		2,500,000		2,502,647
1.297%, 3/31/2017 (8)		2,500,000		2,501,238
				13,504,779
Chemicals — 1.2%
Praxair, Inc.,
0.610%, 3/2/2017 (13)		5,000,000		4,999,816
Diversified Financial Services — 1.8%
JP Morgan Securities LLC:
1.229%, 4/26/2017 (8)		2,000,000		2,001,321
1.330%, 7/10/2017 (8)		2,500,000		2,503,010
National Rural Utilities, 0.700%, 3/21/2017 (13)		3,000,000		2,998,816
				7,503,147
Foreign Banks — 8.6%
Commonwealth Bank of Australia:
1.222%, 3/10/2017 (6)(8)		2,500,000		2,500,387
1.327%, 6/19/2017 (6)(8)		2,500,000		2,502,618
DNB Bank ASA, 0.660%, 3/1/2017 (6)(13)		5,000,000		4,999,914
HSBC Bank PLC, 1.112%, 9/15/2017 (8)		3,250,000		3,250,581
Nordea Bank AB, 1.100%, 7/27/2017 (6)(13)		1,000,000		995,803
Suncorp Metway Ltd.:
0.770%, 3/22/2017 (6)(13)		3,000,000		2,998,299
1.050%, 3/14/2017 (6)(13)		2,000,000		1,999,284
1.330%, 7/17/2017 (6)(13)		2,000,000		1,989,706
1.360%, 8/9/2017 (6)(13)		2,250,000		2,236,038

Description	Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
Swedbank, 0.660%, 3/1/2017 (13)	$	9,750,000	$	9,749,833
Westpac Banking Corp., 1.232%, 10/20/2017 (6)(8)		2,500,000		2,504,582
				35,727,045
Government Development Banks — 2.4%
Swedish Export Credit, 0.740%, 3/16/2017 (13)		10,000,000		9,997,142
Government Regional — 1.6%
Province of Ontario, 0.640%, 3/1/2017 (13)		6,700,000		6,699,883
Life Insurance — 1.2%
MetLife Short Term Funding LLC, 0.950%, 5/15/2017 (6)(13)		5,000,000		4,990,025
Pharmaceuticals — 3.0%
Novartis Finance Corp.:
0.680%, 3/16/2017 (6)(13)		7,500,000		7,497,856
0.680%, 3/17/2017 (6)(13)		5,000,000		4,998,480
				12,496,336
Utilities — 2.2%
Florida Power & Light Co.:
0.830%, 3/29/2017 (13)		3,000,000		2,997,743
0.850%, 3/8/2017 (13)		6,000,000		5,998,778
				8,996,521
Winding Up Agencies — 2.4%
Erste Abwicklungsanstalt:
1.060%, 6/26/2017 (6)(13)		2,500,000		2,491,757
1.110%, 5/26/2017 (6)(13)		2,500,000		2,494,762
1.112%, 4/19/2017 (6)(8)		2,500,000		2,501,157
1.120%, 4/3/2017 (6)(8)		2,500,000		2,500,913
				9,988,589
Total Commercial Paper (identified cost $216,628,319)				216,656,010
Municipals — 11.4%
Maryland — 1.2%
Maryland Economic Development Corp., 0.630%, 2/15/2043 (8)		5,000,000		5,000,000
Mississippi — 1.6%
County of Jackson, 0.580%, 6/1/2023 (8)		6,500,000		6,500,000
North Carolina — 0.3%
County of Guilford, 0.600%, 3/1/2025 (8)		1,425,000		1,425,000
Ohio — 1.3%
Ohio State University, 0.600%, 6/1/2035 (8)		5,350,000		5,350,000
Texas — 1.2%
Gulf Coast Industrial Development Authority, 0.550%, 11/1/2041 (8)		5,000,000		5,000,000
Utah — 1.1%
County of Weber, 0.560%, 2/15/2035 (8)		4,500,000		4,500,000
Virginia — 2.0%
Loudoun County Economic Development Authority, 0.630%, 2/15/2038 (8)		8,250,000		8,250,000

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

78

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wyoming — 2.7%
County of Uinta, 0.580%, 8/15/2020 (8)	$	11,255,000	$	11,255,000
Total Municipals (identified cost $47,280,000)				47,280,000
Mutual Funds — 6.1%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 0.410%		9,425,047		9,425,047
Invesco Government & Agency Portfolio — Institutional Class, 0.470%		16,000,000		16,000,000
Total Mutual Funds (identified cost $25,425,047)				25,425,047
Repurchase Agreements — 13.2%
Agreement with Goldman Sachs Group, Inc., 0.530%, dated 2/28/2017, to be repurchased at $30,000,442 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 2/1/2047, with a market value of $30,509,768		30,000,000		30,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 0.530%, dated 2/28/2017, to be repurchased at $25,000,368 on 3/1/2017, collateralized by U.S. Government Agency Obligations with various maturities to 7/15/2032, with a market value of $25,464,370		25,000,000		25,000,000
Total Repurchase Agreements (identified cost $55,000,000)				55,000,000
Total Investments — 100.0% (identified cost $415,609,828)				415,700,554
Other Assets and Liabilities — 0.0%				(124,290	)
Total Net Assets — 100.0%			$	415,576,264

Portfolio Sector Allocation*
Sector	Fund
Certificates of Deposit		17.2	%
Commercial Paper		52.1
Municipals		11.4
Mutual Funds		6.1
Repurchase Agreements		13.2
Total		100.0	%

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

79

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 28, 2017. 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 28, 2017. 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 28, 2017 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. Descriptions appearing as “Other securities” in this summary Schedule of Investments represent issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of February 28, 2017. 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 28, 2017 these securities amounted to:

Fund	Amount		% of Total Net Assets
TCH Emerging Markets Bond Fund	$	8,857,366		68.94	%
Alternative Strategies Fund
Long		3,015,640		2.86
Short		984,734		0.93
Global Long/Short Equity Fund
Long		53,239		0.59
Short		101,362		1.13
Ultra Short Tax-Free Fund		100,510,321		16.63
Short Tax-Free Fund		17,263,145		9.54
Short-Term Income Fund		25,616,144		10.58

Fund	Amount		% of Total Net Assets
Intermediate Tax-Free Fund	$	27,229,250		1.70	%
Mortgage Income Fund		7,795,536		8.37
TCH Intermediate Income Fund		7,126,789		9.07
TCH Corporate Income Fund		23,505,364		10.09
TCH Core Plus Bond Fund		60,811,243		6.18
Monegy High Yield Bond Fund		20,224,116		39.83
Tax-Free Money Market Fund		44,945,000		11.80
Prime Money Market Fund		152,940,802		33.90
Institutional Prime Money Market Fund		151,954,308		36.56

(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 28, 2017.

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

(10) Issue is in default or bankruptcy.

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

(12) Interest on these securities is unapproved, and not reasonably expected to be received.

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

(14) 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.

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

(16) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represents 2.64%, as calculated based upon total portfolio market value.

(17) 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.

80

Notes to Schedules of Investments (continued)

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 REITs           — 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

81

February 28, 2017 (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		$	243,376,948	(1)	$	171,688,618	(1)	$	498,470,505	(1)	$	422,372,708	(1)	$	339,553,136	(1)
Cash sweep investments in affiliated issuers, at value			2,547,504			1,658,541			4,977,091			6,264,810			4,254,316
Dividends and interest receivable			296,845			387,592			816,859			297,656			340,610
Receivable for investments sold			—			1,133,037			2,675,910			—			—
Receivable for capital stock sold			541,755			86,171			348,083			1,185,570			156,215
Prepaid expenses and other receivables			18,031			22,125			40,619			41,745			34,029
Total assets			246,781,083			174,976,084			507,329,067			430,162,489			344,338,306
Liabilities:
Payable for return of securities lending collateral			81,325,876			54,172,005			159,922,205			136,239,178			113,733,758
Payable for investments purchased			—			—			4,205,489			—			—
Payable for capital stock redeemed			512,316			206,540			580,104			347,435			376,784
Payable to affiliates, net (Note 6)			71,626			60,146			200,936			171,056			171,146
Other liabilities			16,735			30,822			50,040			51,815			49,967
Total liabilities			81,926,553			54,469,513			164,958,774			136,809,484			114,331,655
Total net assets		$	164,854,530		$	120,506,571		$	342,370,293		$	293,353,005		$	230,006,651
Net assets consist of:
Paid-in capital		$	143,224,795		$	89,484,611		$	269,551,563		$	220,311,761		$	194,324,654
Net unrealized appreciation on investments			21,196,421			25,657,548			61,276,349			66,023,331			31,836,914
Accumulated net realized gain on investments			67,276			4,987,281			10,974,105			6,558,571			3,896,676
Undistributed net investment income (distributions in excess of net investment income)			366,038			377,131			568,276			459,342			(51,593	)
Total net assets		$	164,854,530		$	120,506,571		$	342,370,293		$	293,353,005		$	230,006,651
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		$	—		$	—		$	15.71		$	16.00		$	11.87
Advisor class of shares:
Net asset value and redemption proceeds per share			14.25			14.08			15.71			16.00			11.87
Offering price per share(2)			15.00			14.82			16.54			16.84			12.49
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share			14.30			14.11			15.73			16.13			11.84
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share			—			—			—			—			11.82
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share			—			—			15.74			16.14			11.84
Net assets:
Investor class of shares		$	—		$	—		$	185,912,612		$	185,271,682		$	148,329,947
Advisor class of shares			31,266,931			84,026,695			56,840			242,129			48,484
Institutional class of shares			133,587,599			36,479,876			156,343,512			107,784,478			68,455,413
Retirement class R-3 of shares			—			—			—			—			23,411
Retirement class R-6 of shares			—			—			57,329			54,716			13,149,396
Total net assets		$	164,854,530		$	120,506,571		$	342,370,293		$	293,353,005		$	230,006,651
	��
Shares outstanding:
Investor class of shares			—			—			11,835,198			11,579,823			12,496,218
Advisor class of shares			2,193,986			5,969,168			3,618			15,133			4,085
Institutional class of shares			9,341,714			2,585,828			9,938,045			6,681,170			5,781,469
Retirement class R-3 of shares			—			—			—			—			1,981
Retirement class R-6 of shares			—			—			3,643			3,390			1,110,284
Total shares outstanding			11,535,700			8,554,996			21,780,504			18,279,516			19,394,037
Investments, at cost:
Investments in unaffiliated issuers		$	222,180,701		$	146,031,219		$	437,194,311		$	356,349,735		$	307,716,640
Cash sweep investments in affiliated issuers			2,547,330			1,658,392			4,976,936			6,264,452			4,253,898
Total investments, at cost		$	224,728,031		$	147,689,611		$	442,171,247		$	362,614,187		$	311,970,538

(1) Including $79,082,879, $52,677,922, $155,511,494, $132,481,653 and $110,596,941, 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)

82

February 28, 2017 (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	$	176,967,885	(1)	$	102,153,586	(1)	$	27,663,439	(1)	$	278,597,219	(1)	$	47,501,040	(1)
Cash sweep investments in affiliated issuers, at value		1,909,364			1,715,476			424,213			3,157,962			—
Cash		—			—			—			—			218
Cash denominated in foreign currencies		—			—			—			—			111,484	(2)
Dividends and interest receivable		59,291			40,330			8,045			37,979			60,846
Receivable for investments sold		—			—			—			—			857,677
Receivable for capital stock sold		92,527			48,230			37,500			108,534			—
Prepaid expenses and other receivables		35,339			27,184			18,570			24,959			16,402
Total assets		179,064,406			103,984,806			28,151,767			281,926,653			48,547,667
Liabilities:
Payable for return of securities lending collateral		59,144,116			34,339,980			9,282,409			94,042,316			1,366,657
Payable for investments purchased		—			—			—			—			66,107
Payable for capital stock redeemed		247,409			38,153			—			219,881			—
Payable for foreign tax expense		—			—			—			—			2,403
Payable to affiliates, net (Note 6)		82,597			42,585			3,396			146,527			306,955
Other liabilities		50,876			31,317			10,602			57,383			27,993
Total liabilities		59,524,998			34,452,035			9,296,407			94,466,107			1,770,115
Total net assets	$	119,539,408		$	69,532,771		$	18,855,360		$	187,460,546		$	46,777,552
Net assets consist of:
Paid-in capital	$	104,962,314		$	58,290,967		$	15,584,515		$	169,613,057		$	42,697,054
Net unrealized appreciation on investments and foreign currency translation		13,554,987			9,447,555			2,937,955			18,773,384			4,735,827
Accumulated net realized gain (loss) on investments and foreign currency transactions		1,387,613			1,836,403			338,627			610,775			(650,208	)
Distributions in excess of net investment income		(365,506	)		(42,154	)		(5,737	)		(1,536,670	)		(5,121	)
Total net assets	$	119,539,408		$	69,532,771		$	18,855,360		$	187,460,546		$	46,777,552
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	$	13.89		$	—		$	—		$	17.39		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		13.89			13.66			13.16			—			12.41
Offering price per share(3)		14.62			14.38			13.85			—			13.06
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.43			13.83			13.22			17.97			12.43
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		14.21			13.66			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		14.49			13.88			—			—			—
Net assets:
Investor class of shares	$	87,878,306		$	—		$	—		$	104,952,039		$	—
Advisor class of shares		48,514			44,856,199			1,404,580			—			635,278
Institutional class of shares		31,570,722			22,916,715			17,450,780			82,508,507			46,142,274
Retirement class R-3 of shares		20,753			108,913			—			—			—
Retirement class R-6 of shares		21,113			1,650,944			—			—			—
Total net assets	$	119,539,408		$	69,532,771		$	18,855,360		$	187,460,546		$	46,777,552
Shares outstanding:
Investor class of shares		6,327,474			—			—			6,033,637			—
Advisor class of shares		3,493			3,282,688			106,718			—			51,211
Institutional class of shares		2,187,436			1,657,267			1,319,830			4,592,442			3,712,574
Retirement class R-3 of shares		1,460			7,976			—			—			—
Retirement class R-6 of shares		1,457			118,942			—			—			—
Total shares outstanding		8,521,320			5,066,873			1,426,548			10,626,079			3,763,785
Investments, at cost:
Investments in unaffiliated issuers	$	163,413,139		$	92,706,180		$	24,725,517		$	259,823,835		$	42,766,270
Cash sweep investments in affiliated issuers		1,909,123			1,715,327			424,180			3,157,962			—
Total investments, at cost	$	165,322,262		$	94,421,507		$	25,149,697		$	262,981,797		$	42,766,270

(1) Including $57,512,900, $33,392,871, $9,026,397, $91,448,596 and $1,283,249, 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 $111,576.

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

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

83

February 28, 2017 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Assets:
Investments in unaffiliated issuers, at value	$	60,386,280	(1)	$	679,344,225	(1)	$	145,137,324	(1)	$	14,493,596	(1)	$	107,765,253
Purchased options, at value		—			—			—			—			259,837
Cash		—			—			—			20,000			1,972
Deposit held at broker		—			—			—			—			27,700,528
Cash denominated in foreign currencies		18,479	(2)		514,217	(2)		361,282	(2)		—			3,139	(2)
Dividends and interest receivable		161,054			2,222,440			174,115			166,986			223,753
Receivable for investments sold		—			1,997,391			1,388,862			—			2,947,868
Receivable for capital stock sold		142,759			6,069,256			166,430			211			121,640
Receivable for daily variation margin		—			—			—			—			342,717
Receivable for forward foreign currency contracts		—			—			—			—			298,922
Receivable from affiliates, net (Note 6)		—			—			—			3,475			—
Prepaid expenses and other receivables		31,426			46,580			23,086			15,734			22,345
Total assets		60,739,998			690,194,109			147,251,099			14,700,002			139,687,974
Liabilities:
Securities sold short, at value (proceeds $28,617,162)		—			—			—			—			29,549,312
Options written, at value (proceeds $554,599)		—			—			—			—			543,941
Payable for dividends and interest on securities sold short		—			—			—			—			67,771
Payable for return of securities lending collateral		2,374,141			32,450,728			2,180,488			1,836,930			—
Payable for investments purchased		—			731,820			2,521,996			—			3,516,924
Payable for capital stock redeemed		—			745,352			923,625			125			—
Payable for daily variation margin		—			—			—			—			82,131
Payable for foreign tax expense		2,328			66,945			825,737			—			—
Payable for forward foreign currency contracts		—			—			—			—			365,542
Payable to affiliates, net (Note 6)		20,114			428,838			98,354			—			119,335
Other liabilities		30,683			174,383			77,840			15,498			132,550
Total liabilities		2,427,266			34,598,066			6,628,040			1,852,553			34,377,506
Total net assets	$	58,312,732		$	655,596,043		$	140,623,059		$	12,847,449		$	105,310,468
Net assets consist of:
Paid-in capital	$	58,790,009		$	670,177,792		$	132,909,096		$	13,069,446		$	101,314,778
Net unrealized appreciation on investments, options, futures contracts and foreign currency translation		4,973,874			20,882,326			15,916,191			72,073			5,383,167
Accumulated net realized loss on investments, options, futures contracts and foreign currency transactions		(5,154,066	)		(36,373,007	)		(8,180,946	)		(383,384	)		(592,351	)
Undistributed net investment income (distributions in excess of net investment income)		(297,085	)		908,932			(21,282	)		89,314			(795,126	)
Total net assets	$	58,312,732		$	655,596,043		$	140,623,059		$	12,847,449		$	105,310,468
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	$	—		$	12.07		$	—		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.93			12.07			13.41			10.20			10.55
Offering price per share		10.45	(3)		12.71	(3)		14.12	(3)		10.57	(4)		11.11	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.93			12.10			13.42			9.89			10.59
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			12.09			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			12.10			—			—			—
Net assets:
Investor class of shares	$	—		$	99,530,272		$	—		$	—		$	—
Advisor class of shares		131,024			173,728			49,658,018			115,992			257,065
Institutional class of shares		58,181,708			520,987,950			90,965,041			12,731,457			105,053,403
Retirement class R-3 of shares		—			23,523			—			—			—
Retirement class R-6 of shares		—			34,880,570			—			—			—
Total net assets	$	58,312,732		$	655,596,043		$	140,623,059		$	12,847,449		$	105,310,468

(Continued on next page)

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

84

February 28, 2017 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		TCH Emerging Markets Bond Fund		Alternative Strategies Fund
Shares outstanding:
Investor class of shares		—		8,247,257		—		—		—
Advisor class of shares		13,195		14,395		3,704,377		11,374		24,375
Institutional class of shares		5,856,748		43,069,154		6,777,628		1,286,996		9,917,560
Retirement class R-3 of shares		—		1,946		—		—		—
Retirement class R-6 of shares		—		2,882,590		—		—		—
Total shares outstanding		5,869,943		54,215,342		10,482,005		1,298,370		9,941,935
Investments, at cost:
Investments in unaffiliated issuers	$	55,410,513	$	658,418,313	$	129,224,510	$	14,421,572	$	101,586,508
Purchased options		—		—		—		—		327,874
Total investments, at cost	$	55,410,513	$	658,418,313	$	129,224,510	$	14,421,572	$	101,914,382

(1) Including $2,257,517, $31,126,459, $2,010,465 and $1,799,643, 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 are $18,493, $513,719, $359,856, and $3,150, respectively.

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

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

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

85

February 28, 2017 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Global Long/Short Equity Fund			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Assets:
Investments in unaffiliated issuers, at value	$	12,077,012	(1)	$	607,851,649		$	179,507,038		$	272,568,735	(1)	$	1,583,833,178
Cash sweep investments in affiliated issuers, at value		—			44,454			42,663			5,315,169			38,819
Investments in other affiliated issuers, at value		—			—			860,981			—			5,078,111
Cash		—			1,000			1,000			—			1,000
Cash denominated in foreign currencies		1,369	(2)		—			—			—			—
Dividends and interest receivable		19,945			2,289,745			1,372,321			992,812			15,952,539
Receivable for investments sold		—			—			—			3,007,649			—
Receivable for capital stock sold		—			270,290			71,442			420,282			1,549,830
Receivable from affiliates, net (Note 6)		891			—			—			—			—
Prepaid expenses and other receivables		30,223			37,814			24,140			26,385			62,329
Total assets		12,129,440			610,494,952			181,879,585			282,331,032			1,606,515,806
Liabilities:
Securities sold short, at value (proceeds $2,705,044)		2,694,760			—			���			—			—
Payable for dividends and interest on securities sold short		634			—			—			—			—
Payable for return of securities lending collateral		439,108			—			—			36,341,551			—
Payable for investments purchased		—			5,378,108			575,000			1,398,992			—
Payable for capital stock redeemed		—			400,443			195,850			2,267,681			3,889,927
Payable for foreign tax expense		1,019			—			—			—			—
Payable to affiliates, net (Note 6)		—			112,131			35,952			53,376			525,599
Payable for income distribution		—			288,213			144,731			157,729			692,794
Other liabilities		23,253			45,474			33,952			40,282			105,184
Total liabilities		3,158,774			6,224,369			985,485			40,259,611			5,213,504
Total net assets	$	8,970,666		$	604,270,583		$	180,894,100		$	242,071,421		$	1,601,302,302
Net assets consist of:
Paid-in capital	$	8,131,856		$	604,222,242		$	180,894,958		$	243,059,363		$	1,572,861,983
Net unrealized appreciation (depreciation) on investments and foreign currency translation		803,089			(11,346	)		248,081			837,773			39,699,604
Accumulated net realized gain (loss) on investments and foreign currency transactions		48,414			75,070			(256,583	)		(1,753,308	)		(11,325,975	)
Undistributed net investment income (distributions in excess of net investment income)		(12,693	)		(15,383	)		7,644			(72,407	)		66,690
Total net assets	$	8,970,666		$	604,270,583		$	180,894,100		$	242,071,421		$	1,601,302,302
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	$	—		$	10.07		$	10.14		$	9.36		$	11.15
Advisor class of shares:
Net asset value and redemption proceeds per share		11.80			10.07			10.14			9.36			11.15
Offering price per share		12.42	(3)		10.28	(4)		10.35	(4)		9.55	(4)		11.55	(5)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		11.82			10.07			10.15			9.38			11.15
Net assets:
Investor class of shares	$	—		$	45,536,321		$	17,585,530		$	52,510,266		$	1,058,154,338
Advisor class of shares		541,364			980,077			1,709,257			245,741			2,444,954
Institutional class of shares		8,429,302			557,754,185			161,599,313			189,315,414			540,703,010
Total net assets	$	8,970,666		$	604,270,583		$	180,894,100		$	242,071,421		$	1,601,302,302
Shares outstanding:
Investor class of shares		—			4,521,326			1,734,083			5,609,616			94,896,100
Advisor class of shares		45,862			97,312			168,548			26,252			219,268
Institutional class of shares		713,106			55,408,809			15,924,404			20,186,070			48,504,566
Total shares outstanding		758,968			60,027,447			17,827,035			25,821,938			143,619,934
Investments, at cost:
Investments in unaffiliated issuers	$	11,284,213		$	607,862,995		$	179,257,275		$	271,731,560		$	1,544,123,645
Cash sweep investments in affiliated issuers		—			44,454			42,663			5,314,571			38,819
Investments in other affiliated issuers		—			—			862,663			—			5,088,040
Total investments, at cost	$	11,284,213		$	607,907,449		$	180,162,601		$	277,046,131		$	1,549,250,504

(1) Including $416,625 and $35,339,238, 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 $1,398.

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

(4) Computation of offering price per share 100/98 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)

86

February 28, 2017 (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	$	91,897,520		$	84,211,204	(1)	$	266,685,755	(1)	$	1,208,283,252	(1)	$	48,679,212
Cash sweep investments in affiliated issuers, at value		1,032,709			5,898,146			14,614,012			32,287,867			1,381,253
Cash		—			4,000,000			—			—			—
Deposit held at broker		—			100,000			250,000			250,000			—
Dividends and interest receivable		288,327			398,882			1,798,083			5,124,574			788,097
Receivable for investments sold		281			—			984,777			4,923,883			113,330
Receivable for capital stock sold		650			1,140,675			1,045,396			2,025,090			35,726
Prepaid expenses and other receivables		23,669			17,387			29,901			50,193			27,397
Total assets		93,243,156			95,766,294			285,407,924			1,252,944,859			51,025,015
Liabilities:
Payable for return of securities lending collateral		—			17,059,991			45,959,544			261,793,463			—
Payable for investments purchased		—			—			6,006,445			5,000,000			133,335
Payable for capital stock redeemed		30,068			29,700			212,663			907,510			48,881
Payable to affiliates, net (Note 6)		36,406			22,786			70,493			308,895			14,536
Payable for income distribution		32,334			31,183			198,614			161,927			16,535
Other liabilities		31,121			20,716			33,109			64,172			34,771
Total liabilities		129,929			17,164,376			52,480,868			268,235,967			248,058
Total net assets	$	93,113,227		$	78,601,918		$	232,927,056		$	984,708,892		$	50,776,957
Net assets consist of:
Paid-in capital	$	97,702,416		$	100,385,868		$	231,117,251		$	981,153,808		$	52,816,771
Net unrealized appreciation on investments		886,753			914,889			1,973,524			4,734,449			2,285,602
Accumulated net realized loss on investments		(5,092,188	)		(22,653,692	)		(161,021	)		(811,937	)		(4,316,030	)
Distributions in excess of net investment income		(383,754	)		(45,147	)		(2,698	)		(367,428	)		(9,386	)
Total net assets	$	93,113,227		$	78,601,918		$	232,927,056		$	984,708,892		$	50,776,957
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	$	9.16		$	—		$	12.96		$	11.61		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		9.16			10.62			12.96			11.61			9.59
Offering price per share(2)		9.49			11.01			13.43			12.03			9.94
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.15			10.61			12.94			11.61			9.59
Net assets:
Investor class of shares	$	75,444,071		$	—		$	110,759,224		$	501,660,365		$	—
Advisor class of shares		31,323			19,255,165			557,500			1,942,823			30,693,929
Institutional class of shares		17,637,833			59,346,753			121,610,332			481,105,704			20,083,028
Total net assets	$	93,113,227		$	78,601,918		$	232,927,056		$	984,708,892		$	50,776,957
Shares outstanding:
Investor class of shares		8,239,941			—			8,548,381			43,198,038			—
Advisor class of shares		3,421			1,812,464			43,028			167,296			3,199,182
Institutional class of shares		1,927,924			5,592,178			9,396,696			41,440,376			2,095,151
Total shares outstanding		10,171,286			7,404,642			17,988,105			84,805,710			5,294,333
Investments, at cost:
Investments in unaffiliated issuers	$	91,010,767		$	83,296,726		$	264,713,434		$	1,203,551,386		$	46,393,700
Cash sweep investments in affiliated issuers		1,032,709			5,897,735			14,612,809			32,285,284			1,381,163
Total investments, at cost	$	92,043,476		$	89,194,461		$	279,326,243		$	1,235,836,670		$	47,774,863

(1) Including $16,589,471, $44,691,963 and $254,573,108, 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)

87

February 28, 2017 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	3,045,745,384		$	380,557,471		$	386,788,644		$	360,700,554
Investments in repurchase agreements		528,786,766			—			64,406,442			55,000,000
Cash		—			1,000			—			—
Dividends and interest receivable		740,248			470,153			136,127			158,888
Receivable for capital stock sold		43,480			—			—			—
Receivable for interfund lending to affiliates, net (Note 6)		604,317			—			—			—
Prepaid expenses and other receivables		49,835			32,104			56,293			18,216
Total assets		3,575,970,030			381,060,728			451,387,506			415,877,658
Liabilities:
Payable for investments purchased		224,997,188			—			—			—
Payable to affiliates, net (Note 6)		631,372			57,365			90,114			25,906
Payable for income distribution		711,068			128,626			112,064			210,496
Other liabilities		24,857			13,585			48,303			64,992
Total liabilities		226,364,485			199,576			250,481			301,394
Total net assets	$	3,349,605,545		$	380,861,152		$	451,137,025		$	415,576,264
Net assets consist of:
Paid-in capital	$	3,349,605,686		$	380,861,099		$	450,896,422		$	415,485,538
Net unrealized appreciation on investments		—			—			—			90,726
Accumulated net realized gain on investments		900			42,083			264,654			33
Distributions in excess of net investment income		(1,041	)		(42,030	)		(24,051	)		(33	)
Total net assets	$	3,349,605,545		$	380,861,152		$	451,137,025		$	415,576,264
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		$	1.0002
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00			1.00			1.00			1.0002
Net assets:
Investor class of shares	$	842,535,557		$	81,521,375		$	219,226,977		$	1,370,152
Premier class of shares		2,507,069,988			299,339,777			231,910,048			414,206,112
Total net assets	$	3,349,605,545		$	380,861,152		$	451,137,025		$	415,576,264
Shares outstanding:
Investor class of shares		842,536,931			81,518,810			219,288,958			1,369,864
Premier class of shares		2,507,068,755			299,369,957			231,872,082			414,118,709
Total shares outstanding		3,349,605,686			380,888,767			451,161,040			415,488,573
Investments, at cost:
Investments in unaffiliated issuers	$	3,574,532,150		$	380,557,471		$	451,195,086		$	415,609,828
Total investments, at cost	$	3,574,532,150		$	380,557,471		$	451,195,086		$	415,609,828

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

88

Six Months Ended February 28, 2017 (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	$	1,606,311	(1)	$	1,601,907		$	3,011,678		$	1,598,626		$	1,767,059
Affiliated issuers		8,956			5,529			12,908			13,255			15,432
Net securities lending income (Note 6)		78,256			63,913			166,904			129,546			110,290
Total income		1,693,523			1,671,349			3,191,490			1,741,427			1,892,781
Expenses:
Investment advisory fees (Note 6)		382,919			288,954			789,261			666,236			768,821
Shareholder servicing fees (Note 6)		—			—			216,966			209,255			179,391
Administration fees (Note 6)		114,876			86,686			236,739			199,832			159,447
Portfolio accounting fees		35,770			30,089			67,629			60,885			60,146
Recordkeeping fees		17,599			12,756			37,029			45,910			42,888
Custodian fees (Note 6)		3,526			2,660			7,268			6,135			5,166
Registration fees		16,080			15,902			36,196			35,624			31,875
Professional fees		12,438			12,438			12,621			12,621			12,621
Printing and postage		1,667			17,081			18,476			17,854			21,110
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 6):
Advisor class		25,023			99,131			50			434			47
Retirement class R-3		—			—			—			—			57
Miscellaneous		3,166			2,570			4,553			4,257			5,058
Total expenses		619,676			574,879			1,433,400			1,265,655			1,293,239
Deduct:
Expense waivers (Note 6)		(96,315	)		(100,108	)		(32,532	)		(56,650	)		(11,509	)
Net expenses		523,361			474,771			1,400,868			1,209,005			1,281,730
Net investment income		1,170,162			1,196,578			1,790,622			532,422			611,051
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		873,351			5,875,328			13,865,603			9,162,908			41,974,049
Investments in affiliated issuers		619			160			1,775			576			1,141
Total net realized gain		873,970			5,875,488			13,867,378			9,163,484			41,975,190
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		6,678,960			5,097,332			23,536,134			19,074,144			(15,833,053	)
Investments in affiliated issuers		174			149			155			358			418
Total net change in unrealized appreciation (depreciation)		6,679,134			5,097,481			23,536,289			19,074,502			(15,832,635	)
Net realized and unrealized gain on investments		7,553,104			10,972,969			37,403,667			28,237,986			26,142,555
Change in net assets resulting from operations	$	8,723,266		$	12,169,547		$	39,194,289		$	28,770,408		$	26,753,606

(1) Net of foreign taxes withheld of $2,243.

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

89

Six Months Ended February 28, 2017 (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	$	527,177	(1)	$	456,534		$	71,112		$	252,752		$	545,382	(1)
Affiliated issuers		9,733			4,778			1,085			15,739			—
Net securities lending income (Note 6)		67,105			40,662			11,620			414,698			4,185
Total income		604,015			501,974			83,817			683,189			549,567
Expenses:
Investment advisory fees (Note 6)		407,038			231,715			50,033			937,610			159,694
Shareholder servicing fees (Note 6)		105,794			—			—			148,455			—
Administration fees (Note 6)		89,117			49,904			11,546			189,665			36,852
Portfolio accounting fees		45,441			32,327			16,548			49,563			27,950
Recordkeeping fees		39,365			23,906			9,780			26,584			10,166
Custodian fees (Note 6)		2,735			1,557			355			5,814			30,042
Registration fees		31,844			26,176			14,480			19,737			15,299
Professional fees		12,621			12,438			12,438			12,621			12,572
Printing and postage		22,743			19,494			1,059			32,464			1,048
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 6):
Advisor class		35			54,055			1,000			—			392
Retirement class R-3		51			240			—			—			—
Miscellaneous		4,490			3,295			1,617			9,250			8,853
Total expenses		767,886			461,719			125,468			1,438,375			309,480
Deduct:
Expense waivers (Note 6)		(73,747	)		(73,373	)		(55,191	)		—			(99,402	)
Net expenses		694,139			388,346			70,277			1,438,375			210,078
Net investment income (loss)		(90,124	)		113,628			13,540			(755,186	)		339,489
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		26,924,135			7,689,501			508,089			68,610,422			(324,422	)
Investments in affiliated issuers		742			141			81			1,686			—
Foreign currency transactions		—			—			—			—			(25,874	)
Total net realized gain (loss)		26,924,877			7,689,642			508,170			68,612,108			(350,296	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(15,938,345	)		1,376,550			1,818,568			(49,948,868	)		630,998
Investments in affiliated issuers		241			149			33			—			—
Foreign currency translations		—			—			—			—			1,916
Total net change in unrealized appreciation (depreciation)		(15,938,104	)		1,376,699			1,818,601			(49,948,868	)		632,914
Net realized and unrealized gain on investments and foreign currency		10,986,773			9,066,341			2,326,771			18,663,240			282,618
Change in net assets resulting from operations	$	10,896,649		$	9,179,969		$	2,340,311		$	17,908,054		$	622,107

(1) Net of foreign taxes withheld of $969 and $27,340, respectively.

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

90

Six Months Ended February 28, 2017 (Unaudited)

Statements of Operations BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			TCH Emerging Markets Bond Fund			Alternative Strategies Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	484,557	(1)	$	5,197,934	(1)	$	822,360	(1)	$	1,902		$	591,000	(1)
Interest income		—			—			—			308,889			500,158
Net securities lending income (Note 6)		15,673			141,969			1,909			3,134			—
Total income		500,230			5,339,903			824,269			313,925			1,091,158
Expenses:
Investment advisory fees (Note 6)		185,162			2,276,684			613,474			35,911			903,265
Shareholder servicing fees (Note 6)		—			121,275			—			—			—
Administration fees (Note 6)		46,291			447,142			102,246			9,794			79,700
Portfolio accounting fees		55,911			44,800			25,003			8,217			153,822
Recordkeeping fees		10,013			260,554			15,183			8,869			10,835
Custodian fees (Note 6)		2,352			152,375			132,655			18,090			129,238
Registration fees		25,062			34,618			17,392			15,326			15,484
Professional fees		12,348			12,802			15,637			14,103			30,513
Printing and postage		941			18,147			17,468			1,043			1,034
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Interest expense and dividends on securities sold short		—			—			—			—			386,680
Distribution services fees (Note 6):
Advisor class		157			142			61,463			446			326
Retirement class R-3		—			58			—			—			—
Miscellaneous		7,557			3,047			11,588			2,539			7,136
Total expenses		352,406			3,378,256			1,018,721			120,950			1,724,645
Deduct:
Expense waivers (Note 6)		(74,505	)		(209,939	)		(173,374	)		(65,184	)		(299,425	)
Net expenses		277,901			3,168,317			845,347			55,766			1,425,220
Net investment income (loss)		222,329			2,171,586			(21,078	)		258,159			(334,062	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(1,251,306	)		(7,177,044	)		587,271	(2)		(115,960	)		2,981,094
Foreign currency transactions		(28,547	)		(125,231	)		(106,479	)		(1,996	)		(186	)
Forward contracts		—			—			—			—			32,104
Futures contracts		—			—			—			—			958,391
Purchased options		—			—			—			—			(560,886	)
Written options		—			—			—			—			(134,747	)
Short sales		—			—			—			—			(1,891,602	)
Total net realized gain (loss)		(1,279,853	)		(7,302,275	)		480,792			(117,956	)		1,384,168
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		4,716,723			13,657,476			(5,706,702	)		(145,520	)		1,908,232
Futures contracts		—			—			—			—			211,518
Forward contracts		—			—			—			—			(77,605	)
Purchased options		—			—			—			—			187,832
Written options		—			—			—			—			(337,444	)
Short sales		—			—			—			—			(256,820	)
Foreign currency translations		(2,804	)		(11,934	)		1,500			72			(397	)
Total net change in unrealized appreciation (depreciation)		4,713,919			13,645,542			(5,705,202	)		(145,448	)		1,635,316
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency		3,434,066			6,343,267			(5,224,410	)		(263,404	)		3,019,484
Change in net assets resulting from operations	$	3,656,395		$	8,514,853		$	(5,245,488	)	$	(5,245	)	$	2,685,422

(1) Net of foreign taxes withheld of $33,220, $378,830, $95,890 and $134, respectively.

(2) Net of foreign taxes withheld of $806,426, $783,458 of which is related to appreciated investments held at period end.

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

91

Six Months Ended February 28, 2017 (Unaudited)

Statements of Operations BMO Funds

	Global Long/Short Equity Fund			Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	54,007	(1)	$	—		$	—		$	89,912		$	357,915
Affiliated issuers		—			5,062			4,950			17,623			26,413
Interest income		—			3,467,991			1,595,712			2,523,344			25,651,747
Net securities lending income (Note 6)		737			—			—			69,365			—
Total income		54,744			3,473,053			1,600,662			2,700,244			26,036,075
Expenses:
Investment advisory fees (Note 6)		24,854			495,182			177,194			254,914			1,001,759
Shareholder servicing fees (Note 6)		—			60,105			20,147			70,819			1,427,866
Administration fees (Note 6)		3,728			437,800			135,975			198,727			1,286,927
Portfolio accounting fees		21,602			122,260			80,952			70,045			240,106
Recordkeeping fees		9,997			18,235			18,140			24,022			23,487
Custodian fees (Note 6)		8,511			13,432			4,172			6,096			39,480
Registration fees		25,223			30,474			24,212			24,795			35,714
Professional fees		13,588			14,726			14,726			14,726			14,726
Printing and postage		936			3,245			2,311			8,219			28,625
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Interest expense and dividends on securities sold short		17,315			—			—			—			—
Distribution services fees (Note 6):
Advisor class		587			261			1,560			230			2,403
Miscellaneous		5,307			8,812			3,300			4,799			20,822
Total expenses		138,260			1,211,144			489,301			684,004			4,128,527
Deduct:
Expense waivers (Note 6)		(86,804	)		(275,104	)		(113,621	)		(149,051	)		(86,141	)
Net expenses		51,456			936,040			375,680			534,953			4,042,386
Net investment income		3,288			2,537,013			1,224,982			2,165,291			21,993,689
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		99,226			598,968			(235,247	)		24,959			(9,674,656	)
Investments in affiliated issuers		—			—			—			677			—
Foreign currency transactions		1,622			—			—			—			—
Short sales		(32,915	)		—			—			—			—
Net realized gain on capital gains distributions from:
Investments in affiliated issuers		—			—			896			—			5,281
Total net realized gain (loss)		67,933			598,968			(234,351	)		25,636			(9,669,375	)
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		518,328			(410,458	)		(1,539,824	)		(1,192,806	)		(59,189,809	)
Investments in affiliated issuers		—			—			6			598			25
Short sales		52,884			—			—			—			—
Foreign currency translations		17			—			—			—			—
Total net change in unrealized appreciation (depreciation)		571,229			(410,458	)		(1,539,818	)		(1,192,208	)		(59,189,784	)
Net realized and unrealized gain (loss) on investments and foreign currency		639,162			188,510			(1,774,169	)		(1,166,572	)		(68,859,159	)
Change in net assets resulting from operations	$	642,450		$	2,725,523		$	(549,187	)	$	998,719		$	(46,865,470	)

(1) Net of foreign taxes withheld of $3,714.

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

92

Six Months Ended February 28, 2017 (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	$	1,926		$	9,794		$	24,353		$	85,885		$	4,769
Interest income		1,407,446			946,132			3,495,400			13,817,082			2,010,892
Net securities lending income (Note 6)		—			23,218			44,599			225,014			—
Total income		1,409,372			979,144			3,564,352			14,127,981			2,015,661
Expenses:
Investment advisory fees (Note 6)		124,235			97,009			204,343			621,182			163,803
Shareholder servicing fees (Note 6)		99,818			—			109,694			621,621			—
Administration fees (Note 6)		74,890			58,206			157,409			716,061			49,141
Portfolio accounting fees		38,865			25,506			52,571			131,936			38,064
Recordkeeping fees		27,893			19,762			17,399			19,889			12,324
Custodian fees (Note 6)		2,298			1,786			4,831			21,974			1,506
Registration fees		20,330			14,942			23,675			38,717			18,168
Professional fees		15,778			15,503			15,778			15,778			15,503
Printing and postage		6,034			2,192			6,986			18,686			16,203
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 6):
Advisor class		39			27,435			86			1,999			51,545
Miscellaneous		2,739			2,221			4,363			13,802			1,989
Total expenses		419,531			271,174			603,747			2,228,257			374,858
Deduct:
Expense waivers (Note 6)		(45,047	)		(30,318	)		(57,960	)		—			(110,369	)
Net expenses		374,484			240,856			545,787			2,228,257			264,489
Net investment income		1,034,888			738,288			3,018,565			11,899,724			1,751,172
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(58,192	)		(57,310	)		1,277,898			3,507,811			1,554,719
Investments in affiliated issuers		—			493			1,326			3,691			1,756
Total net realized gain (loss)		(58,192	)		(56,817	)		1,279,224			3,511,502			1,556,475
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(2,613,296	)		(522,748	)		(2,894,358	)		(22,548,087	)		(1,078,502	)
Investments in affiliated issuers		—			411			1,203			2,583			90
Total net change in unrealized depreciation		(2,613,296	)		(522,337	)		(2,893,155	)		(22,545,504	)		(1,078,412	)
Net realized and unrealized gain (loss) on investments		(2,671,488	)		(579,154	)		(1,613,931	)		(19,034,002	)		478,063
Change in net assets resulting from operations	$	(1,636,600	)	$	159,134		$	1,404,634		$	(7,134,278	)	$	2,229,235

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

93

Six Months Ended February 28, 2017 (Unaudited)

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	459,084		$	35,967		$	67,218		$	42,348
Interest income		6,529,970			1,381,966			1,760,368			1,501,366
Total income		6,989,054			1,417,933			1,827,586			1,543,714
Expenses:
Investment advisory fees (Note 6)		3,158,427			397,206			447,764			309,915
Shareholder servicing fees (Note 6)		1,057,613			103,739			374,007			1,632
Administration fees (Note 6)		545,050			66,560			100,139			69,249
Portfolio accounting fees		173,228			53,694			65,202			71,770
Recordkeeping fees		13,770			15,177			43,086			85,677
Custodian fees (Note 6)		74,916			9,142			13,715			9,515
Registration fees		31,440			35,321			37,015			25,792
Professional fees		14,201			16,301			16,301			16,301
Printing and postage		5,168			5,166			33,905			10,402
Directors’ fees		6,612			6,612			6,612			6,612
Miscellaneous		29,158			8,322			25,120			6,310
Total expenses		5,109,583			717,240			1,162,866			613,175
Deduct:
Expense waivers (Note 6)		(1,063,065	)		(215,857	)		(198,569	)		(198,323	)
Net expenses		4,046,518			501,383			964,297			414,852
Net investment income		2,942,536			916,550			863,289			1,128,862
Net realized and unrealized gain on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		267			22,435			265,813			1,851
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		900			33,710			88			34
Total net realized gain		1,167			56,145			265,901			1,885
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		—			—			—			90,726
Net realized and unrealized gain on investments		1,167			56,145			265,901			92,611
Change in net assets resulting from operations	$	2,943,703		$	972,695		$	1,129,190		$	1,221,473

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

94

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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 28, 2017 (Unaudited)				Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	1,170,162			$	1,719,750		$	1,196,578		$	2,902,334		$	1,790,622		$	4,610,415
Net realized gain (loss) on investments		873,970				1,240,148			5,875,488			354,810			13,867,378			(38,852	)
Net change in unrealized appreciation (depreciation) on investments		6,679,134				9,835,447			5,097,481			9,968,239			23,536,289			11,147,062
Change in net assets resulting from operations		8,723,266				12,795,345			12,169,547			13,225,383			39,194,289			15,718,625
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—				—			—			—			(1,124,762	)		(2,355,769	)
Advisor class of shares		(120,332	)			(93,308	)		(841,825	)		(1,799,680	)		(247	)		(496	)
Institutional class of shares		(1,070,335	)			(1,399,044	)		(433,942	)		(1,023,663	)		(1,085,977	)		(2,144,146	)
Retirement class R-3 of shares		—				—			—			—			—			—
Retirement class R-6 of shares		—				—			—			—			(438	)		(551	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—				—			—			—			(1,409,302	)		(16,736,440	)
Advisor class of shares		(242,749	)			(186,472	)		(664,793	)		(4,585,710	)		(311	)		(3,030	)
Institutional class of shares		(1,697,222	)			(2,310,319	)		(294,696	)		(2,265,425	)		(1,185,002	)		(12,497,098	)
Retirement class R-3 of shares		—				—			—			—			—			—
Retirement class R-6 of shares		—				—			—			—			(429	)		—
				��
Change in net assets resulting from distributions to shareholders		(3,130,638	)			(3,989,143	)		(2,235,256	)		(9,674,478	)		(4,806,468	)		(33,737,530	)
Capital stock transactions:
Proceeds from sale of shares		35,623,514				77,894,953			7,095,323			17,607,800			42,263,233			104,915,403
Net asset value of shares issued to shareholders in payment of distributions declared		2,968,841				3,775,035			2,151,855			9,308,888			4,729,367			33,226,566
Cost of shares redeemed		(29,807,654	)			(17,952,511	)		(15,924,889	)		(33,025,752	)		(46,187,625	)		(64,253,029	)
Change in net assets resulting from capital stock transactions		8,784,701				63,717,477			(6,677,711	)		(6,109,064	)		804,975			73,888,940
Change in net assets		14,377,329				72,523,679			3,256,580			(2,558,159	)		35,192,796			55,870,035
Net assets:
Beginning of period		150,477,201				77,953,522			117,249,991			119,808,150			307,177,497			251,307,462
End of period	$	164,854,530			$	150,477,201		$	120,506,571		$	117,249,991		$	342,370,293		$	307,177,497
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	366,038			$	386,543		$	377,131		$	456,320		$	568,276		$	989,078

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

96

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	532,422		$	709,679		$	611,051		$	2,409,099		$	(90,124	)	$	274,516		$	113,628		$	197,179
	9,163,484			15,242,072			41,975,190			26,245,163			26,924,877			8,811,909			7,689,642			2,472,186
	19,074,502			5,020,597			(15,832,635	)		(11,337,427	)		(15,938,104	)		(19,868,300	)		1,376,699			4,049,590
	28,770,408			20,972,348			26,753,606			17,316,835			10,896,649			(10,781,875	)		9,179,969			6,718,955
	(339,132	)		(172,029	)		(620,800	)		(1,451,373	)		(154,340	)		—			—			—
	(805	)		(108	)		(141	)		(283	)		(48	)		—			(127,825	)		—
	(433,373	)		(227,954	)		(406,171	)		(1,036,907	)		(120,879	)		—			(140,161	)		—
	—			—			(40	)		(140	)		—			—			(289	)		—
	(299	)		—			(86,426	)		(132,586	)		(115	)		—			(7,836	)		—
	(9,731,477	)		(23,424,642	)		(37,656,722	)		(17,282,806	)		(18,668,185	)		(17,885,662	)		—			—
	(23,106	)		(14,660	)		(10,206	)		(2,836	)		(6,793	)		(4,458	)		(4,014,101	)		(2,966,991	)
	(5,612,118	)		(9,138,591	)		(19,251,433	)		(8,980,221	)		(7,922,531	)		(11,158,688	)		(2,247,077	)		(864,410	)
	—			—			(7,265	)		(2,517	)		(5,167	)		(3,577	)		(8,082	)		(1,046	)
	(3,064	)		—			(3,042,303	)		(830,126	)		(5,155	)		(3,575	)		(90,268	)		(22,642	)
	(16,143,374	)		(32,977,984	)		(61,081,507	)		(29,719,795	)		(26,883,213	)		(29,055,960	)		(6,635,639	)		(3,855,089	)
	43,106,988			72,780,170			15,636,517			32,137,269			7,256,907			22,934,076			7,474,494			23,835,358
	15,952,822			32,554,872			60,113,520			29,132,606			26,605,786			28,499,772			6,551,652			3,718,316
	(37,941,601	)		(68,634,929	)		(42,658,534	)		(104,242,115	)		(24,826,348	)		(92,972,085	)		(16,184,329	)		(53,436,591	)
	21,118,209			36,700,113			33,091,503			(42,972,240	)		9,036,345			(41,538,237	)		(2,158,183	)		(25,882,917	)
	33,745,243			24,694,477			(1,236,398	)		(55,375,200	)		(6,950,219	)		(81,376,072	)		386,147			(23,019,051	)
	259,607,762			234,913,285			231,243,049			286,618,249			126,489,627			207,865,699			69,146,624			92,165,675
$	293,353,005		$	259,607,762		$	230,006,651		$	231,243,049		$	119,539,408		$	126,489,627		$	69,532,771		$	69,146,624
$	459,342		$	700,529		$	(51,593	)	$	450,934		$	(365,506	)	$	—		$	(42,154	)	$	120,329

97

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	13,540		$	35,444		$	(755,186	)	$	(1,545,872	)	$	339,489		$	770,195
Net realized gain (loss) on investments and foreign currency transactions		508,170			77,182			68,612,108			(66,588,079	)		(350,296	)		77,910
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		1,818,601			1,088,736			(49,948,868	)		22,778,741			632,914			3,976,037
Change in net assets resulting from operations		2,340,311			1,201,362			17,908,054			(45,355,210	)		622,107			4,824,142
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(559	)		—			—			—			(3,979	)		(842	)
Institutional class of shares		(45,376	)		(8,676	)		—			—			(903,509	)		(276,907	)
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	)		—			—
Advisor class of shares		(10,911	)		(4,815	)		—			—			(1,779	)		(5	)
Institutional class of shares		(235,447	)		(44,857	)		—			(21,414,838	)		(358,652	)		(1,223	)
Change in net assets resulting from distributions to shareholders		(292,293	)		(58,348	)		—			(40,458,273	)		(1,267,919	)		(278,977	)
Capital stock transactions:
Proceeds from sale of shares		5,568,307			7,519,961			14,660,425			122,730,351			21,290,666			30,143,065
Net asset value of shares issued to shareholders in payment of distributions declared		233,520			55,327			—			38,844,689			1,088,741			278,762
Cost of shares redeemed		(421,967	)		(1,552,099	)		(180,937,467	)		(386,000,081	)		(14,130,774	)		(78,393	)
Redemption fees		—			—			—			—			50			—
Change in net assets resulting from capital stock transactions		5,379,860			6,023,189			(166,277,042	)		(224,425,041	)		8,248,683			30,343,434
Change in net assets		7,427,878			7,166,203			(148,368,988	)		(310,238,524	)		7,602,871			34,888,599
Net assets:
Beginning of period		11,427,482			4,261,279			335,829,534			646,068,058			39,174,681			4,286,082
End of period	$	18,855,360		$	11,427,482		$	187,460,546		$	335,829,534		$	46,777,552		$	39,174,681
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(5,737	)	$	26,658		$	(1,536,670	)	$	(781,484	)	$	(5,121	)	$	562,878

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

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

98

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016 (1)			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	222,329		$	1,597,236		$	2,171,586		$	16,087,942		$	(21,078	)	$	1,453,122		$	258,159		$	371,826
	(1,279,853	)		(4,330,485	)		(7,302,275	)		(25,932,608	)		480,792			(5,190,819	)		(117,956	)		(285,616	)
	4,713,919			259,955			13,645,542			47,465,510			(5,705,202	)		26,731,218			(145,448	)		623,408
	3,656,395			(2,473,294	)		8,514,853			37,620,844			(5,245,488	)		22,993,521			(5,245	)		709,618
	—			—			(2,021,310	)		(1,934,163	)		—			—			—			—
	(3,317	)		—			(2,389	)		(16,401	)		(239,982	)		(565,517	)		—			(184,869	)
	(1,673,168	)		—			(11,624,253	)		(13,383,043	)		(717,841	)		(891,245	)		(401,330	)		(187,204	)
	—			—			(421	)		(399	)		—			—			—			—
	—			—			(652,042	)		(314,323	)		—			—			—			—
	—			—			—			—			—			—			—			—
	—			—			—			—			—			—			—			(35,898	)
	—			—			—			—			—			—			—			(35,236	)
	(1,676,485	)		—			(14,300,415	)		(15,648,329	)		(957,823	)		(1,456,762	)		(401,330	)		(443,207	)
	2,544,177			82,544,586			167,487,349			193,170,479			33,023,578			36,515,328			15,213,243			6,501
	1,670,653			—			9,352,958			7,286,600			866,511			1,293,611			391,248			443,207
	(15,440,822	)		(12,512,586	)		(117,376,430	)		(345,856,593	)		(17,793,867	)		(77,615,987	)		(10,694,643	)		(66,846	)
	—			108			2,933			10,295			285			254			423			—
	(11,225,992	)		70,032,108			59,466,810			(145,389,219	)		16,096,507			(39,806,794	)		4,910,271			382,862
	(9,246,082	)		67,558,814			53,681,248			(123,416,704	)		9,893,196			(18,270,035	)		4,503,696			649,273
	67,558,814			—			601,914,795			725,331,499			130,729,863			148,999,898			8,343,753			7,694,480
$	58,312,732		$	67,558,814		$	655,596,043		$	601,914,795		$	140,623,059		$	130,729,863		$	12,847,449		$	8,343,753
$	(297,085	)	$	1,157,071		$	908,932		$	13,037,761		$	(21,282	)	$	957,619		$	89,314		$	232,485

99

Statements of Changes in Net Assets

	Alternative Strategies Fund						Global Long/Short Equity Fund						Ultra Short Tax-Free Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016 (1)			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(334,062	)	$	(691,816	)	$	3,288		$	15,944		$	2,537,013		$	4,066,409
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		1,384,168			(1,592,956	)		67,933			5,470			598,968			219,331
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		1,635,316			3,205,423			571,229			231,860			(410,458	)		15,848
Change in net assets resulting from operations		2,685,422			920,651			642,450			253,274			2,725,523			4,301,588
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			(153,347	)		(238,848	)
Advisor class of shares		—			—			(1,759	)		—			(747	)		(142	)
Institutional class of shares		—			(80,732	)		(23,821	)		—			(2,382,919	)		(3,827,419	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			(49,470	)		(57,924	)
Advisor class of shares		—			(4,097	)		(3,694	)		—			(91	)		(47	)
Institutional class of shares		—			(965,757	)		(31,174	)		—			(590,146	)		(615,255	)
Change in net assets resulting from distributions to shareholders		—			(1,050,586	)		(60,448	)		—			(3,176,720	)		(4,739,635	)
Capital stock transactions:
Proceeds from sale of shares		7,720,412			86,984,278			4,302,306			4,031,365			231,817,476			397,573,428
Net asset value of shares issued to shareholders in payment of distributions declared		—			967,655			27,773			—			1,268,671			1,987,757
Cost of shares redeemed		(14,509,360	)		(13,680,094	)		(168,880	)		(57,174	)		(230,343,532	)		(563,825,769	)
Change in net assets resulting from capital stock transactions		(6,788,948	)		74,271,839			4,161,199			3,974,191			2,742,615			(164,264,584	)
Change in net assets		(4,103,526	)		74,141,904			4,743,201			4,227,465			2,291,418			(164,702,631	)
Net assets:
Beginning of period		109,413,994			35,272,090			4,227,465			—			601,979,165			766,681,796
End of period	$	105,310,468		$	109,413,994		$	8,970,666		$	4,227,465		$	604,270,583		$	601,979,165
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(795,126	)	$	(461,064	)	$	(12,693	)	$	9,599		$	(15,383	)	$	(15,383	)

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

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

100

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund							Mortgage Income Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016				Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	1,224,982		$	1,979,487		$	2,165,291		$	3,631,630		$	21,993,689		$	40,557,680			$	1,034,888		$	2,650,384
	(234,351	)		60,387			25,636			290,853			(9,669,375	)		5,539,237				(58,192	)		654,730
	(1,539,818	)		1,077,276			(1,192,208	)		2,643,827			(59,189,784	)		52,312,210				(2,613,296	)		1,346,851
	(549,187	)		3,117,150			998,719			6,566,310			(46,865,470	)		98,409,127				(1,636,600	)		4,651,965
	(98,424	)		(185,196	)		(424,116	)		(675,983	)		(14,195,745	)		(27,499,998	)			(1,102,951	)		(2,520,683	)
	(7,682	)		(7,632	)		(1,393	)		(502	)		(24,146	)		(44,788	)			(434	)		(812	)
	(1,119,772	)		(1,786,659	)		(1,813,548	)		(3,572,053	)		(7,779,078	)		(13,012,894	)	��		(300,330	)		(728,392	)
	(5,099	)		(53,401	)		—			—			(3,552,901	)		(2,043,712	)			—			—
	(377	)		(1,269	)		—			—			(5,751	)		(3,906	)			—			—
	(51,518	)		(280,303	)		—			—			(1,761,746	)		(788,345	)			—			—
	(1,282,872	)		(2,314,460	)		(2,239,057	)		(4,248,538	)		(27,319,367	)		(43,393,643	)			(1,403,715	)		(3,249,887	)
	52,203,547			134,561,550			54,769,447			199,061,625			231,012,407			569,389,446				1,914,781			23,372,036
	397,543			583,082			1,191,351			2,617,594			22,545,214			35,545,708				1,190,399			2,729,391
	(55,178,725	)		(81,519,478	)		(106,267,947	)		(241,672,762	)		(423,023,351	)		(627,844,836	)			(14,301,362	)		(37,540,648	)
	(2,577,635	)		53,625,154			(50,307,149	)		(39,993,543	)		(169,465,730	)		(22,909,682	)			(11,196,182	)		(11,439,221	)
	(4,409,694	)		54,427,844			(51,547,487	)		(37,675,771	)		(243,650,567	)		32,105,802				(14,236,497	)		(10,037,143	)
	185,303,794			130,875,950			293,618,908			331,294,679			1,844,952,869			1,812,847,067				107,349,724			117,386,867
$	180,894,100		$	185,303,794		$	242,071,421		$	293,618,908		$	1,601,302,302		$	1,844,952,869			$	93,113,227		$	107,349,724
$	7,644		$	8,540		$	(72,407	)	$	1,359		$	66,690		$	71,970			$	(383,754	)	$	(14,927	)

101

Statements of Changes in Net Assets

	TCH Intermediate Income Fund						TCH Corporate Income Fund						TCH Core Plus Bond Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	738,288		$	2,138,497		$	3,018,565		$	8,488,508		$	11,899,724		$	31,078,645
Net realized gain (loss) on investments		(56,817	)		(510,511	)		1,279,224			348,361			3,511,502			(760,961	)
Net change in unrealized appreciation (depreciation) on investments		(522,337	)		2,751,532			(2,893,155	)		10,485,972			(22,545,504	)		38,114,466
Change in net assets resulting from operations		159,134			4,379,518			1,404,634			19,322,841			(7,134,278	)		68,432,150
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			(1,230,423	)		(3,428,757	)		(6,083,821	)		(16,668,242	)
Advisor class of shares		(198,670	)		(603,870	)		(974	)		(2,556	)		(19,575	)		(29,941	)
Institutional/Premier class of shares		(574,738	)		(1,591,095	)		(1,787,168	)		(5,057,195	)		(6,150,651	)		(14,807,318	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			(669,458	)		(418,374	)		(1,604,981	)		(197,248	)
Advisor class of shares		—			—			(393	)		(93	)		(5,068	)		(295	)
Institutional/Premier class of shares		—			—			(1,035,668	)		(572,757	)		(1,455,998	)		(156,189	)
Change in net assets resulting from distributions to shareholders		(773,408	)		(2,194,965	)		(4,724,084	)		(9,479,732	)		(15,320,094	)		(31,859,233	)
Capital stock transactions:
Proceeds from sale of shares		9,898,332			20,469,160			61,907,913			46,517,931			124,784,776			215,750,635
Net asset value of shares issued to shareholders in payment of distributions declared		586,817			1,577,433			3,002,377			5,815,437			14,349,844			29,598,956
Cost of shares redeemed		(12,194,532	)		(48,693,089	)		(40,802,077	)		(150,156,892	)		(100,663,323	)		(388,706,092	)
Change in net assets resulting from capital stock transactions		(1,709,383	)		(26,646,496	)		24,108,213			(97,823,524	)		38,471,297			(143,356,501	)
Change in net assets		(2,323,657	)		(24,461,943	)		20,788,763			(87,980,415	)		16,016,925			(106,783,584	)
Net assets:
Beginning of period		80,925,575			105,387,518			212,138,293			300,118,708			968,691,967			1,075,475,551
End of period	$	78,601,918		$	80,925,575		$	232,927,056		$	212,138,293		$	984,708,892		$	968,691,967
Distributions in excess of net investment income included in net assets at end of period	$	(45,147	)	$	(10,027	)	$	(2,698	)	$	(2,698	)	$	(367,428	)	$	(13,105	)

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

102

BMO Funds

Monegy High Yield Bond Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	1,751,172		$	3,905,456		$	2,942,536		$	733,948		$	916,550		$	707,407		$	863,289		$	5,070,691
	1,556,475			(4,008,398	)		1,167			1,602			56,145			299,462			265,901			13,842
	(1,078,412	)		5,004,789			—			—			—			—			—			—
	2,229,235			4,901,847			2,943,703			735,550			972,695			1,006,869			1,129,190			5,084,533
	—			—			(190,740	)		(13,465	)		(117,360	)		(39,268	)		(239,103	)		(386,549	)
	(1,086,584	)		(2,343,275	)		—			—			—			—			—			—
	(664,587	)		(1,562,181	)		(2,752,696	)		(720,483	)		(832,900	)		(669,366	)		(624,274	)		(4,684,142	)
	—			—			(72	)		(265	)		(17,955	)		(53,619	)		(582	)		(5,949	)
	—			—			—			—			—			—			—			—
	—			—			(195	)		(1,478	)		(66,796	)		(182,300	)		(665	)		(7,893	)
	(1,751,171	)		(3,905,456	)		(2,943,703	)		(735,691	)		(1,035,011	)		(944,553	)		(864,624	)		(5,084,533	)
	2,904,597			48,801,469			7,595,607,496			5,808,935,538			339,563,866			1,842,462,751			469,546,271			10,819,024,804
	1,635,160			3,593,223			282,500			144,953			123,859			85,897			210,801			454,947
	(60,596,256	)		(20,052,181	)		(6,482,160,782	)		(4,142,091,449	)		(362,816,711	)		(2,095,615,919	)		(1,591,357,631	)		(13,119,885,203	)
	(56,056,499	)		32,342,511			1,113,729,214			1,666,989,042			(23,128,986	)		(253,067,271	)		(1,121,600,559	)		(2,300,405,452	)
	(55,578,435	)		33,338,902			1,113,729,214			1,666,988,901			(23,191,302	)		(253,004,955	)		(1,121,335,993	)		(2,300,405,452	)
	106,355,392			73,016,490			2,235,876,331			568,887,430			404,052,454			657,057,409			1,572,473,018			3,872,878,470
$	50,776,957		$	106,355,392		$	3,349,605,545		$	2,235,876,331		$	380,861,152		$	404,052,454		$	451,137,025		$	1,572,473,018
$	(9,386	)	$	(9,387	)	$	(1,041	)	$	(141	)	$	(42,030	)	$	(8,320	)	$	(24,051	)	$	(23,963	)

103

Statements of Changes in Net Assets

	Institutional Prime Money Market Fund
	Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016 (1)
Change in net assets resulting from:
Operations:
Net investment income	$	1,128,862		$	384,445
Net realized gain on investments		1,885			1,744
Net change in unrealized appreciation (depreciation) on investments		90,726			—
Change in net assets resulting from operations		1,221,473			386,189
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,967	)		(24	)
Premier class of shares		(1,126,928	)		(384,421	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(6	)		—
Premier class of shares		(1,846	)		(1,744	)
Change in net assets resulting from distributions to shareholders		(1,130,747	)		(386,189	)
Capital stock transactions:
Proceeds from sale of shares		401,763,168			748,116,962
Net asset value of shares issued to shareholders in payment of distributions declared		1,899			68
Cost of shares redeemed		(402,489,913	)		(331,906,646	)
Change in net assets resulting from capital stock transactions		(724,846	)		416,210,384
Change in net assets		(634,120	)		416,210,384
Net assets:
Beginning of period		416,210,384			—
End of period	$	415,576,264		$	416,210,384
Distributions in excess of net investment income included in net assets at end of period	$	(33	)	$	—

(1) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

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

104

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Value Fund
2017(9)		$	14.14		$	0.07			$	1.71			$	1.78			$	(0.09	)		$	(0.12	)		$	(0.21	)		$	15.71		12.70	%		1.02	%		1.00	%		1.02	%		$	185,913		31	%
2016			15.23			0.22				0.52				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.56				170,275		60
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
Large-Cap Growth Fund
2017(9)			15.34			0.03				1.57				1.60				(0.04	)			(0.90	)			(0.94	)			16.00		10.88			1.04			1.00			0.31				185,272		38
2016			16.26			0.03				1.44				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.23				163,712		70
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
Mid-Cap Value Fund
2017(9)			14.40			0.02				1.27				1.29				(0.05	)			(3.77	)			(3.82	)			11.87		12.50			1.25			1.24			0.45				148,330		110
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.82				144,236		24
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
Mid-Cap Growth Fund
2017(9)			16.26			(0.02	)			1.21				1.19				(0.02	)			(3.54	)			(3.56	)			13.89		9.63			1.37			1.24			(0.23	)			87,878		111
2016			20.02			0.00				(0.88	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.06				86,841		59
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
Small-Cap Growth Fund
2017(9)			16.11			(0.10	)			1.38				1.28				—				—				—				17.39		7.95			1.28			1.28			(0.74	)			104,952		130
2016			18.11			(0.15	)			(0.61	)			(0.76	)			—				(1.24	)			(1.24	)			16.11		(3.94	)		1.43			1.43			(0.45	)			156,104		63
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
Pyrford International Stock Fund
2017(3)(9)			12.18			0.03				0.11				0.14				(0.25	)			—				(0.25	)			12.07		1.24			1.31			1.24			0.49				99,530		9
2016(3)			11.74			0.24				0.44				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			2.20				99,916		12
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
2017(9)			10.08			0.03				0.00				0.03				(0.03	)			(0.01	)			(0.04	)			10.07		0.32			0.64			0.55			0.64				45,537		49
2016			10.08			0.04				0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.40				53,313		56
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

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

105

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Short Tax-Free Fund
2017(9)		$	10.24		$	0.06		$	(0.10	)		$	(0.04	)		$	(0.06	)		$	(0.00	)		$	(0.06	)		$	10.14		(0.34	)%		0.77	%		0.55	%		1.22	%		$	17,586		43	%
2016			10.20			0.11			0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.06				15,561		39
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
2017(9)			9.40			0.07			(0.04	)			0.03				(0.07	)			—				(0.07	)			9.36		0.32			0.71			0.60			1.44				52,510		22
2016			9.33			0.08			0.09				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.91				58,955		64
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
Intermediate Tax-Free Fund
2017(9)			11.61			0.14			(0.43	)			(0.29	)			(0.14	)			(0.03	)			(0.17	)			11.15		(2.46	)		0.57			0.55			2.49				1,058,154		20
2016			11.26			0.25			0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.19				1,241,387		42
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
Mortgage Income Fund
2017(9)			9.43			0.09			(0.23	)			(0.14	)			(0.13	)			—				(0.13	)			9.16		(1.52	)		0.89			0.80			2.03				75,444		7
2016			9.31			0.21			0.17				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.28				85,665		13
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
TCH Corporate Income Fund
2017(9)			13.17			0.18			(0.10	)			0.08				(0.18	)			(0.11	)			(0.29	)			12.96		0.64			0.72			0.59			2.81				110,759		29
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.65				82,643		62
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
TCH Core Plus Bond Fund
2017(9)			11.89			0.14			(0.24	)			(0.10	)			(0.14	)			(0.04	)			(0.18	)			11.61		(0.85	)		0.59			0.59			2.37				501,660		20
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			3.00				508,030		39
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
Government Money Market Fund
2017(9)			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.50			0.38			0.04				842,536		—
2016			1.00			0.00			0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.29			0.01				268,417		—
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		—

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

106

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Tax-Free Money Market Fund
2017(9)		$	1.00		$	0.00		$	0.00		$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.16	%		0.56	%		0.45	%		0.27	%		$	81,521		—	%
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.06			0.53			0.26			0.03				90,098		—
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		—
Prime Money Market Fund
2017(9)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.10			0.52			0.45			0.16				219,227		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.45			0.38			0.03				903,864		—
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		—
Institutional Prime Money Market Fund
2017(9)			1.00			0.0015			0.0002			0.0017			(0.0015	)			(0.0000	)			(0.0015	)			1.0002		0.17			0.55			0.45			0.30				1,370		—
2016(8)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.54			0.45			0.14				992		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 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) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

(9) For the six months ended February 28, 2017 (Unaudited).

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

107

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2017(10)		$	13.79		$	0.08			$	0.64			$	0.72			$	(0.09	)		$	(0.17	)		$	(0.26	)		$	14.25		5.34	%		1.03	%		0.90	%		1.30	%		$	31,267		29	%
2016			12.81			0.16				1.35				1.51				(0.17	)			(0.36	)			(0.53	)			13.79		12.13			1.05			0.90			1.40				15,064		40
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
2017(10)			12.94			0.13				1.26				1.39				(0.14	)			(0.11	)			(0.25	)			14.08		10.86			1.07			0.90			1.99				84,027		23
2016			12.59			0.30				1.11				1.41				(0.30	)			(0.76	)			(1.06	)			12.94		11.89			1.08			0.90			2.44				78,531		51
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
2017(10)			14.14			0.07				1.71				1.78				(0.09	)			(0.12	)			(0.21	)			15.71		12.70			1.02			1.00			1.03				57		31
2016			15.23			0.21				0.53				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.61				37		60
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
2017(10)			15.34			0.05				1.55				1.60				(0.04	)			(0.90	)			(0.94	)			16.00		10.88			1.04			1.00			0.32				242		38
2016			16.26			0.02				1.45				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.29				405		70
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
2017(10)			14.40			0.02				1.27				1.29				(0.05	)			(3.77	)			(3.82	)			11.87		12.50			1.25			1.24			0.43				49		110
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.90				39		24
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
2017(10)			16.26			(0.00	)			1.19				1.19				(0.02	)			(3.54	)			(3.56	)			13.89		9.63			1.37			1.24			(0.22	)			48		111
2016			20.02			0.03				(0.91	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.09				31		59
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
2017(10)			13.21			0.01				1.74				1.75				(0.04	)			(1.26	)			(1.30	)			13.66		14.60			1.46			1.24			0.24				44,856		105
2016			12.72			0.03				0.98				1.01				—				(0.52	)			(0.52	)			13.21		8.23			1.39			1.24			0.17				42,615		39
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
2017(10)			11.57			(0.01	)			1.81				1.80				(0.01	)			(0.20	)			(0.21	)			13.16		15.56			1.86			1.15			(0.11	)			1,404		33
2016			10.41			0.02				1.22				1.24				—				(0.08	)			(0.08	)			11.57		11.97			2.54			1.15			0.19				647		70
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
2017(3)(10)			12.61			0.02				0.03				0.05				(0.17	)			(0.08	)			(0.25	)			12.41		0.51			1.51			1.10			1.08				635		51
2016(3)			11.31			0.11				1.25				1.36				(0.06	)			(0.00	)			(0.06	)			12.61		12.11			1.63			1.10			2.04				266		36
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
2017(3)(10)			9.56			0.02				0.60				0.62				(0.25	)			—				(0.25	)			9.93		6.65			1.39			1.15			0.42				131		36
2016(3)(8)			10.00			0.23				(0.67	)			(0.44	)			—				—				—				9.56		(4.40	)		1.15			1.15			2.53				125		64

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

108

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Pyrford International Stock Fund
2017(3)(10)		$	12.18		$	(0.03	)		$	0.17			$	0.14			$	(0.25	)		$	—			$	(0.25	)		$	12.07		1.24	%		1.31	%		1.24	%		0.49	%		$	174		9	%
2016(3)			11.74			0.33				0.35				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			0.92				88		12
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
2017(3)(10)			14.04			(0.02	)			(0.55	)			(0.57	)			(0.06	)			—				(0.06	)			13.41		(4.01	)		1.65			1.40			(0.19	)			49,658		19
2016(3)			12.12			0.16				1.86				2.02				(0.10	)			—				(0.10	)			14.04		16.88			1.64			1.40			0.92				51,879		24
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
TCH Emerging Markets Bond Fund
2017(3)(10)(11)			10.16			0.19				(0.15	)			0.04				—				—				—				10.20		0.39			2.10			1.00			3.08				116		24
2016(3)			9.89			0.45				0.38				0.83				(0.47	)			(0.09	)			(0.56	)			10.16		9.20			2.84			1.00			4.76				4,168		44
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
2017(3)(10)			10.30			(0.05	)			0.30				0.25				—				—				—				10.55		2.43			3.50	(9)		2.93	(9)		(0.89	)			257		163
2016(3)			10.40			(0.07	)			0.07				0.00				—				(0.10	)			(0.10	)			10.30		(0.02	)		1.87	(9)		1.50	(9)		(0.14	)			286		279
2015(3)(7)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(9)		2.72	(9)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2017(3)(10)			10.68			0.00				1.25				1.25				(0.04	)			(0.09	)			(0.13	)			11.80		11.88			5.76	(9)		2.29	(9)		(0.02	)			542		18
2016(3)(8)			10.00			0.03				0.65				0.68				—				—				—				10.68		6.80			9.46	(9)		2.36	(9)		0.46				510		45
Ultra Short Tax-Free Fund
2017(10)			10.08			0.03				0.00				0.03				(0.03	)			(0.01	)			(0.04	)			10.07		0.32			0.64			0.55			0.72				980		49
2016			10.08			0.04				0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.39				25		56
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
2017(10)			10.24			0.06				(0.10	)			(0.04	)			(0.06	)			(0.00	)			(0.06	)			10.14		(0.34	)		0.77			0.55			1.23				1,709		43
2016			10.20			0.11				0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.04				1,151		39
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
2017(10)			9.40			0.07				(0.04	)			0.03				(0.07	)			—				(0.07	)			9.36		0.32			0.71			0.60			1.46				246		22
2016			9.33			0.10				0.07				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.98				157		64
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
2017(10)			11.61			0.13				(0.42	)			(0.29	)			(0.14	)			(0.03	)			(0.17	)			11.15		(2.46	)		0.57			0.55			2.33				2,445		20
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.18				1,693		42
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
2017(10)			9.43			0.09				(0.23	)			(0.14	)			(0.13	)			—				(0.13	)			9.16		(1.52	)		0.89			0.80			2.03				31		7
2016			9.31			0.22				0.16				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.27				32		13
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

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

109

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
TCH Intermediate Income Fund
2017(10)		$	10.71		$	0.09		$	(0.08	)		$	0.01			$	(0.10	)		$	—			$	(0.10	)		$	10.62		0.06	%		0.88	%		0.80	%		1.72	%		$	19,255		7	%
2016			10.35			0.24			0.37				0.61				(0.25	)			—				(0.25	)			10.71		5.95			0.86			0.80			2.30				23,912		50
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
2017(10)			13.17			0.18			(0.10	)			0.08				(0.18	)			(0.11	)			(0.29	)			12.96		0.64			0.72			0.59			2.84				558		29
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.77				66		62
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
2017(10)			11.89			0.14			(0.24	)			(0.10	)			(0.14	)			(0.04	)			(0.18	)			11.61		(0.85	)		0.59			0.59			2.37				1,943		20
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			2.99				1,434		39
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
Monegy High Yield Bond Fund
2017(10)			9.49			0.25			0.10				0.35				(0.25	)			—				(0.25	)			9.59		3.76			1.24			0.90			5.27				30,694		26
2016			9.41			0.48			0.08				0.56				(0.48	)			—				(0.48	)			9.49		6.22			1.21			0.90			5.15				72,010		51
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 6 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 16, 2014 (inception date) to August 31, 2015.

(8) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

(9) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios, respectively, excluding interest expense and dividends on securities sold short are as follows:

Alternatives Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2017	2.77%	2.20%	2017	5.07%	1.60%
2016	3.01	2.20	2016	8.70	1.60
2015	4.42	2.20

(10) For the six months ended February 28, 2017 (Unaudited).

(11) Calculated using the average shares method.

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

110

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																			Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2017(14)		$	13.84		$	0.11				$	0.63			$	0.74			$	(0.11	)		$	(0.17	)		$	(0.28	)		$	14.30		5.44	%		0.78	%		0.65	%		1.56	%		$	133,588		29	%
2016			12.84			0.20					1.35				1.55				(0.19	)			(0.36	)			(0.55	)			13.84		12.47			0.80			0.65			1.62				135,413		40
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)(7)			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
2017(14)			12.96			0.15		��			1.26				1.41				(0.15	)			(0.11	)			(0.26	)			14.11		11.05			0.82			0.65			2.24				36,480		23
2016			12.62			0.35					1.08				1.43				(0.33	)			(0.76	)			(1.09	)			12.96		12.07			0.83			0.65			2.68				38,719		51
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)(6)			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
2017(14)			14.16			0.09					1.71				1.80				(0.11	)			(0.12	)			(0.23	)			15.73		12.82			0.77			0.75			1.27				156,343		31
2016			15.26			0.24					0.53				0.77				(0.26	)			(1.61	)			(1.87	)			14.16		5.57			0.85			0.82			1.83				136,813		60
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
Large-Cap Growth Fund
2017(14)			15.47			0.04					1.59				1.63				(0.07	)			(0.90	)			(0.97	)			16.13		11.06			0.79			0.75			0.56				107,784		38
2016			16.39			0.07					1.44				1.51				(0.06	)			(2.37	)			(2.43	)			15.47		9.88			0.88			0.82			0.50				95,438		70
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
Mid-Cap Value Fund
2017(14)			14.38			0.04					1.26				1.30				(0.07	)			(3.77	)			(3.84	)			11.84		12.62			1.00			0.99			0.69				68,456		110
2016			15.01			0.16					0.85				1.01				(0.17	)			(1.47	)			(1.64	)			14.38		7.55			0.98			0.98			1.09				75,608		24
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
Mid-Cap Growth Fund
2017(14)			16.76			(0.00	)				1.26				1.26				(0.05	)			(3.54	)			(3.59	)			14.43		9.77			1.12			0.99			0.04				31,571		111
2016			20.51			0.04					(0.91	)			(0.87	)			—				(2.88	)			(2.88	)			16.76		(4.06	)		1.04			0.99			0.33				39,569		59
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
Small-Cap Value Fund
2017(14)			13.37			0.04					1.77				1.81				(0.09	)			(1.26	)			(1.35	)			13.83		14.86			1.21			(0.99	)		0.51				22,917		105
2016			12.84			0.05					1.00				1.05				—				(0.52	)			(0.52	)			13.37		8.47			1.14			0.99			0.40				25,522		39
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

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

111

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Small-Cap Core Fund
2017(14)		$	11.64		$	0.00			$	1.81			$	1.81			$	(0.03	)		$	(0.20	)		$	(0.23	)		$	13.22		15.63	%		1.61	%		0.90	%		0.19	%		$	17,451		33	%
2016			10.45			0.03				1.25				1.28				(0.01	)			(0.08	)			(0.09	)			11.64		12.37			2.29			0.90			0.44				10,780		70
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(10)			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
2017(14)			16.62			(0.12	)			1.47				1.35				—				—				—				17.97		8.12			1.03			1.03			(0.48	)			82,509		130
2016			18.60			(0.10	)			(0.64	)			(0.74	)			—				(1.24	)			(1.24	)			16.62		(3.72	)		1.18			1.18			(0.21	)			179,726		63
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
Global Low Volatility Equity Fund
2017(3)(14)			12.65			0.02				0.04				0.06				(0.20	)			(0.08	)			(0.28	)			12.43		0.54			1.26			0.85			1.38				43,143		51
2016(3)			11.34			0.07				1.33				1.40				(0.09	)			(0.00	)			(0.09	)			12.65		12.44			1.38			0.85			2.26				38,909		36
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)(9)			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
2017(3)(14)			9.58			0.07				0.56				0.63				(0.28	)			—				(0.28	)			9.93		6.75			1.14			0.90			0.72				58,182		36
2016(3)(12)			10.00			0.23				(0.65	)			(0.42	)			—				—				—				9.58		(4.20	)		1.20			0.90			2.51				67,434		64
Pyrford International Stock Fund
2017(3)(14)			12.22			0.02				0.13				0.15				(0.27	)			—				(0.27	)			12.10		1.38			1.06			0.99			0.73				520,988		9
2016(3)			11.78			0.35				0.36				0.71				(0.27	)			—				(0.27	)			12.22		6.21			1.06			0.99			2.44				485,787		12
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)(6)			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
2017(3)(14)			14.08			(0.02	)			(0.54	)			(0.56	)			(0.10	)			—				(0.10	)			13.42		(3.90	)		1.40			1.15			0.06				90,965		19
2016(3)			12.16			0.15				1.90				2.05				(0.13	)			—				(0.13	)			14.08		17.12			1.39			1.15			1.07				78,851		24
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
TCH Emerging Markets Bond Fund
2017(3)(14)(15)			10.17			0.20				(0.17	)			0.03				(0.31	)			—				(0.31	)			9.89		0.40			1.85			0.85			3.98				12,731		24
2016(3)			9.90			0.47				0.38				0.85				(0.49	)			(0.09	)			(0.58	)			10.17		9.36			2.59			0.85			4.91				4,176		44
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)(9)			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
2017(3)(14)			10.33			(0.04	)			0.30				0.26				—				—				—				10.59		2.52			3.25	(13)		2.68	(13)		(0.63	)			105,053		163
2016(3)			10.42			0.00				0.01				0.01				(0.01	)			(0.09	)			(0.10	)			10.33		0.16			1.62	(13)		1.25	(13)		(0.12	)			109,128		279
2015(3)(11)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(13)		2.47	(13)		(1.11	)			34,261		119
Global Long/Short Equity Fund
2017(3)(14)			10.70			0.03				1.25				1.28				(0.07	)			(0.09	)			(0.16	)			11.82		12.02			5.51	(13)		2.04	(13)		0.15				8,429		18
2016(3)(12)			10.00			0.04				0.66				0.70				—				—				—				10.70		7.00			9.21	(13)		2.11	(13)		0.50				3,717		45

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

112

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Ultra Short Tax-Free Fund
2017(14)		$	10.07		$	0.05		$	0.01			$	0.06			$	(0.05	)		$	(0.01	)		$	(0.06	)		$	10.07		0.55	%		0.39	%		0.30	%		0.89	%		$	557,754		49	%
2016			10.08			0.07			0.00				0.07				(0.07	)			(0.01	)			(0.08	)			10.07		0.65			0.39			0.30			0.65				548,641		56
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
Short Tax-Free Fund
2017(14)			10.25			0.07			(0.10	)			(0.03	)			(0.07	)			(0.00	)			(0.07	)			10.15		(0.27	)		0.52			0.40			1.37				161,599		43
2016			10.20			0.13			0.07				0.20				(0.12	)			(0.03	)			(0.15	)			10.25		1.94			0.52			0.40			1.18				168,592		39
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)(8)			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
2017(14)			9.42			0.08			(0.04	)			0.04				(0.08	)			—				(0.08	)			9.38		0.44			0.46			0.35			1.69				189,315		22
2016			9.35			0.11			0.09				0.20				(0.13	)			—				(0.13	)			9.42		2.12			0.45			0.35			1.16				234,507		64
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
Intermediate Tax-Free Fund
2017(14)			11.60			0.16			(0.42	)			(0.26	)			(0.16	)			(0.03	)			(0.19	)			11.15		(2.26	)		0.31			0.31			2.73				540,703		20
2016			11.26			0.28			0.36				0.64				(0.28	)			(0.02	)			(0.30	)			11.60		5.71			0.32			0.32			2.43				601,873		42
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
Mortgage Income Fund
2017(14)			9.42			0.10			(0.23	)			(0.13	)			(0.14	)			—				(0.14	)			9.15		(1.40	)		0.64			0.55			2.27				17,638		7
2016			9.31			0.23			0.17				0.40				(0.29	)			—				(0.29	)			9.42		4.32			0.61			0.55			2.53				21,663		13
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
TCH Intermediate Income Fund
2017(14)			10.69			0.10			(0.07	)			0.03				(0.11	)			—				(0.11	)			10.61		0.27			0.63			0.55			1.97				59,347		7
2016			10.34			0.26			0.36				0.62				(0.27	)			—				(0.27	)			10.69		6.12			0.61			0.55			2.53				57,014		50
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
TCH Corporate Income Fund
2017(14)			13.15			0.19			(0.10	)			0.09				(0.19	)			(0.11	)			(0.30	)			12.94		0.70			0.47			0.47			2.93				121,610		29
2016			12.32			0.46			0.88				1.34				(0.46	)			(0.05	)			(0.51	)			13.15		11.28			0.47			0.47			3.77				129,429		62
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

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

113

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
TCH Core Plus Bond Fund
2017(14)		$	11.89		$	0.15		$	(0.24	)		$	(0.09	)		$	(0.15	)		$	(0.04	)		$	(0.19	)		$	11.61		(0.72	)%		0.34	%		0.34	%		2.62	%		$	481,106		20	%
2016			11.42			0.37			0.48				0.85				(0.38	)			(0.00	)			(0.38	)			11.89		7.63			0.34			0.34			3.25				459,228		39
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
Monegy High Yield Bond Fund
2017(14)			9.49			0.26			0.10				0.36				(0.26	)			—				(0.26	)			9.59		3.89			0.99			0.65			5.55				20,083		26
2016			9.41			0.50			0.08				0.58				(0.50	)			—				(0.50	)			9.49		6.47			0.96			0.65			5.43				34,345		51
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)(6)			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 6 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 September 28, 2012 (inception date) to August 31, 2013.

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

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

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

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

(12) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

(13) Percentages shown include interest expense and dividends on securities sold short. Gross and net expense ratios, respectively, excluding interest expense and dividends on securities sold short are as follows:

Alternatives Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2017	2.52%	1.95%	2017	4.82%	1.35%
2016	2.76	1.95	2016	8.45	1.35
2015	4.17	1.95

(14) For the six months ended February 28, 2017 (Unaudited).

(15) Calculated using the average shares method.

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

114

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 (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)
Government Money Market Fund
2017(6)		$	1.00		$	0.00		$	0.00		$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.11	%		0.25	%		0.20	%		0.23	%		$	2,507,070		—	%
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.11			0.28			0.18			0.12				1,967,459		—
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		—
Tax-Free Money Market Fund
2017(6)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.29			0.31			0.20			0.51				299,340		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.17			0.28			0.16			0.13				313,954		—
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		—
Prime Money Market Fund
2017(6)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.22			0.27			0.20			0.42				231,910		—
2016			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.22			0.20			0.20			0.21				668,609		—
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		—
Institutional Prime Money Market Fund
2017(6)			1.00			0.0027			0.0002			0.0029			(0.0027	)			(0.0000	)			(0.0027	)			1.0002		0.29			0.30			0.20			0.55				414,206		—
2016(5)			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.00			0.29			0.20			0.37				415,218		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 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) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

(6) For the six months ended February 28, 2017 (Unaudited).

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

115

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Mid-Cap Value Fund
2017(7)		$	14.34		$	0.01			$	1.26			$	1.27			$	(0.02	)		$	(3.77	)		$	(3.79	)		$	11.82		12.41	%		1.50	%		1.49	%		0.21	%		$	23		110	%
2016			14.96			0.07				0.86				0.93				(0.08	)			(1.47	)			(1.55	)			14.34		6.95			1.48			1.48			0.56				28		24
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
2017(7)			16.55			(0.03	)			1.23				1.20				—				(3.54	)			(3.54	)			14.21		9.46			1.62			1.49			(0.48	)			21		111
2016			20.37			(0.01	)			(0.93	)			(0.94	)			—				(2.88	)			(2.88	)			16.55		(4.48	)		1.54			1.49			(0.16	)			24		59
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
2017(7)			13.21			(0.01	)			1.76				1.75				(0.04	)			(1.26	)			(1.30	)			13.66		14.59			1.71			1.49			(0.08	)			109		105
2016			12.76			0.00				0.97				0.97				—				(0.52	)			(0.52	)			13.21		7.88			1.64			1.49			(0.07	)			84		39
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
2017(3)(7)			12.18			0.02				0.11				0.13				(0.22	)			—				(0.22	)			12.09		1.13			1.56			1.49			0.24				23		9
2016(3)			11.74			0.23				0.42				0.65				(0.21	)			—				(0.21	)			12.18		5.63			1.56			1.49			1.98				24		12
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 6 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 28, 2017 (Unaudited).

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

116

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)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Value Fund
2017(8)		$	14.17		$	0.10			$	1.71			$	1.81			$	(0.12	)		$	(0.12	)		$	(0.24	)		$	15.74		12.88	%		0.62	%		0.60	%		1.42	%		$	57		31	%
2016(7)			13.81			0.21				0.30				0.51				(0.15	)			—				(0.15	)			14.17		3.77			0.63			0.60			2.27				52		60
Large-Cap Growth Fund
2017(8)			15.49			0.05				1.59				1.64				(0.09	)			(0.90	)			(0.99	)			16.14		11.11			0.64			0.60			0.71				55		38
2016(7)			14.75			0.07				0.67				0.74				—				—				—				15.49		5.02			0.66			0.60			0.72				53		70
Mid-Cap Value Fund
2017(8)			14.38			0.04				1.27				1.31				(0.08	)			(3.77	)			(3.85	)			11.84		12.73			0.85			0.84			0.86				13,149		110
2016			15.03			0.18				0.84				1.02				(0.20	)			(1.47	)			(1.67	)			14.38		7.65			0.83			0.83			1.28				11,332		24
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
2017(8)			16.83			0.01				1.27				1.28				(0.08	)			(3.54	)			(3.62	)			14.49		9.87			0.97			0.84			0.17				21		111
2016			20.55			0.09				(0.93	)			(0.84	)			—				(2.88	)			(2.88	)			16.83		(3.89	)		0.89			0.84			0.49				25		59
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
2017(8)			13.42			0.05				1.77				1.82				(0.10	)			(1.26	)			(1.36	)			13.88		14.95			1.06			0.84			0.55				1,651		105
2016			12.87			0.07				1.00				1.07				—				(0.52	)			(0.52	)			13.42		8.61			0.99			0.84			0.60				926		39
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
2017(3)(8)			12.23			(0.04	)			0.20				0.16				(0.29	)			—				(0.29	)			12.10		1.46			0.91			0.84			0.84				34,881		9
2016(3)			11.79			0.20				0.53				0.73				(0.29	)			—				(0.29	)			12.23		6.35			0.91			0.84			2.85				16,100		12
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 6 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 28, 2015 (inception date) to August 31, 2016.

(8) For the six months ended February 28, 2017 (Unaudited).

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

117

February 28, 2017 (Unaudited)

Notes to Financial Statements

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 28, 2017, the Corporation consisted of 44 portfolios, including 29 diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, as well as 10 target retirement and 5 target risk portfolios whose semi-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.
Institutional Prime Money Market Fund	June 3, 2016	To provide current income consistent with preservation of capital.

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

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. Securities listed on a foreign exchange are valued each 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

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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, and of sufficient credit quality, 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; 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.

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Notes to Financial Statements (continued)

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.

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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 these collateral securities is discussed in “Investment Valuations” above. 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 28, 2017:

Description	Value
State Street Navigator Securities Lending Prime Portfolio Money Market Fund, 0.502%	$	40,648,052

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 28, 2017 (1):

Description	Value
Atlantic Asset Securitization LLC, 0.730%, 3/15/2017(3)	$	39,977,769
Atlantic Asset Securitization LLC, 1.248%, 3/6/2017(3)		4,969,000
Australia & New Zealand Banking Group, Ltd., 1.396%, 4/7/2017(2)		6,500,000
Bank of Nova Scotia, 1.201%, 7/13/2017(2)		5,302,581
Bank of Nova Scotia, 1.220%, 2/2/2018(2)		4,002,500
Bank of Nova Scotia, 1.359%, 6/21/2017(2)		5,005,140
Bank of Nova Scotia, 1.382%, 3/17/2017(2)		5,151,694
Bedford Row Funding Corp., 1.160%, 8/1/2017(2)		7,850,000
Bedford Row Funding Corp., 1.205%, 7/17/2017(2)		5,003,665
BlackRock Liquidity Funds FedFund Portfolio, 0.482%		5,439,595
BMO Government Money Market Fund, 0.370%		58,000,000
BMO Institutional Prime Money Market Fund, 0.680%		310,062,000
Canadian Imperial Bank of Commerce, 1.182%, 8/17/2017(2)		5,503,504
Chariot Funding LLC, 1.329%, 5/18/2017(2)		2,500,000
Commonwealth Bank of Australia, 1.222%, 3/10/2017(2)		5,000,000
Commonwealth Bank of Australia, 1.329%, 6/19/2017(2)		5,000,000
Cooperative Rabobank U.A, 1.249%, 4/24/2017(2)		6,004,086
County of Uinta, 0.580%, 3/3/2017(2)		23,000,000
DNB ASA, 1.228%, 4/25/2017(2)		5,503,597
Erste Abwicklungsanstalt, 1.064%, 6/26/2017(3)		7,473,720
Erste Abwicklungsanstalt, 1.119%, 4/19/2017(2)		5,000,000
Erste Abwicklungsanstalt, 1.120%, 4/3/2017(2)		7,500,000
Erste Abwicklungsanstalt, 1.124%, 5/11/2017(3)		4,981,489
Gulf Coast Industrial Development Authority, 0.550%, 3/1/2017(2)		35,000,000
HSBC Bank, PLC, 1.112%, 9/15/2017(2)		7,500,000
HSBC Bank, PLC, 1.251%, 10/13/2017(2)		6,506,117
HSBC Bank, PLC, 1.277%, 7/5/2017(2)		5,705,107
HSBC Bank, PLC, 1.289%, 3/20/2017(2)		5,001,650
HSBC Bank, PLC, 1.474%, 5/4/2017(2)		5,306,047
HSBC Bank, PLC, 1.584%, 8/4/2017(2)		2,505,497
JP Morgan Securities LLC, 1.228%, 4/26/2017(2)		5,000,000
JP Morgan Securities LLC, 1.330%, 7/10/2017(2)		6,500,000
Liberty Street Funding LLC, 1.043%, 4/25/2017(3)		9,974,289

Description	Value
Loudoun County Economic Development Authority, 0.630%, 3/1/2017(2)	$	11,030,000
Manhattan Asset Funding Co., 0.811%, 3/9/2017(3)		7,494,431
Manhattan Asset Funding Co., 1.025%, 5/8/2017(2)		7,500,000
Manhattan Asset Funding Co., 1.043%, 4/24/2017(3)		9,974,577
Manhattan Asset Funding Co., 1.110%, 3/1/2017(2)		7,500,000
Manhattan Asset Funding Co., 1.346%, 6/7/2017(2)		6,500,000
Manhattan Asset Funding Co., 1.349%, 5/22/2017(2)		7,000,000
Metlife Short Term Funding LLC, 0.952%, 5/15/2017(3)		7,481,000
Microsoft Corp., 0.862%, 3/14/2017(3)		9,976,589
Nordea Bank AB, 0.902%, 5/8/2017(3)		15,762,870
Nordea Bank AB, 1.330%, 3/1/2017(2)		5,000,095
Nordea Bank AB, 1.370%, 6/16/2017(2)		5,007,075
Nordea Bank AB, 1.432%, 4/26/2017(2)		8,157,954
Novartis Finance Corp., 0.680%, 3/16/2017(3)		14,992,067
Old Line Funding LLC, 1.017%, 6/22/2017(2)		5,000,000
Old Line Funding LLC, 1.179%, 7/24/2017(2)		6,750,000
Old Line Funding LLC, 1.179%, 7/24/2017(2)		3,250,000
Old Line Funding LLC, 1.200%, 5/16/2017(2)		5,000,000
Praxair, Inc., 0.610%, 3/2/2017(3)		14,996,442
Regency Markets No. 1 LLC, 0.780%, 3/8/2017(3)		3,997,573
Regency Markets No. 1 LLC, 0.800%, 3/14/2017(3)		4,996,889
Regency Markets No. 1 LLC, 0.800%, 3/28/2017(3)		7,495,333
Regency Markets No. 1 LLC, 0.821%, 3/9/2017(3)		24,984,056
Skandinaviska Enskilda Banken AB, 1.079%, 9/21/2017(2)		7,224,379
Skandinaviska Enskilda Banken AB, 1.239%, 4/19/2017(2)		6,754,253
State Street Bank & Trust Co., 1.222%, 3/10/2017(2)		5,000,775
State Street Bank & Trust Co., 1.422%, 4/13/2017(2)		5,003,955
Statoil ASA, 0.932%, 4/10/2017(3)		7,233,144
Sumitomo Mitsui Banking Corporation, 1.185%, 8/8/2017(2)		4,999,605
Suncorp Metway, Ltd., 1.053%, 3/23/2017(3)		4,983,521
Suncorp Metway, Ltd., 1.054%, 3/14/2017(3)		7,473,750
Suncorp Metway, Ltd., 1.339%, 7/17/2017(3)		4,966,565
Suncorp Metway, Ltd., 1.369%, 8/9/2017(3)		7,448,150

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Notes to Financial Statements (continued)

Description	Value
Svenska Handelsbaken, Inc., 1.070%, 9/15/2017(2)	$	7,002,793
Svenska Handelsbaken, Inc., 1.309%, 5/18/2017(2)		5,004,655
Svenska Handelsbaken, Inc., 1.500%, 8/1/2017(2)		5,286,478
Swedish Export Credit Corp., 0.740%, 3/16/2017(3)		14,993,217
Thunder Bay Funding LLC, 1.081%, 8/14/2017(2)		7,500,000
Thunder Bay Funding LLC, 1.177%, 6/6/2017(2)		5,000,000
Thunder Bay Funding LLC, 1.181%, 7/11/2017(2)		7,500,000
Thunder Bay Funding LLC, 1.190%, 5/15/2017(2)		7,500,000
Thunder Bay Funding LLC, 1.191%, 6/13/2017(2)		5,500,000
Thunder Bay Funding LLC, 1.269%, 4/20/2017(2)		5,000,000
Thunder Bay Funding LLC, 1.320%, 3/15/2017(2)		5,451,586
Toronto Dominion Bank, 1.220%, 11/1/2017(2)		8,004,856
Toronto Dominion Bank, 1.292%, 1/10/2018(2)		6,506,825
Toronto Dominion Bank, 1.299%, 11/20/2017(2)		5,005,725
Toronto Dominion Bank, 1.339%, 4/20/2017(2)		5,003,895
Toronto Dominion Bank, 1.430%, 10/17/2017(2)		5,010,990
Toronto Dominion Bank, 1.468%, 7/12/2017(2)		5,008,625
Toyota Motor Credit Corp., 1.196%, 3/3/2017(2)		5,000,000

Description	Value
Toyota Motor Credit Corp., 1.200%, 3/13/2017(2)	$	5,000,000
Toyota Motor Credit Corp., 1.283%, 8/3/2017(2)		7,500,000
Toyota Motor Credit Corp., 1.297%, 3/31/2017(2)		5,000,000
University of North Carolina at Chapel Hill, 0.570%		12,980,000
Victory Receivables Corp., 0.680%, 3/1/2017(3)		14,999,717
Victory Receivables Corp., 0.780%, 3/7/2017(3)		9,995,450
Victory Receivables Corp., 0.901%, 3/8/2017(3)		7,990,000
Wells Fargo Bank NA, 1.177%, 7/5/2017(2)		7,504,050
Wells Fargo Bank NA, 1.211%, 2/14/2018(2)		5,001,120
Wells Fargo Bank NA, 1.241%, 10/11/2017(2)		5,003,360
Wells Fargo Bank NA, 1.249%, 5/3/2017(2)		6,504,869
Wells Fargo Bank NA, 1.387%, 11/16/2017(2)		5,007,715
Westpac Banking Corp., 1.312%, 3/3/2017(2)		5,000,280
Westpac Banking Corp., 1.380%, 10/20/2017(2)		6,000,000
Other		(73,909	)
Total	$	1,103,356,392

(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 28, 2017.

(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.

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. The Funds did not hold any Level 3 securities as of February 28, 2017. It is the Funds’ policy to recognize transfers between category levels at the end of the period. There were no transfers between Levels 1 and 2 or Levels 2 and 3 at the end of this period.

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The following is a summary of the inputs used, as of February 28, 2017, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	162,051,072	$	—	$	—	$	162,051,072
Short-Term Investments		2,547,504		81,325,876		—		83,873,380
Total	$	164,598,576	$	81,325,876	$	—	$	245,924,452
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	117,516,613	$	—	$	—	$	117,516,613
Short-Term Investments		1,658,541		54,172,005		—		55,830,546
Total	$	119,175,154	$	54,172,005	$	—	$	173,347,159
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	338,548,300	$	—	$	—	$	338,548,300
Short-Term Investments		4,977,091		159,922,205		—		164,899,291
Total	$	343,525,391	$	159,922,205	$	—	$	503,447,596
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	286,133,530	$	—	$	—	$	286,133,530
Short-Term Investments		6,264,810		136,239,178		—		142,503,988
Total	$	292,398,340	$	136,239,178	$	—	$	428,637,518
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	225,819,378	$	—	$	—	$	225,819,378
Short-Term Investments		4,254,316		113,733,758		—		117,988,074
Total	$	230,073,694	$	113,733,758	$	—	$	343,807,452
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	117,823,769	$	—	$	—	$	117,823,769
Short-Term Investments		1,909,364		59,144,116		—		61,053,480
Total	$	119,733,133	$	59,144,116	$	—	$	178,877,249
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	67,813,606	$	—	$	—	$	67,813,606
Short-Term Investments		1,715,476		34,339,980		—		36,055,456
Total	$	69,529,082	$	34,339,980	$	—	$	103,869,062
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	18,381,030	$	—	$	—	$	18,381,030
Short-Term Investments		424,213		9,282,409		—		9,706,622
Total	$	18,805,243	$	9,282,409	$	—	$	28,087,652
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	184,554,903	$	—	$	—	$	184,554,903
Short-Term Investments		3,157,962		94,042,316		—		97,200,278
Total	$	187,712,865	$	94,042,316	$	—	$	281,755,181
	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	46,134,383	$	—	$	—	$	46,134,383
Short-Term Investments		1,366,657		—		—		1,366,657
Total	$	47,501,040	$	—	$	—	$	47,501,040

	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	57,053,567	$	—	$	—	$	57,053,567
Short-Term Investments		3,332,713		—		—		3,332,713
Total	$	60,386,280	$	—	$	—	$	60,386,280
	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	619,900,999	$	—	$	—	$	619,900,999
Preferred Stocks(1)		11,480,641		—		—		11,480,641
Short-Term Investments		47,962,585		—		—		47,962,585
Total	$	679,344,225	$	—	$	—	$	679,344,225
	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	132,757,663	$	—	$	—	$	132,757,663
Common Stock Units		2,165,484		—		—		2,165,484
Participation Notes		—		3,702,699		—		3,702,699
Short-Term Investments		6,511,478		—		—		6,511,478
Total	$	141,434,625	$	3,702,699	$	—	$	145,137,324
	TCH Emerging Markets Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	7,427,896	$	—	$	7,427,896
International Bonds		—		4,850,015		—		4,850,015
Short-Term Investments		2,215,685		—		—		2,215,685
Total	$	2,215,685	$	12,277,911	$	—	$	14,493,596
	Alternative Strategies Fund(2)
	Level 1		Level 2		Level 3		Total
Assets-Long
Bank Loans	$	—	$	7,197,782	$	—	$	7,197,782
Common Stocks(1)		53,197,439		—		—		53,197,439
Convertible Bonds		—		945,302		—		945,302
Corporate Bonds & Notes		—		3,859,441		—		3,859,441
Limited Partnership Units		918,050		—		—		918,050
Purchased Options		259,837		—		—		259,837
U.S. Government & U.S. Government Agency Obligations		—		82,127		—		82,127
Short-Term Investments		29,066,262		12,498,850		—		41,565,112
Total	$	83,441,588	$	24,583,502	$	—	$	108,025,090
Liabilities-Short
Common Stocks(1)	$	23,846,540	$	—	$	—	$	23,846,540
Corporate Bonds & Notes		—		2,099,674		—		2,099,674
Exchange Traded Funds		3,603,098		—		—		3,603,098
Written Options		543,941		—		—		543,941
Total	$	27,993,579	$	2,099,674	$	—	$	30,093,253
	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks(1)	$	8,726,911	$	—	$	—	$	8,726,911
Short-Term Investments		3,350,101		—		—		3,350,101
Total	$	12,077,012	$	—	$	—	$	12,077,012
Liabilities-Short
Common Stocks(1)	$	2,694,760	$	—	$	—	$	2,694,760
Total	$	2,694,760	$	—	$	—	$	2,694,760

123

Notes to Financial Statements (continued)

	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	578,412,662	$	—	$	578,412,662
Mutual Funds		—		2,000,140		—		2,000,140
Short-Term Investments		44,454		27,438,847		—		27,483,301
Total	$	44,454	$	607,851,649	$	—	$	607,896,103
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	178,502,808	$	—	$	178,502,808
Mutual Funds		860,981		—		—		860,981
Short-Term Investments		42,663		1,004,230		—		1,046,893
Total	$	903,644	$	179,507,038	$	—	$	180,410,682
	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	48,097,536	$	—	$	48,097,536
Collateralized Mortgage Obligations		—		6,265,898		—		6,265,898
Commercial Mortgage Securities		—		14,484,694		—		14,484,694
Corporate Bonds & Notes		—		121,857,681		—		121,857,681
Mutual Funds		3,623,207		—		—		4,626,443	*
U.S. Government & U.S. Government Agency Obligations		—		39,494,117		—		39,494,117
U.S. Government Agency-Mortgage Securities		—		1,400,815		—		1,400,815
Short-Term Investments		5,315,169		36,341,551		—		41,656,720
Total	$	8,938,376	$	267,942,292	$	—	$	277,883,904
* Total includes a $1,003,236 private placement senior loan fund holding valued using practical expedient.
	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,572,779,819	$	—	$	1,572,779,819
Mutual Funds		16,131,470		—		—		16,131,470
Short-Term Investments		38,819		—		—		38,819
Total	$	16,170,289	$	1,572,779,819	$	—	$	1,588,950,108
	Mortgage Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	268,490	$	—	$	268,490
Collateralized Mortgage Obligations		—		9,672,717		—		9,672,717
Commercial Mortgage Securities		—		10,923,468		—		10,923,468
U.S. Government Agency-Mortgage Securities		—		71,032,845		—		71,032,845
Short-Term Investments		1,032,709		—		—		1,032,709
Total	$	1,032,709	$	91,897,520	$	—	$	92,930,229

	TCH Intermediate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	39,630,340	$	—	$	39,630,340
U.S. Government & U.S. Government Agency Obligations		—		9,750,113		—		9,750,113
U.S. Government Agency-Mortgage Securities		—		17,770,760		—		17,770,760
Short-Term Investments		5,898,146		17,059,991		—		22,958,137
Total	$	5,898,146	$	84,211,204	$	—	$	90,109,350
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	210,453,696	$	—	$	210,453,696
Municipals		—		575,335		—		575,335
U.S. Government & U.S. Government Agency Obligations		—		7,697,246		—		7,697,246
Short-Term Investments		14,614,012		47,959,478		—		62,573,490
Total	$	14,614,012	$	266,685,755	$	—	$	281,299,767
	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Commercial Mortgage Securities	$	—	$	266,791	$	—	$	266,791
Corporate Bonds & Notes		—		425,149,987		—		425,149,987
Municipals		—		345,201		—		345,201
U.S. Government & U.S. Government Agency Obligations		—		170,613,492		—		170,613,492
U.S. Government Agency-Mortgage Securities		—		343,614,533		—		343,614,533
Short-Term Investments		32,287,867		268,293,248		—		300,581,115
Total	$	32,287,867	$	1,208,283,252	$	—	$	1,240,571,119
	Monegy High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	48,679,212	$	—	$	48,679,212
Short-Term Investments		1,381,253		—		—		1,381,253
Total	$	1,381,253	$	48,679,212	$	—	$	50,060,465
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	190,000,000	$	—	$	—	$	190,000,000
Repurchase Agreements		—		528,786,766		—		528,786,766
U.S. Government & U.S. Government Agency Obligations		—		2,855,745,384		—		2,855,745,384
Total	$	190,000,000	$	3,384,532,150	$	—	$	3,574,532,150

124

BMO Funds

	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	364,736,555	$	—	$	364,736,555
Mutual Funds		15,820,916		—		—		15,820,916
Total	$	15,820,916	$	364,736,555	$	—	$	380,557,471
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	87,600,730	$	—	$	87,600,730
Commercial Paper		—		219,432,914		—		219,432,914
Municipals		—		54,755,000		—		54,755,000
Mutual Funds		25,000,000		—		—		25,000,000
Repurchase Agreements		—		64,406,442		—		64,406,442
Total	$	25,000,000	$	426,195,086	$	—	$	451,195,086

	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	71,339,497	$	—	$	71,339,497
Commercial Paper		—		216,656,010		—		216,656,010
Municipals		—		47,280,000		—		47,280,000
Mutual Funds		25,425,047		—		—		25,425,047
Repurchase Agreements		—		55,000,000		—		55,000,000
Total	$	25,425,047	$	390,275,507	$	—	$	415,700,554

(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.

	Unrealized Appreciation/(Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund
Long Forward Contracts	$	—		$	38,780		$	—	$	38,780
Short Forward Contracts		—			(105,400	)		—		(105,400	)
Total Forwards	$	—		$	(66,620	)	$	—	$	(66,620	)
Long Futures Contracts	$	303,639		$	—		$	—	$	303,639
Short Futures Contracts		(43,053	)		—			—		(43,053	)
Total Futures	$	260,586		$	—		$	—	$	260,586

4. Derivative Holdings and Activity Detail

The following is a summary of the Alternative Strategies Fund’s written option activity for the period ended February 28, 2017:

Contracts	Number of Contracts			Premium
Outstanding on 8/31/16		734		$	872,967
Options written		6,335			4,882,721
Options expired		(574	)		(551,097	)
Options exercised		(228	)		(53,446	)
Options closed		(5,254	)		(4,596,546	)
Outstanding on 2/28/17		1,013		$	554,599

During the period ended February 28, 2017, the Alternative Strategies Fund had average quarterly contracts or notional values outstanding:

Average Quarterly Contracts								Average Quarterly Notional Values
Long Futures		Short Futures		Purchased Options		Written Options		Long Forwards		Short Forwards
	465		181		490		954	$	24,844,038	$	27,219,333

125

Notes to Financial Statements (continued)

At February 28, 2017, 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 28, 2017	Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
March 2017	32		Eurex 5-Year Euro BOBL	$4,528,082	$4,567,452	$	39,370
March 2017	17		Eurex 10-Year Euro BUND	2,957,542	2,990,526		32,984
June 2017	9		LIFFE Long Gilt Government Bond	1,403,999	1,420,860		16,861
Index Futures
March 2017	8		TSE TOPIX Index	1,097,467	1,092,349		(5,118)
March 2017	6		OSE Nikkei 225 Index	1,025,625	1,021,674		(3,951)
March 2017	50		CME E-Mini S&P 500® Index	5,893,197	5,907,000		13,803
March 2017	17		CME E-Mini S&P 500® Index	1,959,910	2,008,380		48,470
March 2017	13		Russell 2000 Mini Index	889,445	900,250		10,805
March 2017	10		HKG Hang Seng Index	1,551,846	1,529,197		(22,649)
March 2017	14		CME E-Mini NASDAQ 100 Index	1,446,159	1,493,030		46,870
March 2017	27		LIFFE FTSE 100 Index	2,395,978	2,434,157		38,179
March 2017	18		Eurex Euro STOXX 50 Index	623,932	633,860		9,928
March 2017	5		Eurex DAX Index	1,547,183	1,568,838		21,655
March 2017	9		CAC 40 10 Euro	470,029	463,191		(6,838)
March 2017	12		CBOT E-Mini DJIA Index	1,198,524	1,248,420		49,896
Interest Rate Futures
June 2018	114		LIFFE 90-Day Sterling	17,587,150	17,599,011		11,861
June 2018	22		LIFFE 3-Month Euro Euribor	5,838,585	5,840,098		1,513
Short Futures
Bond Futures
June 2017	5		CBOT 10-Year U.S. Treasury Note	(622,434)	(622,891)		(457)
June 2017	5		MSE 10-Year Canadian Bond	(513,051)	(517,053)		(4,002)
June 2017	15		CBOT U.S. Long Bond	(2,259,401)	(2,274,844)		(15,443)
March 2017	23		SFE 10-Year Australian Bond	(2,242,853)	(2,261,501)		(18,648)
March 2017	8		10 Year Mini JGB	(1,067,030)	(1,072,055)		(5,025)
Interest Rate Futures
June 2018	132		CME 3-Month Eurodollar	(32,413,122)	(32,412,600)		522
Total Futures Contracts				$13,296,762	$13,557,349	$	260,586

At February 28, 2017, 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 17, 2017	Australian Dollar	AUD	7,142,000	$	5,353,097	$	5,473,837	$	120,740		Bank of America
March 17, 2017	Australian Dollar	$	2,764,007	AUD	3,800,000		2,912,431		(148,424	)	Bank of America
March 17, 2017	Canadian Dollar	CAD	11,827,000	$	9,023,724		8,905,448		(118,276	)	Bank of America
March 17, 2017	Canadian Dollar	$	6,199,184	CAD	8,196,000		6,171,392		27,792		Bank of America
March 17, 2017	Euro Currency	EUR	1,983,000	$	2,099,165		2,102,148		2,983		Bank of America
March 17, 2017	Euro Currency	$	4,724,585	EUR	4,419,000		4,684,514		40,071		Bank of America
March 17, 2017	Japanese Yen	JPY	259,819,000	$	2,279,807		2,313,957		34,150		Bank of America
March 17, 2017	Japanese Yen	$	3,491,060	JPY	399,839,000		3,560,981		(69,921	)	Bank of America
March 17, 2017	Mexican Peso	MXN	6,793,000	$	337,065		337,343		278		Bank of America
March 17, 2017	Mexican Peso	$	861,719	MXN	17,655,000		876,755		(15,036	)	Bank of America
March 17, 2017	New Zealand Dollar	NZD	2,239,000	$	1,602,500		1,611,992		9,492		Bank of America
March 17, 2017	New Zealand Dollar	$	445,237	NZD	623,000		448,535		(3,298	)	Bank of America
March 17, 2017	Pound Sterling	GBP	2,213,000	$	2,754,418		2,746,933		(7,485	)	Bank of America
March 17, 2017	Pound Sterling	$	4,106,222	GBP	3,265,000		4,052,751		53,471		Bank of America
March 17, 2017	Swiss Franc	CHF	3,342,000	$	3,333,409		3,330,307		(3,102	)	Bank of America
March 17, 2017	Swiss Franc	$	4,149,410	CHF	4,154,000		4,139,465		9,945		Bank of America
								$	(66,620	)

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 28, 2017, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

126

BMO Funds

The effects of these derivative instruments on the Fund’s 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 28, 2017 by risk category are as follows:

	Statement of Asset 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	$	103,111
Payables for daily variation margin		(43,575	)
Net		59,536		$	(57,796	)	$	39,151
Equity futures contracts:
Receivables for daily variation margin		239,606
Payables for daily variation margin		(38,556	)
Net		201,050			1,016,187			172,367
Total receivables for interest rate and equity futures contracts		342,717
Total payables for interest rate and equity futures contracts		(82,131	)
Net	$	260,586		$	958,391		$	211,518
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	298,922
Payables for forward foreign exchange contracts		(365,542	)
Net	$	(66,620	)	$	32,104		$	(77,605	)
Equity option contracts:
Purchased options	$	259,837		$	(560,886	)	$	187,832
Written options	$	(543,941	)	$	(134,747	)	$	(337,444	)

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 28, 2017, 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)	$	298,922	$	—	$	(365,542	)	$	—		$	—		$	(66,620	)	$	—	$	—	$	(66,620	)
Exchange Traded Futures Contracts		—		342,717		—			(82,131	)		—			260,586			—		—		260,586
Exchange Traded Options Contracts		—		—		—			—			(543,941	)		(543,941	)		—		543,941		—

(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 28, 2017.

127

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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—		$	13,313,490		$	41,929,434
Advisor class of shares		20,805,306			20,450,099			5,522,852			12,240,448			14,750			6,500
Institutional class of shares		14,818,208			57,444,854			1,572,471			5,367,352			28,934,993			62,929,469
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			50,000	(1)
Net proceeds from sale of shares		35,623,514			77,894,953			7,095,323			17,607,800			42,263,233			104,915,403
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			2,526,218			19,028,638
Advisor class of shares		353,019			271,512			1,503,707			6,370,133			148			3,421
Institutional class of shares		2,615,822			3,503,523			648,148			2,938,755			2,203,001			14,194,204
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			303	(1)
Net proceeds from shares issued		2,968,841			3,775,035			2,151,855			9,308,888			4,729,367			33,226,566
Cost of shares redeemed:
Investor class of shares		—			—			—			—			(18,926,485	)		(36,548,453	)
Advisor class of shares		(6,158,966	)		(7,296,072	)		(8,395,690	)		(16,513,415	)		—			—
Institutional class of shares		(23,648,688	)		(10,656,439	)		(7,529,199	)		(16,512,337	)		(27,261,140	)		(27,704,576	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net cost of shares redeemed		(29,807,654	)		(17,952,511	)		(15,924,889	)		(33,025,752	)		(46,187,625	)		(64,253,029	)
Net change resulting from fund share transactions in dollars	$	8,784,701		$	63,717,477		$	(6,677,711	)	$	(6,109,064	)	$	804,975		$	73,888,940
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—			915,257			2,992,053
Advisor class of shares		1,526,718			1,557,280			417,898			986,639			970			518
Institutional class of shares		1,090,066			4,341,968			117,797			450,270			1,981,388			4,406,925
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			3,621	(1)
Net sale of shares		2,616,784			5,899,248			535,695			1,436,909			2,897,615			7,403,117
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			171,741			1,381,134
Advisor class of shares		26,118			21,225			113,126			526,209			10			248
Institutional class of shares		192,896			273,483			48,732			242,483			149,687			1,029,042
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			22	(1)
Net shares issued		219,014			294,708			161,858			768,692			321,438			2,410,446
Shares redeemed:
Investor class of shares		—			—			—			—			(1,290,723	)		(2,635,055	)
Advisor class of shares		(451,002	)		(577,073	)		(632,660	)		(1,338,905	)		—			—
Institutional class of shares		(1,728,027	)		(809,930	)		(567,737	)		(1,316,263	)		(1,852,269	)		(1,966,849	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares redeemed		(2,179,029	)		(1,387,003	)		(1,200,397	)		(2,655,168	)		(3,142,992	)		(4,601,904	)
Net change resulting from fund share transactions in shares		656,769			4,806,953			(502,844	)		(449,567	)		76,061			5,211,659

(1) Reflects operations for the period from December 28, 2015 (inception date) to August 31, 2016.

128

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	20,151,580		$	36,107,215		$	8,589,170		$	17,762,637		$	5,261,270		$	16,444,621		$	—		$	—
	83,295			375,678			12,518			9,778			20,382			4,540			2,391,072			11,310,749
	22,872,113			36,247,277			5,720,171			10,810,827			1,975,255			6,484,915			4,305,681			11,641,400
	—			—			557			253			—			—			15,814			88,324
	—			50,000	(1)		1,314,101			3,553,774			—			—			761,927			794,885
	43,106,988			72,780,170			15,636,517			32,137,269			7,256,907			22,934,076			7,474,494			23,835,358
	10,003,662			23,452,821			37,960,691			18,609,651			18,801,115			17,851,037			—			—
	21,129			14,768			3,054			3,119			1,518			4,458			4,111,818			2,832,915
	5,928,031			9,087,283			19,028,243			9,554,467			7,803,153			10,637,125			2,338,598			861,712
	—			—			76			2,657			—			3,577			5,814			1,046
	—			—			3,121,456			962,712			—			3,575			95,422			22,643
	15,952,822			32,554,872			60,113,520			29,132,606			26,605,786			28,499,772			6,551,652			3,718,316
	(16,549,027	)		(48,455,232	)		(21,366,055	)		(62,652,705	)		(12,092,827	)		(48,774,799	)		—			—
	(273,730	)		(36,501	)		—			—			—			—			(6,037,015	)		(46,161,907	)
	(21,118,844	)		(20,143,196	)		(20,352,591	)		(39,711,399	)		(12,733,521	)		(44,197,286	)		(9,984,221	)		(7,171,229	)
	—			—			—			—			—			—			(1,275	)		(35,255	)
	—			—			(939,888	)		(1,878,011	)		—			—			(161,818	)		(68,200	)
	(37,941,601	)		(68,634,929	)		(42,658,534	)		(104,242,115	)		(24,826,348	)		(92,972,085	)		(16,184,329	)		(53,436,591	)
$	21,118,209		$	36,700,113		$	33,091,503		$	(42,972,240	)	$	9,036,345		$	(41,538,237	)	$	(2,158,183	)	$	(25,882,917	)
	1,312,353			2,388,038			733,992			1,290,770			386,403			1,010,464			—			—
	5,384			25,578			1,089			767			1,458			254			181,419			917,999
	1,487,745			2,381,183			491,043			791,413			143,148			395,131			338,954			916,465
	—			—			49			19			—			—			1,234			7,056
	—			3,390	(1)		109,188			267,325			—			—			55,290			62,124
	2,805,482			4,798,189			1,335,361			2,350,294			531,009			1,405,849			576,897			1,903,644
	674,556			1,597,604			3,609,940			1,381,140			1,480,173			1,110,830			—			—
	1,425			1,006			290			232			119			277			340,483			231,258
	396,524			614,421			1,812,569			711,232			591,039			643,115			190,485			69,605
	—			—			7			198			—			219			481			85
	—			—			296,837			71,713			—			215			7,719			1,823
	1,072,505			2,213,031			5,719,643			2,164,515			2,071,331			1,754,656			539,168			302,771
	(1,081,541	)		(3,267,889	)		(1,865,457	)		(4,544,016	)		(880,366	)		(3,023,971	)		—			—
	(18,094	)		(2,427	)		—			—			—			—			(466,370	)		(3,645,999	)
	(1,370,374	)		(1,279,184	)		(1,781,266	)		(2,848,865	)		(907,108	)		(2,714,350	)		(780,734	)		(571,338	)
	—			—			—			—			—			—			(95	)		(2,687	)
	—			—			(83,655	)		(134,934	)		—			—			(13,048	)		(5,340	)
	(2,470,009	)		(4,549,500	)		(3,730,378	)		(7,527,815	)		(1,787,474	)		(5,738,321	)		(1,260,247	)		(4,225,364	)
	1,407,978			2,461,720			3,324,626			(3,013,006	)		814,866			(2,577,816	)		(144,182	)		(2,018,949	)

129

Notes to Financial Statements (continued)

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	5,879,101		$	24,197,134		$	—		$	—
Advisor class of shares		678,403			7,593			—			—			376,666			110,308
Institutional class of shares		4,889,904			7,512,368			8,781,324			98,533,217			20,914,000			30,032,757
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from sale of shares		5,568,307			7,519,961			14,660,425			122,730,351			21,290,666			30,143,065
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			18,971,056			—			—
Advisor class of shares		627			4,815			—			—			2,983			723
Institutional class of shares		232,893			50,512			—			19,873,633			1,085,758			278,039
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net proceeds from shares issued		233,520			55,327			—			38,844,689			1,088,741			278,762
Cost of shares redeemed:
Investor class of shares		—			—			(65,752,923	)		(153,670,290	)		—			—
Advisor class of shares		(14,477	)		(54,259	)		—			—			(12,620	)		(5,598	)
Institutional class of shares		(407,490	)		(1,497,840	)		(115,184,544	)		(232,329,791	)		(14,118,154	)		(72,795	)
Retirement class R-6 of shares		—			—			—			—			—			—
Net cost of shares redeemed		(421,967	)		(1,552,099	)		(180,937,467	)		(386,000,081	)		(14,130,774	)		(78,393	)
Redemption fees		—			—			—			—			50			—
Net change resulting from fund share transactions in dollars	$	5,379,860		$	6,023,189		$	(166,277,042	)	$	(224,425,041	)	$	8,248,683		$	30,343,434
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			358,126			1,560,531			—			—
Advisor class of shares		51,836			729			—			—			30,923			8,876
Institutional class of shares		407,326			714,579			520,247			6,166,782			1,704,826			2,693,452
Retirement class R-6 of shares		—			—			—			—			—			—
Net sale of shares		459,162			715,308			878,373			7,727,313			1,735,749			2,702,328
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			1,220,789			—			—
Advisor class of shares		49			451			—			—			251			63
Institutional class of shares		18,110			4,712			—			1,242,102			91,317			24,262
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares issued		18,159			5,163			—			2,462,891			91,568			24,325
Shares redeemed:
Investor class of shares		—			—			(4,012,000	)		(10,045,724	)		—			—
Advisor class of shares		(1,099	)		(5,681	)		—			—			(1,038	)		(444	)
Institutional class of shares		(31,990	)		(140,397	)		(6,741,565	)		(14,824,948	)		(1,160,576	)		(6,055	)
Retirement class R-6 of shares		—			—			—			—			—			—
Net shares redeemed		(33,089	)		(146,078	)		(10,753,565	)		(24,870,672	)		(1,161,614	)		(6,499	)
Net change resulting from fund share transactions in shares		444,232			574,393			(9,875,192	)		(14,680,468	)		665,703			2,720,154

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

130

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						TCH Emerging Markets Bond Fund
Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016(1)			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	—		$	—		$	6,994,789		$	24,600,796		$	—		$	—		$	—		$	—
	—			183,392			85,977			125,044			5,012,791			12,304,331			2,000			2,240
	2,544,177			82,361,194			141,294,184			157,265,153			28,010,787			24,210,997			15,211,243			4,261
	—			—			19,112,399			11,179,486			—			—			—			—
	2,544,177			82,544,586			167,487,349			193,170,479			33,023,578			36,515,328			15,213,243			6,501
	—			—			1,999,666			1,910,079			—			—			—			—
	787			—			1,905			16,401			235,064			562,607			—			220,767
	1,669,866			—			6,699,345			5,045,398			631,447			731,004			391,248			222,440
	—			—			—			399			—			—			—			—
	—			—			652,042			314,323			—			—			—			—
	1,670,653			—			9,352,958			7,286,600			866,511			1,293,611			391,248			443,207
	—			—			(8,577,692	)		(21,379,221	)		—			—			—			—
	—			(60,715	)		(2,244	)		(831,920	)		(5,093,701	)		(34,906,050	)		(4,080,472	)		(66,846	)
	(15,440,822	)		(12,451,871	)		(107,940,156	)		(321,169,468	)		(12,700,166	)		(42,709,937	)		(6,614,171	)		—
	—			—			(856,338	)		(2,475,984	)		—			—			—			—
	(15,440,822	)		(12,512,586	)		(117,376,430	)		(345,856,593	)		(17,793,867	)		(77,615,987	)		(10,694,643	)		(66,846	)
	—			108			2,933			10,295			285			254			423			—
$	(11,225,992	)	$	70,032,108		$	59,466,810		$	(145,389,219	)	$	16,096,507		$	(39,806,794	)	$	4,910,271		$	382,862
	—			—			589,487			2,068,034			—			—			—			—
	—			19,419			7,209			10,726			376,466			995,220			200			243
	264,794			8,345,169			11,821,108			13,350,667			2,099,147			1,921,645			1,491,348			429
	—			—			1,581,438			939,422			—			—			—			—
	264,794			8,364,588			13,999,242			16,368,849			2,475,613			2,916,865			1,491,548			672
	—			—			174,491			166,673			—			—			—			—
	84			—			166			1,431			18,509			48,375			—			24,722
	176,893			—			583,567			439,495			49,681			62,747			40,883			24,909
	—			—			—			35			—			—			—			—
	—			—			56,798			27,380			—			—			—			—
	176,977			—			815,022			635,014			68,190			111,122			40,883			49,631
	—			—			(723,370	)		(1,839,808	)		—			—			—			—
	—			(6,308	)		(189	)		(74,548	)		(386,418	)		(2,626,422	)		(398,873	)		(7,570	)
	(1,621,987	)		(1,308,121	)		(9,104,903	)		(27,191,302	)		(972,224	)		(3,377,266	)		(655,654	)		—
	—			—			(72,116	)		(206,714	)		—			—			—			—
	(1,621,987	)		(1,314,429	)		(9,900,578	)		(29,312,372	)		(1,358,642	)		(6,003,688	)		(1,054,527	)		(7,570	)
	(1,180,216	)		7,050,159			4,913,686			(12,308,509	)		1,185,161			(2,975,701	)		477,904			42,733

131

Notes to Financial Statements (continued)

	Alternative Strategies Fund						Global Long/Short Equity Fund						Ultra Short Tax-Free Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016(1)			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	—		$	2,737,735		$	10,594,870
Advisor class of shares		11,386			176,496			71,190			483,490			959,511			55,513
Institutional class of shares		7,709,026			86,807,782			4,231,116			3,547,875			228,120,230			386,923,045
Net proceeds from sale of shares		7,720,412			86,984,278			4,302,306			4,031,365			231,817,476			397,573,428
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			202,332			295,588
Advisor class of shares		—			2,839			4,145			—			732			132
Institutional class of shares		—			964,816			23,628			—			1,065,607			1,692,037
Net proceeds from shares issued		—			967,655			27,773			—			1,268,671			1,987,757
Cost of shares redeemed:
Investor class of shares		—			—			—			—			(10,684,246	)		(21,875,452	)
Advisor class of shares		(46,556	)		(887,690	)		(93,432	)		(7,748	)		(5,409	)		(55,553	)
Institutional class of shares		(14,462,804	)		(12,792,404	)		(75,448	)		(49,426	)		(219,653,877	)		(541,894,764	)
Net cost of shares redeemed		(14,509,360	)		(13,680,094	)		(168,880	)		(57,174	)		(230,343,532	)		(563,825,769	)
Net change resulting from fund share transactions in dollars	$	(6,788,948	)	$	74,271,839		$	4,161,199		$	3,974,191		$	2,742,615		$	(164,264,584	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			—			272,008			1,051,519
Advisor class of shares		1,077			17,279			6,222			48,577			95,280			5,509
Institutional class of shares		739,394			8,459,347			370,478			351,888			22,666,881			38,417,809
Net sale of shares		740,471			8,476,626			376,700			400,465			23,034,169			39,474,837
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			20,104			29,340
Advisor class of shares		—			282			374			—			73			13
Institutional class of shares		—			95,621			2,129			—			105,926			168,066
Net shares issued		—			95,903			2,503			—			126,103			197,419
Shares redeemed:
Investor class of shares		—			—			—			—			(1,061,296	)		(2,171,241	)
Advisor class of shares		(4,503	)		(86,934	)		(8,561	)		(750	)		(538	)		(5,515	)
Institutional class of shares		(1,390,934	)		(1,273,394	)		(6,761	)		(4,628	)		(21,835,828	)		(53,812,434	)
Net shares redeemed		(1,395,437	)		(1,360,328	)		(15,322	)		(5,378	)		(22,897,662	)		(55,989,190	)
Net change resulting from fund share transactions in shares		(654,966	)		7,212,201			363,881			395,087			262,610			(16,316,934	)

(1) Reflects operations for the period from September 17, 2015 (inception date) to August 31, 2016.

132

BMO Funds

Short Tax-Free Fund						Short-Term Income Fund						Intermediate Tax-Free Fund						Mortgage Income Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	5,765,908		$	8,254,754		$	8,138,950		$	21,538,961		$	114,845,405		$	303,551,800		$	666,158		$	8,893,429
	1,047,001			726,443			89,863			138,520			1,181,182			1,694,228			—			5,481
	45,390,638			125,580,353			46,540,634			177,384,144			114,985,820			264,143,418			1,248,623			14,473,126
	52,203,547			134,561,550			54,769,447			199,061,625			231,012,407			569,389,446			1,914,781			23,372,036
	103,362			237,387			420,257			668,656			17,522,133			29,129,421			1,088,035			2,478,073
	4,942			3,317			1,204			370			26,839			45,391			76			508
	289,239			342,378			769,890			1,948,568			4,996,242			6,370,896			102,288			250,810
	397,543			583,082			1,191,351			2,617,594			22,545,214			35,545,708			1,190,399			2,729,391
	(3,699,200	)		(17,676,600	)		(14,733,325	)		(31,041,668	)		(265,918,584	)		(380,922,084	)		(9,531,934	)		(21,179,966	)
	(482,480	)		(35,665	)		(1,173	)		(7,758	)		(385,694	)		(2,217,585	)		—			—
	(50,997,045	)		(63,807,213	)		(91,533,449	)		(210,623,336	)		(156,719,073	)		(244,705,167	)		(4,769,428	)		(16,360,682	)
	(55,178,725	)		(81,519,478	)		(106,267,947	)		(241,672,762	)		(423,023,351	)		(627,844,836	)		(14,301,362	)		(37,540,648	)
$	(2,577,635	)	$	53,625,154		$	(50,307,149	)	$	(39,993,543	)	$	(169,465,730	)	$	(22,909,682	)	$	(11,196,182	)	$	(11,439,221	)
	570,196			807,524			868,633			2,303,957			10,213,018			26,553,160			71,704			951,599
	103,649			71,053			9,598			14,746			105,690			148,986			—			587
	4,477,960			12,284,978			4,961,823			18,916,667			10,247,697			23,113,614			135,030			1,545,784
	5,151,805			13,163,555			5,840,054			21,235,370			20,566,405			49,815,760			206,734			2,497,970
	10,199			23,243			44,862			71,445			1,563,854			2,544,022			117,736			264,677
	488			324			129			39			2,398			3,970			8			54
	28,529			33,492			82,040			207,919			446,389			556,153			11,077			26,811
	39,216			57,059			127,031			279,403			2,012,641			3,104,145			128,821			291,542
	(365,411	)		(1,732,485	)		(1,573,963	)		(3,324,720	)		(23,819,832	)		(33,248,095	)		(1,031,882	)		(2,268,782	)
	(47,899	)		(3,492	)		(125	)		(829	)		(34,678	)		(193,161	)		—			—
	(5,028,463	)		(6,234,376	)		(9,750,603	)		(22,453,676	)		(14,053,411	)		(21,551,776	)		(517,033	)		(1,743,421	)
	(5,441,773	)		(7,970,353	)		(11,324,691	)		(25,779,225	)		(37,907,921	)		(54,993,032	)		(1,548,915	)		(4,012,203	)
	(250,752	)		5,250,261			(5,357,606	)		(4,264,452	)		(15,328,875	)		(2,073,127	)		(1,213,360	)		(1,222,691	)

133

Notes to Financial Statements (continued)

	TCH Intermediate Income Fund						TCH Corporate Income Fund						TCH Core Plus Bond Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	49,705,442		$	15,889,907		$	58,194,891		$	114,431,708
Advisor class of shares		2,455,874			1,310,986			508,899			65,129			583,686			1,140,601
Institutional/Premier class of shares		7,442,458			19,158,174			11,693,572			30,562,895			66,006,199			100,178,326
Net proceeds from sale of shares		9,898,332			20,469,160			61,907,913			46,517,931			124,784,776			215,750,635
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			1,895,658			3,841,197			7,674,040			16,828,416
Advisor class of shares		192,087			581,550			332			717			23,728			29,476
Institutional/Premier class of shares		394,730			995,883			1,106,387			1,973,523			6,652,076			12,741,064
Net proceeds from shares issued		586,817			1,577,433			3,002,377			5,815,437			14,349,844			29,598,956
Cost of shares redeemed:
Investor class of shares		—			—			(22,298,033	)		(78,466,864	)		(60,322,235	)		(245,175,384	)
Advisor class of shares		(7,114,692	)		(6,341,490	)		(19,000	)		(33,000	)		(65,184	)		(108,607	)
Institutional/Premier class of shares		(5,079,840	)		(42,351,599	)		(18,485,044	)		(71,657,028	)		(40,275,904	)		(143,422,101	)
Net cost of shares redeemed		(12,194,532	)		(48,693,089	)		(40,802,077	)		(150,156,892	)		(100,663,323	)		(388,706,092	)
Net change resulting from fund share transactions in dollars	$	(1,709,383	)	$	(26,646,496	)	$	24,108,213		$	(97,823,524	)	$	38,471,297		$	(143,356,501	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			3,855,814			1,256,150			5,003,171			9,982,746
Advisor class of shares		231,849			126,348			39,411			5,514			50,219			100,260
Institutional/Premier class of shares		702,098			1,839,154			904,804			2,492,220			5,702,162			8,781,394
Net sale of shares		933,947			1,965,502			4,800,029			3,753,884			10,755,552			18,864,400
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			147,428			314,467			660,585			1,474,824
Advisor class of shares		18,089			56,038			26			60			2,044			2,571
Institutional/Premier class of shares		37,208			96,182			86,338			161,853			572,723			1,116,150
Net shares issued		55,297			152,220			233,792			476,380			1,235,352			2,593,545
Shares redeemed:
Investor class of shares		—			—			(1,731,254	)		(6,486,382	)		(5,187,443	)		(21,481,672	)
Advisor class of shares		(671,127	)		(613,026	)		(1,453	)		(2,542	)		(5,585	)		(9,517	)
Institutional/Premier class of shares		(478,617	)		(4,128,248	)		(1,434,777	)		(5,976,747	)		(3,463,446	)		(12,645,049	)
Net shares redeemed		(1,149,744	)		(4,741,274	)		(3,167,484	)		(12,465,671	)		(8,656,474	)		(34,136,238	)
Net change resulting from fund share transactions in shares		(160,500	)		(2,623,552	)		1,866,337			(8,235,407	)		3,334,430			(12,678,293	)

134

BMO Funds

Monegy High Yield Bond Fund						Government Money Market Fund						Tax-Free Money Market Fund						Prime Money Market Fund
Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
$	—		$	—		$	2,505,379,484		$	946,889,691		$	48,499,346		$	330,536,933		$	225,355,153		$	3,365,952,862
	2,342,973			36,554,073			—			—			—			—			—			—
	561,624			12,247,396			5,090,228,012			4,862,045,847			291,064,520			1,511,925,818			244,191,118			7,453,071,942
	2,904,597		��	48,801,469			7,595,607,496			5,808,935,538			339,563,866			1,842,462,751			469,546,271			10,819,024,804
	—			—			27,966			5,370			122,827			67,804			167,732			108,168
	1,083,529			2,338,389			—			—			—			—			—			—
	551,631			1,254,834			254,534			139,583			1,032			18,093			43,069			346,779
	1,635,160			3,593,223			282,500			144,953			123,859			85,897			210,801			454,947
	—			—			(1,931,288,246	)		(780,070,665	)		(57,185,416	)		(382,571,875	)		(910,312,121	)		(3,758,829,326	)
	(45,045,083	)		(10,463,414	)		—			—			—			—			—			—
	(15,551,173	)		(9,588,767	)		(4,550,872,536	)		(3,362,020,784	)		(305,631,295	)		(1,713,044,044	)		(681,045,510	)		(9,361,055,877	)
	(60,596,256	)		(20,052,181	)		(6,482,160,782	)		(4,142,091,449	)		(362,816,711	)		(2,095,615,919	)		(1,591,357,631	)		(13,119,885,203	)
$	(56,056,499	)	$	32,342,511		$	1,113,729,214		$	1,666,989,042		$	(23,128,986	)	$	(253,067,271	)	$	(1,121,600,559	)	$	(2,300,405,452	)
	—			—			2,505,379,484			946,889,691			48,499,346			330,536,933			225,355,153			3,365,952,862
	247,614			3,920,938			—			—			—			—			—			—
	59,498			1,331,768			5,090,228,012			4,862,045,847			291,064,520			1,511,925,818			244,191,118			7,453,071,942
	307,112			5,252,706			7,595,607,496			5,808,935,538			339,563,866			1,842,462,751			469,546,271			10,819,024,804
	—			—			27,966			5,370			122,827			67,804			167,732			108,168
	114,471			254,964			—			—			—			—			—			—
	58,300			136,962			254,534			139,583			1,032			18,093			43,069			346,779
	172,771			391,926			282,500			144,953			123,859			85,897			210,801			454,947
	—			—			(1,931,288,246	)		(780,070,665	)		(57,185,416	)		(382,571,875	)		(910,312,121	)		(3,758,829,326	)
	(4,748,758	)		(1,141,300	)		—			—			—			—			—			—
	(1,643,097	)		(1,055,620	)		(4,550,872,536	)		(3,362,020,784	)		(305,631,295	)		(1,713,044,044	)		(681,045,510	)		(9,361,055,877	)
	(6,391,855	)		(2,196,920	)		(6,482,160,782	)		(4,142,091,449	)		(362,816,711	)		(2,095,615,919	)		(1,591,357,631	)		(13,119,885,203	)
	(5,911,972	)		3,447,712			1,113,729,214			1,666,989,042			(23,128,986	)		(253,067,271	)		(1,121,600,559	)		(2,300,405,452	)

135

Notes to Financial Statements (continued)

	Institutional Prime Money Market Fund
	Six Months Ended February 28, 2017 (Unaudited)			Period Ended August 31, 2016(1)
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	375,658		$	992,287
Premier class of shares		401,387,510			747,124,675
Net proceeds from sale of shares		401,763,168			748,116,962
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,899			24
Premier class of shares		—			44
Net proceeds from shares issued		1,899			68
Cost of shares redeemed:
Investor class of shares		—			—
Premier class of shares		(402,489,913	)		(331,906,646	)
Net cost of shares redeemed		(402,489,913	)		(331,906,646	)
Net change resulting from fund share transactions in dollars	$	(724,846	)	$	416,210,384
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		375,654			992,287
Premier class of shares		401,330,300			747,124,675
Net sale of shares		401,705,954			748,116,962
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,899			24
Premier class of shares		—			44
Net shares issued		1,899			68
Shares redeemed:
Investor class of shares		—			—
Premier class of shares		(402,429,664	)		(331,906,646	)
Net shares redeemed		(402,429,664	)		(331,906,646	)
Net change resulting from fund share transactions in shares		(721,811	)		416,210,384

(1) Reflects operations for the period from June 3, 2016 (inception date) to August 31, 2016.

136

BMO Funds

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		0.500	%		0.490	%		0.450	%		0.400	%
Dividend Income Fund		0.500			0.490			0.450			0.400
Mid-Cap Value Fund		0.685			0.670			0.570			0.510
Mid-Cap Growth Fund		0.685			0.670			0.570			0.510
Small-Cap Value Fund		0.685			0.680			0.620			0.610
Small-Cap Growth Fund(1)		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.650			0.640			0.600			0.550
Pyrford International Stock Fund		0.735			0.720			0.620			0.560
LGM Emerging Markets Equity Fund		0.900			0.890			0.850			0.800
	Fund’s ADNA
Fund	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		0.550	%		0.550	%		0.550	%		0.550	%
Ultra Short Tax-Free Fund		0.200			0.190			0.170			0.100
Short Tax-Free Fund		0.200			0.190			0.170			0.150
Short-Term Income Fund		0.200			0.190			0.170			0.100
Intermediate Tax-Free Fund		0.250			0.160			0.120			0.100
Mortgage Income Fund		0.250			0.200			0.200			0.200
TCH Intermediate Income Fund		0.250			0.200			0.200			0.200
TCH Corporate Income Fund		0.200			0.190			0.150			0.100
TCH Core Plus Bond Fund		0.250			0.160			0.120			0.100
Monegy High Yield Bond Fund		0.500			0.500			0.500			0.500
	Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Large-Cap Value Fund		0.500	%		0.475	%		0.450	%
Large-Cap Growth Fund		0.500			0.475			0.450
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies Fund		1.700			1.675			1.650
Global Long/Short Equity Fund		1.000			0.975			0.950
	Fund’s ADNA
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
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Institutional Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

(1) Effective October 5, 2016 the investment adviser fees and breakpoint tiers were reduced for this BMO Fund. Prior to October 5, 2016, the fees charged based on the Fund’s ADNA were as follows: 0.95% on the first $500 million, 0.90% on the next $200 million, 0.90% on the next $100 million and 0.90% in excess of $800 million.

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.

137

Notes to Financial Statements (continued)

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, 2017, 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 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	%		1.00			0.75									0.60	%
Large-Cap Growth Fund		1.00			1.00			0.75									0.60
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		1.24	(1)					0.99	(1)
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					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					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
Institutional Prime Money Market Fund		0.45									0.20

(1) Effective October 5, 2016. Prior to October 5, 2016, the annual rates were 1.44% and 1.19%, respectively.

For the period ended February 28, 2017, 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	$	264,781
Prime Money Market Fund		5,970

Shareholder Servicing Fees—Under the terms of a Shareholder Services Agreement with the Adviser, certain Funds pay 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.

138

BMO Funds

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

(1) For the period ended February 28, 2017, 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	$	130,180	$	30	$	106,529	$	—	$	—
Large-Cap Growth Fund		125,553		261		74,018		—		—
Mid-Cap Value Fund		107,634		28		51,768		17		—
Mid-Cap Growth Fund		63,477		21		25,604		15		—
Small-Cap Value Fund		—		32,433		17,399		72		—
Pyrford International Stock Fund		72,765		86		374,274		17		—

(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 28, 2017:

Fund	Fees Paid
Low Volatility Equity Fund	$	19,557
Dividend Income Fund		15,970
Large-Cap Value Fund		41,717
Large-Cap Growth Fund		32,380
Mid-Cap Value Fund		27,565
Mid-Cap Growth Fund		16,768
Small-Cap Value Fund		10,156

Fund	Fees Paid
Small-Cap Core Fund	$	325
Small-Cap Growth Fund		103,663
Short-Term Income Fund		17,340
TCH Intermediate Income Fund		5,803
TCH Corporate Income Fund		11,148
TCH Core Plus Bond Fund		56,250

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 periods 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 28, 2017 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.

139

Notes to Financial Statements (continued)

Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Value, End of Period		Dividends Credited to Income		Net Realized Gain
Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 0.370%
Ultra Short Tax-Free Fund	$	—	$	105,799,039	$	105,754,585	$	44,454	$	1,521	$	—
Short Tax-Free Fund		—		37,071,293		37,028,630		42,663		577		—
Intermediate Tax-Free Fund		—		122,281,759		122,242,940		38,819		1,533		—
Mortgage Income Fund		4,706,289		14,319,081		17,992,661		1,032,709		1,926		—
Cash Sweep Investments in BMO Tax-Free Money Market Fund, Premier Class, 0.520%
Ultra Short Tax-Free Fund		568,942		20,011,105		20,580,047		—		3,541		—
Short Tax-Free Fund		504,804		4,391,807		4,896,611		—		577		—
Intermediate Tax-Free Fund		3,592,622		17,814,943		21,407,565		—		2,497		—
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 0.680%
Low Volatility Equity Fund		3,827,898		25,523,334		26,804,521		2,547,504		8,956		619
Dividend Income Fund		1,722,615		9,938,851		10,003,234		1,658,541		5,529		160
Large-Cap Value Fund		5,318,313		37,514,345		37,857,497		4,977,091		12,908		1,775
Large-Cap Growth Fund		5,069,310		28,114,191		26,919,625		6,264,810		13,255		576
Mid-Cap Value Fund		3,580,179		35,690,399		35,017,821		4,254,316		15,432		1,141
Mid-Cap Growth Fund		3,799,114		12,956,334		14,847,067		1,909,364		9,733		742
Small-Cap Value Fund		3,291,960		13,049,228		14,626,002		1,715,476		4,778		141
Small-Cap Core Fund		183,137		5,410,701		5,169,739		424,213		1,085		81
Small-Cap Growth Fund		14,167,565		77,928,261		88,939,550		3,157,962		15,739		1,686
Short-Term Income Fund		6,777,627		89,852,427		91,316,160		5,315,169		17,623		677
TCH Intermediate Income Fund		1,417,281		16,333,050		11,853,089		5,898,146		9,794		493
TCH Corporate Income Fund		8,154,777		78,973,160		72,516,454		14,614,012		24,353		1,326
TCH Core Plus Bond Fund		29,910,619		199,461,913		197,090,939		32,287,867		85,885		3,691
Monegy High Yield Bond Fund		3,392,910		63,667,669		65,681,172		1,381,253		4,769		1,756
Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		856,408		4,568		—		860,981		3,796		896
Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		5,051,144		26,942		—		5,078,111		22,383		5,281

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. As of February 28, 2017, the Global Low Volatility Equity Fund had an existing borrowing balance of $297,990. No other interfund borrowing or lending balances existed as of February 28, 2017.

Funds utilizing the Interfund lending program, borrowing from either the BMO Government Money Market Fund or the BMO Prime Money Market Fund during the period ended February 28, 2017, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Low Volatility Equity Fund	$	106,646		1.013	%
Dividend Income Fund		111		0.895
Small-Cap Growth Fund		526,690		0.899
Global Low Volatility Equity Fund		167,259		1.018
Ultra Short Tax-Free Fund		14,426		1.019
Short Tax-Free Fund		11,077		1.012
Short-Term Income Fund		41,434		0.975
Intermediate Tax-Free Fund		54,015		1.006
Mortgage Income Fund		6,514		0.911
TCH Corporate Income Fund		63,572		0.926
TCH Core Plus Bond Fund		281,862		0.964

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.

140

BMO Funds

7. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. The Tax-Free Money Market Fund utilized this LOC as borrower during the period ended February 28, 2017. No borrowings were outstanding under the LOC at February 28, 2017. For the period ended February 28, 2017, the average daily loan balance outstanding was $48,902 and the weighted average interest rate was 1.78%.

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 28, 2017 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	52,303,249	$	45,524,249	$	—	$	—
Dividend Income Fund		26,519,627		34,449,053		—		—
Large-Cap Value Fund		99,286,947		98,591,277		—		—
Large-Cap Growth Fund		107,085,899		103,427,858		—		—
Mid-Cap Value Fund		249,012,549		274,752,180		—		—
Mid-Cap Growth Fund		133,177,766		147,842,497		—		—
Small-Cap Value Fund		71,499,782		78,512,276		—		—
Small-Cap Core Fund		9,955,558		5,124,788		—		—
Small-Cap Growth Fund		331,638,102		487,617,726		—		—
Global Low Volatility Equity Fund		32,263,707		24,848,482		—		—
Disciplined International Equity Fund		22,179,692		35,106,445		—		—
Pyrford International Stock Fund		99,314,042		52,857,867		—		—
LGM Emerging Markets Equity Fund		43,403,278		25,485,434		—		—
TCH Emerging Markets Bond Fund		7,524,540		2,827,832		—		—
Alternative Strategies Fund		106,259,500		107,907,590		435,074		367,723
Global Long/Short Equity Fund		5,133,690		1,179,171		—		—
Ultra Short Tax-Free Fund		292,158,587		307,296,816		—		—
Short Tax-Free Fund		80,258,143		83,658,899		—		—
Short-Term Income Fund		37,625,335		50,626,279		19,532,573		38,423,974
Intermediate Tax-Free Fund		356,142,283		521,794,540		—		—
Mortgage Income Fund		—		1,064,045		6,594,751		13,098,603
TCH Intermediate Income Fund		5,002,110		10,202,482		—		7,373,525
TCH Corporate Income Fund		73,202,033		51,663,803		8,047,217		12,758,870
TCH Core Plus Bond Fund		145,553,828		149,176,523		66,035,412		39,565,251
Monegy High Yield Bond Fund		17,171,363		71,355,150		—		—

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 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 28, 2017. 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.

141

Notes to Financial Statements (continued)

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 unrealized capital gains tax, foreign currency, and the discount accretion/premium amortization of debt securities.

Fund	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	$	225,670,909		$	22,584,981	$	(2,331,438	)	$	20,253,543
Dividend Income Fund		148,043,004			26,685,573		(1,381,418	)		25,304,155
Large-Cap Value Fund		443,051,535			62,996,448		(2,600,387	)		60,396,061
Large-Cap Growth Fund		363,098,817			68,103,792		(2,565,091	)		65,538,701
Mid-Cap Value Fund		312,014,615			34,343,842		(2,551,005	)		31,792,837
Mid-Cap Growth Fund		165,485,057			15,191,501		(1,799,309	)		13,392,192
Small-Cap Value Fund		94,585,896			10,715,498		(14,32,332	)		9,283,166
Small-Cap Core Fund		25,190,563			3,451,641		(554,551	)		2,897,090
Small-Cap Growth Fund		263,903,094			23,810,404		(5,958,317	)		17,852,097
Global Low Volatility Equity Fund		43,205,138			4,859,312		(563,410	)		4,295,902
Disciplined International Equity Fund		55,794,768			6,422,610		(1,831,098	)		4,591,512
Pyrford International Stock Fund		670,166,784			63,238,383		(54,060,942	)		9,177,441
LGM Emerging Markets Equity Fund		130,553,102			23,112,525		(8,528,303	)		14,584,222
TCH Emerging Markets Bond Fund		14,421,572			332,603		(260,579	)		72,024
Alternative Strategies Fund		102,913,728			6,403,928		(90,700	)		5,111,362
Global Long/Short Equity Fund		11,308,944			858,768		(170,252	)		768,068
Ultra Short Tax-Free Fund		607,904,449			545,433		(556,779	)		(11,346	)
Short Tax-Free Fund		180,169,613			936,660		(695,591	)		241,069
Short-Term Income Fund		277,067,335			1,403,192		(586,623	)		816,569
Intermediate Tax-Free Fund		1,550,680,979			48,382,082		(10,112,953	)		38,269,129
Mortgage Income Fund		92,046,583			1,517,304		(633,658	)		883,646
TCH Intermediate Income Fund		89,194,461			1,283,847		(368,958	)		914,889
TCH Corporate Income Fund		279,326,243			4,345,962		(2,372,438	)		1,973,524
TCH Core Plus Bond Fund		1,235,847,331			15,847,661		(11,123,873	)		4,723,788
Monegy High Yield Bond Fund		47,781,483			2,479,925		(201,243	)		2,278,682
Government Money Market Fund		3,574,532,150	*		—		—			—
Tax-Free Money Market Fund		380,557,471	*		—		—			—
Prime Money Market Fund		451,195,086	*		—		—			—
Institutional Prime Money Markey Fund		415,609,828			94,701		(3,975	)		90,726

* at amortized cost

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2016 and August 31, 2015, were as follows:

	2016						2015
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	$	1,746,043	$	—	$	2,243,100	$	3,608,561	$	—	$	1,280,980
Dividend Income Fund		2,805,501		—		6,868,977		3,621,411		—		7,100,830
Large-Cap Value Fund		9,598,945		—		24,138,585		5,149,082		—		20,618,243
Large-Cap Growth Fund		6,033,858		—		26,944,126		12,930,101		—		21,930,792
Mid-Cap Value Fund		2,621,289		—		27,098,506		7,822,943		—		31,037,272
Mid-Cap Growth Fund		—		—		29,057,778		820,032		—		34,240,425
Small-Cap Value Fund		261,828		—		3,593,261		599,661		—		4,059,349
Small-Cap Core Fund		8,676		—		49,672		—		—		—
Small-Cap Growth Fund		—		—		40,427,824		32,110,510		—		96,656,948
Global Low Volatility Equity Fund		277,838		—		1,139		53,185		—		—
Pyrford International Stock Fund		15,648,329		—		—		2,655,059		—		—
LGM Emerging Markets Equity Fund		1,456,762		—		—		2,422,730		—		—
TCH Emerging Markets Bond Fund		393,245		—		49,962		574,934		—		—
Alternative Strategies Fund		1,041,789		—		—		—		—		—
Ultra Short Tax-Free Fund		62,033		4,069,527		608,075		736		4,498,991		23,343
Short Tax-Free Fund		187,219		1,978,212		149,029		27,354		1,642,272		8,101
Short-Term Income Fund		4,248,538		—		—		3,300,401		—		—
Intermediate Tax-Free Fund		32,028		40,541,321		2,820,294		195,902		37,974,429		—
Mortgage Income Fund		3,249,887		—		—		3,603,797		—		—
TCH Intermediate Income Fund		2,194,786		—		—		2,916,603		—		—
TCH Corporate Income Fund		8,488,508		—		991,224		7,982,948		—		920,229

142

BMO Funds

	2016						2015
Fund	Ordinary Income (1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income (1)		Tax-Exempt Income		Long-Term Capital Gains
TCH Core Plus Bond Fund	$	31,505,501	$	—	$	353,732	$	30,079,660	$	—	$	4,351,530
Monegy High Yield Bond Fund		3,905,456		—		—		4,170,116		—		1,566,305
Government Money Market Fund		733,949		—		—		63,363		—		—
Tax-Free Money Market Fund		50,489		708,010		186,054		57,184		62,197		—
Prime Money Market Fund		5,070,691		—		—		449,144		—		—
Institutional Prime Money Market Fund		386,189		—		—		—		—		—

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

As of August 31, 2016, 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, Futures, Short Sales Dividend Payable, and Other Adjustments			Unrealized Appreciation (Depreciation)
Low Volatility Equity Fund	$	386,543	$	—	$	1,719,238	$	—		$	—		$	13,931,326
Dividend Income Fund		456,320		—		410,443		—			—			20,220,906
Large-Cap Value Fund		989,078		—		542,177		—			—			36,899,654
Large-Cap Growth Fund		700,529		—		13,037,628		—			2			46,676,051
Mid-Cap Value Fund		450,934		—		23,898,125		—			—			45,660,839
Mid-Cap Growth Fund		—		—		2,275,894		—			—			28,287,764
Small-Cap Value Fund		2,005,865		—		—		(853,128	)		(1	)		7,544,738
Small-Cap Core Fund		49,869		—		88,922		—			(1	)		1,084,037
Small-Cap Growth Fund		—		—		—		(61,238,975	)		—			61,178,410
Global Low Volatility Equity Fund		782,596		—		5,200		—			(859	)		3,939,373
Disciplined International Equity Fund		1,247,501		—		—		(3,600,081	)		911			(105,518	)
Pyrford International Stock Fund		13,037,761		—		—		(24,342,484	)		(31,652	)		2,540,188
LGM Emerging Markets Equity Fund		957,619		—		—		(7,402,630	)		1,877			20,360,408
TCH Emerging Markets Bond Fund		232,485		—		—		(265,428	)		(23	)		217,544
Alternative Strategies Fund		—		—		—		(440,030	)		(1,097,414	)		2,847,712
Global Long/Short Equity Fund		48,178		—		38		—			(46,810	)		255,402
Ultra Short Tax-Free Fund		—		223,459		115,809		—			(238,842	)		399,112
Short Tax-Free Fund		10,806		198,093		38,121		—			(189,552	)		1,773,733
Short-Term Income Fund		186,775		—		—		(1,778,430	)		(175,646	)		2,019,697
Intermediate Tax-Free Fund		1,908,255		714,040		3,410,963		—			(675,713	)		97,267,611
Mortgage Income Fund		22,133		—		—		(5,030,236	)		(37,060	)		3,496,289
TCH Intermediate Income Fund		29,707		—		—		(22,596,875	)		(39,734	)		1,437,226
TCH Corporate Income Fund		483,824		—		24,871		—			(246,119	)		4,866,679
TCH Core Plus Bond Fund		1,526,729		—		—		(2,617,371	)		(168,973	)		27,269,071
Monegy High Yield Bond Fund		13,546		—		—		(5,862,352	)		(22,933	)		3,353,861
Government Money Market Fund		138,879		—		—		—			(139,020	)		—
Tax-Free Money Market Fund		1,219		122,412		69,470		—			(130,732	)		—
Prime Money Market Fund		210,583		—		—		—			(234,546	)		—
Institutional Prime Money Market Fund		169,740		—		—		—			(153,255	)		—

At August 31, 2016, 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:

	Capital Loss Carryforward to Expire In:				Not Subject to Expiration
Fund	2018		2019		ST		LT		Total
Small-Cap Growth Fund	$	—	$	—	$	17,423,115	$	—	$	17,423,115
Disciplined International Equity Fund		—		—		3,198		—		3,198
Pyrford International Stock Fund		—		—		989,027		1,214,263		2,203,290
LGM Emerging Markets Equity Fund		—		—		—		3,809,339		3,809,339
TCH Emerging Markets Bond Fund		—		—		1,891		615		2,506
Short-Term Income Fund		—		—		476,657		754,770		1,231,427
Mortgage Income Fund		—		—		1,250,251		3,594,964		4,845,215
TCH Intermediate Income Fund		20,679,438		952,005		—		—		21,631,443
Monegy High Yield Bond Fund		—		—		1,401,374		1,671,424		3,072,798

143

Notes to Financial Statements (continued)

During the fiscal year ended August 31, 2016, the Short-Term Income, Mortgage Income and TCH Intermediate Income Funds, respectively, utilized $131,480, $318,107 and $118,719 of capital loss carryforwards.

The Short-Term Income Fund had losses expiring during the fiscal year ended August 31, 2016, in the amount of $216,882.

As of August 31, 2016, the following Funds had post-October losses, which are deferred until fiscal year 2017 for tax purposes, of:

	Post-October Losses
Fund	Short-Term		Long-Term
Small-Cap Value Fund	$	—	$	853,128
Small-Cap Growth Fund		37,866,532		5,167,844
Disciplined International Equity Fund		3,596,883		—
Pyrford International Stock Fund		3,800,678		18,338,516
LGM Emerging Markets Equity Fund		—		3,593,291
Short-Term Income Fund		—		547,003
Mortgage Income Fund		701		184,320
TCH Intermediate Income Fund		259,732		705,700
TCH Core Plus Bond Fund		—		2,617,371
Monegy High Yield Bond Fund		1,132,391		1,657,163

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, 2016, the following Funds had qualified late-year ordinary losses, which are deferred until fiscal year 2017 for tax purposes, of:

Fund	Late- Year Ordinary Losses
Small-Cap Growth Fund	$	781,484
Alternative Strategies Fund		440,030

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. Shareholder Tax Information (Unaudited)

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2016, the percentages that qualify for the dividend received deduction available to corporate shareholders were as follows:

Low Volatility Equity Fund	97.45	%
Dividend Income Fund	100.00
Large-Cap Value Fund	77.38
Large-Cap Growth Fund	34.11
Mid-Cap Value Fund	100.00

Small-Cap Value Fund	41.33	%
Small-Cap Core Fund	100.00
Global Low Volatility Equity Fund	9.14
LGM Emerging Markets Equity Fund	4.98

Of the ordinary income (including short-term capital gain) distributions made by the Funds during the year ended August 31, 2016, the percentages that are designated as qualified dividend income were as follows:

Low Volatility Equity Fund	100.00	%
Dividend Income Fund	100.00
Large-Cap Value Fund	80.57
Large-Cap Growth Fund	36.10
Mid-Cap Value Fund	100.00

Small-Cap Value Fund	41.84	%
Small-Cap Core Fund	100.00
Global Low Volatility Equity Fund	53.43
Pyrford International Stock Fund	58.66
Lloyd George Emerging Markets Equity Fund	100.00

For Federal tax purposes, for the year ended August 31, 2016, the following Funds designate a 20% rate gain distribution of long-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	2,243,100
Dividend Income Fund		6,868,977
Large-Cap Value Fund		24,138,585
Large-Cap Growth Fund		26,944,126
Mid-Cap Value Fund		27,098,506
Mid-Cap Growth Fund		29,057,778
Small-Cap Value Fund		3,593,261
Small-Cap Core Fund		49,672
Small-Cap Growth Fund		40,427,824

Global Low Volatility Equity Fund	$	1,139
TCH Emerging Markets Bond Fund		49,962
Ultra Short Tax-Free Fund		608,075
Short Tax-Free Fund		149,029
Intermediate Tax-Free Fund		2,820,294
TCH Corporate Income Fund		991,224
TCH Core Plus Bond Fund		353,732
Tax-Free Money Market Fund		186,054

144

BMO Funds

For Federal tax purposes, for the year ended August 31, 2016, the following Funds designate qualified short-term capital gains, or the amounts determined to be necessary, of:

Low Volatility Equity Fund	$	265,921
Large-Cap Value Fund		5,102,876
Large-Cap Growth Fund		5,627,192
Small-Cap Value Fund		261,828
TCH Emerging Markets Bond Fund		21,416
Alternative Strategies Fund		970,353

Ultra Short Tax-Free Fund	$	61,367
Short Tax-Free Fund		185,944
Government Money Market Fund		1,602
Tax-Free Money Market Fund		49,865
Prime Money Market Fund		13,842
Institutional Prime Money Market Fund		1,744

For Federal tax purposes, for the year ended August 31, 2016, the following Funds designate qualified tax-exempt dividends, or the amounts determined to be necessary, of:

Ultra-Short Tax-Free Fund	$	4,069,355
Short Tax-Free Fund		1,978,212
Intermediate Tax-Free Fund		40,541,321
Tax-Free Money Market Fund		708,010

For the year ended August 31, 2016, Pursuant to Section 853 of the Code, the following Funds designate income derived from foreign sources and foreign taxes paid, or the amounts determined to be necessary, of:

Fund	Income Derived from Foreign Sources		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	841,325	$	70,515
Disciplined International Equity Fund		2,335,655		116,486
Pyrford International Stock Fund		24,278,817		1,047,614
Lloyd George Emerging Markets Equity Fund		3,308,270		250,962
Global Long/Short Equity Fund		58,659		4,627

Of the ordinary income (including short-term capital gain) distributions made during the year ended August 31, 2016, the proportionate share of income derived from foreign sources and foreign taxes paid attributable to one share of stock are:

Fund	Foreign Source Income		Foreign Taxes Paid
Global Low Volatility Equity Fund	$	0.2716	$	0.0228
Disciplined International Equity Fund		0.3313		0.0165
Pyrford International Stock Fund		0.4925		0.0212
Lloyd George Emerging Markets Equity Fund		0.3558		0.0270
Global Long/Short Equity Fund		0.1485		0.0117

11. Recently Issued Accounting Pronouncement

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X may have on the Fund’s financial statements and related disclosures.

12. Subsequent Events

Effective March 1, 2017, BMO Pyrford International Stock Fund’s Expense Limitation Agreement was lowered from 1.24% to 1.19% with respect to Investor and Advisor Class shares, 0.99% to 0.94% with respect to Institutional Class shares, 1.49% to 1.44% with respect to R-3 Class shares and 0.84% to 0.79% with respect to R-6 Class shares.

Effective March 7, 2017, BMO Monegy High Yield Bond Fund’s name changed to the BMO High Yield Bond Fund.

145

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

Approval of Amendment to the Fee Schedule of the Advisory Agreement for the BMO Small-Cap Growth Fund

At a meeting held on September 30, 2016, 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 (the “Independent Directors”), considered an amendment to the investment advisory agreement (the “Advisory Agreement”) between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of the BMO Small-Cap Growth Fund (the “Fund”) to reflect an amended fee schedule. The contractual fee schedule for the Fund was being amended to reflect to reduced advisory fees. In approving the amended fee schedule, the Board took into consideration that the contractual fee to be paid to the Adviser by the Fund under the amended fee schedule would be 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 the Fund would not be affected by the change in fee schedule.

146

Rev. 8/2015

FACTS	WHAT DO BMO FUNDS, INC. & BMO LGM FRONTIER MARKETS EQUITY FUND (TOGETHER, THE “FUNDS”) DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: •      Social Security Number and Bank Account Numbers •      Assets and Income •      Account Balances and Account Transactions •      Specific Investment Experience
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Funds choose to share; and whether you can limit this sharing.

Reasons we can share your personal information	Do the Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We do not share
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We do not share
For our affiliates to market to you	Yes	Yes
For nonaffiliates to market to you	No	We do not share

To limit our sharing	Call Toll-Free: 1-800-236-FUND (3863) Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call Toll-Free: 1-800-236-FUND (3863) or go to www.bmofundsus.com

147

	Rev. 8/2015
Page 2

What we do
How do the Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How do the Funds collect my personal	We collect your personal information, for example, when you:
information?	•	Open an account or direct us to buy/sell your securities
	•	Provide account information or give us your contact information
	•	Seek advice about your investments
	We also collect your personal information from others, such as your financial representative, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only
	•	sharing for affiliates’ everyday business purposes—information about your creditworthiness
	•	affiliates from using your information to market to you
	•	sharing for nonaffiliates to market to you
	State laws and individual companies may give you additional rights to limit sharing. See below for more information on your rights under state laws.
What happens when I limit sharing for an account I hold jointly with someone else?	Your choices will apply to everyone on your account–unless you tell us otherwise.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and non-financial companies.
	•	Our affiliates include financial companies with a Bank of Montreal or BMO name; and financial companies such as BMO Harris Bank N.A.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies.
	•	The Funds do not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
	•	The Funds do not jointly market.

Other important information

Important Information for California and Vermont Residents: As long as you remain a resident of California or Vermont, we will not share within the BMO family of companies certain information (other than information about our transactions and experiences with you) from your account applications or information we receive from third parties without your authorization. To authorize the sharing of this information within the BMO family of companies, please contact us (see “Questions?” section). Nevada Residents: Notice provided pursuant to state law. To be placed on our internal Do Not Call List, call 1-888-654-0063. For more on this Nevada law, contact Bureau of Consumer Protection, Office of the Nevada Attorney General, 555 E. Washington St., Suite 3900, Las Vegas, NV 89101. Phone number: (702)486-3132; email: BCPINFO@ag.state.nv.us.

148

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.

© 2017 BMO Financial Corp. (3/17)

BMO Funds February 28, 2017

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			37
Privacy Policy			54

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2017

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 28, 2017 (9/1/16-2/28/17).

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
Fund	Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,026.60		0.33	%	$	1.66
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66
2015 Fund
Actual		1,000.00		1,036.40		0.33			1.68
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66
2020 Fund
Actual		1,000.00		1,046.20		0.33			1.67
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66
2025 Fund
Actual		1,000.00		1,053.20		0.33			1.68
Hypothetical (5% return before expenses)		1,000.00		1,023.40		0.33			1.66
2030 Fund
Actual		1,000.00		1,058.50		0.37			1.89
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.37			1.86
2035 Fund
Actual		1,000.00		1,063.50		0.37			1.88
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.37			1.86
2040 Fund
Actual		1,000.00		1,067.60		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81
2045 Fund
Actual		1,000.00		1,067.10		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81
2050 Fund
Actual		1,000.00		1,067.30		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81
2055 Fund
Actual		1,000.00		1,067.00		0.36			1.84
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.81

2

Expense Example (Unaudited) (continued)

	Investor									Institutional
Fund	Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
Conservative Allocation Fund
Actual	$	1,000.00	$	1,015.80		0.33	%	$	1.65	$	1,000.00	$	1,017.20		0.08	%	$	0.40
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		1,034.30		0.30			1.51		1,000.00		1,035.40		0.05			0.25
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		1,050.70		0.33			1.68		1,000.00		1,052.90		0.08			0.41
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		1,069.50		0.30			1.54		1,000.00		1,070.70		0.05			0.26
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		1,083.30		0.33			1.71		1,000.00		1,083.80		0.08			0.41
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, 2016 through February 28, 2017, multiplied by the average account value over the period, multiplied by 181/365 (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 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,026.70		0.58	%	$	2.93	$	1,000.00	$	1,029.40		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2015 Fund
Actual		1,000.00		1,034.80		0.58			2.93		1,000.00		1,039.30		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2020 Fund
Actual		1,000.00		1,044.40		0.58			2.94		1,000.00		1,048.90		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2025 Fund
Actual		1,000.00		1,051.90		0.58			2.95		1,000.00		1,055.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2030 Fund
Actual		1,000.00		1,057.70		0.62			3.16		1,000.00		1,061.30		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.11		1,000.00		1,025.00		0.00			0.00
2035 Fund
Actual		1,000.00		1,062.60		0.62			3.17		1,000.00		1,065.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.90		0.62			3.11		1,000.00		1,025.00		0.00			0.00
2040 Fund
Actual		1,000.00		1,065.70		0.61			3.13		1,000.00		1,068.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2045 Fund
Actual		1,000.00		1,066.40		0.61			3.12		1,000.00		1,070.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2050 Fund
Actual		1,000.00		1,065.50		0.61			3.13		1,000.00		1,069.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2055 Fund
Actual		1,000.00		1,066.00		0.61			3.12		1,000.00		1,069.60		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.00		0.61			3.06		1,000.00		1,025.00		0.00			0.00
Conservative Allocation Fund
Actual		1,000.00		1,013.90		0.58			2.91		1,000.00		1,018.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
Moderate Allocation Fund
Actual		1,000.00		1,032.10		0.55			2.77		1,000.00		1,035.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.76		1,000.00		1,025.00		0.00			0.00
Balanced Allocation Fund
Actual		1,000.00		1,050.80		0.58			2.95		1,000.00		1,053.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		1,000.00		1,025.00		0.00			0.00
Growth Allocation Fund
Actual		1,000.00		1,068.80		0.55			2.83		1,000.00		1,071.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.30		0.55			2.76		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 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)		Beginning account value 9/1/16		Ending account value 2/28/17		Annualized Expense Ratio(1)			Expenses paid during period 9/1/16- 2/28/17(1)
Aggressive Allocation Fund
Actual	$	1,000.00	$	1,080.80		0.58	%	$	2.99	$	1,000.00	$	1,084.60		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.10		0.58			2.91		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, 2016 through February 28, 2017, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 28, 2017 (Unaudited)

Schedules of Investments BMO Funds

In-Retirement Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 17.9%
BMO Dividend Income Fund—Institutional Class (1)		21,892	$	308,896
BMO Large-Cap Growth Fund—Institutional Class (1)		12,074		194,749
BMO Large-Cap Value Fund—Institutional Class (1)		28,898		454,568
BMO Low Volatility Equity Fund—Institutional Class (1)		30,782		440,188
Harbor Capital Appreciation Fund—Institutional Class		3,152		193,973
T Rowe Price Growth Stock Fund—Institutional Class		3,346		194,487
Vanguard Equity Income Fund—Institutional Class		5,236		374,137
Vanguard Institutional Index Fund—Institutional Class		3,537		763,657
Total Large-Cap Funds				2,924,655
Mid-Cap Funds — 3.1%
BMO Mid-Cap Growth Fund—Institutional Class (1)		5,564		80,283
BMO Mid-Cap Value Fund—Institutional Class (1)		16,426		194,488
Vanguard Mid-Cap Index Fund—Institutional Class		5,936		226,808
Total Mid-Cap Funds				501,579
Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		2,653		47,667
Goldman Sachs Small Cap Value Fund—Institutional Class		2,341		143,741
Total Small-Cap Funds				191,408
International Funds — 11.4%
BMO Disciplined International Equity Fund—Institutional Class (1)		32,841		326,113
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		19,378		260,053
BMO Pyrford International Stock Fund—Institutional Class (1)		36,378		440,175
DFA International Small Company Portfolio—Institutional Class		2,641		48,280
Dodge & Cox International Stock Fund—Retail Class		5,665		227,829
Harbor International Fund—Institutional Class		3,723		227,570
MFS International Value Fund—Institutional Class		8,953		341,898
Total International Funds				1,871,918
Fixed Income Funds — 55.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		30,600		293,453
BMO TCH Core Plus Bond Fund—Institutional Class (1)		260,991		3,030,111
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		49,446		489,021
Federated Institutional High-Yield Bond Fund—Institutional Class		47,034		473,166
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		50,588		489,186
Metropolitan West Total Return Bond Fund—Institutional Class		286,224		3,031,107

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		34,812	$	862,642
Vanguard Short-Term Investment Grade Fund—Institutional Class		30,533		325,787
Total Fixed Income Funds				8,994,473
Alternative Funds — 10.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		107,269		1,135,984
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		96,191		491,535
Total Alternative Funds				1,627,519
Total Mutual Funds (identified cost $13,973,947)				16,111,552
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		191,417		191,455
Total Short-Term Investments (identified cost $191,455)				191,455
Total Investments — 99.8% (identified cost $14,165,402)				16,303,007
Other Assets and Liabilities — 0.2%				32,856
Total Net Assets — 100.0%			$	16,335,863

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		17.9	%
Mid-Cap Funds		3.1
Small-Cap Funds		1.2
International Funds		11.4
Fixed Income Funds		55.0
Alternative Funds		10.0
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2015 Fund

Description	Shares		Value
Mutual Funds — 98.3%
Large-Cap Funds — 24.1%
BMO Dividend Income Fund—Institutional Class (1)		6,376	$	89,959
BMO Large-Cap Growth Fund—Institutional Class (1)		5,861		94,543
BMO Large-Cap Value Fund—Institutional Class (1)		11,419		179,615
BMO Low Volatility Equity Fund—Institutional Class (1)		11,920		170,451
Harbor Capital Appreciation Fund—Institutional Class		1,538		94,651
T Rowe Price Growth Stock Fund—Institutional Class		1,628		94,637

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

5

February 28, 2017 (Unaudited)

Schedules of Investments

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Vanguard Equity Income Fund—Institutional Class		1,790	$	127,893
Vanguard Institutional Index Fund—Institutional Class		1,381		298,161
Total Large-Cap Funds				1,149,910
Mid-Cap Funds — 4.8%
BMO Mid-Cap Growth Fund—Institutional Class (1)		2,280		32,895
BMO Mid-Cap Value Fund—Institutional Class (1)		7,576		89,697
Vanguard Mid-Cap Index Fund—Institutional Class		2,717		103,818
Total Mid-Cap Funds				226,410
Small-Cap Funds — 1.9%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		1,553		27,899
Goldman Sachs Small Cap Value Fund—Institutional Class		992		60,938
Total Small-Cap Funds				88,837
International Funds — 15.9%
BMO Disciplined International Equity Fund—Institutional Class (1)		12,914		128,235
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		8,467		113,622
BMO Pyrford International Stock Fund—Institutional Class (1)		13,736		166,201
DFA International Small Company Portfolio—Institutional Class		1,040		19,009
Dodge & Cox International Stock Fund—Retail Class		2,475		99,543
Harbor International Fund—Institutional Class		1,859		113,635
MFS International Value Fund—Institutional Class		3,104		118,557
Total International Funds				758,802
Fixed Income Funds — 42.2%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		6,438		61,745
BMO TCH Core Plus Bond Fund—Institutional Class (1)		60,893		706,963
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		11,994		118,618
Federated Institutional High-Yield Bond Fund—Institutional Class		10,848		109,128
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		11,788		113,990
Metropolitan West Total Return Bond Fund—Institutional Class		66,758		706,963
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		8,035		199,119
Total Fixed Income Funds				2,016,526
Alternative Funds — 9.4%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		29,907		316,719
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		26,147		133,611
Total Alternative Funds				450,330
Total Mutual Funds (identified cost $4,500,152)				4,690,815

Description	Shares		Value
Short-Term Investments — 1.9%
Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		92,301	$	92,320
Total Short-Term Investments (identified cost $92,316)				92,320
Total Investments — 100.2% (identified cost $4,592,468)				4,783,135
Other Assets and Liabilities — (0.2)%				(9,186	)
Total Net Assets — 100.0%			$	4,773,949

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		24.1	%
Mid-Cap Funds		4.8
Small-Cap Funds		1.9
International Funds		15.9
Fixed Income Funds		42.2
Alternative Funds		9.4
Other Assets & Liabilities, Net		1.7
Total		100.0	%

2020 Fund

Description	Shares		Value
Mutual Funds — 98.4%
Large-Cap Funds — 29.8%
BMO Dividend Income Fund—Institutional Class (1)		113,228	$	1,597,646
BMO Large-Cap Growth Fund—Institutional Class (1)		142,463		2,297,922
BMO Large-Cap Value Fund—Institutional Class (1)		247,858		3,898,804
BMO Low Volatility Equity Fund—Institutional Class (1)		261,234		3,735,640
Harbor Capital Appreciation Fund—Institutional Class		37,183		2,287,900
T Rowe Price Growth Stock Fund—Institutional Class		39,489		2,295,109
Vanguard Equity Income Fund—Institutional Class		34,747		2,482,696
Vanguard Institutional Index Fund—Institutional Class		36,901		7,967,956
Total Large-Cap Funds				26,563,673
Mid-Cap Funds — 6.8%
BMO Mid-Cap Growth Fund—Institutional Class (1)		109,408		1,578,764
BMO Mid-Cap Value Fund—Institutional Class (1)		179,728		2,127,984
Vanguard Mid-Cap Index Fund—Institutional Class		62,347		2,382,290
Total Mid-Cap Funds				6,089,038
Small-Cap Funds — 2.6%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		48,376		869,325
Goldman Sachs Small Cap Value Fund—Institutional Class		22,735		1,396,144
Total Small-Cap Funds				2,265,469

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

6

BMO Funds

2020 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 20.2%
BMO Disciplined International Equity Fund—Institutional Class (1)		283,011	$	2,810,301
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		183,431		2,461,646
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		77,646		722,111
BMO Pyrford International Stock Fund—Institutional Class (1)		325,235		3,935,339
DFA International Small Company Portfolio—Institutional Class		24,033		439,323
Dodge & Cox International Stock Fund—Retail Class		58,427		2,349,941
Harbor International Fund—Institutional Class		41,764		2,553,060
MFS International Value Fund—Institutional Class		72,008		2,749,996
Total International Funds				18,021,717
Fixed Income Funds — 30.1%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		83,382		799,635
BMO TCH Core Plus Bond Fund—Institutional Class (1)		817,991		9,496,872
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		134,680		1,331,984
Federated Institutional High-Yield Bond Fund—Institutional Class		150,047		1,509,474
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		165,383		1,599,254
Metropolitan West Total Return Bond Fund—Institutional Class		888,396		9,408,116
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		107,366		2,660,533
Total Fixed Income Funds				26,805,868
Alternative Funds — 8.9%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		526,029		5,570,650
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		468,247		2,392,744
Total Alternative Funds				7,963,394
Total Mutual Funds (identified cost $70,236,843)				87,709,159
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		1,123,077		1,123,302
Total Short-Term Investments (identified cost $1,123,295)				1,123,302
Total Investments — 99.7% (identified cost $71,360,138)				88,832,461
Other Assets and Liabilities — 0.3%				266,983
Total Net Assets — 100.0%			$	89,099,444

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		29.8	%
Mid-Cap Funds		6.8
Small-Cap Funds		2.6
International Funds		20.2
Fixed Income Funds		30.1
Alternative Funds		8.9
Other Assets & Liabilities, Net		1.6
Total		100.0	%

2025 Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 32.6%
BMO Dividend Income Fund—Institutional Class (1)		29,967	$	422,828
BMO Large-Cap Growth Fund—Institutional Class (1)		52,342		844,272
BMO Large-Cap Value Fund—Institutional Class (1)		99,076		1,558,473
BMO Low Volatility Equity Fund—Institutional Class (1)		70,511		1,008,303
Harbor Capital Appreciation Fund—Institutional Class		21,663		1,332,908
T Rowe Price Growth Stock Fund—Institutional Class		22,930		1,332,694
Vanguard Equity Income Fund—Institutional Class		8,198		585,726
Vanguard Institutional Index Fund—Institutional Class		16,309		3,521,633
Total Large-Cap Funds				10,606,837
Mid-Cap Funds — 9.0%
BMO Mid-Cap Growth Fund—Institutional Class (1)		62,624		903,660
BMO Mid-Cap Value Fund—Institutional Class (1)		79,427		940,413
Vanguard Mid-Cap Index Fund—Institutional Class		28,842		1,102,068
Total Mid-Cap Funds				2,946,141
Small-Cap Funds — 3.7%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		31,975		574,594
Goldman Sachs Small Cap Value Fund—Institutional Class		10,484		643,803
Total Small-Cap Funds				1,218,397
International Funds — 23.5%
BMO Disciplined International Equity Fund—Institutional Class (1)		88,722		881,012
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		87,243		1,170,800
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		26,847		249,674
BMO Pyrford International Stock Fund—Institutional Class (1)		129,418		1,565,963
DFA International Small Company Portfolio—Institutional Class		12,503		228,555
Dodge & Cox International Stock Fund—Retail Class		30,767		1,237,457
Harbor International Fund—Institutional Class		22,348		1,366,157

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

7

February 28, 2017 (Unaudited)

Schedules of Investments

2025 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund—Institutional Class		24,740	$	944,811
Total International Funds				7,644,429
Fixed Income Funds — 22.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		23,819		228,420
BMO TCH Core Plus Bond Fund—Institutional Class (1)		216,190		2,509,961
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		36,255		358,566
Federated Institutional High-Yield Bond Fund—Institutional Class		42,123		423,760
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		47,242		456,835
Metropolitan West Total Return Bond Fund—Institutional Class		237,012		2,509,961
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		27,602		683,976
Total Fixed Income Funds				7,171,479
Alternative Funds — 8.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		171,723		1,818,552
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		153,981		786,841
Total Alternative Funds				2,605,393
Total Mutual Funds (identified cost $31,192,003)				32,192,676
Short-Term Investments — 0.0%
Mutual Funds — 0.0%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		69		69
Total Short-Term Investments (identified cost $69)				69
Total Investments — 98.8% (identified cost $31,192,072)				32,192,745
Other Assets and Liabilities — 1.2%				387,487
Total Net Assets — 100.0%			$	32,580,232

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		32.6	%
Mid-Cap Funds		9.0
Small-Cap Funds		3.7
International Funds		23.5
Fixed Income Funds		22.0
Alternative Funds		8.0
Other Assets & Liabilities, Net		1.2
Total		100.0	%

2030 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 36.3%
BMO Dividend Income Fund—Institutional Class (1)		104,651	$	1,476,630
BMO Large-Cap Growth Fund—Institutional Class (1)		173,984		2,806,368
BMO Large-Cap Value Fund—Institutional Class (1)		364,335		5,730,985
BMO Low Volatility Equity Fund—Institutional Class (1)		253,812		3,629,517
Harbor Capital Appreciation Fund—Institutional Class		77,695		4,780,574
T Rowe Price Growth Stock Fund—Institutional Class		82,678		4,805,272
Vanguard Equity Income Fund—Institutional Class		30,778		2,199,075
Vanguard Institutional Index Fund—Institutional Class		57,753		12,470,555
Total Large-Cap Funds				37,898,976
Mid-Cap Funds — 10.2%
BMO Mid-Cap Growth Fund—Institutional Class (1)		229,714		3,314,777
BMO Mid-Cap Value Fund—Institutional Class (1)		281,739		3,335,791
Vanguard Mid-Cap Index Fund—Institutional Class		103,224		3,944,189
Total Mid-Cap Funds				10,594,757
Small-Cap Funds — 4.1%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		119,986		2,156,152
Goldman Sachs Small Cap Value Fund—Institutional Class		35,194		2,161,288
Total Small-Cap Funds				4,317,440
International Funds — 26.1%
BMO Disciplined International Equity Fund—Institutional Class (1)		302,154		3,000,387
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		307,429		4,125,704
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		121,661		1,131,448
BMO Pyrford International Stock Fund—Institutional Class (1)		459,326		5,557,848
DFA International Small Company Portfolio—Institutional Class		50,740		927,534
Dodge & Cox International Stock Fund—Retail Class		109,784		4,415,494
Harbor International Fund—Institutional Class		79,570		4,864,115
MFS International Value Fund—Institutional Class		84,356		3,221,560
Total International Funds				27,244,090
Fixed Income Funds — 14.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		54,371		521,415
BMO TCH Core Plus Bond Fund—Institutional Class (1)		456,341		5,298,121
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		73,656		728,455
Federated Institutional High-Yield Bond Fund—Institutional Class		82,922		834,191
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		107,728		1,041,727

(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 (continued)
Metropolitan West Total Return Bond Fund—Institutional Class		500,212	$	5,297,242
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		54,484		1,350,113
Total Fixed Income Funds				15,071,264
Alternative Funds — 7.4%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		507,499		5,374,413
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		461,135		2,356,398
Total Alternative Funds				7,730,811
Total Mutual Funds (identified cost $80,232,732)				102,857,338
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		1,102,142		1,102,362
Total Short-Term Investments (identified cost $1,102,238)				1,102,362
Total Investments — 99.7% (identified cost $81,334,970)				103,959,700
Other Assets and Liabilities — 0.3%				364,062
Total Net Assets — 100.0%			$	104,323,762

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		36.3	%
Mid-Cap Funds		10.2
Small-Cap Funds		4.1
International Funds		26.1
Fixed Income Funds		14.5
Alternative Funds		7.4
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2035 Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 40.0%
BMO Dividend Income Fund—Institutional Class (1)		35,469	$	500,469
BMO Large-Cap Growth Fund—Institutional Class (1)		59,915		966,431
BMO Large-Cap Value Fund—Institutional Class (1)		125,217		1,969,656
BMO Low Volatility Equity Fund—Institutional Class (1)		88,956		1,272,068
Harbor Capital Appreciation Fund—Institutional Class		27,393		1,685,481
T Rowe Price Growth Stock Fund—Institutional Class		28,997		1,685,293

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Vanguard Equity Income Fund—Institutional Class		10,742	$	767,523
Vanguard Institutional Index Fund—Institutional Class		20,025		4,324,043
Total Large-Cap Funds				13,170,964
Mid-Cap Funds — 11.1%
BMO Mid-Cap Growth Fund—Institutional Class (1)		79,876		1,152,613
BMO Mid-Cap Value Fund—Institutional Class (1)		100,609		1,191,216
Vanguard Mid-Cap Index Fund—Institutional Class		34,503		1,318,369
Total Mid-Cap Funds				3,662,198
Small-Cap Funds — 4.6%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		41,838		751,821
Goldman Sachs Small Cap Value Fund—Institutional Class		12,193		748,798
Total Small-Cap Funds				1,500,619
International Funds — 28.4%
BMO Disciplined International Equity Fund—Institutional Class (1)		102,176		1,014,610
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		106,977		1,435,637
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		32,058		298,143
BMO Pyrford International Stock Fund—Institutional Class (1)		160,245		1,938,959
DFA International Small Company Portfolio—Institutional Class		17,834		326,012
Dodge & Cox International Stock Fund—Retail Class		37,959		1,526,716
Harbor International Fund—Institutional Class		27,848		1,702,367
MFS International Value Fund—Institutional Class		28,407		1,084,862
Total International Funds				9,327,306
Fixed Income Funds — 8.5%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		10,291		98,694
BMO TCH Core Plus Bond Fund—Institutional Class (1)		87,687		1,018,045
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		13,303		131,571
Federated Institutional High-Yield Bond Fund—Institutional Class		13,117		131,953
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		16,974		164,142
Metropolitan West Total Return Bond Fund—Institutional Class		96,165		1,018,387
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		9,264		229,557
Total Fixed Income Funds				2,792,349
Alternative Funds — 6.4%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		142,016		1,503,945
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		120,504		615,777
Total Alternative Funds				2,119,722
Total Mutual Funds (identified cost $31,378,063)				32,573,158

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

9

February 28, 2017 (Unaudited)

Schedules of Investments

2035 Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		349,383	$	349,453
Total Short-Term Investments (identified cost $349,426)				349,453
Total Investments — 100.1% (identified cost $31,727,489)				32,922,611
Other Assets and Liabilities — (0.1)%				(39,235	)
Total Net Assets — 100.0%			$	32,883,376

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		40.0	%
Mid-Cap Funds		11.1
Small-Cap Funds		4.6
International Funds		28.4
Fixed Income Funds		8.5
Alternative Funds		6.4
Other Assets & Liabilities, Net		1.0
Total		100.0	%

2040 Fund

Description	Shares		Value
Mutual Funds — 98.6%
Large-Cap Funds — 41.7%
BMO Dividend Income Fund—Institutional Class (1)		66,292	$	935,387
BMO Large-Cap Growth Fund—Institutional Class (1)		127,869		2,062,524
BMO Large-Cap Value Fund—Institutional Class (1)		260,662		4,100,217
BMO Low Volatility Equity Fund—Institutional Class (1)		187,580		2,682,390
Harbor Capital Appreciation Fund—Institutional Class		57,636		3,546,334
T Rowe Price Growth Stock Fund—Institutional Class		61,211		3,557,573
Vanguard Equity Income Fund—Institutional Class		22,416		1,601,646
Vanguard Institutional Index Fund—Institutional Class		42,222		9,116,940
Total Large-Cap Funds				27,603,011
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund—Institutional Class (1)		160,167		2,311,209
BMO Mid-Cap Value Fund—Institutional Class (1)		201,368		2,384,191
Vanguard Mid-Cap Index Fund—Institutional Class		77,761		2,971,240
Total Mid-Cap Funds				7,666,640
Small-Cap Funds — 4.7%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		86,992		1,563,244

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds (continued)
Goldman Sachs Small Cap Value Fund—Institutional Class		25,517	$	1,566,996
Total Small-Cap Funds				3,130,240
International Funds — 29.8%
BMO Disciplined International Equity Fund—Institutional Class (1)		208,481		2,070,217
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		226,869		3,044,588
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		95,993		892,737
BMO Pyrford International Stock Fund—Institutional Class (1)		333,494		4,035,272
DFA International Small Company Portfolio—Institutional Class		39,115		715,024
Dodge & Cox International Stock Fund—Retail Class		77,480		3,116,236
Harbor International Fund—Institutional Class		59,343		3,627,667
MFS International Value Fund—Institutional Class		57,106		2,180,871
Total International Funds				19,682,612
Fixed Income Funds — 5.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		13,799		132,330
BMO TCH Core Plus Bond Fund—Institutional Class (1)		96,784		1,123,657
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		20,050		198,292
Federated Institutional High-Yield Bond Fund—Institutional Class		26,281		264,390
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		27,369		264,656
Metropolitan West Total Return Bond Fund—Institutional Class		99,864		1,057,559
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		10,661		264,183
Total Fixed Income Funds				3,305,067
Alternative Funds — 5.8%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		255,412		2,704,810
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		223,653		1,142,864
Total Alternative Funds				3,847,674
Total Mutual Funds (identified cost $48,902,926)				65,235,244
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		742,379		742,528
Total Short-Term Investments (identified cost $742,515)				742,528
Total Investments — 99.7% (identified cost $49,645,441)				65,977,772
Other Assets and Liabilities — 0.3%				221,080
Total Net Assets — 100.0%			$	66,198,852

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

10

BMO Funds

2040 Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.7	%
Mid-Cap Funds		11.6
Small-Cap Funds		4.7
International Funds		29.8
Fixed Income Funds		5.0
Alternative Funds		5.8
Other Assets & Liabilities, Net		1.4
Total		100.0	%

2045 Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 42.0%
BMO Dividend Income Fund—Institutional Class (1)		17,145	$	241,917
BMO Large-Cap Growth Fund—Institutional Class (1)		33,156		534,812
BMO Large-Cap Value Fund—Institutional Class (1)		69,089		1,086,764
BMO Low Volatility Equity Fund—Institutional Class (1)		48,336		691,208
Harbor Capital Appreciation Fund—Institutional Class		15,439		949,965
T Rowe Price Growth Stock Fund—Institutional Class		16,342		949,813
Vanguard Equity Income Fund—Institutional Class		5,807		414,901
Vanguard Institutional Index Fund—Institutional Class		11,092		2,395,181
Total Large-Cap Funds				7,264,561
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund—Institutional Class (1)		42,785		617,385
BMO Mid-Cap Value Fund—Institutional Class (1)		52,387		620,258
Vanguard Mid-Cap Index Fund—Institutional Class		20,283		775,005
Total Mid-Cap Funds				2,012,648
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		23,604		424,158
Goldman Sachs Small Cap Value Fund—Institutional Class		6,964		427,679
Total Small-Cap Funds				851,837
International Funds — 30.3%
BMO Disciplined International Equity Fund—Institutional Class (1)		55,859		554,681
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		61,802		829,384
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		21,218		197,323
BMO Pyrford International Stock Fund—Institutional Class (1)		88,802		1,074,506
DFA International Small Company Portfolio—Institutional Class		11,386		208,135

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
Dodge & Cox International Stock Fund—Retail Class		21,507	$	864,998
Harbor International Fund—Institutional Class		15,548		950,430
MFS International Value Fund—Institutional Class		14,503		553,850
Total International Funds				5,233,307
Fixed Income Funds — 5.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		3,615		34,669
BMO TCH Core Plus Bond Fund—Institutional Class (1)		26,848		311,701
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		3,502		34,634
Federated Institutional High-Yield Bond Fund—Institutional Class		5,164		51,950
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		5,378		52,004
Metropolitan West Total Return Bond Fund—Institutional Class		29,434		311,701
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		2,793		69,212
Total Fixed Income Funds				865,871
Alternative Funds — 5.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		57,022		603,863
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		51,121		261,230
Total Alternative Funds				865,093
Total Mutual Funds (identified cost $16,362,019)				17,093,317
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		278,299		278,354
Total Short-Term Investments (identified cost $278,352)				278,354
Total Investments — 100.4% (identified cost $16,640,371)				17,371,671
Other Assets and Liabilities — (0.4)%				(69,654	)
Total Net Assets — 100.0%			$	17,302,017

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		42.0	%
Mid-Cap Funds		11.6
Small-Cap Funds		4.9
International Funds		30.3
Fixed Income Funds		5.0
Alternative Funds		5.0
Other Assets & Liabilities, Net		1.2
Total		100.0	%

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

11

February 28, 2017 (Unaudited)

Schedules of Investments

2050 Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 41.9%
BMO Dividend Income Fund—Institutional Class (1)		43,608	$	615,303
BMO Large-Cap Growth Fund—Institutional Class (1)		84,333		1,360,293
BMO Large-Cap Value Fund—Institutional Class (1)		175,727		2,764,191
BMO Low Volatility Equity Fund—Institutional Class (1)		122,939		1,758,030
Harbor Capital Appreciation Fund—Institutional Class		39,267		2,416,105
T Rowe Price Growth Stock Fund—Institutional Class		41,565		2,415,774
Vanguard Equity Income Fund—Institutional Class		14,770		1,055,292
Vanguard Institutional Index Fund—Institutional Class		28,178		6,084,568
Total Large-Cap Funds				18,469,556
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund—Institutional Class (1)		108,824		1,570,332
BMO Mid-Cap Value Fund—Institutional Class (1)		133,243		1,577,592
Vanguard Mid-Cap Index Fund—Institutional Class		51,588		1,971,176
Total Mid-Cap Funds				5,119,100
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		60,051		1,079,121
Goldman Sachs Small Cap Value Fund—Institutional Class		17,714		1,087,811
Total Small-Cap Funds				2,166,932
International Funds — 30.2%
BMO Disciplined International Equity Fund—Institutional Class (1)		142,074		1,410,792
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		157,181		2,109,362
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		56,406		524,575
BMO Pyrford International Stock Fund—Institutional Class (1)		225,865		2,732,971
DFA International Small Company Portfolio—Institutional Class		28,959		529,376
Dodge & Cox International Stock Fund—Retail Class		54,700		2,200,046
Harbor International Fund—Institutional Class		39,219		2,397,442
MFS International Value Fund—Institutional Class		36,886		1,408,671
Total International Funds				13,313,235
Fixed Income Funds — 5.0%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		9,195		88,179
BMO TCH Core Plus Bond Fund—Institutional Class (1)		68,285		792,794
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		8,907		88,088
Federated Institutional High-Yield Bond Fund—Institutional Class		13,134		132,131
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		13,678		132,268
Metropolitan West Total Return Bond Fund—Institutional Class		74,862		792,793

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		7,104	$	176,035
Total Fixed Income Funds				2,202,288
Alternative Funds — 5.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		145,024		1,535,806
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		130,018		664,390
Total Alternative Funds				2,200,196
Total Mutual Funds (identified cost $33,947,888)				43,471,307
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		577,221		577,336
Total Short-Term Investments (identified cost $577,287)				577,336
Total Investments — 100.0% (identified cost $34,525,175)				44,048,643
Other Assets and Liabilities — 0.0%				12,879
Total Net Assets — 100.0%			$	44,061,522

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.9	%
Mid-Cap Funds		11.7
Small-Cap Funds		4.9
International Funds		30.2
Fixed Income Funds		5.0
Alternative Funds		5.0
Other Assets & Liabilities, Net		1.3
Total		100.0	%

2055 Fund

Description	Shares		Value
Mutual Funds — 97.5%
Large-Cap Funds — 41.6%
BMO Dividend Income Fund—Institutional Class (1)		8,734	$	123,242
BMO Large-Cap Growth Fund—Institutional Class (1)		16,892		272,461
BMO Large-Cap Value Fund—Institutional Class (1)		35,197		553,645
BMO Low Volatility Equity Fund—Institutional Class (1)		24,624		352,127
Harbor Capital Appreciation Fund—Institutional Class		7,865		483,922
T Rowe Price Growth Stock Fund—Institutional Class		8,325		483,862
Vanguard Equity Income Fund—Institutional Class		2,958		211,366
Vanguard Institutional Index Fund—Institutional Class		5,705		1,231,900
Total Large-Cap Funds				3,712,525

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

12

BMO Funds

2055 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 11.5%
BMO Mid-Cap Growth Fund—Institutional Class (1)		21,796	$	314,519
BMO Mid-Cap Value Fund—Institutional Class (1)		26,686		315,962
Vanguard Mid-Cap Index Fund—Institutional Class		10,333		394,816
Total Mid-Cap Funds				1,025,297
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		12,024		216,066
Goldman Sachs Small Cap Value Fund—Institutional Class		3,547		217,824
Total Small-Cap Funds				433,890
International Funds — 29.7%
BMO Disciplined International Equity Fund—Institutional Class (1)		28,457		282,580
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		31,483		422,504
BMO LGM Frontier Markets Equity Fund—Investor Class (1)		8,726		81,148
BMO Pyrford International Stock Fund—Institutional Class (1)		45,239		547,393
DFA International Small Company Portfolio—Institutional Class		5,801		106,035
Dodge & Cox International Stock Fund—Retail Class		11,125		447,443
Harbor International Fund—Institutional Class		7,920		484,154
MFS International Value Fund—Institutional Class		7,388		282,143
Total International Funds				2,653,400
Fixed Income Funds — 4.9%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		1,842		17,661
BMO TCH Core Plus Bond Fund—Institutional Class (1)		13,677		158,794
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		1,784		17,643
Federated Institutional High-Yield Bond Fund—Institutional Class		2,631		26,465
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		2,740		26,492
Metropolitan West Total Return Bond Fund—Institutional Class		14,995		158,795
Vanguard Short-Term Inflation-Protected Securities Index Fund—Institutional Class		1,423		35,258
Total Fixed Income Funds				441,108
Alternative Funds — 4.9%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		29,046		307,595
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		26,049		133,109
Total Alternative Funds				440,704
Total Mutual Funds (identified cost $8,114,509)				8,706,924

Description	Shares		Value
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		144,168	$	144,197
Total Short-Term Investments (identified cost $144,188)				144,197
Total Investments — 99.1% (identified cost $8,258,697)				8,851,121
Other Assets and Liabilities — 0.9%				83,292
Total Net Assets — 100.0%			$	8,934,413

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.6	%
Mid-Cap Funds		11.5
Small-Cap Funds		4.9
International Funds		29.7
Fixed Income Funds		4.9
Alternative Funds		4.9
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 12.7%
BMO Dividend Income Fund—Institutional Class (1)		64,070	$	904,023
BMO Large-Cap Growth Fund—Institutional Class (1)		158,234		2,552,319
BMO Large-Cap Value Fund—Institutional Class (1)		196,892		3,097,105
BMO Low Volatility Equity Fund—Institutional Class (1)		117,037		1,673,625
Dodge & Cox Stock Fund—Retail Class		5,900		1,145,429
Harbor Capital Appreciation Fund—Institutional Class		25,620		1,576,387
T Rowe Price Growth Stock Fund—Institutional Class		24,810		1,441,933
Vanguard Institutional Index Fund—Institutional Class		24,568		5,304,916
Total Large-Cap Funds				17,695,737
Mid-Cap Funds — 2.0%
BMO Mid-Cap Growth Fund—Institutional Class (1)		48,547		700,533
BMO Mid-Cap Value Fund—Institutional Class (1)		59,671		706,502
Vanguard Mid-Cap Index Fund—Institutional Class		34,712		1,326,341
Total Mid-Cap Funds				2,733,376
Small-Cap Funds — 1.0%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		39,335		706,849
BMO Small-Cap Value Fund—Institutional Class (1)		26,464		365,992
Goldman Sachs Small Cap Value Fund—Institutional Class		5,563		341,593
Total Small-Cap Funds				1,414,434

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

13

February 28, 2017 (Unaudited)

Schedules of Investments

Conservative Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds — 4.2%
BMO Disciplined International Equity Fund—Institutional Class (1)		105,766	$	1,050,252
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		85,389		1,145,922
BMO Pyrford International Stock Fund—Institutional Class (1)		112,395		1,359,973
Dodge & Cox International Stock Fund—Retail Class		16,981		682,977
Harbor International Fund—Institutional Class		5,654		345,651
MFS International Value Fund—Institutional Class		33,502		1,279,427
Total International Funds				5,864,202
Fixed Income Funds — 64.2%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		192,053		1,841,784
BMO TCH Core Plus Bond Fund—Institutional Class (1)(3)		4,118,557		47,816,448
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		280,992		2,779,013
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		95,030		918,942
Metropolitan West Total Return Bond Fund—Institutional Class (3)		3,375,394		35,745,426
Total Fixed Income Funds				89,101,613
Alternative Funds — 14.9%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		1,368,443		14,491,810
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		1,205,737		6,161,316
Total Alternative Funds				20,653,126
Total Mutual Funds (identified cost $125,290,057)				137,462,488
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		1,387,309		1,387,586
Total Short-Term Investments (identified cost $1,387,422)				1,387,586
Total Investments — 100.0% (identified cost $126,677,479)				138,850,074
Other Assets and Liabilities — 0.0%				40,769
Total Net Assets — 100.0%			$	138,890,843

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		12.7	%
Mid-Cap Funds		2.0
Small-Cap Funds		1.0
International Funds		4.2
Fixed Income Funds		64.2
Alternative Funds		14.9
Other Assets & Liabilities, Net		1.0
Total		100.0	%

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 25.5%
BMO Dividend Income Fund—Institutional Class (1)		116,021	$	1,637,062
BMO Large-Cap Growth Fund—Institutional Class (1)		286,364		4,619,047
BMO Large-Cap Value Fund—Institutional Class (1)		358,560		5,640,155
BMO Low Volatility Equity Fund—Institutional Class (1)		210,759		3,013,847
Dodge & Cox Stock Fund—Retail Class		10,704		2,078,098
Harbor Capital Appreciation Fund—Institutional Class		46,506		2,861,521	��
T Rowe Price Growth Stock Fund—Institutional Class		44,813		2,604,504
Vanguard Institutional Index Fund—Institutional Class		44,817		9,677,242
Total Large-Cap Funds				32,131,476
Mid-Cap Funds — 4.0%
BMO Mid-Cap Growth Fund—Institutional Class (1)		88,707		1,280,041
BMO Mid-Cap Value Fund—Institutional Class (1)		108,746		1,287,556
Vanguard Mid-Cap Index Fund—Institutional Class		63,156		2,413,200
Total Mid-Cap Funds				4,980,797
Small-Cap Funds — 2.0%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		71,355		1,282,258
BMO Small-Cap Value Fund—Institutional Class (1)		48,747		674,166
Goldman Sachs Small Cap Value Fund—Institutional Class		9,997		613,887
Total Small-Cap Funds				2,570,311
International Funds — 8.4%
BMO Disciplined International Equity Fund—Institutional Class (1)		191,246		1,899,070
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		156,004		2,093,571
BMO Pyrford International Stock Fund—Institutional Class (1)		203,791		2,465,873
Dodge & Cox International Stock Fund—Retail Class		30,966		1,245,457
Harbor International Fund—Institutional Class		10,305		629,971
MFS International Value Fund—Institutional Class		60,384		2,306,083
Total International Funds				10,640,025

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

14

BMO Funds

Moderate Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 46.9%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		127,729	$	1,224,918
BMO TCH Core Plus Bond Fund—Institutional Class (1)(3)		2,735,942		31,764,290
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		186,031		1,839,844
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		63,922		618,121
Metropolitan West Total Return Bond Fund—Institutional Class		2,236,441		23,683,914
Total Fixed Income Funds				59,131,087
Alternative Funds — 12.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		997,684		10,565,475
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		889,513		4,545,413
Total Alternative Funds				15,110,888
Total Mutual Funds (identified cost $105,711,469)				124,564,584
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		1,288,788		1,289,046
Total Short-Term Investments (identified cost $1,288,981)				1,289,046
Total Investments — 99.8% (identified cost $107,000,450)				125,853,630
Other Assets and Liabilities — 0.2%				204,614
Total Net Assets — 100.0%			$	126,058,244

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		25.5	%
Mid-Cap Funds		4.0
Small-Cap Funds		2.0
International Funds		8.4
Fixed Income Funds		46.9
Alternative Funds		12.0
Other Assets & Liabilities, Net		1.2
Total		100.0	%

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 38.3%
BMO Dividend Income Fund—Institutional Class (1)		572,995	$	8,084,953
BMO Large-Cap Growth Fund—Institutional Class (1)		1,410,263		22,747,539

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Large-Cap Value Fund—Institutional Class (1)		1,763,010	$	27,732,146
BMO Low Volatility Equity Fund—Institutional Class (1)		1,045,960		14,957,232
Dodge & Cox Stock Fund—Retail Class		52,541		10,200,868
Harbor Capital Appreciation Fund—Institutional Class		227,787		14,015,763
T Rowe Price Growth Stock Fund—Institutional Class		220,640		12,823,591
Vanguard Institutional Index Fund—Institutional Class		220,221		47,552,391
Total Large-Cap Funds				158,114,483
Mid-Cap Funds — 5.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		434,368		6,267,929
BMO Mid-Cap Value Fund—Institutional Class (1)		535,215		6,336,945
Vanguard Mid-Cap Index Fund—Institutional Class		310,646		11,869,777
Total Mid-Cap Funds				24,474,651
Small-Cap Funds — 3.1%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		350,242		6,293,849
BMO Small-Cap Value Fund—Institutional Class (1)		236,976		3,277,372
Goldman Sachs Small Cap Value Fund—Institutional Class		49,115		3,016,145
Total Small-Cap Funds				12,587,366
International Funds — 12.6%
BMO Disciplined International Equity Fund—Institutional Class (1)		937,818		9,312,532
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		765,071		10,267,252
BMO Pyrford International Stock Fund—Institutional Class (1)		999,707		12,096,459
Dodge & Cox International Stock Fund—Retail Class		150,613		6,057,674
Harbor International Fund—Institutional Class		50,457		3,084,436
MFS International Value Fund—Institutional Class		297,110		11,346,635
Total International Funds				52,164,988
Fixed Income Funds — 29.1%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		259,288		2,486,568
BMO TCH Core Plus Bond Fund—Institutional Class (1)		5,558,370		64,532,678
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		377,482		3,733,297
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		128,435		1,241,962
Metropolitan West Total Return Bond Fund—Institutional Class		4,546,002		48,142,159
Total Fixed Income Funds				120,136,664
Alternative Funds — 10.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		2,720,501		28,810,108

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

15

February 28, 2017 (Unaudited)

Schedules of Investments

Balanced Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds (continued)
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		2,430,261	$	12,418,634
Total Alternative Funds				41,228,742
Total Mutual Funds (identified cost $311,761,038)				408,706,894
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		4,176,075		4,176,910
Total Short-Term Investments (identified cost $4,176,581)				4,176,910
Total Investments — 100.0% (identified cost $315,937,619)				412,883,804
Other Assets and Liabilities — 0.0%				(44,526	)
Total Net Assets — 100.0%			$	412,839,278

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		38.3	%
Mid-Cap Funds		5.9
Small-Cap Funds		3.1
International Funds		12.6
Fixed Income Funds		29.1
Alternative Funds		10.0
Other Assets & Liabilities, Net		1.0
Total		100.0	%

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 99.3%
Large-Cap Funds — 51.2%
BMO Dividend Income Fund—Institutional Class (1)		255,394	$	3,603,604
BMO Large-Cap Growth Fund—Institutional Class (1)		630,557		10,170,878
BMO Large-Cap Value Fund—Institutional Class (1)		785,511		12,356,086
BMO Low Volatility Equity Fund—Institutional Class (1)		465,244		6,652,988
Dodge & Cox Stock Fund—Retail Class		23,593		4,580,508
Harbor Capital Appreciation Fund—Institutional Class		102,444		6,303,359
T Rowe Price Growth Stock Fund—Institutional Class		98,905		5,748,338
Vanguard Institutional Index Fund—Institutional Class		98,230		21,210,852
Total Large-Cap Funds				70,626,613
Mid-Cap Funds — 7.9%
BMO Mid-Cap Growth Fund—Institutional Class (1)		194,465		2,806,135

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds (continued)
BMO Mid-Cap Value Fund—Institutional Class (1)		238,102	$	2,819,122
Vanguard Mid-Cap Index Fund—Institutional Class		138,822		5,304,382
Total Mid-Cap Funds				10,929,639
Small-Cap Funds — 4.1%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		156,742		2,816,647
BMO Small-Cap Value Fund—Institutional Class (1)		106,847		1,477,695
Goldman Sachs Small Cap Value Fund—Institutional Class		22,118		1,358,249
Total Small-Cap Funds				5,652,591
International Funds — 17.0%
BMO Disciplined International Equity Fund—Institutional Class (1)		424,240		4,212,700
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		343,889		4,614,990
BMO Pyrford International Stock Fund—Institutional Class (1)		450,341		5,449,129
Dodge & Cox International Stock Fund—Retail Class		68,655		2,761,310
Harbor International Fund—Institutional Class		22,673		1,386,027
MFS International Value Fund—Institutional Class		133,406		5,094,794
Total International Funds				23,518,950
Fixed Income Funds — 11.1%
BMO Monegy High Yield Bond Fund—Institutional Class (1)		33,346		319,791
BMO TCH Core Plus Bond Fund—Institutional Class (1)		707,036		8,208,684
BMO TCH Emerging Markets Bond Fund—Institutional Class (1)		47,749		472,242
Fidelity Advisor Floating Rate High Income Fund—Institutional Class		15,816		152,942
Metropolitan West Total Return Bond Fund—Institutional Class		578,401		6,125,261
Total Fixed Income Funds				15,278,920
Alternative Funds — 8.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		731,722		7,748,940
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		656,171		3,353,035
Total Alternative Funds				11,101,975
Total Mutual Funds (identified cost $101,407,795)				137,108,688
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		1,746,924		1,747,274
Total Short-Term Investments (identified cost $1,747,273)				1,747,274
Total Investments — 100.6% (identified cost $103,155,068)				138,855,962
Other Assets and Liabilities — (0.6)%				(767,319	)
Total Net Assets — 100.0%			$	138,088,643

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

16

BMO Funds

Growth Allocation Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		51.2	%
Mid-Cap Funds		7.9
Small-Cap Funds		4.1
International Funds		17.0
Fixed Income Funds		11.1
Alternative Funds		8.0
Other Assets & Liabilities, Net		0.7
Total		100.0	%

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 99.1%
Large-Cap Funds — 61.9%
BMO Dividend Income Fund—Institutional Class (1)		453,498	$	6,398,862
BMO Large-Cap Growth Fund—Institutional Class (1)		1,120,304		18,070,502
BMO Large-Cap Value Fund—Institutional Class (1)		1,396,209		21,962,370
BMO Low Volatility Equity Fund—Institutional Class (1)		826,782		11,822,980
Dodge & Cox Stock Fund—Retail Class		41,890		8,133,026
Harbor Capital Appreciation Fund—Institutional Class		181,824		11,187,641
T Rowe Price Growth Stock Fund—Institutional Class		175,696		10,211,462
Vanguard Institutional Index Fund—Institutional Class		174,814		37,747,572
Total Large-Cap Funds				125,534,415
Mid-Cap Funds — 9.6%
BMO Mid-Cap Growth Fund—Institutional Class (1)		345,068		4,979,325
BMO Mid-Cap Value Fund—Institutional Class (1)		422,518		5,002,611
Vanguard Mid-Cap Index Fund—Institutional Class		246,903	��	9,434,165
Total Mid-Cap Funds				19,416,101
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund—Institutional Class (1)(2)		278,505		5,004,740
BMO Small-Cap Value Fund—Institutional Class (1)		189,926		2,626,672
Goldman Sachs Small Cap Value Fund—Institutional Class		39,289		2,412,740
Total Small-Cap Funds				10,044,152
International Funds — 20.6%
BMO Disciplined International Equity Fund—Institutional Class (1)		753,141		7,478,687
BMO LGM Emerging Markets Equity Fund—Institutional Class (1)		611,482		8,206,091
BMO Pyrford International Stock Fund—Institutional Class (1)		799,816		9,677,769
Dodge & Cox International Stock Fund—Retail Class		121,863		4,901,314

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
Harbor International Fund—Institutional Class		40,210	$	2,458,022
MFS International Value Fund—Institutional Class		237,086		9,054,319
Total International Funds				41,776,202
Alternative Funds — 2.0%
BMO Alternative Strategies Fund—Institutional Class (1)(2)		268,107		2,839,253
Credit Suisse Commodity Return Strategy Fund—Institutional Class (2)		240,447		1,228,683
Total Alternative Funds				4,067,936
Total Mutual Funds (identified cost $133,682,681)				200,838,806
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund—Premier Class, 0.680% (1)		2,386,858		2,387,335
Total Short-Term Investments (identified cost $2,387,322)				2,387,335
Total Investments — 100.3% (identified cost $136,070,003)				203,226,141
Other Assets and Liabilities — (0.3)%				(580,508	)
Total Net Assets — 100.0%			$	202,645,633

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		61.9	%
Mid-Cap Funds		9.6
Small-Cap Funds		5.0
International Funds		20.6
Alternative Funds		2.0
Other Assets & Liabilities, Net		0.9
Total		100.0	%

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

17

February 28, 2017 (Unaudited)

Notes Schedules of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for each Fund as of February 28, 2017.

* 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 28, 2017 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement purposes.

(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 28, 2017 (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		$	8,415,803		$	2,393,653		$	44,474,536	$	17,157,185		$	54,669,327
Cash sweep investments in affiliated issuers, at value			191,455			92,320			1,123,302		69			1,102,362
Investments in other affiliated issuers, at value			7,695,749			2,297,162			43,234,623		15,035,491			48,188,011
Cash			—			—			—		1,000			—
Dividends and interest receivable			17,124			3,736			50,106		14,000			29,372
Receivable for investments sold			—			684			—		653,981			—
Receivable for capital stock sold			20,144			303			436,802		15,457			317,449
Receivable from affiliates, net (Note 5)			12,596			11,854			9,174		13,702			7,807
Prepaid expenses			25,061			30,688			25,372		31,091			25,907
Total assets			16,377,932			4,830,400			89,353,915		32,921,976			104,340,235
Liabilities:
Payable for investments purchased			29,045			45,556			238,984		22,889			—
Payable for capital stock redeemed			900			232			—		—			—
Payable to affiliates for interfund lending (See Note 5)			—			—			—		306,327			—
Other liabilities			12,124			10,663			15,487		12,528			16,473
Total liabilities			42,069			56,451			254,471		341,744			16,473
Total net assets		$	16,335,863		$	4,773,949		$	89,099,444	$	32,580,232		$	104,323,762
Net assets consist of:
Paid-in capital		$	13,871,627		$	4,732,464		$	71,099,267	$	31,966,612		$	82,255,167
Net unrealized appreciation on investments			2,137,605			190,667			17,472,323		1,000,673			22,624,730
Accumulated net realized gain (loss) on investments			343,732			(146,315	)		467,246		(357,998	)		(443,890	)
Undistributed net investment income (distributions in excess of net investment income)			(17,101	)		(2,867	)		60,608		(29,055	)		(112,245	)
Total net assets		$	16,335,863		$	4,773,949		$	89,099,444	$	32,580,232		$	104,323,762
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares		$	9.05		$	10.83		$	9.99	$	10.94		$	10.83
Retirement class R-3 of shares			9.09			10.82			10.01		10.89			10.84
Retirement class R-6 of shares			9.04			10.88			9.99		10.99			10.83
Net assets:
Investor class of shares		$	3,074,980		$	927,709		$	17,424,706	$	909,307		$	18,099,600
Retirement class R-3 of shares			1,005,060			139,861			10,413,512		1,213,301			8,388,866
Retirement class R-6 of shares			12,255,823			3,706,379			61,261,226		30,457,624			77,835,296
Total net assets		$	16,335,863		$	4,773,949		$	89,099,444	$	32,580,232		$	104,323,762
Shares outstanding:
Investor class of shares			339,742			85,649			1,744,376		83,081			1,670,629
Retirement class R-3 of shares			110,628			12,921			1,040,409		111,398			773,667
Retirement class R-6 of shares			1,356,430			340,797			6,134,394		2,771,682			7,187,762
Total shares outstanding			1,806,800			439,367			8,919,179		2,966,161			9,632,058
Investments, at cost:
Investments in unaffiliated issuers		$	6,941,148		$	2,271,943		$	31,441,540	$	16,157,476		$	36,467,764
Cash sweep investments in affiliated issuers			191,455			92,316			1,123,295		69			1,102,238
Investments in other affiliated issuers			7,032,799			2,228,209			38,795,303		15,034,527			43,764,968
Total investments, at cost		$	14,165,402		$	4,592,468		$	71,360,138	$	31,192,072		$	81,334,970

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

19

February 28, 2017 (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	$	17,329,280		$	34,994,179		$	9,236,054		$	23,463,878		$	4,723,584
Cash sweep investments in affiliated issuers, at value		349,453			742,528			278,354			577,336			144,197
Investments in other affiliated issuers, at value		15,243,878			30,241,065			7,857,263			20,007,429			3,983,340
Dividends and interest receivable		5,511			6,977			1,764			4,500			932
Receivable for investments sold		—			—			41,448			59,195			3,031
Receivable for capital stock sold		88,371			270,464			28,018			153,814			108,445
Receivable from affiliates, net (Note 5)		13,045			11,046			12,317			10,852			11,826
Prepaid expenses		31,092			25,737			30,746			25,635			30,699
Total assets		33,060,630			66,291,996			17,485,964			44,302,639			9,006,054
Liabilities:
Payable for investments purchased		—			76,882			148,396			196,034			58,999
Payable for capital stock redeemed		164,529			1,326			24,257			30,949			1,641
Other liabilities		12,725			14,936			11,294			14,134			11,001
Total liabilities		177,254			93,144			183,947			241,117			71,641
Total net assets	$	32,883,376		$	66,198,852		$	17,302,017		$	44,061,522		$	8,934,413
Net assets consist of:
Paid-in capital	$	32,040,986		$	49,686,767		$	16,834,058		$	35,211,337		$	8,542,528
Net unrealized appreciation on investments		1,195,122			16,332,331			731,300			9,523,468			592,424
Accumulated net realized gain (loss) on investments		(320,852	)		248,860			(247,269	)		(623,598	)		(193,345	)
Distributions in excess of net investment income		(31,880	)		(69,106	)		(16,072	)		(49,685	)		(7,194	)
Total net assets	$	32,883,376		$	66,198,852		$	17,302,017		$	44,061,522		$	8,934,413
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	10.93		$	10.77		$	11.11		$	11.16		$	11.10
Retirement class R-3 of shares		10.88			10.80			11.07			11.15			11.04
Retirement class R-6 of shares		10.97			10.76			11.16			11.15			11.14
Net assets:
Investor class of shares	$	878,982		$	10,910,590		$	913,755		$	7,546,905		$	635,606
Retirement class R-3 of shares		400,430			3,965,937			453,128			3,908,340			661,792
Retirement class R-6 of shares		31,603,964			51,322,325			15,935,134			32,606,277			7,637,015
Total net assets	$	32,883,376		$	66,198,852		$	17,302,017		$	44,061,522		$	8,934,413
Shares outstanding:
Investor class of shares		80,418			1,013,374			82,249			676,405			57,286
Retirement class R-3 of shares		36,797			367,307			40,947			350,425			59,935
Retirement class R-6 of shares		2,879,871			4,767,837			1,428,468			2,924,965			685,579
Total shares outstanding		2,997,086			6,148,518			1,551,664			3,951,795			802,800
Investments, at cost:
Investments in unaffiliated issuers	$	16,167,806		$	21,905,699		$	8,535,498		$	15,837,701		$	4,306,949
Cash sweep investments in affiliated issuers		349,426			742,515			278,352			577,287			144,188
Investments in other affiliated issuers		15,210,257			26,997,227			7,826,521			18,110,187			3,807,560
Total investments, at cost	$	31,727,489		$	49,645,441		$	16,640,371		$	34,525,175		$	8,258,697

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

20

February 28, 2017 (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	$	56,270,338		$	53,277,411		$	181,770,035		$	63,379,057		$	96,768,944
Cash sweep investments in affiliated issuers, at value		1,387,586			1,289,046			4,176,910			1,747,274			2,387,335
Investments in other affiliated issuers, at value		81,192,150			71,287,173			226,936,859			73,729,631			104,069,862
Dividends and interest receivable		171,559			114,206			231,973			29,336			957
Receivable for investments sold		—			—			—			89,124			1,553,272
Receivable for capital stock sold		82,277			108,194			176,823			42,391			66,793
Receivable from affiliates, net (Note 5)		13,704			15,410			—			9,410			4,298
Prepaid expenses		19,736			19,714			21,551			19,731			20,250
Total assets		139,137,350			126,111,154			413,314,151			139,045,954			204,871,711
Liabilities:
Payable for investments purchased		—			—			—			447,449			104,863
Payable for capital stock redeemed		225,853			30,043			437,091			488,995			2,096,071
Payable to affiliates, net (Note 5)		—			—			5,965			—			—
Other liabilities		20,654			22,867			31,817			20,867			25,144
Total liabilities		246,507			52,910			474,873			957,311			2,226,078
Total net assets	$	138,890,843		$	126,058,244		$	412,839,278		$	138,088,643		$	202,645,633
Net assets consist of:
Paid-in capital	$	126,866,369		$	106,694,669		$	308,935,627		$	100,959,622		$	130,163,473
Net unrealized appreciation on investments		12,172,595			18,853,180			96,946,185			35,700,894			67,156,138
Accumulated net realized gain on investments		148,538			752,799			7,767,293			1,611,841			5,611,675
Distributions in excess of net investment income		(296,659	)		(242,404	)		(809,827	)		(183,714	)		(285,653	)
Total net assets	$	138,890,843		$	126,058,244		$	412,839,278		$	138,088,643		$	202,645,633
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	9.71		$	9.69		$	9.19		$	9.66		$	9.38
Institutional class of shares		9.70			9.68			9.19			9.65			9.36
Retirement class R-3 of shares		9.71			9.69			9.20			9.67			9.36
Retirement class R-6 of shares		9.71			9.67			9.19			9.65			9.36
Net assets:
Investor class of shares	$	16,466,749		$	11,928,640		$	101,544,017		$	18,442,110		$	41,648,447
Institutional class of shares		29,755,356			11,495,664			64,939,928			9,943,997			22,219,222
Retirement class R-3 of shares		4,446,562			13,036,597			26,577,553			20,093,740			18,098,825
Retirement class R-6 of shares		88,222,176			89,597,343			219,777,780			89,608,796			120,679,139
Total net assets	$	138,890,843		$	126,058,244		$	412,839,278		$	138,088,643		$	202,645,633
Shares outstanding:
Investor class of shares		1,695,395			1,231,626			11,043,473			1,909,313		��	4,441,424
Institutional class of shares		3,066,534			1,187,913			7,067,622			1,029,971			2,373,546
Retirement class R-3 of shares		457,792			1,344,915			2,889,725			2,078,796			1,932,936
Retirement class R-6 of shares		9,089,223			9,261,717			23,912,847			9,283,143			12,888,045
Total shares outstanding		14,308,944			13,026,171			44,913,667			14,301,223			21,635,951
Investments, at cost:
Investments in unaffiliated issuers	$	50,048,102		$	41,235,080		$	115,844,194		$	37,519,438		$	48,553,328
Cash sweep investments in affiliated issuers		1,387,422			1,288,981			4,176,581			1,747,273			2,387,322
Investments in other affiliated issuers		75,241,955			64,476,389			195,916,844			63,888,357			85,129,353
Total investments, at cost	$	126,677,479		$	107,000,450		$	315,937,619		$	103,155,068		$	136,070,003

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

21

Six Months Ended February 28, 2017 (Unaudited)

Statements of Operations BMO Funds

	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	107,755		$	25,261		$	638,034		$	184,601		$	576,254
Affiliated issuers		114,976			27,129			496,582			159,377			485,366
Excess expense reimbursement from investment adviser (Note 5)		4,881			1,264			20,913			10,410			10,869
Total income		227,612			53,654			1,155,529			354,388			1,072,489
Expenses:
Shareholder servicing fees (Note 5)		3,989			868			21,527			922			23,029
Administration fees (Note 5)		3,361			622			21,076			1,374			20,584
Portfolio accounting fees		19,038			16,923			29,385			20,944			31,207
Recordkeeping fees		16,722			18,306			16,698			19,081			17,582
Custodian fees (Note 5)		428			104			2,022			728			2,299
Registration fees		28,732			23,320			27,365			23,493			26,875
Professional fees		10,087			10,087			10,087			10,087			10,087
Printing and postage		3,394			1,785			3,897			1,875			3,848
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 5)		3,226			339			27,199			2,739			22,555
Miscellaneous		2,168			2,000			2,800			2,238			2,856
Total expenses		97,757			80,966			168,668			90,093			167,534
Deduct:
Expense waivers (Note 5)		(88,730	)		(79,423	)		(108,698	)		(85,699	)		(105,481	)
Net expenses		9,027			1,543			59,970			4,394			62,053
Net investment income		218,585			52,111			1,095,559			349,994			1,010,436
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		464,867			(4,750	)		747,440			(39,012	)		172,762
Investments in affiliated issuers		103,570			(33,532	)		7,893			(215,634	)		(308,919	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		82,450			21,820			294,492			195,976			621,905
Investments in affiliated issuers		120,201			40,562			1,170,158			519,801			1,795,549
Total net realized gain		771,088			24,100			2,219,983			461,131			2,281,297
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(390,479	)		50,549			549,802			678,166			2,135,546
Investments in affiliated issuers		(129,145	)		44,387			116,699			245,782			463,729
Total net change in unrealized appreciation (depreciation)		(519,624	)		94,936			666,501			923,948			2,599,275
Net realized and unrealized gain on investments		251,464			119,036			2,886,484			1,385,079			4,880,572
Change in net assets resulting from operations	$	470,049		$	171,147		$	3,982,043		$	1,735,073		$	5,891,008

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

22

Six Months Ended February 28, 2017 (Unaudited)

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	184,534		$	373,131		$	101,073		$	248,931		$	49,243
Affiliated issuers		152,766			297,425			81,267			197,228			40,039
Excess expense reimbursement from investment adviser (Note 5)		4,562			9,525			3,106			6,059			1,426
Total income		341,862			680,081			185,446			452,218			90,708
Expenses:
Shareholder servicing fees (Note 5)		949			14,818			1,091			10,586			605
Administration fees (Note 5)		957			12,189			974			9,432			783
Portfolio accounting fees		20,979			25,828			17,991			22,669			17,467
Recordkeeping fees		19,350			17,990			19,031			17,831			18,038
Custodian fees (Note 5)		730			1,471			389			987			189
Registration fees		23,494			26,893			23,320			26,893			23,320
Professional fees		10,087			10,087			10,087			10,087			10,087
Printing and postage		1,875			3,893			1,870			3,864			1,875
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 5)		1,291			10,995			1,063			10,266			1,399
Miscellaneous		2,223			2,518			2,094			2,290			1,987
Total expenses		88,547			133,294			84,522			121,517			82,362
Deduct:
Expense waivers (Note 5)		(85,542	)		(98,536	)		(81,653	)		(93,744	)		(79,783	)
Net expenses		3,005			34,758			2,869			27,773			2,579
Net investment income		338,857			645,323			182,577			424,445			88,129
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(24,868	)		464,213			(26,755	)		71,031			(12,039	)
Investments in affiliated issuers		(230,165	)		(251,939	)		(129,576	)		(370,804	)		(96,747	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		213,405			425,607			120,586			290,510			59,350
Investments in affiliated issuers		629,208			1,281,120			343,596			888,524			160,910
Total net realized gain		587,580			1,919,001			307,851			879,261			111,474
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		846,008			1,279,774			491,889			1,052,082			244,861
Investments in affiliated issuers		295,750			375,947			162,690			390,651			127,271
Total net change in unrealized appreciation		1,141,758			1,655,721			654,579			1,442,733			372,132
Net realized and unrealized gain on investments		1,729,338			3,574,722			962,430			2,321,994			483,606
Change in net assets resulting from operations	$	2,068,195		$	4,220,045		$	1,145,007		$	2,746,439		$	571,735

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

23

Six Months Ended February 28, 2017 (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	$	481,012		$	477,969		$	1,675,967		$	548,987		$	912,202
Affiliated issuers		936,587			798,959			2,427,526			662,451			969,160
Excess expense reimbursement from investment adviser (Note 5)		30,573			46,904			81,153			39,709			40,917
Total income		1,448,172			1,323,832			4,184,646			1,251,147			1,922,279
Expenses:
Shareholder servicing fees (Note 5)		20,954			15,261			129,318			30,129			57,118
Administration fees (Note 5)		39,013			27,165			150,926			40,235			65,770
Portfolio accounting fees		41,798			40,404			80,532			40,876			51,322
Recordkeeping fees		18,624			19,664			21,687			19,522			19,530
Custodian fees (Note 5)		3,207			2,992			9,982			3,065			4,708
Registration fees		24,708			24,708			25,206			24,708			24,958
Professional fees		10,087			10,087			10,087			10,087			10,087
Printing and postage		4,764			6,136			8,952			5,531			7,150
Directors’ fees		6,612			6,612			6,612			6,612			6,612
Distribution services fees (Note 5)		15,127			31,512			67,797			48,705			48,324
Miscellaneous		3,780			5,117			5,868			3,498			4,574
Total expenses		188,674			189,658			516,967			232,968			300,153
Deduct:
Expense waivers (Note 5)		(131,776	)		(133,839	)		(239,088	)		(140,620	)		(159,595	)
Net expenses		56,898			55,819			277,879			92,348			140,558
Net investment income		1,391,274			1,268,013			3,906,767			1,158,799			1,781,721
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(248,635	)		165,319			5,148,664			1,004,180			3,738,479
Investments in affiliated issuers		(291,126	)		(193,672	)		454,517			(19,412	)		257,851
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		700,209			685,645			2,443,838			831,175			1,344,349
Investments in affiliated issuers		723,634			1,200,353			5,825,407			2,231,773			4,216,793
Total net realized gain		884,082			1,857,645			13,872,426			4,047,716			9,557,472
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		190,409			792,551			1,736,233			2,359,099			2,331,420
Investments in affiliated issuers		(104,656	)		305,186			1,869,416			1,697,084			2,394,888
Total net change in unrealized appreciation		85,753			1,097,737			3,605,649			4,056,183			4,726,308
Net realized and unrealized gain on investments		969,835			2,955,382			17,478,075			8,103,899			14,283,780
Change in net assets resulting from operations	$	2,361,109		$	4,223,395		$	21,384,842		$	9,262,698		$	16,065,501

(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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	218,585		$	481,026		$	52,111		$	99,552		$	1,095,559		$	1,695,410
Net realized gain (loss) on investments		771,088			826,785			24,100			(117,638	)		2,219,983			3,166,993
Net change in unrealized appreciation (depreciation) on investments		(519,624	)		(168,515	)		94,936			262,746			666,501			623,410
Change in net assets resulting from operations		470,049			1,139,296			171,147			244,660			3,982,043			5,485,813
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(72,794	)		(103,894	)		(9,699	)		(13,918	)		(297,735	)		(451,096	)
Institutional class of shares		—			(7,826	)(1)		—			(2,846	)(1)		—			(98,138	)(1)
Retirement class R-3 of shares		(21,844	)		(36,938	)		(2,517	)		(3,317	)		(163,083	)		(219,576	)
Retirement class R-6 of shares		(403,463	)		(434,975	)		(92,325	)		(106,160	)		(1,330,828	)		(1,343,153	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(156,449	)		(311,898	)		—			(6,126	)		(782,934	)		(1,326,705	)
Institutional class of shares		—			(20,244	)(1)		—			(1,148	)(1)		—			(249,266	)(1)
Retirement class R-3 of shares		(56,331	)		(128,069	)		—			(1,728	)		(498,648	)		(792,457	)
Retirement class R-6 of shares		(725,970	)		(1,061,036	)		—			(40,512	)		(2,797,229	)		(3,175,449	)
Change in net assets resulting from distributions to shareholders		(1,436,851	)		(2,104,880	)		(104,541	)		(175,755	)		(5,870,457	)		(7,655,840	)
Capital stock transactions:
Proceeds from sale of shares		1,456,922			5,793,776			971,918			978,988			5,666,585			21,076,186
Net asset value of shares issued to shareholders in payment of distributions declared		1,436,851			2,104,880			100,435			175,755			5,870,457			7,655,840
Cost of shares redeemed		(7,186,428	)		(9,176,817	)		(933,988	)		(1,849,421	)		(13,805,167	)		(28,163,105	)
Change in net assets resulting from capital stock transactions		(4,292,655	)		(1,278,161	)		138,365			(694,678	)		(2,268,125	)		568,921
Change in net assets		(5,259,457	)		(2,243,745	)		204,971			(625,773	)		(4,156,539	)		(1,601,106	)
Net assets:
Beginning of period		21,595,320			23,839,065			4,568,978			5,194,751			93,255,983			94,857,089
End of period	$	16,335,863		$	21,595,320		$	4,773,949		$	4,568,978		$	89,099,444		$	93,255,983
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(17,101	)	$	262,415		$	(2,867	)	$	49,563		$	60,608		$	756,695

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

(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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	349,994		$	538,414		$	1,010,436		$	1,520,893		$	338,857		$	459,775
Net realized gain (loss) on investments		461,131			(105,860	)		2,281,297			1,870,789			587,580			215,954
Net change in unrealized appreciation (depreciation) on investments		923,948			1,345,697			2,599,275			2,426,398			1,141,758			1,176,846
Change in net assets resulting from operations		1,735,073			1,778,251			5,891,008			5,818,080			2,068,195			1,852,575
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(10,858	)		(30,647	)		(243,224	)		(377,127	)		(9,873	)		(15,846	)
Institutional class of shares		—			(11,812	)(1)		—			(58,803	)(1)		—			(1,325	)(1)
Retirement class R-3 of shares		(15,123	)		(19,884	)		(101,706	)		(165,352	)		(5,872	)		(7,371	)
Retirement class R-6 of shares		(591,903	)		(528,417	)		(1,339,900	)		(1,288,776	)		(518,267	)		(501,371	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(12,985	)		(14,765	)		(668,223	)		(985,760	)		(22,302	)		(3,660	)
Institutional class of shares		—			(5,183	)(1)		—			(126,881	)(1)		—			(268	)(1)
Retirement class R-3 of shares		(19,978	)		(10,790	)		(340,715	)		(527,693	)		(15,697	)		(2,131	)
Retirement class R-6 of shares		(543,487	)		(217,966	)		(2,785,759	)		(2,558,242	)		(903,500	)		(95,399	)
Change in net assets resulting from distributions to shareholders		(1,194,334	)		(839,464	)		(5,479,527	)		(6,088,634	)		(1,475,511	)		(627,371	)
Capital stock transactions:
Proceeds from sale of shares		3,139,201			5,336,257			8,333,244			25,468,395			2,219,356			5,113,376
Net asset value of shares issued to shareholders in payment of distributions declared		1,194,334			839,464			5,479,527			6,088,634			1,475,511			627,371
Cost of shares redeemed		(2,925,670	)		(6,199,760	)		(13,284,253	)		(27,216,023	)		(2,687,052	)		(4,966,590	)
Change in net assets resulting from capital stock transactions		1,407,865			(24,039	)		528,518			4,341,006			1,007,815			774,157
Change in net assets		1,948,604			914,748			939,999			4,070,452			1,600,499			1,999,361
Net assets:
Beginning of period		30,631,628			29,716,880			103,383,763			99,313,311			31,282,877			29,283,516
End of period	$	32,580,232		$	30,631,628		$	104,323,762		$	103,383,763		$	32,883,376		$	31,282,877
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(29,055	)	$	238,835		$	(112,245	)	$	562,149		$	(31,880	)	$	163,275

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

(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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	645,323		$	889,329		$	182,577		$	228,529		$	424,445		$	559,753
Net realized gain on investments		1,919,001			1,592,103			307,851			124,069			879,261			671,264
Net change in unrealized appreciation (depreciation) on investments		1,655,721			1,374,135			654,579			670,024			1,442,733			1,511,768
Change in net assets resulting from operations		4,220,045			3,855,567			1,145,007			1,022,622			2,746,439			2,742,785
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(138,602	)		(203,534	)		(10,889	)		(20,716	)		(80,320	)		(146,769	)
Institutional class of shares		—			(44,537	)(1)		—			(2,048	)(1)		—			(35,895	)(1)
Retirement class R-3 of shares		(36,355	)		(73,664	)		(4,652	)		(6,178	)		(37,443	)		(60,323	)
Retirement class R-6 of shares		(798,006	)		(791,125	)		(255,019	)		(231,014	)		(520,286	)		(428,840	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(490,108	)		(830,743	)		(31,552	)		(3,806	)		(299,678	)		(350,073	)
Institutional class of shares		—			(150,868	)(1)		—			(337	)(1)		—			(72,362	)(1)
Retirement class R-3 of shares		(177,916	)		(416,388	)		(15,798	)		(1,532	)		(165,597	)		(181,590	)
Retirement class R-6 of shares		(2,068,921	)		(2,427,746	)		(549,139	)		(35,560	)		(1,315,743	)		(776,404	)
Change in net assets resulting from distributions to shareholders		(3,709,908	)		(4,938,605	)		(867,049	)		(301,191	)		(2,419,067	)		(2,052,256	)
Capital stock transactions:
Proceeds from sale of shares		5,551,895			17,210,809			1,527,196			4,959,205			4,619,686			14,385,642
Net asset value of shares issued to shareholders in payment of distributions declared		3,709,908			4,938,605			867,049			301,191			2,419,067			2,052,256
Cost of shares redeemed		(10,153,551	)		(17,723,164	)		(2,541,054	)		(3,856,826	)		(8,518,404	)		(11,656,291	)
Change in net assets resulting from capital stock transactions		(891,748	)		4,426,250			(146,809	)		1,403,570			(1,479,651	)		4,781,607
Change in net assets		(381,611	)		3,343,212			131,149			2,125,001			(1,152,279	)		5,472,136
Net assets:
Beginning of period		66,580,463			63,237,251			17,170,868			15,045,867			45,213,801			39,741,665
End of period	$	66,198,852		$	66,580,463		$	17,302,017		$	17,170,868		$	44,061,522		$	45,213,801
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(69,106	)	$	258,534		$	(16,072	)	$	71,911		$	(49,685	)	$	163,919

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

(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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	88,129		$	76,177		$	1,391,274		$	3,533,339		$	1,268,013		$	3,109,459
Net realized gain (loss) on investments		111,474			(2,889	)		884,082			13,546			1,857,645			1,358,330
Net change in unrealized appreciation (depreciation) on investments		372,132			409,023			85,753			3,687,614			1,097,737			2,959,296
Change in net assets resulting from operations		571,735			482,311			2,361,109			7,234,499			4,223,395			7,427,085
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(5,113	)		(15,495	)		(392,079	)		(507,382	)		(261,497	)		(392,348	)
Institutional class of shares		—			(2,838	)(1)		(813,572	)		(759,470	)		(289,008	)		(383,423	)
Retirement class R-3 of shares		(5,867	)		(3,993	)		(152,724	)		(146,369	)		(256,521	)		(253,918	)
Retirement class R-6 of shares		(110,946	)		(51,903	)		(2,551,270	)		(2,356,604	)		(2,444,589	)		(2,429,323	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(15,407	)		(6,757	)		(3,300	)		(428,827	)		(162,234	)		(636,841	)
Institutional class of shares		—			(1,095	)(1)		(6,026	)		(572,126	)		(157,323	)		(533,972	)
Retirement class R-3 of shares		(18,291	)		(2,123	)		(1,394	)		(145,688	)		(175,521	)		(513,289	)
Retirement class R-6 of shares		(231,583	)		(18,378	)		(17,954	)		(1,676,948	)		(1,241,608	)		(3,181,486	)
Change in net assets resulting from distributions to shareholders		(387,207	)		(102,582	)		(3,938,319	)		(6,593,414	)		(4,988,301	)		(8,324,600	)
Capital stock transactions:
Proceeds from sale of shares		1,958,792			6,158,439			6,570,312			14,963,101			8,483,026			30,045,053
Net asset value of shares issued to shareholders in payment of distributions declared		384,898			102,582			3,938,319			6,593,414			4,988,301			8,324,600
Cost of shares redeemed		(1,347,000	)		(3,331,016	)		(13,058,904	)		(26,142,752	)		(25,779,055	)		(52,533,067	)
Change in net assets resulting from capital stock transactions		996,690			2,930,005			(2,550,273	)		(4,586,237	)		(12,307,728	)		(14,163,414	)
Change in net assets		1,181,218			3,309,734			(4,127,483	)		(3,945,152	)		(13,072,634	)		(15,060,929	)
Net assets:
Beginning of period		7,753,195			4,443,461			143,018,326			146,963,478			139,130,878			154,191,807
End of period	$	8,934,413		$	7,753,195		$	138,890,843		$	143,018,326		$	126,058,244		$	139,130,878
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(7,194	)	$	26,603		$	(296,659	)	$	2,221,712		$	(242,404	)	$	1,741,198

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

(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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Change in net assets resulting from:
Operations:
Net investment income	$	3,906,767		$	8,458,691		$	1,158,799		$	1,940,498		$	1,781,721		$	2,825,928
Net realized gain on investments		13,872,426			22,380,911			4,047,716			4,507,622			9,557,472			14,730,732
Net change in unrealized appreciation (depreciation) on investments		3,605,649			(5,627,353	)		4,056,183			864,287			4,726,308			(5,891,402	)
Change in net assets resulting from operations		21,384,842			25,212,249			9,262,698			7,312,407			16,065,501			11,665,258
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,887,442	)		(2,670,667	)		(293,423	)		(594,557	)		(444,228	)		(947,452	)
Institutional class of shares		(1,543,662	)		(1,639,131	)		(170,199	)		(281,588	)		(306,784	)		(528,389	)
Retirement class R-3 of shares		(417,940	)		(571,392	)		(160,972	)		(392,670	)		(181,480	)		(232,515	)
Retirement class R-6 of shares		(4,927,720	)		(5,290,678	)		(1,340,618	)		(1,388,142	)		(1,802,775	)		(2,050,840	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(5,403,978	)		(10,179,207	)		(1,064,644	)		(2,245,206	)		(3,575,428	)		(4,638,293	)
Institutional class of shares		(3,791,371	)		(5,371,935	)		(491,722	)		(889,202	)		(1,848,747	)		(2,052,379	)
Retirement class R-3 of shares		(1,439,192	)		(2,566,382	)		(844,908	)		(1,711,464	)		(1,664,710	)		(1,422,315	)
Retirement class R-6 of shares		(11,266,539	)		(16,132,271	)		(3,505,544	)		(4,043,597	)		(9,629,541	)		(7,266,289	)
Change in net assets resulting from distributions to shareholders		(30,677,844	)		(44,421,663	)		(7,872,030	)		(11,546,426	)		(19,453,693	)		(19,138,472	)
Capital stock transactions:
Proceeds from sale of shares		26,616,405			75,534,959			19,089,843			28,369,925			16,545,535			37,575,365
Net asset value of shares issued to shareholders in payment of distributions declared		30,301,891			44,421,663			7,872,030			11,546,426			19,453,693			19,138,472
Cost of shares redeemed		(102,192,143	)		(158,195,784	)		(30,378,686	)		(50,472,757	)		(48,849,805	)		(81,701,480	)
Change in net assets resulting from capital stock transactions		(45,273,847	)		(38,239,162	)		(3,416,813	)		(10,556,406	)		(12,850,577	)		(24,987,643	)
Change in net assets		(54,566,849	)		(57,448,576	)		(2,026,145	)		(14,790,425	)		(16,238,769	)		(32,460,857	)
Net assets:
Beginning of period		467,406,127			524,854,703			140,114,788			154,905,213			218,884,402			251,345,259
End of period	$	412,839,278		$	467,406,127		$	138,088,643		$	140,114,788		$	202,645,633		$	218,884,402
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(809,827	)	$	4,060,170		$	(183,714	)	$	622,699		$	(285,653	)	$	667,893

(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
2017(7)		$	9.54		$	0.12			$	0.11			$	0.23			$	(0.23	)		$	(0.49	)		$	(0.72	)		$	9.05		2.66	%		1.34	%		0.33	%		2.05	%		$	3,075		16	%
2016			10.02			0.22				0.27				0.49				(0.24	)			(0.73	)			(0.97	)			9.54		5.45			1.25			0.33			2.02				3,469		44
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
2017(7)			10.66			0.14				0.24				0.38				(0.21	)			—				(0.21	)			10.83		3.64			3.90			0.33			1.88				928		33
2016			10.44			0.19				0.39				0.58				(0.25	)			(0.11	)			(0.36	)			10.66		5.76			4.07			0.33			1.80				689		49
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
2017(7)			10.21			0.14				0.31				0.45				(0.19	)			(0.48	)			(0.67	)			9.99		4.62			0.63			0.33			2.40				17,425		14
2016			10.49			0.17				0.41				0.58				(0.22	)			(0.64	)			(0.86	)			10.21		5.96			0.63			0.33			1.67				18,913		39
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
2017(7)			10.74			0.08				0.47				0.55				(0.16	)			(0.19	)			(0.35	)			10.94		5.32			0.94			0.33			1.70				909		13
2016			10.42			0.15				0.44				0.59				(0.18	)			(0.09	)			(0.27	)			10.74		5.78			1.01			0.33			1.78				674		33
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
2017(7)			10.79			0.13				0.48				0.61				(0.15	)			(0.42	)			(0.57	)			10.83		5.58			0.60			0.37			2.04				18,100		13
2016			10.84			0.14				0.45				0.59				(0.18	)			(0.46	)			(0.64	)			10.79		5.75			0.61			0.37			1.37				19,681		33
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
2017(7)			10.73			0.08				0.58				0.66				(0.14	)			(0.32	)			(0.46	)			10.93		6.35			0.94			0.37			1.48				879		14
2016			10.33			0.10				0.49				0.59				(0.15	)			(0.04	)			(0.19	)			10.73		5.84			1.02			0.37			1.35				659		29
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
2017(7)			10.68			0.13				0.56				0.69				(0.13	)			(0.47	)			(0.60	)			10.77		6.76			0.70			0.36			2.21				10,911		14
2016			10.92			0.12				0.47				0.59				(0.16	)			(0.67	)			(0.83	)			10.68		5.74			0.71			0.36			1.18				13,370		31
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
2017(7)			10.92			0.09				0.61				0.70				(0.13	)			(0.38	)			(0.51	)			11.11		6.71			1.36			0.36			1.75				914		14
2016			10.48			0.09				0.53				0.62				(0.15	)			(0.03	)			(0.18	)			10.92		6.02			1.53			0.36			1.33				868		32
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
2017(7)			11.05			0.20				0.52				0.72				(0.13	)			(0.48	)			(0.61	)			11.16		6.73			0.83			0.36			2.73				7,547		14
2016			10.96			0.13				0.50				0.63				(0.16	)			(0.38	)			(0.54	)			11.05		5.98			0.86			0.36			1.15				10,382		29
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
2017(7)			10.85			0.08				0.63				0.71				(0.12	)			(0.34	)			(0.46	)			11.10		6.70			2.34			0.36			1.63				635		25
2016			10.41			0.09				0.54				0.63				(0.13	)			(0.06	)			(0.19	)			10.85		6.15			3.32			0.36			1.46				410		38
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

(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)
Conservative Allocation Fund
2017(7)			$	9.80		$	0.10		$	0.05			$	0.15			$	(0.24	)		$	(0.00	)		$	(0.24	)		$	9.71		1.58	%		0.56	%		0.33	%			1.74	%		$	16,467		14	%
2016				9.76			0.25			0.21				0.46				(0.23	)			(0.19	)			(0.42	)			9.80		4.98			0.56			0.33				2.23				17,919		31
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
2017(7)				9.72			0.10			0.23				0.33				(0.22	)			(0.14	)			(0.36	)			9.69		3.43			0.58			0.30				1.66				11,929		15
2016				9.78			0.24			0.23				0.47				(0.20	)			(0.33	)			(0.53	)			9.72		5.13			0.56			0.30				1.92				13,119		38
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
Balanced Allocation Fund																																								��
2017(7)				9.42			0.08			0.38				0.46				(0.18	)			(0.51	)			(0.69	)			9.19		5.07			0.48			0.33				1.51				101,544		15
2016				9.78			0.15			0.32				0.47				(0.17	)			(0.66	)			(0.83	)			9.42		5.23			0.47			0.33				1.54				110,814		33
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
2017(7)				9.57			0.07			0.57				0.64				(0.12	)			(0.43	)			(0.55	)			9.66		6.95			0.57			0.30				1.49				18,442		24
2016				9.82			0.12			0.37				0.49				(0.16	)			(0.58	)			(0.74	)			9.57		5.28			0.56			0.30				1.22				24,691		38
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
2017(7)	��			9.56			0.09			0.66				0.75				(0.10	)			(0.83	)			(0.93	)			9.38		8.33			0.53			0.33				1.53				41,649		16
2016				9.85			0.10			0.38				0.48				(0.13	)			(0.64	)			(0.77	)			9.56		5.14			0.52			0.33				1.04				52,260		33
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 28, 2017 (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)
Conservative Allocation Fund
2017(6)		$	9.81		$	0.09		$	0.07			$	0.16			$	(0.27	)		$	(0.00	)		$	(0.27	)		$	9.70		1.72	%		0.31	%		0.08	%		1.95	%		$	29,755		14	%
2016			9.77			0.24			0.25				0.49				(0.26	)			(0.19	)			(0.45	)			9.81		5.29			0.31			0.08			2.46				29,479		31
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(5)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2017(6)			9.73			0.10			0.24				0.34				(0.25	)			(0.14	)			(0.39	)			9.68		3.54			0.33			0.05			1.89				11,496		15
2016			9.79			0.23			0.28				0.51				(0.24	)			(0.33	)			(0.57	)			9.73		5.50			0.31			0.05			2.15				11,990		38
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(5)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8
Balanced Allocation Fund
2017(6)			9.43			0.08			0.39				0.47				(0.20	)			(0.51	)			(0.71	)			9.19		5.29			0.23			0.08			1.68				64,940		15
2016			9.79			0.17			0.33				0.50				(0.20	)			(0.66	)			(0.86	)			9.43		5.54			0.22			0.08			1.73				74,515		33
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(5)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2017(6)			9.58			0.05			0.60				0.65				(0.15	)			(0.43	)			(0.58	)			9.65		7.07			0.32			0.05			1.41				9,944		24
2016			9.84			0.14			0.37				0.51				(0.19	)			(0.58	)			(0.77	)			9.58		5.50			0.31			0.05			1.48				9,696		38
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(5)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2017(6)			9.57			0.09			0.66				0.75				(0.13	)			(0.83	)			(0.96	)			9.36		8.38			0.28			0.08			1.77				22,219		16
2016			9.87			0.11			0.39				0.50				(0.16	)			(0.64	)			(0.80	)			9.57		5.41			0.27			0.08			1.31				24,026		33
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(5)			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 May 30, 2014 (inception date) to August 31, 2014.

(6) For the six months ended February 28, 2017 (Unaudited).

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

32

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
2017(7)		$	9.54		$	0.18			$	0.06			$	0.24			$	(0.20	)		$	(0.49	)		$	(0.69	)		$	9.09		2.67	%		1.59	%		0.58	%		1.94	%		$	1,005		16	%
2016			10.01			0.19				0.28				0.47				(0.21	)			(0.73	)			(0.94	)			9.54		5.19			1.50			0.58			1.77				1,720		44
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
2017(7)			10.65			0.09				0.27				0.36				(0.19	)			—				(0.19	)			10.82		3.48			4.15			0.58			1.75				140		33
2016			10.41			0.26				0.30				0.56				(0.21	)			(0.11	)			(0.32	)			10.65		5.57			4.32			0.58			1.75				136		49
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
2017(7)			10.22			0.12				0.31				0.43				(0.16	)			(0.48	)			(0.64	)			10.01		4.44			0.88			0.58			2.14				10,413		14
2016			10.48			0.17				0.39				0.56				(0.18	)			(0.64	)			(0.82	)			10.22		5.74			0.88			0.58			1.44				11,985		39
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
2017(7)			10.69			0.08				0.46				0.54				(0.15	)			(0.19	)			(0.34	)			10.89		5.19			1.19			0.58			1.51				1,213		13
2016			10.38			0.14				0.42				0.56				(0.16	)			(0.09	)			(0.25	)			10.69		5.49			1.26			0.58			1.30				1,053		33
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
2017(7)			10.78			0.11				0.49				0.60				(0.12	)			(0.42	)			(0.54	)			10.84		5.77			0.85			0.62			1.83				8,389		13
2016			10.82			0.12				0.45				0.57				(0.15	)			(0.46	)			(0.61	)			10.78		5.53			0.86			0.62			1.15				9,875		33
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
2017(7)			10.67			0.07				0.58				0.65				(0.12	)			(0.32	)			(0.44	)			10.88		6.26			1.19			0.62			1.39				400		14
2016			10.27			0.12				0.44				0.56				(0.12	)			(0.04	)			(0.16	)			10.67		5.55			1.27			0.62			1.06				492		29
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
2017(7)			10.69			0.13				0.55				0.68				(0.10	)			(0.47	)			(0.57	)			10.80		6.57			0.95			0.61			2.00				3,966		14
2016			10.91			0.12				0.44				0.56				(0.11	)			(0.67	)			(0.78	)			10.69		5.48			0.96			0.61			1.06				4,991		31
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
2017(7)			10.87			0.06				0.64				0.70				(0.12	)			(0.38	)			(0.50	)			11.07		6.64			1.61			0.61			1.14				453		14
2016			10.42			0.13				0.46				0.59				(0.11	)			(0.03	)			(0.14	)			10.87		5.74			1.78			0.61			1.02				426		32
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
2017(7)			11.04			0.12				0.58				0.70				(0.11	)			(0.48	)			(0.59	)			11.15		6.55			1.08			0.61			1.82				3,909		14
2016			10.95			0.10				0.50				0.60				(0.13	)			(0.38	)			(0.51	)			11.04		5.66			1.11			0.61			0.98				4,515		29
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
2017(7)			10.80			0.07				0.62				0.69				(0.11	)			(0.34	)			(0.45	)			11.04		6.60			2.59			0.61			1.49				662		25
2016			10.38			0.09				0.50				0.59				(0.11	)			(0.06	)			(0.17	)			10.80		5.73			3.57			0.61			0.82				477		38
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

(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) (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)
Conservative Allocation Fund
2017(7)		$	9.80		$	0.06		$	0.07			$	0.13			$	(0.22	)		$	(0.00	)		$	(0.22	)		$	9.71		1.39	%		0.81	%		0.58	%		1.50	%		$	4,447		14	%
2016			9.74			0.21			0.24				0.45				(0.20	)			(0.19	)			(0.39	)			9.80		4.82			0.81			0.58			1.97				6,802		31
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
2017(7)			9.72			0.06			0.24				0.30				(0.19	)			(0.14	)			(0.33	)			9.69		3.21			0.83			0.55			1.33				13,036		15
2016			9.76			0.26			0.19				0.45				(0.16	)			(0.33	)			(0.49	)			9.72		4.90			0.81			0.55			1.65				12,695		38
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
Balanced Allocation Fund
2017(7)			9.40			0.06			0.39				0.45				(0.14	)			(0.51	)			(0.65	)			9.20		5.08			0.73			0.58			1.20				26,577		15
2016			9.76			0.13			0.31				0.44				(0.14	)			(0.66	)			(0.80	)			9.40		4.94			0.72			0.58			1.28				29,095		33
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
2017(7)			9.55			0.08			0.55				0.63				(0.08	)			(0.43	)			(0.51	)			9.67		6.88			0.82			0.55			1.31				20,094		24
2016			9.81			0.09			0.37				0.46				(0.14	)			(0.58	)			(0.72	)			9.55		4.95			0.81			0.55			0.91				25,876		38
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
2017(7)			9.55			0.05			0.68				0.73				(0.09	)			(0.83	)			(0.92	)			9.36		8.08			0.78			0.58			1.02				18,099		16
2016			9.84			0.07			0.38				0.45				(0.10	)			(0.64	)			(0.74	)			9.55		4.87			0.77			0.58			0.77				19,395		33
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 28, 2017 (Unaudited).

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

34

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
2017(8)		$	9.55		$	0.14		$	0.12			$	0.26			$	(0.28	)		$	(0.49	)		$	(0.77	)		$	9.04		2.94	%		0.94	%		0.00	%		2.46	%		$	12,256		16	%
2016			10.05			0.26			0.27				0.53				(0.30	)			(0.73	)			(1.03	)			9.55		5.85			0.85			0.00			2.37				16,406		44
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
2017(8)			10.73			0.12			0.29				0.41				(0.26	)			—				(0.26	)			10.88		3.93			3.50			0.00			2.41				3,706		33
2016			10.50			0.25			0.38				0.63				(0.29	)			(0.11	)			(0.40	)			10.73		6.22			3.67			0.00			2.21				3,744		49
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
2017(8)			10.23			0.14			0.33				0.47				(0.23	)			(0.48	)			(0.71	)			9.99		4.89			0.23			0.00			2.59				61,261		14
2016			10.52			0.21			0.41				0.62				(0.27	)			(0.64	)			(0.91	)			10.23		6.39			0.23			0.00			2.01				62,358		39
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
2017(8)			10.81			0.12			0.47				0.59				(0.22	)			(0.19	)			(0.41	)			10.99		5.57			0.54			0.00			2.25				30,458		13
2016			10.48			0.19			0.44				0.63				(0.21	)			(0.09	)			(0.30	)			10.81		6.15			0.61			0.00			1.83				28,905		33
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
2017(8)			10.81			0.12			0.52				0.64				(0.20	)			(0.42	)			(0.62	)			10.83		6.13			0.20			0.00			2.04				77,835		13
2016			10.87			0.19			0.45				0.64				(0.24	)			(0.46	)			(0.70	)			10.81		6.21			0.21			0.00			1.66				73,828		33
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
2017(8)			10.79			0.11			0.57				0.68				(0.18	)			(0.32	)			(0.50	)			10.97		6.54			0.54			0.00			2.17				31,604		14
2016			10.38			0.17			0.47				0.64				(0.19	)			(0.04	)			(0.23	)			10.79		6.26			0.62			0.00			1.57				30,132		29
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
2017(8)			10.71			0.11			0.59				0.70				(0.18	)			(0.47	)			(0.65	)			10.76		6.84			0.30			0.00			1.97				51,322		14
2016			10.96			0.17			0.46				0.63				(0.21	)			(0.67	)			(0.88	)			10.71		6.17			0.31			0.00			1.51				48,219		31
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
2017(8)			10.98			0.12			0.62				0.74				(0.18	)			(0.38	)			(0.56	)			11.16		7.02			0.96			0.00			2.21				15,935		14
2016			10.53			0.16			0.50				0.66				(0.18	)			(0.03	)			(0.21	)			10.98		6.38			1.13			0.00			1.48				15,877		32
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
2017(8)			11.08			0.10			0.64				0.74				(0.19	)			(0.48	)			(0.67	)			11.15		6.94			0.43			0.00			1.79				32,606		14
2016			11.00			0.17			0.50				0.67				(0.21	)			(0.38	)			(0.59	)			11.08		6.37			0.46			0.00			1.48				30,317		29
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
2017(8)			10.91			0.12			0.62				0.74				(0.17	)			(0.34	)			(0.51	)			11.14		6.96			1.94			0.00			2.23				7,637		25
2016			10.47			0.15			0.51				0.66				(0.16	)			(0.06	)			(0.22	)			10.91		6.43			2.92			0.00			1.30				6,866		38
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

(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) (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)
Conservative Allocation Fund
2017(8)		$	9.82		$	0.11		$	0.07			$	0.18			$	(0.29	)		$	(0.00	)		$	(0.29	)		$	9.71	��		1.87	%		0.16	%		0.00	%		2.10	%		$	88,222		14	%
2016			9.79			0.25			0.24				0.49				(0.27	)			(0.19	)			(0.46	)			9.82			5.34			0.16			0.00			2.61				88,818		31
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
2017(8)			9.74			0.12			0.21				0.33				(0.26	)			(0.14	)			(0.40	)			9.67			3.52			0.18			0.00			2.08				89,597		15
2016			9.80			0.22			0.30				0.52				(0.25	)			(0.33	)			(0.58	)			9.74			5.67			0.16			0.00			2.27				101,327		38
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
Balanced Allocation Fund
2017(8)			9.44			0.13			0.35				0.48				(0.22	)			(0.51	)			(0.73	)			9.19			5.35			0.08			0.00			2.04				219,778		15
2016			9.80			0.18			0.33				0.51				(0.21	)			(0.66	)			(0.87	)			9.44			5.70			0.07			0.00			1.87				252,982		33
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
2017(8)			9.59			0.10			0.56				0.66				(0.17	)			(0.43	)			(0.60	)			9.65			7.14			0.17			0.00			1.96				89,609		24
2016			9.85			0.15			0.37				0.52				(0.20	)			(0.58	)			(0.78	)			9.59			5.67			0.16			0.00			1.51				79,852		38
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
2017(8)			9.58			0.10			0.66				0.76				(0.15	)			(0.83	)			(0.98	)			9.36			8.46			0.13			0.00			1.94				120,679		16
2016			9.88			0.14			0.38				0.52				(0.18	)			(0.64	)			(0.82	)			9.58			5.58			0.12			0.00			1.38				123,203		33
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 28, 2017 (Unaudited).

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

36

February 28, 2017 (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 28, 2017, the Corporation consisted of 44 portfolios, including 10 target retirement and 5 target risk diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”), each with differing share class offerings as well as 29 other portfolios whose semi-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.

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.

37

Notes to Financial Statements (continued)

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.

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. For the period ended February 28, 2017, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between category levels at the end of the period. For the period ended February 28, 2017, there were no transfers in and out of Level 1, Level 2 and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of February 28, 2017.

38

BMO Funds

The following is a summary of the inputs used, as of February 28, 2017, in valuing the Funds’ assets:

	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	16,111,552	$	—	$	—	$	16,111,552
Short-Term Investments		191,455		—		—		191,455
Total	$	16,303,007	$	—	$	—	$	16,303,007
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	4,690,815	$	—	$	—	$	4,690,815
Short-Term Investments		92,320		—		—		92,320
Total	$	4,783,135	$	—	$	—	$	4,783,135
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	87,709,159	$	—	$	—	$	87,709,159
Short-Term Investments		1,123,302		—		—		1,123,302
Total	$	88,832,461	$	—	$	—	$	88,832,461
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	32,192,676	$	—	$	—	$	32,192,676
Short-Term Investments		69		—		—		69
Total	$	32,192,745	$	—	$	—	$	32,192,745
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	102,857,338	$	—	$	—	$	102,857,338
Short-Term Investments		1,102,362		—		—		1,102,362
Total	$	103,959,700	$	—	$	—	$	103,959,700
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	32,573,158	$	—	$	—	$	32,573,158
Short-Term Investments		349,453		—		—		349,453
Total	$	32,922,611	$	—	$	—	$	32,922,611
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	65,235,244	$	—	$	—	$	65,235,244
Short-Term Investments		742,528		—		—		742,528
Total	$	65,977,772	$	—	$	—	$	65,977,772
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	17,093,317	$	—	$	—	$	17,093,317
Short-Term Investments		278,354		—		—		278,354
Total	$	17,371,671	$	—	$	—	$	17,371,671

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	43,471,307	$	—	$	—	$	43,471,307
Short-Term Investments		577,336		—		—		577,336
Total	$	44,048,643	$	—	$	—	$	44,048,643
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	8,706,924	$	—	$	—	$	8,706,924
Short-Term Investments		144,197		—		—		144,197
Total	$	8,851,121	$	—	$	—	$	8,851,121
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	137,462,488	$	—	$	—	$	137,462,488
Short-Term Investments		1,387,586		—		—		1,387,586
Total	$	138,850,074	$	—	$	—	$	138,850,074
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	124,564,584	$	—	$	—	$	124,564,584
Short-Term Investments		1,289,046		—		—		1,289,046
Total	$	125,853,630	$	—	$	—	$	125,853,630
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	408,706,894	$	—	$	—	$	408,706,894
Short-Term Investments		4,176,910		—		—		4,176,910
Total	$	412,883,804	$	—	$	—	$	412,883,804
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	137,108,688	$	—	$	—	$	137,108,688
Short-Term Investments		1,747,274		—		—		1,747,274
Total	$	138,855,962	$	—	$	—	$	138,855,962
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	200,838,806	$	—	$	—	$	200,838,806
Short-Term Investments		2,387,335		—		—		2,387,335
Total	$	203,226,141	$	—	$	—	$	203,226,141

39

Notes to Financial Statements (continued)

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 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	503,034		$	757,262		$	622,798		$	322,398		$	1,217,220		$	3,811,445
Institutional class of shares		—			146,670	(1)		—			2,318	(1)		—			384,344	(1)
Retirement class R-3 of shares		114,507			471,110			3,643			326,651			1,348,165			2,597,725
Retirement class R-6 of shares		839,381			4,418,734			345,477			327,621			3,101,200			14,282,672
Net proceeds from sale of shares		1,456,922			5,793,776			971,918			978,988			5,666,585			21,076,186
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		229,243			415,792			7,555			20,044			1,080,669			1,777,801
Institutional class of shares		—			28,070	(1)		—			3,995	(1)		—			347,404	(1)
Retirement class R-3 of shares		78,175			165,007			555			5,045			661,731			1,012,032
Retirement class R-6 of shares		1,129,433			1,496,011			92,325			146,671			4,128,057			4,518,603
Net proceeds from shares issued		1,436,851			2,104,880			100,435			175,755			5,870,457			7,655,840
Cost of shares redeemed:
Investor class of shares		(970,239	)		(2,254,061	)		(407,037	)		(292,086	)		(3,433,507	)		(7,143,360	)
Institutional class of shares		—			(433,997	)(1)		—			(115,993	)(1)		—			(5,700,230	)(1)
Retirement class R-3 of shares		(851,652	)		(965,909	)		(2,269	)		(415,640	)		(3,347,154	)		(6,373,881	)
Retirement class R-6 of shares		(5,364,537	)		(5,522,850	)		(524,682	)		(1,025,702	)		(7,024,506	)		(8,945,634	)
Net cost of shares redeemed		(7,186,428	)		(9,176,817	)		(933,988	)		(1,849,421	)		(13,805,167	)		(28,163,105	)
Net change resulting from fund share transactions in dollars	$	(4,292,655	)	$	(1,278,161	)	$	138,365		$	(694,678	)	$	(2,268,125	)	$	568,921
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		53,295			77,952			58,806			31,343			120,996			379,524
Institutional class of shares		—			15,572	(1)		—			227	(1)		—			38,990	(1)
Retirement class R-3 of shares		12,198			49,575			343			31,567			133,677			264,638
Retirement class R-6 of shares		89,234			478,376			32,186			32,173			309,002			1,474,069
Net sale of shares		154,727			621,475			91,335			95,310			563,675			2,157,221
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		26,021			46,097			719			1,987			112,219			184,037
Institutional class of shares		—			3,112	(1)		—			395	(1)		—			35,963	(1)
Retirement class R-3 of shares		8,833			18,253			53			500			68,502			104,549
Retirement class R-6 of shares		128,491			166,223			8,768			14,479			429,112			467,765
Net shares issued		163,345			233,685			9,540			17,361			609,833			792,314
Shares redeemed:
Investor class of shares		(103,245	)		(239,842	)		(38,512	)		(29,227	)		(341,305	)		(744,875	)
Institutional class of shares		—			(46,029	)(1)		—			(10,928	)(1)		—			(575,711	)(1)
Retirement class R-3 of shares		(90,661	)		(102,190	)		(216	)		(40,510	)		(334,962	)		(644,421	)
Retirement class R-6 of shares		(579,262	)		(579,689	)		(48,982	)		(101,058	)		(697,508	)		(892,639	)
Net shares redeemed		(773,168	)		(967,750	)		(87,710	)		(181,723	)		(1,373,775	)		(2,857,646	)
Net change resulting from fund share transactions in shares		(455,096	)		(112,590	)		13,165			(69,052	)		(200,267	)		91,889

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

40

BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	241,562		$	348,017		$	1,395,719		$	4,129,727		$	413,330		$	486,925
Institutional class of shares		—			39,517	(1)		—			432,852	(1)		—			32,639	(1)
Retirement class R-3 of shares		108,427			213,768			966,421			2,764,321			70,713			128,349
Retirement class R-6 of shares		2,789,212			4,734,955			5,971,104			18,141,495			1,735,313			4,465,463
Net proceeds from sale of shares		3,139,201			5,336,257			8,333,244			25,468,395			2,219,356			5,113,376
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		23,843			45,412			911,447			1,362,886			32,175			19,506
Institutional class of shares		—			16,995	(1)		—			185,684	(1)		—			1,593	(1)
Retirement class R-3 of shares		35,101			30,674			442,421			693,045			21,569			9,502
Retirement class R-6 of shares		1,135,390			746,383			4,125,659			3,847,019			1,421,767			596,770
Net proceeds from shares issued		1,194,334			839,464			5,479,527			6,088,634			1,475,511			627,371
Cost of shares redeemed:
Investor class of shares		(48,644	)		(1,339,999	)		(3,971,959	)		(8,605,351	)		(248,051	)		(702,141	)
Institutional class of shares		—			(640,270	)(1)		—			(3,388,679	)(1)		—			(97,574	)(1)
Retirement class R-3 of shares		(7,013	)		(585,408	)		(2,905,838	)		(6,063,527	)		(195,104	)		(391,486	)
Retirement class R-6 of shares		(2,870,013	)		(3,634,083	)		(6,406,456	)		(9,158,466	)		(2,243,897	)		(3,775,389	)
Net cost of shares redeemed		(2,925,670	)		(6,199,760	)		(13,284,253	)		(27,216,023	)		(2,687,052	)		(4,966,590	)
Net change resulting from fund share transactions in dollars	$	1,407,865		$	(24,039	)	$	528,518		$	4,341,006		$	1,007,815		$	774,157
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		22,585			33,809			130,849			396,140			39,018			46,783
Institutional class of shares		—			3,846	(1)		—			41,939	(1)		—			3,211	(1)
Retirement class R-3 of shares		10,188			21,125			90,073			266,280			6,677			12,675
Retirement class R-6 of shares		257,250			464,965			558,466			1,785,871			161,260			439,783
Net sale of shares		290,023			523,745			779,388			2,490,230			206,955			502,452
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,266			4,448			87,808			132,705			3,079			1,907
Institutional class of shares		—			1,659	(1)		—			18,080	(1)		—			155	(1)
Retirement class R-3 of shares		3,353			3,013			42,540			67,417			2,072			932
Retirement class R-6 of shares		107,620			72,818			397,846			374,953			135,535			58,165
Net shares issued		113,239			81,938			528,194			593,155			140,686			61,159
Shares redeemed:
Investor class of shares		(4,510	)		(136,317	)		(372,287	)		(857,437	)		(23,129	)		(71,417	)
Institutional class of shares		—			(63,832	)(1)		—			(323,760	)(1)		—			(9,828	)(1)
Retirement class R-3 of shares		(666	)		(59,326	)		(274,786	)		(601,499	)		(18,064	)		(38,954	)
Retirement class R-6 of shares		(266,672	)		(349,342	)		(598,090	)		(878,186	)		(210,578	)		(364,049	)
Net shares redeemed		(271,848	)		(608,817	)		(1,245,163	)		(2,660,882	)		(251,771	)		(484,248	)
Net change resulting from fund share transactions in shares		131,414			(3,134	)		62,419			422,503			95,870			79,363

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

41

Notes to Financial Statements (continued)

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	808,581		$	4,767,948		$	95,761		$	547,569		$	944,922		$	2,855,476
Institutional class of shares		—			744,269	(1)		—			35,333	(1)		—			716,030	(1)
Retirement class R-3 of shares		345,848			1,131,384			119,271			242,359			411,893			1,230,609
Retirement class R-6 of shares		4,397,466			10,567,208			1,312,164			4,133,944			3,262,871			9,583,527
Net proceeds from sale of shares		5,551,895			17,210,809			1,527,196			4,959,205			4,619,686			14,385,642
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		628,710			1,034,277			42,441			24,521			379,998			496,842
Institutional class of shares		—			195,405	(1)		—			2,386	(1)		—			108,258	(1)
Retirement class R-3 of shares		214,271			490,052			20,450			7,710			203,040			241,912
Retirement class R-6 of shares		2,866,927			3,218,871			804,158			266,574			1,836,029			1,205,244
Net proceeds from shares issued		3,709,908			4,938,605			867,049			301,191			2,419,067			2,052,256
Cost of shares redeemed:
Investor class of shares		(3,950,082	)		(4,805,583	)		(108,360	)		(819,881	)		(4,204,518	)		(3,260,413	)
Institutional class of shares		—			(3,276,061	)(1)		—			(143,717	)(1)		—			(2,738,189	)(1)
Retirement class R-3 of shares		(1,611,713	)		(4,088,250	)		(121,132	)		(589,023	)		(1,247,265	)		(1,964,479	)
Retirement class R-6 of shares		(4,591,756	)		(5,553,270	)		(2,311,562	)		(2,304,205	)		(3,066,621	)		(3,693,210	)
Net cost of shares redeemed		(10,153,551	)		(17,723,164	)		(2,541,054	)		(3,856,826	)		(8,518,404	)		(11,656,291	)
Net change resulting from fund share transactions in dollars	$	(891,748	)	$	4,426,250		$	(146,809	)	$	1,403,570		$	(1,479,651	)	$	4,781,607
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		76,124			453,460			8,776			51,707			86,184			272,211
Institutional class of shares		—			72,663	(1)		—			3,459	(1)		—			68,012	(1)
Retirement class R-3 of shares		32,588			108,460			11,034			23,399			37,574			115,468
Retirement class R-6 of shares		416,884			1,048,607			120,244			400,185			297,305			920,719
Net sale of shares		525,596			1,683,190			140,054			478,750			421,063			1,376,410
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		61,159			101,400			4,004			2,358			35,681			47,139
Institutional class of shares		—			19,157	(1)		—			229	(1)		—			10,271	(1)
Retirement class R-3 of shares		20,763			47,903			1,935			743			19,065			22,930
Retirement class R-6 of shares		279,156			315,576			75,579			25,534			172,721			114,350
Net shares issued		361,078			484,036			81,518			28,864			227,467			194,690
Shares redeemed:
Investor class of shares		(375,428	)		(480,196	)		(10,077	)		(83,493	)		(385,211	)		(316,998	)
Institutional class of shares		—			(315,193	)(1)		—			(14,314	)(1)		—			(251,953	)(1)
Retirement class R-3 of shares		(153,024	)		(399,857	)		(11,174	)		(56,631	)		(115,163	)		(192,760	)
Retirement class R-6 of shares		(431,438	)		(529,589	)		(212,897	)		(219,487	)		(281,643	)		(343,195	)
Net shares redeemed		(959,890	)		(1,724,835	)		(234,148	)		(373,925	)		(782,017	)		(1,104,906	)
Net change resulting from fund share transactions in shares		(73,216	)		442,391			(12,576	)		133,689			(133,487	)		466,194

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

42

BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	234,303		$	542,181		$	1,185,369		$	1,811,809		$	1,250,103		$	3,102,719
Institutional class of shares		—			30,152	(1)		1,794,668			2,723,597			1,003,863			3,212,145
Retirement class R-3 of shares		193,980			245,910			326,112			747,669			1,570,322			2,350,004
Retirement class R-6 of shares		1,530,509			5,340,196			3,264,163			9,680,026			4,658,738			21,380,185
Net proceeds from sale of shares		1,958,792			6,158,439			6,570,312			14,963,101			8,483,026			30,045,053
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		20,520			22,251			395,379			936,208			423,731			1,029,190
Institutional class of shares		—			3,933	(1)		819,598			1,331,596			446,331			917,395
Retirement class R-3 of shares		21,849			6,116			154,118			292,057			432,042			767,207
Retirement class R-6 of shares		342,529			70,282			2,569,224			4,033,553			3,686,197			5,610,808
Net proceeds from shares issued		384,898			102,582			3,938,319			6,593,414			4,988,301			8,324,600
Cost of shares redeemed:
Investor class of shares		(43,395	)		(1,153,963	)		(2,877,874	)		(8,437,977	)		(2,814,488	)		(13,162,467	)
Institutional class of shares		—			(227,111	)(1)		(2,027,268	)		(3,814,177	)		(1,886,526	)		(8,062,550	)
Retirement class R-3 of shares		(45,950	)		(191,938	)		(2,736,401	)		(1,890,428	)		(1,636,352	)		(12,516,924	)
Retirement class R-6 of shares		(1,257,655	)		(1,758,004	)		(5,417,361	)		(12,000,170	)		(19,441,689	)		(18,791,126	)
Net cost of shares redeemed		(1,347,000	)		(3,331,016	)		(13,058,904	)		(26,142,752	)		(25,779,055	)		(52,533,067	)
Net change resulting from fund share transactions in dollars	$	996,690		$	2,930,005		$	(2,550,273	)	$	(4,586,237	)	$	(12,307,728	)	$	(14,163,414	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		21,575			53,020			122,932			190,169			129,326			330,167
Institutional class of shares		—			2,909	(1)		184,523			285,432			104,107			347,121
Retirement class R-3 of shares		18,036			24,075			33,720			78,292			163,105			249,468
Retirement class R-6 of shares		140,868			519,389			335,893			1,002,674			481,642			2,269,691
Net sale of shares		180,479			599,393			677,068			1,556,567			878,180			3,196,447
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,938			2,152			41,663			101,321			45,078			111,747
Institutional class of shares		—			379	(1)		86,455			144,268			47,533			99,717
Retirement class R-3 of shares		2,071			593			16,240			31,574			45,913			83,121
Retirement class R-6 of shares		32,223			6,771			271,015			437,005			392,985			609,870
Net shares issued		36,232			9,895			415,373			714,168			531,509			904,455
Shares redeemed:
Investor class of shares		(4,003	)		(118,249	)		(297,357	)		(881,334	)		(291,825	)		(1,403,952	)
Institutional class of shares		—			(21,471	)(1)		(208,581	)		(403,086	)		(195,356	)		(860,237	)
Retirement class R-3 of shares		(4,315	)		(18,601	)		(286,502	)		(198,052	)		(169,671	)		(1,309,680	)
Retirement class R-6 of shares		(116,653	)		(165,362	)		(559,560	)		(1,251,722	)		(2,013,488	)		(1,985,895	)
Net shares redeemed		(124,971	)		(323,683	)		(1,352,000	)		(2,734,194	)		(2,670,340	)		(5,559,764	)
Net change resulting from fund share transactions in shares		91,740			285,605			(259,559	)		(463,459	)		(1,260,651	)		(1,458,862	)

(1) Reflects operations for the period from September 1, 2015, to August 1, 2016 (termination of Institutional class of shares).

43

Notes to Financial Statements (continued)

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016			Six Months Ended February 28, 2017 (Unaudited)			Year Ended August 31, 2016
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	3,518,794		$	7,142,376		$	1,003,160		$	2,077,673		$	1,028,585		$	3,572,978
Institutional class of shares		8,870,820			13,589,037			3,218,615			1,591,796			2,013,762			3,848,563
Retirement class R-3 of shares		2,611,880			3,545,301			1,463,784			2,171,200			745,192			1,791,359
Retirement class R-6 of shares		11,614,911			51,258,245			13,404,284			22,529,256			12,757,996			28,362,465
Net proceeds from sale of shares		26,616,405			75,534,959			19,089,843			28,369,925			16,545,535			37,575,365
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		7,291,420			12,849,873			1,358,067			2,839,764			4,019,656			5,585,746
Institutional class of shares		4,959,080			7,011,067			661,921			1,170,790			2,155,531			2,580,768
Retirement class R-3 of shares		1,857,132			3,137,774			1,005,880			2,104,133			1,846,190			1,654,830
Retirement class R-6 of shares		16,194,259			21,422,949			4,846,162			5,431,739			11,432,316			9,317,128
Net proceeds from shares issued		30,301,891			44,421,663			7,872,030			11,546,426			19,453,693			19,138,472
Cost of shares redeemed:
Investor class of shares		(17,809,959	)		(58,264,348	)		(8,919,461	)		(21,431,476	)		(15,081,859	)		(36,746,238	)
Institutional class of shares		(21,696,762	)		(24,780,559	)		(3,733,115	)		(7,575,632	)		(5,642,474	)		(12,716,568	)
Retirement class R-3 of shares		(6,423,286	)		(14,663,873	)		(8,476,650	)		(6,500,965	)		(3,573,262	)		(5,897,696	)
Retirement class R-6 of shares		(56,262,136	)		(60,487,004	)		(9,249,460	)		(14,964,684	)		(24,552,210	)		(26,340,978	)
Net cost of shares redeemed		(102,192,143	)		(158,195,784	)		(30,378,686	)		(50,472,757	)		(48,849,805	)		(81,701,480	)
Net change resulting from fund share transactions in dollars	$	(45,273,847	)	$	(38,239,162	)	$	(3,416,813	)	$	(10,556,406	)	$	(12,850,577	)	$	(24,987,643	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		381,565			783,352			104,695			225,792			111,427			388,583
Institutional class of shares		959,730			1,509,315			340,252			171,890			213,235			423,612
Retirement class R-3 of shares		283,009			386,455			153,070			238,599			79,603			194,889
Retirement class R-6 of shares		1,253,091			5,768,354			1,395,350			2,474,947			1,335,969			3,145,394
Net sale of shares		2,877,395			8,447,476			1,993,367			3,111,228			1,740,234			4,152,478
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		822,031			1,432,539			146,660			309,680			449,626			606,487
Institutional class of shares		559,716			782,485			71,559			127,676			241,651			280,518
Retirement class R-3 of shares		209,372			349,807			108,509			229,458			206,740			179,678
Retirement class R-6 of shares		1,827,794			2,388,289			524,477			592,338			1,281,650			1,012,731
Net shares issued		3,418,913			4,953,120			851,205			1,259,152			2,179,667			2,079,414
Shares redeemed:
Investor class of shares		(1,925,420	)		(6,527,889	)		(922,621	)		(2,334,793	)		(1,585,440	)		(3,958,147	)
Institutional class of shares		(2,354,286	)		(2,708,731	)		(394,023	)		(837,364	)		(592,462	)		(1,411,393	)
Retirement class R-3 of shares		(696,676	)		(1,605,109	)		(892,852	)		(705,198	)		(384,816	)		(638,101	)
Retirement class R-6 of shares		(5,966,966	)		(6,601,754	)		(965,269	)		(1,615,073	)		(2,588,890	)		(2,825,539	)
Net shares redeemed		(10,943,348	)		(17,443,483	)		(3,174,765	)		(5,492,428	)		(5,151,608	)		(8,833,180	)
Net change resulting from fund share transactions in shares		(4,647,040	)		(4,042,887	)		(330,193	)		(1,122,048	)		(1,231,707	)		(2,601,288	)

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, 2017. This agreement may not be terminated prior to December 31, 2017 without the consent of the

44

BMO Funds

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, 2016
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	%					0.58	%		(0.07	)%		0.96	%					1.21	%		0.56	%
2015 Fund		0.33						0.58			(0.07	)		1.00						1.25			0.60
2020 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2025 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2030 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2035 Fund		0.37						0.62			(0.03	)		1.06						1.31			0.66
2040 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2045 Fund		0.36						0.61			(0.04	)		1.05						1.30			0.65
2050 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2055 Fund		0.36						0.61			(0.04	)		1.07						1.32			0.67
Conservative Allocation Fund		0.33			0.08	%		0.58			(0.07	)		1.02			0.77	%		1.27			0.62
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		1.02			0.77			1.27			0.62
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		1.08			0.83			1.33			0.68
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		1.08			0.83			1.33			0.68
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		1.01			0.76			1.26			0.61

(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 28, 2017, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	2,393			$	968
2015 Fund		520				102
2020 Fund		12,916				8,160
2025 Fund		553				821
2030 Fund		13,817				6,767
2035 Fund		570				387
2040 Fund		8,891				3,298
2045 Fund		655				319
2050 Fund		6,352				3,080
2055 Fund		363				420
Conservative Allocations Fund		12,572	$	21,903		4,538
Moderate Allocation Fund		9,156		8,555		9,454
Balanced Allocation Fund		77,591		52,996		20,339
Growth Allocation Fund		18,077		7,546		14,612
Aggressive Allocation Fund		34,271		17,002		14,497

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.

45

Notes to Financial Statements (continued)

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 28, 2017.

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	$	580,470	$	49,434	$	202,329	$	440,188	$	4,205	$	23,939
BMO Dividend Income Fund		409,818		27,454		156,739		308,896		4,455		32,065
BMO Large-Cap Value Fund		602,411		53,300		253,901		454,568		4,295		36,322
BMO Large-Cap Growth Fund		253,944		26,756		94,759		194,749		979		16,747
BMO Mid-Cap Value Fund		260,074		77,154		105,353		194,488		1,316		74,365
BMO Mid-Cap Growth Fund		107,588		27,049		41,169		80,283		337		25,895
BMO Small-Cap Growth Fund		64,374		7,487		28,756		47,667		—		11,699
BMO Disciplined International Equity Fund		428,589		38,666		154,558		326,113		11,097		(3,698	)
BMO Pyrford International Stock Fund		571,074		50,401		175,081		440,175		11,740		21,013
BMO LGM Emerging Markets Equity Fund		258,938		113,271		105,608		260,053		1,746		3,509
BMO TCH Emerging Markets Bond Fund		—		704,515		194,453		489,021		17,503		(5,683	)
BMO Alternative Strategies Fund		1,504,017		92,577		492,113		1,135,984		—		4,897
BMO TCH Core Plus Bond Fund		4,014,368		388,719		1,283,388		3,030,111		46,534		6,565
BMO Monegy High Yield Bond Fund		389,865		28,468		127,541		293,453		9,364		(7,619	)
BMO Institutional Prime Money Market Fund		209,515		4,538,544		4,556,636		191,455		437		32
BMO LGM Frontier Markets Equity Fund		123,684		968		118,329		—		968		(16,277	)
Totals	$	9,778,729	$	6,224,763	$	8,090,713	$	7,887,204	$	114,976	$	223,771
2015 Fund
BMO Low Volatility Equity Fund	$	162,273	$	55,365	$	53,049	$	170,451	$	1,278	$	2,418
BMO Dividend Income Fund		86,958		25,841		30,473		89,959		1,005		309
BMO Large-Cap Value Fund		173,384		49,457		61,970		179,615		1,308		(3,032	)
BMO Large-Cap Growth Fund		90,149		31,623		31,494		94,543		399		5,767
BMO Mid-Cap Value Fund		86,632		46,755		31,176		89,697		502		10,190
BMO Mid-Cap Growth Fund		31,775		14,495		9,696		32,895		116		2,116
BMO Small-Cap Growth Fund		27,154		8,113		9,825		27,899		—		(654	)
BMO Disciplined International Equity Fund		123,046		41,270		40,785		128,235		3,592		(1,220	)
BMO Pyrford International Stock Fund		158,684		51,800		42,976		166,201		3,670		(2,617	)
BMO LGM Emerging Markets Equity Fund		87,301		56,370		28,154		113,622		702		(1,041	)
BMO TCH Emerging Markets Bond Fund		—		153,804		31,404		118,618		3,519		(1,659	)
BMO Alternative Strategies Fund		306,504		85,037		82,425		316,719		—		504
BMO TCH Core Plus Bond Fund		677,799		234,736		189,415		706,963		9,011		(631	)
BMO Monegy High Yield Bond Fund		59,848		17,768		16,460		61,745		1,642		(404	)
BMO Institutional Prime Money Market Fund		46,224		1,530,465		1,484,322		92,320		137		(51	)
BMO LGM Frontier Markets Equity Fund		31,708		248		30,335		—		248		(2,965	)
Totals	$	2,149,439	$	2,403,147	$	2,173,959	$	2,389,482	$	27,129	$	7,030
2020 Fund
BMO Low Volatility Equity Fund	$	3,894,115	$	320,534	$	594,678	$	3,735,640	$	29,439	$	32,741
BMO Dividend Income Fund		1,670,025		137,873		343,955		1,597,646		18,926		61,234
BMO Large-Cap Value Fund		4,126,073		423,952		1,060,366		3,898,804		30,326		57,471
BMO Large-Cap Growth Fund		2,404,456		243,410		450,279		2,297,922		9,905		125,095
BMO Mid-Cap Value Fund		2,281,189		732,808		549,242		2,127,984		12,385		565,739
BMO Mid-Cap Growth Fund		1,670,663		440,775		324,240		1,578,764		5,722		326,808
BMO Small-Cap Growth Fund		932,505		120,429		254,440		869,325		—		29,791
BMO Disciplined International Equity Fund		2,972,794		262,743		529,148		2,810,301		81,954		(20,146	)
BMO Pyrford International Stock Fund		4,125,091		374,398		527,199		3,935,339		91,283		(11,512	)
BMO LGM Emerging Markets Equity Fund		2,631,395		398,644		460,684		2,461,646		19,852		(3,878	)
BMO TCH Emerging Markets Bond Fund		—		1,569,038		192,360		1,331,984		40,777		(5,738	)
BMO Alternative Strategies Fund		5,838,880		453,267		856,546		5,570,650		—		3,496
BMO TCH Core Plus Bond Fund		9,971,443		1,281,053		1,531,189		9,496,872		125,798		25,568
BMO Monegy High Yield Bond Fund		852,539		78,042		138,780		799,635		22,175		(8,633	)
BMO Institutional Prime Money Market Fund		920,373		11,288,619		11,085,712		1,123,302		2,486		15
BMO LGM Frontier Markets Equity Fund		709,471		5,554		—		722,111		5,554		—
Totals	$	45,001,012	$	18,131,139	$	18,898,818	$	44,357,925	$	496,582	$	1,178,051

46

BMO Funds

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	$	945,739	$	165,385	$	138,303	$	1,008,303	$	7,607	$	13,534
BMO Dividend Income Fund		399,892		51,006		64,647		422,828		4,747		2,107
BMO Large-Cap Value Fund		1,487,538		191,756		286,698		1,558,473		11,508		(18,938	)
BMO Large-Cap Growth Fund		784,992		128,073		106,696		844,272		3,628		47,570
BMO Mid-Cap Value Fund		888,016		355,056		164,273		940,413		5,450		175,647
BMO Mid-Cap Growth Fund		854,792		282,553		124,255		903,660		3,239		113,252
BMO Small-Cap Growth Fund		549,784		70,702		92,983		574,594		—		(8,038	)
BMO Disciplined International Equity Fund		832,761		101,732		85,362		881,012		25,426		(2,792	)
BMO Pyrford International Stock Fund		1,452,719		272,663		147,935		1,565,963		35,634		(9,331	)
BMO LGM Emerging Markets Equity Fund		1,114,286		222,442		118,891		1,170,800		9,413		(8,912	)
BMO TCH Emerging Markets Bond Fund		—		401,186		31,077		358,566		10,949		(1,634	)
BMO Alternative Strategies Fund		1,711,494		186,237		123,452		1,818,552		—		466
BMO TCH Core Plus Bond Fund		2,369,198		471,193		274,480		2,509,961		32,733		3,250
BMO Monegy High Yield Bond Fund		215,684		35,588		25,363		228,420		6,197		(1,948	)
BMO Institutional Prime Money Market Fund		307,623		4,217,745		4,525,233		69		926		(66	)
BMO LGM Frontier Markets Equity Fund		245,304		1,921		—		249,674		1,920		—
Totals	$	14,159,822	$	7,155,238	$	6,309,648	$	15,035,560	$	159,377	$	304,167
2030 Fund
BMO Low Volatility Equity Fund	$	3,606,619	$	325,603	$	421,186	$	3,629,517	$	27,648	$	42,812
BMO Dividend Income Fund		1,432,917		98,766		175,833		1,476,630		16,432		34,128
BMO Large-Cap Value Fund		5,680,775		471,666		1,008,714		5,730,985		42,413		11,287
BMO Large-Cap Growth Fund		2,764,666		352,762		434,662		2,806,368		11,622		146,138
BMO Mid-Cap Value Fund		3,327,772		1,037,193		546,802		3,335,791		18,659		763,044
BMO Mid-Cap Growth Fund		3,302,450		874,951		466,073		3,314,777		11,493		492,527
BMO Small-Cap Growth Fund		2,172,315		270,880		462,113		2,156,152		—		18,329
BMO Disciplined International Equity Fund		2,967,999		232,640		309,723		3,000,387		84,920		(10,154	)
BMO Pyrford International Stock Fund		5,515,582		689,981		605,796		5,557,848		124,725		(11,586	)
BMO LGM Emerging Markets Equity Fund		4,117,478		633,172		460,065		4,125,704		32,239		(7,881	)
BMO TCH Emerging Markets Bond Fund		—		820,685		69,883		728,455		21,502		(1,639	)
BMO Alternative Strategies Fund		5,342,402		396,395		493,037		5,374,413		—		2,226
BMO TCH Core Plus Bond Fund		5,259,167		944,364		788,632		5,298,121		68,130		10,408
BMO Monegy High Yield Bond Fund		516,256		46,163		46,200		521,415		14,011		(2,928	)
BMO Institutional Prime Money Market Fund		1,031,813		8,526,017		8,455,511		1,102,362		2,870		(81	)
BMO LGM Frontier Markets Equity Fund		1,111,642		8,702		—		1,131,448		8,702		—
Totals	$	48,149,853	$	15,729,940	$	14,744,230	$	49,290,373	$	485,366	$	1,486,630
2035 Fund
BMO Low Volatility Equity Fund	$	1,192,092	$	185,155	$	147,204	$	1,272,068	$	9,468	$	14,808
BMO Dividend Income Fund		470,318		57,516		68,893		500,469		5,573		2,140
BMO Large-Cap Value Fund		1,844,270		237,953		316,016		1,969,656		14,377		(8,370	)
BMO Large-Cap Growth Fund		906,140		153,841		135,585		966,431		4,089		51,296
BMO Mid-Cap Value Fund		1,125,338		427,804		192,340		1,191,216		6,896		223,645
BMO Mid-Cap Growth Fund		1,084,788		355,148		152,874		1,152,613		4,106		156,152
BMO Small-Cap Growth Fund		714,664		119,796		143,584		751,821		—		(14,024	)
BMO Disciplined International Equity Fund		972,060		132,717		127,007		1,014,610		29,422		(4,655	)
BMO Pyrford International Stock Fund		1,842,225		321,862		211,268		1,938,959		44,249		(12,538	)
BMO LGM Emerging Markets Equity Fund		1,387,337		331,847		226,713		1,435,637		11,428		(10,258	)
BMO TCH Emerging Markets Bond Fund		—		146,992		11,241		131,571		3,996		(640	)
BMO Alternative Strategies Fund		1,433,661		174,934		140,855		1,503,945		—		1,034
BMO TCH Core Plus Bond Fund		972,714		229,180		161,397		1,018,045		13,242		1,050
BMO Monegy High Yield Bond Fund		95,926		10,294		8,555		98,694		2,682		(534	)
BMO Institutional Prime Money Market Fund		267,166		3,636,838		3,554,515		349,453		945		(63	)
BMO LGM Frontier Markets Equity Fund		292,924		2,293		—		298,143		2,293		—
Totals	$	14,601,623	$	6,524,170	$	5,598,047	$	15,593,331	$	152,766	$	399,043

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)
2040 Fund
BMO Low Volatility Equity Fund	$	2,647,740	$	227,392	$	278,387	$	2,682,390	$	20,162	$	34,809
BMO Dividend Income Fund		925,693		69,550		137,144		935,387		10,597		25,411
BMO Large-Cap Value Fund		4,113,828		348,604		782,453		4,100,217		30,405		14,503
BMO Large-Cap Growth Fund		2,020,064		391,415		438,861		2,062,524		8,591		102,513
BMO Mid-Cap Value Fund		2,418,265		803,997		486,765		2,384,191		13,514		546,786
BMO Mid-Cap Growth Fund		2,302,051		670,222		379,964		2,311,209		8,093		327,351
BMO Small-Cap Growth Fund		1,590,888		218,018		373,051		1,563,244		—		18,770
BMO Disciplined International Equity Fund		2,115,782		243,080		364,274		2,070,217		59,621		(13,089	)
BMO Pyrford International Stock Fund		3,996,309		629,536		557,627		4,035,272		90,019		(14,449	)
BMO LGM Emerging Markets Equity Fund		3,024,209		450,584		299,606		3,044,588		23,723		(15,007	)
BMO TCH Emerging Markets Bond Fund		—		225,819		21,198		198,292		5,933		(593	)
BMO Alternative Strategies Fund		2,726,915		223,395		310,946		2,704,810		—		926
BMO TCH Core Plus Bond Fund		1,131,499		175,812		158,401		1,123,657		14,492		2,227
BMO Monegy High Yield Bond Fund		132,377		12,952		14,264		132,330		3,587		(938	)
BMO Institutional Prime Money Market Fund		665,511		6,029,018		5,951,975		742,528		1,822		(39	)
BMO LGM Frontier Markets Equity Fund		877,110		6,866		—		892,737		6,866		—
Totals	$	30,688,241	$	10,726,260	$	10,554,916	$	30,983,593	$	297,425	$	1,029,181
2045 Fund
BMO Low Volatility Equity Fund	$	690,023	$	61,460	$	82,656	$	691,208	$	5,407	$	8,245
BMO Dividend Income Fund		241,844		16,892		37,325		241,917		2,834		886
BMO Large-Cap Value Fund		1,080,830		102,250		210,342		1,086,764		8,339		(8,296	)
BMO Large-Cap Growth Fund		532,019		49,965		70,050		534,812		2,353		29,728
BMO Mid-Cap Value Fund		617,634		203,361		109,083		620,258		3,701		120,107
BMO Mid-Cap Growth Fund		617,448		166,189		90,440		617,385		2,282		85,427
BMO Small-Cap Growth Fund		427,466		62,207		101,581		424,158		—		(10,401	)
BMO Disciplined International Equity Fund		550,160		56,770		72,288		554,681		16,401		(2,675	)
BMO Pyrford International Stock Fund		1,061,005		139,490		117,296		1,074,506		25,056		(6,289	)
BMO LGM Emerging Markets Equity Fund		828,201		157,680		121,228		829,384		6,779		(3,249	)
BMO TCH Emerging Markets Bond Fund		—		39,303		3,500		34,634		1,083		(188	)
BMO Alternative Strategies Fund		600,880		46,677		58,498		603,863		—		439
BMO TCH Core Plus Bond Fund		309,465		37,513		27,941		311,701		4,109		376
BMO Monegy High Yield Bond Fund		34,385		3,063		3,142		34,669		951		(135	)
BMO Institutional Prime Money Market Fund		99,017		2,127,142		1,947,852		278,354		454		45
BMO LGM Frontier Markets Equity Fund		193,869		1,517		—		197,323		1,518		—
Totals	$	7,884,246	$	3,271,479	$	3,053,222	$	8,135,617	$	81,267	$	214,020
2050 Fund
BMO Low Volatility Equity Fund	$	1,811,702	$	218,067	$	325,934	$	1,758,030	$	13,461	$	22,709
BMO Dividend Income Fund		628,092		54,331		118,301		615,303		7,111		16,139
BMO Large-Cap Value Fund		2,858,333		297,618		680,346		2,764,191		21,025		(14,170	)
BMO Large-Cap Growth Fund		1,393,578		203,538		293,876		1,360,293		5,613		66,854
BMO Mid-Cap Value Fund		1,640,813		572,259		386,267		1,577,592		8,834		313,377
BMO Mid-Cap Growth Fund		1,628,217		479,099		330,172		1,570,332		5,474		174,993
BMO Small-Cap Growth Fund		1,130,758		152,057		289,498		1,079,121		—		(8,734	)
BMO Disciplined International Equity Fund		1,435,322		178,879		251,445		1,410,792		39,100		(13,115	)
BMO Pyrford International Stock Fund		2,795,127		386,577		417,695		2,732,971		59,645		(27,727	)
BMO LGM Emerging Markets Equity Fund		2,185,440		256,678		235,058		2,109,362		16,351		(12,199	)
BMO TCH Emerging Markets Bond Fund		—		103,423		12,201		88,088		2,597		(702	)
BMO Alternative Strategies Fund		1,560,871		141,417		202,562		1,535,806		—		740
BMO TCH Core Plus Bond Fund		814,035		96,952		99,031		792,794		12,771		(1,951	)
BMO Monegy High Yield Bond Fund		89,806		9,065		11,394		88,179		18		1,436
BMO Institutional Prime Money Market Fund		452,953		3,407,869		3,283,605		577,336		1,193		70
BMO LGM Frontier Markets Equity Fund		515,392		4,035		—		524,575		4,035		—
Totals	$	20,940,439	$	6,561,864	$	6,937,385	$	20,584,765	$	197,228	$	517,720

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)
2055 Fund
BMO Low Volatility Equity Fund	$	308,889	$	107,990	$	76,785	$	352,127	$	2,587	$	3,689
BMO Dividend Income Fund		108,770		36,255		32,149		123,242		1,343		902
BMO Large-Cap Value Fund		489,994		151,612		145,023		553,645		3,948		(5,594	)
BMO Large-Cap Growth Fund		237,840		80,500		57,423		272,461		1,171		14,475
BMO Mid-Cap Value Fund		279,791		153,247		77,142		315,962		1,804		45,577
BMO Mid-Cap Growth Fund		278,456		141,412		71,971		314,519		1,121		25,878
BMO Small-Cap Growth Fund		192,033		75,302		69,479		216,066		—		(3,758	)
BMO Disciplined International Equity Fund		245,717		84,364		57,549		282,580		8,061		(1,824	)
BMO Pyrford International Stock Fund		476,260		207,460		133,549		547,393		12,360		(7,082	)
BMO LGM Emerging Markets Equity Fund		374,152		170,830		105,885		422,504		3,364		(7,156	)
BMO TCH Emerging Markets Bond Fund		—		34,908		16,462		17,643		927		(1,046	)
BMO Alternative Strategies Fund		272,392		82,704		54,638		307,595		—		461
BMO TCH Core Plus Bond Fund		140,717		57,158		35,746		158,794		1,979		(210	)
BMO Monegy High Yield Bond Fund		15,183		5,495		3,217		17,661		458		(88	)
BMO Institutional Prime Money Market Fund		77,544		2,040,971		1,974,265		144,197		292		(61	)
BMO LGM Frontier Markets Equity Fund		79,727		624		—		81,148		624		—
Totals	$	3,577,465	$	3,430,832	$	2,911,283	$	4,127,537	$	40,039	$	64,163
Conservative Allocation Fund
BMO Low Volatility Equity Fund	$	1,649,803	$	210,511	$	244,397	$	1,673,625	$	13,046	$	15,940
BMO Dividend Income Fund		901,806		88,535		165,831		904,023		10,576		23,470
BMO Large-Cap Value Fund		2,311,142		1,051,852		586,817		3,097,105		20,686		29,103
BMO Large-Cap Growth Fund		2,283,819		742,790		587,180		2,552,319		11,424		140,156
BMO Mid-Cap Value Fund		705,290		248,234		144,465		706,502		4,190		189,472
BMO Mid-Cap Growth Fund		697,653		216,613		130,025		700,533		2,611		130,438
BMO Small-Cap Value Fund		373,564		76,057		100,833		365,992		2,320		29,528
BMO Small-Cap Growth Fund		715,216		104,963		174,128		706,849		—		16,109
BMO Disciplined International Equity Fund		1,351,407		149,844		483,685		1,050,252		31,469		(26,637	)
BMO Pyrford International Stock Fund		1,377,606		186,927		190,589		1,359,973		32,108		(3,290	)
BMO LGM Emerging Markets Equity Fund		1,114,343		245,137		164,338		1,145,922		9,561		(8,135	)
BMO TCH Emerging Markets Bond Fund		—		3,263,489		382,203		2,779,013		87,647		(20,593	)
BMO Alternative Strategies Fund		14,933,112		209,956		1,012,974		14,491,810		—		7,013
BMO TCH Core Plus Bond Fund		46,045,431		5,394,592		2,518,488		47,816,448		629,140		93,002
BMO Monegy High Yield Bond Fund		5,278,673		123,066		3,577,214		1,841,784		77,284		(183,236	)
BMO Institutional Prime Money Market Fund		1,460,458		10,103,324		10,176,528		1,387,586		4,525		168
Totals	$	81,199,323	$	22,415,890	$	20,639,695	$	82,579,736	$	936,587	$	432,508
Moderate Allocation Fund
BMO Low Volatility Equity Fund	$	3,323,441	$	228,879	$	631,997	$	3,013,847	$	24,728	$	21,229
BMO Dividend Income Fund		1,790,411		84,125		379,929		1,637,062		20,023		71,171
BMO Large-Cap Value Fund		4,591,399		1,755,891		1,285,672		5,640,155		39,011		44,526
BMO Large-Cap Growth Fund		4,598,834		1,110,627		1,296,015		4,619,047		20,427		253,386
BMO Mid-Cap Value Fund		1,400,992		558,463		453,839		1,287,556		7,581		391,544
BMO Mid-Cap Growth Fund		1,410,661		394,874		343,306		1,280,041		4,700		287,983
BMO Small-Cap Value Fund		763,813		143,252		258,089		674,166		4,229		50,857
BMO Small-Cap Growth Fund		1,410,154		170,909		406,141		1,282,258		—		47,813
BMO Disciplined International Equity Fund		2,744,262		165,094		1,068,248		1,899,070		56,526		(57,030	)
BMO Pyrford International Stock Fund		2,725,365		293,553		519,949		2,465,873		57,858		1,675
BMO LGM Emerging Markets Equity Fund		2,237,288		392,676		440,460		2,093,571		17,227		(11,078	)
BMO TCH Emerging Markets Bond Fund		—		2,329,348		418,466		1,839,844		57,688		(18,919	)
BMO Alternative Strategies Fund		11,665,276		384,137		1,750,054		10,565,475		—		14,147
BMO TCH Core Plus Bond Fund		33,000,431		3,711,167		4,173,170		31,764,290		431,260		48,842
BMO Monegy High Yield Bond Fund		3,805,157		110,676		2,699,873		1,224,918		53,573		(139,688	)
BMO Institutional Prime Money Market Fund		857,039		13,279,928		12,848,210		1,289,046		4,128		223
Totals	$	76,324,523	$	25,113,599	$	28,973,418	$	72,576,219	$	798,959	$	1,006,681

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)
Balanced Allocation Fund
BMO Low Volatility Equity Fund	$	16,850,514	$	1,290,493	$	3,648,893	$	14,957,232	$	125,995	$	108,489
BMO Dividend Income Fund		9,203,550		388,175		2,227,997		8,084,953		102,234		519,312
BMO Large-Cap Value Fund		23,587,286		8,804,508		7,576,235		27,732,146		198,985		428,398
BMO Large-Cap Growth Fund		23,390,443		5,954,951		7,590,067		22,747,539		105,664		1,290,018
BMO Mid-Cap Value Fund		7,207,920		2,137,527		1,883,152		6,336,945		38,776		1,992,345
BMO Mid-Cap Growth Fund		7,137,793		1,897,680		1,839,739		6,267,929		24,256		1,565,136
BMO Small-Cap Value Fund		3,851,980		703,849		1,430,247		3,277,372		21,753		265,066
BMO Small-Cap Growth Fund		7,290,452		772,681		2,316,300		6,293,849		—		405,223
BMO Disciplined International Equity Fund		13,965,369		1,182,551		6,124,118		9,312,532		290,070		(320,607	)
BMO Pyrford International Stock Fund		13,826,724		1,580,610		3,133,598		12,096,459		296,104		235,230
BMO LGM Emerging Markets Equity Fund		11,356,752		2,082,429		2,661,978		10,267,252		88,708		(74,875	)
BMO TCH Emerging Markets Bond Fund		—		5,048,729		1,162,162		3,733,297		121,680		(51,368	)
BMO Alternative Strategies Fund		32,848,915		1,142,275		5,919,901		28,810,108		—		49,932
BMO TCH Core Plus Bond Fund		69,635,028		9,021,889		12,497,415		64,532,678		888,137		126,827
BMO Monegy High Yield Bond Fund		8,029,933		262,363		5,827,665		2,486,568		111,647		(259,849	)
BMO Institutional Prime Money Market Fund		4,664,487		47,263,019		47,751,572		4,176,910		13,517		647
Totals	$	252,847,146	$	89,533,729	$	113,591,039	$	231,113,769	$	2,427,526	$	6,279,924
Growth Allocation Fund
BMO Low Volatility Equity Fund	$	6,734,816	$	950,036	$	1,251,041	$	6,652,988	$	50,441	$	62,118
BMO Dividend Income Fund		3,679,363		427,040		804,442		3,603,604		40,737		108,407
BMO Large-Cap Value Fund		9,456,501		4,287,463		2,603,469		12,356,086		79,656		72,279
BMO Large-Cap Growth Fund		9,360,825		3,242,418		2,883,739		10,170,878		43,519		544,473
BMO Mid-Cap Value Fund		2,908,515		1,057,530		740,618		2,819,122		15,983		807,393
BMO Mid-Cap Growth Fund		2,862,348		965,138		685,227		2,806,135		9,958		548,437
BMO Small-Cap Value Fund		1,521,706		410,687		518,578		1,477,695		8,851		100,360
BMO Small-Cap Growth Fund		2,905,386		600,867		921,864		2,816,647		—		68,532
BMO Disciplined International Equity Fund		5,623,815		728,499		2,275,662		4,212,700		119,653		(109,418	)
BMO Pyrford International Stock Fund		5,604,413		1,063,131		1,176,290		5,449,129		122,491		(7,090	)
BMO LGM Emerging Markets Equity Fund		4,545,433		1,190,762		951,066		4,614,990		36,584		4,761
BMO TCH Emerging Markets Bond Fund		—		653,695		166,021		472,242		14,282		(3,592	)
BMO Alternative Strategies Fund		7,884,284		878,915		1,201,780		7,748,940		—		8,632
BMO TCH Core Plus Bond Fund		8,307,751		2,472,712		2,408,350		8,208,684		103,068		26,909
BMO Monegy High Yield Bond Fund		964,705		60,738		709,061		319,791		12,910		(20,164	)
BMO Institutional Prime Money Market Fund		1,360,992		24,324,246		23,938,289		1,747,274		4,318		324
Totals	$	73,720,853	$	43,313,877	$	43,235,497	$	75,476,905	$	662,451	$	2,212,361
Aggressive Allocation Fund
BMO Low Volatility Equity Fund	$	12,740,611	$	1,381,636	$	2,651,324	$	11,822,980	$	95,004	$	64,051
BMO Dividend Income Fund		6,956,287		485,640		1,577,724		6,398,862		76,998		185,257
BMO Large-Cap Value Fund		17,818,284		6,409,533		4,461,004		21,962,370		149,811		116,864
BMO Large-Cap Growth Fund		17,797,993		4,307,922		4,833,041		18,070,502		78,291		966,230
BMO Mid-Cap Value Fund		5,494,346		1,699,023		1,330,935		5,002,611		28,718		1,489,337
BMO Mid-Cap Growth Fund		5,454,392		1,451,203		1,222,115		4,979,325		17,892		1,178,698
BMO Small-Cap Value Fund		2,896,681		526,033		894,116		2,626,672		15,934		197,326
BMO Small-Cap Growth Fund		5,559,132		646,542		1,604,615		5,004,740		—		411,724
BMO Disciplined International Equity Fund		10,633,022		1,066,559		4,445,813		7,478,687		215,077		(236,256	)
BMO Pyrford International Stock Fund		10,624,201		1,354,722		2,184,398		9,677,769		220,271		60,500
BMO LGM Emerging Markets Equity Fund		8,700,946		1,842,050		1,993,191		8,206,091		65,868		300
BMO Alternative Strategies Fund		4,604,710		229,539		2,065,133		2,839,253		—		40,151
BMO Institutional Prime Money Market Fund		2,134,008		22,909,434		22,656,582		2,387,335		5,296		462
Totals	$	111,414,613	$	44,309,836	$	51,919,991	$	106,457,197	$	969,160	$	4,474,644

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

50

BMO Funds

Directors are responsible for the oversight of the interfund lending program. As of February 28, 2017, the 2025 Fund had an existing borrowing balance of $306,327. No other interfund borrowing or lending balances existed as of February 28, 2017.

Funds utilizing the Interfund lending program, borrowing from either the BMO Government Money Market Fund or the BMO Prime Money Market Fund during the period ended February 28, 2017, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
In-Retirement	$	18,435		0.932	%
Target Retirement 2015		6,253		1.002
Target Retirement 2020		1,610		0.898
Target Retirement 2025		2,944		1.019
Target Retirement 2035		280		1.016
Target Retirement 2040		2,746		1.013
Target Retirement 2045		3,641		1.017
Target Retirement 2050		1,512		0.892
Target Retirement 2055		1,424		1.016
Balanced Allocation		109,028		0.952
Growth Allocation		32,758		0.997
Aggressive Allocation		8,989		0.924

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

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“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 28, 2017. The Funds did not utilize the LOC during the period ended February 28, 2017.

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 28, 2017 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	2,935,019	$	8,191,548	$	—	$	—
2015 Fund		1,630,020		1,508,396		—		—
2020 Fund		12,594,564		18,427,413		—		—
2025 Fund		5,481,981		4,251,656		—		—
2030 Fund		13,584,805		15,208,243		—		—
2035 Fund		5,351,182		4,622,420		—		—
2040 Fund		285,529		11,249,162		—		—
2045 Fund		2,393,698		2,787,732		—		—
2050 Fund		6,093,035		8,456,991		—		—
2055 Fund		2,867,506		2,067,112		—		—
Conservative Allocation Fund		19,089,731		22,537,927		—		—
Moderate Allocation Fund		19,015,959		32,952,480		—		—
Balanced Allocation Fund		64,329,873		128,362,437		—		—
Growth Allocation Fund		32,005,182		38,625,802		—		—
Aggressive Allocation Fund		33,166,083		57,484,998		—		—

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 Statement of Assets and Liabilities, based on their Federal tax basis treatment; temporary differences do not require reclassification and had no impact on the net asset value of the Funds.

The Funds complied with 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

51

Notes to Financial Statements (continued)

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 28, 2017. 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.

Fund	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	$	14,360,694	$	2,151,712	$	(209,399	)	$	1,942,313
2015 Fund		4,725,533		158,475		(100,873	)		57,602
2020 Fund		72,256,416		17,560,308		(984,263	)		16,576,045
2025 Fund		31,788,982		1,413,047		(1,009,284	)		403,763
2030 Fund		82,931,985		22,682,871		(1,655,156	)		21,027,715
2035 Fund		32,360,849		1.667.776		(1.106.014	)		561,762
2040 Fund		50,474,200		16,455,291		(951,719	)		15,503,572
2045 Fund		17,040,742		894,801		(563,872	)		330,929
2050 Fund		35,514,074		9,347,984		(813,415	)		8,534,569
2055 Fund		8,562,216		535,113		(246,208	)		288,905
Conservative Allocation Fund		127,693,969		12,990,191		(1,834,086	)		11,156,105
Moderate Allocation Fund		108,063,064		19,099,272		(1,308,706	)		17,790,566
Balanced Allocation Fund		319,721,598		97,509,754		(4,347,548	)		93,162,206
Growth Allocation Fund		104,430,115		35,659,533		(1,233,686	)		34,425,847
Aggressive Allocation Fund		136,999,459		66,431,731		(205,049	)		66,226,682

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2016 and August 31, 2015 were as follows:

	2016				2015
Fund	Ordinary Income (1)		Long-Term Capital Gains		Ordinary Income (1)		Long-Term Capital Gains
In-Retirement Fund	$	607,266	$	1,497,614	$	920,536	$	1,258,215
2015 Fund		130,709		45,046		38,413		428
2020 Fund		2,458,238		5,197,602		2,879,598		2,699,335
2025 Fund		590,795		248,669		142,313		1,794
2030 Fund		2,098,312		3,990,322		2,387,859		2,107,177
2035 Fund		547,096		80,275		69,366		2,463
2040 Fund		1,223,268		3,715,337		1,603,878		1,351,612
2045 Fund		260,096		41,095		25,677		2,093
2050 Fund		671,827		1,380,429		881,509		720,139
2055 Fund		74,229		28,353		17,467		1,351
Conservative Allocation Fund		3,815,950		2,777,464		2,754,573		1,211,440
Moderate Allocation Fund		3,459,012		4,865,588		2,924,437		834,575
Balanced Allocation Fund		10,349,085		34,072,578		11,258,227		3,026,489
Growth Allocation Fund		2,750,080		8,796,346		2,621,083		329,073
Aggressive Allocation Fund		4,154,898		14,983,574		3,503,157		468,344

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

52

BMO Funds

As of August 31, 2016, 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	$	262,415	$	732,307	$	—		$	2,436,316
2015 Fund		49,563		—		(80,124	)		5,440
2020 Fund		820,511		3,013,001		—			16,055,079
2025 Fund		238,835		172,863		—			(338,817	)
2030 Fund		562,149		2,421,844		(18,355	)		18,691,476
2035 Fund		163,275		459,548		—			(373,117	)
2040 Fund		258,534		1,715,692		—			14,027,722
2045 Fund		71,911		339,191		—			(221,101	)
2050 Fund		163,919		1,104,040		—			7,254,854
2055 Fund		26,603		145,113		—			35,641
Conservative Allocation Fund		2,221,712		—		(89,345	)		11,469,317
Moderate Allocation Fund		1,741,198		1,267,491		—			17,119,792
Balanced Allocation Fund		4,060,170		18,297,105		—			90,839,378
Growth Allocation Fund		622,699		4,175,591		—			30,940,063
Aggressive Allocation Fund		667,893		13,428,219		—			61,774,240

As of August 31, 2016, the following funds had post-October losses, which are deferred until fiscal year 2017 for tax purposes. Net capital losses incurred after October 31, and with the taxable year, are deemed to arise on the first day of the Fund’s net taxable year.

	Post-October Losses
Fund	Short-Term		Long-Term
2015 Fund	$	18,107	$	34,077
2030 Fund		18,355		—

As of August 31, 2016, the following funds had non-expiring capital loss carry forwards:

	Capital Loss Carry Forward
Fund	Short-Term		Long-Term
2015 Fund	$	21,933	$	6,007
Conservative Allocation Fund		—		89,345

9. Recently Issued Accounting Pronouncement

In October 2016, the U.S. Securities and Exchange Commission adopted new rules and amended existing rules (together, the “final rules”) intended to modernize the reporting and disclosure of information by registered investment companies. In part, the final rules amend Regulation S-X and require standardized, enhanced disclosure about derivatives in investment company financial statements, as well as other amendments. The compliance date for the amendments to Regulation S-X is August 1, 2017. Management is currently evaluating the impact that the adoption of the amendments to Regulation S-X may have on the Fund’s financial statements and related disclosures.

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.

53

Rev. 8/2015

FACTS	WHAT DO BMO FUNDS, INC. & BMO LGM FRONTIER MARKETS EQUITY FUND (TOGETHER, THE “FUNDS”) DO WITH YOUR PERSONAL INFORMATION?
Why?	Financial companies choose how they share your personal information. Federal law gives consumers the right to limit some but not all sharing. Federal law also requires us to tell you how we collect, share, and protect your personal information. Please read this notice carefully to understand what we do.
What?	The types of personal information we collect and share depend on the product or service you have with us. This information can include: •     Social Security Number and Bank Account Numbers •     Assets and Income •     Account Balances and Account Transactions •     Specific Investment Experience
How?	All financial companies need to share customers’ personal information to run their everyday business. In the section below, we list the reasons financial companies can share their customers’ personal information; the reasons the Funds choose to share; and whether you can limit this sharing.

Reasons we can share your personal information	Do the Funds share?	Can you limit this sharing?
For our everyday business purposes — such as to process your transactions, maintain your account(s), respond to court orders and legal investigations, or report to credit bureaus.	Yes	No
For our marketing purposes — to offer our products and services to you	Yes	No
For joint marketing with other financial companies	No	We do not share
For our affiliates’ everyday business purposes — information about your transactions and experiences	Yes	No
For our affiliates’ everyday business purposes — information about your creditworthiness	No	We do not share
For our affiliates to market to you	Yes	Yes
For nonaffiliates to market to you	No	We do not share

To limit our sharing	Call Toll-Free: 1-800-236-FUND (3863) Please note: If you are a new customer, we can begin sharing your information 30 days from the date we sent this notice. When you are no longer our customer, we continue to share your information as described in this notice. However, you can contact us at any time to limit our sharing.
Questions?	Call Toll-Free: 1-800-236-FUND (3863) or go to www.bmofundsus.com

54

	Rev. 8/2015
Page 2

What we do
How do the Funds protect my personal information?	To protect your personal information from unauthorized access and use, we use security measures that comply with federal law. These measures include computer safeguards and secured files and buildings.
How do the Funds collect my personal	We collect your personal information, for example, when you:
information?	•	Open an account or direct us to buy/sell your securities
	•	Provide account information or give us your contact information
	•	Seek advice about your investments
	We also collect your personal information from others, such as your financial representative, affiliates, or other companies.
Why can’t I limit all sharing?	Federal law gives you the right to limit only
	•	sharing for affiliates’ everyday business purposes—information about your creditworthiness
	•	affiliates from using your information to market to you
	•	sharing for nonaffiliates to market to you
	State laws and individual companies may give you additional rights to limit sharing. See below for more information on your rights under state laws.
What happens when I limit sharing for an account I hold jointly with someone else?	Your choices will apply to everyone on your account–unless you tell us otherwise.

Definitions
Affiliates	Companies related by common ownership or control. They can be financial and non-financial companies.
	•	Our affiliates include financial companies with a Bank of Montreal or BMO name; and financial companies such as BMO Harris Bank N.A.
Nonaffiliates	Companies not related by common ownership or control. They can be financial and nonfinancial companies.
	•	The Funds do not share with nonaffiliates so they can market to you.
Joint Marketing	A formal agreement between nonaffiliated financial companies that together market financial products or services to you.
	•	The Funds do not jointly market.

Other important information

Important Information for California and Vermont Residents: As long as you remain a resident of California or Vermont, we will not share within the BMO family of companies certain information (other than information about our transactions and experiences with you) from your account applications or information we receive from third parties without your authorization. To authorize the sharing of this information within the BMO family of companies, please contact us (see “Questions?” section). Nevada Residents: Notice provided pursuant to state law. To be placed on our internal Do Not Call List, call 1-888-654-0063. For more on this Nevada law, contact Bureau of Consumer Protection, Office of the Nevada Attorney General, 555 E. Washington St., Suite 3900, Las Vegas, NV 89101. Phone number: (702)486-3132; email: BCPINFO@ag.state.nv.us.

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.

© 2017 BMO Financial Corp. (3/17)

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 28, 2017

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 95.7%
Alabama — 5.3%
Albertville Municipal Utilities Board, AGM:
2.000%, 8/15/2019	$	735,000	$	742,034
2.000%, 8/15/2020		355,000		357,602
Chatom Industrial Development Board, 1.050%, 8/1/2037, Call 8/1/2017 (8)		5,500,000		5,501,320
City of Brundidge, AGM:
2.000%, 12/1/2017		380,000		383,374
2.000%, 12/1/2018		385,000		390,032
Columbia Industrial Development Board:
0.670%, 12/1/2037, Call 3/1/2017 (8)		1,265,000		1,265,000
0.670%, 12/1/2037, Call 3/1/2017 (8)		1,500,000		1,500,000
Eutaw Industrial Development Board, 0.670%, 6/1/2028, Call 3/1/2017 (8)		1,200,000		1,200,000
Health Care Authority for Baptist Health, 1.300%, 11/1/2042 (8)		14,125,000		14,125,000
Limestone County Water & Sewer Authority, BAM, 2.000%, 12/1/2019		160,000		161,797
Mobile Industrial Development Board, 0.670%, 6/1/2034, Call 3/1/2017 (8)		1,100,000		1,100,000
Tender Option Bond Trust Receipts/Certificates, 0.920%, 12/1/2030 (6) (8)		5,085,000		5,085,000
				31,811,159
Arizona — 1.7%
Arizona Health Facilities Authority:
2.490%, 2/5/2020, Call 8/9/2019 (8)		3,250,000		3,311,620
2.490%, 2/5/2020, Call 8/9/2019 (8)		750,000		764,220
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2018		300,000		315,621
City of Tucson, AGM, 3.000%, 7/1/2018		500,000		512,750
County of Mohave, AGC, 4.125%, 4/1/2017		100,000		100,272
Industrial Development Authority of the County of Pima, 5.000%, 9/1/2017		250,000		255,297
Maricopa County Pollution Control Corp., 1.750%, 5/30/2018 (8)		500,000		501,530
Scottsdale Industrial Development Authority, FSA, 0.880%, 9/1/2045, Call 3/7/2017 (8) (14)		4,275,000		4,275,000
Yuma County Elementary School District No. 1, BAM, 3.000%, 7/1/2017		175,000		176,234
				10,212,544
Arkansas — 2.3%
Arkansas Development Finance Authority:
1.300%, 9/1/2044, Call 3/1/2017 (8)		10,400,000		10,400,000
1.740%, 9/1/2019, Call 3/1/2019 (8)		3,000,000		3,007,170
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		500,000		499,420
County of Crawford, AGM:
1.850%, 9/1/2024, Call 3/1/2017		45,000		45,000
3.000%, 9/1/2017		175,000		176,965
				14,128,555
California — 7.6%
Anaheim Public Financing Authority, 5.000%, 5/1/2017		500,000		503,500
Bay Area Toll Authority, 1.740%, 4/1/2024, Call 10/1/2023 (8)		1,750,000		1,768,462
BB&T Municipal Trust, 1.340%, 11/15/2017 (6) (8)		579,622		579,993
California County Tobacco Securitization Agency, 4.000%, 6/1/2017		615,000		619,237
California Health Facilities Financing Authority, NATL-RE, 1.208%, 7/1/2022, Call 3/1/2017 (8) (14)		900,000		852,161
California Infrastructure & Economic Development Bank, 0.920%, 4/2/2018, Call 1/2/2018 (8)		550,000		549,747
California Municipal Finance Authority, 1.200%, 2/1/2018 (8)		3,750,000		3,753,375
California Statewide Communities Development Authority:
3.500%, 11/1/2018		400,000		403,388
5.250%, 12/1/2027, Call 12/1/2017		1,250,000		1,291,762
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 3/31/2017		1,000,000		1,001,200
Carson Redevelopment Agency Successor Agency, 4.000%, 10/1/2017		1,265,000		1,287,618
City of Sacramento, 2.000%, 9/1/2017		200,000		200,806

County of San Joaquin, 3.000%, 4/1/2017	150,000	150,254
Lynwood Unified School District, 5.000%, 8/1/2017	1,500,000	1,524,540
Mendota Unified School District, 0.000%, 8/1/2018, Call 3/31/2017	1,275,000	1,221,335
Northern California Gas Authority No. 1:
1.269%, 7/1/2017 (8)	25,000	25,013
1.299%, 7/1/2019 (8)	7,500,000	7,445,775
Palomar Health:
4.000%, 11/1/2018	125,000	128,793
4.000%, 11/1/2019	505,000	526,624
State of California, 1.376%, 12/3/2018, Call 6/1/2018 (8)	950,000	954,816
State of California, AGM, 0.820%, 8/1/2027 (6) (8)	7,985,000	7,985,000
Successor Agency to the Richmond County Redevelopment Agency, BAM, 4.000%, 9/1/2017	400,000	406,384
Tender Option Bond Trust Receipts/Certificates:
0.710%, 11/1/2023 (6) (8)	7,000,000	7,000,000
0.760%, 5/1/2022 (6) (8)	3,000,000	3,000,000
0.940%, 8/1/2037, Call 8/1/2017 (6) (8)	2,500,000	2,500,000
		45,679,783
Colorado — 1.7%
Auraria Higher Education Center, 6.000%, 5/1/2017	159,000	160,329
City & County of Denver, AGC, 0.890%, 11/15/2025, Call 3/1/2017 (8) (14)	525,000	525,000
City of Sheridan, 3.000%, 12/1/2017	200,000	203,062
Colorado Educational & Cultural Facilities Authority:
3.000%, 8/15/2017	175,000	176,535
3.000%, 11/15/2017	190,000	192,898
Colorado Health Facilities Authority, 4.000%, 2/1/2018	175,000	177,903
County of Montrose, 4.000%, 12/1/2017	385,000	391,114
Denver Health & Hospital Authority:
5.000%, 12/1/2019, Call 3/31/2017	200,000	200,746
5.000%, 12/1/2020, Call 3/31/2017	1,730,000	1,736,487
E-470 Public Highway Authority:
0.000%, 9/1/2019, Call 3/1/2019 (8) (9)	2,000,000	2,005,640
1.820%, 8/31/2017, Call 3/1/2017 (8)	4,600,000	4,600,000
		10,369,714
Connecticut — 1.4%
City of New Britain, AGM, 4.000%, 3/1/2017	1,250,000	1,250,000
Norwalk Housing Authority, 1.250%, 6/1/2018 (8)	2,200,000	2,201,342
State of Connecticut, 0.690%, 1/1/2018, Call 3/1/2017 (8)	5,000,000	5,000,000
		8,451,342
District of Columbia — 0.1%
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 3/31/2017	390,000	391,400
Florida — 4.7%
Citizens Property Insurance Corp., 5.250%, 6/1/2017	850,000	859,571
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2017	1,000,000	1,010,650
Citizens Property Insurance Corp., NATL-RE, 5.000%, 3/1/2017	1,720,000	1,720,000
City of Jacksonville, 0.630%, 5/1/2029, Call 3/1/2017 (8)	700,000	700,000
City of Lakeland, 5.000%, 10/1/2017	1,500,000	1,537,200
City of Port St. Lucie:
1.000%, 7/1/2017	415,000	414,954
1.125%, 7/1/2018	625,000	623,069
Columbia County School Board, 5.000%, 7/1/2018	880,000	924,863
County of Martin, 0.620%, 7/15/2022, Call 3/1/2017 (8)	700,000	700,000
County of Volusia, 5.250%, 10/1/2017	1,000,000	1,026,240
Florida Municipal Power Agency, AMBAC:
1.120%, 10/1/2021 (8) (14)	325,000	311,860
1.138%, 10/1/2021, Call 3/2/2017 (8) (14)	250,000	239,892
JEA Electric System Revenue, 5.000%, 10/1/2018	600,000	637,176
Manatee County School District, AGM, 4.000%, 10/1/2018	670,000	700,840
Miami-Dade County School Board Foundation, Inc., NATL-RE, 5.000%, 5/1/2018, Call 5/1/2017	300,000	302,124
North Sumter County Utility Dependent District, 5.000%, 10/1/2017	225,000	229,590
Orange County Health Facilities Authority, 3.000%, 8/1/2017	625,000	629,519
Orlando Utilities Commission, 0.670%, 10/1/2033, Call 3/1/2017 (8)	2,800,000	2,800,000
Putnam County Development Authority, 0.640%, 9/1/2024, Call 3/1/2017 (8)	2,300,000	2,300,000

Sarasota County Health Facilities Authority:
4.000%, 1/1/2018	400,000	407,092
4.000%, 1/1/2019	500,000	516,390
School Board of Miami-Dade County, FGIC, 1.030%, 5/1/2037, Call 3/1/2017 (6) (8)	8,000,000	8,000,000
Sumter County Industrial Development Authority:
4.000%, 7/1/2017	1,180,000	1,192,166
4.000%, 7/1/2019	620,000	651,384
		28,434,580
Georgia — 1.1%
Bartow County Development Authority, 2.375%, 8/10/2017 (8)	1,000,000	1,005,750
Burke County Development Authority, 1.750%, 6/1/2017 (8)	500,000	501,005
City of Atlanta, 2.022%, 11/1/2018, Call 5/1/2018 (8)	2,750,000	2,773,760
Downtown Dalton Development Authority, NATL-RE, 5.500%, 8/15/2017	65,000	66,113
Metropolitan Atlanta Rapid Transit Authority, 0.920%, 7/1/2017, Call 3/21/2017 (8)	900,000	900,000
Peach County Development Authority, 1.200%, 10/1/2018, Call 4/1/2018	1,000,000	998,750
Private Colleges & Universities Authority, 4.000%, 10/1/2017	110,000	111,384
		6,356,762
Guam — 0.1%
Territory of Guam:
3.000%, 11/15/2017	300,000	301,881
5.000%, 12/1/2017	200,000	205,052
5.000%, 12/1/2018	250,000	263,805
		770,738
Idaho — 1.2%
Idaho Housing & Finance Association, 0.830%, 1/1/2038, Call 3/1/2017 (8)	7,100,000	7,100,000
Illinois — 6.9%
Arlington Heights Park District, 5.000%, 12/1/2017	170,000	175,313
Chicago Board of Education, 4.640%, 3/1/2017 (8)	4,250,000	4,250,000
Chicago Board of Education, AGM, 5.000%, 12/1/2018, Call 3/31/2017	250,000	250,587
City of Burbank, BAM, 3.000%, 12/1/2017	1,040,000	1,055,538
City of Chicago:
2.000%, 11/1/2017	2,000,000	2,008,640
5.000%, 11/1/2018	1,000,000	1,050,430
City of Chicago, AGM:
4.250%, 11/1/2018	150,000	156,413
5.000%, 1/1/2019, Call 3/31/2017	250,000	254,987
City of Rockford, BAM, 5.000%, 12/15/2017	1,600,000	1,650,688
City of Springfield, 5.000%, 3/1/2017	350,000	350,000
Cook County Community Consolidated School District No. 15 Palatine, NATL-RE, 0.000%, 12/1/2017	250,000	247,618
County of Cook, 5.000%, 11/15/2018	1,300,000	1,371,552
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	3,260,000	3,259,739
4.000%, 11/15/2017	200,000	204,216
4.000%, 11/15/2018	200,000	209,290
5.000%, 7/1/2017	140,000	141,467
5.000%, 8/15/2018	200,000	208,678
5.000%, 11/15/2018	350,000	371,819
5.000%, 11/15/2019	605,000	659,970
5.000%, 11/15/2019	250,000	272,992
Illinois Housing Development Authority, 1.000%, 8/1/2017, Call 3/21/2017	2,350,000	2,350,117
Kankakee River Metropolitan Agency, AGM:
2.000%, 5/1/2018	100,000	100,423
3.000%, 5/1/2019	300,000	307,206
Lake County Forest Preserve District, 1.126%, 12/15/2020 (8)	450,000	448,281
McHenry County Community Consolidated School District No. 47 Crystal Lake, AGM, 5.000%, 2/1/2018	210,000	217,930
McHenry County Community Unit School District No. 12 Johnsburg, AGM, 4.000%, 1/1/2018	125,000	128,166
Northeastern Illinois University, BAM, 3.000%, 7/1/2017	120,000	120,750
Northern Illinois Municipal Power Agency, 5.000%, 12/1/2018	500,000	531,885
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2018	1,250,000	1,290,887
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2017	20,000	20,180
Rib Floater Trust Various States, 0.940%, 4/1/2036, Call 4/1/2027 (6) (8)	4,250,000	4,250,000
Southwestern Illinois Development Authority, AGM:
5.250%, 12/1/2020, Call 12/1/2017	275,000	282,934
5.250%, 2/1/2023, Call 3/31/2017	1,165,000	1,168,821

State of Illinois:
5.000%, 3/1/2017		1,250,000	1,250,000
5.000%, 4/1/2017		500,000	501,320
5.000%, 5/1/2017		500,000	502,710
5.000%, 1/1/2018		2,000,000	2,050,960
5.000%, 2/1/2018		500,000	513,880
Tender Option Bond Trust Receipts/Certificates, 0.840%, 6/15/2032, Call 6/15/2026 (6) (8)		4,655,000	4,655,000
Village of Franklin Park, BAM, 4.000%, 10/1/2017		95,000	96,670
Village of Gilberts, BAM, 1.500%, 3/1/2017		300,000	300,000
Village of Lansing, AGM, 3.000%, 3/1/2017		860,000	860,000
Village of Plainfield, 2.000%, 12/15/2017		130,000	131,226
Village of Rantoul, AGM:
2.000%, 1/1/2018		100,000	100,648
2.000%, 1/1/2019		150,000	151,482
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2017		1,030,000	1,038,230
			41,519,643
Indiana — 5.2%
Center Grove Community School Corp., 2.000%, 7/1/2017		500,000	501,070
City of Indianapolis Department of Public Utilities, NATL-RE, 3.500%, 6/1/2017		200,000	201,314
Clark-Pleasant Community School Building Corp., SAW, 4.000%, 1/15/2018		910,000	933,251
Hamilton Southeastern Consolidated School Building Corp., 5.000%, 1/15/2018		900,000	931,536
Indiana Finance Authority:
0.900%, 3/1/2017 (8)		3,500,000	3,500,000
5.000%, 3/1/2017		930,000	930,000
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC COLL, 0.870%, 7/1/2039, Call 3/31/2017 (8)		14,400,000	14,400,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2017		1,000,000	1,010,350
Tender Option Bond Trust Receipts/Certificates, 0.990%, 4/15/2018 (6) (8)		8,500,000	8,500,000
Whitley County Multi School Building Corp.:
3.000%, 7/15/2017		410,000	413,579
3.000%, 1/15/2018		250,000	254,565
			31,575,665
Iowa — 1.2%
City of Altoona, 3.000%, 6/1/2018		220,000	225,012
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 3/1/2018		3,000,000	2,979,150
2.000%, 12/1/2018, Call 6/1/2018		3,500,000	3,526,215
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018		405,000	402,780
Xenia Rural Water District:
2.000%, 12/1/2017		125,000	125,294
2.000%, 12/1/2018		225,000	225,497
			7,483,948
Kansas — 0.4%
Bourbon County Unified School District No. 234-Fort Scott, 3.000%, 9/1/2017		745,000	752,778
Kansas Turnpike Authority, 5.000%, 9/1/2017		1,000,000	1,020,880
Wyandotte County-Kansas City Unified Government, 4.000%, 8/1/2017		900,000	911,682
			2,685,340
Kentucky — 0.3%
Commonwealth of Kentucky, 2.000%, 6/15/2017		275,000	276,031
Kentucky State Property & Building Commission, 5.250%, 10/1/2017		425,000	435,927
Louisville/Jefferson County Metropolitan Government, 4.000%, 11/15/2017		1,000,000	1,023,210
			1,735,168
Louisiana — 2.4%
East Baton Rouge Sewerage Commission, 1.046%, 8/1/2018, Call 2/1/2018 (8)	��	6,090,000	6,059,672
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020		715,000	691,212
Louisiana Public Facilities Authority, 0.890%, 7/1/2021, Call 3/2/2017 (8)		1,415,000	1,415,000
Parish of St. James, 0.800%, 11/1/2040, Call 3/1/2017 (8)		4,000,000	4,000,000
State of Louisiana, 1.016%, 5/1/2018, Call 11/1/2017 (8)		2,500,000	2,483,100
			14,648,984
Maine — 0.1%
City of Portland:
5.000%, 1/1/2018		285,000	293,217
5.000%, 1/1/2019		305,000	322,748
			615,965

Massachusetts — 0.3%
Commonwealth of Massachusetts, 1.150%, 11/1/2018, Call 11/1/2017 (8)	750,000		750,270
Marthas Vineyard Land Bank, BAM, 4.000%, 5/1/2018 (9)	500,000		516,855
Massachusetts Development Finance Agency, 1.120%, 1/29/2020, Call 8/1/2019 (8)	500,000		498,060
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.999%, 7/1/2018, Call 3/7/2017 (8) (14)	125,000		122,579
			1,887,764
Michigan — 3.8%
Boyne City Public School District, 1.500%, 5/1/2019	1,265,000		1,270,642
Chippewa Hills School District, Q-SBLF, 4.000%, 5/1/2017	735,000		738,785
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	100,000		105,837
Fitzgerald Public School District, BAM, 4.000%, 5/1/2017	985,000		989,570
Grand Traverse County Hospital Finance Authority:
3.000%, 7/1/2017	320,000		322,307
4.000%, 7/1/2017	255,000		257,672
Harbor Beach Community School District, Q-SBLF, 2.000%, 5/1/2017	75,000		75,152
Healthsource Saginaw, Inc., 4.000%, 5/1/2017	200,000		201,088
Michigan Finance Authority:
5.000%, 11/15/2017	500,000		514,195
5.000%, 11/15/2018	500,000		531,605
5.000%, 11/15/2019	400,000		433,136
Michigan State Building Authority, 5.000%, 10/15/2017	30,000		30,771
Mount Clemens Community School District, Q-SBLF, 4.000%, 5/1/2017	1,655,000		1,663,308
Rib Floater Trust Various States, 0.790%, 7/1/2018 (6) (8)	5,000,000		5,000,000
Roseville Community Schools, Q-SBLF, 5.000%, 5/1/2017	250,000		251,668
Star International Academy, 3.400%, 3/1/2017	375,000		375,000
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 3/31/2017	785,000		786,931
4.000%, 5/1/2021, Call 3/31/2017	600,000		601,476
Tender Option Bond Trust Receipts/Certificates, AGM Q-SBLF, 0.790%, 5/1/2029, Call 5/1/2017 (6) (8)	5,220,000		5,220,000
Waterford School District, AGM, 5.000%, 8/1/2017	870,000		884,781
Wayne County Airport Authority, 5.000%, 12/1/2017	250,000		257,358
Wayne-Westland Community Schools, Q-SBLF, 5.000%, 5/1/2017	1,060,000		1,067,039
White Cloud Public Schools, Q-SBLF:
4.000%, 5/1/2017	245,000		246,242
4.000%, 5/1/2018	215,000		222,196
4.000%, 5/1/2019	175,000		185,227
Zeeland Public Schools, 4.000%, 5/1/2017	500,000		502,740
			22,734,726
Minnesota — 1.9%		��
City of Hayward, 2.750%, 11/1/2017, Call 5/1/2017	2,000,000		2,006,600
City of Minneapolis, 1.000%, 12/1/2017, Call 4/1/2017	3,225,000		3,225,226
Minnesota Rural Water Finance Authority, Inc., 2.000%, 10/1/2017	3,000,000		3,017,610
St. Paul Housing & Redevelopment Authority, 0.850%, 6/1/2017, Call 3/14/2017	3,000,000		3,000,240
			11,249,676
Mississippi — 1.2%
City of Jackson, BAM, 3.000%, 9/1/2017	375,000		378,521
Mississippi Business Finance Corp., 0.950%, 5/1/2037, Call 5/1/2017 (8)	6,775,000		6,775,610
Mississippi Development Bank, 5.000%, 4/1/2018	300,000		312,267
			7,466,398
Missouri — 0.6%
Health & Educational Facilities Authority of the State of Missouri, 4.000%, 2/1/2018	500,000		511,035
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	235,000		243,152
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.155%, 12/1/2022, Call 3/1/2017 (8) (14)	1,750,000		1,610,266
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2017	1,000,000		1,001,190
			3,365,643
Nebraska — 0.6%
Central Plains Energy Project, 5.000%, 6/1/2017	3,000,000		3,031,650
City of La Vista, 1.000%, 3/15/2018, Call 3/31/2017	500,000		499,385
			3,531,035

Nevada — 0.2%
State of Nevada:
5.000%, 6/1/2017	475,000	480,130
5.000%, 12/1/2017	550,000	567,606
		1,047,736
New Jersey — 6.3%
City of Margate City, 5.000%, 2/1/2018	200,000	207,386
County of Middlesex, 3.000%, 6/15/2017	1,625,000	1,635,920
Hudson County Improvement Authority, County Guarantee, 2.000%, 6/27/2017	1,000,000	1,003,460
New Jersey Economic Development Authority:
0.930%, 11/1/2040, Call 3/1/2017 (8)	5,770,000	5,770,000
0.930%, 11/1/2040, Call 3/1/2017 (8)	4,700,000	4,700,000
0.940%, 11/1/2031, Call 3/1/2017 (8)	5,895,000	5,895,000
2.440%, 2/1/2018, Call 8/1/2017 (8)	500,000	502,465
2.446%, 2/1/2018, Call 8/1/2017 (8)	1,750,000	1,758,785
5.000%, 6/15/2017	250,000	252,220
New Jersey Educational Facilities Authority, 3.000%, 7/1/2017	125,000	125,860
New Jersey Health Care Facilities Financing Authority:
0.930%, 7/1/2038, Call 3/1/2017 (8)	3,700,000	3,700,000
0.960%, 7/1/2028, Call 3/1/2017 (8)	300,000	300,000
1.070%, 7/1/2018, Call 3/1/2017 (8)	100,000	100,000
New Jersey Transportation Trust Fund Authority:
1.640%, 12/15/2019, Call 6/15/2019 (8)	5,000,000	4,926,600
5.000%, 12/15/2017	1,200,000	1,236,384
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	264,205
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	135,000	139,618
New Jersey Turnpike Authority, 1.320%, 1/1/2018, Call 7/1/2017 (8)	200,000	200,198
Newark Housing Authority, 4.000%, 12/1/2017	100,000	102,385
Tender Option Bond Trust Receipts/Certificates, 0.810%, 1/1/2043, Call 7/1/2022 (6) (8)	5,000,000	5,000,000
		37,820,486
New Mexico — 0.9%
New Mexico Municipal Energy Acquisition Authority, 1.273%, 8/1/2019, Call 2/1/2019 (8)	5,500,000	5,487,570
New York — 8.5%
Albany Capital Resource Corp., 3.000%, 12/1/2017	115,000	116,804
Albany Industrial Development Agency, 0.950%, 7/1/2032, Call 3/2/2017 (8)	1,240,000	1,240,000
Chautauqua County Capital Resource Corp., 1.300%, 11/1/2018 (8)	775,000	768,808
City of New York:
0.850%, 8/1/2026, Call 3/7/2017 (8) (14)	50,000	50,000
5.000%, 8/1/2017	250,000	254,455
City of New York, AGC, 0.890%, 10/1/2021, Call 3/6/2017 (8) (14)	100,000	100,000
City of New York, AGM, 0.790%, 11/1/2026 (8)	4,300,000	4,300,000
City of Schenectady, BAM, 3.125%, 5/15/2017	300,000	301,521
County of Monroe, AGM NATL-RE, 6.000%, 3/1/2017	100,000	100,000
Long Island Power Authority, 1.196%, 11/1/2018, Call 5/1/2018 (8)	1,600,000	1,601,520
Metropolitan Transportation Authority, 1.223%, 2/1/2020 (8)	3,500,000	3,485,510
Metropolitan Transportation Authority, AGM, 1.138%, 5/15/2018, Call 11/15/2017 (8)	4,650,000	4,651,813
New York City Transitional Finance Authority:
0.780%, 11/1/2022 (8)	3,795,000	3,795,000
0.790%, 8/1/2022, Call 3/1/2017 (8)	3,320,000	3,320,000
0.790%, 8/1/2023, Call 3/1/2017 (8)	6,550,000	6,550,000
New York City Water & Sewer System, 0.620%, 6/15/2039, Call 3/1/2017 (8)	1,600,000	1,600,000
New York State Dormitory Authority:
4.000%, 12/1/2018 (6)	1,000,000	1,035,140
5.000%, 7/1/2017	960,000	973,354
New York State Energy Research & Development Authority, NATL-RE, 1.120%, 12/1/2020, Call 3/7/2017 (8) (14)	7,350,000	7,079,763
State of New York, NATL-RE FGIC:
1.007%, 2/15/2022, Call 3/2/2017 (8) (14)	1,480,000	1,437,966
1.007%, 2/13/2032, Call 3/2/2017 (8) (14)	1,345,000	1,256,397
Town of Oyster Bay:
3.500%, 2/2/2018	1,380,000	1,392,310
3.500%, 6/1/2018	500,000	504,240
Triborough Bridge & Tunnel Authority, 1.223%, 2/1/2021 (8)	5,000,000	4,997,300
Upper Mohawk Valley Regional Water Finance Authority, 4.000%, 4/1/2018	65,000	67,113

Village of Freeport, AGM, 3.000%, 5/1/2017	100,000	100,367
		51,079,381
North Carolina — 0.3%
North Carolina Medical Care Commission, 0.960%, 6/1/2029, Call 6/1/2020 (6) (8)	1,000,000	1,000,000
University of North Carolina at Chapel Hill, 1.273%, 12/1/2017, Call 6/1/2017 (8)	925,000	925,065
		1,925,065
North Dakota — 0.9%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2017	545,000	546,815
4.000%, 5/1/2018	565,000	576,712
4.000%, 5/1/2019	590,000	608,615
City of Grand Forks, 5.000%, 12/15/2017	850,000	877,608
City of Williston, AGM, 2.650%, 11/1/2020, Call 3/31/2017	1,100,000	1,100,627
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 3/16/2017	1,865,000	1,854,108
		5,564,485
Ohio — 4.5%
City of Chillicothe, 2.000%, 9/8/2017	570,000	572,497
County of Crawford, 1.430%, 11/1/2017, Call 5/1/2017	5,000,000	5,002,150
County of Hamilton, 4.000%, 1/1/2018	250,000	254,245
County of Montgomery, 0.580%, 11/15/2039, Call 3/1/2017 (8)	3,850,000	3,850,000
Lancaster Port Authority, 1.243%, 8/1/2019, Call 2/1/2019 (8)	5,000,000	4,976,250
Ohio Higher Educational Facility Commission, 0.670%, 1/15/2046, Call 3/31/2017 (8)	1,872,000	1,872,000
State of Ohio:
0.870%, 1/15/2045, Call 3/1/2017 (8)	5,500,000	5,500,000
1.100%, 1/15/2045, Call 3/1/2017 (8)	5,000,000	5,000,000
		27,027,142
Oklahoma — 0.0%
Oklahoma Municipal Power Authority, 1.440%, 8/1/2018, Call 2/1/2018 (8)	130,000	130,179
Oregon — 0.1%
Port of Morrow:
2.000%, 6/1/2017	200,000	200,568
2.000%, 6/1/2017	75,000	75,213
2.000%, 6/1/2018	70,000	70,811
		346,592
Pennsylvania — 5.5%
Bethlehem Area School District, SAW, 0.976%, 1/1/2018, Call 7/1/2017 (8)	3,070,000	3,057,137
Bethlehem Area Vocational Technical School Authority, MAC SAW, 1.500%, 9/15/2017	185,000	185,608
City of Philadelphia, 4.000%, 8/1/2018	2,000,000	2,077,240
Jim Thorpe Area School District, BAM SAW, 3.000%, 3/15/2017	180,000	180,135
Mount Pleasant Area School District, 0.000%, 5/15/2017	965,000	963,668
North Penn Water Authority, 1.023%, 11/1/2019, Call 5/1/2019 (8)	2,000,000	1,992,440
Old Forge School District, BAM SAW:
1.000%, 5/1/2017	185,000	184,980
1.180%, 5/1/2018	200,000	199,632
2.000%, 5/1/2019	500,000	503,800
Pennsylvania Economic Development Financing Authority, 1.100%, 4/3/2017 (8)	2,500,000	2,500,000
Pennsylvania Higher Educational Facilities Authority:
0.875%, 2/1/2018, Call 8/1/2017	2,300,000	2,297,286
1.200%, 11/1/2017 (8)	2,200,000	2,196,524
Pennsylvania Turnpike Commission:
1.090%, 12/1/2017, Call 6/1/2017 (8)	560,000	559,300
1.240%, 12/1/2017, Call 6/1/2017 (8)	100,000	99,994
1.320%, 12/1/2018, Call 6/1/2018 (8)	6,000,000	6,004,080
1.520%, 12/1/2020, Call 6/1/2020 (8)	1,800,000	1,808,136
1.790%, 12/1/2019, Call 6/1/2019 (8)	2,225,000	2,248,830
Pennsylvania Turnpike Commission, AGC, 5.000%, 6/1/2017	600,000	606,102
Philadelphia Authority for Industrial Development, 4.000%, 10/1/2017	1,250,000	1,271,612
Scranton School District, AGM SAW, 2.000%, 6/15/2017	250,000	250,575
Scranton School District, SAW, 1.530%, 4/2/2018, Call 10/2/2017 (8)	3,000,000	2,995,470
Tunkhannock Area School District, BAM SAW, 2.000%, 1/15/2018	125,000	126,054
University Area Joint Authority, 1.040%, 11/1/2017, Call 5/1/2017 (8)	1,070,000	1,063,109
Wayne Highlands School District, BAM, 3.000%, 4/1/2017	120,000	120,221
		33,491,933

Puerto Rico — 0.0%
Puerto Rico Electric Power Authority, 0.000%, 7/1/2017	190,000	189,589
Puerto Rico Electric Power Authority, NATL-RE, 0.000%, 7/1/2017	15,000	14,968
		204,557
Rhode Island — 0.3%
Rhode Island Health & Educational Building Corp., 5.000%, 5/15/2018	1,000,000	1,036,340
Rhode Island Health & Educational Building Corp., NATL-RE, 5.500%, 4/1/2017	1,000,000	1,003,520
		2,039,860
South Carolina — 0.2%
Town of Hilton Head Island, SAW, 4.000%, 10/5/2017	1,000,000	1,017,820
Tennessee — 0.8%
Tender Option Bond Trust Receipts/Certificates, 0.870%, 7/1/2046, Call 7/1/2026 (6) (8)	5,000,000	5,000,000
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	120,000	124,400
		5,124,400
Texas — 8.3%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (8)	2,000,000	1,996,480
City of Houston:
1.390%, 6/1/2017, Call 3/31/2017 (8)	300,000	299,862
4.000%, 9/1/2017	200,000	203,032
City of Lewisville, AGM:
2.000%, 9/1/2017	335,000	336,782
4.000%, 9/1/2018	340,000	354,317
Clear Brook City Municipal Utility District, BAM, 2.000%, 2/1/2018	220,000	221,569
County of Bexar, AGM, 4.000%, 8/15/2017	370,000	375,476
Crane County Water District, 4.000%, 2/15/2019	1,000,000	1,053,210
Denton County Fresh Water Supply District No. 7, AGM:
2.000%, 2/15/2018	465,000	468,855
2.000%, 2/15/2019	240,000	243,782
Fort Bend County Municipal Utility District No. 138, BAM, 2.000%, 9/1/2017	200,000	201,024
Fort Bend County Municipal Utility District No. 151, MAC, 2.000%, 9/1/2017	180,000	180,779
Fort Bend County Municipal Utility District No. 50, MAC, 2.000%, 9/1/2017	340,000	341,455
Goose Creek Consolidated Independent School District, PSF, 1.350%, 8/15/2018 (8)	700,000	701,505
Gulf Coast Industrial Development Authority, 0.720%, 11/1/2019, Call 3/1/2017 (8)	2,350,000	2,350,000
Harris County Municipal Utility District No. 371, BAM:
2.000%, 9/1/2018	290,000	292,996
2.000%, 9/1/2019	295,000	298,236
Harris County Municipal Utility District No. 468, AGM, 2.000%, 9/1/2017	100,000	100,566
Houston Independent School District, 5.000%, 9/15/2017	2,025,000	2,071,717
Houston Independent School District, PSF, 2.000%, 6/1/2017 (8)	1,025,000	1,027,788
Katy Independent School District, PSF, 5.000%, 2/15/2018	1,000,000	1,039,760
Mansfield Independent School District, PSF, 1.750%, 8/1/2017 (8)	415,000	416,461
New Hope Cultural Education Facilities Finance Corp., 1.000%, 2/1/2018, Call 8/1/2017	2,000,000	1,992,960
North Texas Tollway Authority:
6.000%, 1/1/2020, Call 1/1/2018	220,000	229,249
6.000%, 1/1/2020, Call 1/1/2018	30,000	31,228
Northside Independent School District, PSF:
1.200%, 8/1/2017 (8)	90,000	90,114
2.125%, 8/1/2020, Call 8/1/2017 (8)	1,940,000	1,948,517
Port of Port Arthur Navigation District:
0.700%, 12/1/2039, Call 3/1/2017 (8)	11,100,000	11,100,000
0.700%, 11/1/2040, Call 3/1/2017 (8)	2,500,000	2,500,000
Spring Creek Utility District of Montgomery County, BAM, 2.000%, 10/1/2017	375,000	376,958
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	2,525,000	2,527,070
4.000%, 9/1/2017	550,000	558,531
5.000%, 10/1/2017	1,025,000	1,050,307
5.250%, 8/15/2028, Call 8/15/2018	230,000	243,931
Tender Option Bond Trust Receipts/Certificates, 0.920%, 7/1/2021 (6) (8)	11,950,000	11,950,000
Texas Municipal Gas Acquisition & Supply Corp. II:
1.110%, 9/15/2017 (8)	50,000	49,976
1.346%, 9/15/2017 (8)	840,000	840,050
Trail of the Lakes Municipal Utility District, BAM, 5.000%, 4/1/2019	120,000	128,406
Travis County Water Control & Improvement District No. 17, BAM, 0.000%, 11/1/2017	250,000	248,048
		50,440,997

Utah — 0.7%
Tender Option Bond Trust Receipts/Certificates, 0.840%, 1/1/2025 (6) (8)		2,500,000	2,500,000
Utah Associated Municipal Power Systems, 5.000%, 6/1/2017		1,670,000	1,686,867
			4,186,867
Virginia — 0.4%
Peninsula Ports Authority, 1.550%, 10/1/2019 (8)		1,000,000	985,770
Virginia Small Business Financing Authority, 5.000%, 11/1/2017		1,215,000	1,249,470
			2,235,240
Washington — 3.2%
County of Skagit, 2.000%, 12/1/2018		485,000	493,701
Pierce County School District No 10 Tacoma, 5.000%, 12/1/2017		2,280,000	2,352,641
Tender Option Bond Trust Receipts/Certificates:
0.770%, 6/15/2033, Call 6/1/2019 (6) (8)		5,050,000	5,050,000
0.940%, 1/1/2035 (6) (8)		5,000,000	5,000,000
Washington Biomed Research Properties 3.2, 5.000%, 1/1/2019		500,000	536,315
Washington Health Care Facilities Authority:
0.610%, 8/15/2041, Call 3/1/2017 (8)		6,000,000	6,000,000
2.500%, 12/1/2017 (6)		200,000	200,048
			19,632,705
West Virginia — 0.0%
Berkeley County Building Commission, 3.000%, 9/1/2017		50,000	50,559
Wisconsin — 2.5%
City of South Milwaukee, 4.000%, 9/1/2017, Call 3/31/2017		100,000	100,263
City of Waukesha, 2.000%, 7/1/2017, Call 4/1/2017		8,670,000	8,677,803
County of Langlade:
2.000%, 10/1/2017		365,000	365,938
2.000%, 10/1/2018		100,000	100,356
Hilbert School District, 2.100%, 4/1/2019, Call 4/1/2018		1,580,000	1,592,466
Town of Freedom, 2.000%, 10/1/2018, Call 4/1/2017		1,170,000	1,170,714
Town of Salem, 1.375%, 11/1/2018, Call 11/1/2017		1,690,000	1,691,487
Town of Somers, 4.000%, 8/1/2017		435,000	439,324
Wisconsin Center District, 3.000%, 12/15/2017		635,000	643,426
Wisconsin Health & Educational Facilities Authority:
3.000%, 8/15/2017		410,000	412,632
5.000%, 8/15/2021, Call 8/15/2018		150,000	158,147
			15,352,556
Total Municipals (identified cost $578,426,604)			578,412,662
Mutual Funds — 0.3%
New York — 0.3%
Nuveen New York AMT-Free Municipal Income Fund, Preferred Shares, 1.260%, 10/1/2017, Call 3/31/2017 (6) (8)		2,000,000	2,000,140
Total Mutual Funds (identified cost $2,000,000)			2,000,140
Short-Term Investments — 4.6%
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 0.370% (4)		44,454	44,454
Short-Term Municipals — 4.6%
California — 0.1%
California Municipal Finance Authority, 5.000%, 2/1/2018	$	500,000	516,835
Connecticut — 0.2%
Town of Manchester, 2.000%, 2/21/2018		1,000,000	1,008,650
Illinois — 0.1%
Illinois Finance Authority, 5.000%, 8/15/2017		500,000	507,270
Massachusetts — 0.1%
Marthas Vineyard Land Bank, BAM, 2.000%, 5/1/2017 (9)		850,000	851,547

New Jersey — 1.2%
Passaic County Improvement Authority, County Guarantee:
2.000%, 6/28/2017	5,000,000		5,017,950
2.500%, 6/28/2017 (9)	2,000,000		2,010,380
			7,028,330
New York — 1.4%
County of Suffolk, 2.000%, 7/26/2017	4,500,000		4,518,900
Owego Apalachin Central School District, SAW, 1.300%, 2/22/2018, Call 11/15/2017	4,000,000		4,001,400
			8,520,300
Ohio — 1.2%
City of Cleveland Heights, 1.750%, 7/26/2017	725,000		726,385
City of Tipp, 1.750%, 2/14/2018	4,000,000		4,016,920
Winton Woods City School District, 1.750%, 7/27/2017	2,500,000		2,508,275
			7,251,580
Wisconsin — 0.3%
County of Manitowoc, 3.000%, 11/1/2017, Call 5/1/2017	1,000,000		1,003,510
Sun Prairie Area School District, 2.000%, 6/1/2017, Call 4/3/2017	750,000		750,825
			1,754,335
Total Short-Term Municipals			27,438,847
Total Short-Term Investments (identified cost $27,480,845)			27,483,301
Total Investments — 100.6% (identified cost $607,907,449)			607,896,103
Other Assets and Liabilities — (0.6)%			(3,625,520	)
Total Net Assets — 100.0%		$	604,270,583

(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 28, 2017, these securities amounted to:

Fund	Amount	% of Total Net Assets
Ultra Short Tax-Free Fund	$100,510,321	16.63%

(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 28, 2017.

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

(14) 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 28, 2017

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 98.7%
Alabama — 1.6%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018	$	1,000,000	$	1,057,800
Alabama State Docks Department, NATL-RE, 5.000%, 10/1/2019, Call 3/31/2017		100,000		100,321
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (8)		1,000,000		1,079,700
County of Jefferson, AGM, 1.553%, 2/1/2042, Call 3/9/2017 (8) (14)		259,832		224,533
Tuscaloosa City Board of Education:
5.000%, 8/1/2020		200,000		223,614
5.000%, 8/1/2021		175,000		199,920
				2,885,888
Alaska — 0.5%
Alaska Housing Finance Corp., NATL-RE, 5.250%, 12/1/2021, Call 12/1/2017		100,000		103,280
Alaska Industrial Development & Export Authority, 4.000%, 4/1/2017		200,000		200,504
City of Valdez, 5.000%, 1/1/2021		500,000		552,270
				856,054
Arizona — 2.4%
Arizona Health Facilities Authority:
2.490%, 2/5/2020, Call 8/9/2019 (8)		250,000		254,740
2.490%, 2/5/2020, Call 8/9/2019 (8)		250,000		254,740
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2017		130,000		131,786
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		516,187
Greater Arizona Development Authority, 5.000%, 8/1/2024, Call 8/1/2018		25,000		26,278
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (6)		185,000		183,144
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (6)		750,000		808,658
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021		500,000		496,540
2.875%, 7/1/2021 (6)		260,000		258,058
Phoenix Civic Improvement Corp., 5.500%, 7/1/2019 (17)		100,000		108,754
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		268,523
Scottsdale Industrial Development Authority, FSA, 0.880%, 9/1/2045, Call 3/7/2017 (8) (14)		575,000		575,000
State of Arizona, AGM, 5.000%, 7/1/2018		500,000		526,240
				4,408,648
Arkansas — 0.4%
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		175,000		174,797
City of Hot Springs, 5.000%, 12/1/2020		245,000		273,920
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021		160,000		160,043
DeWitt School District No. 1, SAW, 3.000%, 6/1/2017		100,000		100,570
				709,330
California — 12.2%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		556,760
Bay Area Toll Authority, 1.740%, 4/1/2024, Call 10/1/2023 (8)		500,000		505,275
BB&T Municipal Trust, 1.440%, 11/15/2019 (6) (8)		500,000		501,595
California Health Facilities Financing Authority, NATL-RE:
0.975%, 7/15/2018, Call 3/16/2017 (8) (14)		100,000		98,069
1.208%, 7/1/2022, Call 3/1/2017 (8) (14)		500,000		473,422
California Housing Finance Agency, AGM GO, 1.785%, 2/1/2037, Call 3/2/2017 (8) (14)		10,000		9,676
California Municipal Finance Authority:
1.200%, 2/1/2018 (8)		1,000,000		1,000,900
5.000%, 2/1/2022		1,000,000		1,130,640
California Pollution Control Financing Authority, 0.950%, 5/1/2017 (6) (8)		1,000,000		1,000,100
California Public Finance Authority:
5.000%, 10/15/2021		350,000		387,919
5.000%, 10/15/2022		300,000		334,569
California School Finance Authority, 4.000%, 8/1/2018 (6)		300,000		307,923

California State Public Works Board:
5.000%, 4/1/2020	320,000	356,323
5.000%, 11/1/2020, Call 11/1/2019	35,000	38,241
5.125%, 10/1/2022, Call 10/1/2019	245,000	267,567
California Statewide Communities Development Authority:
3.500%, 11/1/2018	100,000	100,847
5.000%, 12/1/2025 (6)	200,000	220,676
California Statewide Communities Development Authority, AGM, 3.000%, 10/1/2017	200,000	201,904
California Statewide Communities Development Authority, CMI:
2.500%, 8/1/2020, Call 3/31/2017	500,000	500,600
3.500%, 11/1/2021, Call 11/1/2019	750,000	786,967
California Statewide Communities Development Authority, NATL-RE, 2.018%, 4/1/2028 (8) (14)	75,000	66,126
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	754,738
Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2019, Call 3/31/2017	250,000	252,995
City of Redding, NATL-RE, 1.260%, 7/1/2022 (8) (14)	150,000	142,849
County of San Joaquin, 4.000%, 4/1/2019	225,000	237,269
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	522,805
Lynwood Unified School District, 5.000%, 8/1/2017	500,000	508,180
Mendota Unified School District, 0.000%, 8/1/2018, Call 3/31/2017	350,000	335,269
Northern California Gas Authority No. 1:
1.269%, 7/1/2017 (8)	40,000	40,020
1.299%, 7/1/2019 (8)	1,040,000	1,032,481
Palomar Health, 5.000%, 11/1/2022	375,000	415,207
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	448,055
State of California:
1.246%, 12/1/2017, Call 6/1/2017 (8)	250,000	250,343
1.376%, 12/3/2018, Call 6/1/2018 (8)	610,000	613,093
1.540%, 5/1/2018, Call 11/1/2017 (8)	180,000	180,857
Stockton Unified School District, AGM, 5.000%, 8/1/2018, Call 8/1/2017	200,000	203,556
Tender Option Bond Trust, 0.840%, 8/1/2022 (6) (8)	2,000,000	2,000,000
Tender Option Bond Trust, AMBAC, 0.890%, 9/1/2030, Call 3/31/2017 (6) (8)	5,000,000	5,000,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2017 (8)	220,000	220,044
		22,003,860
Colorado — 4.8%
Auraria Higher Education Center:
6.000%, 5/1/2018	169,000	178,545
6.000%, 5/1/2019	178,000	195,086
City of Burlington, 3.000%, 11/1/2019	100,000	103,420
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (6)	590,000	587,941
3.000%, 10/1/2017	380,000	384,298
3.000%, 11/15/2017	200,000	203,050
5.000%, 10/1/2021	1,000,000	1,111,150
Colorado Health Facilities Authority:
4.000%, 12/1/2018	250,000	258,175
4.500%, 2/1/2019	250,000	259,840
County of Montrose:
4.000%, 12/1/2018	175,000	180,813
4.000%, 12/1/2019	200,000	208,716
Denver Convention Center Hotel Authority, 5.000%, 12/1/2022	1,000,000	1,132,390
E-470 Public Highway Authority:
0.000%, 9/1/2021, Call 3/1/2021 (8) (9)	575,000	576,317
1.820%, 8/31/2017, Call 3/1/2017 (8)	550,000	550,000
El Paso County School District No. 20 Academy, SAW, 5.000%, 12/15/2022	1,000,000	1,184,040
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	553,865
University of Colorado Hospital Authority, 5.000%, 3/1/2022, Call 9/1/2021 (8)	750,000	847,290
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	135,195
		8,650,131
Connecticut — 0.8%
Connecticut State Health & Educational Facility Authority, 2.875%, 9/1/2020, Call 9/1/2017 (6)	250,000	250,165
Connecticut State Health & Educational Facility Authority, NATL-RE, 5.000%, 7/1/2023, Call 7/1/2017	150,000	152,112

State of Connecticut:
1.520%, 8/15/2018 (8)	250,000	251,243
1.560%, 5/15/2018 (8)	150,000	150,702
1.560%, 9/15/2019 (8)	115,000	115,324
5.000%, 3/15/2021	500,000	562,595
		1,482,141
Delaware — 0.1%
Delaware State Housing Authority, 4.800%, 1/1/2023, Call 7/1/2018	120,000	122,080
Florida — 5.7%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	550,375
5.000%, 4/1/2021	400,000	450,272
Citizens Property Insurance Corp., 4.250%, 6/1/2017	50,000	50,441
City of Miami Gardens, 3.000%, 7/1/2017	250,000	251,845
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	329,713
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	27,732
Columbia County School Board:
5.000%, 7/1/2019	920,000	991,613
5.000%, 7/1/2021	400,000	449,148
County of Broward, 5.000%, 10/1/2020	100,000	112,594
County of Miami-Dade, AGC, 5.000%, 6/1/2017	50,000	50,534
County of Okeechobee, 1.550%, 7/1/2021 (8)	800,000	800,072
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	337,482
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	75,000	77,630
Florida Municipal Power Agency, AMBAC, 1.138%, 10/1/2027, Call 3/1/2017 (8) (14)	575,000	540,149
Florida Municipal Power Agency, NATL-RE FGIC, 1.262%, 10/1/2027 (8) (14)	25,000	22,883
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	358,166
5.000%, 6/1/2021	300,000	336,441
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	44,533
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018	300,000	313,851
5.000%, 5/1/2019	225,000	242,982
Miami-Dade County School Board Foundation, Inc., AMBAC, 5.000%, 8/1/2023, Call 8/1/2018	100,000	104,896
Orange County Health Facilities Authority, 3.000%, 8/1/2017	350,000	352,530
Orlando Community Redevelopment Agency, 4.000%, 9/1/2017	55,000	55,609
Pinellas County Educational Facilities Authority, 5.000%, 10/1/2017	300,000	306,507
Pinellas County Health Facilities Authority, NATL-RE, 1.071%, 11/15/2023, Call 3/1/2017 (8) (14)	175,000	165,905
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	547,200
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,082,870
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (6)	250,000	262,885
Sumter County Industrial Development Authority:
4.000%, 7/1/2017	500,000	505,155
5.000%, 7/1/2020	235,000	258,617
5.000%, 7/1/2020	300,000	330,150
Tampa Bay Water:
5.000%, 10/1/2017	15,000	15,363
5.000%, 10/1/2017	25,000	25,605
		10,351,748
Georgia — 3.0%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	546,690
Burke County Development Authority, 1.650%, 6/18/2021 (8)	250,000	245,303
City of Atlanta:
2.022%, 11/1/2018, Call 5/1/2018 (8)	250,000	252,160
5.000%, 1/1/2021	250,000	280,345
5.000%, 1/1/2022	700,000	797,202
6.000%, 11/1/2029, Call 11/1/2019	290,000	326,833
County of DeKalb, 5.000%, 10/1/2020	150,000	168,891
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	461,563
Gainesville & Hall County Hospital Authority:
1.590%, 2/18/2020, Call 8/22/2019 (8)	350,000	348,792
5.000%, 2/15/2021	700,000	786,737
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019	1,000,000	1,061,740
5.250%, 9/15/2018	100,000	105,569
		5,381,825

Guam — 0.6%
Territory of Guam:
5.000%, 12/1/2021	500,000	557,235
5.000%, 12/1/2022	500,000	562,495
		1,119,730
Idaho — 0.1%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	162,384
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	81,098
		243,482
Illinois — 13.6%
Bureau & Putnam Counties High School District No. 500 Princeton Township, BAM, 2.000%, 12/1/2018	400,000	405,924
Chicago Board of Education, 4.640%, 3/1/2017 (8)	1,000,000	1,000,000
Chicago O’Hare International Airport:
5.000%, 1/1/2019	200,000	213,696
5.000%, 1/1/2021, Call 1/1/2018	100,000	103,423
5.000%, 1/1/2022	100,000	114,531
5.000%, 1/1/2022	200,000	229,062
Chicago Park District:
5.000%, 1/1/2022	250,000	277,527
5.000%, 1/1/2022	500,000	555,055
Chicago Transit Authority, 5.500%, 6/1/2019, Call 12/1/2018	105,000	110,931
City of Chicago:
5.000%, 1/1/2018	25,000	25,213
5.000%, 1/1/2018	25,000	25,213
5.000%, 1/1/2021	840,000	911,694
5.000%, 11/1/2021	1,000,000	1,111,650
City of Chicago, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	175,000	179,445
City of Peoria, 3.000%, 1/1/2019	300,000	308,355
City of Waukegan, 5.000%, 12/30/2020	250,000	276,117
Clyde Park District, AGM, 4.250%, 2/1/2019	340,000	350,533
Cook County School District No. 100 South Berwyn, BAM, 2.000%, 12/1/2017	65,000	65,490
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
0.000%, 12/1/2018	170,000	163,492
0.000%, 12/1/2019	100,000	93,535
Cook County Township High School District No. 220 Reavis, 4.000%, 12/1/2017	100,000	102,347
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,098,280
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019	250,000	269,885
5.000%, 11/15/2021	720,000	804,067
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2018	350,000	344,648
Du Page & Will Counties Community School District No. 204 Indian Prairie, 2.000%, 12/30/2019, Call 12/30/2017	575,000	578,335
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	980,000	979,922
1.896%, 5/1/2021, Call 11/1/2020 (8)	1,000,000	1,001,720
2.250%, 5/15/2017	225,000	225,074
2.500%, 5/15/2018	150,000	150,581
4.000%, 10/1/2018	275,000	282,458
5.000%, 7/1/2017	250,000	252,620
5.000%, 2/15/2018	40,000	41,501
5.000%, 1/1/2021	200,000	220,134
5.000%, 11/15/2021	400,000	455,492
5.000%, 1/1/2022	150,000	167,022
5.000%, 11/15/2022	555,000	639,088
5.000%, 11/15/2022	500,000	576,625
5.500%, 8/15/2018	100,000	106,132
Illinois Finance Authority, AGM:
0.000%, 1/1/2018	40,000	39,707
0.000%, 1/1/2018	55,000	54,275
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 3/31/2017	165,000	165,457
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,143,510
Kendall, Kane, & Will Counties Community Unit School District No. 308, NATL-RE FGIC, 4.250%, 10/1/2020, Call 10/1/2017	50,000	50,779
Lake County Forest Preserve District, 1.126%, 12/15/2020 (8)	300,000	298,854

Marion-Clinton Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	190,565
McHenry & Lake Counties Community Consolidated School District No. 15, AGM, 0.000%, 1/1/2018	100,000	98,746
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	30,000	27,338
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	418,044
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2018	40,000	41,714
Rib Floater Trust Various States, 0.940%, 4/1/2036, Call 4/1/2027 (6) (8)	1,710,000	1,710,000
Rock Island County Public Building Commission, 3.700%, 12/1/2018	145,000	146,821
Southwestern Illinois Development Authority, AGM, 5.250%, 2/1/2023, Call 3/31/2017	250,000	250,820
State of Illinois:
3.875%, 9/1/2017	100,000	101,076
5.000%, 5/1/2017	250,000	251,355
5.000%, 1/1/2018	1,000,000	1,025,480
5.000%, 4/1/2020	100,000	105,414
5.000%, 2/1/2021	240,000	254,215
State of Illinois, NATL-RE FGIC, 5.500%, 6/15/2017	30,000	30,401
Town of Cicero, 5.000%, 1/1/2020	500,000	538,020
Village of Round Lake Beach:
2.000%, 1/1/2018	275,000	277,079
2.000%, 1/1/2018	205,000	206,550
Wayne County Public School District No. 112 Fairfield, 3.000%, 12/1/2017	80,000	81,225
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,167,220
Will County Community High School District No. 210 Lincoln-Way, 4.000%, 1/1/2022, Call 1/1/2019	1,000,000	956,280
Will County School District No. 159 Mokena, 2.000%, 12/1/2018	110,000	111,821
		24,559,583
Indiana — 3.4%
Center Grove Community School Corp., 2.000%, 1/1/2018	505,000	507,480
City of Whiting, 1.850%, 10/1/2019 (8)	1,000,000	999,740
County of Lake, 2.000%, 7/15/2017	245,000	245,669
Hammond Local Public Improvement Bond Bank, 5.000%, 8/1/2018, Call 2/1/2018	150,000	153,185
Indiana Finance Authority:
4.000%, 10/1/2017	250,000	253,870
5.000%, 5/1/2020	100,000	110,568
5.000%, 8/15/2020	250,000	271,252
5.000%, 9/1/2022	525,000	597,481
5.250%, 10/1/2022, Call 10/1/2021	150,000	173,068
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC COLL, 0.870%, 7/1/2039, Call 3/31/2017 (8)	2,400,000	2,400,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	110,840
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	273,655
		6,096,808
Iowa — 1.1%
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 6/1/2018	1,000,000	1,007,490
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018	1,000,000	994,520
		2,002,010
Kansas — 0.4%
Bourbon County Unified School District No. 234 Fort Scott, 5.000%, 9/1/2020	420,000	468,800
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	95,144
Kansas Development Finance Authority, BAM, 5.000%, 12/1/2019	200,000	216,380
		780,324
Kentucky — 1.1%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	581,010
Kentucky Asset Liability Commission, NATL-RE, 1.090%, 11/1/2017 (8)	35,000	34,967
Kentucky Interlocal School Transportation Association, 2.000%, 3/1/2019	495,000	497,510
Kentucky State Property & Building Commission:
5.375%, 11/1/2023, Call 11/1/2018	5,000	5,332
5.375%, 11/1/2023, Call 11/1/2018	20,000	21,427
Lexington Center Corp., AGC, 4.100%, 10/1/2020, Call 10/1/2017	265,000	269,441
Louisville—Jefferson County Metropolitan Government, 5.000%, 10/1/2020	550,000	608,091
		2,017,778
Louisiana — 0.7%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	447,524
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	35,000	33,836

Louisiana Local Government Environmental Facilities & Community Development Authority, 1.246%, 8/1/2018, Call 2/1/2018 (8)	450,000	448,749
Louisiana Public Facilities Authority, AMBAC, 1.260%, 9/1/2027, Call 4/4/2017 (8) (14)	50,000	46,003
St. Charles Parish Consolidated Waterworks & Wastewater District No. 1, AMBAC, 5.000%, 7/1/2025, Call 7/1/2017	100,000	101,408
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	122,347
		1,199,867
Maine — 0.7%
City of Portland:
4.000%, 7/1/2019	130,000	136,488
4.000%, 7/1/2020	110,000	117,064
Tender Option Bond Trust, 0.740%, 6/21/2033, Call 7/1/2019 (6) (8)	1,000,000	1,000,000
		1,253,552
Maryland — 0.1%
City of Baltimore, 0.842%, 7/1/2037, Call 3/1/2017 (8) (14)	25,000	22,399
City of Baltimore, NATL-RE, 1.268%, 7/1/2020 (8) (14)	50,000	47,589
Howard County Housing Commission, 1.890%, 7/1/2018, Call 1/1/2018 (8)	150,000	150,073
Maryland Community Development Administration, GNMA/FNMA, 4.500%, 3/1/2027, Call 3/1/2021	35,000	36,271
		256,332
Massachusetts — 0.7%
Commonwealth of Massachusetts, NATL-RE FGIC, 0.840%, 12/1/2030, Call 3/2/2017 (8) (14)	100,000	92,290
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	430,000	452,919
5.000%, 7/1/2021	280,000	314,404
5.000%, 7/1/2022	315,000	357,745
Massachusetts Municipal Wholesale Electric Co., MBIA, 0.999%, 7/1/2018, Call 3/7/2017 (8) (14)	75,000	73,548
		1,290,906
Michigan — 3.5%
Avondale School District, Q-SBLF, 5.000%, 11/1/2018	300,000	319,560
City of Detroit Water Supply System Revenue, BHAC, 4.000%, 7/1/2017	100,000	101,034
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	200,000	211,674
City of Wyandotte, BAM:
5.000%, 10/1/2017	100,000	102,333
5.000%, 10/1/2018	200,000	211,162
5.000%, 10/1/2019	250,000	268,357
Dexter Community Schools, NATL-RE Q-SBLF, 5.100%, 5/1/2018	225,000	230,665
East Branch of the Willow Creek and Branches Drainage District, AGM, 3.800%, 6/1/2017, Call 3/31/2017	40,000	40,092
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	656,136
Lake St. Claire Clean Water Initiative, 5.000%, 10/1/2020	150,000	166,613
Lawrence Public Schools, Q-SBLF, 4.000%, 5/1/2018	255,000	263,507
Marquette Board of Light & Power, 5.000%, 7/1/2020	150,000	166,563
Michigan State Hospital Finance Authority, 5.000%, 11/15/2020, Call 11/15/2019	520,000	573,212
Montrose Community Schools, NATL-RE Q-SBLF, 6.200%, 5/1/2017	190,000	191,529
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	211,342
Rib Floater Trust Various States, 0.790%, 7/1/2018 (6) (8)	1,900,000	1,900,000
Romulus Community Schools, AGM, 4.000%, 11/1/2017	100,000	101,857
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	328,446
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 3/31/2017	270,000	270,664
		6,314,746
Minnesota — 0.1%
Minnesota Housing Finance Agency, 2.750%, 1/1/2018	130,000	131,169
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2021, Call 11/15/2017	50,000	51,341
		182,510
Mississippi — 0.5%
City of D’Iberville, 2.125%, 4/1/2017	190,000	190,127
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	166,726
Mississippi Development Bank, AGC, 4.000%, 7/1/2017	240,000	242,475
State of Mississippi, 1.170%, 9/1/2017, Call 3/31/2017 (8)	275,000	275,085
		874,413

Missouri — 2.9%
Chesterfield Valley Transportation Development District, 3.250%, 5/15/2028, Call 5/15/2023	225,000	222,905
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 12/1/2017	1,000,000	1,002,210
Missouri Health & Educational Facilities Authority:
4.000%, 2/1/2018	255,000	260,628
5.000%, 2/1/2022	250,000	278,465
5.000%, 2/1/2024, Call 2/1/2021	250,000	268,125
Missouri Health & Educational Facilities Authority, AMBAC, 1.295%, 6/1/2020, Call 3/1/2017 (8) (14)	50,000	48,489
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	255,000	263,846
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.155%, 12/1/2022, Call 3/1/2017 (8) (14)	805,000	740,723
Southeast Missouri State University, 5.000%, 4/1/2019	1,000,000	1,075,600
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2017	600,000	600,714
St. Louis Municipal Finance Corp., 5.000%, 2/15/2021	500,000	557,295
		5,319,000
Nebraska — 0.1%
Central Plains Energy Project, 1.124%, 12/1/2017 (8)	160,000	159,674
Nevada — 0.2%
Clark County School District, NATL-RE FGIC:
5.000%, 6/15/2021, Call 6/15/2017	100,000	104,148
5.000%, 6/15/2023, Call 6/15/2017	175,000	182,249
		286,397
New Hampshire — 0.1%
New Hampshire Health and Education Facilities Authority Act:
5.250%, 10/1/2023, Call 10/1/2017	190,000	194,985
5.250%, 10/1/2023, Call 10/1/2017	60,000	61,444
		256,429
New Jersey — 2.9%
City of Jersey City, AGM, 4.000%, 2/15/2019	620,000	650,163
New Jersey Economic Development Authority:
2.446%, 2/1/2018, Call 8/1/2017 (8)	250,000	251,255
5.000%, 11/1/2021	400,000	427,176
New Jersey Educational Facilities Authority, 5.000%, 7/1/2020, Call 7/1/2018	20,000	21,173
New Jersey Health Care Facilities Financing Authority, 5.125%, 7/1/2019, Call 7/1/2018	130,000	137,019
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019	380,000	396,986
5.000%, 12/1/2017	370,000	381,170
5.000%, 6/1/2018	100,000	104,563
New Jersey Housing & Mortgage Finance Agency, 4.350%, 10/1/2017, Call 3/16/2017	200,000	200,262
New Jersey State Turnpike Authority, NATL-RE:
1.120%, 1/1/2030, Call 3/7/2017 (8) (14)	25,000	22,502
1.120%, 1/1/2030, Call 3/3/2017 (8) (14)	25,000	22,502
1.138%, 1/1/2030, Call 3/2/2017 (8) (14)	500,000	450,035
1.260%, 1/1/2030, Call 3/7/2017 (8) (14)	25,000	22,502
1.260%, 1/1/2030, Call 3/2/2017 (8) (14)	100,000	90,007
New Jersey Transportation Trust Fund Authority:
1.640%, 12/15/2019, Call 6/15/2019 (8)	475,000	468,027
4.000%, 12/15/2019	75,000	77,595
5.000%, 6/15/2019	150,000	157,890
New Jersey Transportation Trust Fund Authority, AGM, 5.250%, 12/15/2019	250,000	272,592
New Jersey Transportation Trust Fund Authority, FSA, 5.500%, 12/15/2017	300,000	310,263
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	147,112
5.500%, 12/15/2020	10,000	11,180
South Jersey Port Corp.:
5.000%, 1/1/2018	250,000	256,662
5.000%, 1/1/2019	340,000	354,276
Township of Lopatcong, NATL-RE, 4.000%, 9/1/2018, Call 9/1/2017	30,000	30,485
		5,263,397
New Mexico — 1.6%
City of Farmington, 1.875%, 4/1/2020 (8)	1,000,000	1,003,130
County of Bernalillo, 5.750%, 10/1/2017	150,000	154,332

New Mexico Mortgage Finance Authority, 5.300%, 9/1/2040, Call 9/1/2019	25,000	26,112
New Mexico Municipal Energy Acquisition Authority, 1.273%, 8/1/2019, Call 2/1/2019 (8)	650,000	648,531
Town of Clayton, NATL, 4.000%, 11/1/2017	1,000,000	1,018,240
		2,850,345
New York — 9.0%
City of Buffalo, AGM SAW, 2.375%, 11/15/2017	100,000	101,061
City of New York, AGM, 0.790%, 11/1/2026 (8)	595,000	595,000
County of Nassau, 5.000%, 10/1/2018	1,000,000	1,060,340
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	436,068
Long Island Power Authority, 1.196%, 11/1/2018, Call 5/1/2018 (8)	1,000,000	1,000,950
Long Island Power Authority, NATL-RE, 5.000%, 5/1/2017	150,000	151,057
Metropolitan Transportation Authority, AGM, 1.138%, 5/15/2018, Call 11/15/2017 (8)	250,000	250,097
New York City Transitional Finance Authority, 0.790%, 8/1/2022, Call 3/1/2017 (8)	1,250,000	1,250,000
New York Local Government Assistance Corp., AGM:
1.005%, 4/1/2017, Call 3/1/2017 (8) (14)	75,000	74,930
1.005%, 4/1/2017, Call 3/2/2017 (8) (14)	25,000	24,970
New York Mortgage Agency, 5.000%, 10/1/2019	600,000	649,566
New York State Dormitory Authority:
5.000%, 7/1/2018	1,000,000	1,053,160
5.000%, 12/15/2019	495,000	547,480
5.000%, 12/1/2022 (6)	600,000	669,234
5.250%, 2/15/2024, Call 2/15/2019	400,000	432,016
New York State Dormitory Authority, NATL-RE, 1.340%, 7/1/2029, Call 3/6/2017 (8) (14)	575,000	538,285
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (8)	350,000	349,251
New York State Energy Research & Development Authority, NATL-RE, 1.120%, 12/1/2020, Call 3/7/2017 (8) (14)	1,000,000	963,233
New York State Housing Finance Agency, FNMA/FHLMC COLL, 0.900%, 11/1/2017	705,000	705,000
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,081,930
State of New York, AGM, 1.007%, 3/15/2021, Call 3/2/2017 (8) (14)	25,000	24,482
State of New York, NATL-RE FGIC:
1.007%, 2/15/2022, Call 3/2/2017 (8) (14)	455,000	442,078
1.007%, 2/13/2032, Call 3/2/2017 (8) (14)	70,000	65,389
Town of Oyster Bay, 3.500%, 6/1/2018	500,000	504,240
Triborough Bridge & Tunnel Authority, 1.223%, 2/1/2021 (8)	1,000,000	999,460
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,120,600
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,268,259
		16,358,136
North Carolina — 0.6%
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	100,000	106,242
North Carolina Eastern Municipal Power Agency, FGIC, 0.862%, 1/1/2025 (8) (14)	600,000	488,459
University of North Carolina at Chapel Hill, 1.273%, 12/1/2017, Call 6/1/2017 (8)	525,000	525,037
		1,119,738
North Dakota — 0.5%
City of Williston, 5.000%, 5/1/2020	240,000	262,174
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	135,000	139,115
Williston Parks & Recreation District, 3.250%, 3/1/2032, Call 3/16/2017	460,000	457,313
		858,602
Ohio — 2.2%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	892,560
Bucyrus City School District, 0.000%, 12/1/2017	155,000	153,614
City of Cleveland, AGM, 5.000%, 1/1/2019	600,000	639,396
City of Cleveland, AMBAC, 5.250%, 1/1/2018	50,000	51,671
City of Harrison, 2.000%, 10/1/2018	120,000	121,141
County of Hamilton:
4.000%, 1/1/2021	445,000	466,058
5.000%, 1/1/2022	465,000	508,678
Lancaster Port Authority, 1.143%, 8/1/2019, Call 2/1/2019 (8)	145,000	144,066
New Lexington City School District, BAM, 1.200%, 12/1/2017	55,000	54,894
Ohio Housing Finance Agency, GNMA/FNMA COLL, 4.000%, 5/1/2022, Call 5/1/2021	90,000	92,561
State of Ohio, 1.100%, 1/15/2045, Call 3/1/2017 (8)	500,000	500,000
University of Toledo, 5.000%, 6/1/2020	375,000	417,540
		4,042,179
Oklahoma — 0.1%
Oklahoma Municipal Power Authority, 1.440%, 8/1/2018, Call 2/1/2018 (8)	135,000	135,186

Pennsylvania — 5.8%
Allegheny County Hospital Development Authority:
1.410%, 2/1/2021, Call 5/1/2017 (8)	105,000	104,968
5.375%, 8/15/2029, Call 8/15/2019	225,000	243,234
Allentown City School District, 5.000%, 2/15/2020, Call 2/15/2018	50,000	51,959
Berks County Municipal Authority, 2.140%, 7/1/2022, Call 7/1/2017 (8)	350,000	357,371
Capital Region Water, 5.000%, 7/15/2021	1,000,000	1,129,290
City of Philadelphia, 5.250%, 8/1/2018	100,000	105,605
City of Philadelphia, AGC:
5.125%, 8/1/2025, Call 8/1/2019	10,000	10,957
5.125%, 8/1/2025, Call 8/1/2019	90,000	97,362
City of Philadelphia, AMBAC:
5.000%, 10/1/2017	250,000	255,525
5.000%, 10/1/2023, Call 10/1/2017	100,000	102,451
Commonwealth of Pennsylvania, 5.000%, 4/15/2020, Call 4/15/2019	600,000	650,268
Delaware County Vocational & Technical School Authority, BAM, 3.000%, 11/1/2018	120,000	123,581
Delaware Valley Regional Financial Authority, AMBAC, 5.500%, 8/1/2018	130,000	138,099
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	224,392
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	304,725
Montgomery County Industrial Development Authority, AGC, 0.740%, 11/15/2029, Call 3/1/2017 (8)	2,150,000	2,150,000
North Penn Water Authority, 1.023%, 11/1/2019, Call 5/1/2019 (8)	800,000	796,976
Northampton County General Purpose Authority, 2.040%, 8/15/2020, Call 2/15/2020 (8)	150,000	150,738
Pennsylvania Economic Development Financing Authority:
1.250%, 5/1/2017 (8)	180,000	180,011
5.000%, 3/1/2020	200,000	218,820
Pennsylvania Turnpike Commission:
1.320%, 12/1/2018, Call 6/1/2018 (8)	90,000	90,061
1.520%, 12/1/2020, Call 6/1/2020 (8)	325,000	326,469
1.620%, 12/1/2021, Call 6/1/2021 (8)	80,000	80,394
1.790%, 12/1/2019, Call 6/1/2019 (8)	600,000	606,426
Pittsburgh Public Parking Authority, NATL-RE, 0.000%, 12/1/2017	50,000	49,711
School District of Philadelphia, 5.000%, 9/1/2018	65,000	68,251
Scranton School District, SAW, 1.530%, 4/2/2018, Call 10/2/2017 (8)	1,000,000	998,490
State Public School Building Authority, FSA, 5.375%, 10/1/2023, Call 10/1/2018	160,000	171,034
State Public School Building Authority, SAW, 1.323%, 9/1/2018, Call 3/1/2018 (8)	615,000	615,437
		10,402,605
Rhode Island — 0.8%
Rhode Island Health & Educational Building Corp., 5.000%, 5/15/2022	500,000	555,680
Rhode Island Turnpike & Bridge Authority, 3.000%, 10/1/2018	275,000	283,019
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	645,000	645,464
		1,484,163
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,095,440
South Carolina Jobs-Economic Development Authority, 4.000%, 7/1/2017	55,000	55,567
		1,151,007
Tennessee — 0.3%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	135,666
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 5.000%, 7/1/2018	220,000	228,070
Public Building Authority of Sevier County, AMBAC, 1.138%, 6/1/2018 (8) (14)	125,000	122,964
Tennessee Energy Acquisition Corp.:
5.250%, 9/1/2020	10,000	11,124
5.250%, 9/1/2021	55,000	62,318
		560,142
Texas — 6.5%
Alamito Public Facility Corp., 1.000%, 10/1/2017, Call 4/1/2017 (8)	650,000	648,856
Cinco Southwest Municipal Utility District No. 1, BAM, 2.000%, 12/1/2017	310,000	311,900
City of Coppell, 5.750%, 2/1/2023, Call 2/1/2018	50,000	52,242
City of The Colony, 6.000%, 2/15/2019	795,000	871,566
Clifton Higher Education Finance Corp., 5.000%, 8/15/2017	225,000	228,762
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	178,587
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	266,650
Crane County Water District, 3.000%, 2/15/2021	605,000	635,631

Harris County Cultural Education Facilities Finance Corp., 1.470%, 6/1/2021 (8)	350,000	351,235
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,080,200
New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (6)	500,000	486,175
4.000%, 4/1/2018	225,000	230,234
4.000%, 11/15/2021	615,000	630,301
5.000%, 11/1/2022	500,000	548,140
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	266,005
North Texas Higher Education Authority, Inc., 1.898%, 7/1/2030 (8)	145,000	145,571
North Texas Tollway Authority:
1.310%, 1/1/2020, Call 7/1/2019 (8)	350,000	349,730
1.440%, 1/1/2019, Call 7/1/2018 (8)	250,000	250,438
5.000%, 1/1/2022	250,000	286,953
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2017 (8)	700,000	703,073
Panhandle-Plains Higher Education Authority, Inc., 2.248%, 4/1/2035, Call 3/1/2017 (8)	250,000	250,473
Port of Port Arthur Navigation District, 0.700%, 4/1/2040, Call 3/1/2017 (8)	900,000	900,000
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	700,000	700,574
5.000%, 5/15/2021	500,000	531,645
Texas Municipal Gas Acquisition & Supply Corp. I:
1.196%, 12/15/2017, Call 3/1/2017 (8)	10,000	9,985
5.625%, 12/15/2017	255,000	259,455
Texas Municipal Gas Acquisition & Supply Corp. II, 1.346%, 9/15/2017 (8)	220,000	220,013
Texas State University System, 5.000%, 3/15/2022	350,000	404,026
		11,798,420
Utah — 0.4%
Salt Lake City Corp., AMBAC, 0.462%, 5/15/2020, Call 3/1/2017 (8) (14)	700,000	689,995
Vermont — 0.2%
City of Burlington, AGM:
5.000%, 7/1/2018	250,000	261,050
5.000%, 7/1/2019	100,000	106,646
		367,696
Virgin Islands — 0.1%
Virgin Islands Public Finance Authority, 2.250%, 10/1/2017 (6)	100,000	92,031
Virginia — 0.7%
Henrico County Economic Development Authority, AGM, 1.353%, 8/23/2027, Call 3/1/2017 (8) (14)	1,250,000	1,187,829
Washington — 1.2%
City of Tacoma, 5.750%, 12/1/2017	100,000	103,528
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	389,696
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	155,000	155,575
State of Washington, 5.000%, 2/1/2022	1,000,000	1,161,500
Washington Health Care Facilities Authority, 0.000%, 12/1/2017 (6)	25,000	24,560
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 5.000%, 10/1/2020	320,000	350,141
		2,185,000
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018	1,250,000	1,320,525
Wisconsin — 3.1%
Arcadia School District:
3.000%, 3/15/2019, Call 3/15/2017	415,000	415,324
3.000%, 3/15/2019, Call 3/15/2017	285,000	285,228
City of Stanley, 2.500%, 3/1/2018, Call 9/1/2017	1,000,000	1,006,240
City of Two Rivers, 3.500%, 4/1/2017	250,000	250,340
Hilbert School District, 2.100%, 4/1/2019, Call 4/1/2018	1,000,000	1,007,890
State of Wisconsin:
5.000%, 9/1/2020	175,000	195,776
5.000%, 3/1/2021	300,000	339,315
Town of Somers, 4.125%, 8/1/2019, Call 8/1/2017	375,000	378,439
Wisconsin Health & Educational Facilities Authority:
2.750%, 5/1/2017	130,000	130,030
3.000%, 8/15/2019	105,000	109,575
3.250%, 5/1/2018	200,000	200,698

4.000%, 3/1/2017		150,000		150,000
4.000%, 8/15/2018		300,000		309,708
5.000%, 3/1/2020		200,000		216,022
5.000%, 8/15/2020		260,000		291,977
5.500%, 12/15/2020, Call 12/15/2019		80,000		88,759
Wisconsin Health & Educational Facilities Authority, NATL-RE, 1.190%, 6/1/2019, Call 3/1/2017 (8) (14)		200,000		195,245
				5,570,566
Total Municipals (identified cost $178,253,016)				178,502,808
Mutual Funds — 0.4%
BMO Ultra Short Tax-Free Fund - Institutional Class (4)		85,500		860,981
Total Mutual Funds (identified cost $862,663)				860,981
Short-Term Investments — 0.6%
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 0.370% (4)		42,663		42,663
Short-Term Municipals — 0.6%
Ohio — 0.6%
City of Tipp, 1.750%, 2/14/2018	$	1,000,000		1,004,230
Total Short-Term Investments (identified cost $1,046,922)				1,046,893
Total Investments — 99.7% (identified cost $180,162,601)				180,410,682
Other Assets and Liabilities — 0.3%				483,418
Total Net Assets — 100.0%			$	180,894,100

(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 28, 2017, these securities amounted to:

Fund	Amount	% of Total Net Assets
Short Tax-Free Fund	$17,263,145	9.54%

(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 28, 2017.

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

(14) 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.

(17) 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 28, 2017

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 98.2%
Alabama — 1.3%
Alabama Board of Education:
3.000%, 6/1/2021	$	305,000	$	318,868
4.000%, 7/1/2021		1,895,000		2,059,543
4.375%, 10/1/2017		200,000		204,066
5.000%, 10/1/2020, Call 10/1/2018		230,000		242,986
Alabama Housing Finance Authority, GNMA, 4.800%, 6/20/2032, Call 3/16/2017 (16)		195,000		199,167
Butler County Board of Education, AGM, 4.000%, 7/1/2020		585,000		628,934
City of Birmingham, 4.000%, 3/1/2022 (17)		1,945,000		2,083,542
Columbia Industrial Development Board, 0.670%, 12/1/2037, Call 3/1/2017 (8)		50,000		50,000
County of Jefferson, AGM, 1.553%, 2/1/2042, Call 3/9/2017 (8) (14)		454,517		392,770
Health Care Authority for Baptist Health, 1.300%, 11/1/2042 (8)		3,485,000		3,485,000
Health Care Authority for Baptist Health, AGC, 0.930%, 11/15/2037, Call 3/3/2017 (8) (14)		2,175,000		2,175,000
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026		4,015,000		4,716,541
Pell City Special Care Facilities, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,435,160
				20,991,577
Alaska — 0.6%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,375,000		1,589,005
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,871,050
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,137,250
Alaska Municipal Bond Bank Authority, AMBAC:
5.100%, 4/1/2033, Call 4/1/2018		165,000		172,451
5.100%, 4/1/2033, Call 4/1/2018		35,000		36,581
Borough of Matanuska-Susitna:
5.000%, 11/1/2021		500,000		573,385
5.000%, 11/1/2022		500,000		582,515
5.000%, 4/1/2031, Call 4/1/2021		150,000		171,522
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,170,787
City of Anchorage, NATL-RE, 5.000%, 12/1/2024, Call 3/31/2017		305,000		306,049
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,314,402
				9,924,997
Arizona — 3.6%
Arizona Department of Transportation State Highway, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,473,730
Arizona Health Facilities Authority:
2.490%, 2/5/2020, Call 8/9/2019 (8)		4,500,000		4,585,320
5.000%, 2/1/2022		1,000,000		1,133,640
Arizona Sports & Tourism Authority, 4.000%, 7/1/2018		765,000		794,774
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018		1,050,000		1,119,184
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,414,400
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,577,169
City of Glendale, 5.000%, 7/1/2021, Call 7/1/2017		400,000		405,632
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020		345,000		382,709
City of Peoria, 4.000%, 7/1/2019		515,000		547,507
City of Tucson, AGM, 5.000%, 7/1/2020		500,000		557,970
County of Pima, 5.000%, 7/1/2027, Call 7/1/2022		1,450,000		1,679,085
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019		825,000		907,780
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020		500,000		551,000
Greater Arizona Development Authority, NATL-RE:
5.000%, 8/1/2019, Call 8/1/2017		250,000		254,038
5.000%, 8/1/2027, Call 8/1/2017		975,000		991,029
Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (6)		475,000		470,236
5.000%, 7/1/2031, Call 7/1/2026 (6)		3,000,000		3,090,000

Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	2,000,000	2,194,000
La Paz County Industrial Development Authority, 5.000%, 2/15/2036, Call 2/15/2026 (6)	1,000,000	1,050,010
Maricopa County Elementary School District No. 33 Buckeye, 5.250%, 7/1/2018	365,000	385,104
Maricopa County Industrial Development Authority:
3.000%, 1/1/2018	325,000	328,533
4.000%, 1/1/2019	200,000	208,278
5.000%, 7/1/2036, Call 7/1/2026	750,000	800,647
5.000%, 7/1/2036, Call 7/1/2026 (6)	1,225,000	1,260,807
Maricopa County Unified School District No. 60 Higley, AGM:
4.000%, 7/1/2022	500,000	557,520
5.000%, 7/1/2023	1,000,000	1,173,560
5.000%, 7/1/2024	575,000	681,254
Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019	615,000	667,884
5.000%, 7/1/2020, Call 7/1/2018	600,000	629,688
5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,161,258
Phoenix Civic Improvement Corp., BHAC, 5.500%, 7/1/2027 (17)	500,000	616,790
Phoenix Civic Improvement Corp., NATL-RE FGIC:
5.500%, 7/1/2021 (17)	555,000	635,630
5.500%, 7/1/2036 (17)	530,000	665,081
Pima County Industrial Development Authority:
4.500%, 7/1/2020	530,000	556,526
4.500%, 7/1/2021, Call 7/1/2020	1,315,000	1,382,985
4.500%, 7/1/2022, Call 7/1/2020	1,375,000	1,435,802
6.375%, 7/1/2028, Call 7/1/2018	255,000	270,267
Pinal County School District No. 1 Florence, BAM, 5.000%, 7/1/2023	350,000	405,342
Rio Nuevo Multipurpose Facilities District, AGC, 6.000%, 7/15/2020, Call 7/15/2018	240,000	256,517
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	127,493
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	264,413
Scottsdale Industrial Development Authority, FSA, 0.880%, 9/1/2045, Call 3/7/2017 (8) (14)	2,175,000	2,175,000
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,104,560
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,493,650
Town of Marana, 5.000%, 7/1/2023	450,000	530,145
Tucson & Pima Counties Industrial Development Authorities, GNMA/FNMA/FHLMC, 5.400%, 6/1/2040, Call 12/1/2017 (16)	170,000	174,497
University Medical Center Corp., 5.000%, 7/1/2021	425,000	484,798
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	514,610
Yuma Municipal Property Corp., XLCA:
5.000%, 7/1/2021, Call 7/1/2017	1,900,000	1,926,752
5.000%, 7/1/2023, Call 7/1/2017	1,950,000	1,977,456
5.000%, 7/1/2025, Call 7/1/2017	1,000,000	1,014,080
		57,046,140
Arkansas — 1.5%
Arkansas Development Finance Authority:
1.300%, 9/1/2044, Call 3/1/2017 (8)	3,650,000	3,650,000
5.000%, 2/1/2020	255,000	278,266
5.000%, 2/1/2021	315,000	351,383
5.000%, 2/1/2022	150,000	170,271
Arkansas Development Finance Authority, GNMA/FNMA:
4.000%, 1/1/2025, Call 7/1/2021	230,000	239,214
4.000%, 7/1/2025, Call 7/1/2021	490,000	508,620
Arkansas State University:
4.000%, 3/1/2021	390,000	425,131
4.000%, 3/1/2022	1,140,000	1,254,695
4.000%, 3/1/2023	985,000	1,077,107
City of Fayetteville, 3.300%, 11/1/2023	2,985,000	3,130,638
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	920,000	927,314
City of Springdale:
3.000%, 11/1/2021	1,000,000	1,055,240
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,154,000
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	1,540,000	1,540,970
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	630,955
County of Greene, AGM:
4.000%, 3/1/2019, Call 3/31/2017	840,000	841,781
4.000%, 3/1/2020, Call 3/31/2017	1,430,000	1,432,946

County of Jefferson, AGM, 5.000%, 6/1/2026, Call 12/1/2019	20,000	21,661
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,046,461
5.000%, 11/1/2023, Call 11/1/2022	860,000	985,517
University of Arkansas:
5.000%, 12/1/2021	300,000	346,416
5.000%, 12/1/2022	520,000	610,412
5.000%, 12/1/2023, Call 12/1/2022	500,000	586,635
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,174,810
		23,440,443
California — 7.4%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	573,463
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,109,020
ABC Unified School District, MBIA, 5.000%, 2/1/2021	1,250,000	1,406,950
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036 (17)	1,150,000	1,010,827
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	243,509
Bay Area Toll Authority, 1.890%, 4/1/2027, Call 10/1/2026 (8)	5,000,000	5,019,000
BB&T Municipal Trust, 1.440%, 11/15/2019 (6) (8)	1,500,000	1,504,785
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	353,574
0.000%, 8/1/2031	615,000	354,480
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,105,177
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (17)	1,325,000	1,091,376
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 3/31/2017	4,555,000	4,560,147
California Health Facilities Financing Authority, 5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,211,900
California Health Facilities Financing Authority, NATL-RE, 1.208%, 7/1/2022, Call 3/1/2017 (8) (14)	1,900,000	1,799,005
California Municipal Finance Authority:
1.200%, 2/1/2018 (8)	500,000	500,450
5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,635,795
California Pollution Control Financing Authority, 1.250%, 5/1/2017 (6) (8) (16)	4,000,000	4,000,360
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,120,020
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (6)	1,000,000	1,072,590
5.000%, 12/1/2046, Call 6/1/2026 (6)	1,000,000	1,038,940
California Statewide Communities Development Authority, AGM, 0.890%, 7/1/2040, Call 3/3/2017 (8) (14)	475,000	475,000
California Statewide Communities Development Authority, CMI, 2.500%, 8/1/2020, Call 3/31/2017	2,100,000	2,102,520
California Statewide Communities Development Authority, NATL-RE, 5.125%, 7/1/2024, Call 7/1/2018	1,500,000	1,585,080
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	969,000
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,056,869
City of Madera:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,750,105
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,471,898
Corcoran Joint Unified School District, AGM, 2.700%, 12/1/2039, Call 3/31/2017 (8)	2,000,000	2,001,080
County of Los Angeles, 0.000%, 9/1/2018	750,000	734,633
County of Los Angeles, AMBAC, 0.000%, 9/1/2020	600,000	562,800
County of San Joaquin, 5.000%, 4/1/2022	350,000	401,548
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	380,000	346,750
Desert Community College District, AGM, 0.000%, 8/1/2026, Call 8/1/2017	400,000	248,840
Duarte Unified School District, 5.125%, 8/1/2026 (17)	585,000	708,143
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	507,044
5.000%, 10/1/2022	515,000	599,105
5.000%, 10/1/2022	580,000	677,736
5.000%, 10/1/2023	800,000	940,216
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032 (17)	500,000	508,490
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (17)	1,250,000	1,209,013
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	289,891
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	377,046
Fresno Unified School District, MBIA, 6.000%, 8/1/2026	2,890,000	3,458,145
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	463,992
5.000%, 6/1/2023	400,000	469,844
5.000%, 6/1/2024	775,000	917,848
5.000%, 6/1/2025	425,000	507,195

Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	216,939
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,257,900
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	105,713
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	419,250
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027	295,000	207,733
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,141,950
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,983,327
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	721,655
5.000%, 8/1/2025, Call 8/1/2023	760,000	880,179
McFarland Unified School District, BAM, 5.000%, 11/1/2039, Call 11/1/2024	300,000	334,047
McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (17)	165,000	160,124
McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	498,888
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	773,309
Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026 (17)	300,000	366,288
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,315,240
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	569,675
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025 (17)	2,125,000	1,876,205
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020	500,000	468,675
Northern California Gas Authority No. 1:
1.299%, 7/1/2019 (8)	3,000,000	2,978,310
1.389%, 7/1/2027 (8)	1,915,000	1,714,346
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	567,580
5.000%, 7/1/2032, Call 7/1/2022	700,000	793,485
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023	590,000	503,441
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,342,680
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 8/1/2017	1,500,000	652,155
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	267,631
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	274,645
5.000%, 12/1/2028, Call 12/1/2025	425,000	493,480
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,149,470
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,289,020
San Francisco City & County Airport Commission:
5.000%, 5/1/2024, Call 5/1/2021	745,000	855,126
5.000%, 5/1/2024, Call 5/1/2021	295,000	336,878
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,610,285
San Jose Unified School District, NATL, 0.000%, 8/1/2027	1,495,000	1,097,614
San Miguel Joint Union Elementary School District, AGM:
0.000%, 6/15/2020	415,000	392,308
0.000%, 6/15/2021	490,000	450,344
0.000%, 6/15/2022	505,000	447,061
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	457,580
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018	930,000	984,563
Santa Barbara County College Elementary School District:
0.000%, 8/1/2027	365,000	261,198
0.000%, 8/1/2031	470,000	279,072
Sierra View Local Health Care District:
3.800%, 7/1/2017	370,000	373,463
4.875%, 7/1/2018, Call 7/1/2017	900,000	911,070
5.250%, 7/1/2022, Call 7/1/2017	1,580,000	1,601,362
5.250%, 7/1/2023, Call 7/1/2017	250,000	253,380
5.300%, 7/1/2026, Call 7/1/2017	350,000	354,788
State of California:
1.246%, 12/1/2017, Call 6/1/2017 (8)	2,500,000	2,503,425
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,370,339
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,759,839
Tahoe Forest Hospital District:
5.500%, 8/1/2027, Call 8/1/2018	1,345,000	1,431,941
5.500%, 8/1/2035, Call 8/1/2018	1,000,000	1,064,640
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2017 (8)	1,365,000	1,365,273

Upland Community Facilities District, 3.000%, 9/1/2017	530,000	534,293
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025	1,225,000	1,436,398
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,328,402
Watereuse Finance Authority, BAM, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,133,147
West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.000%, 8/1/2025	310,000	235,008
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,257,720
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,062,809
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	188,685
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	99,209
0.000%, 8/1/2023	240,000	205,440
0.000%, 8/1/2024, Call 8/1/2023	330,000	265,515
0.000%, 8/1/2025, Call 8/1/2023	270,000	204,174
0.000%, 8/1/2026, Call 8/1/2023	330,000	234,511
0.000%, 8/1/2028, Call 8/1/2023	420,000	264,247
Yosemite Community College District, AGM, 5.000%, 8/1/2032, Call 8/1/2018	75,000	79,323
		118,064,969
Colorado — 1.6%
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	597,210
5.000%, 12/1/2026, Call 12/1/2024	355,000	415,215
5.000%, 12/1/2027, Call 12/1/2024	500,000	581,000
City & County of Denver, 5.000%, 11/15/2021	500,000	575,195
Colorado Educational & Cultural Facilities Authority:
4.000%, 12/1/2017	120,000	122,626
4.000%, 12/15/2025 (6)	535,000	530,281
5.000%, 9/1/2020 (17)	1,060,000	1,184,688
5.000%, 9/1/2021 (17)	865,000	980,789
5.000%, 10/1/2030, Call 10/1/2025	1,250,000	1,375,225
Colorado Health Facilities Authority:
4.500%, 2/1/2020	455,000	479,602
5.000%, 9/1/2018	530,000	558,122
5.000%, 9/1/2019	560,000	605,377
5.000%, 2/1/2021	475,000	516,016
5.000%, 9/1/2022	750,000	858,960
5.000%, 12/1/2023	215,000	238,024
5.000%, 2/1/2024	420,000	465,431
5.250%, 1/1/2025, Call 1/1/2020	460,000	502,486
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	887,725
5.000%, 12/1/2021	725,000	836,817
5.000%, 12/1/2022	1,185,000	1,390,325
County of Boulder:
5.000%, 12/1/2023, Call 12/1/2020	500,000	563,675
5.000%, 12/1/2025, Call 12/1/2020	475,000	535,121
County of El Paso, GNMA/FNMA, 5.450%, 12/1/2039, Call 3/31/2017 (16)	86,459	86,747
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,737,720
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,117,090
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,113,640
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,291,950
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,092,402
Public Authority for Colorado Energy, 5.750%, 11/15/2018	345,000	361,988
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,323,320
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,240,331
		26,165,098
Connecticut — 0.9%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,303,718
Connecticut Housing Finance Authority, 3.600%, 11/15/2030, Call 11/15/2024	845,000	857,481
Connecticut State Health & Educational Facility Authority:
2.875%, 9/1/2020, Call 9/1/2017 (6)	450,000	450,297
3.250%, 9/1/2021, Call 3/1/2018 (6)	700,000	701,295
State of Connecticut, 5.000%, 3/15/2025	2,500,000	2,901,000
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,262,020

5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,521,760
		13,997,571
Delaware — 0.6%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,358,661
Delaware State Economic Development Authority, 5.000%, 6/1/2036, Call 6/1/2026	1,500,000	1,510,935
Delaware State Housing Authority:
5.000%, 1/1/2026, Call 7/1/2019 (16)	225,000	233,955
5.200%, 7/1/2029, Call 7/1/2018	1,025,000	1,047,232
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,798,403
		8,949,186
District of Columbia — 0.5%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	2,073,992
5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,561,175
5.000%, 12/1/2036, Call 12/1/2021	500,000	566,105
Washington Convention & Sports Authority, 4.500%, 10/1/2030, Call 10/1/2020	2,125,000	2,286,925
		7,488,197
Florida — 4.6%
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,836,177
City of Boynton Beach, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,145,320
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,067,800
City of Gainesville, AMBAC, 5.500%, 8/1/2017	1,000,000	1,019,240
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,242,260
City of Lakeland, AGM, 5.250%, 10/1/2028	1,250,000	1,548,225
City of North Port, 5.000%, 7/1/2022	200,000	230,064
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	539,230
City of Sunrise, 4.000%, 10/1/2019	540,000	569,506
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	874,818
0.000%, 10/1/2020	975,000	923,578
0.000%, 10/1/2021	175,000	161,877
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	497,948
5.000%, 12/1/2027, Call 12/1/2025	400,000	439,780
5.000%, 12/1/2028, Call 12/1/2025	500,000	546,590
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,195,880
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	423,803
Columbia County School Board, 5.000%, 7/1/2026, Call 7/1/2025	495,000	565,102
County of Broward:
5.000%, 10/1/2026, Call 10/1/2025 (16)	750,000	865,140
5.000%, 10/1/2031, Call 10/1/2025 (16)	1,000,000	1,117,360
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023 (16)	740,000	796,499
County of Lee, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,299,200
County of Miami-Dade:
5.000%, 10/1/2025, Call 10/1/2024	800,000	927,096
5.250%, 10/1/2029, Call 10/1/2023	100,000	119,324
5.500%, 10/1/2026, Call 10/1/2020	450,000	517,221
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,644,778
County of Miami-Dade, AGC:
0.000%, 10/1/2021	610,000	546,145
5.000%, 10/1/2029, Call 10/1/2019	400,000	433,572
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,078,720
County of Miami-Dade, NATL-RE BHAC, 5.000%, 10/1/2030, Call 10/1/2017 (17)	475,000	486,642
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,657,156
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,818,765
5.000%, 10/1/2021	1,110,000	1,268,020
Dupree Lakes Community Development District, BAM:
3.000%, 5/1/2018	230,000	234,195
3.000%, 5/1/2019	190,000	195,217
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,618,472
Florida HomeLoan Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020	255,000	265,095
Florida HomeLoan Corp., GNMA/FNMA/FHLMC, 4.450%, 1/1/2030, Call 7/1/2021	395,000	408,967
Florida Municipal Loan Council, AGM, 5.000%, 5/1/2021	1,745,000	1,979,860

Halifax Hospital Medical Center:
5.000%, 6/1/2026	1,525,000	1,760,246
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,485,792
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,257,580
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,874,750
Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,239,320
Orange County Health Facilities Authority:
5.000%, 10/1/2031, Call 10/1/2026	500,000	565,790
5.250%, 10/1/2035, Call 10/1/2018	440,000	469,484
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020	150,000	162,557
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	802,852
5.000%, 1/1/2031, Call 1/1/2025	935,000	993,896
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2018 (6)	2,405,000	2,478,569
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,802,775
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,050,620
5.000%, 7/1/2020	500,000	550,250
Suncoast Community Development District, 2.000%, 5/1/2017	170,000	170,330
Town of Davie:
5.000%, 4/1/2019	75,000	79,967
5.000%, 4/1/2021	615,000	682,306
5.000%, 4/1/2022	830,000	929,617
Tradition Community Development District No. 1, AGM, 2.000%, 5/1/2017	1,000,000	1,002,310
University of North Florida Financing Corp., 5.000%, 11/1/2026, Call 11/1/2017	4,285,000	4,404,252
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	824,382
Volusia County School Board, BAM, 5.000%, 8/1/2031, Call 2/1/2026	1,000,000	1,139,400
		72,831,687
Georgia — 2.7%
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,328,148
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,775,628
5.000%, 7/1/2024, Call 7/1/2020	695,000	778,956
5.000%, 7/1/2024, Call 7/1/2020	945,000	1,040,936
City of Atlanta, 5.000%, 1/1/2028, Call 1/1/2026	560,000	648,155
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,144,510
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,839,575
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,130,520
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,126,550
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022	1,000,000	1,164,440
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,268,320
East Point Building Authority, XLCA, 4.500%, 2/1/2025, Call 3/31/2017	500,000	500,115
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,483,332
5.000%, 7/1/2021	1,155,000	1,310,775
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,416,937
Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,203,563
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,646,640
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,188,580
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,264,750
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,541,038
Main Street Natural Gas, Inc.:
5.000%, 3/15/2017	1,320,000	1,321,650
5.250%, 9/15/2018	250,000	263,923
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	624,099
Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,238,067
5.375%, 1/1/2029, Call 1/1/2019	940,000	1,014,110
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	924,240
5.000%, 1/1/2024	1,000,000	1,158,710
5.000%, 1/1/2025, Call 1/1/2024	700,000	821,667
South Georgia Governmental Services Authority, MBIA, 5.000%, 1/1/2020, Call 3/31/2017	300,000	300,957
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	29,162
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018	700,000	753,627

Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,274,866
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,137,060
		43,663,606
Guam — 0.1%
Territory of Guam:
5.000%, 12/1/2030, Call 12/1/2026	1,000,000	1,090,100
5.000%, 12/1/2031, Call 12/1/2026	1,000,000	1,082,500
		2,172,600
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	586,860
5.000%, 10/1/2023	500,000	594,050
		1,180,910
Idaho — 0.4%
Boise-Kuna Irrigation District:
5.875%, 6/1/2022, Call 6/1/2018	200,000	212,024
7.375%, 6/1/2034, Call 6/1/2018	340,000	366,731
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,191,650
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	557,518
Idaho Housing & Finance Association, AGC, 5.250%, 7/15/2026, Call 7/15/2018	2,965,000	3,138,927
		5,466,850
Illinois — 15.2%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,142,662
Chicago Board of Education:
4.640%, 3/1/2017 (8)	6,750,000	6,750,000
6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,531,755
Chicago Board of Education, NATL:
0.000%, 12/1/2022	365,000	288,770
5.250%, 12/1/2021	1,000,000	1,081,290
Chicago Board of Education, NATL-RE, 5.000%, 12/1/2019	70,000	73,546
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (16)	1,500,000	1,705,605
5.000%, 1/1/2031, Call 1/1/2025 (16)	1,000,000	1,099,010
5.000%, 1/1/2038, Call 1/1/2026	205,000	226,203
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	849,725
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,171,639
5.000%, 1/1/2025, Call 7/1/2020	230,000	247,025
5.000%, 1/1/2026, Call 1/1/2021	730,000	785,407
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,744,975
5.000%, 11/15/2029, Call 11/15/2018	130,000	138,788
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	1,962,377
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,061,480
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,185,190
Chicago Transit Authority, AGC:
5.250%, 6/1/2019, Call 6/1/2018	375,000	393,791
5.250%, 6/1/2022, Call 6/1/2018	3,250,000	3,406,650
City of Calumet City, AGM, 4.000%, 3/1/2017	435,000	435,000
City of Chicago:
5.000%, 1/1/2019	455,000	471,708
5.000%, 11/1/2025	2,000,000	2,265,500
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	2,807,225
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,122,890
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,115,930
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,109,030
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,029,921
5.000%, 1/1/2039, Call 1/1/2025	500,000	529,160
6.000%, 1/1/2038, Call 1/1/2027	10,000,000	10,321,200
City of Chicago, AGM, 5.000%, 11/1/2027, Call 11/1/2018	200,000	211,778
City of Chicago, AGM FGIC, 5.000%, 1/1/2023, Call 3/31/2017	200,000	200,548
City of Chicago, NATL-RE, 5.530%, 1/1/2020, Call 3/3/2017 (17)	1,000,000	1,000,000

City of Springfield:
5.000%, 12/1/2022	905,000	1,028,451
5.000%, 3/1/2026, Call 3/1/2025	1,000,000	1,145,050
5.000%, 3/1/2027, Call 3/1/2025	1,000,000	1,138,180
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,131,350
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,124,580
5.000%, 3/1/2031, Call 3/1/2025	900,000	1,003,392
5.500%, 3/1/2032, Call 3/1/2018	1,000,000	1,041,870
Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	196,296
0.000%, 12/1/2029, Call 12/1/2024	400,000	234,028
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	626,856
0.000%, 12/1/2031, Call 12/1/2024	1,500,000	785,220
Cook County Community High School District No. 219-Niles Township, FSA, 5.000%, 12/1/2025, Call 12/1/2017	1,405,000	1,446,026
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	751,952
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	487,552
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	1,721,008
0.000%, 12/1/2029	2,580,000	1,483,423
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,413,262
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	631,361
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,178,550
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,398,349
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,544,221
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,623,644
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	1,500,000	1,669,275
5.000%, 11/15/2030, Call 11/15/2026	2,050,000	2,272,486
5.000%, 11/15/2031, Call 11/15/2026	2,000,000	2,206,760
5.250%, 11/15/2023, Call 11/15/2020	350,000	380,954
County of Cook, BAM, 5.000%, 11/15/2023	1,000,000	1,138,090
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	535,100
5.250%, 10/1/2024, Call 10/1/2019	215,000	233,032
5.250%, 10/1/2027, Call 10/1/2019	835,000	921,255
5.250%, 10/1/2027, Call 10/1/2019	315,000	339,932
5.500%, 1/1/2038, Call 1/1/2023	825,000	922,787
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	562,110
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	287,596
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	587,140
DeKalb Kane & LaSalle Counties Etc Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	152,816
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	500,156
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	559,457
Illinois Finance Authority:
1.300%, 5/8/2017 (8)	945,000	944,924
2.500%, 5/15/2018	170,000	170,658
5.000%, 11/15/2023, Call 11/15/2022	215,000	245,592
5.000%, 8/15/2024	250,000	282,443
5.000%, 5/15/2025	1,000,000	1,078,690
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,150,450
5.000%, 11/15/2027, Call 11/15/2025	500,000	570,705
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,204,360
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,038,770
5.000%, 11/1/2030, Call 11/1/2026	1,200,000	1,314,456
5.000%, 11/1/2031, Call 11/1/2026	645,000	702,166
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,140,940
5.250%, 11/15/2022, Call 11/15/2017	1,450,000	1,495,240
5.250%, 2/15/2030, Call 2/15/2020	250,000	270,915
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,107,859
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	3,021,817
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,342,810

Illinois Finance Authority, AGC:
5.250%, 8/15/2019	250,000	270,768
5.250%, 8/15/2033, Call 8/15/2018	880,000	922,214
Illinois Finance Authority, AGM:
0.000%, 1/1/2020	450,000	433,809
0.000%, 1/1/2020	500,000	471,185
0.000%, 1/1/2021	255,000	241,006
5.150%, 1/1/2019	420,000	450,295
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018	335,000	350,621
Illinois Housing Development Authority, GNMA/FNMA COLL, 2.450%, 6/1/2043, Call 1/1/2023	711,815	688,397
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,124,940
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,117,500
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,145,710
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	8,809,399
5.500%, 1/1/2033, Call 1/1/2018	490,000	508,997
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE FGIC, 0.000%, 2/1/2023	5,450,000	4,559,742
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	310,419
0.000%, 1/1/2023	650,000	549,594
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,143,510
5.000%, 1/1/2024	1,000,000	1,145,190
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,584,320
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,001,898
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,634,393
Lake County School District No. 33, XLCA:
0.000%, 12/1/2026	525,000	322,618
0.000%, 12/1/2028	335,000	181,855
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	189,470
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	505,067
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM FGIC, 0.000%, 1/1/2024	500,000	405,550
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL, 0.000%, 1/1/2021	1,900,000	1,744,713
McHenry County Community High School District No. 154 Marengo, NATL-RE FGIC, 0.000%, 1/1/2018	325,000	321,454
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	275,968
5.000%, 1/1/2020	550,000	595,287
5.000%, 1/1/2021	810,000	891,859
5.000%, 1/1/2022	895,000	996,135
Metropolitan Pier & Exposition Authority, NATL-RE:
0.000%, 6/15/2023 (17)	3,530,000	3,950,811
0.000%, 12/15/2023	855,000	665,421
0.000%, 6/15/2024	1,000,000	755,330
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	440,000	400,959
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call 12/1/2026	3,500,000	3,992,205
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018	2,215,000	2,290,819
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	934,750
Railsplitter Tobacco Settlement Authority, 5.250%, 6/1/2021	1,120,000	1,260,571
Rib Floater Trust Various States, 0.940%, 4/1/2036, Call 4/1/2027 (6) (8)	1,000,000	1,000,000
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	725,100
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,314,707
Southern Illinois University, NATL-RE, 0.000%, 4/1/2017	500,000	499,090
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	1,964,533
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,453,775
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,101,311
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	684,230
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (16)	745,000	805,725
State of Illinois:
5.000%, 3/1/2020	500,000	526,525
5.000%, 4/1/2024, Call 4/1/2023	500,000	524,250
5.000%, 11/1/2025	7,000,000	7,345,660
5.000%, 2/1/2027	1,000,000	1,043,650

5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,029,900
5.000%, 11/1/2033, Call 11/1/2026	8,000,000	8,042,080
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	4,065,176
6.500%, 6/15/2022	345,000	387,694
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,378,070
Stephenson County School District No. 145 Freeport, AMBAC, 0.000%, 1/1/2018	425,000	419,947
Tazewell County School District No. 51 Washington Central, NATL-RE FGIC, 9.000%, 12/1/2025	165,000	236,854
Town of Cicero:
5.000%, 1/1/2020	1,000,000	1,076,040
5.000%, 1/1/2021	1,000,000	1,094,510
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,540,696
Village of Elwood, RADIAN:
0.000%, 3/1/2024, Call 9/1/2017	250,000	173,573
0.000%, 3/1/2026, Call 9/1/2017	1,280,000	792,397
Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	443,815
4.000%, 10/1/2019	420,000	446,888
4.000%, 10/1/2020	615,000	664,557
5.000%, 10/1/2022, Call 10/1/2021	730,000	828,754
5.000%, 10/1/2023, Call 10/1/2021	685,000	776,708
5.000%, 10/1/2024, Call 10/1/2021	425,000	481,300
5.000%, 10/1/2025, Call 10/1/2021	920,000	1,040,152
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	560,013
Will & Kankakee Counties School District No 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	563,970
5.000%, 6/1/2029, Call 6/1/2025	600,000	662,586
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,143,312
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,154,095
5.000%, 1/1/2030, Call 1/1/2023	1,500,000	1,327,605
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC, 0.000%, 1/1/2019	695,000	669,327
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.000%, 11/1/2020	245,000	232,461
0.000%, 11/1/2020	1,755,000	1,618,145
0.000%, 11/1/2021	55,000	50,992
0.000%, 11/1/2021	245,000	218,410
0.000%, 11/1/2022	60,000	54,121
0.000%, 11/1/2022	190,000	163,145
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 4/17/2017	1,025,000	1,030,873
Will County School District No. 114 Manhattan, NATL, 0.000%, 12/1/2017	375,000	369,893
Will County School District No. 114, NATL-RE FGIC:
0.000%, 12/1/2020	1,180,000	1,074,378
0.000%, 12/1/2023	1,600,000	1,292,464
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	578,915
Will, Grundy, Etc. Counties Community College District No. 525:
5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,793,448
5.750%, 6/1/2028, Call 6/1/2018	170,000	178,849
Williamson County Community Unit School District No. 5 Carterville, AGC:
0.000%, 1/1/2029, Call 1/1/2019	300,000	165,165
0.000%, 1/1/2033, Call 1/1/2019	1,000,000	414,020
0.000%, 1/1/2034, Call 1/1/2019	1,000,000	383,690
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	471,175
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,874,969
		244,050,577
Indiana — 2.5%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	389,372
City of Greenwood:
4.000%, 10/1/2017	225,000	227,102
4.250%, 10/1/2020, Call 10/1/2018	820,000	865,018
4.625%, 10/1/2024, Call 10/1/2018	520,000	553,192
City of Rockport, 1.750%, 6/1/2018 (8)	1,500,000	1,505,520
City of Whiting, 1.850%, 10/1/2019 (8)	1,150,000	1,149,701
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018	1,000,000	1,055,270

Crown Point Multi School Building Corp., AGM SAW, 5.000%, 1/15/2022, Call 7/15/2017	1,000,000	1,015,750
Damon Run Conservancy District:
4.500%, 1/1/2018	215,000	219,601
4.500%, 7/1/2018	220,000	227,517
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	2,076,694
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,785,209
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	135,440
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	658,660
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,933,898
Gary Chicago International Airport Authority, 5.000%, 2/1/2018 (16)	885,000	906,806
Indiana Bond Bank, 1.300%, 10/15/2022 (8)	1,650,000	1,583,208
Indiana Finance Authority:
3.000%, 7/1/2019	250,000	254,453
5.000%, 8/15/2020	700,000	759,507
5.000%, 10/1/2022	300,000	334,677
5.000%, 10/1/2023	400,000	449,456
5.000%, 10/1/2024, Call 10/1/2023	275,000	306,908
5.000%, 5/1/2029, Call 5/1/2022	4,070,000	4,495,315
5.250%, 10/1/2024, Call 10/1/2021	710,000	818,516
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,519,507
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,658,025
5.500%, 5/1/2024, Call 5/1/2019	1,000,000	1,079,160
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018	500,000	525,120
Indiana Health Facility Financing Authority, AMBAC, 0.998%, 5/1/2031, Call 3/21/2017 (8) (14)	575,000	531,711
Indiana Housing & Community Development Authority, GNMA/FNMA, 4.000%, 12/1/2027, Call 6/1/2021	835,000	853,946
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	538,290
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	196,103
5.000%, 1/1/2022, Call 1/1/2021	200,000	223,016
5.750%, 1/1/2038, Call 1/1/2019	345,000	374,867
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	578,710
Lafayette Redevelopment Authority, 3.000%, 2/1/2018	95,000	96,797
Marion High School Building Corp.:
4.000%, 7/15/2019	455,000	483,315
4.000%, 7/15/2020, Call 1/15/2020	935,000	1,003,059
4.000%, 7/15/2021, Call 1/15/2020	375,000	401,423
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018	1,000,000	1,053,600
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	316,663
5.000%, 1/15/2024	215,000	244,068
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	200,000	218,522
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	609,183
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,418,672
		40,630,547
Iowa — 0.4%
Iowa Finance Authority, 5.000%, 5/15/2036, Call 5/15/2026	4,000,000	4,254,440
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,661,072
		5,915,512
Kansas — 0.2%
County of Sedgwick/County of Shawnee, GNMA/FNMA/FHLMC, 5.875%, 6/1/2039, Call 6/1/2017 (16)	30,000	31,216
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	800,000	882,312
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,072,890
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018	475,000	508,331
Wyandotte County-Kansas City, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,129,790
		3,624,539
Kentucky — 1.0%
City of Winchester, BAM, 3.000%, 7/1/2017	105,000	105,802
Kentucky Asset Liability Commission:

5.000%, 9/1/2024	1,000,000	1,171,380
5.000%, 9/1/2025	1,250,000	1,474,200
Kentucky State Property & Building Commission, NATL, 5.000%, 3/1/2022, Call 3/31/2017	35,000	35,109
Louisville/Jefferson County Metropolitan Government:
5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,461,993
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	3,914,960
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	108,010
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,309,180
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,126,076
5.000%, 10/1/2030, Call 10/1/2026	1,500,000	1,711,875
5.000%, 10/1/2031, Call 10/1/2026	1,250,000	1,419,950
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	280,225
		16,118,760
Louisiana — 3.0%
City of Bossier, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,332,283
City of New Orleans:
5.000%, 6/1/2021	800,000	899,600
5.000%, 12/1/2021	500,000	567,800
5.000%, 6/1/2022	450,000	510,881
5.000%, 12/1/2022	725,000	835,229
5.000%, 6/1/2023	500,000	573,390
5.000%, 12/1/2024	765,000	893,589
5.000%, 6/1/2026, Call 6/1/2025	150,000	171,527
5.000%, 12/1/2026, Call 12/1/2025	240,000	275,873
5.000%, 6/1/2027, Call 6/1/2025	200,000	227,294
5.000%, 6/1/2029, Call 6/1/2025	200,000	224,664
5.000%, 12/1/2029, Call 12/1/2025	350,000	394,293
5.000%, 6/1/2031, Call 6/1/2025	1,650,000	1,835,823
City of Shreveport, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,393,408
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	740,625
4.000%, 10/1/2021	675,000	730,384
Louisiana Housing Corp., GNMA/FNMA/FHLMC:
4.750%, 6/1/2027, Call 6/1/2020	755,000	783,199
5.200%, 6/1/2039, Call 6/1/2017 (16)	65,000	65,115
Louisiana Local Government Environmental Facilities & Community Development Authority, AGM, 4.100%, 10/1/2038, Call 10/1/2024	550,000	558,948
Louisiana Public Facilities Authority, 3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,443,172
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	928,032
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2020	650,000	721,545
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,695,758
4.000%, 3/1/2021	3,585,000	3,861,798
Parish of St. James, 0.800%, 11/1/2040, Call 3/1/2017 (8)	14,000,000	14,000,000
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023 (16)	725,000	776,671
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2021	240,000	194,318
State of Louisiana, 1.016%, 5/1/2018, Call 11/1/2017 (8)	7,000,000	6,952,680
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	542,223
		48,130,122
Maine — 0.6%
City of Portland, 5.000%, 7/1/2022	300,000	338,541
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,500,000	7,836,900
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,721,400
		9,896,841
Maryland — 0.3%
Maryland Health & Higher Educational Facilities Authority, 5.750%, 7/1/2034, Call 7/1/2021	775,000	873,270
Montgomery County Housing Opportunites Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	696,704
5.000%, 1/1/2043, Call 7/1/2022	280,000	295,677
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,298,932
		5,164,583

Massachusetts — 1.1%
Commonwealth of Massachusetts, NATL-RE FGIC:
0.840%, 12/1/2030, Call 3/2/2017 (8) (14)	7,375,000	6,806,380
0.840%, 12/1/2030, Call 3/6/2017 (8) (14)	1,450,000	1,338,202
Massachusetts Development Finance Agency:
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,607,030
5.000%, 7/1/2027, Call 7/1/2025	125,000	146,818
Massachusetts Educational Financing Authority:
5.000%, 7/1/2025, Call 7/1/2022 (16)	500,000	538,410
5.250%, 1/1/2019 (16)	1,150,000	1,232,133
5.250%, 1/1/2019	445,000	468,678
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,346,693
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (16)	1,540,000	1,549,440
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	931,594
		17,965,378
Michigan — 4.7%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	1,004,810
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	733,784
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,481,018
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	702,366
5.000%, 5/1/2026	500,000	587,000
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	415,365
Central Michigan University:
5.000%, 10/1/2034, Call 10/1/2025	750,000	841,583
5.000%, 10/1/2035, Call 10/1/2025	625,000	698,844
Charter Township of Northville:
4.000%, 4/1/2021	400,000	432,316
4.000%, 4/1/2022	240,000	261,127
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	23,362
City of Battle Creek, BAM, 5.000%, 6/1/2033, Call 6/1/2018	1,000,000	1,050,610
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 7/1/2017	95,000	96,268
City of Detroit Sewage Disposal System Revenue, NATL, 0.000%, 7/1/2020	110,000	100,114
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018	1,035,000	1,097,400
City of Wyandotte, BAM:
5.000%, 10/1/2020	200,000	218,442
5.000%, 10/1/2021	290,000	321,172
5.000%, 10/1/2022	290,000	324,159
5.000%, 10/1/2023	250,000	280,593
5.000%, 10/1/2024	300,000	332,877
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	949,454
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	439,440
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	350,823
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,374,396
5.000%, 5/1/2025	1,000,000	1,170,610
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,168,931
Forest Hills Public Schools:
5.000%, 5/1/2020	1,600,000	1,769,616
5.000%, 5/1/2021	1,600,000	1,809,152
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,133,300
5.000%, 5/1/2022	1,000,000	1,146,920
5.000%, 5/1/2025	1,700,000	1,996,854
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	229,538
5.000%, 5/1/2027, Call 5/1/2025	230,000	262,356
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,828,580
5.250%, 5/1/2027, Call 5/1/2021	600,000	674,148
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,768,300
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,110,310
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020 (8)	415,000	457,467
Jenison Public Schools:
5.000%, 5/1/2021	500,000	564,930
5.000%, 5/1/2022, Call 5/1/2021	560,000	630,801

Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,116,290
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,114,520
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,078,800
5.000%, 5/1/2020	1,825,000	2,019,052
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,796,144
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2027, Call 5/1/2025	260,000	278,689
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,470,956
4.000%, 11/1/2029, Call 5/1/2025	940,000	992,913
Mattawan Consolidated School District, Q-SBLF:
5.000%, 5/1/2019	215,000	231,656
5.000%, 5/1/2020	1,205,000	1,333,128
Michigan Finance Authority:
5.000%, 11/1/2020	2,000,000	2,239,320
5.000%, 7/1/2026, Call 7/1/2025	175,000	197,043
5.000%, 7/1/2027, Call 7/1/2025	600,000	671,400
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,067,448
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,655,550
5.000%, 11/15/2032, Call 11/15/2026	1,000,000	1,111,990
5.000%, 7/1/2034, Call 7/1/2025	3,000,000	3,281,670
5.000%, 7/1/2034, Call 7/1/2025	500,000	540,980
5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,084,710
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,707,600
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,701,255
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	917,643
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	232,734
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	508,050
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	277,533
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,880,761
5.000%, 5/1/2021	1,155,000	1,303,995
State of Michigan, FSA, 5.250%, 9/15/2021, Call 9/15/2017	2,100,000	2,150,547
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2018	855,000	873,682
3.000%, 5/1/2019	340,000	350,727
3.250%, 5/1/2020	90,000	94,217
Wayland Union School District, AGM Q-SBLF:
5.000%, 5/1/2024, Call 5/1/2018	500,000	523,680
5.250%, 5/1/2019, Call 5/1/2018	400,000	420,096
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (16)	3,000,000	3,357,900
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,410,212
Wayne State University, AGM:
5.000%, 11/15/2025, Call 11/15/2018	230,000	245,548
5.000%, 11/15/2025, Call 11/15/2018	285,000	302,519
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,301,844
		75,681,938
Minnesota — 0.4%
City of Minneapolis, AGC:
6.500%, 11/15/2038, Call 11/15/2018	165,000	180,168
6.500%, 11/15/2038, Call 11/15/2018	905,000	972,540
City of Minneapolis/St Paul Housing & Redevelopment Authority, 4.000%, 8/15/2019	445,000	470,005
City of Minneapolis/St Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020 (8)	215,000	235,793
City of Minneapolis/St Paul Housing & Redevelopment Authority, NATL-RE, 0.990%, 8/1/2027, Call 3/7/2017 (8) (14)	375,000	348,849
City of Winona, 3.750%, 7/1/2021	170,000	174,716
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020	275,000	305,327
Minnesota Higher Education Facilities Authority, 5.000%, 10/1/2019	400,000	429,892
Minnesota Housing Finance Agency:
3.900%, 7/1/2030, Call 1/1/2022	620,000	639,108
4.000%, 7/1/2040, Call 1/1/2022	625,000	645,319
Minnesota Housing Finance Agency, GNMA, 2.600%, 9/1/2042, Call 7/1/2022	1,033,532	1,009,792

Minnesota Housing Finance Agency, GNMA/FNMA COLL:
2.250%, 12/1/2042, Call 1/1/2022	651,401	626,133
5.000%, 1/1/2031, Call 7/1/2021	650,000	683,338
		6,720,980
Mississippi — 0.3%
Mississippi Development Bank:
3.125%, 10/1/2023	185,000	186,066
5.000%, 10/1/2023	2,615,000	2,862,379
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,359,528
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018	235,000	247,697
Mississippi State University Educational Building Corp.:
5.000%, 11/1/2021	225,000	257,481
5.000%, 11/1/2022	135,000	156,886
		5,070,037
Missouri — 2.3%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,571,280
Chesterfield Valley Transportation Development District:
3.250%, 5/15/2028, Call 5/15/2023	835,000	827,226
4.000%, 5/15/2019	475,000	499,748
5.000%, 5/15/2020	125,000	137,176
5.000%, 5/15/2021	490,000	545,987
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	545,780
5.000%, 9/1/2023, Call 9/1/2019	300,000	326,694
5.000%, 10/1/2026, Call 10/1/2025	120,000	139,706
5.000%, 10/1/2027, Call 10/1/2025	205,000	236,808
5.000%, 10/1/2028, Call 10/1/2025	115,000	132,091
5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,081,280
City of St. Louis, AGM, 5.000%, 7/1/2020, Call 7/1/2017	1,885,000	1,910,900
Health & Educational Facilities Authority:
5.000%, 11/15/2028, Call 5/15/2026	2,000,000	2,300,320
5.000%, 2/1/2030, Call 2/1/2026	800,000	868,192
5.000%, 2/1/2032, Call 2/1/2026	1,000,000	1,072,760
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,278,880
Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	361,901
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,000,000	1,002,960
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	1,975,640
Missouri Health & Educational Facilities Authority, 5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,126,125
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019	335,000	350,162
Missouri Housing Development Commission, GNMA/FNMA/COLL, 5.000%, 9/1/2039, Call 3/1/2019	5,000	5,061
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	755,000	778,737
4.000%, 5/1/2027, Call 5/1/2021	735,000	762,945
Missouri State Environmental Improvement & Energy Resources Authority:
5.750%, 1/1/2029, Call 1/1/2019	685,000	742,992
5.750%, 1/1/2029, Call 1/1/2019	65,000	70,441
Missouri State Health & Educational Facilities Authority:
3.750%, 2/15/2018	950,000	966,283
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,138,660
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018, Call 9/1/2017	2,900,000	2,903,451
St. Louis Regional Convention & Sports Complex Authority, 5.000%, 8/15/2020	3,050,000	3,404,319
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,102,730
5.000%, 3/1/2031, Call 3/1/2020	750,000	827,048
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,102,730
		36,097,013
Nebraska — 0.6%
Central Plains Energy Project, 5.000%, 12/1/2019 (8)	3,000,000	3,262,590
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,089,390
Nebraska Public Power District:
5.000%, 1/1/2025, Call 1/1/2018	750,000	775,995
5.000%, 1/1/2026, Call 1/1/2018	750,000	775,995
5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,105,320

Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	953,857
5.000%, 5/1/2027, Call 5/1/2022	585,000	675,435
5.000%, 5/1/2028, Call 5/1/2022	550,000	633,556
5.000%, 5/1/2029, Call 5/1/2022	660,000	759,218
		10,031,356
Nevada — 1.1%
City of Reno, 5.250%, 6/1/2032, Call 6/1/2017	105,000	106,172
Clark County School District, AMBAC, 5.000%, 6/15/2019, Call 6/15/2017	1,600,000	1,619,552
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,375,895
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,370,340
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,139,110
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	4,159,120
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,075,660
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,825,985
		17,671,834
New Hampshire — 0.1%
New Hampshire Housing Finance Authority:
4.500%, 1/1/2029, Call 7/1/2020	455,000	470,857
4.800%, 7/1/2028, Call 1/1/2022	1,125,000	1,171,440
		1,642,297
New Jersey — 3.5%
City of Passaic, 4.000%, 5/1/2017	280,000	281,464
New Jersey Economic Development Authority:
5.000%, 6/15/2019	3,000,000	3,181,140
5.000%, 6/15/2020	1,500,000	1,609,605
5.000%, 11/1/2021	4,600,000	4,912,524
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	2,673,450
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	6,995,000	7,307,677
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	460,000	474,784
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,846,333
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,851,242
New Jersey State Turnpike Authority, NATL-RE:
1.120%, 1/1/2030, Call 3/7/2017 (8) (14)	350,000	315,023
1.120%, 1/1/2030, Call 3/3/2017 (8) (14)	1,900,000	1,710,137
1.138%, 1/1/2030, Call 3/2/2017 (8) (14)	475,000	427,533
1.260%, 1/1/2030, Call 3/3/2017 (8) (14)	500,000	450,037
New Jersey Transportation Trust Fund Authority:
1.640%, 12/15/2019, Call 6/15/2019 (8)	5,000,000	4,926,600
5.000%, 6/15/2022	500,000	538,365
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,083,450
5.250%, 12/15/2023	240,000	261,672
5.250%, 12/15/2023, Call 12/15/2018	1,355,000	1,439,606
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,311,550
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,054,090
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	5,895,055
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	440,000	355,190
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025	500,000	571,535
		56,478,062
New Mexico — 1.5%
City of Farmington:
1.875%, 4/1/2020 (8)	3,000,000	3,009,390
1.875%, 4/1/2020 (8)	1,750,000	1,755,478
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	719,216
New Mexico Finance Authority:
5.000%, 6/1/2026, Call 6/1/2018	2,395,000	2,511,301
5.700%, 6/1/2026, Call 6/1/2018	465,000	491,952
5.800%, 6/1/2027, Call 6/1/2018	825,000	875,432
New Mexico Finance Authority, NATL-RE, 5.250%, 6/15/2023, Call 6/15/2017	1,000,000	1,012,470
New Mexico Mortgage Finance Authority, GNMA, 2.600%, 2/1/2043, Call 1/1/2023	955,810	940,010

New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.500%, 9/1/2024, Call 9/1/2019	200,000	206,210
5.650%, 9/1/2039, Call 3/1/2019	285,000	297,301
6.000%, 9/1/2039, Call 3/1/2019	315,000	321,032
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL:
4.625%, 3/1/2028, Call 9/1/2021	680,000	702,372
5.350%, 3/1/2030, Call 9/1/2020	1,590,000	1,672,505
New Mexico Municipal Energy Acquisition Authority, 1.273%, 8/1/2019, Call 2/1/2019 (8)	10,000,000	9,977,400
		24,492,069
New York — 4.6%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	172,734
5.000%, 12/1/2024	200,000	231,490
Byron-Bergen Central School District, AGM SAW, 3.000%, 6/15/2018	1,215,000	1,246,213
City of New York, 0.850%, 8/1/2026, Call 3/7/2017 (8) (14)	100,000	100,000
City of New York, AGC:
0.890%, 10/1/2021, Call 3/6/2017 (8) (14)	400,000	400,000
0.890%, 10/1/2027, Call 3/3/2017 (8) (14)	850,000	850,000
City of New York, AGM, 0.790%, 11/1/2026 (8)	2,200,000	2,200,000
City of Newburgh, 2.000%, 5/15/2017	575,000	576,047
Long Island Power Authority, 1.196%, 11/1/2018, Call 5/1/2018 (8)	2,500,000	2,502,375
Metropolitan Transportation Authority:
0.873%, 11/1/2017, Call 5/1/2017 (8)	2,800,000	2,794,904
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,623,925
Metropolitan Transportation Authority, AGM, 1.138%, 5/15/2018, Call 11/15/2017 (8)	4,000,000	4,001,560
New York City Municipal Water Finance Authority, 0.790%, 6/15/2032, Call 3/15/2017 (8)	500,000	500,000
New York City Transitional Finance Authority:
0.780%, 11/1/2022 (8)	2,450,000	2,450,000
0.790%, 8/1/2022, Call 3/1/2017 (8)	5,455,000	5,455,000
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,634,829
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,190,000
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,380,000
New York City Transitional Finance Authority, NATL-RE FGIC, 5.000%, 7/15/2024, Call 3/31/2017	435,000	436,501
New York City Water & Sewer System:
5.000%, 6/15/2028, Call 6/15/2024	500,000	583,105
5.000%, 6/15/2029, Call 6/15/2024	600,000	696,258
New York Convention Center Development Corp., 0.000%, 11/15/2032	1,250,000	673,288
New York Mortgage Agency, 5.000%, 10/1/2019	500,000	541,305
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,642,844
5.000%, 3/15/2028, Call 3/15/2019	625,000	671,644
5.000%, 12/1/2035, Call 6/1/2027 (6)	500,000	534,280
5.000%, 12/1/2037, Call 6/1/2027 (6)	500,000	533,420
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,117,840
New York State Dormitory Authority, NATL-RE, 1.340%, 7/1/2029, Call 3/6/2017 (8) (14)	3,000,000	2,808,441
New York State Energy Research & Development Authority, NATL-RE, 1.120%, 12/1/2020, Call 3/7/2017 (8) (14)	6,450,000	6,212,853
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,154,330
New York Transportation Development Corp.:
4.000%, 7/1/2031, Call 7/1/2024 (16)	2,000,000	1,992,340
5.000%, 7/1/2034, Call 7/1/2024 (16)	1,250,000	1,354,237
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (16)	2,500,000	2,514,100
Niagara Tobacco Asset Securitization Corp., 5.000%, 5/15/2017	300,000	302,520
State of New York, NATL-RE FGIC:
1.007%, 2/15/2022, Call 3/2/2017 (8) (14)	1,045,000	1,015,321
1.007%, 2/13/2032, Call 3/2/2017 (8) (14)	2,080,000	1,942,978
Town of Oyster Bay, 3.500%, 6/1/2018	1,000,000	1,008,480
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,094,760
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,086,820
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	559,220
		73,785,962
North Carolina — 0.8%
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	626,915

5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,147,110
5.000%, 10/1/2024, Call 10/1/2021	835,000	957,436
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	275,268
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,617,640
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,913,349
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	180,000	191,236
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	420,000	435,086
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	502,280
5.000%, 6/1/2027, Call 6/1/2022	500,000	550,210
North Carolina Turnpike Authority, State Appropriation, 5.000%, 7/1/2047, Call 7/1/2026	750,000	813,952
Orange County Public Facilities, 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,318,450
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,854,319
		12,203,251
North Dakota — 1.4%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	659,397
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,546,618
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,866,669
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,533,574
City of Grand Forks:
4.000%, 12/1/2019	535,000	563,569
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,055,150
City of West Fargo, 3.000%, 5/1/2023, Call 5/1/2017	185,000	185,313
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,709,937
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,408,014
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,252,710
North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	675,000	702,581
Williston Parks & Recreation District:
3.000%, 3/1/2017	420,000	420,000
4.500%, 3/1/2020	1,205,000	1,241,740
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,563,708
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,661,501
		22,370,481
Ohio — 4.1%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000	1,108,770
Brookfield Local School District, AGM, 5.000%, 1/15/2030, Call 1/15/2018	400,000	413,132
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,572,462
5.000%, 10/1/2024, Call 10/1/2022	460,000	529,078
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,233,380
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,293,296
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,620,928
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,398,918
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,321,941
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,101,510
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,098,440
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	542,215
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,076,010
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,065,110
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000	326,972
0.000%, 12/1/2025	600,000	469,686
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,129,300
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,291,640
5.000%, 7/1/2029, Call 7/1/2026	2,000,000	2,133,460
5.000%, 5/15/2031, Call 5/15/2023	405,000	458,330
County of Hamilton:
5.000%, 12/1/2029, Call 12/1/2021	975,000	1,106,732
5.000%, 1/1/2031, Call 1/1/2026	1,350,000	1,423,804
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,273,418

County of Lorain, AMBAC:
1.579%, 10/1/2030 (8) (14)	500,000	476,024
1.585%, 10/1/2030 (8) (14)	4,350,000	4,089,609
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	1,056,452
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,421,300
Elyria City School District, School District Credit Program:
4.000%, 12/1/2026, Call 12/1/2022	480,000	526,099
4.000%, 12/1/2027, Call 12/1/2022	1,160,000	1,267,474
4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,233,429
4.000%, 12/1/2032, Call 12/1/2022	1,015,000	1,058,889
4.000%, 12/1/2033, Call 12/1/2022	1,550,000	1,611,225
4.000%, 12/1/2034, Call 12/1/2022	1,435,000	1,487,119
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	829,529
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	742,114
4.000%, 12/1/2024, Call 12/1/2019	835,000	885,108
4.000%, 12/1/2025, Call 12/1/2019	855,000	902,299
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,695,498
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,798,544
Liberty Local School District, AGM, 4.500%, 12/1/2018	885,000	936,206
New Albany Community Authority:
4.000%, 10/1/2020	590,000	636,693
5.000%, 10/1/2022	1,000,000	1,153,010
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,277,225
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	255,266
5.000%, 12/1/2028, Call 12/1/2023	365,000	422,769
5.000%, 12/1/2029, Call 12/1/2023	500,000	576,115
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,126,555
4.000%, 12/1/2021	795,000	860,230
4.000%, 12/1/2022	845,000	917,594
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.200%, 9/1/2029, Call 9/1/2018	1,225,000	1,264,188
Ohio State Turnpike Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,521,533
Ohio State Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,286,186
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	256,037
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	279,285
		64,838,136
Oklahoma — 0.7%
Blanchard Municipal Improvement Authority, BAM, 4.000%, 5/1/2039, Call 5/1/2022	315,000	319,835
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,310,720
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 9/1/2017	2,365,000	2,386,427
4.000%, 9/1/2018	415,000	432,285
4.000%, 9/1/2019	740,000	783,075
4.000%, 9/1/2020	700,000	751,681
4.000%, 9/1/2021	805,000	872,073
Oklahoma Housing Finance Agency, GNMA:
2.500%, 3/1/2022	480,000	481,570
3.300%, 3/1/2031, Call 3/1/2022	1,170,000	1,196,676
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	135,000	139,286
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.250%, 9/1/2029, Call 3/1/2019	15,000	15,231
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (16)	1,405,000	1,563,020
		11,251,879
Oregon — 0.8%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,118,770
City of Tigard:
5.000%, 8/1/2029, Call 8/1/2022	690,000	795,653
5.000%, 8/1/2037, Call 8/1/2025	650,000	730,561
City of Woodburn:
0.000%, 3/1/2020	1,380,000	1,303,645
0.000%, 3/1/2021	1,215,000	1,116,840

Clackamas & Washington Counties School District No. 3, NATL-RE FGIC School Bond Gty, 0.000%, 6/15/2023		2,000,000	1,751,800
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021		250,000	283,580
5.000%, 9/1/2022		505,000	580,341
Multnomah County School District No. 3 Park Rose, School Bond Gty, 5.000%, 6/30/2036, Call 6/30/2021	��	475,000	536,270
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019		210,000	218,948
3.750%, 6/1/2021, Call 6/1/2019		220,000	231,231
4.000%, 6/1/2022, Call 6/1/2019		235,000	248,181
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021		3,000,000	3,395,850
State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call 1/1/2020 (16)		920,000	960,066
			13,271,736
Pennsylvania — 2.2%
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021		500,000	542,450
City of Philadelphia, AGM, 5.250%, 12/15/2023, Call 12/15/2018		755,000	811,700
City of Pittsburgh, 4.000%, 9/1/2021		750,000	817,882
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021		1,450,000	1,566,594
Lancaster Industrial Development Authority:
5.000%, 5/1/2021		360,000	389,714
5.000%, 5/1/2022		430,000	469,960
Lehigh County General Purpose Authority, 4.000%, 11/1/2019		555,000	589,854
Montgomery County Industrial Development Authority, 6.250%, 11/15/2029, Call 11/15/2019		715,000	810,831
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020		1,350,000	1,519,006
Nazareth Area School District, SAW, 1.050%, 2/1/2018, Call 8/1/2017 (8)		500,000	498,160
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020		600,000	556,956
0.000%, 1/1/2021		600,000	537,996
5.000%, 1/1/2022		305,000	342,119
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2022 (16)		2,300,000	2,329,049
Pennsylvania Turnpike Commission:
1.320%, 12/1/2018, Call 6/1/2018 (8)		2,850,000	2,851,938
1.620%, 12/1/2021, Call 6/1/2021 (8)		5,000,000	5,024,650
4.000%, 12/1/2023, Call 12/1/2019		105,000	112,913
4.000%, 12/1/2023, Call 12/1/2019		95,000	100,649
5.000%, 6/1/2021, Call 6/1/2019		715,000	778,142
5.000%, 12/1/2030, Call 12/1/2020 (17)		215,000	243,978
5.000%, 12/1/2030, Call 12/1/2020 (17)		370,000	411,540
5.500%, 12/1/2042, Call 12/1/2026		3,000,000	3,417,150
6.000%, 12/1/2034, Call 12/1/2020 (17)		55,000	64,417
6.000%, 12/1/2034, Call 12/1/2020 (17)		70,000	81,985
6.000%, 12/1/2034, Call 12/1/2020 (17)		270,000	307,614
6.000%, 12/1/2036, Call 12/1/2020		975,000	1,139,980
Pittsburgh Public Schools, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022		1,000,000	1,163,280
Pocono Mountain School District, AGM SAW, 4.000%, 6/15/2021		2,785,000	3,029,217
Sayre Health Care Facilities Authority, 1.404%, 12/1/2024, Call 12/1/2017 (8)		225,000	220,763
Scranton School District, SAW, 1.530%, 4/2/2018, Call 10/2/2017 (8)		3,325,000	3,319,979
State Public School Building Authority, SAW, 1.323%, 9/1/2018, Call 3/1/2018 (8)		1,425,000	1,426,012
			35,476,478
Puerto Rico — 0.0%
Puerto Rico Industrial Tourist Educational Medical & Environmental Control Facilities Financing Authority, NATL-RE, 4.250%, 10/1/2024, Call 3/31/2017		150,000	148,607
Puerto Rico Infrastructure Financing Authority, BHAC, 5.500%, 7/1/2021		275,000	316,060
			464,667
Rhode Island — 1.1%
Rhode Island Housing & Mortgage Finance Corp.:
3.625%, 10/1/2029, Call 10/1/2021		760,000	772,342
4.000%, 10/1/2040, Call 10/1/2021		765,000	784,179
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (16)		300,000	301,935
3.950%, 12/1/2017		250,000	255,983
4.000%, 12/1/2022, Call 12/1/2021 (16)		2,885,000	3,024,634
4.200%, 12/1/2018, Call 12/1/2017		600,000	615,198

4.250%, 12/1/2020, Call 12/1/2017	500,000	508,410
4.250%, 12/1/2025, Call 12/1/2021 (16)	2,205,000	2,272,716
4.500%, 12/1/2021, Call 12/1/2017	1,000,000	1,017,380
4.750%, 12/1/2028, Call 12/1/2021 (16)	1,000,000	1,043,480
4.750%, 12/1/2029, Call 12/1/2021 (16)	680,000	701,209
Rhode Island Turnpike & Bridge Authority, 5.000%, 10/1/2030, Call 4/1/2026	900,000	1,040,544
Tobacco Settlement Financing Corp., 2.250%, 6/1/2041, Call 6/1/2025	3,345,000	3,347,408
Town of Cumberland:
4.000%, 3/15/2024	795,000	877,950
4.000%, 3/15/2026, Call 3/15/2024	460,000	499,914
		17,063,282
South Carolina — 1.1%
City of Rock Hill, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	829,280
5.250%, 1/1/2028, Call 1/1/2022	475,000	539,600
County of Dorchester:
5.000%, 10/1/2022	480,000	557,011
5.000%, 10/1/2026, Call 10/1/2022	400,000	464,864
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,213,740
5.000%, 11/1/2030, Call 11/1/2020	500,000	540,540
5.000%, 11/1/2031, Call 11/1/2024	360,000	407,099
Laurens County Water & Sewer Commission:
5.000%, 3/1/2029, Call 3/1/2017	415,000	415,000
5.000%, 3/1/2032, Call 3/1/2017	1,000,000	1,000,000
Piedmont Municipal Power Agency, AGM:
5.000%, 1/1/2030, Call 7/1/2021	450,000	503,113
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,156,040
South Carolina Jobs-Economic Development Authority, 5.000%, 7/1/2022	1,735,000	1,944,536
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019	110,000	115,842
South Carolina State Public Service Authority:
5.000%, 12/1/2028, Call 12/1/2024	500,000	571,225
5.000%, 12/1/2030, Call 6/1/2026	1,250,000	1,433,075
5.000%, 12/1/2031, Call 6/1/2026	1,250,000	1,423,400
5.500%, 1/1/2038, Call 1/1/2019	920,000	994,612
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023	1,500,000	1,711,140
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	995,904
		17,816,021
South Dakota — 1.1%
City of Rapid City:
5.500%, 12/1/2022, Call 12/1/2019	225,000	242,012
6.750%, 12/1/2031, Call 12/1/2019	500,000	546,525
7.000%, 12/1/2035, Call 12/1/2019	750,000	820,537
South Dakota Health & Educational Facilities Authority:
4.000%, 11/1/2021	500,000	550,370
4.250%, 9/1/2023	740,000	818,588
4.500%, 9/1/2018	500,000	521,780
4.500%, 9/1/2020	900,000	978,120
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,169,165
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,079,179
5.000%, 9/1/2019	200,000	217,950
5.000%, 11/1/2022	715,000	830,916
5.000%, 8/1/2023	375,000	434,299
5.000%, 11/1/2023	625,000	733,288
5.000%, 8/1/2024	195,000	227,358
5.000%, 11/1/2024	650,000	767,604
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,085,750
5.000%, 11/1/2025, Call 11/1/2024	600,000	688,644
5.000%, 11/1/2026, Call 11/1/2024	550,000	626,786
5.000%, 9/1/2027, Call 9/1/2024	720,000	811,375
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017	980,000	994,269
South Dakota Housing Development Authority:
3.750%, 5/1/2018	500,000	512,660
3.900%, 11/1/2030, Call 3/15/2017	155,000	155,172

South Dakota Housing Development Authority, FHLMC COLL, 3.550%, 11/1/2033, Call 11/1/2022	2,355,000	2,363,925
		17,176,272
Tennessee — 1.6%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	5,815,000	6,357,598
Metropolitan Government Nashville & Davidson County Health & Educational Faciilities Board, 5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,127,780
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board:
5.000%, 11/1/2027, Call 11/1/2021	500,000	546,175
5.000%, 7/1/2035, Call 7/1/2026	1,400,000	1,548,218
5.000%, 7/1/2040, Call 7/1/2026	1,350,000	1,479,492
Metropolitan Nashville Airport Authority, 5.000%, 7/1/2017	585,000	593,330
Public Building Authority of Sevier County, AMBAC, 1.138%, 6/1/2018 (8) (14)	375,000	368,894
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,988,459
5.250%, 9/1/2021	3,810,000	4,316,920
5.250%, 9/1/2022	250,000	286,750
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	910,000	952,215
4.125%, 1/1/2025, Call 1/1/2021	665,000	692,697
4.500%, 7/1/2028, Call 1/1/2020	230,000	238,434
5.000%, 1/1/2027, Call 7/1/2019	200,000	206,932
		24,703,894
Texas — 6.6%
Austin Community College District, 5.000%, 8/1/2031, Call 8/1/2025	5,250,000	6,063,278
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	730,744
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,055,920
5.250%, 4/1/2021, Call 4/1/2020	400,000	431,888
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	746,500
City of Beaumont:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,186,900
5.000%, 9/1/2027, Call 9/1/2025	600,000	707,616
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,152,230
City of Galveston, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,198,116
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	287,495
City of Houston Combined Utility System, 5.000%, 11/15/2028, Call 11/15/2025	3,540,000	4,173,412
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	380,912
City of Houston, XLCA, 1.559%, 7/1/2032 (8) (14) (16)	450,000	417,877
City of Laredo International Toll Bridge, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	260,746
5.000%, 10/1/2027, Call 10/1/2024	240,000	277,061
City of San Antonio, 1.040%, 11/1/2017 (8)	1,600,000	1,600,640
City of San Marcos:
4.500%, 11/1/2028, Call 11/1/2022	600,000	653,694
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,370,957
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	798,302
5.000%, 8/15/2027, Call 8/15/2025	545,000	640,484
5.000%, 8/15/2028, Call 8/15/2025	835,000	975,105
5.000%, 8/15/2029, Call 8/15/2025	335,000	389,015
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,445,463
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,146,950
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,447,014
County of Bowie, AGM:
4.000%, 8/1/2021, Call 3/31/2017	1,275,000	1,278,379
4.000%, 8/1/2024, Call 3/31/2017	1,315,000	1,318,195
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,438,000
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,051,244
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,116,530
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	756,722
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,144,230
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,583,150
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,259,140
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,394,892

Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018	1,840,000	1,974,044
Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	720,162
Grand Parkway Transportation Corp., 0.000%, 10/1/2030, Call 10/1/2028 (17)	1,000,000	874,660
Gulf Coast Waste Disposal Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,643,928
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,727,590
Harris County Cultural Education Facilities Finance Corp.:
1.390%, 6/1/2020 (8)	2,000,000	2,006,740
1.470%, 6/1/2021 (8)	2,400,000	2,408,472
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,696,010
Harris County Flood Control District, 5.000%, 10/1/2029, Call 10/1/2025	1,145,000	1,345,421
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	466,380
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	602,492
La Vernia Higher Education Finance Corp.:
5.000%, 8/15/2017	150,000	152,721
5.000%, 8/15/2018	150,000	158,325
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,197,640
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	814,081
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,577,396
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018	675,000	707,630
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	589,705
Nacogdoches County Hospital District, AGM:
3.000%, 5/15/2018	495,000	507,553
3.000%, 5/15/2019	510,000	525,479
New Hope Cultural Education Facilities Finance Corp.:
5.000%, 7/1/2030, Call 7/1/2025	750,000	817,995
5.000%, 11/15/2031, Call 11/15/2024	850,000	870,953
5.000%, 8/15/2036, Call 8/15/2021 (6)	1,700,000	1,620,661
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,014,920
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	469,308
Nolan County Hospital District:
5.000%, 8/15/2022	310,000	351,112
5.000%, 8/15/2023	250,000	285,415
5.000%, 8/15/2024	200,000	229,834
North Texas Tollway Authority:
1.440%, 1/1/2019, Call 7/1/2018 (8)	1,750,000	1,753,063
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,430,252
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,872,677
North Texas Tollway Authority, BHAC:
5.125%, 1/1/2028, Call 1/1/2018	435,000	450,338
5.125%, 1/1/2028, Call 1/1/2018	65,000	67,066
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2017 (8)	2,155,000	2,164,460
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,149,900
Sabine River Authority, MBIA, 4.950%, 3/1/2018	370,000	380,656
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	562,875
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	433,352
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 5/1/2017	1,000,000	1,000,820
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,297,859
5.000%, 11/15/2029, Call 5/15/2026	2,000,000	2,322,900
5.000%, 5/15/2037, Call 5/15/2024	3,250,000	3,266,413
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,265,500
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,083,680
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,564,164
		105,301,403
Utah — 0.8%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	933,564
5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,098,310
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	373,266
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,695,919
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,492,473

Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	1,028,698
Uintah County Municipal Building Authority, 5.300%, 6/1/2028, Call 6/1/2018	1,350,000	1,421,590
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,140,670
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,504,022
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,158,946
Utah State Charter School Finance Authority, 5.250%, 10/15/2028, Call 10/15/2023	480,000	546,523
		13,393,981
Vermont — 0.1%
Vermont Housing Finance Agency, 4.000%, 11/1/2043, Call 5/1/2023	1,250,000	1,306,350
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (16)	130,000	137,432
5.000%, 6/15/2020 (16)	125,000	134,255
		1,578,037
Virgin Islands — 0.2%
Virgin Islands Public Finance Authority, 5.000%, 9/1/2030, Call 9/1/2025 (6)	3,320,000	3,569,598
Virginia — 0.4%
City of Chesapeake, 5.000%, 7/15/2022	500,000	565,350
Henrico County Economic Development Authority, AGM, 1.353%, 8/23/2027, Call 3/1/2017 (8) (14)	50,000	47,513
Stafford County Economic Development Authority:
5.000%, 6/15/2027, Call 6/15/2026	500,000	571,765
5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,133,220
5.000%, 6/15/2030, Call 6/15/2026	700,000	782,579
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	825,698
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,944,558
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,081,030
		6,951,713
Washington — 1.9%
Central Puget Sound Regional Transit Authority, 5.000%, 11/1/2041, Call 11/1/2026	5,000,000	5,742,650
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	173,414
King County Housing Authority:
5.200%, 5/1/2028, Call 11/1/2018	660,000	686,822
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,046,220
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,446,160
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	225,724
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	210,000	210,779
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,352,341
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,196,751
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	747,676
State of Washington, 4.100%, 7/1/2022, Call 1/1/2019	440,000	460,869
Washington Health Care Facilities Authority:
0.000%, 12/1/2017 (6)	175,000	171,920
5.000%, 8/15/2020, Call 8/15/2017	4,460,000	4,511,112
5.000%, 10/1/2030, Call 10/1/2022	750,000	842,467
Washington State Housing Finance Commission, 5.000%, 1/1/2036, Call 1/1/2025 (6)	2,125,000	2,151,201
Washington State Housing Finance Commission, GNMA/FNMA COLL, 3.500%, 10/1/2022, Call 4/1/2021	315,000	323,130
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL:
3.050%, 6/1/2022 (16)	750,000	770,137
3.050%, 12/1/2022 (16)	200,000	205,308
3.150%, 6/1/2023, Call 12/1/2022 (16)	330,000	334,415
3.150%, 12/1/2023, Call 12/1/2022 (16)	150,000	151,808
3.300%, 6/1/2024, Call 12/1/2022 (16)	20,000	20,266
3.450%, 6/1/2025, Call 12/1/2022 (16)	845,000	856,196
WBRP 3.2 Washington Biomed Research Properties Lease:
5.000%, 1/1/2026, Call 7/1/2025	750,000	892,635
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,082,824
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	557,560
5.000%, 12/1/2022	510,000	546,455
		30,706,840

West Virginia — 0.4%
Berkeley County Public Service Sewer District, BAM:
4.500%, 10/1/2029, Call 10/1/2023	1,000,000	1,089,540
4.500%, 10/1/2032, Call 10/1/2023	1,220,000	1,302,179
City of Princeton, 5.000%, 5/1/2017	875,000	879,804
West Virginia Hospital Finance Authority, 5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,711,650
		5,983,173
Wisconsin — 3.5%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	100,070
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	543,135
Public Finance Authority:
4.750%, 12/1/2035, Call 12/1/2020	2,000,000	1,994,500
5.000%, 6/1/2031, Call 6/1/2026	1,500,000	1,675,065
5.000%, 6/1/2032, Call 6/1/2026	1,500,000	1,663,815
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	866,216
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,278,840
5.000%, 5/1/2027, Call 5/1/2022	1,605,000	1,852,732
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,174,508
State of Wisconsin, State Appropriation:
5.750%, 5/1/2029, Call 5/1/2019	105,000	115,397
5.750%, 5/1/2029, Call 5/1/2019	1,050,000	1,150,180
6.000%, 5/1/2033, Call 5/1/2019	135,000	149,086
6.000%, 5/1/2033, Call 5/1/2019	1,280,000	1,406,618
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026	2,200,000	1,088,032
0.000%, 12/15/2034, Call 6/15/2026	6,665,000	3,101,691
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	597,184
5.250%, 12/15/2027	1,930,000	2,264,411
Wisconsin Health & Educational Facilities Authority:
4.500%, 10/15/2026, Call 10/15/2021	20,000	21,534
4.750%, 10/15/2029, Call 10/15/2021	605,000	651,391
5.000%, 8/15/2018	1,000,000	1,056,240
5.000%, 6/1/2019	430,000	444,177
5.000%, 7/1/2019	990,000	1,060,003
5.000%, 8/15/2019	250,000	269,463
5.000%, 8/15/2019	955,000	1,041,380
5.000%, 8/15/2020	1,060,000	1,188,461
5.000%, 3/1/2021	240,000	263,729
5.000%, 8/15/2021	1,160,000	1,329,824
5.000%, 3/1/2022	205,000	227,802
5.000%, 10/1/2022	750,000	870,330
5.000%, 12/15/2022	500,000	577,385
5.000%, 12/15/2023	500,000	583,300
5.000%, 12/15/2024	500,000	586,735
5.000%, 3/1/2025, Call 3/1/2024	315,000	343,070
5.000%, 6/1/2026, Call 6/1/2020	135,000	151,182
5.000%, 8/15/2027, Call 8/15/2022	500,000	585,820
5.000%, 12/15/2028, Call 12/15/2024	100,000	113,490
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,991,788
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	5,022,658
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,072,730
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,858,200
5.125%, 4/15/2031, Call 4/15/2023	250,000	279,183
5.250%, 4/1/2023, Call 4/1/2018	365,000	381,867
5.250%, 6/1/2034, Call 6/1/2020	300,000	326,229
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,786,232
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	4,027,481
Wisconsin Housing & Economic Development Authority, 5.750%, 11/1/2025, Call 5/1/2020 (16)	1,275,000	1,351,640
		56,484,804
Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000	1,102,760

Wyoming Municipal Power Agency, Inc., 5.500%, 1/1/2028, Call 1/1/2018		500,000		519,175
				1,621,935
Total Municipals   (identified cost $1,533,521,588)				1,572,779,819
Mutual Funds — 1.0%
BlackRock Long-Term Municipal Advantage Trust		121,500		1,396,035
BlackRock Muni Intermediate Duration Fund, Inc.		110,000		1,535,600
BlackRock Municipal Bond Trust		93,400		1,452,370
BlackRock Municipal Income Quality Trust		107,800		1,513,512
BlackRock Municipal Income Trust		107,000		1,519,400
BlackRock MuniHoldings Quality Fund, Inc.		93,400		1,259,032
BlackRock MuniYield Quality Fund, Inc.		105,000		1,559,250
BMO Ultra Short Tax-Free Fund - Institutional Class (4)		504,281		5,078,111
Eaton Vance Municipal Income Term Trust		42,000		818,160
Total Mutual Funds (identified cost $15,690,097)				16,131,470
Short-Term Investments — 0.0%	��
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 0.370% (4)		38,819		38,819
Total Short-Term Investments (identified cost $38,819)				38,819
Total Investments — 99.2% (identified cost $1,549,250,504)				1,588,950,108
Other Assets and Liabilities — 0.8%				12,352,194
Total Net Assets — 100.0%			$	1,601,302,302

(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 28, 2017, these securities amounted to: % of Total Fund Amount Net Assets Intermediate Tax-Free Fund $27,229,250 1.70%

Fund	Amount	% of Total Net Assets
Intermediate Tax-Free Fund	$27,229,250	1.70%

(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 28, 2017.

(14) 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.

(16) Securities that are subject to alternative minimum tax represent 2.64% of the Intermediate Tax-Free Fund’s portfolio as calculated based upon total portfolio market value.

(17) 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 26, 2017

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 26, 2017

/s/ Timothy M. Bonin                

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

April 26, 2017