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

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

Milwaukee, WI 53202

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

Milwaukee, WI 53202

(Name and address of agent for service)

Copies to:

Michael P. O'Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

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

Date of fiscal year end: August 31

Date of reporting period: February 29, 2020

Item 1. Reports to Stockholders.

The following is a copy of the report transmitted to shareholders pursuant to Rule 30e-1 under the Investment Company Act of 1940, as amended (the "Act").

BMO Funds February 29, 2020

Semi-Annual

report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

Notification of electronic delivery of shareholder materials

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your broker/dealer, investment professional, or financial institution. Instead, the reports will be made available online at bmofunds.com/documents, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by calling 1-800-236-FUND (3863), by sending an email request to bmofundsus.services@bmo.com, or by asking your broker/dealer, investment professional, or financial institution.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with the Funds, you can call the Funds toll-free at 1-800-236-FUND (3863) or send an email request to bmofundsus.services@bmo.com. Your election to receive reports in paper will apply to all funds held in your account if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with the Funds.

Table of Contents

Financial Information
Expense Example			1
Schedules of Investments:
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	3	BMO Ultra Short Tax-Free Fund	36
BMO Dividend Income Fund	5	BMO Short Tax-Free Fund	38
BMO Large-Cap Value Fund	6	BMO Short-Term Income Fund	41
BMO Large-Cap Growth Fund	8	BMO Intermediate Tax-Free Fund	46
BMO Mid-Cap Value Fund	10	BMO Strategic Income Fund	48
BMO Mid-Cap Growth Fund	12	BMO Corporate Income Fund	52
BMO Small-Cap Value Fund	14	BMO Core Plus Bond Fund	55
BMO Small-Cap Core Fund	16	BMO High Yield Bond Fund	59
BMO Small Cap Growth Fund	19	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	62
BMO Global Low Volatility Equity Fund	21	BMO Tax-Free Money Market Fund	65
BMO Disciplined International Equity Fund	24	BMO Prime Money Market Fund	67
BMO Pyrford International Stock Fund	25	BMO Institutional Prime Money Market Fund	69
BMO LGM Emerging Markets Equity Fund	27
Alternative Funds:
BMO Alternative Strategies Fund	28
Notes to Schedules of Investments			73
Statements of Assets and Liabilities			74
Statements of Operations			80
Statements of Changes in Net Assets			86
Financial Highlights			94
Notes to Financial Statements			106
Shareholder Report Disclosure of Directors’ Approval for Advisory Fee Reduction			136

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 29, 2020

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 29, 2020 (9/1/19-2/29/20).

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.

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/19		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Annualized Expense Ratio(1)
Low Volatility Equity Fund
Advisor	$	1,000.00	$	953.30	$	4.37	$	1,020.39	$	4.52		0.90	%
Institutional		1,000.00		954.70		3.16		1,021.63		3.27		0.65
Dividend Income Fund
Advisor		1,000.00		972.10		4.41		1,020.39		4.52		0.90
Institutional		1,000.00		973.30		3.19		1,021.63		3.27		0.65
Large-Cap Value Fund
Advisor		1,000.00		961.50		3.85		1,020.93		3.97		0.79
Institutional		1,000.00		963.50		2.64		1,022.18		2.72		0.54
Retirement class R-6		1,000.00		963.30		1.90		1,022.92		1.96		0.39
Large-Cap Growth Fund
Investor		1,000.00		1,007.90		3.94		1,020.93		3.97		0.79
Advisor		1,000.00		1,007.50		3.94		1,020.93		3.97		0.79
Institutional		1,000.00		1,009.00		2.70		1,022.18		2.72		0.54
Retirement class R-6		1,000.00		1,009.20		1.95		1,022.92		1.96		0.39
Mid-Cap Value Fund
Advisor		1,000.00		965.60		6.06		1,018.70		6.22		1.24
Institutional		1,000.00		967.10		4.84		1,019.94		4.97		0.99
Retirement class R-6		1,000.00		967.40		4.11		1,020.69		4.22		0.84
Mid-Cap Growth Fund
Advisor		1,000.00		983.20		6.11		1,018.70		6.22		1.24
Institutional		1,000.00		984.90		4.89		1,019.94		4.97		0.99
Retirement class R-6		1,000.00		985.00		4.15		1,020.69		4.22		0.84
Small-Cap Value Fund
Advisor		1,000.00		933.20		5.96		1,018.70		6.22		1.24
Institutional		1,000.00		933.40		4.76		1,019.94		4.97		0.99
Retirement class R-6		1,000.00		934.90		4.04		1,020.69		4.22		0.84

1

Expense Example (Unaudited) (continued)

	Actual Expenses						Hypothetical Expenses
Fund	Beginning account value 9/1/19		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Annualized Expense Ratio(1)
Small-Cap Core Fund
Advisor		1,000.00		952.00		5.58		1,019.14		5.77		1.15
Institutional		1,000.00		953.50		4.37		1,020.39		4.52		0.90
Small-Cap Growth Fund
Advisor		1,000.00		1,008.20		6.19		1,018.70		6.22		1.24
Institutional		1,000.00		1,009.70		4.95		1,019.94		4.97		0.99
Global Low Volatility Equity Fund
Investor		1,000.00		1,000.00		0.00		1,024.86		0.00		0.00
Advisor		1,000.00		956.90		5.35		1,019.39		5.52		1.10
Institutional		1,000.00		957.20		4.14		1,020.64		4.27		0.85
Disciplined International Equity Fund
Advisor		1,000.00		990.50		5.74		1,019.10		5.82		1.16
Institutional		1,000.00		992.20		4.51		1,020.34		4.57		0.91
Pyrford International Stock Fund
Advisor		1,000.00		996.90		5.91		1,018.95		5.97		1.19
Institutional		1,000.00		999.00		4.67		1,020.19		4.72		0.94
Retirement class R-6		1,000.00		999.00		3.93		1,020.93		3.97		0.79
LGM Emerging Markets Equity Fund
Investor		1,000.00		1,000.00		0.00		1,024.86		0.00		0.00
Advisor		1,000.00		980.70		6.89		1,017.90		7.02		1.40
Institutional		1,000.00		981.20		5.66		1,019.14		5.77		1.15
Alternative Strategies Fund
Advisor		1,000.00		938.10		8.19		1,016.36		8.52		1.70
Institutional		1,000.00		939.90		6.99		1,017.65		7.27		1.45
Ultra Short Tax-Free Fund
Advisor		1,000.00		1,008.00		2.75		1,022.13		2.77		0.55
Institutional		1,000.00		1,008.20		1.50		1,023.37		1.51		0.30
Short Tax-Free Fund
Advisor		1,000.00		1,012.30		2.75		1,022.13		2.77		0.55
Institutional		1,000.00		1,012.10		2.00		1,022.87		2.01		0.40
Short-Term Income Fund
Advisor		1,000.00		1,017.40		3.01		1,021.88		3.02		0.60
Institutional		1,000.00		1,018.60		1.76		1,023.12		1.76		0.35
Intermediate Tax-Free Fund
Investor		1,000.00		1,027.90		2.67		1,022.23		2.66		0.53
Advisor		1,000.00		1,028.00		2.62		1,022.28		2.61		0.52
Institutional		1,000.00		1,029.20		1.51		1,023.37		1.51		0.30
Strategic Income Fund
Investor		1,000.00		1,021.90		4.02		1,020.89		4.02		0.80
Advisor		1,000.00		1,021.90		4.02		1,020.89		4.02		0.80
Institutional		1,000.00		1,024.30		2.77		1,022.13		2.77		0.55
Corporate Income Fund
Investor		1,000.00		1,040.30		2.99		1,021.93		2.97		0.59
Advisor		1,000.00		1,040.30		2.99		1,021.93		2.97		0.59
Institutional		1,000.00		1,041.30		2.03		1,022.87		2.01		0.40
Core Plus Bond Fund
Investor		1,000.00		1,028.80		2.82		1,022.08		2.82		0.56
Advisor		1,000.00		1,028.90		2.82		1,022.08		2.82		0.56
Institutional		1,000.00		1,030.10		1.56		1,023.32		1.56		0.31
High Yield Bond Fund
Advisor		1,000.00		1,000.00		4.48		1,020.39		4.52		0.90
Institutional		1,000.00		1,001.20		3.23		1,021.63		3.27		0.65
Government Money Market Fund
Investor		1,000.00		1,006.70		2.25		1,022.63		2.26		0.45
Premier		1,000.00		1,007.90		1.00		1,023.87		1.01		0.20
Tax-Free Money Market Fund
Investor		1,000.00		1,004.20		2.24		1,022.63		2.26		0.45
Premier		1,000.00		1,005.50		1.00		1,023.87		1.01		0.20
Prime Money Market Fund
Investor		1,000.00		1,007.40		2.25		1,022.63		2.26		0.45
Premier		1,000.00		1,008.70		1.00		1,023.87		1.01		0.20
Institutional Prime Money Market Fund
Investor		1,000.00		1,007.50		2.25		1,022.63		2.26		0.45
Premier		1,000.00		1,008.70		1.00		1,023.87		1.01		0.20

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2019 through February 29, 2020, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

2

February 29, 2020 (Unaudited)

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 97.1%
Communication Services — 5.5%
Advertising — 1.1%
Omnicom Group, Inc. (1)		43,323	$	3,001,417
Broadcasting — 0.2%
Discovery, Inc., Class A (1) (2)		24,403		627,157
Cable & Satellite — 1.2%
Charter Communications, Inc., Class A (2)		4,039		1,991,913
Sirius XM Holdings, Inc. (1)		184,546		1,170,022
				3,161,935
Integrated Telecommunication Services — 2.8%
AT&T, Inc. (1)		65,573		2,309,481
Verizon Communications, Inc.		97,612		5,286,666
				7,596,147
Publishing — 0.2%
John Wiley & Sons, Inc., Class A (1)		11,040		410,578
Total Communication Services				14,797,234
Consumer Discretionary — 8.3%
Apparel Retail — 0.6%
TJX Cos., Inc.		26,528		1,586,374
Automotive Retail — 1.9%
AutoZone, Inc. (2)		5,086		5,251,346
Computer & Electronics Retail — 0.3%
Best Buy Co., Inc.		11,316		856,055
Education Services — 1.7%
Bright Horizons Family Solutions, Inc. (2)		23,555		3,701,668
Graham Holdings Co., Class B		1,664		836,793
				4,538,461
General Merchandise Stores — 2.3%
Dollar General Corp.		17,392		2,614,018
Target Corp.		33,836		3,485,108
				6,099,126
Internet Software & Services — 0.2%
eBay, Inc.		18,706		647,976
Restaurants — 0.9%
Brinker International, Inc. (1)		13,485		463,210
Darden Restaurants, Inc. (1)		21,421		2,088,547
				2,551,757
Specialized Consumer Services — 0.4%
ServiceMaster Global Holdings, Inc. (1) (2)		30,493		1,090,735
Total Consumer Discretionary				22,621,830
Consumer Staples — 20.7%
Agricultural Products — 1.7%
Ingredion, Inc.		55,149		4,593,912
Food Distributors — 3.5%
Sysco Corp.		70,797		4,718,620
U.S. Foods Holding Corp. (2)		144,329		4,855,228
				9,573,848
Food Retail — 4.8%
Casey’s General Stores, Inc. (1)		10,048		1,638,025
Kroger Co. (1)		234,041		6,583,573

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Food Retail (continued)
Sprouts Farmers Market, Inc. (2)		306,338	$	4,895,281
				13,116,879
Household Products — 0.5%
Church & Dwight Co., Inc.		11,135		774,105
Procter & Gamble Co.		6,118		692,741
				1,466,846
Hypermarkets & Super Centers — 4.5%
Costco Wholesale Corp.		23,191		6,519,918
Walmart, Inc.		54,113		5,826,888
				12,346,806
Packaged Foods & Meats — 3.5%
Flowers Foods, Inc. (1)		102,791		2,213,090
Hershey Co.		32,053		4,615,311
J.M. Smucker Co. (1)		4,951		509,904
Kellogg Co. (1)		11,316		684,279
Lamb Weston Holdings, Inc.		15,414		1,339,322
				9,361,906
Soft Drinks — 2.2%
PepsiCo, Inc.		44,538		5,880,352
Total Consumer Staples				56,340,549
Energy — 2.0%
Integrated Oil & Gas — 1.8%
Chevron Corp.		41,156		3,841,501
Exxon Mobil Corp. (1)		21,501		1,106,011
				4,947,512
Oil & Gas-Exploration & Production — 0.2%
ConocoPhillips		9,754		472,289
Total Energy				5,419,801
Financials — 14.4%
Asset Management & Custody Banks — 0.2%
Bank of New York Mellon Corp.		16,426		655,397
Consumer Finance — 0.8%
American Express Co. (1)		20,256		2,226,742
Financial Exchanges & Data — 1.2%
Morningstar, Inc. (1)		21,886		3,215,054
Life & Health Insurance — 1.9%
Aflac, Inc.		122,718		5,258,466
Property & Casualty Insurance — 4.4%
Allstate Corp.		54,624		5,749,176
Axis Capital Holdings, Ltd.		74,273		4,168,201
Travelers Cos., Inc.		15,809		1,894,076
				11,811,453
Regional Banks — 2.8%
Citizens Financial Group, Inc.		82,638		2,618,798
PNC Financial Services Group, Inc. (1)		25,252		3,191,853
Popular, Inc. (1)		27,513		1,320,074
Regions Financial Corp.		31,335		423,649
				7,554,374
Reinsurance — 3.1%
Everest Re Group, Ltd. (1)		23,542		5,835,591
RenaissanceRe Holdings, Ltd.		15,103		2,573,551
				8,409,142
Total Financials				39,130,628

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

3

February 29, 2020 (Unaudited)

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare — 11.2%
Biotechnology — 0.8%
Amgen, Inc.		6,909	$	1,379,935
Gilead Sciences, Inc.		10,789		748,325
				2,128,260
Healthcare Equipment — 2.9%
Baxter International, Inc.		51,114		4,266,485
Medtronic PLC		35,580		3,581,839
				7,848,324
Healthcare Facilities — 0.2%
Universal Health Services, Inc., Class B (1)		5,070		627,362
Healthcare Services — 0.1%
MEDNAX, Inc. (1) (2)		13,546		231,501
Pharmaceuticals — 7.2%
Eli Lilly & Co. (1)		43,553		5,493,340
Johnson & Johnson		29,505		3,967,832
Merck & Co., Inc.		66,164		5,065,516
Pfizer, Inc.		153,587		5,132,878
				19,659,566
Total Healthcare				30,495,013
Industrials — 6.8%
Aerospace & Defense — 2.9%
Lockheed Martin Corp. (1)		15,634		5,782,547
Northrop Grumman Corp. (1)		6,438		2,117,072
				7,899,619
Environmental & Facilities Services — 3.6%
Republic Services, Inc.		37,883		3,419,320
Waste Management, Inc. (1)		58,842		6,520,282
				9,939,602
Industrial Conglomerates — 0.3%
Carlisle Cos., Inc.		5,237		760,884
Total Industrials				18,600,105
Information Technology — 4.6%
Application Software — 0.9%
Citrix Systems, Inc. (1)		24,683		2,551,975
Communications Equipment — 2.1%
Motorola Solutions, Inc.		33,535		5,556,079
Data Processing & Outsourced Services — 1.4%
Genpact, Ltd.		96,030		3,693,314
Internet Services & Infrastructure — 0.2%
Palo Alto Networks, Inc. (1) (2)		3,142		580,076
Total Information Technology				12,381,444
Materials — 2.5%
Gold — 2.5%
Newmont Corp.		153,667		6,858,158
Real Estate — 7.5%
Hotel & Resort REIT’s — 1.0%
Apple Hospitality REIT, Inc. (1)		218,499		2,855,782
Office REIT’s — 2.1%
Equity Commonwealth		161,385		5,077,172

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Office REIT’s (continued)
Piedmont Office Realty Trust, Inc., Class A		25,442	$	549,293
				5,626,465
Residential REIT’s — 1.6%
Equity LifeStyle Properties, Inc. (1)		38,672		2,642,458
Essex Property Trust, Inc.		5,870		1,663,323
				4,305,781
Specialized REIT’s — 2.8%
CubeSmart (1)		21,661		655,678
Extra Space Storage, Inc. (1)		11,290		1,133,064
Life Storage, Inc. (1)		6,390		689,545
Public Storage		24,689		5,162,964
				7,641,251
Total Real Estate				20,429,279
Utilities — 13.6%
Electric Utilities — 11.2%
American Electric Power Co., Inc.		72,113		6,436,806
Avangrid, Inc. (1)		45,974		2,284,448
Duke Energy Corp.		43,875		4,023,338
Entergy Corp.		54,919		6,420,580
Evergy, Inc. (1)		38,025		2,484,934
Exelon Corp.		129,256		5,572,226
Xcel Energy, Inc. (1)		52,362		3,263,200
				30,485,532
Multi-Utilities — 2.4%
Ameren Corp.		51,046		4,032,634
CMS Energy Corp. (1)		14,613		882,917
Public Service Enterprise Group, Inc.		27,979		1,435,603
				6,351,154
Total Utilities				36,836,686
Total Common Stocks (identified cost $242,777,306)				263,910,727
Short-Term Investments — 22.9%
Collateral Pool Investments for Securities on Loan — 18.3%
Collateral pool allocation (3)				49,729,451
Mutual Funds — 4.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		12,496,642		12,497,892
Total Short-Term Investments (identified cost $62,227,186)				62,227,343
Total Investments — 120.0% (identified cost $305,004,492)				326,138,070
Other Assets and Liabilities — (20.0)%				(54,426,075	)
Total Net Assets — 100.0%			$	271,711,995

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

4

BMO Funds

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.8%
Communication Services — 8.3%
Broadcasting — 0.6%
Nexstar Media Group, Inc., Class A (1)		14,744	$	1,695,265
Cable & Satellite — 2.8%
Comcast Corp., Class A		198,661		8,031,864
Integrated Telecommunication Services — 4.9%
AT&T, Inc.		171,268		6,032,059
Verizon Communications, Inc.		153,472		8,312,044
				14,344,103
Total Communication Services				24,071,232
Consumer Discretionary — 6.0%
Apparel, Accessories & Luxury Goods — 1.0%
Ralph Lauren Corp.		27,822		2,935,499
Computer & Electronics Retail — 1.2%
Best Buy Co., Inc.		45,195		3,419,002
General Merchandise Stores — 1.1%
Target Corp.		30,243		3,115,029
Home Improvement Retail — 1.8%
Lowe’s Cos., Inc.		48,569		5,175,998
Hotels, Resorts & Cruise Lines — 0.9%
Wyndham Destinations, Inc. (1)		70,326		2,806,008
Total Consumer Discretionary				17,451,536
Consumer Staples — 5.8%
Food Distributors — 2.2%
Sysco Corp.		96,303		6,418,595
Hypermarkets & Super Centers — 1.2%
Walmart, Inc.		32,594		3,509,722
Packaged Foods & Meats — 0.9%
Tyson Foods, Inc., Class A (1)		36,671		2,487,394
Soft Drinks — 1.5%
PepsiCo, Inc.		33,914		4,477,665
Total Consumer Staples				16,893,376
Energy — 6.7%
Integrated Oil & Gas — 1.6%
Chevron Corp.		50,611		4,724,031
Oil & Gas-Exploration & Production — 1.1%
ConocoPhillips		67,625		3,274,403
Oil & Gas-Refining & Marketing — 2.3%
Marathon Petroleum Corp.		56,770		2,692,033
Valero Energy Corp.		59,775		3,960,094
				6,652,127
Oil & Gas-Storage & Transportation — 1.7%
Kinder Morgan, Inc. (1)		252,177		4,834,233
Total Energy				19,484,794
Financials — 15.0%
Asset Management & Custody Banks — 1.3%
Ameriprise Financial, Inc.		27,383		3,869,218
Consumer Finance — 2.4%
Discover Financial Services		22,501		1,475,615
Navient Corp.		139,733		1,569,202

Description		Shares		Value
Common Stocks (continued)
Financials (continued)
Consumer Finance (continued)
Synchrony Financial (1)			133,845	$	3,894,889
	��				6,939,706
Diversified Banks — 4.7%
Bank of America Corp.			50,521		1,439,848
Citigroup, Inc.			118,310		7,507,953
Wells Fargo & Co.			117,556		4,802,163
					13,749,964
Investment Banking & Brokerage — 2.2%
Morgan Stanley (1)			144,041		6,486,166
Property & Casualty Insurance — 1.6%
Allstate Corp.			42,784		4,503,016
Regional Banks — 2.0%
Citizens Financial Group, Inc.			139,461		4,419,519
KeyCorp			85,239		1,393,658
					5,813,177
Reinsurance — 0.8%
Reinsurance Group of America, Inc.			19,707		2,404,845
Total Financials					43,766,092
Healthcare — 12.4%
Biotechnology — 1.9%
AbbVie, Inc.			45,668		3,914,204
Gilead Sciences, Inc.			22,711		1,575,235
					5,489,439
Healthcare Equipment — 1.0%
Medtronic PLC			29,841		3,004,093
Healthcare Services — 1.2%
CVS Health Corp.			59,259		3,506,948
Pharmaceuticals — 8.3%
Bristol-Myers Squibb Co.			56,750		3,351,655
Eli Lilly & Co. (1)			17,588		2,218,374
Johnson & Johnson			58,921		7,923,696
Merck & Co., Inc.			80,264		6,145,012
Pfizer, Inc.			132,759		4,436,806
					24,075,543
Total Healthcare					36,076,023
Industrials — 9.0%
Aerospace & Defense — 2.5%
Boeing Co.			18,741		5,155,836
Lockheed Martin Corp. (1)			5,588		2,066,834
					7,222,670
Airlines — 1.7%
Alaska Air Group, Inc.			41,975		2,118,059
Delta Air Lines, Inc. (1)			61,801		2,850,880
					4,968,939
Building Products — 0.7%
Trane Technologies PLC			16,752		2,161,678
Construction Machinery & Heavy Trucks — 1.3%
Caterpillar, Inc.			29,626		3,680,734
Electrical Components & Equipment — 1.0%
Hubbell, Inc. (1)			22,938		3,056,259
Industrial Machinery — 1.0%
Parker-Hannifin Corp. (1)			8,975		1,658,311

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

5

February 29, 2020 (Unaudited)

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Industrial Machinery (continued)
Timken Co.		30,360	$	1,361,342
				3,019,653
Railroads — 0.8%
Union Pacific Corp. (1)		14,045		2,244,532
Total Industrials				26,354,465
Information Technology — 19.6%
Communications Equipment — 3.0%
Cisco Systems, Inc.		160,974		6,427,692
Motorola Solutions, Inc.		13,148		2,178,360
				8,606,052
Data Processing & Outsourced Services — 0.4%
Sabre Corp. (1)		72,559		987,891
IT Consulting & Other Services — 0.8%
Amdocs, Ltd.		38,125		2,430,469
Semiconductor Equipment — 2.3%
Applied Materials, Inc.		36,302		2,109,872
KLA Corp. (1)		15,003		2,306,111
Lam Research Corp.		8,022		2,353,896
				6,769,879
Semiconductors — 6.7%
Broadcom, Inc.		25,295		6,895,923
Intel Corp.		57,377		3,185,571
QUALCOMM, Inc. (1)		65,805		5,152,531
Texas Instruments, Inc. (1)		38,598		4,405,576
				19,639,601
Systems Software — 5.7%
Microsoft Corp.		74,950		12,142,649
Oracle Corp. (1)		91,828		4,541,813
				16,684,462
Technology Hardware, Storage & Peripherals — 0.7%
NetApp, Inc. (1)		45,993		2,148,793
Total Information Technology				57,267,147
Materials — 3.0%
Diversified Chemicals — 1.4%
Huntsman Corp. (1)		214,091		4,054,884
Fertilizers & Agricultural Chemicals — 0.9%
CF Industries Holdings, Inc. (1)		73,644		2,714,518
Paper Packaging — 0.7%
WestRock Co.		58,885		1,957,926
Total Materials				8,727,328
Real Estate — 7.4%
Hotel & Resort REIT’s — 1.8%
Host Hotels & Resorts, Inc. (1)		370,890		5,370,487
Residential REIT’s — 0.5%
Camden Property Trust		14,753		1,563,523
Retail REIT’s — 1.8%
National Retail Properties, Inc.		29,048		1,477,091
Simon Property Group, Inc. (1)		30,423		3,744,463
				5,221,554
Specialized REIT’s — 3.3%
CyrusOne, Inc.		25,685		1,555,997

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Specialized REIT’s (continued)
Gaming and Leisure Properties, Inc.		58,048	$	2,593,004
Lamar Advertising Co., Class A (1)		64,611		5,410,525
				9,559,526
Total Real Estate				21,715,090
Utilities — 4.6%
Electric Utilities — 2.4%
Entergy Corp.		18,432		2,154,885
Exelon Corp.		75,736		3,264,979
NRG Energy, Inc.		51,878		1,722,869
				7,142,733
Independent Power Producers & Energy Traders — 2.2%
AES Corp.		379,032		6,341,205
Total Utilities				13,483,938
Total Common Stocks (identified cost $270,384,813)				285,291,021
Short-Term Investments — 23.9%
Collateral Pool Investments for Securities on Loan — 21.8%
Collateral pool allocation (3)				63,732,746
Mutual Funds — 2.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		6,049,890		6,050,495
Total Short-Term Investments (identified cost $69,782,797)				69,783,241
Total Investments — 121.7% (identified cost $340,167,610)				355,074,262
Other Assets and Liabilities — (21.7)%				(63,422,430	)
Total Net Assets — 100.0%			$	291,651,832

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.6%
Communication Services — 5.9%
Broadcasting — 1.6%
Discovery, Inc., Class A (1) (2)		204,913	$	5,266,264
Cable & Satellite — 2.3%
Comcast Corp., Class A		184,683		7,466,734
Integrated Telecommunication Services — 2.0%
Verizon Communications, Inc.		116,547		6,312,185
Total Communication Services				19,045,183
Consumer Discretionary — 6.3%
Apparel, Accessories & Luxury Goods — 0.5%
Ralph Lauren Corp.		16,599		1,751,361
Footwear — 0.9%
Deckers Outdoor Corp. (1) (2)		17,511		3,043,412
General Merchandise Stores — 1.5%
Target Corp.		46,210		4,759,630
Homebuilding — 1.0%
PulteGroup, Inc.		81,231		3,265,486

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

6

BMO Funds

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Homefurnishing Retail — 0.5%
Williams-Sonoma, Inc. (1)		24,337	$	1,518,385
Internet & Direct Marketing Retail — 1.4%
Expedia Group, Inc.		44,374		4,376,164
Leisure Products — 0.5%
Polaris, Inc.		18,633		1,537,781
Total Consumer Discretionary				20,252,219
Consumer Staples — 10.0%
Food Distributors — 1.6%
Sysco Corp.		14,410		960,427
U.S. Foods Holding Corp. (2)		127,035		4,273,457
				5,233,884
Food Retail — 0.7%
Kroger Co. (1)		77,154		2,170,342
Household Products — 2.0%
Procter & Gamble Co.		55,583		6,293,663
Hypermarkets & Super Centers — 2.6%
Walmart, Inc.		78,676		8,471,832
Packaged Foods & Meats — 2.1%
General Mills, Inc. (1)		30,104		1,475,096
Hershey Co. (1)		20,597		2,965,762
Tyson Foods, Inc., Class A (1)		31,140		2,112,226
				6,553,084
Soft Drinks — 1.0%
PepsiCo, Inc.		25,257		3,334,682
Total Consumer Staples				32,057,487
Energy — 4.3%
Integrated Oil & Gas — 1.0%
Chevron Corp.		33,966		3,170,387
Oil & Gas-Drilling — 0.8%
Helmerich & Payne, Inc. (1)		70,335		2,594,658
Oil & Gas-Exploration & Production — 2.5%
Cabot Oil & Gas Corp. (1)		239,065		3,330,175
ConocoPhillips		97,340		4,713,203
				8,043,378
Total Energy				13,808,423
Financials — 24.2%
Asset Management & Custody Banks — 1.1%
Ameriprise Financial, Inc.		25,419		3,591,705
Consumer Finance — 2.1%
American Express Co. (1)		25,500		2,803,215
Capital One Financial Corp.		43,012		3,796,239
				6,599,454
Diversified Banks — 6.4%
Bank of America Corp.		308,442		8,790,597
Citigroup, Inc.		144,428		9,165,401
Wells Fargo & Co.		61,387		2,507,659
				20,463,657
Investment Banking & Brokerage — 3.2%
Morgan Stanley (1)		172,271		7,757,363

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Investment Banking & Brokerage (continued)
Raymond James Financial, Inc. (1)		31,621	$	2,644,464
				10,401,827
Property & Casualty Insurance — 4.0%
Allstate Corp.		70,910		7,463,278
Travelers Cos., Inc.		44,440		5,324,356
				12,787,634
Regional Banks — 4.4%
Citizens Financial Group, Inc.		185,354		5,873,868
KeyCorp		240,402		3,930,573
Regions Financial Corp.		214,743		2,903,325
Zions Bancorp NA (1)		40,280		1,609,186
				14,316,952
Reinsurance — 3.0%
Everest Re Group, Ltd. (1)		24,607		6,099,583
Reinsurance Group of America, Inc.		29,425		3,590,733
				9,690,316
Total Financials				77,851,545
Healthcare — 16.2%
Biotechnology — 1.7%
Alexion Pharmaceuticals, Inc. (2)		33,345		3,135,430
Exelixis, Inc. (2)		123,921		2,303,692
				5,439,122
Healthcare Equipment — 5.9%
Baxter International, Inc.		80,683		6,734,610
Hill-Rom Holdings, Inc. (1)		30,154		2,896,291
Hologic, Inc. (2)		56,823		2,677,500
Medtronic PLC		66,372		6,681,669
				18,990,070
Healthcare Technology — 0.7%
Cerner Corp. (1)		31,522		2,183,529
Pharmaceuticals — 7.9%
Eli Lilly & Co. (1)		43,823		5,527,395
Jazz Pharmaceuticals PLC (1) (2)		17,266		1,978,338
Johnson & Johnson		46,277		6,223,331
Merck & Co., Inc.		68,699		5,259,596
Pfizer, Inc.		196,515		6,567,531
				25,556,191
Total Healthcare				52,168,912
Industrials — 8.8%
Aerospace & Defense — 1.1%
Northrop Grumman Corp. (1)		10,686		3,513,984
Agricultural & Farm Machinery — 1.1%
AGCO Corp. (1)		55,784		3,371,027
Airlines — 2.0%
Southwest Airlines Co.		64,789		2,992,604
United Airlines Holdings, Inc. (2)		57,860		3,563,597
				6,556,201
Building Products — 1.5%
Fortune Brands Home & Security, Inc. (1)		37,232		2,299,076
Masco Corp.		64,003		2,644,604
				4,943,680

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

7

February 29, 2020 (Unaudited)

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Construction Machinery & Heavy Trucks — 1.3%
Allison Transmission Holdings, Inc.		99,379	$	4,034,788
Electrical Components & Equipment — 0.5%
Hubbell, Inc. (1)		11,797		1,571,832
Railroads — 0.8%
Kansas City Southern (1)		17,490		2,635,393
Trading Companies & Distributors — 0.5%
United Rentals, Inc. (2)		13,259		1,756,553
Total Industrials				28,383,458
Information Technology — 9.4%
Communications Equipment — 1.9%
Cisco Systems, Inc.		64,736		2,584,909
F5 Networks, Inc. (2)		28,201		3,382,710
				5,967,619
Internet Services & Infrastructure — 1.0%
Akamai Technologies, Inc. (1) (2)		36,843		3,187,288
IT Consulting & Other Services — 0.7%
CACI International, Inc., Class A (2)		9,517		2,331,855
Semiconductors — 2.6%
Intel Corp.		149,579		8,304,626
Systems Software — 3.2%
Microsoft Corp.		31,951		5,176,381
Oracle Corp. (1)		107,008		5,292,616
				10,468,997
Total Information Technology				30,260,385
Materials — 1.6%
Metal & Glass Containers — 0.6%
Berry Global Group, Inc. (2)		54,610		2,072,996
Paper Packaging — 0.5%
WestRock Co.		44,190		1,469,317
Steel — 0.5%
Steel Dynamics, Inc.		58,817		1,566,297
Total Materials				5,108,610
Real Estate — 6.0%
Hotel & Resort REIT’s — 1.2%
Host Hotels & Resorts, Inc. (1)		270,419		3,915,667
Residential REIT’s — 1.2%
Camden Property Trust		37,372		3,960,685
Retail REIT’s — 1.2%
Brixmor Property Group, Inc.		206,429		3,759,072
Specialized REIT’s — 2.4%
American Tower Corp.		12,240		2,776,032
Gaming and Leisure Properties, Inc.		65,316		2,917,666
Lamar Advertising Co., Class A (1)		24,258		2,031,365
				7,725,063
Total Real Estate				19,360,487

Description	Shares		Value
Common Stocks (continued)
Utilities — 4.9%
Electric Utilities — 2.8%
Entergy Corp.		51,698	$	6,044,013
NRG Energy, Inc.		87,043		2,890,698
				8,934,711
Independent Power Producers & Energy Traders — 2.1%
AES Corp.		406,005		6,792,464
Total Utilities				15,727,175
Total Common Stocks (identified cost $309,483,071)				314,023,884
Short-Term Investments — 25.5%
Collateral Pool Investments for Securities on Loan — 23.5%
Collateral pool allocation (3)				75,555,943
Mutual Funds — 2.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		6,315,009		6,315,640
Total Short-Term Investments (identified cost $81,871,583)				81,871,583
Total Investments — 123.1% (identified cost $391,354,654)				395,895,467
Other Assets and Liabilities — (23.1)%				(74,223,394	)
Total Net Assets — 100.0%			$	321,672,073

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 97.2%
Communication Services — 12.6%
Cable & Satellite — 0.8%
Altice USA, Inc., Class A (1) (2)		133,907	$	3,462,835
Interactive Home Entertainment — 1.6%
Take-Two Interactive Software, Inc. (2)		64,783		6,962,877
Interactive Media & Services — 10.2%
Alphabet, Inc., Class A (2)		3,892		5,212,361
Alphabet, Inc., Class C (2)		13,665		18,301,944
Facebook, Inc., Class A (2)		96,859		18,642,452
TripAdvisor, Inc. (1)		57,614		1,351,048
				43,507,805
Total Communication Services				53,933,517
Consumer Discretionary — 11.6%
Automotive Retail — 1.2%
AutoZone, Inc. (2)		4,864		5,022,129
Casinos & Gaming — 1.3%
MGM Resorts International		233,537		5,735,669
Footwear — 1.4%
Deckers Outdoor Corp. (1) (2)		19,558		3,399,180
Skechers U.S.A., Inc., Class A (1) (2)		77,181		2,553,148
				5,952,328
General Merchandise Stores — 1.0%
Target Corp.		43,465		4,476,895

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

8

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Internet & Direct Marketing Retail — 5.5%
Amazon.com, Inc. (2)		9,709	$	18,289,329
Expedia Group, Inc.		54,600		5,384,652
				23,673,981
Restaurants — 1.2%
Chipotle Mexican Grill, Inc. (1) (2)		3,048		2,357,872
Starbucks Corp.		34,660		2,718,383
				5,076,255
Total Consumer Discretionary				49,937,257
Consumer Staples — 4.7%
Household Products — 0.5%
Procter & Gamble Co.		19,262		2,181,036
Hypermarkets & Super Centers — 1.1%
Walmart, Inc.		41,613		4,480,888
Packaged Foods & Meats — 3.1%
Hershey Co.		48,549		6,990,570
Post Holdings, Inc. (1) (2)		63,199		6,399,531
				13,390,101
Total Consumer Staples				20,052,025
Financials — 4.1%
Consumer Finance — 2.3%
American Express Co.		58,355		6,414,965
Discover Financial Services		51,092		3,350,614
				9,765,579
Property & Casualty Insurance — 1.8%
Allstate Corp.		74,474		7,838,388
Total Financials				17,603,967
Healthcare — 13.3%
Biotechnology — 4.1%
Alexion Pharmaceuticals, Inc. (2)		41,209		3,874,882
Amgen, Inc.		25,215		5,036,192
Exelixis, Inc. (2)		187,437		3,484,454
Vertex Pharmaceuticals, Inc. (2)		22,142		4,960,472
				17,356,000
Healthcare Equipment — 2.2%
Edwards Lifesciences Corp. (1) (2)		13,040		2,671,114
Hologic, Inc. (2)		43,476		2,048,589
Masimo Corp. (1) (2)		29,215		4,771,686
				9,491,389
Healthcare Technology — 1.4%
Cerner Corp. (1)		30,494		2,112,319
Veeva Systems, Inc., Class A (1) (2)		28,341		4,023,572
				6,135,891
Pharmaceuticals — 5.6%
Bristol-Myers Squibb Co.		69,656		4,113,884
Horizon Therapeutics PLC (1) (2)		135,669		4,642,593
Jazz Pharmaceuticals PLC (1) (2)		25,652		2,939,206
Merck & Co., Inc.		161,587		12,371,101
				24,066,784
Total Healthcare				57,050,064
Industrials — 10.6%
Aerospace & Defense — 0.9%
Curtiss-Wright Corp.		33,535		4,022,188

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Airlines — 1.3%
Southwest Airlines Co.		124,418	$	5,746,868
Building Products — 2.7%
Fortune Brands Home & Security, Inc. (1)		91,550		5,653,212
Masco Corp.		142,252		5,877,853
				11,531,065
Construction Machinery & Heavy Trucks — 1.8%
Allison Transmission Holdings, Inc.		129,954		5,276,132
Cummins, Inc.		15,727		2,379,338
				7,655,470
Electrical Components & Equipment — 1.1%
Acuity Brands, Inc. (1)		23,910		2,459,383
Hubbell, Inc. (1)		18,219		2,427,499
				4,886,882
Railroads — 1.5%
Kansas City Southern (1)		41,977		6,325,094
Trading Companies & Distributors — 1.3%
WW Grainger, Inc.		19,752		5,481,970
Total Industrials				45,649,537
Information Technology — 37.0%
Application Software — 3.4%
Cadence Design Systems, Inc. (2)		82,722		5,471,233
Intuit, Inc.		8,378		2,227,291
salesforce.com, Inc. (1) (2)		39,661		6,758,235
				14,456,759
Communications Equipment — 2.2%
F5 Networks, Inc. (2)		48,742		5,846,603
Motorola Solutions, Inc.		21,864		3,622,427
				9,469,030
Data Processing & Outsourced Services — 6.8%
FleetCor Technologies, Inc. (2)		24,287		6,455,242
Mastercard, Inc., Class A		51,474		14,940,328
Visa, Inc., Class A (1)		41,856		7,607,747
				29,003,317
Electronic Components — 0.7%
Dolby Laboratories, Inc., Class A		48,427		3,181,654
Internet Services & Infrastructure — 2.3%
Akamai Technologies, Inc. (2)		67,000		5,796,170
Palo Alto Networks, Inc. (2)		21,705		4,007,177
				9,803,347
Semiconductor Equipment — 1.9%
Lam Research Corp.		22,406		6,574,593
Teradyne, Inc. (1)		29,449		1,730,423
				8,305,016
Semiconductors — 1.7%
Broadcom, Inc.		26,099		7,115,109
Systems Software — 11.5%
Fortinet, Inc. (2)		85,245		8,700,105
Microsoft Corp.		198,257		32,119,616
Oracle Corp. (1)		176,385		8,724,002
				49,543,723
Technology Hardware, Storage & Peripherals — 6.5%
Apple, Inc.		96,057		26,258,142

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

9

February 29, 2020 (Unaudited)

Schedules of Investments

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Technology Hardware, Storage & Peripherals (continued)
NetApp, Inc. (1)		35,300	$	1,649,216
				27,907,358
Total Information Technology				158,785,313
Materials — 1.1%
Metal & Glass Containers — 1.1%
Berry Global Group, Inc. (1) (2)		126,384		4,797,537
Real Estate — 2.2%
Residential REIT’s — 1.2%
Essex Property Trust, Inc.		17,945		5,084,895
Specialized REIT’s — 1.0%
CyrusOne, Inc.		30,313		1,836,361
Lamar Advertising Co., Class A (1)		30,532		2,556,750
				4,393,111
Total Real Estate				9,478,006
Total Common Stocks (identified cost $326,392,954)				417,287,223
Short-Term Investments — 18.0%
Collateral Pool Investments for Securities on Loan — 15.2%
Collateral pool allocation (3)				65,262,013
Mutual Funds — 2.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		11,898,000		11,899,190
Total Short-Term Investments (identified cost $77,161,203)				77,161,203
Total Investments — 115.2% (identified cost $403,554,157)				494,448,426
Other Assets and Liabilities — (15.2)%				(65,323,372	)
Total Net Assets — 100.0%			$	429,125,054

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.8%
Communication Services — 2.5%
Advertising — 1.4%
Interpublic Group of Cos., Inc.		78,462	$	1,675,948
Broadcasting — 1.1%
Discovery, Inc., Class A (1) (2)		53,490		1,374,693
Total Communication Services				3,050,641
Consumer Discretionary — 7.4%
Apparel, Accessories & Luxury Goods — 2.4%
PVH Corp. (1)		18,033		1,336,426
Ralph Lauren Corp. (1)		14,658		1,546,565
				2,882,991
Auto Parts & Equipment — 0.9%
Lear Corp. (1)		10,428		1,159,593

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Automotive Retail — 1.1%
AutoZone, Inc. (2)		1,268	$	1,309,223
Hotels, Resorts & Cruise Lines — 0.9%
Norwegian Cruise Line Holdings, Ltd. (2)		30,569		1,139,001
Internet & Direct Marketing Retail — 1.0%
Expedia Group, Inc.		12,119		1,195,176
Restaurants — 1.1%
Aramark (1)		39,568		1,374,592
Total Consumer Discretionary				9,060,576
Consumer Staples — 6.9%
Agricultural Products — 1.5%
Ingredion, Inc.		21,968		1,829,935
Brewers — 1.4%
Molson Coors Beverage Co., Class B (1)		34,830		1,727,916
Food Distributors — 1.2%
Sysco Corp.		20,851		1,389,719
Food Retail — 1.3%
Kroger Co. (1)		55,346		1,556,883
Packaged Foods & Meats — 1.5%
Hershey Co.		12,965		1,866,830
Total Consumer Staples				8,371,283
Energy — 2.8%
Oil & Gas-Exploration & Production — 2.0%
Cabot Oil & Gas Corp. (1)		58,247		811,381
Continental Resources, Inc. (1)		29,100		551,445
Pioneer Natural Resources Co.		8,837		1,085,007
				2,447,833
Oil & Gas-Refining & Marketing — 0.8%
PBF Energy, Inc., Class A		45,291		1,014,065
Total Energy				3,461,898
Financials — 19.1%
Asset Management & Custody Banks — 1.7%
Ameriprise Financial, Inc.		14,431		2,039,100
Consumer Finance — 1.4%
Discover Financial Services		26,344		1,727,640
Investment Banking & Brokerage — 4.0%
E*TRADE Financial Corp.		32,170		1,472,743
Evercore, Inc., Class A (1)		25,825		1,720,462
Raymond James Financial, Inc. (1)		20,272		1,695,347
				4,888,552
Life & Health Insurance — 2.4%
Athene Holding, Ltd., Class A (1) (2)		42,611		1,757,704
Principal Financial Group, Inc.		26,288		1,166,924
				2,924,628
Multi-Line Insurance — 2.8%
American Financial Group, Inc. (1)		16,235		1,500,439
Hartford Financial Services Group, Inc. (1)		39,057		1,950,897
				3,451,336

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

10

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Property & Casualty Insurance — 1.3%
Old Republic International Corp.		83,343	$	1,643,524
Regional Banks — 4.3%
BankUnited, Inc.		41,022		1,218,353
Comerica, Inc. (1)		18,614		979,841
Regions Financial Corp.		107,608		1,454,860
Signature Bank		12,278		1,535,978
				5,189,032
Reinsurance — 1.2%
Reinsurance Group of America, Inc.		11,674		1,424,578
Total Financials				23,288,390
Healthcare — 10.1%
Healthcare Equipment — 4.9%
Hologic, Inc. (1) (2)		42,575		2,006,134
Steris PLC (1)		11,735		1,861,406
Zimmer Biomet Holdings, Inc.		15,461		2,105,015
				5,972,555
Healthcare Facilities — 2.0%
Encompass Health Corp.		33,328		2,494,268
Life Sciences Tools & Services — 1.9%
Charles River Laboratories International, Inc. (2)		14,626		2,275,367
Pharmaceuticals — 1.3%
Jazz Pharmaceuticals PLC (1) (2)		13,337		1,528,153
Total Healthcare				12,270,343
Industrials — 11.8%
Airlines — 0.9%
JetBlue Airways Corp. (2)		72,185		1,139,079
Construction & Engineering — 1.5%
Valmont Industries, Inc.		15,159		1,761,779
Construction Machinery & Heavy Trucks — 2.1%
Allison Transmission Holdings, Inc. (1)		35,011		1,421,447
Cummins, Inc.		7,822		1,183,390
				2,604,837
Electrical Components & Equipment — 2.7%
Hubbell, Inc. (1)		12,864		1,713,999
Regal Beloit Corp.		20,860		1,619,571
				3,333,570
Environmental & Facilities Services — 1.0%
Republic Services, Inc.		13,055		1,178,344
Industrial Machinery — 1.4%
Stanley Black & Decker, Inc.		11,835		1,700,690
Trading Companies & Distributors — 1.4%
United Rentals, Inc. (2)		12,340		1,634,803
Trucking — 0.8%
Ryder System, Inc.		26,544		1,009,734
Total Industrials				14,362,836
Information Technology — 7.9%
Data Processing & Outsourced Services — 0.7%
Sabre Corp. (1)		64,117		872,953

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Electronic Components — 1.3%
Dolby Laboratories, Inc., Class A (1)		24,062	$	1,580,874
Electronic Equipment & Instruments — 1.5%
National Instruments Corp.		43,907		1,768,574
Electronic Manufacturing Services — 1.5%
Jabil, Inc. (1)		56,067		1,796,947
Internet Services & Infrastructure — 1.6%
Akamai Technologies, Inc. (1) (2)		22,210		1,921,387
Semiconductors — 1.3%
ON Semiconductor Corp. (1) (2)		87,083		1,624,969
Total Information Technology				9,565,704
Materials — 4.6%
Commodity Chemicals — 1.2%
Valvoline, Inc.		77,907		1,519,186
Paper Packaging — 1.0%
WestRock Co.		38,047		1,265,063
Specialty Chemicals — 0.9%
Celanese Corp.		11,278		1,057,200
Steel — 1.5%
Steel Dynamics, Inc.		68,103		1,813,583
Total Materials				5,655,032
Real Estate — 15.0%
Hotel & Resort REIT’s — 1.3%
Host Hotels & Resorts, Inc. (1)		111,200		1,610,176
Office REIT’s — 1.5%
Boston Properties, Inc.		14,468		1,865,504
Residential REIT’s — 6.4%
AvalonBay Communities, Inc.		10,969		2,200,272
Camden Property Trust		21,068		2,232,787
Essex Property Trust, Inc. (1)		6,736		1,908,713
UDR, Inc. (1)		31,121		1,399,822
				7,741,594
Retail REIT’s — 1.4%
Realty Income Corp.		23,941		1,733,089
Specialized REIT’s — 4.4%
EPR Properties (1)		25,884		1,533,368
Gaming and Leisure Properties, Inc.		38,835		1,734,759
Lamar Advertising Co., Class A (1)		24,444		2,046,941
				5,315,068
Total Real Estate				18,265,431
Utilities — 10.7%
Electric Utilities — 6.0%
Entergy Corp.		19,477		2,277,056
IDACORP, Inc.		18,987		1,834,904
NRG Energy, Inc.		46,663		1,549,678
Portland General Electric Co. (1)		30,011		1,632,898
				7,294,536
Gas Utilities — 1.2%
UGI Corp. (1)		40,947		1,475,730

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

11

February 29, 2020 (Unaudited)

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Utilities (continued)
Independent Power Producers & Energy Traders — 1.9%
AES Corp.		136,381	$	2,281,654
Multi-Utilities — 1.6%
MDU Resources Group, Inc.		70,719		1,961,038
Total Utilities				13,012,958
Total Common Stocks (identified cost $121,780,764)				120,365,092
Short-Term Investments — 26.1%
Collateral Pool Investments for Securities on Loan —25.0%
Collateral pool allocation (3)				30,444,460
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		1,385,728		1,385,866
Total Short-Term Investments (identified cost $31,830,280)				31,830,326
Total Investments — 124.9% (identified cost $153,611,044)				152,195,418
Other Assets and Liabilities — (24.9)%				(30,341,361	)
Total Net Assets — 100.0%			$	121,854,057

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.6%
Communication Services — 2.7%
Interactive Home Entertainment — 2.7%
Take-Two Interactive Software, Inc. (2)		14,731	$	1,583,288
Zynga, Inc., Class A (2)		142,380		955,370
Total Communication Services				2,538,658
Consumer Discretionary — 11.4%
Apparel Retail — 1.7%
Burlington Stores, Inc. (1) (2)		7,078		1,530,688
Apparel, Accessories & Luxury Goods — 1.5%
Columbia Sportswear Co. (1)		16,815		1,367,059
Automotive Retail — 1.0%
O’Reilly Automotive, Inc. (2)		2,593		956,091
Casinos & Gaming — 1.4%
MGM Resorts International		52,142		1,280,608
Footwear — 1.6%
Deckers Outdoor Corp. (1) (2)		8,326		1,447,059
General Merchandise Stores — 1.5%
Dollar General Corp.		9,480		1,424,844
Hotels, Resorts & Cruise Lines — 1.4%
Hilton Worldwide Holdings, Inc. (1)		13,271		1,289,941
Leisure Products — 1.3%
Polaris, Inc.		15,054		1,242,407
Total Consumer Discretionary				10,538,697

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 3.7%
Food Distributors — 1.5%
U.S. Foods Holding Corp. (2)		40,213	$	1,352,765
Food Retail — 0.9%
Sprouts Farmers Market, Inc. (2)		53,162		849,529
Packaged Foods & Meats — 1.3%
Post Holdings, Inc. (1) (2)		12,371		1,252,687
Total Consumer Staples				3,454,981
Energy — 0.7%
Oil & Gas-Exploration & Production — 0.7%
Cabot Oil & Gas Corp.		44,819		624,329
Financials — 4.2%
Investment Banking & Brokerage — 1.4%
LPL Financial Holdings, Inc.		16,271		1,293,219
Property & Casualty Insurance — 1.2%
Hanover Insurance Group, Inc. (1)		9,494		1,125,419
Reinsurance — 1.6%
Everest Re Group, Ltd. (1)		6,005		1,488,519
Total Financials				3,907,157
Healthcare — 18.0%
Biotechnology — 4.6%
Exelixis, Inc. (2)		87,242		1,621,829
Incyte Corp. (1) (2)		9,695		731,100
Ionis Pharmaceuticals, Inc. (1) (2)		17,510		889,158
Neurocrine Biosciences, Inc. (1) (2)		11,140		1,054,958
				4,297,045
Healthcare Equipment — 7.1%
ABIOMED, Inc. (1) (2)		4,860		730,264
DexCom, Inc. (2)		5,319		1,468,044
IDEXX Laboratories, Inc. (1) (2)		6,016		1,531,132
Masimo Corp. (1) (2)		10,105		1,650,450
Teleflex, Inc. (1)		3,571		1,196,356
				6,576,246
Healthcare Supplies — 1.0%
Haemonetics Corp. (2)		8,582		929,688
Healthcare Technology — 1.6%
Veeva Systems, Inc., Class A (2)		10,248		1,454,909
Life Sciences Tools & Services — 2.8%
Bio-Rad Laboratories, Inc., Class A (1) (2)		4,300		1,513,686
Bio-Techne Corp. (1)		5,732		1,082,717
				2,596,403
Pharmaceuticals — 0.9%
Jazz Pharmaceuticals PLC (1) (2)		7,244		830,017
Total Healthcare				16,684,308
Industrials — 15.1%
Building Products — 2.8%
Fortune Brands Home & Security, Inc. (1)		23,044		1,422,967
Masco Corp.		28,431		1,174,769
				2,597,736
Construction Machinery & Heavy Trucks — 1.4%
Cummins, Inc.		8,474		1,282,031

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

12

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Electrical Components & Equipment — 2.5%
Hubbell, Inc. (1)		10,167	$	1,354,651
Sensata Technologies Holding PLC (2)		23,967		977,854
				2,332,505
Environmental & Facilities Services — 1.3%
Clean Harbors, Inc. (1) (2)		16,758		1,165,016
Human Resource & Employment Services — 0.9%
Insperity, Inc. (1)		12,861		865,159
Industrial Machinery — 3.0%
Flowserve Corp. (1)		31,381		1,261,203
ITT, Inc.		25,155		1,513,073
				2,774,276
Research & Consulting Services — 3.2%
CoStar Group, Inc. (2)		2,443		1,630,923
TransUnion		15,209		1,352,384
				2,983,307
Total Industrials				14,000,030
Information Technology — 34.4%
Application Software — 9.4%
Dropbox, Inc. (1) (2)		45,219		884,484
HubSpot, Inc. (1) (2)		6,836		1,226,720
New Relic, Inc. (2)		24,382		1,371,731
Paylocity Holding Corp. (2)		7,393		957,541
PTC, Inc. (1) (2)		13,795		1,042,212
Splunk, Inc. (1) (2)		11,291		1,663,503
Synopsys, Inc. (2)		11,291		1,557,368
				8,703,559
Communications Equipment — 3.3%
Ciena Corp. (1) (2)		27,128		1,043,072
F5 Networks, Inc. (1) (2)		9,292		1,114,575
Motorola Solutions, Inc.		5,479		907,761
				3,065,408
Data Processing & Outsourced Services — 4.2%
Euronet Worldwide, Inc. (2)		10,777		1,336,779
Genpact, Ltd.		35,616		1,369,791
WEX, Inc. (1) (2)		6,541		1,224,737
				3,931,307
Electronic Components — 1.3%
Dolby Laboratories, Inc., Class A		17,877		1,174,519
Electronic Equipment & Instruments — 2.1%
Keysight Technologies, Inc. (1) (2)		20,060		1,900,886
Internet Services & Infrastructure — 3.2%
GoDaddy, Inc., Class A (1) (2)		22,815		1,596,593
Palo Alto Networks, Inc. (2)		7,656		1,413,451
				3,010,044
IT Consulting & Other Services — 1.9%
EPAM Systems, Inc. (2)		7,791		1,738,951
Semiconductor Equipment — 2.9%
KLA Corp. (1)		9,079		1,395,533
Teradyne, Inc. (1)		22,672		1,332,207
				2,727,740

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Semiconductors — 2.7%
Maxim Integrated Products, Inc.		20,955	$	1,165,517
ON Semiconductor Corp. (1) (2)		70,054		1,307,208
				2,472,725
Systems Software — 2.5%
FireEye, Inc. (1) (2)		66,464		879,651
Proofpoint, Inc. (1) (2)		13,140		1,401,381
				2,281,032
Technology Hardware, Storage & Peripherals — 0.9%
Pure Storage, Inc., Class A (2)		56,964		869,271
Total Information Technology				31,875,442
Materials — 3.2%
Commodity Chemicals — 1.2%
Valvoline, Inc.		57,544		1,122,108
Specialty Chemicals — 1.3%
Axalta Coating Systems, Ltd. (2)		50,138		1,249,439
Steel — 0.7%
Steel Dynamics, Inc.		22,774		606,472
Total Materials				2,978,019
Real Estate — 5.2%
Office REIT’s — 1.1%
Boston Properties, Inc.		8,194		1,056,534
Real Estate Services — 1.7%
CBRE Group, Inc., Class A (1) (2)		27,671		1,553,450
Residential REIT’s — 2.4%
Equity LifeStyle Properties, Inc. (1)		19,139		1,307,768
Essex Property Trust, Inc.		3,295		933,671
				2,241,439
Total Real Estate				4,851,423
Total Common Stocks (identified cost $84,497,069)				91,453,044
Short-Term Investments — 37.2%
Collateral Pool Investments for Securities on Loan — 36.0%
Collateral pool allocation (3)				33,461,108
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		1,113,511		1,113,622
Total Short-Term Investments (identified cost $34,574,730)				34,574,730
Total Investments — 135.8% (identified cost $119,071,799)				126,027,774
Other Assets and Liabilities — (35.8)%				(33,250,863	)
Total Net Assets — 100.0%			$	92,776,911

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

13

February 29, 2020 (Unaudited)

Schedules of Investments

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 97.9%
Consumer Discretionary — 8.6%
Apparel Retail — 0.4%
Genesco, Inc. (1) (2)		5,428	$	186,777
Auto Parts & Equipment — 1.2%
Dana, Inc. (1)		28,766		413,655
Modine Manufacturing Co. (1) (2)		22,586		168,492
				582,147
Automotive Retail — 1.0%
Murphy USA, Inc. (2)		5,340		520,650
Casinos & Gaming — 0.3%
Golden Entertainment, Inc. (1) (2)		8,729		142,108
Education Services — 0.7%
K12, Inc. (2)		17,595		349,789
Footwear — 0.9%
Deckers Outdoor Corp. (1) (2)		2,486		432,067
Home Furnishings — 0.7%
La-Z-Boy, Inc. (1)		12,249		350,934
Homebuilding — 2.6%
Beazer Homes USA, Inc. (1) (2)		27,195		333,411
KB Home (1)		14,218		463,364
M/I Homes, Inc. (1) (2)		5,635		209,791
Meritage Homes Corp. (2)		4,715		299,214
				1,305,780
Leisure Products — 0.3%
Johnson Outdoors, Inc., Class A		2,433		151,844
Specialty Stores — 0.5%
Hibbett Sports, Inc. (1) (2)		13,974		272,772
Total Consumer Discretionary				4,294,868
Consumer Staples — 1.1%
Food Distributors — 0.2%
SpartanNash Co.		8,984		111,671
Household Products — 0.9%
Central Garden & Pet Co., Class A (2)		16,483		417,185
Total Consumer Staples				528,856
Energy — 2.7%
Oil & Gas-Equipment & Services — 1.6%
Helix Energy Solutions Group, Inc. (1) (2)		33,153		222,457
Liberty Oilfield Services, Inc., Class A (1)		24,094		161,189
Matrix Service Co. (2)		16,057		193,968
Newpark Resources, Inc. (1) (2)		56,287		197,567
				775,181
Oil & Gas-Refining & Marketing — 1.1%
Delek US Holdings, Inc. (1)		6,425		137,367
World Fuel Services Corp.		15,129		427,848
				565,215
Total Energy				1,340,396
Financials — 28.3%
Asset Management & Custody Banks — 0.6%
Waddell & Reed Financial, Inc., Class A (1)		23,316		320,828

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Consumer Finance — 0.6%
Nelnet, Inc., Class A (1)		5,724	$	303,944
Investment Banking & Brokerage — 2.0%
Evercore, Inc., Class A		5,629		375,004
Stifel Financial Corp. (1)		11,746		639,452
				1,014,456
Life & Health Insurance — 1.2%
American Equity Investment Life Holding Co.		23,036		582,350
Multi-Line Insurance — 0.9%
National General Holdings Corp. (1)		22,048		429,275
Property & Casualty Insurance — 1.1%
Employers Holdings, Inc. (1)		13,831		533,047
Regional Banks — 16.2%
1st Source Corp. (1)		5,357		225,262
Atlantic Capital Bancshares, Inc. (1) (2)		11,159		202,313
Bancorp, Inc. (1) (2)		18,104		220,326
Boston Private Financial Holdings, Inc. (1)		28,332		276,379
Bryn Mawr Bank Corp.		4,393		146,023
Cathay General Bancorp (1)		19,018		585,374
Central Pacific Financial Corp.		15,294		365,832
Community Trust Bancorp, Inc.		4,245		164,197
Financial Institutions, Inc.		5,304		142,731
First Bancorp/Southern Pines NC		7,680		246,528
First Commonwealth Financial Corp.		27,864		328,795
Great Southern Bancorp, Inc. (1)		2,246		115,242
Great Western Bancorp, Inc.		18,809		505,398
Hancock Whitney Corp. (1)		18,066		605,211
Hanmi Financial Corp.		17,410		271,596
Heartland Financial USA, Inc. (1)		4,735		202,895
Hilltop Holdings, Inc.		21,889		455,948
Independent Bank Corp.		10,417		203,861
International Bancshares Corp. (1)		16,026		546,486
Lakeland Bancorp, Inc.		8,511		122,601
Peapack Gladstone Financial Corp. (1)		5,736		157,453
Peoples Bancorp, Inc.		4,094		116,884
Preferred Bank (1)		6,819		348,655
QCR Holdings, Inc.		3,370		128,262
Sandy Spring Bancorp, Inc. (1)		15,170		466,629
Texas Capital Bancshares, Inc. (2)		7,514		353,759
Univest Financial Corp.		7,121		166,631
Wintrust Financial Corp.		7,868		420,230
				8,091,501
Thrifts & Mortgage Finance — 5.7%
Axos Financial, Inc. (2)		12,752		317,652
Essent Group, Ltd.		11,791		514,559
First Defiance Financial Corp.		8,307		198,662
Flagstar Bancorp, Inc.		13,023		415,173
HomeStreet, Inc.		9,948		269,491
NMI Holdings, Inc., Class A (2)		16,934		395,240
TrustCo Bank Corp. (1)		31,342		215,006
Walker & Dunlop, Inc.		8,351		541,563
				2,867,346
Total Financials				14,142,747
Healthcare — 7.8%
Biotechnology — 1.5%
Alkermes PLC (2)		14,294		297,887
Emergent BioSolutions, Inc. (2)		5,497		322,564

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

14

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Biotechnology (continued)
Myriad Genetics, Inc. (1) (2)		7,248	$	127,710
				748,161
Healthcare Equipment — 3.5%
AngioDynamics, Inc. (1) (2)		17,361		199,478
CONMED Corp.		5,045		477,459
Integer Holdings Corp. (2)		5,082		458,244
Natus Medical, Inc. (1) (2)		11,922		320,463
Orthofix Medical, Inc. (2)		8,213		290,247
				1,745,891
Healthcare Supplies — 0.7%
Meridian Bioscience, Inc.		19,715		157,523
OraSure Technologies, Inc. (1) (2)		33,049		199,285
				356,808
Healthcare Technology — 1.2%
Computer Programs & Systems, Inc.		10,150		271,817
HMS Holdings Corp. (2)		14,261		327,575
				599,392
Life Sciences Tools & Services — 0.9%
Luminex Corp. (1)		17,044		422,010
Total Healthcare				3,872,262
Industrials — 15.1%
Air Freight & Logistics — 0.6%
Echo Global Logistics, Inc. (2)		16,527		304,923
Airlines — 1.2%
Hawaiian Holdings, Inc. (1)		13,363		279,019
Spirit Airlines, Inc. (2)		11,969		340,518
				619,537
Building Products — 2.4%
Builders FirstSource, Inc. (2)		20,087		456,176
Masonite International Corp. (2)		6,172		453,642
Quanex Building Products Corp.		16,560		278,208
				1,188,026
Construction & Engineering — 1.3%
EMCOR Group, Inc. (1)		3,950		303,834
Valmont Industries, Inc.		2,977		345,987
				649,821
Diversified Support Services — 1.0%
UniFirst Corp.		2,745		510,048
Electrical Components & Equipment — 0.7%
Regal Beloit Corp.		4,622		358,852
Human Resource & Employment Services — 0.9%
Heidrick & Struggles International, Inc.		9,888		220,502
TrueBlue, Inc. (2)		16,076		239,211
				459,713
Industrial Machinery — 2.4%
Columbus McKinnon Corp.		6,326		196,676
EnPro Industries, Inc.		4,086		220,440
Lydall, Inc. (2)		12,099		144,099
SPX FLOW, Inc. (1) (2)		9,799		360,407
Watts Water Technologies, Inc., Class A		2,798		262,760
				1,184,382

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Office Services & Supplies — 1.2%
Kimball International, Inc., Class B		11,003	$	178,029
Steelcase, Inc., Class A (1)		26,666		432,522
				610,551
Research & Consulting Services — 0.9%
CBIZ, Inc. (1) (2)		17,191		447,654
Trading Companies & Distributors — 2.1%
BMC Stock Holdings, Inc. (2)		19,130		469,259
Foundation Building Materials, Inc. (1) (2)		11,641		181,600
H&E Equipment Services, Inc. (1)		9,725		231,066
Herc Holdings, Inc. (1) (2)		4,371		160,328
				1,042,253
Trucking — 0.4%
ArcBest Corp.		9,338		184,986
Total Industrials				7,560,746
Information Technology — 12.8%
Communications Equipment — 1.9%
Comtech Telecommunications Corp. (1)		15,518		434,814
Digi International, Inc. (1) (2)		19,650		260,166
NetScout Systems, Inc. (1) (2)		10,070		258,799
				953,779
Data Processing & Outsourced Services — 1.1%
Sykes Enterprises, Inc. (1) (2)		16,724		529,816
Electronic Components — 2.2%
Belden, Inc.		6,078		242,695
Knowles Corp. (1) (2)		17,496		290,783
Vishay Intertechnology, Inc. (1)		31,327		585,815
				1,119,293
Electronic Equipment & Instruments — 0.3%
Vishay Precision Group, Inc. (1) (2)		4,863		133,587
Electronic Manufacturing Services — 2.8%
Benchmark Electronics, Inc. (1)		16,704		454,015
CTS Corp. (1)		9,537		248,629
Fabrinet (2)		8,274		456,063
Sanmina Corp. (2)		9,925		260,928
				1,419,635
IT Consulting & Other Services — 1.1%
KBR, Inc. (1)		21,048		546,406
Semiconductor Equipment — 2.1%
Amkor Technology, Inc. (2)		41,031		428,158
Photronics, Inc. (2)		16,858		209,882
Ultra Clean Holdings, Inc. (1) (2)		20,450		427,610
				1,065,650
Semiconductors — 0.8%
Diodes, Inc. (1) (2)		8,857		389,797
Technology Distributors — 0.5%
Insight Enterprises, Inc. (1) (2)		4,434		244,269
Total Information Technology				6,402,232
Materials — 4.2%
Commodity Chemicals — 0.6%
Koppers Holdings, Inc. (2)		14,747		322,370
Forest Products — 1.2%
Boise Cascade Co.		16,900		599,612

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

15

February 29, 2020 (Unaudited)

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Specialty Chemicals — 1.4%
Kraton Corp. (1) (2)		15,795	$	159,845
Stepan Co. (1)		5,838		512,752
				672,597
Steel — 1.0%
Commercial Metals Co. (1)		15,793		288,380
Schnitzer Steel Industries, Inc., Class A (1)		13,702		225,809
				514,189
Total Materials				2,108,768
Real Estate — 12.1%
Diversified REIT’s — 3.9%
Alexander & Baldwin, Inc. (1)		27,308		513,390
Essential Properties Realty Trust, Inc.		10,325		236,546
Gladstone Commercial Corp.		8,622		162,697
Lexington Realty Trust (1)		57,640		597,727
PS Business Parks, Inc. (1)		2,955		438,965
				1,949,325
Hotel & Resort REIT’s — 2.6%
Summit Hotel Properties, Inc. (1)		43,769		405,738
Sunstone Hotel Investors, Inc.		43,587		477,278
Xenia Hotels & Resorts, Inc. (1)		28,474		425,971
				1,308,987
Industrial REIT’s — 1.7%
First Industrial Realty Trust, Inc. (1)		18,001		693,038
STAG Industrial, Inc.		5,219		146,028
				839,066
Office REIT’s — 2.0%
City Office REIT, Inc.		29,453		341,655
Piedmont Office Realty Trust, Inc., Class A (1)		29,979		647,247
				988,902
Retail REIT’s — 0.8%
RPT Realty		19,448		252,046
Saul Centers, Inc. (1)		3,890		167,309
				419,355
Specialized REIT’s — 1.1%
National Storage Affiliates Trust (1)		15,525		523,814
Total Real Estate				6,029,449
Utilities — 5.2%
Electric Utilities — 2.9%
IDACORP, Inc.		4,346		419,997
PNM Resources, Inc.		6,636		312,423
Portland General Electric Co. (1)		12,956		704,936
				1,437,356
Gas Utilities — 0.7%
Southwest Gas Holdings, Inc. (1)		5,865		379,348
Multi-Utilities — 1.6%
Black Hills Corp. (1)		7,350		530,670
Unitil Corp. (1)		4,657		262,376
				793,046
Total Utilities				2,609,750
Total Common Stocks (identified cost $51,902,020)				48,890,074

Description	Shares		Value
Short-Term Investments — 35.1%
Collateral Pool Investments for Securities on Loan — 33.4%
Collateral pool allocation (3)			$	16,668,243
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		850,300		850,385
Total Short-Term Investments (identified cost $17,518,609)				17,518,628
Total Investments — 133.0% (identified cost $69,420,629)				66,408,702
Other Assets and Liabilities — (33.0)%				(16,476,190	)
Total Net Assets — 100.0%			$	49,932,512

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 97.7%
Communication Services — 2.0%
Alternative Carriers — 2.0%
Cogent Communications Holdings, Inc. (1)		2,027	$	147,991
Iridium Communications, Inc. (2)		4,370		118,296
Total Communication Services				266,287
Consumer Discretionary — 9.4%
Apparel Retail — 1.0%
Genesco, Inc. (1) (2)		2,092		71,986
Zumiez, Inc. (1) (2)		2,270		60,223
				132,209
Auto Parts & Equipment — 1.6%
American Axle & Manufacturing Holdings, Inc. (2)		8,699		55,065
Dana, Inc.		7,545		108,497
Modine Manufacturing Co. (1) (2)		5,762		42,984
				206,546
Casinos & Gaming — 1.0%
Everi Holdings, Inc. (1) (2)		9,446		98,238
Golden Entertainment, Inc. (1) (2)		2,000		32,560
				130,798
Education Services — 0.6%
K12, Inc. (1) (2)		4,308		85,643
Footwear — 1.3%
Crocs, Inc. (2)		3,014		78,877
Deckers Outdoor Corp. (1) (2)		544		94,547
				173,424
Homebuilding — 2.6%
KB Home (1)		2,848		92,816
Meritage Homes Corp. (2)		1,984		125,905
Skyline Champion Corp. (2)		4,669		118,966
				337,687
Leisure Products — 0.8%
Malibu Boats, Inc., Class A (1) (2)		2,334		102,556
Specialty Stores — 0.5%
Hibbett Sports, Inc. (1) (2)		3,201		62,484
Total Consumer Discretionary				1,231,347

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

16

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 2.4%
Food Distributors — 1.1%
Performance Food Group Co. (1) (2)		3,441	$	145,898
Household Products — 0.9%
Central Garden & Pet Co., Class A (1) (2)		4,586		116,072
Personal Products — 0.4%
elf Beauty, Inc. (2)		3,568		56,945
Total Consumer Staples				318,915
Energy — 1.8%
Oil & Gas-Equipment & Services — 1.1%
Helix Energy Solutions Group, Inc. (1) (2)		7,765		52,103
Matrix Service Co. (2)		3,957		47,801
Select Energy Services, Inc., Class A (2)		7,010		45,565
				145,469
Oil & Gas-Refining & Marketing — 0.7%
World Fuel Services Corp. (1)		3,464		97,962
Total Energy				243,431
Financials — 14.7%
Consumer Finance — 0.4%
Nelnet, Inc., Class A (1)		895		47,525
Investment Banking & Brokerage — 1.7%
Evercore, Inc., Class A		1,660		110,589
Oppenheimer Holdings, Inc., Class A		1,364		32,368
Stifel Financial Corp.		1,503		81,823
				224,780
Life & Health Insurance — 1.5%
American Equity Investment Life Holding Co.		3,585		90,629
Primerica, Inc.		983		109,447
				200,076
Property & Casualty Insurance — 0.9%
Employers Holdings, Inc. (1)		3,134		120,784
Regional Banks — 6.7%
1st Source Corp. (1)		1,383		58,155
Bancorp, Inc. (1) (2)		2,485		30,242
Cathay General Bancorp (1)		4,062		125,028
Central Pacific Financial Corp. (1)		3,759		89,915
Community Trust Bancorp, Inc.		744		28,778
First Bancorp/Southern Pines NC		1,318		42,308
First Financial Corp.		864		34,517
Great Western Bancorp, Inc. (1)		2,175		58,442
Hancock Whitney Corp. (1)		1,812		60,702
Hanmi Financial Corp.		3,866		60,310
Hilltop Holdings, Inc. (1)		5,028		104,733
Peapack Gladstone Financial Corp.		1,616		44,359
Preferred Bank (1)		1,512		77,309
QCR Holdings, Inc.		698		26,566
Univest Financial Corp.		1,467		34,328
				875,692
Thrifts & Mortgage Finance — 3.5%
Axos Financial, Inc. (2)		3,011		75,004
Essent Group, Ltd.		2,458		107,267
NMI Holdings, Inc., Class A (2)		4,495		104,913
TrustCo Bank Corp. (1)		8,269		56,726

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Thrifts & Mortgage Finance (continued)
Walker & Dunlop, Inc. (1)		1,739	$	112,774
				456,684
Total Financials				1,925,541
Healthcare — 21.4%
Biotechnology — 6.4%
Acceleron Pharma, Inc. (1) (2)		495		42,535
Alkermes PLC (2)		3,687		76,837
BioSpecifics Technologies Corp. (1) (2)		1,202		66,338
Dicerna Pharmaceuticals, Inc. (2)		3,597		71,005
Emergent BioSolutions, Inc. (1) (2)		1,608		94,358
Halozyme Therapeutics, Inc. (1) (2)		5,045		98,731
PTC Therapeutics, Inc. (1) (2)		1,181		64,766
Repligen Corp. (2)		1,417		121,295
Vanda Pharmaceuticals, Inc. (2)		5,236		57,753
Veracyte, Inc. (1) (2)		2,983		73,650
Vericel Corp. (1) (2)		4,573		70,607
				837,875
Healthcare Equipment — 5.6%
Cardiovascular Systems, Inc. (1) (2)		2,115		79,566
CONMED Corp.		1,099		104,010
Globus Medical, Inc., Class A (2)		1,840		83,223
Integer Holdings Corp. (1) (2)		1,463		131,919
Natus Medical, Inc. (1) (2)		1,285		34,541
Novocure, Ltd. (2)		863		62,783
NuVasive, Inc. (1) (2)		1,645		108,258
Orthofix Medical, Inc. (2)		2,071		73,189
Tandem Diabetes Care, Inc. (1) (2)		752		56,144
				733,633
Healthcare Facilities — 0.6%
Surgery Partners, Inc. (2)		4,767		78,274
Healthcare Supplies — 1.2%
Haemonetics Corp. (2)		814		88,181
Meridian Bioscience, Inc. (1) (2)		4,616		36,882
OraSure Technologies, Inc. (1) (2)		5,132		30,946
				156,009
Healthcare Technology — 3.3%
Computer Programs & Systems, Inc. (1)		3,140		84,089
HealthStream, Inc. (2)		3,636		88,428
HMS Holdings Corp. (2)		4,250		97,622
Omnicell, Inc. (1) (2)		1,093		89,047
Simulations Plus, Inc. (1)		2,252		73,325
				432,511
Life Sciences Tools & Services — 2.6%
Luminex Corp. (1)		4,197		103,917
Medpace Holdings, Inc. (1) (2)		1,601		143,994
NeoGenomics, Inc. (1) (2)		3,181		90,118
				338,029
Pharmaceuticals — 1.7%
Amphastar Pharmaceuticals, Inc. (2)		3,474		53,465
ANI Pharmaceuticals, Inc. (1) (2)		1,454		69,806
Collegium Pharmaceutical, Inc. (1) (2)		2,432		57,760
Supernus Pharmaceuticals, Inc. (1) (2)		2,728		49,077
				230,108
Total Healthcare				2,806,439
Industrials — 18.4%
Air Freight & Logistics — 0.9%
Hub Group, Inc., Class A (2)		2,457		113,587

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

17

February 29, 2020 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Airlines — 1.0%
Hawaiian Holdings, Inc. (1)		2,186	$	45,644
Spirit Airlines, Inc. (1) (2)		2,965		84,354
				129,998
Building Products — 2.3%
Builders FirstSource, Inc. (1) (2)		5,136		116,639
Masonite International Corp. (2)		1,708		125,538
Patrick Industries, Inc. (1)		1,195		63,132
				305,309
Construction & Engineering — 1.1%
Comfort Systems USA, Inc.		1,570		66,285
Great Lakes Dredge & Dock Corp. (2)		7,571		73,439
				139,724
Diversified Support Services — 1.0%
UniFirst Corp. (1)		743		138,057
Electrical Components & Equipment — 1.5%
Atkore International Group, Inc. (1) (2)		3,318		122,467
Regal Beloit Corp.		1,064		82,609
				205,076
Human Resource & Employment Services — 1.7%
ASGN, Inc. (1) (2)		1,986		100,710
Korn Ferry (1)		1,396		48,832
TrueBlue, Inc. (1) (2)		4,775		71,052
				220,594
Industrial Machinery — 3.5%
EnPro Industries, Inc.		1,131		61,018
Lydall, Inc. (1) (2)		3,431		40,863
Mueller Industries, Inc.		2,996		83,828
Standex International Corp. (1)		1,278		81,064
Tennant Co. (1)		891		63,742
Watts Water Technologies, Inc., Class A		1,377		129,314
				459,829
Office Services & Supplies — 1.7%
Herman Miller, Inc.		2,806		96,077
Kimball International, Inc., Class B		2,458		39,770
Steelcase, Inc., Class A		5,266		85,415
				221,262
Research & Consulting Services — 0.4%
CRA International, Inc.		1,047		48,696
Trading Companies & Distributors — 2.9%
BMC Stock Holdings, Inc. (2)		4,892		120,001
DXP Enterprises, Inc. (1) (2)		1,752		49,739
Foundation Building Materials, Inc. (1) (2)		3,092		48,235
Herc Holdings, Inc. (1) (2)		2,348		86,125
Lawson Products, Inc. (2)		800		32,000
Rush Enterprises, Inc., Class A (1)		1,109		46,489
				382,589
Trucking — 0.4%
ArcBest Corp.		2,601		51,526
Total Industrials				2,416,247

Description	Shares		Value
Common Stocks (continued)
Information Technology — 17.2%
Application Software — 2.3%
Cornerstone OnDemand, Inc. (2)		1,808	$	74,182
SPS Commerce, Inc. (2)		2,347		123,452
Verint Systems, Inc. (2)		1,959		107,510
				305,144
Communications Equipment — 1.9%
Ciena Corp. (1) (2)		2,674		102,816
Comtech Telecommunications Corp. (1)		2,452		68,705
NetScout Systems, Inc. (2)		3,239		83,242
				254,763
Data Processing & Outsourced Services — 2.2%
ExlService Holdings, Inc. (2)		990		73,903
Sykes Enterprises, Inc. (1) (2)		3,648		115,569
TTEC Holdings, Inc. (1)		2,485		93,014
				282,486
Electronic Equipment & Instruments — 2.1%
FARO Technologies, Inc. (1) (2)		1,709		97,823
Itron, Inc. (2)		1,748		132,569
Vishay Precision Group, Inc. (1) (2)		1,790		49,171
				279,563
Electronic Manufacturing Services — 2.3%
Benchmark Electronics, Inc. (1)		3,424		93,064
Fabrinet (2)		2,191		120,768
Plexus Corp. (1) (2)		1,260		83,601
				297,433
IT Consulting & Other Services — 1.4%
KBR, Inc. (1)		2,371		61,551
Virtusa Corp. (1) (2)		2,724		120,156
				181,707
Semiconductor Equipment — 2.2%
Amkor Technology, Inc. (2)		9,573		99,894
FormFactor, Inc. (2)		2,882		64,470
PDF Solutions, Inc. (2)		2,348		34,375
Photronics, Inc. (2)		7,551		94,010
				292,749
Semiconductors — 1.1%
Diodes, Inc. (1) (2)		1,849		81,375
Silicon Laboratories, Inc. (1) (2)		671		59,504
				140,879
Systems Software — 1.7%
CommVault Systems, Inc. (1) (2)		2,590		108,003
Progress Software Corp.		3,014		112,392
				220,395
Total Information Technology				2,255,119
Materials — 2.1%
Commodity Chemicals — 0.8%
Koppers Holdings, Inc. (1) (2)		2,286		49,972
Trinseo SA		2,173		47,545
				97,517
Forest Products — 1.0%
Boise Cascade Co. (1)		3,672		130,282
Specialty Chemicals — 0.3%
Kraton Corp. (1) (2)		4,297		43,486
Total Materials				271,285

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

18

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Real Estate — 5.7%
Diversified Real Estate Activities — 0.6%
RMR Group, Inc., Class A		2,127	$	79,252
Diversified REIT’s — 1.2%
Alexander & Baldwin, Inc. (1)		5,583		104,961
Lexington Realty Trust		5,025		52,109
				157,070
Hotel & Resort REIT’s — 0.7%
Xenia Hotels & Resorts, Inc. (1)		6,540		97,838
Industrial REIT’s — 1.1%
EastGroup Properties, Inc. (1)		1,121		140,943
Office REIT’s — 1.0%
Piedmont Office Realty Trust, Inc., Class A (1)		6,014		129,842
Specialized REIT’s — 1.1%
National Storage Affiliates Trust (1)		4,160		140,359
Total Real Estate				745,304
Utilities — 2.6%
Electric Utilities — 2.0%
IDACORP, Inc.		495		47,837
PNM Resources, Inc.		1,208		56,873
Portland General Electric Co. (1)		2,991		162,740
				267,450
Multi-Utilities — 0.6%
Unitil Corp. (1)		1,395		78,594
Total Utilities				346,044
Total Common Stocks (identified cost $12,578,296)				12,825,959
Short-Term Investments — 48.6%
Collateral Pool Investments for Securities on Loan — 45.6%
Collateral pool allocation (3)				5,985,469
Mutual Funds — 3.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		386,288		386,326
Total Short-Term Investments (identified cost $6,371,784)				6,371,795
Total Investments — 146.3% (identified cost $18,950,080)				19,197,754
Other Assets and Liabilities — (46.3)%				(6,078,180	)
Total Net Assets — 100.0%			$	13,119,574

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.5%
Communication Services — 3.1%
Advertising — 0.7%
TechTarget, Inc. (1) (2)		27,793	$	642,852

Description	Shares		Value
Common Stocks (continued)
Communication Services (continued)
Alternative Carriers — 1.4%
Cogent Communications Holdings, Inc. (1)		17,852	$	1,303,375
Interactive Media & Services — 1.0%
TrueCar, Inc. (1) (2)		90,200		237,226
Yelp, Inc. (1) (2)		21,041		657,952
				895,178
Total Communication Services				2,841,405
Consumer Discretionary — 10.2%
Apparel Retail — 0.7%
Boot Barn Holdings, Inc. (1) (2)		19,461		596,869
Casinos & Gaming — 1.1%
Everi Holdings, Inc. (2)		100,539		1,045,606
Consumer Electronics — 0.7%
Sonos, Inc. (1) (2)		58,321		673,024
Education Services — 0.8%
K12, Inc. (1) (2)		38,048		756,394
Footwear — 1.7%
Crocs, Inc. (2)		27,528		720,408
Steven Madden, Ltd. (1)		26,397		863,182
				1,583,590
Homebuilding — 1.0%
Skyline Champion Corp. (2)		35,958		916,210
Homefurnishing Retail — 0.9%
Sleep Number Corp. (1) (2)		18,679		822,810
Hotels, Resorts & Cruise Lines — 0.8%
Marriott Vacations Worldwide Corp.		7,800		754,884
Internet & Direct Marketing Retail — 1.9%
1-800-Flowers.com, Inc., Class A (1) (2)		50,087		903,569
Shutterstock, Inc. (1) (2)		20,866		804,176
				1,707,745
Restaurants — 0.6%
Chuy’s Holdings, Inc. (1) (2)		26,267		563,164
Total Consumer Discretionary				9,420,296
Consumer Staples — 4.5%
Food Distributors — 1.2%
Performance Food Group Co. (1) (2)		25,884		1,097,482
Food Retail — 0.8%
Sprouts Farmers Market, Inc. (1) (2)		45,088		720,506
Household Products — 1.0%
Central Garden & Pet Co., Class A (1) (2)		35,561		900,049
Hypermarkets & Super Centers — 0.7%
BJ’s Wholesale Club Holdings, Inc. (1) (2)		33,482		644,863
Packaged Foods & Meats — 0.8%
Freshpet, Inc. (2)		11,718		778,778
Total Consumer Staples				4,141,678
Financials — 3.3%
Life & Health Insurance — 0.8%
Primerica, Inc.		7,166		797,862

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

19

February 29, 2020 (Unaudited)

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Property & Casualty Insurance — 0.9%
AMERISAFE, Inc. (1)		12,887	$	839,846
Regional Banks — 0.8%
Great Western Bancorp, Inc.		26,810		720,385
Thrifts & Mortgage Finance — 0.8%
Essent Group, Ltd.		16,860		735,770
Total Financials				3,093,863
Healthcare — 32.6%
Biotechnology — 13.2%
ACADIA Pharmaceuticals, Inc. (1) (2)		24,687		1,055,122
BioSpecifics Technologies Corp. (1) (2)		9,076		500,904
Coherus Biosciences, Inc. (1) (2)		37,478		725,199
Dicerna Pharmaceuticals, Inc. (2)		38,686		763,662
Halozyme Therapeutics, Inc. (1) (2)		47,777		934,996
Natera, Inc. (1) (2)		23,317		883,831
PTC Therapeutics, Inc. (1) (2)		20,980		1,150,543
Puma Biotechnology, Inc. (1) (2)		56,431		606,915
Radius Health, Inc. (1) (2)		42,741		900,126
REGENXBIO, Inc. (1) (2)		12,863		514,520
Repligen Corp. (2)		9,937		850,607
Retrophin, Inc. (1) (2)		42,006		650,883
Vanda Pharmaceuticals, Inc. (1) (2)		40,912		451,259
Veracyte, Inc. (1) (2)		34,427		850,003
Vericel Corp. (1) (2)		52,541		811,233
Voyager Therapeutics, Inc. (1) (2)		48,233		525,740
				12,175,543
Healthcare Equipment — 8.0%
AtriCure, Inc. (1) (2)		21,710		834,098
Axogen, Inc. (1) (2)		55,704		689,616
Cantel Medical Corp. (1)		13,197		832,731
Cardiovascular Systems, Inc. (1) (2)		21,066		792,503
CONMED Corp.		12,406		1,174,104
Glaukos Corp. (1) (2)		13,532		595,137
Novocure, Ltd. (1) (2)		11,183		813,563
Orthofix Medical, Inc. (2)		20,256		715,847
Tandem Diabetes Care, Inc. (1) (2)		12,792		955,051
				7,402,650
Healthcare Facilities — 0.9%
Select Medical Holdings Corp. (2)		36,278		868,495
Healthcare Services — 3.2%
Amedisys, Inc. (2)		6,826		1,187,792
Fulgent Genetics, Inc. (2)		48,892		725,557
R1 RCM, Inc. (2)		81,963		1,006,506
				2,919,855
Healthcare Supplies — 0.6%
Lantheus Holdings, Inc. (1) (2)		38,227		594,430
Healthcare Technology — 3.0%
HMS Holdings Corp. (2)		24,134		554,358
Omnicell, Inc. (1) (2)		9,103		741,621
Teladoc Health, Inc. (1) (2)		12,206		1,525,262
				2,821,241
Life Sciences Tools & Services — 2.0%
Medpace Holdings, Inc. (1) (2)		11,547		1,038,537
NeoGenomics, Inc. (1) (2)		29,126		825,140
				1,863,677

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Pharmaceuticals — 1.7%
Amphastar Pharmaceuticals, Inc. (1) (2)		31,441	$	483,877
Collegium Pharmaceutical, Inc. (1) (2)		43,964		1,044,145
				1,528,022
Total Healthcare				30,173,913
Industrials — 17.9%
Air Freight & Logistics — 1.6%
Echo Global Logistics, Inc. (1) (2)		31,954		589,551
Hub Group, Inc., Class A (2)		18,750		866,813
				1,456,364
Airlines — 0.7%
Spirit Airlines, Inc. (1) (2)		22,055		627,465
Building Products — 2.1%
Builders FirstSource, Inc. (1) (2)		52,039		1,181,806
CSW Industrials, Inc. (1)		11,381		749,325
				1,931,131
Construction & Engineering — 1.0%
EMCOR Group, Inc. (1)		11,730		902,272
Electrical Components & Equipment — 2.0%
Atkore International Group, Inc. (1) (2)		27,094		1,000,039
Generac Holdings, Inc. (1) (2)		8,116		835,867
				1,835,906
Environmental & Facilities Services — 0.8%
Covanta Holding Corp. (1)		56,381		753,250
Human Resource & Employment Services — 1.7%
ASGN, Inc. (1) (2)		15,944		808,520
Korn Ferry (1)		21,670		758,017
				1,566,537
Industrial Machinery — 6.3%
EnPro Industries, Inc.		13,942		752,171
Mueller Industries, Inc.		27,890		780,362
Mueller Water Products, Inc., Class A		67,407		738,107
SPX Corp. (1) (2)		21,383		896,589
Standex International Corp.		11,328		718,535
Tennant Co. (1)		13,216		945,473
Watts Water Technologies, Inc., Class A		11,129		1,045,124
				5,876,361
Office Services & Supplies — 1.7%
Herman Miller, Inc.		23,881		817,685
Steelcase, Inc., Class A (1)		46,832		759,615
				1,577,300
Total Industrials				16,526,586
Information Technology — 19.6%
Application Software — 5.5%
Bottomline Technologies DE, Inc. (2)		18,166		804,390
Box, Inc., Class A (1) (2)		46,461		778,222
Cornerstone OnDemand, Inc. (2)		17,325		710,845
New Relic, Inc. (2)		14,685		826,178
SPS Commerce, Inc. (2)		21,743		1,143,682
Workiva, Inc. (1) (2)		18,444		788,296
				5,051,613

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

20

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Communications Equipment — 3.1%
Ciena Corp. (1) (2)		19,818	$	762,002
Extreme Networks, Inc. (1) (2)		110,376		555,191
NetScout Systems, Inc. (1) (2)		31,531		810,347
Viavi Solutions, Inc. (1) (2)		57,677		760,760
				2,888,300
Data Processing & Outsourced Services — 1.7%
ExlService Holdings, Inc. (2)		11,885		887,215
TTEC Holdings, Inc. (1)		19,331		723,560
				1,610,775
Electronic Equipment & Instruments — 1.0%
Itron, Inc. (2)		11,760		891,878
Electronic Manufacturing Services — 0.9%
Plexus Corp. (1) (2)		12,631		838,067
IT Consulting & Other Services — 1.1%
Virtusa Corp. (1) (2)		22,008		970,773
Semiconductor Equipment — 1.9%
FormFactor, Inc. (2)		38,737		866,547
Photronics, Inc. (2)		73,703		917,602
				1,784,149
Semiconductors — 0.9%
Silicon Laboratories, Inc. (1) (2)		9,540		846,007
Systems Software — 2.7%
CommVault Systems, Inc. (2)		22,317		930,619
OneSpan, Inc. (1) (2)		40,744		672,683
Varonis Systems, Inc. (2)		11,418		915,952
				2,519,254
Technology Distributors — 0.8%
ePlus, Inc. (1) (2)		9,556		723,963
Total Information Technology				18,124,779
Materials — 2.7%
Diversified Metals & Mining — 0.7%
Materion Corp.		15,143		686,584
Forest Products — 0.9%
Boise Cascade Co. (1)		24,383		865,109
Specialty Chemicals — 1.1%
Innospec, Inc. (1)		11,614		1,005,075
Total Materials				2,556,768
Real Estate — 3.8%
Diversified Real Estate Activities — 0.7%
RMR Group, Inc., Class A (1)		17,671		658,421
Healthcare REIT’s — 0.8%
CareTrust REIT, Inc.		33,962		708,787
Industrial REIT’s — 1.3%
EastGroup Properties, Inc. (1)		9,342		1,174,570
Specialized REIT’s — 1.0%
QTS Realty Trust, Inc., Class A (1)		16,923		950,565
Total Real Estate				3,492,343

Description	Shares		Value
Common Stocks (continued)
Utilities — 0.8%
Renewable Electricity — 0.8%
Ormat Technologies, Inc. (1)		10,879	$	758,049
Total Common Stocks (identified cost $86,618,350)				91,129,680
Short-Term Investments — 41.9%
Collateral Pool Investments for Securities on Loan — 40.3%
Collateral pool allocation (3)				37,272,086
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		1,428,713		1,428,856
Total Short-Term Investments (identified cost $38,700,879)				38,700,942
Total Investments — 140.4% (identified cost $125,319,229)				129,830,622
Other Assets and Liabilities — (40.4)%				(37,343,422	)
Total Net Assets — 100.0%			$	92,487,200

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 99.1%
Australia — 0.2%
OceanaGold Corp.		46,674	$	68,155
Belgium — 0.7%
Telenet Group Holding NV		3,207		123,455
UCB SA		1,154		106,969
				230,424
Bermuda — 0.9%
Argo Group International Holdings, Ltd.		2,281		128,329
Enstar Group, Ltd. (2)		991		176,785
				305,114
Brazil — 1.0%
IRB Brasil Resseguros S/A		28,300		210,420
Sao Martinho SA		21,100		124,989
				335,409
Canada — 9.8%
Allied Properties Real Estate Investment Trust		6,671		270,717
Atco, Ltd., Class I		11,027		411,423
BCE, Inc.		9,072		398,431
Cogeco Communications, Inc.		3,613		285,917
Emera, Inc.		3,732		157,260
First Capital Real Estate Investment Trust		4,963		74,024
George Weston, Ltd.		4,640		349,318
Granite Real Estate Investment Trust		5,743		292,445
Kirkland Lake Gold, Ltd.		4,594		148,165
Loblaw Cos., Ltd.		4,787		237,166
Quebecor, Inc., Class B		23,050		538,534
Rogers Communications, Inc., Class B		2,759		126,434
				3,289,834
China — 1.1%
361 Degrees International, Ltd.		191,000		34,529
Agricultural Bank of China, Ltd., Class H		411,000		165,541

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

21

February 29, 2020 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
China (continued)
China Minsheng Banking Corp., Ltd., Class H		164,600	$	111,796
China Telecom Corp., Ltd., Class H		116,000		43,881
				355,747
Czech Republic — 1.9%
CEZ AS		13,184		252,674
Komercni banka AS		5,572		171,039
Moneta Money Bank AS (5)		62,909		209,072
				632,785
Germany — 1.0%
Deutsche EuroShop AG		8,697		212,671
Talanx AG (2)		2,282		101,752
				314,423
Hong Kong — 6.8%
CLP Holdings, Ltd.		65,500		690,165
HK Electric Investments & HK Electric Investments, Ltd.		539,000		543,334
HKT Trust & HKT, Ltd.		434,000		650,815
PCCW, Ltd.		541,000		326,249
SmarTone Telecommunications Holdings, Ltd.		106,000		75,211
				2,285,774
Hungary — 0.3%
Magyar Telekom Telecommunications PLC		68,232		88,670
Israel — 1.7%
Bank Leumi Le-Israel BM		45,812		297,101
Reit 1, Ltd.		19,024		114,613
Strauss Group, Ltd.		5,011		151,009
				562,723
Italy — 4.5%
A2A SpA		119,135		208,548
Enel SpA		101,650		851,176
Iren SpA		148,754		460,931
				1,520,655
Japan — 14.2%
AOKI Holdings, Inc.		8,400		70,486
Bridgestone Corp.		1,800		59,936
Chubu Electric Power Co., Inc.		34,900		457,432
DCM Holdings Co., Ltd. (1)		11,200		101,841
Doutor Nichires Holdings Co., Ltd.		5,800		97,211
Frontier Real Estate Investment Corp.		128		472,160
Geo Holdings Corp.		14,500		157,215
Hogy Medical Co., Ltd.		1,900		54,378
Hoshino Resorts REIT, Inc.		73		314,451
Japan Rental Housing Investments, Inc.		432		390,372
KDDI Corp.		24,300		686,727
Mitsui Sugar Co., Ltd.		3,600		63,204
Morinaga Milk Industry Co., Ltd.		3,000		106,258
Nihon Kohden Corp.		3,500		105,644
Nippon Telegraph & Telephone Corp.		28,200		659,749
Paramount Bed Holdings Co., Ltd.		2,400		93,282
Premier Investment Corp.		152		205,903
Suzuken Co., Ltd.		2,200		72,543
TIS, Inc.		1,700		100,833
Towa Pharmaceutical Co., Ltd.		5,200		102,984
Tsumura & Co.		5,200		120,712
United Arrows, Ltd.		4,000		89,211
Valor Holdings Co., Ltd.		4,700		70,922

Description	Shares		Value
Common Stocks (continued)
Japan (continued)
Vital KSK Holdings, Inc.		7,800	$	72,508
Xebio Holdings Co., Ltd.		4,800		43,586
				4,769,548
Malaysia — 2.3%
Genting Bhd		56,300		66,107
Public Bank Bhd		125,100		507,461
RHB Bank Bhd		150,700		198,751
				772,319
Mexico — 1.2%
Arca Continental SAB de C.V.		48,100		265,145
Qualitas Controladora SAB de C.V.		34,500		148,110
				413,255
Netherlands — 2.1%
Flow Traders (5)		14,750		352,398
Intertrust NV (5)		5,868		98,895
Koninklijke Ahold Delhaize NV		10,261		240,819
				692,112
New Zealand — 3.9%
Air New Zealand, Ltd.		50,062		70,887
Argosy Property, Ltd.		134,906		118,948
Fisher & Paykel Healthcare Corp., Ltd.		24,060		388,275
Infratil, Ltd.		51,813		165,444
Ryman Healthcare, Ltd.		23,907		225,979
Spark New Zealand, Ltd.		50,232		139,991
Summerset Group Holdings, Ltd.		41,085		199,430
				1,308,954
Philippines — 3.4%
Alliance Global Group, Inc. (2)		536,300		105,761
First Philippine Holdings Corp.		39,940		47,899
Globe Telecom, Inc.		3,410		119,245
International Container Terminal Services, Inc.		97,040		200,468
Manila Electric Co.		43,380		230,010
Megaworld Corp.		1,174,800		78,534
Metropolitan Bank & Trust Co.		173,578		191,288
PLDT, Inc.		8,785		170,892
				1,144,097
Portugal — 0.3%
REN — Redes Energeticas Nacionais SGPS SA		38,438		107,000
Singapore — 4.0%
Ascott Residence Trust		133,000		112,424
Cache Logistics Trust		117,500		57,950
CDL Hospitality Trusts		116,700		116,123
Mapletree Industrial Trust		49,400		95,453
NetLink NBN Trust		699,900		493,706
SATS, Ltd.		86,500		252,876
Sheng Siong Group, Ltd.		115,400		103,110
Singapore Airlines, Ltd.		19,900		115,231
				1,346,873
South Africa — 1.0%
AngloGold Ashanti, Ltd.		9,852		173,031
Gold Fields, Ltd.		28,405		169,167
				342,198
Spain — 0.8%
Red Electrica Corp. SA		13,383		256,710

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

22

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Switzerland — 1.0%
Roche Holding AG		183	$	59,648
Sonova Holding AG		1,101		263,665
				323,313
Taiwan — 4.7%
Coretronic Corp.		93,000		111,176
Far EasTone Telecommunications Co., Ltd.		216,000		467,942
Fubon Financial Holding Co., Ltd.		228,000		328,756
Great Wall Enterprise Co., Ltd.		89,200		117,352
Pou Chen Corp.		74,000		81,496
Taichung Commercial Bank Co., Ltd.		356,476		144,194
Taiwan Secom Co., Ltd.		26,075		75,781
Tripod Technology Corp.		38,000		130,799
Uni-President Enterprises Corp.		42,000		100,784
				1,558,280
United Kingdom — 0.8%
Assura PLC		294,178		279,459
United States — 29.5%
ALLETE, Inc.		2,069		142,740
Allstate Corp.		7,058		742,855
American Assets Trust, Inc.		12,334		511,244
American Express Co.		1,125		123,671
Atrion Corp.		238		146,682
AutoZone, Inc. (2)		146		150,746
Bryn Mawr Bank Corp.		2,414		80,241
CMS Energy Corp.		2,666		161,080
CONMED Corp.		1,504		142,339
Darden Restaurants, Inc.		2,918		284,505
Eli Lilly & Co.		2,001		252,386
Equity LifeStyle Properties, Inc.		10,026		685,077
Essex Property Trust, Inc.		1,779		504,097
Evergy, Inc.		2,530		165,336
Extra Space Storage, Inc.		1,837		184,361
Fresh Del Monte Produce, Inc.		1,554		42,611
Globus Medical, Inc., Class A (2)		2,612		118,141
Hershey Co.		1,178		169,620
Home Depot, Inc.		459		99,989
Kroger Co.		5,630		158,372
Lamb Weston Holdings, Inc.		1,242		107,917
MDU Resources Group, Inc.		3,848		106,705
Merck & Co., Inc.		9,571		732,756
Meridian Bancorp, Inc.		12,589		207,844
NuVasive, Inc. (2)		2,834		186,506
Peapack Gladstone Financial Corp.		3,562		97,777
PepsiCo, Inc.		4,276		564,560
Performance Food Group Co. (2)		4,875		206,700
Pfizer, Inc.		14,855		496,454
Pinnacle West Capital Corp.		770		68,907
Portland General Electric Co.		7,954		432,777
Progressive Corp.		1,760		128,762
Safety Insurance Group, Inc.		2,387		187,952
Sprouts Farmers Market, Inc. (2)		8,990		143,660
Sysco Corp.		7,972		531,334
Target Corp.		854		87,962
Unitil Corp.		1,747		98,426
Walmart, Inc.		4,919		529,678
Zoetis, Inc.		776		103,386
				9,886,156
Total Common Stocks (identified cost $31,464,112)				33,189,987

Description	Shares		Value
Short-Term Investments — 0.5%
Collateral Investment for Securities on Loan — 0.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (3) (4)		8,460	$	8,460
Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		166,316		166,333
Total Short-Term Investments (identified cost $174,783)				174,793
Total Investments — 99.6% (identified cost $31,638,895)				33,364,780
Other Assets and Liabilities — 0.4%				150,511
Total Net Assets — 100.0%			$	33,515,291

Industry	Value		% of Total Net Assets
Agriculture	$	159,963		0.5	%
Airlines		186,118		0.5
Apparel		81,496		0.3
Auto Parts & Equipment		59,936		0.2
Banks		2,174,261		6.5
Beverages		829,705		2.5
Building Materials		106,705		0.3
Commercial Services		433,464		1.3
Diversified Financial Services		903,720		2.8
Electric		5,909,272		17.7
Electronics		241,975		0.7
Energy-Alternate Sources		124,989		0.4
Engineering & Construction		252,876		0.8
Food		2,566,161		7.6
Healthcare-Products		1,498,912		4.6
Healthcare-Services		225,979		0.7
Holding Companies-Diversified		105,761		0.3
Insurance		1,824,965		5.4
Internet		43,881		0.1
Lodging		66,107		0.2
Media		947,906		2.9
Mining		558,518		1.6
Pharmaceuticals		2,120,346		6.3
Real Estate		609,583		1.8
Real Estate Investment Trusts		4,680,873		13.8
Retail		1,763,776		5.2
Savings & Loans		207,844		0.6
Software		100,833		0.3
Telecommunications		4,404,062		13.2
Total Common Stocks		33,189,987		99.1
Collateral Investment for Securities on Loan		8,460		0.0
Mutual Funds		166,333		0.5
Total Investments		33,364,780		99.6
Other Assets and Liabilities		150,511		0.4
Net Assets	$	33,515,291		100.0	%

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

23

February 29, 2020 (Unaudited)

Schedules of Investments

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 97.4%
Australia — 10.1%
Aurizon Holdings, Ltd.		61,082	$	189,465
BHP Group, Ltd.		50,905		1,105,183
CSL, Ltd.		3,824		758,650
Qantas Airways, Ltd.		157,075		563,165
Rio Tinto PLC		21,108		989,316
Santos, Ltd.		228,208		1,000,032
Woodside Petroleum, Ltd.		11,815		215,510
				4,821,321
Denmark — 5.5%
Carlsberg A/S		3,329		441,397
Novo Nordisk A/S, Class B		26,950		1,601,732
Pandora A/S (1)		13,022		593,313
				2,636,442
Finland — 2.2%
UPM-Kymmene OYJ		34,789		1,070,210
France — 7.7%
Air France-KLM (2)		12,431		96,704
Arkema SA		3,856		365,795
BNP Paribas SA		7,262		354,834
Cie de Saint-Gobain		3,311		117,813
Eiffage SA		4,718		504,379
Peugeot SA		37,524		731,681
Sanofi		1,690		156,297
Sartorius Stedim Biotech		1,717		327,595
Valeo SA		10,624		274,681
Vinci SA		7,470		759,835
				3,689,614
Germany — 5.4%
Allianz SE		5,477		1,183,140
Covestro AG (5)		4,485		171,315
Deutsche Lufthansa AG		36,440		469,653
Fresenius Medical Care AG & Co. KGaA		1,412		108,725
Fresenius SE & Co. KGaA		8,182		385,595
Siltronic AG		2,646		249,141
				2,567,569
Hong Kong — 2.7%
CK Asset Holdings, Ltd.		151,000		950,623
WH Group, Ltd. (5)		320,000		328,446
				1,279,069
Israel — 1.4%
Bank Leumi Le-Israel BM		105,807		686,181
Italy — 6.2%
A2A SpA		211,766		370,700
Azimut Holding SpA		6,766		144,590
Enel SpA		178,346		1,493,397
Eni SpA		77,124		954,757
				2,963,444
Japan — 21.0%
AGC, Inc.		8,900		253,797
Alfresa Holdings Corp.		6,500		116,300
Astellas Pharma, Inc.		7,600		119,176
Brother Industries, Ltd.		6,400		115,046
Chubu Electric Power Co., Inc.		29,000		380,102
Daito Trust Construction Co., Ltd.		3,900		401,455
Daiwa House Industry Co., Ltd.		34,100		938,878
Fujitsu, Ltd.		4,600		485,456
Hitachi, Ltd.		33,100		1,110,273
JVC Kenwood Corp.		61,700		124,625

Description	Shares		Value
Common Stocks (continued)
Japan (continued)
Kajima Corp.		16,200	$	173,742
Konica Minolta, Inc.		60,000		328,984
Mebuki Financial Group, Inc.		125,800		244,704
MS&AD Insurance Group Holdings, Inc.		15,500		498,447
Nichias Corp.		6,800		139,980
Nippon Telegraph & Telephone Corp.		54,800		1,282,066
Obayashi Corp.		46,800		469,996
ORIX Corp.		46,400		740,523
Sekisui Chemical Co., Ltd.		20,300		307,354
Sumitomo Electric Industries, Ltd.		7,900		93,772
Sumitomo Mitsui Financial Group, Inc. (1)		13,100		421,071
Suntory Beverage & Food, Ltd.		8,800		334,491
TIS, Inc.		5,100		302,498
USS Co., Ltd.		22,500		354,653
West Japan Railway Co.		4,900		345,607
				10,082,996
Netherlands — 6.0%
AerCap Holdings NV (2)		13,304		692,872
ASM International NV		7,570		887,651
BE Semiconductor Industries NV		5,503		215,074
Koninklijke Ahold Delhaize NV		46,943		1,101,723
				2,897,320
Norway — 1.6%
Telenor ASA		47,150		767,897
Singapore — 3.9%
DBS Group Holdings, Ltd.		60,600		1,058,223
United Overseas Bank, Ltd.		39,800		706,113
Wilmar International, Ltd.		43,600		124,217
				1,888,553
Spain — 1.6%
Amadeus IT Group SA		3,247		230,059
Banco Bilbao Vizcaya Argentaria SA		20,603		99,548
Endesa SA		12,549		323,253
Merlin Properties Socimi SA		9,909		127,850
				780,710
Sweden — 0.9%
Boliden AB		19,515		413,320
Switzerland — 10.3%
Nestle SA		2,700		279,739
Novartis AG		4,123		346,123
Roche Holding AG		6,478		2,111,468
Sonova Holding AG		4,285		1,026,165
TE Connectivity, Ltd.		10,730		889,195
Zurich Insurance Group AG		766		298,103
				4,950,793
United Kingdom — 10.9%
British American Tobacco PLC		29,581		1,175,542
Compass Group PLC		10,432		229,041
Diageo PLC		7,307		258,779
Dialog Semiconductor PLC (2)		6,888		234,155
GlaxoSmithKline PLC		67,340		1,357,000
Imperial Brands PLC		32,424		656,404
Legal & General Group PLC		59,608		201,033
Persimmon PLC		6,699		246,052
Tate & Lyle PLC		34,953		319,011
Unilever PLC		10,372		556,118
				5,233,135
Total Common Stocks (identified cost $45,356,273)				46,728,574

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

24

BMO Funds

Disciplined International Equity Fund (continued)

Description	Shares or Units		Value
Limited Partnership Units — 0.5%
Germany — 0.5%
Schaeffler AG		25,891	$	230,211
Total Limited Partnership Units (identified cost $315,567)				230,211
Short-Term Investments — 2.5%
Collateral Investment for Securities on Loan — 2.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (3) (4)		935,259		935,258
Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		245,523		245,548
Total Short-Term Investments (identified cost $1,180,806)				1,180,806
Total Investments — 100.4% (identified cost $46,852,646)				48,139,591
Other Assets and Liabilities — (0.4)%				(192,379	)
Total Net Assets — 100.0%			$	47,947,212

Industry	Value		% of Total Net Assets
Agriculture	$	1,831,946		3.8	%
Airlines		1,129,522		2.4
Auto Manufacturers		731,681		1.5
Auto Parts & Equipment		368,453		0.8
Banks		3,325,970		6.9
Beverages		1,034,667		2.1
Biotechnology		758,650		1.6
Building Materials		511,590		1.0
Chemicals		537,110		1.2
Commercial Services		230,059		0.5
Computers		485,456		1.0
Cosmetics/Personal Care		556,118		1.2
Diversified Financial Services		1,129,817		2.4
Electric		2,567,452		5.4
Electrical Components & Equipment		115,046		0.2
Electronics		889,195		1.9
Engineering & Construction		1,907,952		4.1
Food		2,153,136		4.5
Food Service		229,041		0.5
Forest Products & Paper		1,070,210		2.2
Healthcare-Products		1,353,760		2.8
Healthcare-Services		610,620		1.2
Home Builders		553,406		1.1
Home Furnishings		124,625		0.3
Insurance		2,180,723		4.5
Machinery-Construction & Mining		1,110,273		2.3
Mining		2,507,819		5.3
Office/Business Equipment		328,984		0.7
Oil & Gas	$	2,170,299		4.5	%
Pharmaceuticals		5,691,796		11.9
Real Estate		2,290,956		4.8
Real Estate Investment Trusts		127,850		0.2
Retail		947,966		1.9
Semiconductors		1,586,021		3.3
Software		302,498		0.6
Telecommunications		2,049,963		4.3

Industry	Value			% of Total Net Assets
Transportation		535,072			1.1
Trucking & Leasing		692,872			1.4
Total Common Stocks		46,728,574			97.4
Auto Parts & Equipment		230,211			0.5
Collateral Investment for Securities on Loan		935,258			2.0
Mutual Funds		245,548			0.5
Total Investments		48,139,591			100.4
Other Assets and Liabilities		(192,379	)		(0.4	)
Net Assets	$	47,947,212			100.0	%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 93.3%
Australia — 10.8%
Brambles, Ltd.		1,681,975	$	12,947,415
Computershare, Ltd. (1)		1,022,774		10,108,604
Newcrest Mining, Ltd.		306,529		5,291,591
QBE Insurance Group, Ltd.		1,037,907		9,044,284
Rio Tinto, Ltd.		106,315		6,010,934
Woodside Petroleum, Ltd.		605,213		11,039,303
Woolworths Group, Ltd.		492,113		12,257,246
				66,699,377
Finland — 3.2%
Kone OYJ, Class B (1)		164,988		9,312,186
Sampo OYJ, A Shares		249,923		10,262,711
				19,574,897
France — 9.2%
Air Liquide SA		90,360		12,330,325
Bureau Veritas SA		412,922		10,103,676
Legrand SA		108,580		8,382,545
Rubis SCA		119,507		6,511,864
Sanofi		127,316		11,774,652
TOTAL SA		188,952		8,096,496
				57,199,558
Germany — 6.7%
Brenntag AG		232,068		10,363,745
Deutsche Post AG		234,073		7,011,859
Fielmann AG		108,564		7,574,135
GEA Group AG		279,264		7,393,087
SAP SE		76,255		9,389,040
				41,731,866
Hong Kong — 4.9%
AIA Group, Ltd.		712,800		6,893,841
China Mobile, Ltd.		1,267,500		10,073,296
Power Assets Holdings, Ltd.		1,031,000		7,372,115
VTech Holdings, Ltd.		658,600		5,787,807
				30,127,059
Japan — 11.4%
ABC-Mart, Inc. (1)		131,000		7,547,163
Japan Tobacco, Inc.		926,668		18,377,201
KDDI Corp.		461,200		13,033,691
Mitsubishi Electric Corp.		847,500		10,695,084
Nihon Kohden Corp.		329,600		9,948,637
Sumitomo Rubber Industries, Ltd.		647,700		6,706,445
Toyota Tsusho Corp.		132,100		3,969,143
				70,277,364

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

25

February 29, 2020 (Unaudited)

Schedules of Investments

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Malaysia — 3.0%
Axiata Group Bhd		6,714,967	$	6,691,012
Malayan Banking Bhd		5,838,377		11,692,234
				18,383,246
Netherlands — 3.1%
Koninklijke Vopak NV		184,948		8,843,630
Unilever NV (1)		198,915		10,588,747
				19,432,377
Norway — 1.6%
Telenor ASA		628,161		10,230,398
Singapore — 4.9%
ComfortDelGro Corp., Ltd.		6,101,800		8,605,212
Singapore Technologies Engineering, Ltd.		1,607,400		4,859,626
Singapore Telecommunications, Ltd.		3,936,600		8,519,725
United Overseas Bank, Ltd.		472,402		8,381,131
				30,365,694
Sweden — 2.5%
Assa Abloy AB, Class B		199,447		4,482,813
Atlas Copco AB, A Shares		132,432		4,753,345
Essity AB, Class B		206,989		6,207,154
				15,443,312
Switzerland — 14.0%
Geberit AG		8,886		4,455,811
Givaudan SA		1,542		4,807,565
Nestle SA		210,271		21,785,537
Novartis AG		204,866		17,198,345
Roche Holding AG		61,680		20,104,256
Schindler Holding AG		18,557		4,175,288
SGS SA		2,082		5,188,476
Zurich Insurance Group AG		23,086		8,984,346
				86,699,624
Taiwan — 3.8%
Advantech Co., Ltd.		513,118		4,871,032
Chunghwa Telecom Co., Ltd.		2,353,000		8,363,352
Merida Industry Co., Ltd.		444,000		2,139,284
Taiwan Semiconductor Manufacturing Co., Ltd.		782,000		8,018,044
				23,391,712
United Kingdom — 14.2%
BP PLC		961,763		4,981,745
British American Tobacco PLC		237,095		9,422,103
Bunzl PLC		206,605		5,021,889
GlaxoSmithKline PLC		470,844		9,488,196
IMI PLC		340,454		4,465,912
Imperial Brands PLC		278,040		5,628,746
Legal & General Group PLC		2,937,504		9,906,993
National Grid PLC		913,085		11,569,601
Reckitt Benckiser Group PLC		114,350		8,440,638
Royal Dutch Shell PLC, A Shares (1)		279,627		6,126,636
Royal Dutch Shell PLC, B Shares		260,928		5,666,268
Vodafone Group PLC		3,939,917		6,880,746
				87,599,473
Total Common Stocks (identified cost $528,649,158)				577,155,957

Description	Shares		Value
Preferred Stocks — 1.9%
Germany — 1.9%
Fuchs Petrolub SE		311,297	$	11,950,045
Total Preferred Stocks (identified cost $11,696,568)				11,950,045
Short-Term Investments — 8.7%
Collateral Investment for Securities on Loan — 4.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (3) (4)		26,373,579		26,373,579
Mutual Funds — 4.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		27,553,641		27,556,396
Total Short-Term Investments (identified cost $53,927,065)				53,929,975
Total Investments — 103.9% (identified cost $594,272,791)				643,035,977
Other Assets and Liabilities — (3.9)%				(24,156,946	)
Total Net Assets — 100.0%			$	618,879,031

Industry	Value		% of Total Net Assets
Agriculture	$	33,428,050		5.4	%
Auto Parts & Equipment		6,706,445		1.1
Banks		20,073,365		3.2
Building Materials		4,455,811		0.7
Chemicals		27,501,635		4.5
Commercial Services		28,239,567		4.5
Computers		14,979,636		2.4
Cosmetics/Personal Care		16,795,901		2.7
Distribution/Wholesale		8,991,032		1.5
Electric		7,372,115		1.2
Electrical Components & Equipment		8,382,545		1.4
Electronics		4,482,813		0.7
Engineering & Construction		4,859,626		0.8
Food		34,042,783		5.5
Gas		18,081,465		2.9
Hand/Machine Tools		4,175,288		0.7
Healthcare-Products		9,948,637		1.6
Home Furnishings		5,787,807		1.0
Household Products/Wares		8,440,638		1.4
Insurance		45,092,175		7.4
Leisure Time		2,139,284		0.3
Machinery-Construction & Mining		15,448,429		2.5
Machinery-Diversified		16,705,273		2.7
Mining		11,302,525		1.8
Miscellaneous Manufacturing		4,465,912		0.7
Oil & Gas		35,910,448		5.8
Pharmaceuticals		58,565,449		9.5
Pipelines		8,843,630		1.4
Retail		15,121,298		2.4
Semiconductors		8,018,044		1.3
Software		9,389,040		1.5
Telecommunications		63,792,220		10.3
Transportation		15,617,071		2.5
Total Common Stocks		577,155,957		93.3
Preferred Stocks		11,950,045		1.9
Collateral Investment for Securities on Loan		26,373,579		4.3

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

26

BMO Funds

Pyrford International Stock Fund (continued)

Industry	Value			% of Total Net Assets
Mutual Funds	$	27,556,396			4.4	%
Total Investments		643,035,977			103.9
Other Assets and Liabilities		(24,156,946	)		(3.9	)
Net Assets	$	618,879,031			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 93.0%
Brazil — 2.9%
Raia Drogasil SA		305,300	$	8,185,664
Cayman Islands — 2.6%
Tencent Holdings, Ltd.		147,900		7,295,227
Chile — 0.9%
Aguas Andinas SA, Class A		7,099,468		2,430,520
China — 17.6%
ANTA Sports Products, Ltd.		1,156,000		9,404,469
Inner Mongolia Yili Industrial Group Co., Ltd., Class A		2,649,122		11,080,729
Ping An Healthcare and Technology Co., Ltd. (2) (5)		781,200		7,744,448
Sinopharm Group Co., Ltd., Class H		1,315,200		4,114,237
Tingyi Cayman Islands Holding Corp.		4,888,000		8,886,818
Yum China Holdings, Inc.		177,493		7,772,418
				49,003,119
Egypt — 4.4%
Commercial International Bank Egypt SAE, GDR		1,833,226		8,992,795
Eastern Co. SAE		3,593,061		3,272,283
				12,265,078
Hong Kong — 6.8%
AIA Group, Ltd.		1,075,200		10,398,791
Sands China, Ltd.		1,784,000		8,378,942
				18,777,733
India — 16.5%
Colgate-Palmolive India, Ltd.		421,044		7,535,917
Emami, Ltd.		181,085		649,208
HDFC Bank, Ltd.		853,280		14,047,410
ICICI Bank, Ltd.		1,466,519		10,141,588
ITC, Ltd.		1,731,802		4,760,814
Tata Consultancy Services, Ltd.		204,732		5,702,033
United Spirits, Ltd. (2)		321,042		3,097,363
				45,934,333
Indonesia — 5.9%
Bank Mandiri Persero Tbk PT		24,599,508		12,320,329
Bank Rakyat Indonesia Persero Tbk PT		13,832,200		4,038,467
				16,358,796
Jersey — 2.1%
Wizz Air Holdings PLC (2) (5)		131,249		5,800,812
Malaysia — 1.4%
Public Bank Bhd		939,900		3,812,648

Description	Shares		Value
Common Stocks (continued)
Mexico — 5.7%
Bolsa Mexicana de Valores SAB de C.V.		2,026,573	$	4,304,782
Wal-Mart de Mexico SAB de C.V.		4,120,089		11,598,543
				15,903,325
Netherlands — 2.3%
Prosus NV (2)		88,799		6,295,513
Nigeria — 1.1%
Guaranty Trust Bank PLC		48,352,103		3,144,755
Peru — 1.4%
Credicorp, Ltd.		20,766		3,764,253
Philippines — 3.0%
Universal Robina Corp.		2,971,920		8,323,903
Russia — 4.3%
Magnit PJSC, GDR		607,722		6,765,742
Moscow Exchange MICEX-RTS PJSC		3,453,080		5,138,185
				11,903,927
South Africa — 7.9%
AVI, Ltd.		751,727		3,527,810
Clicks Group, Ltd.		407,009		6,281,792
Discovery, Ltd.		903,136		5,544,281
Famous Brands, Ltd.		142,321		505,221
Mr Price Group, Ltd.		630,408		6,221,763
				22,080,867
Thailand — 0.9%
Kasikornbank PCL		694,469		2,618,977
United States — 3.1%
Western Union Co.		378,338		8,470,988
Vietnam — 2.2%
Vietnam Dairy Products JSC		1,368,611		6,148,346
Total Common Stocks (identified cost $237,875,191)				258,518,784
Common Stock Units — 2.9%
Mexico — 2.9%
Fomento Economico Mexicano SAB de C.V.,		971,600		7,922,664
Total Common Stock Units (identified cost $8,477,860)				7,922,664
Short-Term Investments — 9.0%
Collateral Investment for Securities on Loan — 5.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (3) (4)		15,605,355		15,605,355
Mutual Funds — 3.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		9,388,112		9,389,050
Total Short-Term Investments (identified cost $24,993,368)				24,994,405
Total Investments — 104.9% (identified cost $271,346,419)				291,435,853
Other Assets and Liabilities — (4.9)%				(13,493,972	)
Total Net Assets — 100.0%			$	277,941,881

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

27

February 29, 2020 (Unaudited)

Schedules of Investments

LGM Emerging Markets Equity Fund (continued)

Industry	Value			% of Total Net Assets
Agriculture	$	8,033,097			2.9	%
Airlines		5,800,812			2.1
Banks		62,881,222			22.6
Beverages		3,097,363			1.1
Computers		5,702,033			2.1
Cosmetics/Personal Care		7,535,917			2.7
Diversified Financial Services		17,913,955			6.5
Food		41,205,538			14.8
Healthcare-Services		7,744,448			2.8
Holding Companies-Diversified		3,527,810			1.3
Insurance		15,943,072			5.8
Internet		13,590,740			4.9
Lodging		8,378,942			3.0
Pharmaceuticals		4,763,445			1.6
Retail		49,969,870			17.9
Water		2,430,520			0.9
Total Common Stocks		258,518,784			93.0
Common Stock Units		7,922,664			2.9
Collateral Investment for Securities on Loan		15,605,355			5.6
Mutual Funds		9,389,050			3.4
Total Investments		291,435,853			104.9
Other Assets and Liabilities		(13,493,972	)		(4.9	)
Net Assets	$	277,941,881			100.0	%

Alternative Strategies Fund

Description	Shares		Value
Common Stocks — 24.6%
Australia — 0.9%
Beach Energy, Ltd.		68,491	$	76,817
BHP Group PLC		8,958		162,190
Fortescue Metals Group, Ltd.		6,106		39,832
Regis Resources, Ltd.		22,740		59,853
				338,692
Bermuda — 0.4%
Essent Group, Ltd.		2,983		130,178
Canada — 2.6%
Air Canada (2)		8,244		210,361
Allied Properties Real Estate Investment Trust		5,844		237,156
Cascades, Inc.		7,472		60,733
Cogeco Communications, Inc.		902		71,380
Cogeco, Inc.		1,016		69,744
George Weston, Ltd.		1,819		136,942
InterRent Real Estate Investment Trust		6,491		80,228
Methanex Corp.		1,536		44,218
Quebecor, Inc., Class B		1,353		31,611
Teck Resources, Ltd., Class B		1,741		17,511
				959,884
Cayman Islands — 0.1%
Tianneng Power International, Ltd.		42,000		31,071
China — 0.1%
Agricultural Bank of China, Ltd., Class H		55,000		22,153
Denmark — 0.9%
H Lundbeck A/S		817		28,268

Description	Shares		Value
Common Stocks (continued)
Denmark (continued)
Novo Nordisk A/S, Class B		3,715	$	220,795
Scandinavian Tobacco Group A/S, Class A (5)		6,420		82,452
				331,515
France — 0.2%
Peugeot SA		2,462		48,006
Sanofi		401		37,086
				85,092
Germany — 0.0%
Hamburger Hafen und Logistik AG		609		12,886
Hong Kong — 0.7%
Ajisen China Holdings, Ltd.		71,000		17,891
HKT Trust & HKT, Ltd.		69,000		103,471
SITC International Holdings Co., Ltd.		58,000		67,622
SmarTone Telecommunications Holdings, Ltd.		63,000		44,701
WH Group, Ltd. (5)		34,500		35,410
				269,095
Indonesia — 0.4%
Adaro Energy Tbk PT		952,200		78,020
Bukit Asam Tbk PT		455,100		71,025
Indo Tambangraya Megah Tbk PT		19,700		15,514
				164,559
Italy — 1.3%
ASTM SpA		1,007		25,072
Enel SpA		35,923		300,805
Iren SpA		43,080		133,488
				459,365
Japan — 2.0%
Arcs Co., Ltd.		2,600		41,463
Artnature, Inc.		2,300		13,950
Axial Retailing, Inc.		400		12,681
Frontier Real Estate Investment Corp.		50		184,437
Fukuda Corp.		900		32,520
Heiwado Co., Ltd.		4,800		74,274
Hoshino Resorts REIT, Inc.		3		12,923
J-Oil Mills, Inc.		900		33,521
KDDI Corp.		1,600		45,217
Mitsuboshi Belting, Ltd.		1,600		21,795
Mitsui Sugar Co., Ltd.		1,300		22,824
Nippon Telegraph & Telephone Corp.		4,800		112,298
Okinawa Electric Power Co., Inc.		3,450		59,791
Press Kogyo Co., Ltd.		6,800		19,423
San-Ai Oil Co., Ltd.		2,000		17,396
Yorozu Corp.		1,400		16,623
				721,136
Malaysia — 0.1%
Malaysian Pacific Industries Bhd		6,800		17,615
Netherlands — 0.5%
Koninklijke Ahold Delhaize NV		7,960		186,816
New Zealand — 0.8%
Air New Zealand, Ltd.		44,820		63,465
Fisher & Paykel Healthcare Corp., Ltd.		14,354		231,642
New Zealand Refining Co., Ltd.		18,343		13,966
				309,073
Norway — 0.2%
Austevoll Seafood ASA		4,275		38,246
DNO ASA		14,917		10,328
Sparebank 1 Oestlandet		1,969		19,748
				68,322

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

28

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Poland — 0.2%
Asseco Poland SA		4,314	$	66,999
Singapore — 0.8%
ComfortDelGro Corp., Ltd.		36,800		51,898
DBS Group Holdings, Ltd.		10,500		183,356
NetLink NBN Trust		98,700		69,622
				304,876
South Korea — 0.9%
DB HiTek Co., Ltd.		3,122		61,990
S&T Motiv Co., Ltd.		452		14,782
Samsung Electronics Co., Ltd.		4,935		223,260
Soulbrain Co., Ltd.		304		21,890
				321,922
Sweden — 0.1%
Mycronic AB		2,125		30,129
Switzerland — 0.7%
Ferrexpo PLC		9,422		15,903
Roche Holding AG		774		252,281
				268,184
Taiwan — 0.7%
Nanya Technology Corp.		28,000		68,262
Uni-President Enterprises Corp.		54,000		129,580
United Integrated Services Co., Ltd.		12,000		71,133
				268,975
Trinidad — 0.0%
Pegasus Hava Tasimaciligi A/S (2)		1,170		10,221
United Kingdom — 1.6%
GlaxoSmithKline PLC		9,466		190,754
Imperial Brands PLC		2,251		45,570
International Consolidated Airlines Group SA		7,531		47,108
Legal & General Group PLC		54,831		184,922
Reach PLC		10,803		20,539
SThree PLC		4,551		18,541
Taylor Wimpey PLC		5,281		13,859
Watkin Jones PLC		15,384		50,521
				571,814
United States — 8.4%
Amkor Technology, Inc. (2)		2,062		21,517
ArcBest Corp.		2,116		41,918
Best Buy Co., Inc.		1,552		117,409
Citizens Financial Group, Inc.		944		29,915
CONMED Corp.		1,975		186,914
Corcept Therapeutics, Inc. (2)		1,474		18,602
CRA International, Inc.		1,621		75,393
Cutera, Inc. (2)		385		9,540
Discover Financial Services		1,552		101,780
Emergent BioSolutions, Inc. (2)		634		37,203
Employers Holdings, Inc.		1,461		56,307
Enova International, Inc. (2)		597		11,474
Essex Property Trust, Inc.		833		236,039
F5 Networks, Inc. (2)		351		42,102
FedNat Holding Co.		917		11,958
Glaukos Corp. (2)		1,392		61,220
Globus Medical, Inc., Class A (2)		999		45,185
GMS, Inc. (2)		7,100		162,235
Haemonetics Corp. (2)		673		72,906
HealthStream, Inc. (2)		1,511		36,748
Integer Holdings Corp. (2)		1,377		124,164

Description	Shares or Units		Value
Common Stocks (continued)
United States (continued)
K12, Inc. (2)		3,339	$	66,379
Lantheus Holdings, Inc. (2)		2,588		40,243
LeMaitre Vascular, Inc.		621		17,699
Luminex Corp.		806		19,957
Marlin Business Services Corp.		2,675		52,590
Masco Corp.		4,384		181,147
Merit Medical Systems, Inc. (2)		2,836		102,124
Myriad Genetics, Inc. (2)		1,551		27,329
Natus Medical, Inc. (2)		1,260		33,869
NextGen Healthcare, Inc. (2)		1,720		22,498
Orthofix Medical, Inc. (2)		1,348		47,638
Pacira BioSciences, Inc. (2)		969		42,035
Qorvo, Inc. (2)		313		31,482
Regions Financial Corp.		5,522		74,657
Rush Enterprises, Inc., Class A		2,015		84,469
Southwest Airlines Co.		715		33,026
SpartanNash Co.		1,164		14,469
Supernus Pharmaceuticals, Inc. (2)		2,172		39,074
Surmodics, Inc. (2)		678		23,669
Sykes Enterprises, Inc. (2)		2,413		76,444
Synchrony Financial		1,004		29,216
Sysco Corp.		1,511		100,708
U.S. Foods Holding Corp. (2)		4,393		147,781
United Airlines Holdings, Inc. (2)		799		49,210
Unum Group		2,947		68,695
Vanda Pharmaceuticals, Inc. (2)		2,040		22,501
Vishay Intertechnology, Inc.		4,892		91,480
Vishay Precision Group, Inc. (2)		858		23,569
WW Grainger, Inc.		75		20,816
				3,085,303
Total Common Stocks (identified cost $9,631,172)				9,035,875
Limited Partnership Units — 0.1%
Germany — 0.1%
Schaeffler AG		4,247		37,762
Total Limited Partnership Units (identified cost $45,985)				37,762
Short-Term Investments — 65.9%
Mutual Funds — 65.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		24,272,341		24,274,768
Total Short-Term Investments (identified cost $24,271,307)				24,274,768
Total Investments — 90.6% (identified cost $33,948,464)				33,348,405
Other Assets and Liabilities — 9.4%				3,472,024
Total Net Assets — 100.0%			$	36,820,429

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks
Agriculture	$	128,022		0.4	%
Airlines		413,391		1.1
Auto Manufacturers		48,006		0.1
Auto Parts & Equipment		50,828		0.1
Banks		329,829		0.9
Biotechnology		92,800		0.3
Building Materials		181,147		0.5

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

29

February 29, 2020 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Industry Allocation (continued)
Industry	Value		% of Total Net Assets
Chemicals	$	66,108		0.2	%
Coal		164,559		0.5
Commercial Services		198,271		0.5
Computers		143,443		0.4
Cosmetics/Personal Care		13,950		0.0
Distribution/Wholesale		38,212		0.1
Diversified Financial Services		195,060		0.5
Electric		494,084		1.3
Electrical Components & Equipment		31,071		0.1
Electronics		145,178		0.4
Engineering & Construction		103,653		0.3
Food		974,715		2.7
Forest Products & Paper		60,733		0.2
Healthcare-Products		1,016,770		2.8
Holding Companies-Diversified		17,615		0.1
Home Builders		13,859		0.0
Insurance		452,060		1.2
Internet		78,850		0.2
Iron/Steel		55,735		0.2
Media		193,274		0.5
Mining		239,554		0.7
Miscellaneous Manufacturing		21,795		0.1
Oil & Gas		101,111		0.3
Pharmaceuticals		823,128		2.2
Real Estate		50,521		0.1
Real Estate Investment Trusts		750,783		2.0
Retail		382,004		1.0
Semiconductors		406,511		1.1
Software		22,498		0.1
Telecommunications		375,309		1.0
Transportation		161,438		0.4
Total Common Stocks		9,035,875		24.6
Limited Partnership Units		37,762		0.1
Short-Term Investments		24,274,768		65.9
Total Investments		33,348,405		90.6
Other Assets and Liabilities		3,472,024		9.4
Total Net Assets	$	36,820,429		100.0	%

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

30

BMO Funds

At February 29, 2020, the Alternative Strategies Fund had outstanding futures contracts as set forth below:

Expiration Date	Number of Contracts		Description	Notional Amount			Value			Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
March 2020		14	SFE 10-Year Australian Bond	$	1,350,003		$	1,365,275		$	15,272
June 2020		31	Canadian Government Bond		3,265,910			3,296,197			30,287
June 2020		24	United States Treasury Bond		3,978,113			4,086,000			107,887
June 2020		9	United States Treasury Note		1,196,297			1,212,750			16,453
Index Futures
March 2020		18	CME E-Mini S&P 500® Index		2,923,232			2,655,990			(267,242	)
March 2020		10	Russell 2000 Mini Index		839,239			737,450			(101,789	)
March 2020		30	Eurex Euro STOXX 50 Index		1,233,473			1,097,547			(135,926	)
March 2020		4	OSE Nikkei 225 Index		881,074			781,754			(99,320	)
March 2020		6	TSE TOPIX Index		943,989			834,137			(109,852	)
March 2020		6	CME E-Mini NASDAQ 100 Index		1,079,527			1,014,480			(65,047	)
March 2020		5	LIFFE FTSE 100 Index		477,892			418,526			(59,366	)
March 2020		3	DAX Index		1,114,196			978,569			(135,627	)
March 2020		1	CME Nikkei Index		110,606			97,419			(13,187	)
March 2020		1	CBOT E-Mini DJIA Index		146,543			126,820			(19,723	)
March 2020		6	CAC 40 10 Euro		398,687			351,487			(47,200	)
March 2020		1	HKG Hang Seng Index		171,808			167,864			(3,944	)
Interest Rate Futures
March 2020		6	Eurex 10-Year Euro BUND		1,158,793			1,175,442			16,649
June 2021		139	CME 3-Month Eurodollar		34,220,790			34,478,950			258,160
June 2021		104	LIFFE 90-Day Sterling		16,567,052			16,597,113			30,061
June 2021		70	LIFFE 3-Month Euro Euribor		19,403,747			19,419,592			15,845
June 2020		8	LIFFE 10-Year Gilt Government Bond		1,379,025			1,388,825			9,800
Short Futures
Bond Futures
June 2020		5	United States Treasury Note		(742,266	)		(751,094	)		(8,828	)
Index Futures
March 2020		1	LIFFE FTSE 100 Index		(95,360	)		(83,705	)		11,655
March 2020		8	Russell 2000 Mini Index		(671,934	)		(589,960	)		81,974
March 2020		3	MSCI E-Mini Emerging Markets Index		(161,902	)		(151,320	)		10,582
March 2020		22	Eurex Euro STOXX 600 Index		(488,895	)		(453,194	)		35,701
Interest Rate Futures
March 2020		10	Eurex 10-Year Euro BUND		(1,942,941	)		(1,959,070	)		(16,129	)
Total Futures Contracts				$	88,736,698		$	88,293,844		$	(442,854	)

At February 29, 2020, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

Settlement Date	Currency	Contract Amount					Value			Unrealized Appreciation (Depreciation)			Counterparty
		Buy		Sell
March 19, 2020	Japanese Yen	JPY	211,454,000	$	(1,934,957	)	$	1,962,180		$	27,227		Bank of America
March 19, 2020	Japanese Yen	$	4,339,400	JPY	(474,609,000	)		(4,404,120	)		(64,718	)	Bank of America
March 20, 2020	Australian Dollar	AUD	3,318,000	$	(2,300,832	)		2,162,425			(138,405	)	Bank of America
March 20, 2020	Australian Dollar	$	4,138,161	AUD	(6,056,000	)		(3,946,851	)		191,312		Bank of America
March 20, 2020	Canadian Dollar	CAD	4,494,000	$	(3,439,907	)		3,348,195			(91,714	)	Bank of America
March 20, 2020	Canadian Dollar	$	4,751,101	CAD	(6,296,000	)		(4,690,749	)		60,351		Bank of America
March 20, 2020	Euro Currency	EUR	1,522,000	$	(1,682,865	)		1,682,008			(861	)	Bank of America
March 20, 2020	Euro Currency	$	5,371,777	EUR	(4,828,000	)		(5,335,564	)		36,217		Bank of America
March 20, 2020	Mexican Peso (new)	MXN	11,878,000	$	(622,665	)		601,860			(20,805	)	Bank of America
March 20, 2020	Mexican Peso (new)	$	77,567	MXN	(1,501,000	)		(76,056	)		1,512		Bank of America
March 20, 2020	New Zealand Dollar	NZD	1,326,000	$	(876,457	)		828,968			(47,491	)	Bank of America
March 20, 2020	New Zealand Dollar	$	1,456,590	NZD	(2,262,000	)		(1,414,118	)		42,473		Bank of America
March 20, 2020	Pound Sterling	GBP	1,853,000	$	(2,429,222	)		2,376,978			(52,247	)	Bank of America
March 20, 2020	Pound Sterling	$	520,958	GBP	(401,000	)		(514,393	)		6,564		Bank of America
March 20, 2020	Swiss Franc	CHF	2,757,000	$	(2,846,896	)		2,861,092			14,194		Bank of America
March 20, 2020	Swiss Franc	$	1,276,467	CHF	(1,248,000	)		(1,295,120	)		(18,652	)	Bank of America

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

31

February 29, 2020 (Unaudited)

Schedules of Investments

Settlement Date	Currency	Contract Amount					Value			Unrealized Appreciation (Depreciation)			Counterparty
		Buy		Sell
April 8, 2020	Australian Dollar	$	4,002,000	$	(3,565,822	)	$	2,601,272		$	(57,404	)	Westpac Banking Corporation
April 8, 2020	Australian Dollar	AUD	2,343,000	$	(1,546,778	)		1,522,934			(23,845	)	Westpac Banking Corporation
April 8, 2020	Australian Dollar	$	249,791	AUD	(378,126	)		(245,779	)		4,012		Barclays Bank PLC
April 8, 2020	Australian Dollar	$	1,575,084	AUD	(2,343,000	)		(1,522,934	)		52,150		Westpac Banking Corporation
April 8, 2020	Canadian Dollar		3,567,343		(4,002,000	)		2,659,810			58,538		Westpac Banking Corporation
April 8, 2020	Chilean Peso	CLP	1,187,208,000	$	(1,464,785	)		1,451,139			(13,646	)	BNP Paribas, N.A.
April 8, 2020	Chilean Peso	$	1,499,000	CLP	(1,187,208,000	)		(1,451,138	)		47,862		BNP Paribas, N.A.
April 8, 2020	Euro Currency	EUR	458,000	$	(512,195	)		505,042			(7,153	)	BNP Paribas, N.A.
April 8, 2020	Euro Currency	EUR	50,888	$	(56,038	)		56,115			77		Canadian Imperial Bank of Commerce
April 8, 2020	Euro Currency	$	556,173	EUR	(510,678	)		(563,130	)		(6,957	)	Royal Bank of Canada (UK)
April 8, 2020	Japanese Yen	JPY	29,559,735	$	(270,000	)		273,953			3,953		Barclays Bank PLC
April 8, 2020	Japanese Yen	JPY	3,276,242	$	(30,000	)		30,363			363		Canadian Imperial Bank of Commerce
April 8, 2020	Japanese Yen	$	300,000	JPY	(33,550,131	)		(310,935	)		(10,935	)	Bank of Montreal
April 8, 2020	Mexican Peso (new)	MXN	8,405,564	$	(440,000	)		423,447			(16,553	)	HSBC Bank (USA)
April 8, 2020	Norwegian Krone	$	250,566	NOK	(2,346,748	)		(248,390	)		2,176		Citigroup Global Market, Ltd.
April 8, 2020	Pound Sterling	GBP	193,363	$	(249,563	)		247,325			(2,238	)	Bank of Montreal
April 8, 2020	Pound Sterling	GBP	265,276	$	(346,132	)		339,307			(6,826	)	BNP Paribas, N.A.
April 8, 2020	Pound Sterling	GBP	1,870,000	$	(2,428,432	)		2,391,863			(36,568	)	HSBC Bank (USA)
April 8, 2020	Pound Sterling	$	2,427,242	GBP	(1,870,000	)		(2,391,863	)		35,378		Barclays Bank PLC
April 8, 2020	Pound Sterling	$	350,590	GBP	(265,276	)		(339,307	)		11,283		Societe Generale
April 8, 2020	Swedish Krona	SEK	2,446,001	$	(250,566	)		253,162			2,596		Societe Generale
April 8, 2020	Thailand Baht	$	198,454	THB	(6,289,000	)		(199,438	)		(984	)	Barclays Bank PLC
										$	(19,764	)

At February 29, 2020, the Alternative Strategies Fund had outstanding total return swap agreements as set forth below:

Swap Counterparty	Index		Pay/Receive Total Return of Referenced Index	Floating Rate	Payment Frequency	Maturity Date		Notional Amount		Value at 2/29/20			Upfront Payment Paid		Unrealized Appreciation (Depreciation)
JPMorgan Chase & Co.		+	Pay	1 Month USD LIBOR Plus 0.23%	Monthly		12/28/2020	$	10,623,628	$	(1,459,540	)	$	—	$	(1,459,540	)
JPMorgan Chase & Co.		++	Receive	1 Month USD LIBOR Plus 0.15%	Monthly		12/28/2020		10,610,325		909,447			—		909,447
JPMorgan Chase & Co.		+++	Receive	1 Month USD LIBOR Plus 0.15%	Monthly		02/08/2021		4,340,734		479,273			—	$	479,273
										$	(70,820	)	$	—	$	(70,820	)

+ BMO Alternative Strategies Global Market Neutral Long Index

++ BMO Alternative Strategies Global Short Index

+++ BMO Alternative Strategies Global Market Neutral Short Index

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

32

BMO Funds

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Market Neutral Long Index as of February 29, 2020:

Security Description	Shares		Value		Index Weight
BMO Alternative Strategies Global Market Neutral Long Index
Adaro Energy Tbk PT		390,018	$	31,397		0.38	%
AerCap Holdings NV		852		44,373		0.54
AES Corp.		1,903		31,829		0.39
AGC, Inc.		1,287		36,977		0.45
AGCO Corp.		953		57,616		0.70
Air Canada		837		21,361		0.26
Akamai Technologies, Inc.		421		36,449		0.44
Alliance Data Systems Corp.		1,049		18,441		0.22
Ally Financial, Inc.		406		34,845		0.43
Altium, Ltd.		2,236		44,403		0.55
Altri SGPS SA		9,228		49,282		0.60
Amano Corp.		429		10,550		0.13
American Airlines Group, Inc.		939		17,879		0.22
American Eagle Outfitters, Inc.		637		8,208		0.10
Arcs Co., Ltd.		1,112		17,813		0.22
Asahi Co., Ltd.		1,644		16,459		0.20
Asia Cement China Holdings Corp.		6,663		8,789		0.11
Asseco Poland SA		1,879		28,924		0.35
ASTM SpA		1,464		36,049		0.44
AT&S Austria Technologie & Systemtechnik		1,335		23,120		0.28
Atkore International Group, Inc.		2,019		74,521		0.91
Axial Retailing, Inc.		879		21,917		0.27
BE Semiconductor Industries NV		1,298		50,031		0.61
BE Semiconductor Industries NV		426		13,559		0.17
Berry Global Group, Inc.		1,908		72,446		0.88
Boston Properties, Inc.		554		71,404		0.87
Burlington Stores, Inc.		94		20,386		0.25
Cabot Corp.		2,251		84,154		1.03
Cabot Oil & Gas Corp.		1,469		20,462		0.25
Cadence Design Systems, Inc.		1,348		89,150		1.09
Capital One Financial Corp.		357		31,523		0.38
Cascades, Inc.		3,471		28,209		0.34
Castlight Health, Inc.		6,927		6,278		0.08
Cementir Holding NV		1,539		9,846		0.12
Central Pacific Financial Corp.		3,223		77,103		0.94
China BlueChemical, Ltd.		44,001		8,356		0.10
China Resources Cement Holdings, Ltd.		11,231		14,138		0.17
CI Financial Corp.		2,099		34,849		0.43
Citigroup, Inc.		1,410		89,479		1.09
Citizens Financial Group, Inc.		1,131		35,850		0.44
Cogeco, Inc.		269		18,458		0.23
Comfort Systems USA, Inc.		562		23,718		0.29
ComfortDelGro Corp., Ltd.		29,025		40,553		0.50
Corestate Capital Holding SA		346		15,311		0.19
Covestro AG		1,080		40,931		0.50
CTT-Correios de Portugal SA		7,714		19,642		0.24
Daiichikosho Co., Ltd.		1,732		70,797		0.86
Daiichikosho Co., Ltd.		521		12,917		0.16
DB HiTek Co., Ltd.		1,089		21,336		0.26
Derichebourg SA		7,435		24,761		0.30
DNO ASA		25,930		17,680		0.22
Dollar General Corp.		450		67,586		0.82
Enerflex, Ltd.		5,269		29,045		0.35
Entegris, Inc.		307		16,396		0.20
Equinor ASA		1,107		16,513		0.20
Eramet		429		13,853		0.17
Essent Group Ltd.		3,743		163,324		1.99
Essex Property Trust, Inc.		750		212,512		2.59
Estee Lauder Cos, Inc.		128		23,544		0.29
Eutelsat Communications SA		1,318		17,726		0.22
F5 Networks, Inc.		411		49,333		0.60
Fabrinet		1,127		62,117		0.76

Security Description	Shares		Value		Index Weight
FedNat Holding Co.		1,301	$	16,961		0.21	%
Ferrexpo PLC		20,857		34,432		0.42
Finnair OYJ		1,524		7,997		0.10
Fortescue Metals Group, Ltd.		12,672		82,359		1.00
Fortinet, Inc.		1,045		106,696		1.30
France Bed Holdings Co., Ltd.		1,173		9,344		0.11
FTI Consulting, Inc.		349		39,281		0.48
Fujitsu Ltd.		276		28,700		0.35
Fukuda Corp.		345		12,536		0.15
Genting Singapore Ltd.		30,971		18,085		0.22
Glaukos Corp.		666		29,274		0.36
Globalwafers Co., Ltd.		2,368		32,018		0.39
Globus Medical, Inc.		791		35,772		0.44
GMS, Inc.		853		19,492		0.24
Haemonetics Corp.		247		26,707		0.33
Hanmi Financial Corp.		4,067		63,443		0.77
HealthStream, Inc.		1,860		45,240		0.55
Helmerich & Payne, Inc.		287		10,604		0.13
Herc Holdings, Inc.		2,219		81,385		0.99
Hitachi Ltd.		2,555		86,150		1.05
HMS Holdings Corp.		352		8,074		0.10
Honda Motor Co., Ltd.		800		20,761		0.25
Host Hotels & Resorts, Inc.		5,072		73,438		0.90
Hudbay Minerals, Inc.		8,665		21,109		0.26
Huntington Ingalls Industries, Inc.		580		119,140		1.45
IGG, Inc.		19,917		14,491		0.18
Integer Holdings Corp.		137		12,374		0.15
International Consolidated Airlines Grou		8,220		49,555		0.60
Israel Corp., Ltd.		172		24,333		0.30
JetBlue Airways Corp.		1,221		19,268		0.24
JTEKT Corp.		6,564		64,078		0.78
KAR Auction Services, Inc.		1,242		23,918		0.29
KDDI Corp.		3,357		95,158		1.16
Kerry Properties Ltd.		10,807		30,717		0.37
Kirkland Lake Gold, Ltd.		1,987		64,081		0.78
Kohl’s Corp.		3,084		23,532		0.29
Koninklijke Ahold Delhaize NV		2,417		56,239		0.69
Koninklijke Volkerwessels NV		1,181		28,401		0.35
Kraton Corp.		1,729		17,498		0.21
Kroger Co.		526		14,783		0.18
Kurabo Industries Ltd.		856		15,460		0.19
Lantheus Holdings, Inc.		1,207		18,764		0.23
Legal & General Group PLC		63,641		211,350		2.58
Luminex Corp.		2,622		64,916		0.79
Marlin Business Services Corp.		1,066		20,951		0.26
Masco Corp.		4,826		199,420		2.43
Matrix Service Co.		2,273		27,460		0.34
Max Co Ltd.		1,051		17,370		0.21
Mebuki Financial Group, Inc.		55,946		109,439		1.34
Medpace Holdings, Inc.		1,918		172,478		2.10
Meet Group, Inc.		2,669		13,614		0.17
Meidensha Corp.		814		13,078		0.16
Meitec Corp.		935		44,226		0.54
Methanex Corp.		1,682		48,430		0.59
Micro Focus International PLC		647		6,122		0.07
Mitsuboshi Belting Ltd.		1,033		14,148		0.17
Mitsui Sugar Co., Ltd.		1,593		28,045		0.34
Moneysupermarket.com Group PLC		30,415		120,626		1.47
Myriad Genetics, Inc.		452		7,973		0.10
Naphtha Israel Petroleum Corp., Ltd.		1,621		6,798		0.08
NEC Corp.		446		16,686		0.20
Nikkon Holdings Co., Ltd.		2,757		53,338		0.65
Nishi-Nippon Financial Holdings, Inc.		9,124		52,446		0.64
NNIT A/S		1,029		15,701		0.19

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

33

February 29, 2020 (Unaudited)

Schedules of Investments

��

Security Description	Shares		Value		Index Weight
BMO Alternative Strategies Global Market Neutral Long Index (continued)
Nomura Real Estate Holdings, Inc.		4,455	$	96,149		1.17	%
Northrim BanCorp, Inc.		357		12,475		0.15
Novocure Ltd.		104		7,574		0.09
NS United Kaiun Kaisha Ltd.		769		12,194		0.15
Obayashi Corp.		13,418		135,463		1.65
Oesterreichische Post AG		1,537		48,789		0.60
Omnicell, Inc.		128		10,458		0.13
ORIX Corp.		2,815		45,461		0.55
Orthofix Medical, Inc.		778		27,502		0.34
Oshkosh Corp.		2,276		164,239		2.00
Persimmon PLC		2,527		91,621		1.12
Peugeot SA		7,644		146,975		1.79
Quebecor, Inc.		3,072		71,759		0.88
Raymond James Financial, Inc.		364		30,449		0.37
Regions Financial Corp.		11,381		153,873		1.88
Rio Tinto PLC		1,371		63,197		0.77
Roche Holding AG		376		120,397		1.47
Ryobi Ltd.		2,743		35,705		0.43
Samsung Electronics Co., Ltd.		864		38,552		0.47
Sandfire Resources NL		12,961		35,599		0.44
Sandvik AB		2,076		33,919		0.41
Scandinavian Tobacco Group A/S		3,402		43,460		0.53
Schaeffler AG		4,733		42,006		0.51
Semapa-Sociedade de Investimento e Gesta		930		11,549		0.14
ServiceMaster Global Holdings, Inc.		1,367		48,898		0.60
Signify NV		2,351		69,195		0.84
Siltronic AG		945		87,398		1.07
Silvercorp Metals, Inc.		4,349		13,833		0.17
Sino-American Silicon Products, Inc.		9,326		32,339		0.39
Sinotruk Hong Kong Ltd.		16,924		32,358		0.39
SITC International Holdings Co., Ltd.		35,972		41,543		0.51
SK Hynix, Inc.		764		55,279		0.68
Soulbrain Co., Ltd.		164		11,689		0.14

Security Description	Shares		Value		Index Weight
Sprouts Farmers Market, Inc.		796	$	12,714		0.16	%
SPS Commerce, Inc.		760		39,978		0.49
St Barbara Ltd.		8,210		12,439		0.15
Steel Dynamics, Inc.		2,480		66,039		0.81
Sumitomo Seika Chemicals Co., Ltd.		418		10,889		0.13
Supernus Pharmaceuticals, Inc.		445		8,006		0.10
Surmodics, Inc.		601		20,998		0.26
Synchrony Financial		2,057		59,862		0.73
Taiheiyo Cement Corp.		2,910		71,845		0.88
Teck Resources Ltd.		1,791		18,013		0.22
Terex Corp.		839		18,472		0.23
Tianneng Power International Ltd.		21,102		15,624		0.19
Toyo Construction Co., Ltd.		6,963		29,113		0.35
Trinseo SA		1,455		31,839		0.39
Tsubakimoto Chain Co.		1,285		35,060		0.43
UCB SA		155		14,257		0.17
Under Armour, Inc.		15,627		37,778		0.46
Uni-President Enterprises Corp.		293		18,029		0.22
United Rentals, Inc.		311		41,142		0.50
US Concrete, Inc.		398		10,681		0.13
US Foods Holding Corp.		3,311		111,368		1.36
Vanda Pharmaceuticals, Inc.		2,850		31,437		0.38
Vishay Intertechnology, Inc.		2,369		44,300		0.54
Vishay Precision Group, Inc.		438		12,027		0.15
Waddell & Reed Financial, Inc.		1,740		23,942		0.29
Walker & Dunlop, Inc.		595		38,601		0.47
Weichai Power Co., Ltd.		8,220		16,181		0.20
Wells Fargo & Co.		1,021		41,690		0.51
World Fuel Services Corp.		1,964		55,529		0.68
WW Grainger, Inc.		184		51,142		0.62
Yanzhou Coal Mining Co., Ltd.		38,792		29,419		0.36
Yorozu Corp.		1,194		14,246		0.17
Yurtec Corp.		1,654		8,696		0.11
			$	8,195,994		100.00	%

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Short Index as of February 29,2020:

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index
a2 Milk Co., Ltd.		(3,400	)	$	(34,372	)		(0.37	)%
AAON, Inc.		(2,530	)		(139,193	)		(1.52	)
AEON Financial Service Co., Ltd.		(776	)		(11,281	)		(0.12	)
AIA Group, Ltd.		(4,931	)		(48,661	)		(0.53	)
Air Water, Inc.		(5,521	)		(73,147	)		(0.80	)
Aker Solutions ASA		(28,001	)		(38,446	)		(0.42	)
Albemarle Corp.		(1,268	)		(103,822	)		(1.13	)
Amundi SA		(387	)		(27,468	)		(0.30	)
Analog Devices, Inc.		(644	)		(70,174	)		(0.76	)
Andersons, Inc.		(569	)		(10,449	)		(0.11	)
AP Moller—Maersk A/S		(91	)		(90,614	)		(0.99	)
Apache Corp.		(1,395	)		(34,760	)		(0.38	)
Arbonia AG		(1,757	)		(19,346	)		(0.21	)
Argan, Inc.		(695	)		(29,016	)		(0.32	)
Ariake Japan Co., Ltd.		(818	)		(52,186	)		(0.57	)
Arrow Electronics, Inc.		(1,553	)		(104,152	)		(1.13	)
Asahi Holdings, Inc.		(2,061	)		(46,866	)		(0.51	)
Assa Abloy AB		(3,248	)		(71,997	)		(0.78	)
Astronics Corp.		(988	)		(20,031	)		(0.22	)
Atlantic Union Bankshares Corp.		(459	)		(13,648	)		(0.15	)
Atmos Energy Corp		(570	)		(58,802	)		(0.64	)
Bank of East Asia, Ltd.		(4,644	)		(9,868	)		(0.11	)
Bank of Kyoto, Ltd.		(2,113	)		(72,005	)		(0.78	)
BlackBerry, Ltd.		(3,334	)		(17,211	)		(0.19	)
Boskalis Westminster		(2,148	)		(46,698	)		(0.51	)

Security Description	Shares			Value			Index Weight
Capital & Counties Properties PLC		(24,579	)	$	(62,160	)		(0.68	) %
Capstar Financial Holdings, Inc.		(694	)		(9,329	)		(0.10	)
Century Aluminum Co.		(4,385	)		(25,430	)		(0.28	)
Chegg, Inc.		(1,114	)		(43,670	)		(0.48	)
Chorus Aviation, Inc.		(7,528	)		(36,396	)		(0.40	)
Chugoku Marine Paints, Ltd.		(2,230	)		(19,081	)		(0.21	)
Clarus Corp.		(1,204	)		(13,922	)		(0.15	)
Clinigen Group PLC		(1,559	)		(14,299	)		(0.16	)
CME Group, Inc.		(448	)		(89,057	)		(0.97	)
Coats Group PLC		(51,368	)		(38,974	)		(0.42	)
Colowide Co., Ltd.		(797	)		(13,119	)		(0.14	)
Commonwealth Bank of Australia		(1,893	)		(99,808	)		(1.09	)
Community Health Systems, Inc.		(24,845	)		(122,488	)		(1.33	)
COMSYS Holdings Corp.		(1,601	)		(39,531	)		(0.43	)
Copart, Inc.		(969	)		(81,894	)		(0.89	)
Corning, Inc.		(1,013	)		(24,178	)		(0.26	)
Cubic Corp.		(444	)		(24,158	)		(0.26	)
Diamondback Energy, Inc.		(367	)		(22,735	)		(0.25	)
Digimarc Corp.		(1,377	)		(27,549	)		(0.30	)
DKSH Holding AG		(392	)		(21,919	)		(0.24	)
Drive Shack, Inc.		(5,009	)		(14,325	)		(0.16	)
ECN Capital Corp.		(9,548	)		(39,051	)		(0.43	)
eHealth, Inc.		(443	)		(51,980	)		(0.57	)
Energizer Holdings, Inc.		(1,887	)		(81,119	)		(0.88	)
Essential Utilities, Inc.		(2,579	)		(110,930	)		(1.21	)
Essentra PLC		(10,091	)		(46,223	)		(0.50	)

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

34

BMO Funds

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Short Index (continued)
Euronav NV		(9,930	)	$	(89,603	)		(0.98	)%
Everbridge, Inc.		(1,115	)		(117,826	)		(1.28	)
FANUC Corp.		(147	)		(24,501	)		(0.27	)
Fastenal Co.		(2,226	)		(76,173	)		(0.83	)
Ferrari NV		(371	)		(57,635	)		(0.63	)
First Financial Bancorp		(4,016	)		(82,722	)		(0.90	)
First Hawaiian, Inc.		(3,803	)		(91,073	)		(0.99	)
First Republic Bank		(1,133	)		(113,971	)		(1.24	)
Fletcher Building, Ltd.		(23,150	)		(74,521	)		(0.81	)
Fluidra SA		(1,418	)		(19,444	)		(0.21	)
FMC Corp.		(926	)		(86,166	)		(0.94	)
Franco-Nevada Corp.		(483	)		(51,898	)		(0.57	)
Front Yard Residential Corp.		(5,129	)		(65,041	)		(0.71	)
FUCHS PETROLUB SE		(2,137	)		(81,045	)		(0.88	)
Fuji Seal International, Inc.		(792	)		(14,097	)		(0.15	)
GAM Holding AG		(27,632	)		(92,207	)		(1.00	)
Genuine Parts Co.		(858	)		(74,830	)		(0.81	)
Green Plains, Inc.		(1,660	)		(19,904	)		(0.22	)
HarborOne Bancorp, Inc.		(3,529	)		(35,277	)		(0.38	)
Haynes International, Inc.		(797	)		(20,168	)		(0.22	)
Healthcare Services Group, Inc.		(1,460	)		(40,219	)		(0.44	)
Helios Technologies, Inc.		(962	)		(38,231	)		(0.42	)
Henry Schein, Inc.		(1,385	)		(84,385	)		(0.92	)
Hitachi Metals, Ltd.		(1,019	)		(14,574	)		(0.16	)
Huhtamaki OYJ		(2,160	)		(88,499	)		(0.96	)
Hunting PLC		(15,588	)		(63,317	)		(0.69	)
Iliad SA		(216	)		(29,918	)		(0.33	)
IMCD NV		(1,207	)		(98,019	)		(1.07	)
Infinera Corp.		(5,807	)		(39,488	)		(0.43	)
Interactive Brokers Group, Inc.		(957	)		(48,889	)		(0.53	)
Intercontinental Exchange, Inc.		(146	)		(13,028	)		(0.14	)
International Flavors & Fragrances, Inc.		(208	)		(24,937	)		(0.27	)
Invesco, Ltd.		(1,233	)		(17,753	)		(0.19	)
IPG Photonics Corp.		(385	)		(49,082	)		(0.53	)
J Sainsbury PLC		(4,576	)		(11,442	)		(0.12	)
JCDecaux SA		(2,820	)		(64,426	)		(0.70	)
JCR Pharmaceuticals Co., Ltd.		(395	)		(35,085	)		(0.38	)
JGC Holdings Corp.		(7,986	)		(98,101	)		(1.07	)
Kobayashi Pharmaceutical Co., Ltd.		(1,645	)		(119,744	)		(1.30	)
Komatsu, Ltd.		(2,558	)		(51,767	)		(0.56	)
Kratos Defense & Security Solutions, Inc.		(1,848	)		(30,054	)		(0.33	)
Labrador Iron Ore Royalty Corp.		(2,069	)		(30,028	)		(0.33	)
Lancashire Holdings, Ltd.		(2,150	)		(19,895	)		(0.22	)
Leggett & Platt, Inc.		(618	)		(24,517	)		(0.27	)
Limoneira Co.		(1,446	)		(24,149	)		(0.26	)
Liquidity Services, Inc.		(1,642	)		(6,436	)		(0.07	)
Macerich Co.		(1,807	)		(36,908	)		(0.40	)
Manulife Financial Corp.		(3,530	)		(59,335	)		(0.65	)
MaxLinear, Inc.		(803	)		(12,416	)		(0.14	)
MBIA, Inc.		(6,522	)		(50,868	)		(0.55	)
McDonald’s Corp.		(557	)		(108,133	)		(1.18	)
MISUMI Group, Inc.		(3,981	)		(84,032	)		(0.91	)
Mitsubishi Motors Corp.		(6,270	)		(20,867	)		(0.23	)
Mitsui E&S Holdings Co., Ltd.		(6,622	)		(47,638	)		(0.52	)
Miura Co., Ltd.		(3,806	)		(124,566	)		(1.35	)
MKS Instruments, Inc.		(720	)		(72,168	)		(0.79	)
Mondelez International, Inc.		(996	)		(52,612	)		(0.57	)
Monro, Inc.		(503	)		(28,245	)		(0.31	)
Motorcar Parts of America, Inc.		(552	)		(9,241	)		(0.10	)
Nanosonics, Ltd.		(26,889	)		(116,154	)		(1.26	)
Netflix, Inc.		(78	)		(28,779	)		(0.31	)
New York Community Bancorp, Inc.		(8,991	)		(97,192	)		(1.06	)
Nippon Paint Holdings Co., Ltd.		(1,152	)		(52,590	)		(0.57	)
Norsk Hydro ASA		(7,855	)		(22,110	)		(0.24	)
Nutanix, Inc.		(539	)		(12,841	)		(0.14	)

Security Description	Shares			Value			Index Weight
Ocado Group PLC		(4,657	)	$	(63,288	)		(0.69	) %
Okta, Inc.		(738	)		(94,505	)		(1.03	)
Ollie’s Bargain Outlet Holdings, Inc.		(1,518	)		(77,236	)		(0.84	)
Oriental Land Co., Ltd.		(320	)		(36,433	)		(0.40	)
Origin Energy, Ltd.		(3,648	)		(16,418	)		(0.18	)
Parco Co., Ltd.		(2,648	)		(45,240	)		(0.49	)
PATRIZIA AG		(1,595	)		(36,646	)		(0.40	)
Pebblebrook Hotel Trust		(3,778	)		(76,353	)		(0.83	)
Penske Automotive Group, Inc.		(262	)		(12,036	)		(0.13	)
Penumbra, Inc.		(257	)		(42,707	)		(0.46	)
People’s United Financial., Inc.		(6,451	)		(90,254	)		(0.98	)
PerkinElmer, Inc.		(1,306	)		(112,866	)		(1.23	)
Persol Holdings Co., Ltd.		(4,022	)		(53,288	)		(0.58	)
Pinnacle Financial Partners, Inc.		(1,008	)		(53,035	)		(0.58	)
PJT Partners, Inc.		(552	)		(24,829	)		(0.27	)
PRA Group, Inc.		(1,382	)		(53,644	)		(0.58	)
PROS Holdings, Inc.		(1,669	)		(76,417	)		(0.83	)
Puma SE		(304	)		(23,114	)		(0.25	)
QBE Insurance Group, Ltd.		(6,596	)		(57,798	)		(0.63	)
R1 RCM, Inc.		(2,240	)		(27,509	)		(0.30	)
Radware, Ltd.		(1,980	)		(44,984	)		(0.49	)
Rathbone Brothers PLC		(943	)		(19,995	)		(0.22	)
Renesas Electronics Corp.		(11,947	)		(72,105	)		(0.79	)
Renishaw PLC		(200	)		(8,920	)		(0.10	)
Roper Technologies, Inc.		(88	)		(31,010	)		(0.34	)
RWS Holdings PLC		(2,229	)		(14,947	)		(0.16	)
Sanne Group PLC		(2,617	)		(19,053	)		(0.21	)
Savaria Corp.		(1,956	)		(16,892	)		(0.18	)
Schoeller-Bleckmann Oilfield Equipment A		(695	)		(28,280	)		(0.31	)
Sembcorp Industries, Ltd.		(9,681	)		(12,693	)		(0.14	)
Serco Group PLC		(44,255	)		(86,261	)		(0.94	)
Shin-Etsu Chemical Co., Ltd.		(214	)		(24,140	)		(0.26	)
SHO-BOND Holdings Co., Ltd.		(2,597	)		(94,873	)		(1.03	)
Shopify, Inc.		(168	)		(78,181	)		(0.85	)
Sims Metal Management, Ltd.		(1,462	)		(9,040	)		(0.10	)
SOITEC		(243	)		(19,713	)		(0.21	)
Sony Financial Holdings, Inc.		(4,990	)		(99,835	)		(1.09	)
Spotify Technology SA		(159	)		(21,807	)		(0.24	)
Square, Inc.		(565	)		(47,054	)		(0.51	)
Stericycle, Inc.		(915	)		(52,526	)		(0.57	)
Stobart Group, Ltd.		(11,976	)		(11,779	)		(0.13	)
Sumitomo Metal Mining Co., Ltd.		(2,647	)		(65,895	)		(0.72	)
SVB Financial Group		(458	)		(95,312	)		(1.04	)
Svenska Cellulosa AB SCA		(2,642	)		(24,982	)		(0.27	)
Symrise AG		(534	)		(51,725	)		(0.56	)
Tadano, Ltd.		(5,212	)		(43,635	)		(0.48	)
Taihei Dengyo Kaisha, Ltd.		(579	)		(12,299	)		(0.13	)
TFS Financial Corp.		(2,857	)		(58,392	)		(0.64	)
Thor Industries, Inc.		(410	)		(30,902	)		(0.34	)
TOTO, Ltd.		(2,453	)		(93,119	)		(1.01	)
Twilio, Inc.		(99	)		(11,162	)		(0.12	)
UMH Properties, Inc.		(3,810	)		(55,284	)		(0.60	)
United Parcel Service, Inc.		(616	)		(55,753	)		(0.61	)
Vicor Corp.		(1,315	)		(56,872	)		(0.62	)
ViewRay, Inc.		(7,745	)		(22,229	)		(0.24	)
Visteon Corp.		(504	)		(32,783	)		(0.36	)
Vivendi SA		(1,456	)		(36,806	)		(0.40	)
Vivint Solar, Inc.		(13,449	)		(151,168	)		(1.65	)
Vulcan Materials Co.		(567	)		(68,173	)		(0.74	)
Wacom Co., Ltd.		(2,766	)		(8,565	)		(0.09	)
Wallenstam AB		(5,334	)		(64,698	)		(0.70	)
Weir Group PLC		(5,595	)		(93,296	)		(1.02	)
Weyerhaeuser Co.		(3,795	)		(98,597	)		(1.07	)
Wheaton Precious Metals Corp.		(2,808	)		(79,855	)		(0.87	)
Yara International ASA		(2,141	)		(77,082	)		(0.84	)
				$	(9,184,606	)		(100.00	)%

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

35

February 29, 2020 (Unaudited)

Schedules of Investments

The following table represents the equity basket holdings underlying the total return swap with BMO Alternative Strategies Global Market Neutral Short Index as of February 29, 2020:

Security Description	Shares			Value			Index Weight
BMO Alternative Strategies Global Market Neutral Short Index
Afterpay, Ltd.		(4,489	)	$	(95,996	)		(1.00	)%
Albemarle Corp.		(2,495	)		(204,239	)		(2.11	)
Asahi Holdings, Inc.		(7,230	)		(164,429	)		(1.70	)
Atmos Energy Corp.		(2,467	)		(254,768	)		(2.63	)
BOK Financial Corp.		(2,080	)		(150,583	)		(1.56	)
Brown-Forman Corp.		(995	)		(61,112	)		(0.63	)
Caverion OYJ		(4,949	)		(34,357	)		(0.36	)
Cellnex Telecom SA		(7,791	)		(375,445	)		(3.88	)
Century Aluminum Co.		(37,183	)		(215,663	)		(2.23	)
CITIC Securities Co., Ltd.		(138,592	)		(296,283	)		(3.06	)
CKD Corp.		(18,819	)		(289,967	)		(3.00	)
COSCO Ship Energy		(409,921	)		(159,907	)		(1.65	)
Daifuku Co., Ltd.		(4,783	)		(284,698	)		(2.94	)
Delivery Hero SE		(5,561	)		(415,363	)		(4.29	)
Diversified Healthcare Trust		(3,364	)		(21,157	)		(0.22	)
Energizer Holdings, Inc.		(1,712	)		(73,607	)		(0.76	)
Goldwin, Inc.		(969	)		(59,138	)		(0.61	)
GRENKE AG		(3,080	)		(283,181	)		(2.93	)
HarborOne Bancorp, Inc.		(5,681	)		(56,786	)		(0.59	)
Hitachi Metals, Ltd.		(9,011	)		(128,897	)		(1.33	)
Interactive Brokers Group, Inc.		(5,795	)		(296,134	)		(3.06	)
J Trust Co., Ltd.		(25,345	)		(81,301	)		(0.84	)
Kansai Paint Co., Ltd.		(13,149	)		(287,329	)		(2.97	)
Kawasaki Kisen Kaisha, Ltd.		(19,617	)		(221,153	)		(2.28	)
M3, Inc.		(6,676	)		(172,426	)		(1.78	)
Macerich Co.		(4,719	)		(96,369	)		(1.00	)
MISUMI Group, Inc.		(11,670	)		(246,360	)		(2.55	)
Money Forward, Inc.		(1,082	)		(46,140	)		(0.48	)
MOS Food Services, Inc.		(3,027	)		(69,035	)		(0.71	)
NextEra Energy, Inc.		(1,236	)		(312,359	)		(3.23	)

Security Description	Shares			Value			Index Weight
Nihon M&A Center, Inc.		(4,708	)	$	(143,159	)		(1.48	) %
Nippon Paint Holdings Co., Ltd.		(6,374	)		(291,032	)		(3.01	)
Nippon Yusen KK		(18,554	)		(265,580	)		(2.75	)
Nitori Holdings Co., Ltd.		(719	)		(99,693	)		(1.03	)
Noah Holdings, Ltd.		(8,953	)		(254,073	)		(2.63	)
Noodles & Co.		(10,645	)		(86,440	)		(0.89	)
Nordic Semiconductor ASA		(12,414	)		(64,665	)		(0.67	)
Northwest Pipe Co.		(3,110	)		(98,107	)		(1.01	)
Nufarm, Ltd.		(79,412	)		(261,637	)		(2.70	)
OGE Energy Corp.		(5,641	)		(214,941	)		(2.22	)
Okta, Inc.		(1,664	)		(213,056	)		(2.20	)
Pacific Metals Co., Ltd.		(2,572	)		(46,622	)		(0.48	)
Park24 Co., Ltd.		(10,711	)		(208,837	)		(2.15	)
People’s United Financial Inc.		(7,232	)		(101,177	)		(1.05	)
Rayonier, Inc.		(2,364	)		(62,721	)		(0.65	)
SMS Co., Ltd.		(11,946	)		(229,132	)		(2.36	)
Spotify Technology SA		(167	)		(22,833	)		(0.24	)
Square, Inc.		(1,119	)		(93,268	)		(0.96	)
Stericycle, Inc.		(595	)		(34,181	)		(0.35	)
Sumitomo Metal Mining Co., Ltd.		(9,543	)		(237,580	)		(2.46	)
TFS Financial Corp.		(3,448	)		(70,472	)		(0.73	)
Toridoll Holdings Corp.		(6,231	)		(125,594	)		(1.30	)
Umicore SA		(1,823	)		(75,615	)		(0.78	)
Wallenstam AB		(11,610	)		(140,829	)		(1.46	)
Weir Group PLC		(15,435	)		(257,381	)		(2.66	)
Weyerhaeuser Co.		(3,754	)		(97,520	)		(1.01	)
Willdan Group, Inc.		(4,440	)		(136,539	)		(1.41	)
Zalando SE		(5,678	)		(246,560	)		(2.55	)
Zur Rose Group AG		(356	)		(41,241	)		(0.43	)
				$	(9,674,667	)		(100.00	)%

Ultra Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 102.6%
Alabama — 4.9%
Black Belt Energy Gas District, 2.009, (LIBOR 1 Month), 12/01/2023, Call 9/1/2023 (6)	$	4,500,000	$	4,553,955
Health Care Authority for Baptist Health, 1.440, 11/01/2042, Call 3/2/2020 (6)		11,125,000		11,125,000
Southeast Alabama Gas Supply District, 2.009, (LIBOR 1 Month), 4/01/2024, Call 1/1/2024 (6)		5,000,000		5,050,700
Other Securities		5,355,000		5,481,891
				26,211,546
Arkansas — 1.3%
Arkansas Development Finance Authority, 1.450, 9/01/2044, Call 3/2/2020 (6)		7,000,000		7,000,000
Other Securities
California — 1.2%
Other Securities		6,230,000		6,290,283
Colorado — 0.8%
Other Securities		4,010,000		4,100,306

Description	Principal Amount		Value
Municipals (continued)
Connecticut — 1.7%
Town of Windham, 3.000, 10/01/2020	$	4,000,000	$	4,047,120
Other Securities		4,935,000		5,260,630
				9,307,750
District of Columbia — 0.5%
Other Securities		2,860,000		2,921,655
Florida — 7.7%
Citizens Property Insurance Corp., 5.000, 6/01/2020		3,870,000		3,909,280
Florida Development Finance Corp., 1.900, 3/17/2020 (6)		10,000,000		10,003,400
JPMorgan Chase Putters/Drivers Trust, 1.400, 2/01/2022, Call 8/18/2020 (5) (6)		6,000,000		6,000,000
Lee Memorial Health System, 1.290, 4/01/2049, Call 3/2/2020 (6)		7,500,000		7,500,000
Other Securities		13,805,000		13,831,912
				41,244,592
Georgia — 5.2%
Burke County Development Authority, 2.250, 5/25/2023 (6)		4,000,000		4,109,360

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

36

BMO Funds

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Georgia (continued)
Main Street Natural Gas, Inc. 1.720%, (SIFMA Municipal Swap Index Yield), 12/01/2023, Call 9/1/2023 (6)	$	5,000,000	$	5,026,350
1.940%, (LIBOR 1 Month), 12/01/2023, Call 9/1/2023 (6)		5,000,000		5,076,750
				10,103,100
Monroe County Development Authority, 1.250, 11/01/2048, Call 2/28/2020 (6)		4,500,000		4,500,000
Other Securities		8,560,000		8,737,593
				27,450,053
Hawaii — 0.5%
Other Security		2,800,000		2,800,028
Illinois — 8.7%
Cook & Will Counties Community College District No 515, 1.450, 12/01/2039, Call 5/19/2020 (6)		7,000,000		7,004,410
Illinois Development Finance Authority, 1.600, 11/02/2020, Call 8/4/2020 (6)		5,000,000		5,014,150
State of Illinois
5.000%, 8/01/2020		4,000,000		4,065,760
5.000%, 2/01/2022		6,040,000		6,478,262
				10,544,022
Tender Option Bond Trust Receipts/Certificates, 1.350, 6/15/2031, Call 6/15/2026 (5) (6)		4,355,000		4,355,000
Other Securities		18,710,000		19,256,557
				46,174,139
Indiana — 4.5%
Clark Pleasant Middle School Corp., 2.500, 7/16/2020, Call 3/20/2020		4,710,000		4,735,246
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.400, 7/01/2047, Call 2/28/2020 (6)		5,450,000		5,450,000
Other Securities		13,645,000		13,818,438
				24,003,684
Iowa — 1.8%
Other Securities		9,455,000		9,513,120
Kansas — 1.5%
Other Securities		7,835,000		7,871,797
Kentucky — 5.6%
County of Carroll, 1.200, 6/01/2021 (6)		5,000,000		5,009,850
Kentucky Rural Water Finance Corp.
1.250%, 2/01/2022, Call 2/1/2021		6,770,000		6,776,093
1.450%, 6/01/2021, Call 12/1/2020		5,500,000		5,512,980
				12,289,073
Other Securities		12,505,000		12,647,787
				29,946,710

Description	Principal Amount		Value
Municipals (continued)
Louisiana — 1.0%
Louisiana Public Facilities Authority, 1.800, (SIFMA Municipal Swap Index Yield), 9/01/2023, Call 3/1/2023 (6)	$	5,000,000	$	5,017,300
Other Security		355,000		367,773
				5,385,073
Maryland — 0.8%
Maryland Economic Development Corp., 1.700, 9/01/2022		4,000,000		4,065,880
Other Securities
Massachusetts — 0.4%
Other Securities		2,000,000		2,019,237
Michigan — 3.0%
Tender Option Bond Trust Receipts/Certificates, AGM Q-SBLF, 1.400, 11/01/2023 (5) (6)		7,575,000		7,575,000
Other Securities		7,955,000		8,196,013
				15,771,013
Minnesota — 1.1%
JPMorgan Chase Putters/Drivers Trust, 1.400, 6/01/2021 (5) (6)		5,000,000		5,000,000
Other Security		1,080,000		1,080,065
				6,080,065
Mississippi — 0.7%
Other Security		3,800,000		3,802,166
Missouri — 1.7%
City of St. Louis, 2.500, 6/01/2020		5,000,000		5,018,400
Other Securities		4,040,000		4,048,434
				9,066,834
Nebraska — 0.4%
Other Securities		2,000,000		2,116,270
Nevada — 1.0%
State of Nevada Department of Business & Industry, 1.470, 6/01/2020 (5) (6)		3,800,000		3,802,736
Other Security		1,650,000		1,666,335
				5,469,071
New Hampshire — 2.6%
New Hampshire Business Finance Authority, 2.000, 8/31/2020 (5) (6)		14,000,000		14,050,680
Other Securities
New Jersey — 1.2%
Other Securities		6,200,000		6,234,877
New Mexico — 0.4%
Other Securities		2,025,000		2,034,029
New York — 12.5%
City of New York, 1.380, 10/01/2046, Call 2/28/2020 (6)		8,000,000		8,000,000
County of Suffolk, 2.000, 9/25/2020		4,000,000		4,022,440
Hempstead Union Free School District, SAW, 2.500, 6/25/2020		6,000,000		6,028,260

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

37

February 29, 2020 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
Livonia Central School District, SAW, 2.500, 6/19/2020	$	5,485,000	$	5,508,970
Long Island Power Authority, 1.908, (LIBOR 1 Month), 10/01/2023, Call 10/1/2022 (6)		4,000,000		4,024,600
Metropolitan Transportation Authority, 4.000, 2/01/2022		6,000,000		6,341,040
Nuveen New York AMT-Free Municipal Credit Income Fund, 1.500, 3/01/2029 (6)		4,700,000		4,700,000
Orange & Ulster Counties Board Coop Educational Services Sole Supervisory District, 2.250, 7/22/2020		4,000,000		4,019,160
Triborough Bridge & Tunnel Authority, 1.809, (LIBOR 1 Month), 2/01/2021 (6)		4,845,000		4,860,843
Other Securities		19,135,000		19,175,069
				66,680,382
North Carolina — 0.4%
Other Securities		2,200,000		2,200,000
North Dakota — 0.3%
Other Securities		1,775,000		1,825,340
Ohio — 8.5%
Port of Greater Cincinnati Development Authority, 3.000, 5/01/2023, Call 5/1/2022		6,000,000		6,146,640
Other Securities		38,880,000		39,059,058
				45,205,698
Oklahoma — 1.4%
Oklahoma Development Finance Authority, 1.625, 7/06/2023, Call 6/30/2022		4,400,000		4,432,516
Other Securities		2,900,000		2,956,168
				7,388,684
Pennsylvania — 5.8%
School District of Philadelphia, SAW, 4.000, 3/31/2020		5,000,000		5,012,200
Tender Option Bond Trust Receipts/Certificates, 1.500, 11/01/2047, Call 11/1/2027 (5) (6)		6,500,000		6,500,000
Other Securities		18,940,000		19,185,101
				30,697,301
South Carolina — 2.3%
Patriots Energy Group Financing Agency, 1.970, (LIBOR 1 Month), 2/01/2024, Call 11/1/2023 (6)		6,000,000		6,086,160
Tender Option Bond Trust Receipts/Certificates, 1.400, 7/01/2021 (5) (6)		6,000,000		6,000,000
Other Securities
				12,086,160

Description	Principal Amount		Value
Municipals (continued)
Tennessee — 1.2%
Tennessee Energy Acquisition Corp., 5.250, 9/01/2020	$	4,720,000	$	4,820,111
Other Security		1,400,000		1,402,884
				6,222,995
Texas — 3.7%
Mission Economic Development Corp., 2.500, 8/01/2020, Call 3/30/2020		6,500,000		6,508,710
Other Securities		13,125,000		13,291,520
				19,800,230
Virginia — 1.7%
Hampton Redevelopment & Housing Authority, 1.460, 12/01/2021, Call 12/1/2021 (6)		4,000,000		4,022,120
Westmoreland County Industrial Development Authority, 2.000, 6/01/2022		4,300,000		4,375,723
Other Security		900,000		920,043
				9,317,886
Washington — 1.1%
Other Securities		5,970,000		5,984,825
West Virginia — 0.3%
Other Securities		1,360,000		1,406,980
Wisconsin — 3.2%
Other Securities		16,950,000		17,027,324
Total Municipals (identified cost $544,451,042)				546,774,663
Short-Term Investments — 1.0%
Repurchase Agreements — 0.0%
Other Security		166,899		166,899
Short-Term Municipals — 1.0%
Florida — 1.0%
JEA Electric System Revenue, 1.200%, 3/4/2020		5,000,000		5,000,000
Total Short-Term Investments (identified cost $5,166,899)				5,166,899
Total Investments — 103.6% (identified cost $549,617,941)				551,941,562
Other Assets and Liabilities — (3.6)%				(19,068,102	)
Total Net Assets — 100.0%			$	532,873,460

Short Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 99.0%
Alabama — 4.3%
Black Belt Energy Gas District
2.009%, (LIBOR 1 Month), 12/01/2023, Call 9/1/2023 (6)	$	1,000,000	$	1,011,990
4.000%, 6/01/2021, Call 3/1/2021 (6)		1,000,000		1,037,070
4.000%, 6/01/2023		1,000,000		1,092,470
				3,141,530

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

38

BMO Funds

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Alabama (continued)
County of Jefferson, 5.000, 9/15/2021	$	1,000,000	$	1,064,040
Southeast Alabama Gas Supply District, 2.009, (LIBOR 1 Month), 4/01/2024, Call 1/1/2024 (6)		1,000,000		1,010,140
Other Securities		975,000		1,077,184
				6,292,894
Alaska — 0.7%
Other Security		1,000,000		1,001,390
Arizona — 1.4%
Other Securities		2,100,000		2,119,363
Arkansas — 0.2%
Other Security		245,000		252,303
California — 5.1%
California Municipal Finance Authority, 5.000, 2/01/2022		1,000,000		1,079,120
Golden State Tobacco Securitization Corp., 5.000, 6/01/2022		1,000,000		1,089,630
Other Securities		5,080,000		5,358,834
				7,527,584
Colorado — 3.9%
Colorado Educational & Cultural Facilities Authority, 5.000, 10/01/2021		1,000,000		1,054,680
Colorado Health Facilities Authority, 5.000, 8/01/2025, Call 2/1/2025 (6)		1,000,000		1,182,810
Other Securities		3,450,000		3,545,998
				5,783,488
Connecticut — 1.9%
City of New Haven, AGM, 5.000,8/01/2024		1,000,000		1,165,940
State of Connecticut, 5.000, 4/15/2023		1,000,000		1,126,690
Other Security		500,000		521,565
				2,814,195
District of Columbia — 0.8%
Metropolitan Washington Airports Authority, 5.000, 10/01/2024		1,000,000		1,177,930
Other Securities
Florida — 7.1%
City of Atlantic Beach, 3.250, 11/15/2024, Call 11/15/2020		1,155,000		1,169,068
County of Okeechobee, 1.550, 7/01/2021 (6)		1,000,000		1,007,890
Florida Development Finance Corp., 1.900, 3/17/2020 (6)		3,000,000		3,001,020
Other Securities		5,215,000		5,349,858
				10,527,836
Georgia — 7.4%
Burke County Development Authority, 2.925, 3/12/2024 (6)		1,250,000		1,322,712
Georgia State Road & Tollway Authority, 5.000, 6/01/2021		1,250,000		1,315,025

Description	Principal Amount		Value
Municipals (continued)
Georgia (continued)
Main Street Natural Gas, Inc.
1.859%, (LIBOR 1 Month), 9/01/2023, Call 6/1/2023 (6)	$	1,000,000	$	1,012,520
5.000%, 5/15/2024		1,250,000		1,438,837
				2,451,357
Other Securities		5,675,000		5,882,118
				10,971,212
Guam — 0.4%
Other Security		500,000		548,715
Illinois — 16.1%
Chicago Housing Authority, HUD SEC 8, 5.000, 1/01/2023		1,000,000		1,107,100
City of Chicago Waterworks Revenue, 5.000, 11/01/2021		1,445,000		1,537,234
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000, 1/01/2023		1,000,000		1,108,870
Railsplitter Tobacco Settlement Authority, 5.000, 6/01/2023		1,165,000		1,309,367
Sales Tax Securitization Corp., 5.000, 1/01/2023		1,000,000		1,111,420
State of Illinois, 5.000, 11/01/2022		2,000,000		2,202,320
University of Illinois, 5.000, 3/15/2022		1,000,000		1,080,340
Other Securities		13,380,000		14,208,100
				23,664,751
Indiana — 2.4%
City of Whiting, 5.000, 6/05/2026 (6)		1,000,000		1,224,100
Other Securities		2,230,000		2,251,869
				3,475,969
Iowa — 0.3%
Other Security		500,000		506,450
Kansas — 0.5%
Other Securities		795,000		804,984
Kentucky — 1.5%
Other Securities		2,125,000		2,270,908
Louisiana — 0.4%
Other Securities		515,000		528,334
Maine — 0.1%
Other Security		110,000		111,112
Maryland — 0.4%
Other Securities		555,000		599,374
Massachusetts — 2.2%
Commonwealth of Massachusetts, 1.700, 8/01/2022 (6)		1,000,000		1,020,740
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000, 1/01/2023, Call 1/1/2023 (6)		1,000,000		1,116,300
Other Securities		970,000		1,052,287
				3,189,327
Michigan — 2.2%
Michigan Finance Authority, 3.500, 11/15/2022 (6)		1,000,000		1,062,290
Other Securities		2,015,000		2,128,706
				3,190,996

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

39

February 29, 2020 (Unaudited)

Schedules of Investments

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Minnesota — 0.7%
Other Security	$	1,000,000	$	1,000,000
Mississippi — 1.5%
Mississippi Business Finance Corp, 2.200, 6/03/2024 (6)		1,250,000		1,299,587
Other Security		750,000		885,293
				2,184,880
Missouri — 0.8%
Other Securities		1,100,000		1,125,510
Nebraska — 0.8%
Central Plains Energy Project, 5.000, 1/01/2024, Call 10/1/2023 (6)		1,000,000		1,138,930
Other Securities
Nevada — 1.5%
City of North Las Vegas NV, AGM, 5.000, 6/01/2023		1,000,000		1,128,360
Other Securities		1,000,000		1,057,030
				2,185,390
New Hampshire — 0.7%
Other Security		1,000,000		1,003,620
New Jersey — 2.5%
Tobacco Settlement Financing Corp., 5.000, 6/01/2022		1,000,000		1,086,180
Other Securities		2,350,000		2,633,709
				3,719,889
New Mexico — 0.7%
Other Security		1,000,000		1,003,770
New York — 7.2%
Metropolitan Transportation Authority, 5.000, 11/15/2024 (6)		1,000,000		1,177,020
TSASC, Inc., 5.000, 6/01/2021		1,000,000		1,048,880
Westchester Tobacco Asset Securitization, 5.000, 6/01/2020		1,155,000		1,165,707
Other Securities		7,180,000		7,253,855
				10,645,462
North Carolina — 0.7%
Other Securities		950,000		961,904
North Dakota — 0.2%
Other Securities		295,000		298,504
Ohio — 2.9%
American Municipal Power, Inc., 2.300, 2/15/2022, Call 8/15/2021 (6)		1,000,000		1,018,110
Port of Greater Cincinnati Development Authority, 3.000, 5/01/2023, Call 5/1/2022		1,000,000		1,024,440
Other Securities		2,155,000		2,252,565
				4,295,115
Oklahoma — 0.4%
Other Security		600,000		604,434
Pennsylvania — 3.4%
Commonwealth Financing Authority, 5.000, 6/01/2022		1,000,000		1,087,400

Description	Principal Amount		Value
Municipals (continued)
Pennsylvania (continued)
Northampton County General Purpose Authority, 2.200, (LIBOR 1 Month), 8/15/2024, Call 2/15/2023 (6)	$	1,000,000	$	1,006,350
Other Securities		2,790,000		2,904,054
				4,997,804
South Carolina — 0.7%
Patriots Energy Group Financing Agency, 1.970, (LIBOR 1 Month), 2/01/2024, Call 11/1/2023 (6)		1,000,000		1,014,360
Other Securities
Tennessee — 2.2%
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 2.000, 1/01/2021 (6)		1,000,000		1,007,900
Tennessee Energy Acquisition Corp., 4.000, 5/01/2023, Call 2/1/2023 (6)		1,000,000		1,089,990
Other Securities		1,055,000		1,142,845
				3,240,735
Texas — 6.6%
Fort Bend Independent School District, PSF, 1.950, 8/01/2022 (6)		1,000,000		1,020,670
Houston Independent School District, PSF, 2.250, 6/01/2022 (6)		1,250,000		1,288,850
Tarrant County Cultural Education Facilities Finance Corp., 5.000, 11/15/2022		1,000,000		1,094,210
Other Securities		6,205,000		6,340,899
				9,744,629
Utah — 0.1%
Other Security		200,000		200,000
Virginia — 1.2%
Henrico County Economic Development Authority, AGM, 2.888, 8/23/2027, Call 2/28/2020 (6) (7)		1,050,000		1,050,000
Other Security		575,000		651,475
				1,701,475
Washington — 1.6%
State of Washington, 5.000, 2/01/2022		1,000,000		1,080,690
Other Securities		1,320,000		1,333,725
				2,414,415
West Virginia — 1.5%
West Virginia Economic Development Authority, 2.550, 4/01/2024 (6)		1,000,000		1,059,570
Other Securities		1,075,000		1,168,948
				2,228,518
Wisconsin — 1.8%
Other Securities		2,450,000		2,595,906
Total Municipals (identified cost $142,795,346)				145,664,365

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

40

BMO Funds

Short Tax-Free Fund* (continued)

Description	Principal Amount		Value
Short-Term Investments — 0.1%
Repurchase Agreements — 0.1%
Other Security	$	200,705	$	200,705
Total Short-Term Investments (identified cost $200,705)				200,705
Total Investments — 99.1% (identified cost $142,996,051)				145,865,070
Other Assets — 0.9%				1,340,828
Net Assets — 100.0%			$	147,205,898

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 18.5%
Automobiles — 7.9%
AmeriCredit Automobile Receivables Trust:
Class A3, (Series 2018-2), 3.150%, 3/20/2023	$	1,000,000	$	1,013,584
Class A3, (Series 2018-3), 3.380%, 7/18/2023		150,000		152,870
Class C, (Series 2017-1), 2.710%, 8/18/2022		1,000,000		1,010,543
Class C, (Series 2017-3), 2.690%, 6/19/2023		1,755,000		1,779,617
Class D, (Series 2016-1), 3.590%, 2/8/2022		2,000,000		2,016,364
Class D, (Series 2016-3), 2.710%, 9/8/2022		2,000,000		2,020,529
Class D, (Series 2017-1), 3.130%, 1/18/2023		1,500,000		1,534,953
Avis Budget Rental Car Funding AESOP LLC:
Class A, (Series 2015-2A), 2.630%, 12/20/2021 (5)		1,000,000		1,006,947
Class A, (Series 2016-1A), 2.990%, 6/20/2022 (5)		400,000		406,377
Chesapeake Funding II LLC, Class A1, (Series 2019-2A), 1.950%, 9/15/2031 (5)		883,926		894,684
Drive Auto Receivables Trust:
Class A2A, (Series 2019-2), 2.930%, 3/15/2022		97,116		97,178
Class B, (Series 2020-1), 2.080%, 7/15/2024		1,000,000		1,012,016
Class C, (Series 2018-1), 3.220%, 3/15/2023		652,156		653,420
Class C, (Series 2019-4), 2.510%, 11/17/2025		2,000,000		2,036,338
Enterprise Fleet Financing LLC, Class A2, (Series 2019-2), 2.290%, 2/20/2025 (5)		2,000,000		2,026,621
GM Financial Automobile Leasing Trust, Class B, (Series 2017-2), 2.430%, 6/21/2021		78,451		78,491
GM Financial Consumer Automobile, Class C, (Series 2017-1A), 2.450%, 7/17/2023 (5)		1,000,000		1,007,400

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
Hertz Vehicle Financing II LP, Class A, (Series 2015-1A), 2.730%, 3/25/2021 (5)	$	1,000,000	$	1,000,676
Mercedes-Benz Master Owner Trust, Class A, (Series 2019-BA), 2.610%, 5/15/2024 (5)		1,275,000		1,313,778
Nissan Auto Receivables Owner Trust, Class A2A, (Series 2018-C), 3.070%, 10/15/2021		470,867		472,888
Westlake Automobile Receivables Trust, Class C, (Series 2017-2A), 2.590%, 12/15/2022 (5)		575,156		576,359
World Omni Auto Receivables Trust, Class A3, (Series 2017-B), 1.950%, 2/15/2023		320,939		322,328
				22,433,961
Credit Cards — 4.0%
Cabela’s Credit Card Master Note Trust, Class A1, (Series 2015-2), 2.250%, 7/17/2023	$	2,208,000	$	2,213,618
Chase Issuance Trust:
Class A1, (Series 2020-A1), 1.530%, 1/15/2025		2,000,000		2,019,386
Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,500,141
Synchrony Card Funding LLC, Class A, (Series 2019-A1), 2.950%, 3/15/2025		297,000		307,616
Synchrony Card Issuance Trust, Class A, (Series 2018-A1), 3.380%, 9/15/2024		2,200,000		2,270,393
World Financial Network Credit Card Master Trust:
Class A, (Series 2015-B), 2.550%, 6/17/2024		365,000		366,967
Class A, (Series 2019-B), 2.490%, 4/15/2026		1,775,000		1,823,432
				11,501,553
Other Financial — 6.6%
Ally Master Owner Trust:
Class A, (Series 2018-2), 3.290%, 5/15/2023		1,500,000		1,534,706
Class A2, (Series 2018-1), 2.700%, 1/17/2023		1,300,000		1,314,635
Daimler Trucks Retail Trust, Class A3, (Series 2018-1), 2.850%, 7/15/2021 (5)		827,895		830,416
Ford Credit Floorplan Master Owner Trust, Class A2, (Series 2019-3), 2.258% (LIBOR 1 Month + 60 basis points), 9/15/2024 (6)		1,300,000		1,306,494
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (5)		239,247		239,261
Marlin Receivables LLC, Class B, (Series 2018-1A), 3.540%, 5/22/2023 (5)		1,000,000		1,019,683
MMAF Equipment Finance LLC, Class A4, (Series 2017-B), 2.410%, 11/15/2024 (5)		2,000,000		2,041,439

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

41

February 29, 2020 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
Navistar Financial Dealer Note Master Owner Trust II, Class A, (Series 2019-1), 2.267% (LIBOR 1 Month + 64 basis points), 5/25/2024 (5) (6)	$	1,000,000	$	1,002,636
Pawnee Equipment Receivables LLC, Class A2, (Series 2019-1), 2.290%, 10/15/2024 (5)		2,000,000		2,016,341
Sierra Timeshare Conduit Receivables Funding LLC, Class B, (Series 2017-1A), 3.200%, 3/20/2034 (5)		830,976		845,606
Trafigura Securitisation Finance PLC, Class A1, (Series 2017-1A), 2.508% (LIBOR 1 Month + 85 basis points), 12/15/2020 (5) (6)		3,300,000		3,303,478
Volvo Financial Equipment LLC, Class A4, (Series 2017-1A), 2.210%, 11/15/2021 (5)		780,000		783,320
Westgate Resorts LLC:
Class B, (Series 2017-1A), 4.050%, 12/20/2030 (5)		1,721,346		1,746,575
Class B, (Series 2018-1A), 3.580%, 12/20/2031 (5)		832,943		847,451
				18,832,041
Total Asset-Backed Securities (identified cost $52,263,083)				52,767,555
Collateralized Mortgage Obligations — 6.0%
Federal Home Loan Mortgage Corporation — 1.3%
2.000%, 1/15/2024, (Series 4295)		350,592		353,680
3.000%, 2/15/2031, (Series 4013)		800,483		827,229
3.000%, 9/15/2032, (Series 4236)		1,217,931		1,257,296
4.000%, 12/15/2038, (Series 3738)		719,855		734,248
4.500%, 8/15/2039, (Series 3778)		497,367		524,529
				3,696,982
Federal National Mortgage Association — 0.9%
3.000%, 6/25/2033, (Series 2014-20)		1,389,778		1,459,360
3.000%, 8/25/2040, (Series 2015-15)		1,034,849		1,065,085
				2,524,445
Federal National Mortgage Association — 0.7%
2.500%, 6/25/2029, (Series 2014-34)		716,466		735,992
3.643%, 7/25/2021, (Series 2011-M3)		1,243,072		1,265,546
				2,001,538
Private Sponsor — 3.1%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 4.077%, 5/20/2036 (6)		100,695		101,487
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		208,326		233,846

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035	$	127,996	$	131,946
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		178,822		135,066
FREMF Mortgage Trust:
Class B, (Series 2013-K26), 3.598%, 12/25/2045 (5) (6)		1,250,000		1,312,858
Class B, (Series 2013-K713), 3.296%, 4/25/2046 (5) (6)		1,934,890		1,932,730
Class B, (Series 2014-K716), 3.952%, 8/25/2047 (5) (6)		1,500,000		1,537,015
Class C, (Series 2012-K21), 3.935%, 7/25/2045 (5) (6)		1,000,000		1,045,842
JP Morgan Mortgage Trust:
Class 1A5, (Series 2017-3), 3.500%, 8/25/2047 (5) (6)		689,003		707,800
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		38,297		37,272
Class 3A1, (Series 2007-A2), 3.636%, 4/25/2037 (6)		10,109		8,974
Class A4, (Series 2019-6), 3.500%, 12/25/2049 (5) (6)		520,818		534,286
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.998%, 11/25/2034 (6)		168,405		174,720
OBX Trust, Class A8, (Series 2019-INV1), 4.000%, 11/25/2048 (5) (6)		790,763		798,746
Wells Fargo Mortgage Backed Securities Trust, Class A1, (Series 2006-AR19), 4.354%, 12/25/2036 (6)		162,283		156,939
				8,849,527
Total Collateralized Mortgage Obligations (identified cost $16,946,506)				17,072,492
Commercial Mortgage Securities — 4.6%
Government National Mortgage Association — 1.0%
1.800%, 7/16/2037, (Series 2013-179)		694,358		694,053
2.100%, 4/16/2050, (Series 2016-92)		1,083,272		1,090,286
2.205%, 1/16/2044, (Series 2014-61)		222,056		222,007
2.650%, 2/16/2045, (Series 2015-33)		1,002,129		1,010,546
				3,016,892
Private Sponsor — 3.6%
Cantor Commercial Real Estate Lending, Class A1, (Series 2019-CF2), 2.048%, 11/15/2052		1,476,260		1,495,948
Citigroup Commercial Mortgage Trust, Class A1, (Series 2017-P7), 2.008%, 4/14/2050		500,771		502,328
GS Mortgage Securities Corp. Trust 2020-DUNE, Class A, (Series 2020-DUNE), 2.759% (LIBOR 1 Month + 110 basis points), 12/15/2036 (5) (6)		2,000,000		2,002,582

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

42

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
GS Mortgage Securities Trust, Class A4, (Series 2011-GC3), 4.753%, 3/10/2044 (5)	$	687,277	$	697,687
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		836,203		834,757
SLIDE 2018-FUN, Class B, (Series 2018-FUN), 2.908% (LIBOR 1 Month + 125 basis points), 6/15/2031 (5) (6)		961,969		962,460
UBS Commercial Mortgage Trust, Class A1, (Series 2017-C3), 1.935%, 8/15/2050		1,016,122		1,020,389
WFRBS Commercial Mortgage Trust, Class ASB, (Series 2013-C18), 3.676%, 12/15/2046		1,574,305		1,638,692
WF-RBS Commercial Mortgage Trust, Class A4, (Series 2011-C2), 4.869%, 2/15/2044 (5) (6)		986,854		1,005,419
				10,160,262
Total Commercial Mortgage Securities (identified cost $13,101,711)				13,177,154
Corporate Bonds & Notes — 44.3%
Aerospace/Defense — 0.7%
General Dynamics Corp., 3.000%, 5/11/2021		750,000		765,601
United Technologies Corp., 3.100%, 6/1/2022		1,250,000		1,291,207
				2,056,808
Auto Manufacturers — 3.6%
American Honda Finance Corp.:
1.923% (LIBOR 3 Month + 21 basis points), 2/12/2021 (6)		1,000,000		1,001,550
1.950%, 5/10/2023		650,000		660,048
3.450%, 7/14/2023		1,555,000		1,658,548
Ford Motor Credit Co. LLC, 3.230% (LIBOR 3 Month + 127 basis points), 3/28/2022 (6)		1,000,000		983,255
General Motors Financial Co., Inc.:
2.450%, 11/6/2020		1,000,000		1,003,988
3.388% (LIBOR 3 Month + 155 basis points), 1/14/2022 (1) (6)		750,000		758,708
3.450%, 1/14/2022 (1)		750,000		766,460
PACCAR Financial Corp., 2.650%, 5/10/2022		600,000		618,727
Toyota Motor Corp., 3.183%, 7/20/2021		740,000		757,198
Toyota Motor Credit Corp.:
2.538% (LIBOR 3 Month + 69 basis points), 1/11/2022 (6)		1,000,000		1,010,034
3.350%, 1/8/2024 (1)		850,000		914,266
				10,132,782
Banks — 19.4%
Australia & New Zealand Banking Group, Ltd., 3.300%, 5/17/2021		500,000		512,485

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
BancorpSouth Bank, 4.125% (LIBOR 3 Month + 247 basis points), 11/20/2029 (6)	$	1,750,000	$	1,835,318
Bank of America Corp.:
2.801% (LIBOR 3 Month + 100 basis points), 4/24/2023 (6)		2,000,000		2,017,994
3.499% (LIBOR 3 Month + 63 basis points), 5/17/2022 (1) (6)		1,000,000		1,022,941
4.000%, 4/1/2024 (1)		1,500,000		1,633,795
Bank of New York Mellon Corp., 3.450%, 8/11/2023 (1)		1,500,000		1,601,760
Canadian Imperial Bank of Commerce:
2.700%, 2/2/2021 (1)		750,000		757,709
3.500%, 9/13/2023 (1)		650,000		694,875
Capital One NA, 2.920% (LIBOR 3 Month + 115 basis points), 1/30/2023 (6)		1,000,000		1,011,949
Citigroup, Inc.:
2.350%, 8/2/2021 (1)		520,000		526,774
2.700%, 10/27/2022 (1)		1,000,000		1,029,979
2.754% (LIBOR 3 Month + 96 basis points), 4/25/2022 (6)		1,500,000		1,517,226
Customers Bancorp, Inc., 3.950%, 6/30/2022		1,000,000		1,026,430
Fifth Third Bancorp, 3.650%, 1/25/2024		1,200,000		1,287,010
First Citizens BancShares, Inc., 1.000%, 3/15/2030		1,500,000		1,500,000
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		1,375,000		1,439,475
Goldman Sachs Group, Inc.:
2.350%, 11/15/2021		1,000,000		1,005,643
3.625%, 1/22/2023 (1)		1,000,000		1,055,322
Home BancShares, Inc., 5.625% (LIBOR 3 Month + 358 basis points), 4/15/2027 (6)		1,000,000		1,049,567
Huntington Bancshares, Inc.:
2.300%, 1/14/2022		1,144,000		1,155,504
3.150%, 3/14/2021 (1)		1,000,000		1,013,249
Independent Bank Group, Inc., 5.875%, 8/1/2024		1,680,000		1,805,989
JPMorgan Chase & Co., 3.200%, 1/25/2023 (1)		1,000,000		1,048,880
KeyBank NA:
3.300%, 2/1/2022		1,000,000		1,035,281
3.375%, 3/7/2023 (1)		1,000,000		1,058,102
Mitsubishi UFJ Financial Group, Inc.:
3.535%, 7/26/2021		850,000		875,837
3.761%, 7/26/2023 (1)		1,000,000		1,071,002
Morgan Stanley:
2.625%, 11/17/2021 (1)		1,250,000		1,272,437
2.999% (LIBOR 3 Month + 118 basis points), 1/20/2022 (1) (6)		645,000		649,550
National Australia Bank, Ltd.:
2.500%, 1/12/2021		1,000,000		1,009,191
2.625%, 7/23/2020		1,000,000		1,004,854
Peapack Gladstone Financial Corp., 6.000% (LIBOR 3 Month + 485 basis points), 6/30/2026 (6)		500,000		514,460
PNC Bank NA:
2.052% (LIBOR 3 Month + 25 basis points), 1/22/2021 (6)		750,000		751,533
3.500%, 6/8/2023 (1)		1,000,000		1,062,918

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

43

February 29, 2020 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
PNC Financial Services Group, Inc., 4.375%, 8/11/2020	$	950,000	$	961,591
Regions Bank, 2.289% (LIBOR 3 Month + 38 basis points), 4/1/2021 (6)		1,000,000		1,001,500
Royal Bank of Canada, 2.750%, 2/1/2022 (1)		400,000		411,711
State Street Corp., 1.950%, 5/19/2021 (1)		1,000,000		1,007,523
Toronto-Dominion Bank:
1.892% (LIBOR 3 Month + 15 basis points), 8/7/2020 (6)		2,000,000		2,000,375
2.125%, 4/7/2021		1,000,000		1,006,820
3.250%, 3/11/2024 (1)		1,000,000		1,067,457
Truist Bank:
3.502% (LIBOR 3 Month + 59 basis points), 8/2/2022 (6)		750,000		770,936
3.689% (LIBOR 3 Month + 74 basis points), 8/2/2024 (1) (6)		700,000		746,000
Truist Financial Corp., 2.200%, 3/16/2023 (1)		1,000,000		1,022,665
United Community Banks, Inc., 4.500% (LIBOR 3 Month + 212 basis points), 1/30/2028 (6)		1,000,000		1,033,709
Wells Fargo & Co.:
2.625%, 7/22/2022		1,000,000		1,025,525
2.911% (LIBOR 3 Month + 111 basis points), 1/24/2023 (6)		1,000,000		1,015,316
West Loop BC, 4.000% (LIBOR 3 Month + 187 basis points), 12/1/2027 (6)		2,000,000		2,082,367
Westpac Banking Corp.:
2.135% (LIBOR 3 Month + 34 basis points), 1/25/2021 (6)		750,000		751,988
2.500%, 6/28/2022		500,000		514,806
2.800%, 1/11/2022		1,000,000		1,024,003
				55,299,331
Chemicals — 0.1%
DuPont de Nemours, Inc., 3.766%, 11/15/2020		425,000		430,089
Computers — 1.9%
Apple, Inc.:
1.700%, 9/11/2022 (1)		725,000		734,501
2.400%, 5/3/2023		1,500,000		1,549,562
3.450%, 5/6/2024 (1)		1,500,000		1,624,986
Dell International LLC, 4.420%, 6/15/2021 (1) (5)		1,000,000		1,030,508
IBM Credit LLC, 3.450%, 11/30/2020		550,000		558,627
				5,498,184
Cosmetics/Personal Care — 0.7%
Colgate-Palmolive Co., 2.250%, 11/15/2022 (1)		1,300,000		1,341,606
Procter & Gamble Co., 2.150%, 8/11/2022 (1)		775,000		795,435
				2,137,041
Diversified Financial Services — 1.9%
American Express Co.:
3.400%, 2/22/2024 (1)		1,000,000		1,070,633
3.700%, 8/3/2023		1,000,000		1,069,775

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
American Express Credit Corp.:
2.700%, 3/3/2022 (1)	$	1,500,000	$	1,536,993
2.600%, 9/14/2020		750,000		753,245
Capital One Financial Corp.:
3.050%, 3/9/2022		500,000		513,517
3.200%, 1/30/2023		500,000		519,928
				5,464,091
Electric — 0.3%
American Electric Power Co., Inc., 2.150%, 11/13/2020		750,000		753,207
Healthcare-Services — 0.8%
Anthem, Inc., 2.500%, 11/21/2020		600,000		603,104
UnitedHealth Group, Inc., 2.875%, 3/15/2023 (1)		1,500,000		1,564,843
				2,167,947
Insurance — 0.4%
Allstate Corp., 2.390% (LIBOR 3 Month + 43 basis points), 3/29/2021 (6)		500,000		501,714
Aon Corp., 2.200%, 11/15/2022 (1)		650,000		665,536
				1,167,250
Machinery-Construction & Mining — 1.1%
Caterpillar Financial Services Corp.:
1.950%, 11/18/2022		775,000		786,255
3.450%, 5/15/2023 (1)		2,110,000		2,249,454
				3,035,709
Machinery-Diversified — 0.8%
John Deere Capital Corp.:
2.800%, 3/6/2023		750,000		784,352
3.200%, 1/10/2022 (1)		1,500,000		1,556,082
				2,340,434
Media — 1.1%
Comcast Corp.:
2.750%, 3/1/2023 (1)		1,500,000		1,565,448
3.700%, 4/15/2024 (1)		1,000,000		1,086,851
TWDC Enterprises 18 Corp., 1.950%, 3/4/2020 (1)		500,000		500,005
				3,152,304
Oil & Gas — 2.6%
BP Capital Markets PLC, 2.500%, 11/6/2022		1,250,000		1,284,454
Equinor ASA, 2.450%, 1/17/2023 (1)		1,000,000		1,030,401
Exxon Mobil Corp., 2.397%, 3/6/2022 (1)		850,000		865,509
Occidental Petroleum Corp., 2.700%, 8/15/2022 (1)		2,000,000		2,039,458
Phillips 66, 2.247% (LIBOR 3 Month + 60 basis points), 2/26/2021 (6)		1,200,000		1,200,116
Shell International Finance BV, 3.500%, 11/13/2023		1,000,000		1,067,084
				7,487,022
Pharmaceuticals — 1.1%
AbbVie, Inc., 3.750%, 11/14/2023		500,000		537,076
CVS Health Corp.:
3.350%, 3/9/2021		1,500,000		1,524,943
3.700%, 3/9/2023 (1)		1,000,000		1,056,844
				3,118,863

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

44

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 1.1%
Energy Transfer Operating LP, 3.600%, 2/1/2023 (1)	$	1,000,000	$	1,036,936
Kinder Morgan Energy Partners LP, 3.500%, 9/1/2023		1,903,000		1,989,561
				3,026,497
Retail — 1.4%
Walmart, Inc.:
3.300%, 4/22/2024		1,500,000		1,614,945
3.400%, 6/26/2023 (1)		2,275,000		2,431,817
				4,046,762
Savings & Loans — 0.7%
New York Community Bancorp, Inc., 5.900% (LIBOR 3 Month + 278 basis points), 11/6/2028 (6)		1,000,000		1,068,531
Sterling Bancorp, 4.000% (SOFR + 253 basis points), 12/30/2029 (6)		1,000,000		1,021,708
				2,090,239
Semiconductors — 0.4%
Intel Corp., 2.450%, 7/29/2020		1,000,000		1,002,940
Software — 1.5%
Microsoft Corp., 2.875%, 2/6/2024		1,500,000		1,583,944
Oracle Corp.:
1.900%, 9/15/2021 (1)		525,000		529,285
2.400%, 9/15/2023		1,000,000		1,032,669
2.500%, 5/15/2022 (1)		1,000,000		1,022,179
				4,168,077
Telecommunications — 1.8%
AT&T, Inc.:
3.000%, 2/15/2022 (1)		1,000,000		1,027,551
3.900%, 3/11/2024 (1)		1,000,000		1,086,036
Verizon Communications, Inc.:
2.894% (LIBOR 3 Month + 100 basis points), 3/16/2022 (6)		750,000		760,034
3.125%, 3/16/2022		400,000		414,789
4.150%, 3/15/2024		1,250,000		1,368,866
5.150%, 9/15/2023		500,000		562,727
				5,220,003
Transportation — 0.9%
Union Pacific Corp.:
2.950%, 3/1/2022		1,000,000		1,028,016
3.500%, 6/8/2023 (1)		1,500,000		1,595,152
				2,623,168
Total Corporate Bonds & Notes (identified cost $122,760,265)				126,418,748
U.S. Government & U.S. Government Agency Obligations — 9.9%
Federal Home Loan Mortgage Corporation — 0.4%
2.375%, 2/16/2021	$	1,000,000		1,011,473
Federal National Mortgage Association — 0.4%
2.500%, 4/13/2021		1,000,000		1,016,013
U.S. Treasury Bonds & Notes — 9.1%
1.750%, 7/31/2024 (1)		3,000,000		3,108,691
1.875%, 2/28/2022		500,000		509,609

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
2.000%, 5/31/2021	$	1,500,000	$	1,517,930
2.000%, 11/30/2022		1,000,000		1,030,332
2.125%, 12/31/2022		2,000,000		2,069,766
2.125%, 2/29/2024 (1)		1,000,000		1,047,773
2.250%, 3/31/2021		1,200,000		1,215,399
2.250%, 1/31/2024		1,000,000		1,051,816
2.375%, 4/15/2021		5,000,000		5,073,438
2.625%, 7/15/2021		1,000,000		1,022,090
2.750%, 8/15/2021		2,000,000		2,051,289
2.750%, 7/31/2023		2,000,000		2,124,766
2.750%, 8/31/2023		1,750,000		1,861,733
2.750%, 11/15/2023		1,500,000		1,601,250
2.875%, 9/30/2023		750,000		802,295
				26,088,177
Total U.S. Government & U.S. Government Agency Obligations (identified cost $27,284,454)				28,115,663
U.S. Government Agency-Mortgage Securities — 1.2%
Federal Home Loan Mortgage Corporation — 0.7%
3.000%, 12/9/2022		2,000,000		2,113,461
Federal National Mortgage Association — 0.5%
2.660%, 11/1/2020 (6)		600,696		599,945
3.500%, 4/1/2026		64,312		67,402
4.000%, 11/1/2031		302,193		325,888
5.500%, 11/1/2033		85,856		97,689
5.500%, 2/1/2034		63,636		72,838
5.500%, 8/1/2037		141,558		162,478
				1,326,240
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		12,499		12,846
Total U.S. Government Agency-Mortgage Securities (identified cost $3,325,490)				3,452,547
Short-Term Investments — 24.7%
Certificates of Deposit — 1.7%
Mizuho Bank, Ltd., 2.327% (LIBOR 3 Month + 38 basis points), 6/25/2020 (6)		1,000,000		999,873
MUFG Bank, Ltd., 2.211% (LIBOR 3 Month + 46 basis points), 2/4/2021 (6)		1,500,000		1,500,000
Sumitomo Mitsui Banking Corp.:
2.221% (LIBOR 3 Month + 42 basis points), 7/24/2020 (6)		1,250,000		1,250,000
2.255% (LIBOR 3 Month + 36 basis points), 4/6/2021 (6)		1,000,000		1,001,372
				4,751,245
Collateral Pool Investments for Securities on Loan — 8.9%
Collateral pool allocation (3)				25,472,131
Commercial Paper — 9.8%
Dominion Resources Services, Inc., 1.767%, 3/17/2020 (8)		2,000,000		1,998,453
DuPont de Nemours Inc., 1.744%, 3/2/2020 (5) (8)		5,500,000		5,499,737

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

45

February 29, 2020 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Shares or Principal Amount		Value
Short-Term Investments (continued)
Commercial Paper (continued)
Fidelity National Information Services, Inc., 1.765%, 3/6/2020 (5) (8)	$	2,500,000	$	2,499,396
Hyundai Capital America, 1.744%, 3/3/2020 (5) (8)		5,000,000		4,999,522
Nissan Motor Acceptance Corp.:
1.778%, 3/20/2020 (5) (8)		1,500,000		1,498,615
1.810%, 5/1/2020 (5) (8)		1,500,000		1,495,476
Ryder System, Inc., 1.746%, 3/3/2020 (8)		2,000,000		1,999,809
Schlumberger Holdings Corp., 1.724%, 3/6/2020 (5) (8)		5,000,000		4,998,819
Walgreens Boots Alliance, Inc.:
2.039%, 4/28/2020 (8)		1,000,000		996,778
2.203%, 7/21/2020 (8)		1,000,000		991,519
2.250%, 3/9/2020 (8)		1,000,000		999,500
				27,977,624
Mutual Funds — 4.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		12,254,549		12,255,775
Total Short-Term Investments (identified cost $70,456,120)				70,456,775
Total Investments — 109.2% (identified cost $306,137,629)				311,460,934
Other Assets and Liabilities — (9.2)%				(26,219,368	)
Total Net Assets — 100.0%			$	285,241,566

Intermediate Tax-Free Fund*

Description	Principal Amount		Value
Municipals — 100.6%
Alabama — 2.9%
Black Belt Energy Gas District
4.000%, 12/01/2025, Call 9/1/2025 (6)	$	6,500,000	$	7,485,075
4.000%, 10/01/2026, Call 7/1/2026 (6) (9)		5,000,000		5,848,450
				13,333,525
Health Care Authority for Baptist Health, 1.440, 11/01/2042, Call 3/2/2020 (6)		8,175,000		8,175,000
Southeast Alabama Gas Supply District, 1.960, (LIBOR 1 Month), 6/01/2024, Call 3/1/2024 (6)		7,000,000		7,058,240
Other Securities		28,535,000		31,962,385
				60,529,150
Alaska — 0.4%
Other Securities		6,850,000		7,712,498
Arizona — 2.6%
Chandler Industrial Development Authority, 5.000, 6/03/2024 (6)		5,000,000		5,809,150
Other Securities		42,160,000		46,847,708
				52,656,858

Description	Principal Amount		Value
Municipals (continued)
Arkansas — 0.6%
Other Securities	$	12,115,000	$	12,966,247
California — 6.3%
San Francisco City & County Airport Comm-San Francisco International Airport
5.000%, 5/01/2039, Call 5/1/2029		4,900,000		6,305,467
5.000%, 5/01/2044, Call 5/1/2029		5,500,000		6,996,440
				13,301,907
State of California, 5.000, 4/01/2036, Call 4/1/2029		4,500,000		5,958,270
Other Securities		108,895,000		110,278,046
				129,538,223
Colorado — 3.5%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000, 12/01/2031, Call 12/1/2026		5,000,000		6,273,200
City & County of Denver, 5.000, 8/01/2041, Call 8/1/2026		8,000,000		9,743,600
City & County of Denver Airport System Revenue
5.000%, 11/15/2029, Call 11/15/2027		4,945,000		6,289,100
5.000%, 11/15/2030, Call 11/15/2027		5,010,000		6,342,560
				12,631,660
Other Securities		37,665,000		43,327,712
				71,976,172
Connecticut — 2.2%
Other Securities		37,955,000		46,117,856
Delaware — 0.4%
Other Securities		6,795,000		7,614,731
District of Columbia — 0.6%
Other Securities		10,880,000		12,564,900
Florida — 5.5%
County of Orange Sales Tax Revenue, 5.000, 1/01/2027, Call 1/1/2022		5,810,000		6,259,578
Florida Development Finance Corp., 1.900, 3/17/2020 (6)		10,770,000		10,773,662
Sarasota County Public Hospital District, 5.000, 7/01/2041, Call 7/1/2028		5,000,000		6,233,450
Other Securities		78,160,000		89,197,067
				112,463,757
Georgia — 4.6%
Main Street Natural Gas, Inc.
1.859%, (LIBOR 1 Month), 9/01/2023, Call 6/1/2023 (6)		7,000,000		7,087,640
4.000%, 12/02/2024, Call 9/1/2024 (6)		6,000,000		6,856,620
				13,944,260
Other Securities		74,310,000		81,543,595
				95,487,855

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

46

BMO Funds

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Guam — 0.1%
Other Securities	$	2,310,000	$	2,769,657
Hawaii — 0.1%
Other Securities		1,000,000		1,127,500
Idaho — 0.1%
Other Security		1,000,000		1,141,840
Illinois — 18.3%
City of Chicago
5.000%, 1/01/2039, Call 1/1/2029		6,500,000		7,932,795
5.000%, 1/01/2040, Call 1/1/2029		10,900,000		13,272,712
6.000%, 1/01/2038, Call 1/1/2027		10,000,000		12,603,900
				33,809,407
Illinois Finance Authority
5.000%, 5/15/2043, Call 11/15/2028		5,000,000		6,159,650
5.000%, 1/01/2044, Call 1/1/2028		5,000,000		5,910,450
				12,070,100
Illinois State Toll Highway Authority
5.000%, 12/01/2032, Call 1/1/2026		7,790,000		9,453,477
5.000%, 1/01/2044, Call 7/1/2029		7,000,000		8,935,430
				18,388,907
Sales Tax Securitization Corp., 5.250, 1/01/2043, Call 1/1/2029		5,000,000		6,366,900
State of Illinois
4.000%, 11/01/2035, Call 11/1/2029		5,000,000		5,843,100
5.000%, 6/01/2020		9,900,000		9,996,723
5.000%, 11/01/2025		7,000,000		8,396,710
5.000%, 2/01/2027		5,000,000		6,146,650
5.000%, 10/01/2028		4,700,000		5,976,567
5.000%, 11/01/2029, Call 11/1/2027		5,000,000		6,164,750
5.000%, 6/15/2034, Call 6/15/2028		5,000,000		6,239,150
				48,763,650
Other Securities		226,708,542		257,311,949
				376,710,913
Indiana — 1.9%
Other Securities		35,240,000		38,290,761
Iowa — 0.7%
Other Securities		12,483,000		14,349,829
Kansas — 0.3%
Other Securities		6,495,000		6,610,155
Kentucky — 1.3%
Other Securities		22,400,000		27,559,619
Louisiana — 1.0%
Other Securities		18,830,000		20,267,599
Maine — 0.4%
Other Securities		7,915,000		8,939,476
Maryland — 0.4%
Other Securities		7,305,000		7,749,093

Description	Principal Amount		Value
Municipals (continued)
Massachusetts — 1.5%
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 5.000, 1/01/2023, Call 1/1/2023 (6)	$	5,000,000	$	5,581,500
Other Securities		20,795,000		25,323,563
				30,905,063
Michigan — 3.3%
Other Securities		60,185,000		68,419,982
Minnesota — 0.6%
Other Securities		11,012,613		11,580,435
Mississippi — 0.9%
Other Securities		15,965,000		18,371,806
Missouri — 2.2%
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 3.500, 11/01/2050, Call 5/1/2029		7,000,000		7,751,310
Other Securities		34,085,000		37,773,663
				45,524,973
Nebraska — 0.4%
Other Securities		7,120,000		7,802,180
Nevada — 0.7%
Other Securities		13,015,000		14,968,527
New Hampshire — 0.5%
Other Securities		9,450,000		9,598,227
New Jersey — 3.2%
New Jersey Transportation Trust Fund Authority
New Jersey Transportation Trust Fund Authority, 5.000, 6/15/2032, Call 12/15/2024		5,000,000		5,777,000
New Jersey Transportation Trust Fund Authority, BAM TCRs, 5.250, 6/15/2033, Call 6/15/2023		5,635,000		6,320,667
				12,097,667
Other Securities		48,430,000		54,903,998
				67,001,665
New Mexico — 0.7%
Other Securities		13,616,502		15,052,673
New York — 5.2%
New York City Transitional Finance Authority Future Tax Secured Revenue
5.000%, 11/01/2024, Call 11/1/2022		5,715,000		6,352,165
5.000%, 8/01/2036, Call 8/1/2028		5,555,000		7,147,730
				13,499,895
New York State Dormitory Authority, 5.000, 3/15/2027, Call 3/15/2022		7,555,000		8,200,348
Other Securities		75,505,000		86,361,825
				108,062,068
North Carolina — 1.1%
Other Securities		23,960,000		22,073,903
North Dakota — 1.3%
Other Securities		23,950,000		25,849,755

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

47

February 29, 2020 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund* (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio — 2.9%
Other Securities	$	55,760,000	$	60,707,950
Oklahoma — 0.6%
Other Securities		10,915,000		12,016,467
Oregon — 0.6%
Other Securities		11,835,000		12,235,042
Pennsylvania — 3.6%
Pennsylvania Turnpike Commission, 5.000, 6/01/2042, Call 6/1/2027		5,450,000		6,593,846
Other Securities		59,120,000		67,887,691
				74,481,537
Rhode Island — 0.4%
Other Securities		7,190,000		7,607,116
South Carolina — 1.2%
Patriots Energy Group Financing Agency, 1.970, (LIBOR 1 Month), 2/01/2024, Call 11/1/2023 (6)		8,000,000		8,114,880
Other Securities		15,795,000		17,571,426
				25,686,306
South Dakota — 0.5%
Other Securities		9,855,000		10,656,118
Tennessee — 2.1%
Knox County Health Educational & Housing Facility Board, 5.000, 1/01/2042, Call 1/1/2027		5,815,000		6,937,760
Shelby County Health Educational & Housing Facilities Board, AGM, 1.150, 6/01/2042, Call 2/28/2020 (6)		7,100,000		7,100,000
Tennessee Energy Acquisition Corp., 5.000, 2/01/2023		5,310,000		5,875,834
Tennessee Housing Development Agency, 3.500, 7/01/2050, Call 7/1/2029 (9)		5,890,000		6,585,903
Other Securities		15,790,000		17,644,445
				44,143,942
Texas — 6.5%
City of Houston Airport System Revenue, 5.000, 7/01/2038, Call 7/1/2028		5,000,000		6,341,050
City of San Antonio Electric & Gas Systems Revenue, 5.000, 2/01/2035, Call 2/1/2030		4,400,000		5,874,088
North Texas Tollway Authority, 5.000, 1/01/2048, Call 1/1/2028		5,000,000		6,212,450
Other Securities		100,500,000		115,620,477
				134,048,065

Description	Principal Amount		Value
Municipals (continued)
U. S. Virgin Islands — 0.2%
Other Securities	$	3,320,000	$	3,755,558
Utah — 0.5%
Other Securities		8,660,000		9,502,179
Vermont — 0.0%
Other Securities		720,000		756,651
Virginia — 0.7%
Other Securities		12,670,000		14,006,504
Washington — 1.9%
FYI Properties, 5.000, 6/01/2031, Call 6/1/2028		5,000,000		6,408,700
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000, 12/01/2036, Call 6/1/2029		5,000,000		6,566,900
Other Securities		22,780,000		26,081,207
				39,056,807
West Virginia — 0.5%
Other Securities		8,435,000		10,445,412
Wisconsin — 2.6%
Other Securities		51,090,000		52,660,854
Wyoming — 0.0%
Other Security		1,000,000		1,043,550
Total Municipals (identified cost $1,926,733,998)				2,073,166,004
Short-Term Investments — 0.0%
Repurchase Agreements — 0.0%
Other Security		175,652		175,652
Total Short-Term Investments (identified cost $175,652)				175,652
Total Investments — 100.6% (identified cost $1,926,909,650)				2,073,341,656
Other Assets — (0.6)%				(11,597,661	)
Net Assets — 100.0%			$	2,061,743,995

Strategic Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 0.2%
Federal Home Loan Mortgage Corporation — 0.2%
1.757% (LIBOR 1 Month + 13 basis points), 8/25/2031, (Series T-32) (6)	$	164,174	$	163,584
Total Asset-Backed Securities (identified cost $164,174)				163,584
Collateralized Mortgage Obligations — 10.8%
Federal National Mortgage Association — 0.4%
2.027% (LIBOR 1 Month + 40 basis points), 4/25/2034, (Series 2004-25) (6)		104,567		104,380
4.000%, 3/25/2041, (Series 2012-21)		186,020		197,248
				301,628

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

48

BMO Funds

Strategic Income Fund (continued)

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor — 10.4%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034	$	567,646	$	588,582
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		208,326		233,846
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 3.807%, 7/25/2037 (6)		324,557		297,722
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		383,989		395,837
ChaseFlex Trust , Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		22,444		21,579
FREMF Mortgage Trust:
Class B, (Series 2019-K91), 4.252%, 4/25/2051 (5) (6)		1,000,000		1,124,982
Class B, (Series 2019-K95), 4.053%, 8/25/2052 (5) (6)		1,000,000		1,097,584
Class C, (Series 2018-K77), 4.160%, 5/25/2051 (5) (6)		1,000,000		1,086,489
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		81,654		92,678
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.998%, 11/25/2034 (6)		310,704		322,354
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035		599,966		560,040
RFMSI Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		363,089		363,881
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 3.818%, 12/25/2034 (6)		374,721		370,096
Wells Fargo Mortgage Backed Securities Trust:
Class A1, (Series 2006-AR19), 4.354%, 12/25/2036 (6)		429,075		414,946
Class A1, (Series 2007-15), 6.000%, 11/25/2037		357,981		353,831
Class A6, (Series 2007-7), 6.000%, 6/25/2037		213,875		210,292
				7,534,739
Total Collateralized Mortgage Obligations (identified cost $7,501,681)				7,836,367
Commercial Mortgage Securities — 3.0%
Private Sponsor — 3.0%
BANK, Class A4, (Series 2018-BN15), 4.407%, 11/15/2061 (6)		750,000		895,555
Wells Fargo Commercial Mortgage Trust, Class B, (Series 2015-C26), 3.783%, 2/15/2048		750,000		796,458

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
WFRBS Commercial Mortgage Trust, Class D, (Series 2013-C16), 5.033%, 9/15/2046 (5) (6)	$	485,000	$	490,623
Total Commercial Mortgage Securities (identified cost $2,033,952)				2,182,636
Corporate Bonds & Notes — 76.0%
Agriculture — 3.1%
Altria Group, Inc., 5.950%, 2/14/2049 (1)		500,000		636,532
Bunge, Ltd. Finance Corp., 4.350%, 3/15/2024 (1)		1,000,000		1,079,223
Imperial Brands Finance PLC, 3.500%, 7/26/2026 (1) (5)		500,000		526,250
				2,242,005
Airlines — 0.7%
Delta Air Lines, Inc., 2.900%, 10/28/2024		500,000		508,936
Auto Manufacturers — 0.6%
Ford Motor Co., 4.750%, 1/15/2043 (1)		500,000		430,877
Banks — 1.4%
Banco Nacional de Costa Rica, 6.250%, 11/1/2023 (5)		1,000,000		1,049,385
Beverages — 1.1%
Molson Coors Beverage Co., 4.200%, 7/15/2046 (1)		750,000		779,672
Chemicals — 3.3%
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 (5)		500,000		491,424
OCP SA, 4.500%, 10/22/2025 (5)		750,000		812,376
Starfruit Finco BV, 8.000%, 10/1/2026 (1) (5)		500,000		497,363
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		500,000		553,841
				2,355,004
Commercial Services — 3.3%
Howard University, 2.801%, 10/1/2023		250,000		255,131
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (5)		750,000		827,137
United Rentals North America, Inc., 5.500%, 5/15/2027		750,000		785,644
WW International, Inc., 8.625%, 12/1/2025 (5)		500,000		522,707
				2,390,619
Computers — 1.9%
Dell International LLC, 5.300%, 10/1/2029 (1) (5)		750,000		863,198
Seagate HDD Cayman, 4.875%, 6/1/2027		500,000		533,771
				1,396,969
Diversified Financial Services — 2.8%
Ally Financial, Inc., 5.750%, 11/20/2025		400,000		450,328
Cantor Fitzgerald LP, 4.875%, 5/1/2024 (5)		500,000		547,225

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

49

February 29, 2020 (Unaudited)

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services (continued)
Jefferies Finance LLC, 7.250%, 8/15/2024 (1) (5)	$	1,000,000	$	1,032,915
				2,030,468
Electric — 0.8%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		500,000		548,670
Food — 2.1%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		500,000		519,582
Minerva Luxembourg SA, 6.500%, 9/20/2026 (5)		500,000		516,234
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		500,000		510,775
				1,546,591
Forest Products & Paper — 1.2%
Suzano Austria GmbH, 7.000%, 3/16/2047 (5)		750,000		880,781
Healthcare-Services — 0.9%
Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026 (5)		634,000		651,655
Home Builders — 1.4%
Beazer Homes USA, Inc., 5.875%, 10/15/2027 (1)		1,000,000		1,015,025
Home Furnishings — 1.0%
Whirlpool Corp., 4.750%, 2/26/2029 (1)		650,000		756,210
Internet — 0.7%
Netflix, Inc., 4.875%, 4/15/2028 (1)		500,000		527,618
Investment Companies — 2.5%
Goldman Sachs BDC, Inc., 3.750%, 2/10/2025		750,000		778,174
Icahn Enterprises LP, 4.750%, 9/15/2024 (5)		500,000		510,625
Owl Rock Capital Corp., 5.250%, 4/15/2024		500,000		545,173
				1,833,972
Iron/Steel — 2.1%
ArcelorMittal, 4.550%, 3/11/2026		750,000		813,757
GUSAP III LP, 4.250%, 1/21/2030 (5)		500,000		506,475
United States Steel Corp., 6.875%, 8/15/2025 (1)		250,000		216,979
				1,537,211
Media — 5.4%
Altice Finco SA, 7.625%, 2/15/2025 (5)		800,000		835,332
AMC Networks, Inc., 5.000%, 4/1/2024 (1)		500,000		503,750
Discovery Communications LLC, 3.950%, 3/20/2028 (1)		700,000		765,812
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (5)		750,000		777,994
Time Warner Cable LLC, 4.500%, 9/15/2042		1,000,000		1,041,980
				3,924,868

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Mining — 4.3%
Glencore Funding LLC, 4.625%, 4/29/2024 (1) (5)	$	500,000	$	541,082
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (1) (5)		750,000		755,936
Kinross Gold Corp.:
4.500%, 7/15/2027 (1)		825,000		898,819
6.875%, 9/1/2041		750,000		931,151
				3,126,988
Miscellaneous Manufacturing — 1.9%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,300,000		1,362,537
Oil & Gas — 5.2%
Aker BP ASA, 6.000%, 7/1/2022 (5)		250,000		257,057
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025 (1)		750,000		530,625
Gulfport Energy Corp., 6.000%, 10/15/2024		350,000		117,250
Oasis Petroleum, Inc., 6.875%, 3/15/2022		300,000		236,250
PBF Holding Co. LLC, 7.250%, 6/15/2025		750,000		772,189
Petroleos Mexicanos, 5.350%, 2/12/2028 (1)		1,000,000		971,847
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		700,000		622,993
Whiting Petroleum Corp., 6.625%, 1/15/2026 (1)		750,000		275,644
				3,783,855
Oil & Gas Services — 0.4%
Nine Energy Service, Inc., 8.750%, 11/1/2023 (5)		400,000		319,300
Pharmaceuticals — 4.1%
Bausch Health Cos., Inc., 5.000%, 1/30/2028 (5)		500,000		495,625
Mylan, Inc., 5.200%, 4/15/2048		700,000		829,873
Teva Pharmaceutical Finance Netherlands III BV:
4.100%, 10/1/2046 (1)		800,000		624,080
6.000%, 4/15/2024 (1)		1,000,000		1,017,085
				2,966,663
Pipelines — 4.7%
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027		625,000		698,133
Enable Midstream Partners LP, 4.950%, 5/15/2028		500,000		498,721
Energy Transfer Operating LP, 5.150%, 2/1/2043		750,000		780,092
EQM Midstream Partners LP, 4.000%, 8/1/2024 (1)		500,000		445,625
Sunoco Logistics Partners Operations LP, 5.400%, 10/1/2047 (1)		900,000		952,586
				3,375,157
Real Estate Investment Trusts — 3.8%
Diversified Healthcare Trust, 4.750%, 2/15/2028		500,000		524,423
iStar, Inc., 4.750%, 10/1/2024		600,000		613,713
MPT Operating Partnership LP, 4.625%, 8/1/2029 (1)		500,000		527,187
SBA Communications Corp., 4.875%, 9/1/2024		500,000		514,897
Service Properties Trust, 4.950%, 10/1/2029		500,000		538,108
				2,718,328

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

50

BMO Funds

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail — 2.3%
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1) (5)	$	450,000	$	435,053
L Brands, Inc., 6.950%, 3/1/2033 (1)		500,000		464,674
New Red Finance, Inc., 4.250%, 5/15/2024 (5)		250,000		250,759
QVC, Inc., 4.750%, 2/15/2027		500,000		493,912
				1,644,398
Semiconductors — 1.7%
Broadcom, Inc., 4.750%, 4/15/2029 (1) (5)		600,000		670,998
Marvell Technology Group, Ltd., 4.875%, 6/22/2028		500,000		570,653
				1,241,651
Software — 1.8%
Citrix Systems, Inc., 3.300%, 3/1/2030		500,000		496,254
VMware, Inc., 3.900%, 8/21/2027 (1)		750,000		807,789
				1,304,043
Sovereign — 4.0%
Argentine Republic Government International Bond, 5.875%, 1/11/2028		250,000		101,339
Costa Rica Government International Bond, 5.625%, 4/30/2043 (5)		800,000		720,748
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (5)		450,000		452,984
Ivory Coast Government International Bond, 6.125%, 6/15/2033 (5)		750,000		769,559
Oman Sovereign Sukuk SAOC, 4.397%, 6/1/2024 (5)		500,000		508,675
Zambia Government International Bond, 8.970%, 7/30/2027 (5)		500,000		329,730
				2,883,035
Telecommunications — 4.0%
CommScope, Inc., 5.500%, 6/15/2024 (5)		1,000,000		952,590
Sprint Communications, Inc., 6.000%, 11/15/2022		500,000		537,190
Telecom Italia SpA, 5.303%, 5/30/2024 (5)		600,000		641,994
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (1) (5)		750,000		736,941
				2,868,715
Transportation — 0.4%
Pacific National Finance Pty, Ltd., 4.625%, 9/23/2020 (5)		250,000		253,740
Trucking & Leasing — 1.1%
Fly Leasing, Ltd., 6.375%, 10/15/2021 (1)		750,000		760,781
Total Corporate Bonds & Notes (identified cost $53,584,377)				55,015,727

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities — 7.9%
Federal Home Loan Mortgage Corporation — 1.4%
3.500%, 4/1/2042	$	S59,859	$	64,603
4.000%, 12/1/2040		269,087		292,282
4.500%, 9/1/2031		249,293		271,811
4.500%, 7/1/2040		19,650		21,696
5.000%, 12/1/2022		32,986		34,914
5.000%, 1/1/2040		172,301		193,844
5.500%, 10/1/2021		20,862		21,185
5.500%, 7/1/2035		34,950		39,402
6.000%, 12/1/2036		16,691		19,566
6.000%, 12/1/2037		4,688		5,196
7.500%, 4/1/2024		13,187		14,258
7.500%, 4/1/2027		10,739		12,172
8.000%, 8/1/2030		13,057		15,516
8.500%, 9/1/2024		6,322		6,798
9.500%, 2/1/2025		620		625
				1,013,868
Federal National Mortgage Association — 6.2%
3.000%, 8/1/2032		154,579		162,618
3.500%, 7/1/2032		291,529		307,909
3.500%, 7/1/2038		551,598		578,337
4.000%, 11/1/2031		503,654		543,147
4.000%, 3/1/2041		216,615		236,858
4.500%, 6/1/2042		634,607		701,435
5.500%, 1/1/2023		44,239		48,100
5.500%, 2/1/2036		99,079		113,566
5.500%, 7/1/2036		216,939		248,662
5.500%, 8/1/2037		377,784		433,616
6.000%, 9/1/2021		45,687		46,567
6.000%, 5/1/2039		388,579		457,173
6.500%, 8/1/2030		233,929		263,256
6.500%, 12/1/2031		13,313		15,164
6.500%, 11/1/2037		31,237		36,047
7.000%, 3/1/2029		28,582		33,313
7.000%, 7/1/2029		83,867		95,248
7.000%, 2/1/2030		55,021		61,606
7.500%, 10/1/2030		6,754		7,311
8.000%, 10/1/2028		77,832		86,699
8.000%, 4/1/2030		21,542		26,181
				4,502,813
Government National Mortgage Association — 0.3%
5.000%, 4/15/2034		180,617		202,613
7.000%, 8/15/2031		26,031		30,459
9.500%, 10/15/2024		170		170
				233,242
Total U.S. Government Agency-Mortgage Securities (identified cost $5,422,308)				5,749,923
Short-Term Investments — 22.2%
Collateral Pool Investments for Securities on Loan — 21.6%
Collateral pool allocation (3)				15,654,671
Mutual Funds — 0.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		395,272		395,311
Total Short-Term Investments (identified cost $16,049,964)				16,049,982
Total Investments — 120.1% (identified cost $84,756,456)				86,998,219
Other Assets and Liabilities — (20.1)%				(14,560,988	)
Total Net Assets — 100.0%			$	72,437,231

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

51

February 29, 2020 (Unaudited)

Schedules of Investments

Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 94.4%
Aerospace/Defense — 1.2%
Boeing Co., 2.800%, 3/1/2024	$	2,000,000	$	2,066,733
Lockheed Martin Corp., 2.500%, 11/23/2020		2,500,000		2,512,014
				4,578,747
Agriculture — 3.3%
Archer-Daniels-Midland Co., 2.500%, 8/11/2026		3,500,000		3,648,624
BAT Capital Corp., 4.540%, 8/15/2047		2,750,000		2,867,448
Bunge, Ltd. Finance Corp.:
3.250%, 8/15/2026 (1)	$	1,000,000	$	1,035,565
3.750%, 9/25/2027 (1)		1,800,000		1,902,253
Imperial Brands Finance PLC, 3.500%, 7/26/2026 (1) (5)		1,750,000		1,841,877
Philip Morris International, Inc., 2.900%, 11/15/2021		1,000,000		1,022,928
				12,318,695
Auto Manufacturers — 3.8%
Daimler Finance North America LLC:
2.000%, 7/6/2021 (5)		2,500,000		2,511,328
3.700%, 5/4/2023 (5)		750,000		793,532
Ford Motor Co., 5.291%, 12/8/2046 (1)		2,000,000		1,835,705
Ford Motor Credit Co. LLC:
3.230% (LIBOR 3 Month + 127 basis points), 3/28/2022 (6)		750,000		737,441
4.134%, 8/4/2025 (1)		1,500,000		1,523,466
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		1,061,052
4.350%, 1/17/2027 (1)		1,500,000		1,612,950
Hyundai Capital America, 2.650%, 2/10/2025 (1) (5)		2,000,000		2,040,447
Toyota Motor Credit Corp., 3.400%, 4/14/2025 (1)		2,000,000		2,188,228
				14,304,149
Banks — 15.3%
Banco Santander SA, 3.408% (LIBOR 3 Month + 156 basis points), 4/11/2022 (6)		2,000,000		2,044,040
Bank of America Corp.:
2.597% (LIBOR 3 Month + 65 basis points), 6/25/2022 (6)		1,000,000		1,004,990
3.458% (LIBOR 3 Month + 97 basis points), 3/15/2025 (6)		1,000,000		1,064,968
3.824% (LIBOR 3 Month + 158 basis points), 1/20/2028 (1) (6)		2,750,000		3,033,796
Capital One Financial Corp.:
2.835% (LIBOR 3 Month + 95 basis points), 3/9/2022 (6)		1,500,000		1,513,652
3.300%, 10/30/2024		1,250,000		1,331,296
Citigroup, Inc., 3.010% (LIBOR 3 Month + 143 basis points), 9/1/2023 (1) (6)		2,000,000		2,040,612
Cooperatieve Rabobank UA, 3.875%, 2/8/2022		2,000,000		2,094,935
Deutsche Bank AG, 4.250%, 2/4/2021 (1)		2,000,000		2,037,876
Fifth Third Bank, 2.200%, 10/30/2020		2,000,000		2,006,093

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Goldman Sachs Group, Inc.:
2.904% (LIBOR 3 Month + 111 basis points), 4/26/2022 (6)	$	1,000,000	$	1,010,855
4.223% (LIBOR 3 Month + 130 basis points), 5/1/2029 (6)		2,750,000		3,121,516
HSBC Holdings PLC:
3.339% (LIBOR 3 Month + 166 basis points), 5/25/2021 (1) (6)		1,500,000		1,525,241
3.973% (LIBOR 3 Month + 161 basis points), 5/22/2030 (6)		2,150,000		2,355,752
JPMorgan Chase & Co.:
3.061% (LIBOR 3 Month + 148 basis points), 3/1/2021 (1) (6)		1,500,000		1,514,867
3.509% (LIBOR 3 Month + 95 basis points), 1/23/2029 (6)		3,000,000		3,279,080
Lloyds Banking Group PLC, 2.907% (LIBOR 3 Month + 81 basis points), 11/7/2023 (6)		2,000,000		2,047,511
Mizuho Financial Group, Inc., 2.953%, 2/28/2022 (1)		2,500,000		2,572,440
Morgan Stanley:
2.699% (SOFR + 114 basis points), 1/22/2031 (1) (6)		3,000,000		3,099,811
3.737% (LIBOR 3 Month + 85 basis points), 4/24/2024 (1) (6)		2,750,000		2,919,775
PNC Financial Services Group, Inc., 2.200%, 11/1/2024		2,000,000		2,061,438
Royal Bank of Canada:
2.250%, 11/1/2024 (1)		2,000,000		2,051,028
2.560% (LIBOR 3 Month + 66 basis points), 10/5/2023 (6)		2,500,000		2,501,685
Royal Bank of Scotland Group PLC, 4.892% (LIBOR 3 Month + 175 basis points), 5/18/2029 (1) (6)		1,500,000		1,753,176
Skandinaviska Enskilda Banken AB, 2.800%, 3/11/2022		2,000,000		2,051,694
Toronto-Dominion Bank, 2.874% (LIBOR 3 Month + 100 basis points), 4/7/2021 (6)		2,000,000		2,021,111
Wells Fargo & Co.:
2.661% (LIBOR 3 Month + 93 basis points), 2/11/2022 (6)		1,640,000		1,651,624
3.584% (LIBOR 3 Month + 131 basis points), 5/22/2028 (1) (6)		2,000,000		2,175,896
				57,886,758
Beverages — 3.3%
Anheuser-Busch Cos. LLC, 4.900%, 2/1/2046 (1)		2,000,000		2,469,361
Anheuser-Busch InBev Worldwide, Inc., 4.750%, 1/23/2029		2,000,000		2,372,026
Coca-Cola Co., 1.750%, 9/6/2024 (1)		1,800,000		1,829,995
Fomento Economico Mexicano SAB de C.V., 3.500%, 1/16/2050		2,500,000		2,639,851
Molson Coors Beverage Co., 4.200%, 7/15/2046		3,000,000		3,118,687
				12,429,920
Biotechnology — 0.4%
Amgen, Inc., 3.150%, 2/21/2040		1,500,000		1,538,275
Building Materials — 0.4%
Carrier Global Corp., 2.242%, 2/15/2025 (5)		1,500,000		1,531,707

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

52

BMO Funds

Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Chemicals — 3.0%
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 (5)	$	1,000,000	$	982,847
Mosaic Co., 4.050%, 11/15/2027 (1)		2,500,000		2,647,245
OCP SA, 4.500%, 10/22/2025 (5)		2,000,000		2,166,336
Orbia Advance Corp SAB de C.V.:
5.875%, 9/17/2044 (5)		500,000		577,723
6.750%, 9/19/2042 (5)		1,500,000		1,847,347
Starfruit Finco BV, 8.000%, 10/1/2026 (1) (5)		1,000,000		994,725
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		2,000,000		2,215,365
				11,431,588
Commercial Services — 0.1%
ADT Security Corp., 4.125%, 6/15/2023 (1)		500,000		509,792
Computers — 2.7%
Apple, Inc.:
2.850%, 5/11/2024 (1)		2,000,000		2,112,734
3.750%, 11/13/2047 (1)		2,000,000		2,370,346
Dell International LLC, 8.350%, 7/15/2046 (5)		2,000,000		2,728,808
Hewlett Packard Enterprise Co.:
2.620% (LIBOR 3 Month + 72 basis points), 10/5/2021 (6)		1,700,000		1,700,318
4.900%, 10/15/2025 (1)		1,000,000		1,137,169
				10,049,375
Diversified Financial Services — 5.8%
Ally Financial, Inc., 4.250%, 4/15/2021 (1)		2,500,000		2,557,675
BlackRock, Inc., 2.400%, 4/30/2030 (1)		3,000,000		3,131,505
Cantor Fitzgerald LP, 4.875%, 5/1/2024 (1) (5)		2,000,000		2,188,901
E*TRADE Financial Corp., 3.800%, 8/24/2027 (1)		1,500,000		1,660,096
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035		2,500,000		2,861,597
Jefferies Finance LLC, 7.250%, 8/15/2024 (5)		1,875,000		1,936,716
Jefferies Financial Group, Inc., 6.625%, 10/23/2043		500,000		610,164
Jefferies Group LLC, 6.500%, 1/20/2043		500,000		621,292
Legg Mason, Inc., 4.750%, 3/15/2026		500,000		582,318
Nomura Holdings, Inc., 2.648%, 1/16/2025 (1)		850,000		873,821
Private Export Funding Corp., 1.750%, 11/15/2024		2,000,000		2,056,828
Synchrony Financial, 3.950%, 12/1/2027 (1)		2,750,000		2,954,938
				22,035,851
Electric — 4.8%
Abu Dhabi National Energy Co. PJSC, 4.375%, 4/23/2025 (5)		750,000		823,005
AEP Transmission Co. LLC, 3.800%, 6/15/2049		2,000,000		2,362,272

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Electric (continued)
Alabama Power Co., 3.750%, 3/1/2045 (1)	$	3,000,000	$	3,364,856
CenterPoint Energy, Inc., 3.600%, 11/1/2021		3,000,000		3,110,489
Duke Energy Florida LLC, 2.500%, 12/1/2029		2,000,000		2,086,367
Public Service Electric & Gas Co., 3.200%, 8/1/2049 (1)		3,000,000		3,360,660
San Diego Gas & Electric Co., 4.100%, 6/15/2049		2,500,000		3,085,285
				18,192,934
Engineering & Construction — 0.4%
Fluor Corp., 4.250%, 9/15/2028 (1)		1,500,000		1,406,538
Food — 1.9%
Conagra Brands, Inc., 3.800%, 10/22/2021 (1)		2,500,000		2,599,871
Kraft Heinz Foods Co., 4.375%, 6/1/2046 (1)		2,200,000		2,050,911
Kroger Co., 4.450%, 2/1/2047 (1)		2,250,000		2,551,676
				7,202,458
Healthcare-Products — 1.7%
Medtronic, Inc., 2.694% (LIBOR 3 Month + 80 basis points), 3/15/2020 (6)		2,000,000		2,000,835
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023 (1)		1,000,000		1,044,541
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025		3,000,000		3,222,984
				6,268,360
Healthcare-Services — 0.6%
Laboratory Corp. of America Holdings, 3.250%, 9/1/2024 (1)		2,000,000		2,122,683
Insurance — 6.1%
Aflac, Inc., 3.625%, 11/15/2024		1,500,000		1,636,923
Allstate Corp., 2.390% (LIBOR 3 Month + 43 basis points), 3/29/2021 (6)		1,445,000		1,449,953
High Street Funding Trust II, 4.682%, 2/15/2048 (5)		2,500,000		3,232,215
Lincoln National Corp., 3.625%, 12/12/2026 (1)		2,000,000		2,208,873
Metropolitan Life Global Funding I, 3.450%, 10/9/2021 (1) (5)		3,000,000		3,106,015
Nationwide Financial Services, Inc., 3.900%, 11/30/2049 (5)		2,500,000		2,862,914
Prudential Financial, Inc.:
3.700%, 3/13/2051		2,000,000		2,130,645
3.935%, 12/7/2049		3,000,000		3,368,678
Unum Group:
4.000%, 3/15/2024		2,000,000		2,170,419
4.000%, 6/15/2029		1,000,000		1,119,665
				23,286,300
Internet — 1.5%
Alibaba Group Holding, Ltd., 2.800%, 6/6/2023 (1)		2,000,000		2,059,541
Amazon.com, Inc., 4.050%, 8/22/2047 (1)		1,500,000		1,932,741
eBay, Inc., 4.000%, 7/15/2042		1,500,000		1,511,864
				5,504,146

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

53

February 29, 2020 (Unaudited)

Schedules of Investments

Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Investment Companies — 0.4%
Ares Capital Corp., 3.625%, 1/19/2022	$	1,500,000	$	1,539,185
Iron/Steel — 0.6%
Nucor Corp., 4.400%, 5/1/2048 (1)		2,000,000		2,420,184
Lodging — 0.8%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,037,842
Wyndham Destinations, Inc., 5.750%, 4/1/2027		2,000,000		2,120,095
				3,157,937
Machinery-Construction & Mining — 0.6%
Caterpillar, Inc., 3.803%, 8/15/2042 (1)		2,000,000		2,386,324
Machinery-Diversified — 0.4%
Westinghouse Air Brake Technologies Corp., 4.400%, 3/15/2024		1,500,000		1,626,506
Media — 2.2%
Charter Communications Operating LLC, 5.375%, 5/1/2047		2,000,000		2,291,639
Comcast Corp., 4.600%, 10/15/2038 (1)		1,750,000		2,188,500
Cox Communications, Inc., 4.600%, 8/15/2047 (5)		1,500,000		1,796,297
Discovery Communications LLC, 3.950%, 3/20/2028 (1)		2,000,000		2,188,034
				8,464,470
Mining — 1.0%
Glencore Funding LLC:
4.125%, 5/30/2023 (1) (5)		2,500,000		2,640,871
4.625%, 4/29/2024 (1) (5)		1,000,000		1,082,163
				3,723,034
Miscellaneous Manufacturing — 1.8%
3M Co., 3.250%, 2/14/2024 (1)		3,250,000		3,467,207
Siemens Financieringsmaatschappij NV:
2.234% (LIBOR 3 Month + 34 basis points), 3/16/2020 (5) (6)		1,000,000		1,000,262
3.300%, 9/15/2046 (5)		2,000,000		2,228,565
				6,696,034
Oil & Gas — 3.5%
BP Capital Markets PLC, 2.764% (LIBOR 3 Month + 87 basis points), 9/16/2021 (6)		2,500,000		2,526,704
Ecopetrol SA, 7.375%, 9/18/2043 (1)		1,500,000		2,053,418
EQT Corp., 3.900%, 10/1/2027 (1)		500,000		322,500
Exxon Mobil Corp., 3.095%, 8/16/2049		2,000,000		2,067,124
Occidental Petroleum Corp., 4.300%, 8/15/2039		1,250,000		1,201,312
Petroleos Mexicanos, 5.350%, 2/12/2028 (1)		3,000,000		2,915,542
Shell International Finance BV, 3.750%, 9/12/2046		1,000,000		1,143,715

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Valero Energy Corp., 4.000%, 4/1/2029	$	1,000,000	$	1,082,293
				13,312,608
Oil & Gas Services — 0.5%
Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor, Inc., 4.080%, 12/15/2047 (1)		2,000,000		2,083,761
Pharmaceuticals — 7.5%
AstraZeneca PLC, 3.500%, 8/17/2023		2,000,000		2,138,551
Bayer US Finance II LLC, 4.875%, 6/25/2048 (1) (5)		2,350,000		2,860,266
Bristol-Myers Squibb Co.:
1.892% (LIBOR 3 Month + 20 basis points), 11/16/2020 (5) (6)		1,000,000		1,001,066
2.000%, 8/1/2022 (1)		2,500,000		2,555,300
Cigna Corp., 2.549% (LIBOR 3 Month + 65 basis points), 9/17/2021 (6)		1,500,000		1,500,423
CVS Health Corp.:
3.250%, 8/15/2029 (1)		2,000,000		2,109,927
4.300%, 3/25/2028 (1)		2,500,000		2,802,975
Eli Lilly & Co., 3.700%, 3/1/2045		2,000,000		2,375,055
Express Scripts Holding Co., 4.800%, 7/15/2046		1,500,000		1,610,200
Mylan, Inc., 5.200%, 4/15/2048		1,500,000		1,778,299
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		2,500,000		2,544,844
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021		1,000,000		1,013,581
2.875%, 9/23/2023		2,000,000		2,077,517
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		2,500,000		1,950,250
				28,318,254
Pipelines — 2.3%
Enable Midstream Partners LP, 4.950%, 5/15/2028		3,000,000		2,992,327
Enbridge, Inc., 2.594% (LIBOR 3 Month + 70 basis points), 6/15/2020 (6)		1,500,000		1,502,678
EQM Midstream Partners LP, 4.000%, 8/1/2024 (1)		1,500,000		1,336,875
MPLX LP, 4.800%, 2/15/2029		1,250,000		1,398,988
Sunoco Logistics Partners Operations LP, 5.300%, 4/1/2044		1,500,000		1,574,731
				8,805,599
Real Estate Investment Trusts — 2.3%
EPR Properties, 5.250%, 7/15/2023		1,000,000		1,092,610
Kimco Realty Corp., 3.300%, 2/1/2025 (1)		1,250,000		1,340,832
Mid-America Apartments LP, 3.600%, 6/1/2027		2,275,000		2,485,184
Prologis LP, 2.250%, 4/15/2030		1,500,000		1,510,135
Service Properties Trust:
4.500%, 6/15/2023		500,000		528,623
4.500%, 3/15/2025		1,500,000		1,586,618
				8,544,002

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

54

BMO Funds

Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail — 3.9%
Home Depot, Inc., 4.250%, 4/1/2046 (1)	$	2,000,000	$	2,520,657
L Brands, Inc., 6.950%, 3/1/2033		1,350,000		1,254,619
McDonald’s Corp., 2.750%, 12/9/2020		1,500,000		1,511,745
Starbucks Corp., 3.750%, 12/1/2047 (1)		2,000,000		2,204,427
Target Corp., 3.625%, 4/15/2046		2,500,000		2,873,976
Walmart, Inc.:
2.850%, 7/8/2024 (1)		2,000,000		2,125,226
3.700%, 6/26/2028 (1)		2,000,000		2,273,384
				14,764,034
Semiconductors — 0.9%
Broadcom, Inc., 4.750%, 4/15/2029 (1) (5)		2,000,000		2,236,661
Marvell Technology Group, Ltd., 4.875%, 6/22/2028		1,000,000		1,141,305
				3,377,966
Software — 3.3%
CA, Inc., 4.700%, 3/15/2027		2,500,000		2,751,369
Citrix Systems, Inc., 3.300%, 3/1/2030		1,000,000		992,508
Fiserv, Inc., 4.400%, 7/1/2049 (1)		2,000,000		2,403,517
Microsoft Corp.:
2.875%, 2/6/2024		500,000		527,981
3.700%, 8/8/2046 (1)		2,000,000		2,432,231
Oracle Corp., 4.000%, 11/15/2047 (1)		1,000,000		1,212,301
VMware, Inc., 3.900%, 8/21/2027 (1)		2,000,000		2,154,103
				12,474,010
Sovereign — 0.6%
Export-Import Bank of Korea, 3.000%, 11/1/2022		2,250,000		2,340,612
Telecommunications — 3.5%
AT&T, Inc.:
4.350%, 6/15/2045 (1)		1,000,000		1,128,809
4.500%, 5/15/2035 (1)		2,000,000		2,332,100
4.550%, 3/9/2049		2,000,000		2,320,371
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		806,600
Motorola Solutions, Inc.:
4.600%, 2/23/2028 (1)		1,000,000		1,130,787
5.500%, 9/1/2044		1,000,000		1,186,805
Telecom Italia Capital SA, 7.200%, 7/18/2036		1,500,000		1,861,725
Verizon Communications, Inc., 4.522%, 9/15/2048		2,000,000		2,590,497
				13,357,694
Transportation — 1.5%
FedEx Corp., 4.050%, 2/15/2048 (1)		2,500,000		2,543,216
Union Pacific Corp., 3.250%, 2/5/2050 (1)		3,000,000		3,106,547
				5,649,763

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Trucking & Leasing — 0.5%
Penske Truck Leasing Co. LP, 3.300%, 4/1/2021 (5)	$	2,000,000	$	2,035,664
Total Corporate Bonds & Notes (identified cost $329,480,228)				357,675,917
Municipals — 0.1%
California — 0.1%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		509,415
Total Municipals (identified cost $500,000)				509,415
Short-Term Investments — 28.3%
Collateral Pool Investments for Securities on Loan — 22.0%
Collateral pool allocation (3)				83,325,574
Mutual Funds — 6.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		23,818,743		23,821,125
Total Short-Term Investments (identified cost $107,144,615)				107,146,699
Total Investments — 122.8% (identified cost $437,124,843)				465,332,031
Other Assets and Liabilities — (22.8)%				(86,526,096	)
Total Net Assets — 100.0%			$	378,805,935

Core Plus Bond Fund

Description	Principal Amount		Value
Asset-Backed Securities — 1.6%
Automobiles — 0.5%
Hyundai Auto Lease Securitization Trust, Class A2, (Series 2018-B), 2.810%, 12/15/2020 (5)	$	422,704	$	422,934
Nissan Auto Receivables Owner Trust, Class A4, (Series 2016-B), 1.540%, 10/17/2022		4,895,895		4,897,190
				5,320,124
Credit Cards — 1.1%
Discover Card Execution Note Trust, Class A5, (Series 2018-A5), 3.320%, 3/15/2024		11,815,000		12,187,606
Total Asset-Backed Securities (identified cost $17,219,758)				17,507,730

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

55

February 29, 2020 (Unaudited)

Schedules of Investments

Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Collateralized Mortgage Obligations — 3.9%
Federal Home Loan Mortgage Corporation — 2.4%
3.244%, 8/25/2027, (Series K068)	$	6,000,000	$	6,665,566
3.310%, 5/25/2023, (Series K032) (6)		19,000,000		20,167,413
				26,832,979
Federal National Mortgage Association — 1.0%
3.384%, 7/25/2028, (Series 2018-M10) (6)		10,000,000		11,316,898
Private Sponsor — 0.5%
FREMF Mortgage Trust:
Class B, (Series 2019-K91), 4.252%, 4/25/2051 (5) (6)		3,500,000		3,937,437
Class B, (Series 2019-K95), 4.053%, 8/25/2052 (5) (6)		1,500,000		1,646,375
				5,583,812
Total Collateralized Mortgage Obligations (identified cost $41,664,962)				43,733,689
Commercial Mortgage Securities — 5.0%
Private Sponsor — 5.0%
BANK:
Class A4, (Series 2018-BN12), 4.255%, 5/15/2061 (6)		7,500,000		8,808,829
Class A5, (Series 2017-BNK7), 3.435%, 9/15/2060		10,000,000		11,149,621
GS Mortgage Securities Trust, Class B, (Series 2020-GC45), 3.405%, 2/13/2053		3,500,000		3,776,100
UBS-Barclays Commercial Mortgage Trust, Class A5, (Series 2012-C4), 2.850%, 12/10/2045		9,888,381		10,216,857
Wells Fargo Commercial Mortgage Trust:
Class A4, (Series 2017-C41), 3.472%, 11/15/2050		7,000,000		7,769,429
Class B, (Series 2015-C26), 3.783%, 2/15/2048		7,000,000		7,433,611
WFRBS Commercial Mortgage Trust, Class D, (Series 2013-C16), 5.034%, 9/15/2046 (5) (6)		6,609,000		6,685,629
Total Commercial Mortgage Securities (identified cost $52,582,155)				55,840,076
Corporate Bonds & Notes — 34.2%
Agriculture — 1.4%
Altria Group, Inc., 5.950%, 2/14/2049 (1)		5,000,000		6,365,323
BAT Capital Corp., 4.540%, 8/15/2047 (1)		5,000,000		5,213,541
Bunge, Ltd. Finance Corp., 3.750%, 9/25/2027 (1)		4,000,000		4,227,229
				15,806,093
Apparel — 0.5%
Tapestry, Inc., 4.125%, 7/15/2027 (1)		5,500,000		5,805,370

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Auto Manufacturers — 1.7%
Ford Motor Co.:
4.750%, 1/15/2043 (1)	$	5,000,000	$	4,308,771
5.291%, 12/8/2046 (1)		1,500,000		1,376,779
General Motors Co., 5.000%, 10/1/2028 (1)		2,000,000		2,177,391
General Motors Financial Co., Inc., 4.000%, 1/15/2025 (1)		4,000,000		4,244,209
Hyundai Capital America, 3.750%, 7/8/2021 (5)		6,500,000		6,665,646
				18,772,796
Banks — 8.5%
Banco Santander SA, 3.408% (LIBOR 3 Month + 156 basis points), 4/11/2022 (6)		4,000,000		4,088,080
Bank of America Corp., 4.183%, 11/25/2027 (1)		7,500,000		8,351,999
Barclays PLC, 5.200%, 5/12/2026		5,000,000		5,586,675
BB&T Corp., 2.464% (LIBOR 3 Month + 57 basis points), 6/15/2020 (6)		3,000,000		3,001,716
Capital One Financial Corp., 2.835% (LIBOR 3 Month + 95 basis points), 3/9/2022 (6)		1,500,000		1,513,652
Citigroup, Inc.:
2.955% (LIBOR 3 Month + 107 basis points), 12/8/2021 (6)		1,250,000		1,267,105
3.010% (LIBOR 3 Month + 143 basis points), 9/1/2023 (1) (6)		5,000,000		5,101,531
Goldman Sachs Group, Inc.:
2.904% (LIBOR 3 Month + 111 basis points), 4/26/2022 (6)		5,000,000		5,054,277
2.966% (LIBOR 3 Month + 116 basis points), 4/23/2020 (6)		8,000,000		8,004,091
4.223% (LIBOR 3 Month + 130 basis points), 5/1/2029 (1) (6)		5,000,000		5,675,484
HSBC Holdings PLC, 3.973% (LIBOR 3 Month + 161 basis points), 5/22/2030 (1) (6)		4,000,000		4,382,794
ING Groep NV, 4.100%, 10/2/2023		5,000,000		5,414,342
JPMorgan Chase & Co.:
2.831% (LIBOR 3 Month + 100 basis points), 1/15/2023 (6)		4,000,000		4,051,844
2.985% (LIBOR 3 Month + 110 basis points), 6/7/2021 (6)		5,000,000		5,049,203
3.625%, 12/1/2027 (1)		5,000,000		5,397,620
Lloyds Banking Group PLC, 2.907% (LIBOR 3 Month + 81 basis points), 11/7/2023 (6)		7,500,000		7,678,167
Morgan Stanley, 3.950%, 4/23/2027 (1)		5,000,000		5,486,699
PNC Financial Services Group, Inc., 2.200%, 11/1/2024		5,750,000		5,926,634
Toronto-Dominion Bank, 2.874% (LIBOR 3 Month + 100 basis points), 4/7/2021 (6)		4,500,000		4,547,499
				95,579,412
Beverages — 0.8%
Fomento Economico Mexicano SAB de C.V., 3.500%, 1/16/2050		3,000,000		3,167,822
PepsiCo, Inc., 2.875%, 10/15/2049 (1)		5,500,000		5,826,612
				8,994,434

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

56

BMO Funds

Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Chemicals — 1.5%
Braskem Netherlands Finance BV, 4.500%, 1/31/2030 (1) (5)	$	1,500,000	$	1,471,050
Orbia Advance Corp SAB de C.V., 6.750%, 9/19/2042 (5)		4,400,000		5,418,886
Starfruit Finco BV, 8.000%, 10/1/2026 (1) (5)		4,500,000		4,476,263
Syngenta Finance NV, 4.892%, 4/24/2025 (5)		5,250,000		5,815,333
				17,181,532
Commercial Services — 0.4%
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (1) (5)		4,500,000		4,962,825
Computers — 1.0%
Apple, Inc., 2.250%, 2/23/2021		1,500,000		1,510,581
Dell International LLC:
5.300%, 10/1/2029 (1) (5)		2,500,000		2,877,328
8.350%, 7/15/2046 (5)		2,000,000		2,728,808
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		2,000,000		2,274,339
Seagate HDD Cayman, 4.875%, 6/1/2027		2,000,000		2,135,082
				11,526,138
Diversified Financial Services — 2.1%
Cantor Fitzgerald LP, 4.875%, 5/1/2024 (1) (5)		5,000,000		5,472,253
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 (1)		1,500,000		1,716,958
Jefferies Financial Group, Inc., 6.625%, 10/23/2043		500,000		610,164
Jefferies Group LLC:
4.150%, 1/23/2030 (1)		5,000,000		5,446,725
6.500%, 1/20/2043		1,000,000		1,242,584
Legg Mason, Inc., 4.750%, 3/15/2026		1,950,000		2,271,039
Synchrony Financial, 3.950%, 12/1/2027 (1)		6,500,000		6,984,399
				23,744,122
Electric — 1.1%
Duke Energy Florida LLC, 2.500%, 12/1/2029		5,000,000		5,215,918
Sempra Energy, 2.331% (LIBOR 3 Month + 50 basis points), 1/15/2021 (6)		7,000,000		7,001,791
				12,217,709
Food — 2.3%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		1,375,000		1,428,852
Conagra Brands, Inc., 5.400%, 11/1/2048 (1)		5,000,000		6,330,538
General Mills, Inc., 2.383% (LIBOR 3 Month + 54 basis points), 4/16/2021 (6)		1,725,000		1,731,354
Kraft Heinz Foods Co., 4.375%, 6/1/2046 (1)		5,000,000		4,661,162
Kroger Co., 4.450%, 2/1/2047 (1)		5,000,000		5,670,391

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Food (continued)
Pilgrim’s Pride Corp., 5.750%, 3/15/2025 (1) (5)	$	5,500,000	$	5,619,817
				25,442,114
Healthcare-Services — 0.4%
Anthem, Inc., 2.375%, 1/15/2025 (1)		5,000,000		5,137,479
Insurance — 0.6%
Unum Group, 5.750%, 8/15/2042 (1)		5,930,000		7,138,594
Internet — 1.0%
eBay, Inc.:
2.640% (LIBOR 3 Month + 87 basis points), 1/30/2023 (6)		7,500,000		7,572,928
4.000%, 7/15/2042 (1)		3,500,000		3,527,684
				11,100,612
Lodging — 0.2%
Wyndham Destinations Inc., 5.400%, 4/1/2024		2,250,000		2,419,684
Machinery-Construction & Mining — 0.5%
Caterpillar Financial Services Corp., 2.850%, 5/17/2024 (1)		5,000,000		5,253,340
Media — 1.2%
Charter Communications Operating LLC, 5.375%, 5/1/2047		6,500,000		7,447,828
Discovery Communications LLC, 5.300%, 5/15/2049		5,000,000		6,061,465
				13,509,293
Mining — 0.6%
Glencore Funding LLC:
4.000%, 3/27/2027 (1) (5)		5,000,000		5,413,829
4.625%, 4/29/2024 (1) (5)		1,000,000		1,082,163
				6,495,992
Oil & Gas — 2.2%
Diamond Offshore Drilling, Inc., 3.450%, 11/1/2023 (1)		5,000,000		3,544,525
EQT Corp., 3.900%, 10/1/2027 (1)		1,900,000		1,225,500
Exxon Mobil Corp., 3.095%, 8/16/2049 (1)		6,000,000		6,201,373
Gulfport Energy Corp., 6.000%, 10/15/2024 (1)		5,500,000		1,842,500
Occidental Petroleum Corp., 4.400%, 8/15/2049 (1)		2,250,000		2,142,329
Petroleos Mexicanos, 5.350%, 2/12/2028 (1)		5,000,000		4,859,238
Valaris PLC, 5.750%, 10/1/2044 (1)		1,668,000		515,520
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		5,500,000		4,894,945
				25,225,930
Pharmaceuticals — 1.6%
Bayer US Finance II LLC, 4.250%, 12/15/2025 (5)		5,000,000		5,601,649
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,555,300
Mylan, Inc., 5.200%, 4/15/2048 (1)		5,000,000		5,927,661

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

57

February 29, 2020 (Unaudited)

Schedules of Investments

Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pharmaceuticals (continued)
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)	$	5,000,000	$	3,900,500
				17,985,110
Pipelines — 0.6%
Energy Transfer Operating LP, 5.150%, 3/15/2045 (1)		4,000,000		4,182,520
Sunoco Logistics Partners Operations LP, 5.300%, 4/1/2044 (1)		2,000,000		2,099,642
				6,282,162
Real Estate Investment Trusts — 1.0%
EPR Properties, 5.250%, 7/15/2023		910,000		994,275
Service Properties Trust, 4.500%, 3/15/2025		2,500,000		2,644,363
Simon Property Group LP, 3.250%, 9/13/2049 (1)		5,000,000		5,241,589
Welltower, Inc., 4.500%, 1/15/2024		2,500,000		2,746,233
				11,626,460
Retail — 0.1%
L Brands, Inc., 6.950%, 3/1/2033 (1)		1,500,000		1,394,021
Semiconductors — 1.0%
Broadcom, Inc., 3.625%, 10/15/2024 (5)		5,000,000		5,263,092
Marvell Technology Group, Ltd., 4.875%, 6/22/2028 (1)		5,000,000		5,706,525
				10,969,617
Software — 0.6%
CA, Inc., 4.700%, 3/15/2027		4,000,000		4,402,190
Oracle Corp., 2.400%, 9/15/2023 (1)		2,000,000		2,065,339
				6,467,529
Telecommunications — 1.3%
CenturyLink, Inc., 7.600%, 9/15/2039 (1)		4,000,000		4,322,900
Motorola Solutions, Inc., 5.500%, 9/1/2044 (1)		3,000,000		3,560,416
Telecom Italia SpA, 5.303%, 5/30/2024 (1) (5)		6,000,000		6,419,940
				14,303,256
Total Corporate Bonds & Notes (identified cost $362,020,318)				385,341,624
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		305,649
Total Municipals (identified cost $300,000)				305,649

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations — 25.8%
U.S. Treasury Bonds & Notes — 25.8%
0.375%, 7/15/2023	$	16,563,900	$	17,029,610
1.500%, 10/31/2024 (1)		40,000,000		41,066,406
2.000%, 2/15/2025		25,000,000		26,298,340
2.000%, 8/15/2025		25,000,000		26,376,465
2.000%, 2/15/2050		9,830,000		10,604,880
2.250%, 8/15/2049 (1)		10,000,000		11,357,422
2.375%, 3/15/2021		20,000,000		20,266,797
2.375%, 5/15/2029		5,000,000		5,549,902
2.500%, 5/15/2024		5,000,000		5,327,832
2.625%, 2/28/2023 (1)		31,000,000		32,598,438
2.750%, 6/30/2025 (1)		40,000,000		43,722,656
2.875%, 5/15/2049		20,150,000		25,807,349
3.000%, 8/15/2048		10,000,000		13,025,195
3.000%, 2/15/2049		5,000,000		6,540,234
3.375%, 11/15/2048		4,000,000		5,569,766
Total U.S. Government & U.S. Government Agency Obligations (identified cost $268,114,356)				291,141,292
U.S. Government Agency-Mortgage Securities — 27.2%
Federal Home Loan Mortgage Corporation — 6.1%
3.000%, 11/1/2042		972,946		1,019,374
3.000%, 4/1/2043		1,150,564		1,216,842
3.000%, 4/1/2043		1,811,919		1,902,034
3.000%, 5/1/2043		2,002,805		2,097,155
3.000%, 7/1/2043		7,893,897		8,265,768
3.000%, 9/1/2043		8,003,605		8,380,656
3.000%, 4/1/2045		7,037,103		7,357,480
3.000%, 5/1/2045		3,870,256		4,052,420
3.500%, 12/1/2040		685,708		739,061
3.500%, 12/1/2041		567,286		612,252
3.500%, 3/1/2042		207,832		224,306
3.500%, 12/1/2042		530,915		566,024
3.500%, 11/1/2043		4,971,773		5,282,296
3.500%, 1/1/2044		5,136,446		5,454,082
3.500%, 2/1/2044		5,402,659		5,732,680
3.500%, 11/1/2044		3,753,340		3,971,133
4.000%, 4/1/2026		235,459		247,952
4.000%, 12/1/2039		416,427		452,586
4.000%, 12/1/2040		177,624		192,935
4.000%, 12/1/2040		2,244,797		2,437,636
4.000%, 3/1/2041		176,381		191,495
4.000%, 4/1/2041		4,687,255		5,094,036
4.000%, 8/1/2041		114,432		124,298
4.000%, 11/1/2041		468,283		508,429
4.500%, 9/1/2031		195,873		213,566
4.500%, 3/1/2039		85,624		94,321
4.500%, 5/1/2039		338,956		374,140
4.500%, 2/1/2040		89,649		98,912
4.500%, 2/1/2041		709,310		783,017
5.000%, 12/1/2035		46,716		52,965
5.000%, 1/1/2038		25,109		28,353
5.000%, 3/1/2038		78,746		89,174
5.000%, 3/1/2038		24,564		27,873
5.000%, 2/1/2039		144,312		156,072
5.000%, 1/1/2040		123,607		139,062
6.000%, 6/1/2037		43,060		50,359
6.000%, 1/1/2038		47,051		53,596
				68,284,340

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

58

BMO Funds

Core Plus Bond Fund (continued)

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association — 21.0%
3.000%, 3/1/2043	$	2,385,597	$	2,503,084
3.000%, 7/1/2043		5,231,083		5,474,977
3.000%, 7/1/2043		10,296,900		10,808,712
3.000%, 9/1/2044		6,461,641		6,762,034
3.000%, 1/1/2045		6,964,282		7,288,272
3.000%, 2/1/2045		10,017,531		10,484,176
3.000%, 6/1/2045		5,675,511		5,939,896
3.000%, 3/1/2046		11,727,361		12,272,339
3.000%, 7/1/2046		13,929,971		14,564,690
3.000%, 4/1/2049		24,537,461		25,298,398
3.000%, 9/1/2049		24,101,986		24,849,419
3.000%, 9/1/2049		24,078,054		24,824,745
3.000%, 11/1/2049		4,922,171		5,074,813
3.500%, 7/1/2032		291,529		307,909
3.500%, 5/1/2042		879,831		936,446
3.500%, 10/1/2042		604,672		652,106
3.500%, 10/1/2042		645,486		687,048
3.500%, 10/1/2042		822,232		876,184
3.500%, 11/1/2042		404,748		430,807
3.500%, 12/1/2042		822,237		875,153
3.500%, 12/1/2047		4,132,519		4,353,876
3.500%, 3/1/2049		24,103,201		25,172,620
3.500%, 4/1/2049		11,844,962		12,371,407
3.500%, 6/1/2049		20,635,203		21,427,720
4.000%, 11/1/2040		236,261		256,679
4.000%, 1/1/2041		319,059		345,612
4.000%, 2/1/2041		1,761,944		1,914,640
4.000%, 2/1/2041		356,682		387,598
4.000%, 3/1/2041		149,736		163,729
4.000%, 11/1/2041		275,374		299,190
4.000%, 9/1/2048		6,342,468		6,700,223
4.500%, 6/1/2039		516,181		569,378
4.500%, 8/1/2041		331,065		366,207
5.000%, 7/1/2022		54,833		58,018
5.000%, 3/1/2035		168,827		189,312
5.000%, 5/1/2042		384,576		425,568
5.500%, 2/1/2034		29,144		33,359
5.500%, 7/1/2036		156,290		179,144
5.500%, 8/1/2037		288,894		331,589
5.500%, 6/1/2038		40,239		46,342
6.000%, 12/1/2038		14,112		16,031
6.000%, 5/1/2039		124,102		146,010
6.500%, 10/1/2037		28,766		34,007
6.500%, 11/1/2037		15,618		18,024
				236,717,491
Government National Mortgage Association — 0.1%
4.000%, 10/15/2040		310,580		333,504
4.000%, 12/15/2040		396,365		425,618
4.000%, 4/15/2041		359,833		386,563
5.500%, 8/20/2038		56,416		61,044
5.500%, 2/15/2039		37,781		42,502
6.000%, 12/15/2038		45,420		51,877
6.000%, 1/15/2039		19,950		22,864
				1,323,972
Total U.S. Government Agency-Mortgage Securities (identified cost $295,570,708)				306,325,803

Description	Shares or Principal Amount		Value
Short-Term Investments — 14.4%
Collateral Pool Investments for Securities on Loan — 12.6%
Collateral pool allocation (3)			$	142,554,344
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)	$	19,958,089		19,960,085
Total Short-Term Investments (identified cost $162,512,929)				162,514,429
Total Investments — 112.1% (identified cost $1,199,985,186)				1,262,710,292
Other Assets and Liabilities — (12.1)%				(136,482,502	)
Total Net Assets — 100.0%			$	1,126,227,790

High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 95.5%
Aerospace/Defense — 1.1%
TransDigm, Inc., 6.500%, 7/15/2024	$	115,000	$	117,827
Auto Manufacturers — 0.5%
Allison Transmission, Inc., 4.750%, 10/1/2027 (5)		50,000		51,392
Auto Parts & Equipment — 2.4%
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		64,000		64,460
Meritor, Inc., 6.250%, 2/15/2024		75,000		77,011
Panther BF Aggregator 2 LP, 8.500%, 5/15/2027 (5)		50,000		50,908
Tenneco, Inc., 5.000%, 7/15/2026		75,000		64,689
				257,068
Banks — 1.0%
CIT Group, Inc., 5.000%, 8/15/2022		103,000		107,945
Building Materials — 2.5%
Builders FirstSource, Inc., 6.750%, 6/1/2027 (1) (5)		75,000		81,026
Standard Industries, Inc., 6.000%, 10/15/2025 (5)		75,000		78,562
U.S. Concrete, Inc., 6.375%, 6/1/2024		100,000		101,968
				261,556
Chemicals — 2.6%
CF Industries, Inc., 4.950%, 6/1/2043		25,000		26,585
Olin Corp.:
5.000%, 2/1/2030		50,000		48,782
5.125%, 9/15/2027		50,000		50,501
Starfruit Finco BV, 8.000%, 10/1/2026 (1) (5)		150,000		149,209
				275,077
Commercial Services — 3.9%
Avis Budget Car Rental LLC, 5.250%, 3/15/2025 (5)		50,000		50,589
Nielsen Finance LLC, 5.000%, 4/15/2022 (5)		50,000		49,926

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

59

February 29, 2020 (Unaudited)

Schedules of Investments

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services (continued)
Prime Security Services Borrower LLC, 6.250%, 1/15/2028 (5)	$	50,000	$	48,300
Refinitiv US Holdings, Inc., 8.250%, 11/15/2026 (5)		100,000		110,285
United Rentals North America, Inc., 3.875%, 11/15/2027		50,000		50,530
WW International, Inc., 8.625%, 12/1/2025 (1) (5)		100,000		104,541
				414,171
Computers — 0.7%
Seagate HDD Cayman:
4.750%, 1/1/2025		25,000		26,450
4.875%, 6/1/2027 (1)		50,000		53,377
				79,827
Cosmetics/Personal Care — 0.4%
Revlon Consumer Products Corp., 6.250%, 8/1/2024		100,000		39,292
Diversified Financial Services — 1.5%
Cantor Fitzgerald LP, 4.875%, 5/1/2024 (5)		50,000		54,723
Park Aerospace Holdings, Ltd., 4.500%, 3/15/2023 (5)		25,000		26,161
Springleaf Finance Corp., 5.375%, 11/15/2029		75,000		76,736
				157,620
Electric — 1.9%
Drax Finco PLC, 6.625%, 11/1/2025 (5)		100,000		104,613
Vistra Operations Co. LLC, 5.000%, 7/31/2027 (5)		100,000		101,185
				205,798
Entertainment — 0.7%
Scientific Games International, Inc., 5.000%, 10/15/2025 (5)		75,000		75,375
Food — 2.9%
Albertsons Cos. LLC, 5.750%, 3/15/2025 (1)		100,000		103,916
JBS USA LUX SA, 5.500%, 1/15/2030 (5)		75,000		78,928
Minerva Luxembourg SA, 6.500%, 9/20/2026 (5)		75,000		77,435
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		50,000		51,078
				311,357
Forest Products & Paper — 1.2%
Mercer International, Inc., 6.500%, 2/1/2024		125,000		128,333
Healthcare-Products — 1.5%
Hill-Rom Holdings, Inc., 4.375%, 9/15/2027 (5)		100,000		103,795
Hologic, Inc., 4.625%, 2/1/2028 (5)		50,000		52,267
				156,062
Healthcare-Services — 7.0%
Catalent Pharma Solutions, Inc., 4.875%, 1/15/2026 (5)		100,000		102,785

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Services (continued)
Centene Corp.:
4.250%, 12/15/2027 (1) (5)	$	50,000	$	51,533
6.125%, 2/15/2024		75,000		77,340
Charles River Laboratories International, Inc., 4.250%, 5/1/2028 (5)		100,000		102,060
Encompass Health Corp., 5.750%, 11/1/2024		48,000		48,524
HCA, Inc.:
5.375%, 9/1/2026		50,000		55,536
5.875%, 5/1/2023		90,000		98,513
LifePoint Health, Inc., 4.375%, 2/15/2027 (5)		50,000		49,485
Select Medical Corp., 6.250%, 8/15/2026 (5)		50,000		53,404
Tenet Healthcare Corp.:
5.125%, 11/1/2027 (5)		25,000		26,000
8.125%, 4/1/2022		75,000		81,392
				746,572
Home Builders — 4.0%
Beazer Homes USA, Inc., 5.875%, 10/15/2027 (1)		75,000		76,127
Taylor Morrison Communities, Inc., 5.875%, 1/31/2025 (5)		188,000		193,288
Toll Brothers Finance Corp., 3.800%, 11/1/2029		100,000		101,253
TRI Pointe Group, Inc., 5.875%, 6/15/2024		51,000		55,420
				426,088
Home Furnishings — 1.2%
Tempur Sealy International, Inc., 5.625%, 10/15/2023 (1)		125,000		127,577
Internet — 0.5%
Netflix, Inc., 4.875%, 4/15/2028 (1)		50,000		52,762
Investment Companies — 2.5%
Goldman Sachs BDC, Inc., 3.750%, 2/10/2025		75,000		77,817
Icahn Enterprises LP:
4.750%, 9/15/2024 (5)		50,000		51,063
6.250%, 5/15/2026		50,000		51,349
Owl Rock Capital Corp., 5.250%, 4/15/2024		75,000		81,776
				262,005
Iron/Steel — 0.6%
United States Steel Corp., 6.875%, 8/15/2025 (1)		75,000		65,094
Lodging — 2.3%
Boyd Gaming Corp., 6.000%, 8/15/2026		50,000		51,502
Hilton Domestic Operating Co., Inc., 5.125%, 5/1/2026		50,000		51,472
Marriott Ownership Resorts, Inc., 4.750%, 1/15/2028 (5)		50,000		50,142
Station Casinos LLC, 4.500%, 2/15/2028 (5)		50,000		47,637
Wynn Las Vegas LLC, 5.250%, 5/15/2027 (5)		50,000		48,563
				249,316

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

60

BMO Funds

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media — 10.8%
Altice Financing SA, 5.000%, 1/15/2028 (1) (5)	$	200,000	$	194,480
Altice Finco SA, 7.625%, 2/15/2025 (5)		200,000		208,833
AMC Networks, Inc., 5.000%, 4/1/2024 (1)		100,000		100,750
CCO Holdings LLC, 5.500%, 5/1/2026 (5)		200,000		207,984
Diamond Sports Group LLC/Diamond Sports Finance Co., 6.625%, 8/15/2027 (1) (5)		100,000		80,850
Gray Television, Inc., 5.875%, 7/15/2026 (1) (5)		75,000		77,273
Sinclair Television Group, Inc., 5.125%, 2/15/2027 (5)		75,000		74,066
Sirius XM Radio, Inc.:
5.000%, 8/1/2027 (5)		25,000		26,112
5.375%, 7/15/2026 (5)		100,000		103,733
TEGNA, Inc., 5.000%, 9/15/2029 (1) (5)		75,000		74,156
				1,148,237
Mining — 3.0%
Alcoa Nederland Holding BV, 6.125%, 5/15/2028 (5)		25,000		25,704
Freeport-McMoRan, Inc.:
3.550%, 3/1/2022		100,000		101,068
4.125%, 3/1/2028		50,000		47,442
Hudbay Minerals, Inc., 7.250%, 1/15/2023 (1) (5)		75,000		75,594
Novelis Corp., 4.750%, 1/30/2030 (5)		75,000		74,109
				323,917
Oil & Gas — 6.8%
Aker BP ASA, 3.750%, 1/15/2030 (5)		150,000		153,008
Chesapeake Energy Corp., 11.500%, 1/1/2025 (5)		52,000		29,770
Diamondback Energy, Inc., 3.250%, 12/1/2026 (1)		100,000		101,676
EQT Corp., 6.125%, 2/1/2025		75,000		57,218
Gulfport Energy Corp., 6.000%, 10/15/2024 (1)		100,000		33,500
Noble Holding International, Ltd., 7.750%, 1/15/2024		75,000		30,531
Oasis Petroleum, Inc., 6.875%, 3/15/2022		50,000		39,375
PBF Holding Co. LLC, 7.250%, 6/15/2025		100,000		102,958
QEP Resources, Inc., 5.250%, 5/1/2023		75,000		66,112
Transocean, Inc., 7.250%, 11/1/2025 (5)		75,000		62,249
W&T Offshore, Inc., 9.750%, 11/1/2023 (5)		50,000		44,500
				720,897
Oil & Gas Services — 2.1%
Archrock Partners LP:
6.250%, 4/1/2028 (5)		50,000		48,255
6.875%, 4/1/2027 (5)		50,000		50,900
Nine Energy Service, Inc., 8.750%, 11/1/2023 (5)		100,000		79,825

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas Services (continued)
SESI LLC, 7.750%, 9/15/2024	$	100,000	$	48,542
				227,522
Packaging & Containers — 1.2%
Mauser Packaging Solutions Holding Co., 5.500%, 4/15/2024 (5)		50,000		49,922
Owens-Brockway Glass Container, Inc., 5.375%, 1/15/2025 (5)		75,000		78,915
				128,837
Pharmaceuticals — 3.3%
Bausch Health Cos., Inc.:
5.000%, 1/30/2028 (1) (5)		125,000		123,906
5.500%, 3/1/2023 (1) (5)		62,000		62,103
Mallinckrodt International Finance SA / Mallinckrodt CB LLC, 10.000%, 4/15/2025 (5)		52,000		42,380
Par Pharmaceutical, Inc., 7.500%, 4/1/2027 (5)		25,000		26,463
Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023 (1)		100,000		93,292
				348,144
Pipelines — 4.5%
Antero Midstream Partners LP, 5.375%, 9/15/2024		100,000		76,250
Buckeye Partners LP, 4.125%, 3/1/2025 (5)		50,000		50,130
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027		50,000		55,851
Cheniere Energy Partners LP, 5.625%, 10/1/2026		100,000		100,687
Enable Midstream Partners LP, 4.400%, 3/15/2027 (1)		125,000		124,949
Genesis Energy LP, 6.000%, 5/15/2023		75,000		71,469
				479,336
Real Estate Investment Trusts — 6.5%
Diversified Healthcare Trust, 4.750%, 2/15/2028		75,000		78,663
ESH Hospitality, Inc., 5.250% 5.250% — 01 May 2025, 5/1/2025 (5)		100,000		100,792
Iron Mountain, Inc., 4.875%, 9/15/2027 (5)		100,000		101,482
iStar, Inc., 4.250%, 8/1/2025		125,000		123,725
MPT Operating Partnership LP, 4.625%, 8/1/2029 (1)		100,000		105,437
Service Properties Trust, 4.500%, 3/15/2025		100,000		105,775
Starwood Property Trust, Inc., 3.625%, 2/1/2021		75,000		74,561
				690,435
Retail — 6.0%
Asbury Automotive Group, Inc., 4.500%, 3/1/2028 (1) (5)		100,000		100,450
Beacon Roofing Supply, Inc., 4.875%, 11/1/2025 (1) (5)		50,000		48,339
New Red Finance, Inc., 5.000%, 10/15/2025 (5)		100,000		100,969
Party City Holdings, Inc., 6.625%, 8/1/2026 (5)		100,000		59,000
Penske Automotive Group, Inc., 5.375%, 12/1/2024 (1)		100,000		102,666
QVC, Inc., 4.750%, 2/15/2027 (1)		100,000		98,783

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

61

February 29, 2020 (Unaudited)

Schedules of Investments

High Yield Bond Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Retail (continued)
Staples, Inc., 10.750%, 4/15/2027 (1) (5)	$	75,000	$	71,929
Yum! Brands, Inc., 4.750%, 1/15/2030 (5)		50,000		51,973
				634,109
Software — 0.7%
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (1) (5)		75,000		72,000
Telecommunications — 6.0%
Altice France SA, 7.375%, 5/1/2026 (1) (5)		100,000		105,055
CenturyLink, Inc., 5.800%, 3/15/2022		50,000		52,234
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (1) (5)		100,000		105,374
CommScope, Inc., 5.500%, 6/15/2024 (5)		108,000		102,880
Sprint Communications, Inc., 6.000%, 11/15/2022		75,000		80,579
Sprint Corp.:
7.125%, 6/15/2024		50,000		56,833
7.625%, 3/1/2026		50,000		59,078
Telecom Italia Capital SA, 6.000%, 9/30/2034		25,000		28,183
T-Mobile USA, Inc., 4.500%, 2/1/2026		50,000		50,765
				640,981
Toys/Games/Hobbies — 1.0%
Mattel, Inc., 5.875%, 12/15/2027 (1) (5)		100,000		104,685
Transportation — 0.7%
Cargo Aircraft Management, Inc., 4.750%, 2/1/2028 (5)		75,000		74,531
Total Corporate Bonds & Notes (identified cost $10,464,146)				10,161,745
Short-Term Investments — 28.4%
Collateral Pool Investments for Securities on Loan — 25.1%
Collateral pool allocation (3)				2,670,259
Mutual Funds — 3.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (4)		357,672		357,708
Total Short-Term Investments (identified cost $3,027,920)				3,027,967
Total Investments — 123.9% (identified cost $13,492,066)				13,189,712
Other Assets and Liabilities — (23.9)%				(2,542,435	)
Total Net Assets — 100.0%			$	10,647,277

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 4.1%
Goldman Sachs Money Market Fund, 1.460%		5,673,679	$	5,673,679
State Street Institutional U.S. Government Money Market Fund — Premier Class — Premier Class, 1.528%		120,368,765		120,368,765
Total Mutual Funds				126,042,444
Repurchase Agreements — 45.7%
Agreement with Fixed Income Clearing Corp., 0.800%, dated 2/28/2020, to be repurchased at $8,087,748 on 3/2/2020, collateralized by U.S. Government treasury Obligations with various maturities to 4/15/2020, with a fair value of $8,252,228	$	8,317,875		8,317,875
Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be repurchased at $175,675 on 3/2/2020, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a fair value of $183,013		580,000,000		580,000,000
Agreement with Goldman Sachs Group, Inc., 1.580%, dated 2/27/2020, to be repurchased at $50,008,778 on 3/2/2020, collateralized by U.S. Government Agency Obligations with various maturities to 1/15/2054, with a fair value of $51,000,000		50,000,000		50,000,000
Agreement with Goldman Sachs Group, Inc., 1.580%, dated 2/27/2020, to be repurchased at $500,153,611 on 3/5/2020, collateralized by U.S. Government Agency Obligations with various maturities to 1/15/2055, with a fair value of $510,000,000		500,000,000		500,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.610%, dated 2/27/2020 to be repurchased at $15,002,683 on 3/2/2020, collateralized By U.S. Government Agency Obligations with various maturities to 12/28/2037, with a fair value of $15,302,357		110,000,000		110,000,000

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

62

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with TD Securities (USA) LLC, 1.600%, dated 2/27/2020 to be repurchased at $25,007,778 on 3/5/2020, collateralized by U.S. Government Agency Obligation with a maturity of 3/1/2049, with a fair value of $25,507,934	$	140,000,000	$	140,000,000
Total Repurchase Agreements				1,388,317,875
U.S. Government & U.S. Government Agency Obligations — 48.9%
Federal Farm Credit Bank — 13.0%
1.541% (LIBOR 1 Month — 4 basis points) 5/1/2020 (6)		25,000,000		25,000,328
1.567% (LIBOR 1 Month — 6 basis points) 3/25/2020 (6)		25,000,000		25,000,343
1.591% (LIBOR 1 Month + 1 basis points) 7/30/2020 (6)		20,000,000		19,999,858
1.650% (LIBOR 1 Month) 4/14/2020 (6)		15,000,000		15,000,000
1.656% (LIBOR 1 Month + 8 basis points) 2/1/2021 (6)		20,000,000		20,000,000
1.659% (LIBOR 1 Month) 3/17/2021 (6)		15,000,000		14,999,009
1.660% 11/19/2020		14,500,000		14,500,000
1.660% (SOFR + 8 basis points) 11/27/2020 (6)		7,000,000		7,000,000
1.660% (SOFR + 8 basis points) 1/14/2021 (6)		7,000,000		7,000,000
1.663% (LIBOR 1 Month + 1 basis points) 1/12/2021 (6)		7,000,000		6,997,337
1.665% (U.S. Federal Funds Effective Rate (continuous series) + 9 basis points) 3/10/2021 (6)		15,000,000		14,999,234
1.673% (LIBOR 1 Month + 2 basis points) 3/17/2021 (6)		12,125,000		12,115,764
1.675% (LIBOR 1 Month + 1 basis points) 12/11/2020 (6)		4,150,000		4,147,477
1.686% (LIBOR 1 Month + 11 basis points) 11/2/2021 (6)		10,000,000		10,000,000
1.691% (LIBOR 1 Month + 2 basis points) 9/9/2020 (6)		23,500,000		23,495,894
1.693% (LIBOR 1 Month + 4 basis points) 9/18/2020 (6)		10,000,000		10,004,436
1.700% (FCPR DLY — 305 basis points) 12/11/2020 (6)		15,000,000		14,998,829
1.700% (SOFR + 12 basis points) 3/18/2021 (6)		10,000,000		10,001,528

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
1.705% (U.S. Federal Funds Effective Rate (continuous series) + 13 basis points) 9/4/2020 (6)	$	25,000,000	$	25,006,336
1.707% (LIBOR 1 Month + 8 basis points) 8/25/2021 (6)		12,000,000		12,000,000
1.733% (LIBOR 1 Month + 8 basis points) 8/13/2021 (6)		20,000,000		20,000,000
1.741% (LIBOR 1 Month + 16 basis points) 7/1/2021 (6)		14,000,000		14,000,000
1.750% (FCPR DLY — 300 basis points) 3/22/2021 (6)		10,000,000		9,998,933
1.771% (LIBOR 1 Month + 10 basis points) 9/9/2021 (6)		4,000,000		4,000,000
1.790% (FCPR DLY — 296 basis points) 7/9/2020 (6)		10,000,000		9,999,287
1.820% (FCPR DLY — 293 basis points) 9/24/2020 (6)		20,000,000		20,017,964
1.840% (FCPR DLY — 291 basis points) 1/25/2021 (6)		24,000,000		24,032,162
				394,314,719
Federal Home Loan Bank — 26.4%
0.000% 3/16/2020 (8)		14,500,000		14,490,515
0.000% 3/18/2020 (8)		11,558,000		11,549,486
0.000% 3/20/2020 (8)		15,000,000		14,987,452
0.000% 4/8/2020 (8)		18,000,000		17,970,455
0.000% 4/24/2020 (8)		21,500,000		21,449,529
0.000% 4/29/2020 (8)		18,000,000		17,953,833
0.000% 5/1/2020 (8)		14,300,000		14,261,885
0.000% 5/1/2020 (8)		12,500,000		12,467,064
0.000% 5/20/2020 (8)		10,000,000		9,965,133
0.000% 6/2/2020 (8)		10,000,000		9,958,667
0.000% 6/15/2020 (8)		16,600,000		16,523,995
1.000% (SOFR + 12 basis points) 9/4/2020		25,000,000		25,000,000
1.000% (SOFR + 3 basis points) 2/28/2022		15,000,000		15,000,000
1.593% (LIBOR 1 Month — 2 basis points) 4/27/2021 (6)		15,000,000		15,000,244
1.596% (LIBOR 3 Month — 24 basis points) 7/17/2020 (6)		19,000,000		19,000,000
1.600% (SOFR + 2 basis points) 6/5/2020 (6)		6,000,000		6,000,000
1.600% (SOFR + 2 basis points) 8/28/2020 (6)		15,000,000		15,000,000
1.605% (SOFR + 3 basis points) 4/22/2020 (6)		8,300,000		8,300,000
1.610% (SOFR + 3 basis points) 3/27/2020 (6)		15,000,000		15,000,000
1.610% (SOFR + 3 basis points) 7/17/2020 (6)		11,000,000		11,000,000
1.610% (SOFR + 3 basis points) 11/6/2020 (6)		12,000,000		12,000,000
1.615% (SOFR + 4 basis points) 5/8/2020 (6)		20,000,000		20,000,000
1.615% (SOFR + 4 basis points) 6/19/2020 (6)		17,000,000		17,000,000
1.615% (SOFR + 4 basis points) 2/25/2021 (6)		15,000,000		15,000,000
1.620% (SOFR + 4 basis points) 8/25/2020 (6)		15,500,000		15,500,000
1.620% (SOFR + 4 basis points) 2/9/2021 (6)		12,000,000		12,000,000

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

63

February 29, 2020 (Unaudited)

Schedules of Investments

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
1.622% (LIBOR 1 Month — 3 basis points) 4/20/2020 (6)	$	10,750,000	$	10,749,863
1.625% (SOFR + 5 basis points) 9/28/2020 (6)		29,000,000		28,995,612
1.628% (LIBOR 1 Month — 3 basis points) 8/12/2020 (6)		3,500,000		3,498,003
1.629% (LIBOR 1 Month) 10/23/2020 (6)		14,750,000		14,750,000
1.630% (SOFR + 5 basis points) 1/22/2021 (6)		5,700,000		5,700,000
1.635% (SOFR + 6 basis points) 5/14/2021 (6)		16,350,000		16,350,000
1.640% (SOFR + 6 basis points) 5/6/2020 (6)		12,250,000		12,250,000
1.641% (LIBOR 3 Month — 17 basis points) 1/22/2021 (6)		12,500,000		12,500,000
1.645% (SOFR + 7 basis points) 3/27/2020 (6)		14,000,000		14,000,000
1.652% (LIBOR 1 Month — 1 basis points) 4/5/2021 (6)		15,000,000		15,000,000
1.655% (SOFR + 8 basis points) 7/24/2020 (6)		10,000,000		10,000,000
1.655% (SOFR + 8 basis points) 7/8/2021 (6)		18,000,000		18,000,000
1.655% (SOFR + 8 basis points) 7/23/2021 (6)		10,000,000		10,000,000
1.660% (SOFR + 8 basis points) 5/11/2020 (6)		16,450,000		16,450,000
1.678% (LIBOR 1 Month + 2 basis points) 3/19/2021 (6)		20,000,000		20,000,000
1.680% (SOFR + 10 basis points) 7/29/2020 (6)		33,000,000		32,999,581
1.680% (SOFR + 10 basis points) 12/23/2020 (6)		12,000,000		12,000,000
1.680% (SOFR + 10 basis points) 2/22/2021 (6)		16,000,000		16,000,000
1.685% (SOFR + 11 basis points) 10/1/2020 (6)		13,000,000		13,000,000
1.695% (SOFR + 12 basis points) 3/12/2021 (6)		11,000,000		11,000,000
1.697% (LIBOR 1 Month + 5 basis points) 5/20/2021 (6)		20,000,000		20,000,000
1.700% (SOFR + 12 basis points) 10/7/2020 (6)		12,000,000		12,000,000
1.702% (LIBOR 3 Month — 17 basis points) 1/8/2021 (6)		15,000,000		15,000,000
1.710% (SOFR + 13 basis points) 10/16/2020 (6)		21,000,000		21,000,000
1.750% (SOFR + 17 basis points) 4/9/2021 (6)		10,000,000		10,000,000
1.764% (LIBOR 3 Month — 14 basis points) 12/18/2020 (6)		15,000,000		15,000,565
1.940% 6/16/2020		10,150,000		10,151,388
1.950% 6/17/2020		15,000,000		15,000,000
2.375% 3/30/2020		8,885,000		8,890,331
				802,663,601
Federal Home Loan Mortgage Corporation — 4.5%
0.000% 4/17/2020 (8)		15,000,000		14,969,254
1.585% (SOFR + 1 basis points) 5/13/2020 (6)		20,000,000		20,000,000

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Mortgage Corporation (continued)
1.600% (SOFR + 2 basis points) 3/3/2020 (6)	$	15,000,000	$	15,000,000
1.605% (SOFR + 3 basis points) 5/22/2020 (6)		20,000,000		20,000,000
1.610% (SOFR + 3 basis points) 6/4/2020 (6)		15,000,000		15,000,000
1.610% (SOFR + 3 basis points) 6/17/2020 (6)		18,000,000		18,000,000
1.610% (SOFR + 3 basis points) 8/21/2020 (6)		15,000,000		15,000,000
1.620% (SOFR + 4 basis points) 9/10/2020 (6)		20,000,000		20,000,000
				137,969,254
Federal National Mortgage Association — 0.3%
Federal National Mortgage Association, 1.655%, (SOFR + 8 basis points), 10/30/2020		9,000,000		9,000,000
Sovereign — 4.7%
1.720% (3-Month T-Bill Index) 1/20/2027 (6)		15,000,000		15,000,000
1.720% (3-Month T-Bill Index) 1/20/2035 (6)		13,000,000		13,000,000
1.720% (3-Month T-Bill Index) 4/20/2035 (6)		5,000,000		5,000,000
1.720% (3-Month T-Bill Index) 4/20/2035 (6)		15,000,000		15,000,000
1.730% (3-Month T-Bill Index) 6/20/2027 (6)		15,000,000		15,000,000
1.730% (3-Month T-Bill Index) 6/20/2027 (6)		5,000,000		5,000,000
1.730% (3-Month T-Bill Index) 9/20/2027 (6)		14,000,000		14,000,000
1.730% (3-Month T-Bill Index) 2/15/2028 (6)		10,363,680		10,363,680
1.730% (3-Month T-Bill Index) 1/15/2030 (6)		17,962,265		17,962,265
1.750% (3-Month T-Bill Index) 9/15/2026 (6)		9,000,000		9,000,000
1.750% (3-Month T-Bill Index) 8/13/2027 (6)		10,000,000		10,000,000
1.750% (3-Month T-Bill Index) 10/15/2030 (6)		10,000,000		10,000,000
1.750% (3-Month T-Bill Index) 1/20/2035 (6)		5,000,000		5,000,000
				144,325,945
Total U.S. Government & U.S. Government Agency Obligations				1,488,273,519
U.S. Treasury Bills — 2.7%
U.S. Treasury Bonds & Notes — 2.7%
United States Treasury Bill:
0.000% 3/3/2020 (8)		25,000,000		24,997,865
0.000% 3/17/2020 (8)		15,000,000		14,989,510
United States Treasury Note:
1.554% (Treasury Money Market Yield 3 Month + 4 basis points), 7/31/2020 (6)		10,000,000		9,997,599

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

64

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Treasury Bills (continued)
U.S. Treasury Bonds & Notes (continued)
1.650% (Treasury Money Market Yield 3 Month + 14 basis points), 4/30/2021 (6)	$	15,935,000	$	15,940,379
2.625% 8/15/2020		15,000,000		15,067,882
				80,993,235
Total Investments — 101.4% (at amortized cost)				3,083,627,073
Other Assets and Liabilities — (1.4)%				(42,122,031	)
Total Net Assets — 100.0%			$	3,041,505,042

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 97.4%
Alabama — 12.8%
Chatom Industrial Development Board, 1.150%, 8/1/2020 (6)	$	5,500,000	$	5,500,000
City of Oxford, 1.220%, 9/1/2041 (6)		12,745,000		12,745,000
Columbia Industrial Development Board, 1.260%, 12/1/2037 (6)		2,000,000		2,000,000
Industrial Development Board of the City of Mobile Alabama, 1.280%, 6/1/2034 (6)		10,000,000		10,000,000
Tender Option Bond Trust Receipts/Certificates:
1.330% 5/1/2026 (5) (6)		6,000,000		6,000,000
1.330% 7/1/2026 (5) (6)		5,000,000		5,000,000
				41,245,000
California — 4.3%
Tender Option Bond Trust Receipts/Certificates:
1.250% 11/1/2023 (5) (6)		5,070,000		5,070,000
1.300% 9/1/2042 (5) (6)		8,945,000		8,945,000
				14,015,000
Connecticut — 3.8%
State of Connecticut, 1.240%, 5/15/2034 (6)		12,200,000		12,200,000
Delaware — 1.3%
Tender Option Bond Trust Receipts/Certificates, 1.280%, 1/1/2027 (5) (6)		4,065,000		4,065,000
District of Columbia — 2.2%
District of Columbia, 1.050%, 3/12/2020		7,000,000		7,000,000
Florida — 8.3%
City of Jacksonville, 1.060%, 5/19/2020 (6)		12,300,000		12,300,000
Highlands County Health Facilities Authority, 1.150%, 11/15/2035 (6)		10,200,000		10,200,000

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
School District of Broward County, 3.000%, 6/30/2020	$	4,275,000	$	4,300,794
				26,800,794
Georgia — 2.0%
RBC Municipal Products, Inc.Trust, 1.210%, 10/1/2021 (5) (6)		5,000,000		5,000,000
Tender Option Bond Trust Receipts/Certificates, 1.200%, 10/1/2024 (5) (6)		1,600,000		1,600,000
				6,600,000
Idaho — 0.5%
Idaho Health Facilities Authority, 1.050%, 5/1/2020 (6)		1,500,000		1,500,000
Illinois — 5.8%
Phoenix Realty Special Account-U LP, 1.180%, 4/1/2020 (6)		8,075,000		8,075,000
Tender Option Bond Trust Receipts/Certificates:
1.180% 1/15/2026 (5) (6)		2,000,000		2,000,000
1.300% 1/1/2028 (5) (6)		2,130,000		2,130,000
1.350% 11/15/2025 (5) (6)		6,670,000		6,670,000
				18,875,000
Indiana — 2.4%
Tender Option Bond Trust Receipts/Certificates, 1.300%, 5/14/2026 (5) (6)		7,770,000		7,770,000
Iowa — 3.2%
Iowa Finance Authority:
1.190% 9/1/2036 (6)		3,200,000		3,200,000
1.190% 12/1/2042 (6)		7,000,000		7,000,000
				10,200,000
Louisiana — 2.0%
Louisiana State Citizens Property Insurance Corp., 5.000%, 6/1/2020		6,390,000		6,449,143
Maryland — 0.1%
Washington Suburban Sanitary Commission, 1.200%, County Guarantee, 6/1/2023 (6)		220,000		220,000
Michigan — 0.6%
Michigan Finance Authority, 4.000%, SAW, 8/20/2020		2,000,000		2,025,048
Minnesota — 0.4%
City of Ramsey, 1.350%, 12/1/2023 (6)		1,300,000		1,300,000
Mississippi — 3.7%
Mississippi Business Finance Corp.:
1.200% 12/1/2030 (6)		1,000,000		1,000,000
1.200% 11/1/2035 (6)		5,000,000		5,000,000
1.200% 11/1/2035 (6)		5,000,000		5,000,000
1.350% 5/1/2037 (6)		1,000,000		1,000,000
				12,000,000
Missouri — 3.3%
Greene County Industrial Development Authority, 1.230%, 5/1/2039 (6)		845,000		845,000

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

65

February 29, 2020 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Missouri (continued)
Tender Option Bond Trust Receipts/Certificates, 1.250%, 5/15/2041 (5) (6)	$	10,000,000	$	10,000,000
				10,845,000
Nebraska — 0.2%
Nebraska Investment Finance Authority, 1.490%, 9/1/2031 (6)		600,000		600,000
New Jersey — 1.5%
Hudson County Improvement Authority, 2.000%, County Guarantee, 2/19/2021		2,800,000		2,827,151
Lyndhurst Township School District, 1.875%, 9/10/2020		2,000,000		2,006,187
				4,833,338
New York — 9.9%
City of New York:
1.180% 8/1/2035 (6)		970,000		970,000
1.190% 10/1/2040 (6)		1,300,000		1,300,000
1.210% 8/1/2044 (6)		4,600,000		4,600,000
Metropolitan Transportation Authority, 4.000%, 9/1/2020		5,000,000		5,063,884
New York City Transitional Finance Authority Future Tax Secured Revenue:
1.180% 8/1/2039 (6)		2,500,000		2,500,000
1.220% 8/1/2042 (6)		2,000,000		2,000,000
1.220% 8/1/2043 (6)		1,010,000		1,010,000
New York City Water & Sewer System:
1.170% 6/15/2044 (6)		2,110,000		2,110,000
1.180% 6/15/2045 (6)		7,000,000		7,000,000
1.220% 6/15/2039 (6)		2,500,000		2,500,000
Whitney Point Central School District, 2.500%, SAW, 6/26/2020		3,000,000		3,010,185
				32,064,069
North Carolina — 2.8%
Tender Option Bond Trust Receipts/Certificates, 1.200%, 7/1/2041 (5) (6)		9,185,000		9,185,000
Ohio — 4.3%
American Municipal Power, Inc., 2.500%, 6/25/2020		1,600,000		1,604,818
County of Franklin, 1.050%, 5/1/2020 (6)		4,250,000		4,250,000
County of Lake, 2.250%, 1/14/2021		2,975,000		3,003,705
Port of Greater Cincinnati Development Authority:
1.580% 11/1/2023 (6)		1,000,000		1,000,000
1.580% 11/1/2025 (6)		210,000		210,000
Tender Option Bond Trust Receipts/Certificates, 1.310%, 6/1/2026 (5) (6)		4,000,000		4,000,000
				14,068,523

Description	Shares or Principal Amount		Value
Municipals (continued)
South Carolina — 0.5%
South Carolina Educational Facilities Authority, 1.240%, 10/1/2039 (6)	$	1,700,000	$	1,700,000
South Dakota — 3.9%
South Dakota Housing Development Authority:
1.270% 11/1/2048 (6)		6,070,000		6,070,000
1.340% 5/1/2048 (6)		6,410,000		6,410,000
				12,480,000
Tennessee — 3.6%
Memphis Tennessee Obligation, 1.150%, 3/5/2020		6,000,000		6,000,000
Metropolitan Government Nashville & Davidson County Health & Educational Facs Bd, 1.500%, 7/1/2020		1,750,000		1,750,000
Shelby County Health Educational & Housing Facilities Board, 1.150%, AGM, 6/1/2042 (6)		4,000,000		4,000,000
				11,750,000
Texas — 9.2%
Atascosa County Industrial Development Corp., 1.190%, 6/30/2020 (6)		5,500,000		5,500,000
City of San Antonio, 1.000%, 8/5/2020		4,000,000		4,000,000
Gulf Coast Industrial Development Authority, 1.200%, 11/1/2041 (6)		4,000,000		4,000,000
State of Texas, 4.000%, 8/27/2020		5,000,000		5,065,879
Texas University Revenue Financing System:
1.100% 3/5/2020		3,000,000		3,000,000
1.180% 3/26/2020		8,280,000		8,280,000
				29,845,879
Washington — 1.0%
Seattle Housing Authority, 1.330%, 6/1/2040 (6)		950,000		950,000
Washington State Housing Finance Commission, 1.150%, 7/1/2028 (6)		2,290,000		2,290,000
				3,240,000
Wisconsin — 3.8%
PMA Levy & Aid Anticipation Notes Program:
3.000% 7/22/2020		3,000,000		3,017,771
3.000% 10/23/2020		2,500,000		2,527,533
Wisconsin Health & Educational Facilities Authority, 1.190%, 5/1/2030 (6)		6,700,000		6,700,000
				12,245,304
Total Municipals				315,122,098
Mutual Funds — 2.3%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.470%		100,000		100,000

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

66

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Mutual Funds (continued)
Federated Institutional Tax-Free Cash Trust — Institutional Class, 1.010%		7,316,607	$	7,316,607
Total Mutual Funds				7,416,607
Total Investments — 99.7% (at amortized cost)				322,538,705
Other Assets and Liabilities — 0.3%				852,446
Total Net Assets — 100.0%			$	323,391,151

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 22.1%
Banks — 22.1%
Bank of Nova Scotia, 1.940% (FEDL 1 Month + 36 basis points), 9/3/2020 (6)	$	2,500,000	$	2,500,000
Canadian Imperial Bank of Commerce:
1.840% (FEDL 1 Month + 26 basis points), 6/8/2020 (6)		3,000,000		3,000,000
1.846% (LIBOR 1 Month + 18 basis points), 4/6/2020 (6)		2,750,000		2,750,070
1.980% (FEDL 1 Month + 40 basis points), 10/9/2020 (6)		2,500,000		2,500,000
Credit Agricole Corporate and Investment Bank:
1.773% (LIBOR 3 Month + 6 basis points), 2/12/2021 (6)		2,650,000		2,650,000
1.833% (LIBOR 3 Month + 7 basis points), 2/3/2021 (6)		3,000,000		3,000,083
Credit Suisse AG:
1.870% (SOFR + 29 basis points), 8/7/2020 (6)		3,000,000		3,000,000
1.900% (SOFR + 32 basis points), 7/27/2020 (6)		3,000,000		3,000,000
1.960% (SOFR + 38 basis points), 3/6/2020 (6)		2,500,000		2,500,000
1.960% (SOFR + 38 basis points), 4/28/2020 (6)		2,500,000		2,500,000
1.960% (SOFR + 38 basis points), 5/4/2020 (6)		2,500,000		2,500,000
2.013% (LIBOR 3 Month + 25 basis points), 11/2/2020 (6)		2,500,000		2,500,000
Goldman Sachs Bank USA, 1.816% (SOFR + 25 basis points), 6/25/2020 (6)		2,750,000		2,750,000
HSBC BANK USA NA:
1.888% (LIBOR 1 Month + 22 basis points), 3/5/2020 (6)		2,500,000		2,500,000
1.895% (LIBOR 1 Month + 23 basis points), 3/11/2020 (6)		2,500,000		2,500,000
Mizuho Bank, Ltd.:
1.770% (LIBOR 1 Month + 10 basis points), 9/8/2020 (6)		3,000,000		3,000,000
1.820% (LIBOR 1 Month + 17 basis points), 8/14/2020 (6)		2,500,000		2,500,000

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
1.926% (LIBOR 1 Month + 26 basis points), 5/6/2020 (6)	$	2,650,000	$	2,650,000
1.940% 4/24/2020		3,000,000		3,000,000
2.161% (LIBOR 3 Month + 33 basis points), 4/15/2020 (6)		3,000,000		3,000,681
MUFG Bank, Ltd.:
1.918% (LIBOR 1 Month + 25 basis points), 5/5/2020 (6)		3,000,000		3,000,004
1.980% 10/15/2020		3,000,000		3,004,506
2.211% (LIBOR 3 Month + 46 basis points), 2/4/2021 (6)		2,500,000		2,509,103
Norinchukin Bank:
1.650% 3/6/2020		5,000,000		5,000,034
1.780% 5/13/2020		2,500,000		2,500,048
1.940% 4/29/2020		3,000,000		3,000,000
Royal Bank of Canada, 1.896% (LIBOR 3 Month + 6 basis points), 4/17/2020 (6)		2,750,000		2,750,000
Skandinaviska Enskilda Banken AB:
1.904% (LIBOR 3 Month + 7 basis points), 10/9/2020 (6)		2,750,000		2,750,168
2.020% (LIBOR 3 Month + 11 basis points), 1/4/2021 (6)		2,500,000		2,500,519
2.060% (LIBOR 3 Month + 15 basis points), 10/2/2020 (6)		2,500,000		2,500,000
Sumitomo Mitsui Banking Corp.:
1.772% (LIBOR 1 Month + 11 basis points), 9/4/2020 (6)		3,000,000		3,000,003
1.899% (LIBOR 1 Month + 27 basis points), 4/24/2020 (6)		3,000,000		3,000,000
1.912% (LIBOR 1 Month + 25 basis points), 3/4/2020 (6)		3,000,000		3,000,000
2.115% (LIBOR 1 Month +42 basis points), 8/20/2020 (6)		3,250,000		3,255,005
Toronto-Dominion Bank:
1.930% (FEDL 1 Month + 35 basis points), 7/30/2020 (6)		3,000,000		3,000,000
2.000% (SOFR + 42 basis points), 9/30/2020 (6)		2,500,000		2,500,000
Wells Fargo Bank NA, 1.920% (FEDL 1 Month + 34 basis points), 8/14/2020 (6)		2,500,000		2,500,000
Total Certificates of Deposit				104,070,224
Commercial Paper — 61.7%
Asset-Backed Securities — 39.7%
Atlantic Asset Securitization LLC, 1.837% 5/14/2020 (5) (8)		3,000,000		2,988,900
Bedford Row Funding Corp.:
1.813% (LIBOR 1 Month + 16 basis points), 3/13/2020 (5) (6)		2,500,000		2,499,986
1.817% (LIBOR 1 Month + 19 basis points), 6/25/2020 (5) (6)		3,000,000		3,000,000
1.887% (LIBOR 1 Month + 24 basis points), 7/20/2020 (5) (6)		3,000,000		3,000,000
CAFCO LLC:
1.633% 3/2/2020 (8)		12,500,000		12,499,441
1.760% 4/6/2020 (8)		2,000,000		1,996,540
Columbia Funding Co. LLC:
1.695% 3/18/2020 (8)		3,500,000		3,497,240
1.726% 3/3/2020 (8)		4,500,000		4,499,575

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

67

February 29, 2020 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
1.863% 4/8/2020 (8)	$	3,000,000	$	2,994,205
1.968% 3/18/2020 (8)		3,500,000		3,496,810
1.996% 5/14/2020 (8)		2,500,000		2,489,979
2.005% 5/14/2020 (8)		1,500,000		1,493,957
CRC Funding LLC, 1.731% 5/5/2020 (8)		2,500,000		2,492,326
Crown Point Capital Co. LLC:
1.956% 4/2/2020 (8)		3,000,000		2,994,880
1.986% 5/12/2020 (8)		2,000,000		1,992,240
Glencove Funding LLC:
1.681% (1 year USD Swap + 10 basis points), 4/9/2020 (5) (6)		5,000,000		5,000,000
1.694% (1 year USD Swap + 10 basis points), 9/16/2020 (5) (6)		5,000,000		5,000,000
1.703% (1 year USD Swap + 10 basis points), 11/3/2020 (5) (6)		3,500,000		3,500,000
Lexington Parker Capital Co. LLC:
1.623% 3/3/2020 (8)		5,000,000		4,999,556
1.623% 3/4/2020 (8)		5,000,000		4,999,333
1.665% 3/2/2020 (8)		2,500,000		2,499,886
1.677% 4/3/2020 (8)		2,500,000		2,496,219
Liberty Street Funding LLC, 1.779% 3/5/2020 (8)		3,000,000		2,999,417
LMA Americas LLC:
1.728% 8/3/2020 (8)		2,500,000		2,481,809
1.924% 5/6/2020 (8)		2,000,000		1,993,107
1.938% 4/6/2020 (8)		3,000,000		2,994,300
1.942% 4/2/2020 (8)		2,500,000		2,495,778
1.950% 3/25/2020 (8)		3,500,000		3,495,450
2.090% 3/10/2020 (8)		2,500,000		2,498,725
Longship Funding LLC:
1.623% 3/3/2020 (8)		6,500,000		6,499,422
1.623% 3/5/2020 (8)		6,000,000		5,998,933
1.637% 5/6/2020 (8)		3,000,000		2,991,145
1.675% 3/19/2020 (8)		3,000,000		2,997,525
Old Line Funding LLC:
1.815% (LIBOR 1 Month + 16 basis points), 4/1/2020 (5) (6)		2,750,000		2,750,000
1.991% (LIBOR 3 Month + 10 basis points), 9/9/2020 (5) (6)		2,750,000		2,750,000
Regency Markets No. 1 LLC:
1.634% 3/25/2020 (8)		3,500,000		3,496,243
1.675% 3/16/2020 (8)		6,500,000		6,495,531
1.685% 3/4/2020 (8)		4,500,000		4,499,377
1.685% 3/9/2020 (8)		4,000,000		3,998,524
Ridgefield Funding Co.:
1.696% 3/3/2020 (8)		5,000,000		4,999,536
1.732% 5/14/2020 (8)		3,000,000		2,989,517
1.961% 3/13/2020 (8)		3,000,000		2,998,080
Sheffield Receivables Co. LLC:
1.608% 5/21/2020 (8)		3,000,000		2,989,335
1.762% 4/22/2020 (8)		3,000,000		2,992,503
1.935% 3/2/2020 (8)		2,500,000		2,499,868
1.976% 6/2/2020 (8)		3,000,000		2,985,043
1.980% (SOFR + 40 basis points), 4/16/2020 (5) (6)		2,500,000		2,500,000
Starbird Funding Corp.:
1.641% 6/18/2020 (8)		2,750,000		2,736,595
1.682% 6/18/2020 (8)		2,500,000		2,487,510
1.887% (LIBOR 1 Month + 26 basis points), 3/25/2020 (6)		2,500,000		2,500,000

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
1.951% (LIBOR 1 Month + 28 basis points), 4/6/2020 (6)	$	2,500,000	$	2,500,000
Thunder Bay Funding LLC, 1.921% (LIBOR 1 Month + 25 basis points), 6/8/2020 (5) (6)		3,000,000		3,000,000
Victory Receivables Corp.:
1.605% 4/6/2020 (8)		3,000,000		2,995,260
1.644% 3/16/2020 (8)		3,500,000		3,497,638
				186,537,244
Automobiles — 2.5%
Toyota Motor Credit Corp.:
1.743% (LIBOR 1 Month + 13 basis points), 11/23/2020 (6)		3,000,000		3,000,000
1.744% (LIBOR 3 Month + 5 basis points), 11/13/2020 (6)		2,500,000		2,500,000
1.783% (LIBOR 3 Month + 10 basis points), 8/18/2020 (6)		3,000,000		3,000,000
1.838% (LIBOR 1 Month + 18 basis points), 4/9/2020 (6)		3,275,000		3,275,000
				11,775,000
Banks — 5.4%
Bank of Nova Scotia:
1.810% (SOFR + 23 basis points), 6/18/2020 (5) (6)		2,500,000		2,500,000
1.890% (FEDL 1 Month + 31 basis points), 5/8/2020 (6)		3,000,000		3,000,000
1.940% (LIBOR 3 Month + 9 basis points), 2/16/2021 (6)		2,500,000		2,500,022
Macquarie Bank, Ltd., 1.936% 3/3/2020 (8)		2,500,000		2,499,736
Natixis S.A.:
1.741% 5/4/2020 (8)		2,500,000		2,492,400
1.830% (SOFR + 25 basis points), 2/12/2021 (6)		2,500,000		2,500,000
1.866% 5/1/2020 (8)		3,000,000		2,990,697
1.918% (LIBOR 1 Month + 26 basis points), 5/15/2020 (6)		2,500,000		2,499,926
1.920% (SOFR + 34 basis points), 3/12/2020 (6)		2,500,000		2,500,072
Sumitomo Mitsui Trust Bank, Ltd., 1.698% 4/2/2020 (8)		2,000,000		1,997,031
				25,479,884
Diversified Financial Services — 2.7%
Collateralized Commercial Paper Co. LLC:
1.817% (LIBOR 3 Month + 11 basis points), 8/13/2020 (6)		3,000,000		3,000,000
1.825% (LIBOR 3 Month + 5 basis points), 10/23/2020 (6)		2,500,000		2,500,000
2.080% 3/12/2020 (8)		2,000,000		1,998,729
JP Morgan Securities LLC:
1.931% (LIBOR 1 Month + 26 basis points), 3/10/2020 (6)		2,500,000		2,500,000
2.094% (LIBOR 3 Month + 22 basis points), 10/7/2020 (5) (6)		2,500,000		2,500,000
				12,498,729
Food Service — 3.8%
Cargill, Inc., 1.643% 3/2/2020 (8)		18,000,000		17,999,190

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

68

BMO Funds

Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Foreign Banks — 2.3%
Mitsubishi UFJ Trust & Banking Corp., 1.718% (LIBOR 1 Month + 6 basis points), 6/15/2020 (6)	$	3,000,000	$	3,000,000
Royal Bank of Canada:
1.840% (FEDL 1 Month + 26 basis points), 6/8/2020 (5) (6)		2,500,000		2,500,000
1.860% (FEDL 1 Month + 28 basis points), 3/13/2020 (5) (6)		2,500,000		2,499,966
Toronto-Dominion Bank, 1.850% (FEDL 1 Month + 27 basis points), 6/15/2020 (5) (6)		2,500,000		2,500,000
				10,499,966
Integrated Oil — 3.2%
Equinor ASA:
1.623% 3/3/2020 (8)		5,000,000		4,999,555
1.643% 3/2/2020 (8)		10,000,000		9,999,550
				14,999,105
Pharmaceuticals — 2.1%
Merck & Co., Inc., 1.673% 3/2/2020 (8)		10,000,000		9,999,542
Total Commercial Paper				289,788,660
Municipals — 1.5%
Colorado — 1.5%
Colorado Housing & Finance Authority:
1.580% 10/1/2036 (6)		1,880,000		1,880,000
1.580% 5/1/2044 (6)		5,000,000		5,000,000
				6,880,000
Mutual Funds — 4.5%
Goldman Sachs Money Market Fund, 1.460%		3,518,804		3,518,804
State Street Institutional U.S. Government Money Market Fund — Premier Class — Premier Class, 1.528%		17,601,018		17,601,018
Total Mutual Funds				21,119,822
Repurchase Agreements — 10.2%
Agreement with Fixed Income Clearing Corp., 0.800%, dated 2/28/2020, to be repurchased at $8,087,748 on 3/2/2020, collateralized by U.S. Government treasury Obligations with various maturities to 4/15/2020, with a fair value of $8,252,228	$	8,087,208		8,087,208

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be repurchased at $175,675 on 3/2/2020, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a fair value of $183,013	$	15,000,000	$	15,000,000
Agreement with TD Securities (USA) LLC, 1.600%, dated 2/27/2020 to be repurchased at $25,007,778 on 3/5/2020, collateralized by U.S. Government Agency Obligation with a maturity of 3/1/2049, with a fair value of $25,507,934		25,000,000		25,000,000
Total Repurchase Agreements				48,087,208
Total Investments — 100.0% (at amortized cost)				469,945,914
Other Assets and Liabilities — 0.0%				108,418
Total Net Assets — 100.0%			$	470,054,332

Institutional Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 19.8%
Banks — 19.8%
Bank of Nova Scotia, 1.940% (FEDL 1 Month + 36 basis points), 9/3/2020 (6)	$	2,800,000	$	2,803,868
Canadian Imperial Bank of Commerce:
1.840% (FEDL 1 Month + 26 basis points), 6/8/2020 (6)		3,000,000		3,001,855
1.846% (LIBOR 1 Month + 18 basis points), 4/6/2020 (6)		3,000,000		3,000,602
1.980% (FEDL 1 Month + 40 basis points), 10/9/2020 (6)		3,000,000		3,005,458
Credit Agricole Corporate and Investment Bank:
1.773% (LIBOR 3 Month + 6 basis points), 2/12/2021 (6)		3,000,000		3,000,000
1.833% (LIBOR 3 Month + 7 basis points), 2/3/2021 (6)		3,250,000		3,250,090
Credit Suisse AG:
1.870% (SOFR + 29 basis points), 8/7/2020 (6)		3,000,000		3,001,962
1.960% (SOFR + 38 basis points), 3/6/2020 (6)		2,500,000		2,500,184
1.960% (SOFR + 38 basis points), 4/28/2020 (6)		3,000,000		3,001,447
1.960% (SOFR + 38 basis points), 5/4/2020 (6)		3,500,000		3,501,830
2.013% (LIBOR 3 Month + 25 basis points), 11/2/2020 (6)		3,000,000		3,004,501
Goldman Sachs Bank USA, 1.816% (SOFR + 25 basis points), 6/25/2020 (6)		3,000,000		3,000,888

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

69

February 29, 2020 (Unaudited)

Schedules of Investments

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
HSBC BANK USA NA:
1.888% (LIBOR 1 Month + 22 basis points), 3/5/2020 (6)	$	2,500,000	$	2,500,130
1.895% (LIBOR 1 Month + 23 basis points), 3/11/2020 (6)		3,000,000		3,000,321
Mizuho Bank, Ltd.:
1.770% (LIBOR 1 Month + 10 basis points), 9/8/2020 (6)		3,000,000		3,001,082
1.820% (LIBOR 1 Month + 17 basis points), 8/14/2020 (6)		2,750,000		2,751,894
1.926% (LIBOR 1 Month + 26 basis points), 5/6/2020 (6)		3,000,000		3,001,502
1.940% 4/24/2020 (6)		3,000,000		3,002,005
2.161% (LIBOR 3 Month + 33 basis points), 4/15/2020 (6)		3,500,000		3,501,616
MUFG Bank, Ltd.:
1.918% (LIBOR 1 Month + 25 basis points), 5/5/2020 (6)		4,000,000		4,001,765
1.980% 10/15/2020 (6)		3,000,000		3,012,705
2.211% (LIBOR 3 Month + 46 basis points), 2/4/2021 (6)		3,000,000		3,009,932
Norinchukin Bank:
1.650% 3/6/2020		5,000,000		5,000,076
1.780% 5/13/2020		2,500,000		2,501,826
1.940% 4/29/2020		3,000,000		3,002,564
Royal Bank of Canada, 1.896% (LIBOR 3 Month + 6 basis points), 4/17/2020 (6)		3,500,000		3,500,502
Skandinaviska Enskilda Banken AB:
1.904% (LIBOR 3 Month + 7 basis points), 10/9/2020 (6)		2,750,000		2,751,231
2.020% (LIBOR 3 Month + 11 basis points), 1/4/2021 (6)		2,500,000		2,501,356
2.060% (LIBOR 3 Month + 15 basis points), 10/2/2020 (6)		3,500,000		3,503,343
Sumitomo Mitsui Banking Corp.:
1.772% (LIBOR 1 Month + 11 basis points), 9/4/2020 (6)		3,000,000		3,000,597
1.899% (LIBOR 1 Month + 27 basis points), 4/24/2020 (6)		3,000,000		3,001,322
1.912% (LIBOR 1 Month + 25 basis points), 3/4/2020 (6)		3,500,000		3,500,162
2.103% (LIBOR 3 Month + 39 basis points), 2/12/2021 (6)		3,000,000		3,009,613
2.115% (LIBOR 1 Month +42 basis points), 8/20/2020 (6)		3,500,000		3,507,130
Toronto-Dominion Bank:
1.930% (FEDL 1 Month + 35 basis points), 7/30/2020		3,000,000		3,003,735
2.000% (SOFR + 42 basis points), 9/30/2020 (6)		2,750,000		2,750,261
Wells Fargo Bank NA, 1.920% (FEDL 1 Month + 34 basis points), 8/14/2020 (6)		3,000,000		3,003,561
Total Certificates of Deposit (identified cost $114,330,614)				114,392,916

Description	Principal Amount		Value
Commercial Paper — 62.8%
Asset-Backed Securities — 42.2%
American Honda Finance Corp., 1.691% 5/21/2020 (8)	$	2,500,000	$	2,491,504
Atlantic Asset Securitization LLC, 1.837% 5/14/2020 (8)		3,000,000		2,989,829
Bedford Row Funding Corp.:
1.813% (LIBOR 1 Month + 16 basis points), 3/13/2020 (5) (6)		2,500,000		2,500,234
1.817% (LIBOR 1 Month + 19 basis points), 6/25/2020 (5) (6)		3,000,000		3,000,733
1.887% (LIBOR 1 Month + 24 basis points), 7/20/2020 (5) (6)		3,000,000		3,001,692
CAFCO LLC:
1.633% 3/2/2020 (8)		17,500,000		17,497,608
1.760% 4/6/2020 (8)		2,000,000		1,996,791
Columbia Funding Co. LLC:
1.695% 3/18/2020 (8)		4,500,000		4,496,081
1.726% 3/3/2020 (8)		5,500,000		5,498,979
1.863% 4/8/2020 (8)		3,000,000		2,994,593
1.968% 3/18/2020 (8)		3,500,000		3,496,952
1.996% 5/14/2020 (8)		2,500,000		2,491,582
2.005% 5/14/2020 (8)		1,500,000		1,494,949
CRC Funding LLC, 1.731% 5/5/2020 (8)		2,500,000		2,492,579
Crown Point Capital Co. LLC:
1.956% 4/2/2020 (8)		3,000,000		2,995,467
1.986% 5/12/2020 (8)		3,000,000		2,990,380
Glencove Funding LLC:
1.681% (1 year USD Swap + 10 basis points), 4/9/2020 (6)		7,500,000		7,500,000
1.694% (1 year USD Swap + 10 basis points), 9/16/2020 (6)		5,000,000		5,000,000
1.703% (1 year USD Swap + 10 basis points), 11/3/2020 (6)		4,000,000		4,000,000
Kells Funding LLC, 1.740% 4/22/2020 (8)		3,000,000		2,992,967
Lexington Parker Capital Co. LLC:
1.623% 3/3/2020 (8)		5,000,000		4,999,067
1.623% 3/4/2020 (8)		5,000,000		4,998,834
1.643% 3/5/2020 (8)		4,180,000		4,178,832
1.665% 3/2/2020 (8)		2,500,000		2,499,650
1.677% 4/3/2020 (8)		2,500,000		2,496,043
Liberty Street Funding LLC, 1.779% 3/5/2020 (8)		3,000,000		2,999,167
LMA Americas LLC:
1.645% 3/27/2020 (8)		3,250,000		3,246,160
1.728% 8/3/2020 (8)		2,500,000		2,482,850
1.924% 5/6/2020 (8)		2,500,000		2,492,468
1.938% 4/6/2020 (8)		3,000,000		2,995,047
1.942% 4/2/2020 (8)		3,000,000		2,995,654
1.950% 3/25/2020 (8)		3,500,000		3,496,125
2.090% 3/10/2020 (8)		3,000,000		2,998,547
Longship Funding LLC:
1.623% 3/3/2020 (8)		6,500,000		6,498,823
1.623% 3/5/2020 (8)		8,000,000		7,997,832
1.637% 5/6/2020 (8)		3,500,000		3,488,801
1.675% 3/19/2020 (8)		3,000,000		2,997,330

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

70

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Old Line Funding LLC:
1.815% (LIBOR 1 Month + 16 basis points), 4/1/2020 (5) (6)	$	3,000,000	$	3,000,205
1.991% (LIBOR 3 Month + 10 basis points), 9/9/2020 (5) (6)		3,000,000		3,001,617
Regency Markets No. 1 LLC:
1.634% 3/25/2020 (8)		3,500,000		3,495,854
1.675% 3/16/2020 (8)		8,000,000		7,993,759
1.685% 3/4/2020 (8)		3,500,000		3,499,189
1.685% 3/9/2020 (8)		6,000,000		5,997,230
Ridgefield Funding Co.:
1.696% 3/3/2020 (8)		5,000,000		4,999,126
1.732% 5/14/2020 (8)		3,500,000		3,488,252
1.961% 3/13/2020 (8)		3,000,000		2,998,077
Sheffield Receivables Co. LLC:
1.608% 5/21/2020 (8)		3,000,000		2,989,072
1.762% 4/22/2020 (8)		3,000,000		2,992,841
1.935% 3/2/2020 (8)		2,500,000		2,499,653
1.976% 6/2/2020 (8)		3,000,000		2,987,547
1.980% (SOFR + 40 basis points), 4/16/2020 (5) (8)		3,500,000		3,501,666
Starbird Funding Corp.:
1.641% 6/18/2020 (8)		2,750,000		2,736,713
1.682% 6/18/2020 (8)		2,500,000		2,487,921
1.887% (LIBOR 1 Month + 26 basis points), 3/25/2020 (6)		3,500,000		3,500,809
1.951% (LIBOR 1 Month + 28 basis points), 4/6/2020		3,500,000		3,500,969
Thunder Bay Funding LLC, 1.921% (LIBOR 1 Month + 25 basis points), 6/8/2020 (5) (6)		3,500,000		3,502,046
Total Capital S.A., 1.643% 3/2/2020 (5) (8)		20,000,000		19,997,300
Victory Receivables Corp.:
1.605% 4/6/2020 (8)		3,000,000		2,994,857
1.644% 3/16/2020 (8)		3,500,000		3,497,270
1.678% 4/13/2020 (8)		3,000,000		2,993,944
				244,440,067
Automobiles — 2.2%
Toyota Motor Credit Corp.:
1.743% (LIBOR 1 Month + 13 basis points), 11/23/2020 (6)		3,500,000		3,500,000
1.744% (LIBOR 3 Month + 5 basis points), 11/13/2020 (6)		3,000,000		3,000,000
1.783% (LIBOR 3 Month + 10 basis points), 8/18/2020 (6)		3,000,000		3,001,601
1.838% (LIBOR 1 Month + 18 basis points), 4/9/2020 (6)		3,000,000		3,000,593
				12,502,194
Banks — 4.8%
Bank of Nova Scotia:
1.810% (SOFR + 23 basis points), 6/18/2020 (5) (6)		3,000,000		3,002,489
1.890% (FEDL 1 Month + 31 basis points), 5/8/2020 (6)		3,000,000		3,001,018
1.940% (LIBOR 3 Month + 9 basis points), 2/16/2021 (6)		2,500,000		2,500,343

Description	Principal Amount		Value
Commercial Paper (continued)
Banks (continued)
Macquarie Bank, Ltd., 1.936% 3/3/2020 (8)	$	2,750,000	$	2,749,477
Natixis S.A.:
1.741% 5/4/2020 (8)		2,500,000		2,493,368
1.830% (SOFR + 25 basis points), 2/12/2021 (6)		3,000,000		2,999,704
1.866% 5/1/2020 (8)		3,000,000		2,992,356
1.918% (LIBOR 1 Month + 26 basis points), 5/15/2020 (6)		3,500,000		3,502,180
1.920% (SOFR + 34 basis points), 3/12/2020 (6)		2,500,000		2,500,251
Sumitomo Mitsui Trust Bank, Ltd., 1.698% 4/2/2020 (8)		2,215,000		2,211,831
				27,953,017
Diversified Financial Services — 2.5%
Collateralized Commercial Paper Co. LLC:
1.817% (LIBOR 3 Month + 11 basis points), 8/13/2020 (6)		3,000,000		3,001,665
1.825% (LIBOR 3 Month + 5 basis points), 10/23/2020 (6)		3,000,000		3,000,479
2.080% 3/12/2020 (8)		2,500,000		2,498,503
JP Morgan Securities LLC:
1.931% (LIBOR 1 Month + 26 basis points), 3/10/2020 (5) (6)		3,000,000		3,000,119
2.094% (LIBOR 3 Month + 22 basis points), 10/7/2020 (5) (6)		3,000,000		3,001,944
				14,502,710
Food Service — 3.8%
Cargill, Inc., 1.643% 3/2/2020 (8)		22,000,000		21,997,103
Foreign Banks — 2.1%
Mitsubishi UFJ Trust & Banking Corp., 1.718% (LIBOR 1 Month + 6 basis points), 6/15/2020 (6)		3,500,000		3,500,000
Royal Bank of Canada:
1.840% (FEDL 1 Month + 26 basis points), 6/8/2020 (6)		2,500,000		2,501,575
1.860% (FEDL 1 Month + 28 basis points), 3/13/2020 (6)		3,000,000		3,000,232
Toronto-Dominion Bank, 1.850% (FEDL 1 Month + 27 basis points), 6/15/2020 (6)		3,000,000		3,002,110
				12,003,917
Integrated Oil — 3.5%
Equinor ASA:
1.623% 3/3/2020 (8)		10,000,000		9,998,146
1.643% 3/2/2020 (8)		10,000,000		9,998,600
				19,996,746
Pharmaceuticals — 1.7%
Merck & Co., Inc., 1.673% 3/2/2020 (8)		10,000,000		9,998,725
Total Commercial Paper (identified cost $363,366,245)				363,394,479

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

71

February 29, 2020 (Unaudited)

Schedules of Investments

Institutional Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals — 0.9%
Colorado — 0.9%
Colorado Housing & Finance Authority, 1.580%, 5/1/2044 (6)	$	5,000,000	$	5,000,000
Mutual Funds — 3.6%
Goldman Sachs Money Market Fund, 1.460%		1,034,574		1,034,574
State Street Institutional U.S. Government Money Market Fund — Premier Class — Premier Class, 1.528%		19,790,117		19,790,117
Total Mutual Funds (identified cost $20,824,691)				20,824,691
Repurchase Agreements — 12.9%
Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be repurchased at $175,675 on 3/2/2020, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a fair value of $183,013	$	35,000,000		35,000,000

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.610%, dated 2/27/2020 to be repurchased at $15,002,683 on 3/2/2020, collateralized By U.S. Government Agency Obligations with various maturities to 12/28/2037, with a fair value of $15,302,357	$	15,000,000	$	15,000,000
Agreement with TD Securities (USA) LLC, 1.600%, dated 2/27/2020 to be repurchased at $25,007,778 on 3/5/2020, collateralized by U.S. Government Agency Obligation with a maturity of 3/1/2049, with a fair value of $25,507,934		25,000,000		25,000,000
Total Repurchase Agreements (identified cost $75,000,000)				75,000,000
Total Investments — 100.0% (identified cost $578,521,550)				578,612,086
Other Assets and Liabilities — (0.0)%				(87,545	)
Total Net Assets — 100.0%			$	578,524,541

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

72

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of February 29, 2020. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of February 29, 2020. 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.

* 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. For all items listed as “Other securities” in this summary Schedule of Investments, this represents 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 29, 2020. 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 brokers-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) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2020 these securities amounted to:

	Amount		% of Total Net Assets
Global Low Volatility Equity Fund	$	660,365		1.97	%
Disciplined International Equity Fund		499,760		1.04
LGM Emerging Markets Equity Fund		13,545,260		4.87
Alternative Strategies Fund		117,862		0.32
Ultra Short Tax-Free Fund		79,453,451		14.91
Short Tax-Free Fund		5,615,981		3.82
Short-Term Income Fund		57,468,548		20.15
Intermediate Tax-Free Fund		59,576,914		2.89

	Amount		% of Total Net Assets
Strategic Income Fund	$	26,977,807		37.24	%
Corporate Income Fund		51,263,624		13.53
Core Plus Bond Fund		86,876,203		7.71
High Yield Bond Fund		5,600,940		52.60
Tax-Free Money Market Fund		77,435,000		23.94
Prime Money Market Fund		48,488,852		10.3
Institutional Prime Money Market Fund		50,510,045		8.73

(6) Denotes a variable rate security. The rate shown is the current interest rate as of February 29, 2020. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

(7) 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.

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

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

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 FCPR DLY — Federal Reserve Bank Prime Loan Rate 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 LIBOR   — London Interbank Offered Rate 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    — National Public Finance Guarantee 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 SIFMA   — Securities Industry and Financial Markets Association 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

73

February 29, 2020 (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	$	313,640,178	(1)	$	349,023,767	(1)	$	389,579,827	(1)	$	482,549,236	(1)	$	150,809,552	(1)
Cash sweep investments in affiliated issuers, at value		12,497,892			6,050,495			6,315,640			11,899,190			1,385,866
Dividends and interest receivable		636,124			706,812			769,565			397,484			220,103
Receivable for capital stock sold		3,212,465			1,331,951			1,266,603			1,137,409			127,217
Prepaid expenses and other receivables		56,221			59,271			53,790			61,514			45,020
Total assets		330,042,880			357,172,296			397,985,425			496,044,833			152,587,758
Liabilities:
Payable for return of securities lending collateral		49,729,451			63,732,746			75,555,943			65,262,013			30,444,460
Payable for investments purchased		7,657,171			—			—			—			—
Payable for capital stock redeemed		795,123			1,629,058			582,441			1,454,607			155,040
Payable to affiliates, net (Note 6)		136,652			145,292			134,201			161,907			92,844
Other liabilities		12,488			13,368			40,767			41,252			41,357
Total liabilities		58,330,885			65,520,464			76,313,352			66,919,779			30,733,701
Total net assets	$	271,711,995		$	291,651,832		$	321,672,073		$	429,125,054		$	121,854,057
Net assets consist of:
Paid-in capital	$	249,877,153		$	274,016,547		$	312,820,141		$	324,039,351		$	119,774,265
Distributable earnings		21,834,842			17,635,285			8,851,932			105,085,703			2,079,792
Total net assets	$	271,711,995		$	291,651,832		$	321,672,073		$	429,125,054		$	121,854,057
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	$	—		$	—		$	—		$	17.26		$	—
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		14.66			13.48			13.10			17.24			9.53
Offering price per share(2)		15.43			14.19			13.79			18.15			10.03
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.73			13.44			13.12			17.43			9.45
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			13.13			17.46			9.45
Net assets:
Investor class of shares	$	—		$	—		$	—		$	55,444,248		$	—
Advisor class of shares		38,364,562			13,051,396			16,623,365			631,249			32,583,628
Institutional class of shares		233,347,433			278,600,436			270,238,446			160,654,745			78,451,984
Retirement class R-6 of shares		—			—			34,810,262			212,394,812			10,818,445
Total net assets	$	271,711,995		$	291,651,832		$	321,672,073		$	429,125,054		$	121,854,057
Shares outstanding:
Investor class of shares		—			—			—			3,212,943			—
Advisor class of shares		2,616,134			968,233			1,268,920			36,612			3,420,554
Institutional class of shares		15,845,115			20,731,554			20,602,912			9,217,024			8,304,887
Retirement class R-6 of shares		—			—			2,651,138			12,162,530			1,144,364
Total shares outstanding		18,461,249			21,699,787			24,522,970			24,629,109			12,869,805
Investments, at cost:
Investments in unaffiliated issuers	$	292,506,757		$	334,117,560		$	385,039,014		$	391,654,967		$	152,225,224
Cash sweep investments in affiliated issuers		12,497,735			6,050,050			6,315,640			11,899,190			1,385,820
Total investments, at cost	$	305,004,492		$	340,167,610		$	391,354,654		$	403,554,157		$	153,611,044

(1) Including $48,569,098, $63,029,390, $74,274,649, $64,833,485 and $30,008,533, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

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

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

74

February 29, 2020 (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	$	124,914,152	(1)	$	65,558,317	(1)	$	18,811,428	(1)	$	128,401,766	(1)	$	33,198,447	(1)
Cash sweep investments in affiliated issuers, at value		1,113,622			850,385			386,326			1,428,856			166,333
Cash denominated in foreign currencies		—			—			—			—			158,676	(2)
Dividends and interest receivable		66,569			43,991			9,719			23,253			64,560
Receivable for capital stock sold		348,544			228,754			2,500			84,893			12,018
Prepaid expenses and other receivables		45,060			44,850			38,783			43,842			34,610
Total assets		126,487,947			66,726,297			19,248,756			129,982,610			33,634,644
Liabilities:
Payable for return of securities lending collateral		33,461,108			16,668,243			5,985,469			37,272,086			8,460
Payable for investments purchased		—			—			117,724			—			—
Payable for capital stock redeemed		152,721			85,641			6,289			114,485			83,714
Payable for foreign tax expense		—			—			—			—			2,478
Payable to affiliates, net (Note 6)		63,817			29,654			118			68,946			9,037
Other liabilities		33,390			10,247			19,582			39,893			15,664
Total liabilities		33,711,036			16,793,785			6,129,182			37,495,410			119,353
Total net assets	$	92,776,911		$	49,932,512		$	13,119,574		$	92,487,200		$	33,515,291
Net assets consist of:
Paid-in capital	$	82,641,215		$	53,712,730		$	13,892,836		$	82,044,536		$	32,123,109
Distributable earnings (accumulated loss)		10,135,696			(3,780,218	)		(773,262	)		10,442,664			1,392,182
Total net assets	$	92,776,911		$	49,932,512		$	13,119,574		$	92,487,200		$	33,515,291
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share	$	12.28		$	10.52		$	10.76		$	15.17		$	10.40
Offering price per share(3)		12.93			11.07			11.33			15.97			10.95
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		13.13			10.69			10.90			15.98			10.47
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		13.28			10.80			—			—			—
Net assets:
Advisor class of shares	$	12,480,591		$	2,501,882		$	617,457		$	27,430,966		$	116,435
Institutional class of shares		73,145,699			40,263,595			12,502,117			65,056,234			33,398,856
Retirement class R-6 of shares		7,150,621			7,167,035			—			—			—
Total net assets	$	92,776,911		$	49,932,512		$	13,119,574		$	92,487,200		$	33,515,291
Shares outstanding:
Advisor class of shares		1,016,427			237,855			57,391			1,808,566			11,201
Institutional class of shares		5,572,162			3,764,974			1,147,316			4,070,869			3,188,519
Retirement class R-6 of shares		538,524			663,766			—			—			—
Total shares outstanding		7,127,113			4,666,595			1,204,707			5,879,435			3,199,720
Investments, at cost:
Investments in unaffiliated issuers	$	117,958,177		$	68,570,263		$	18,563,765		$	123,890,436		$	31,472,572
Cash sweep investments in affiliated issuers		1,113,622			850,366			386,315			1,428,793			166,323
Total investments, at cost	$	119,071,799		$	69,420,629		$	18,950,080		$	125,319,229		$	31,638,895

(1) Including $33,228,900, $16,297,021, $5,885,888, $36,714,267 and $8,206, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $158,702.

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

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

75

February 29, 2020 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund
Assets:
Investments in unaffiliated issuers, at value	$	47,894,043	(1)	$	615,479,581	(1)	$	266,441,448	(1)	$	9,073,637
Cash sweep investments in affiliated issuers, at value		245,548			27,556,396			24,994,405			24,274,768
Cash		—			—			—			23,108
Deposit held at broker for:
Futures contracts		—			—			—			2,632,200
Forward foreign currency contracts		—			—			—			191,700
Swaps agreements		—			—			—			1,060,000
Cash denominated in foreign currencies		14,209	(2)		213	(2)		304,134	(2)		10,705	(2)
Dividends and interest receivable		283,863			4,956,497			835,833			69,430
Receivable for investments sold		—			27,188			1,641,305			—
Receivable for capital stock sold		464,628			3,804,403			451,236			70,934
Receivable for daily variation margin on futures contracts		—			—			—			640,326
Receivable for forward foreign currency contracts		—			—			—			598,238
Receivable for swap contracts		—			—			—			1,388,720
Prepaid expenses and other receivables		38,260			64,116			51,876			50,907
Total assets		48,940,551			651,888,394			294,720,237			40,084,673
Liabilities:
Payable for dividends and interest on securities sold short		—			—			—			517
Payable for return of securities lending collateral		935,258			26,373,579			15,605,355			—
Payable for investments purchased		—			5,667,020			25,071			—
Payable for capital stock redeemed		—			281,972			547,743			—
Payable for daily variation margin on futures contracts		—			—			—			1,083,180
Payable for forward foreign currency contracts		—			—			—			618,002
Payable for swap contracts		—			—			—			1,459,540
Payable for foreign tax expense		2,228			166,638			301,656			1,292
Payable to affiliates, net (Note 6)		23,068			435,077			234,647			2,262
Other liabilities		32,785			85,077			63,884			99,451
Total liabilities		993,339			33,009,363			16,778,356			3,264,244
Total net assets	$	47,947,212		$	618,879,031		$	277,941,881		$	36,820,429
Net assets consist of:
Paid-in capital	$	51,121,131		$	612,753,801		$	275,073,472		$	42,855,013
Distributable earnings (accumulated loss)		(3,173,919	)		6,125,230			2,868,409			(6,034,584	)
Total net assets	$	47,947,212		$	618,879,031		$	277,941,881		$	36,820,429
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share	$	9.53		$	12.74		$	14.30		$	8.59
Offering price per share(3)		10.03			13.41			15.05			9.04
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		9.54			12.48			14.22			8.71
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			12.48			—			—
Net assets:
Advisor class of shares	$	137,758		$	3,496,857		$	4,103,799		$	18,980
Institutional class of shares		47,809,454			410,576,928			273,838,082			36,801,449
Retirement class R-6 of shares		—			204,805,246			—			—
Total net assets	$	47,947,212		$	618,879,031		$	277,941,881		$	36,820,429
Shares outstanding:
Advisor class of shares		14,456			274,417			286,880			2,210
Institutional class of shares		5,010,915			32,907,178			19,250,841			4,226,437
Retirement class R-6 of shares		—			16,409,027			—			—
Total shares outstanding		5,025,371			49,590,622			19,537,721			4,228,647
Investments, at cost:
Investments in unaffiliated issuers	$	46,607,098		$	566,719,305		$	246,353,051		$	9,677,157
Cash sweep investments in affiliated issuers		245,548			27,553,486			24,993,368			24,271,307
Total investments, at cost	$	46,852,646		$	594,272,791		$	271,346,419		$	33,948,464

(1) Including $878,933, $24,669,053 and $14,541,651, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $14,256, $214, $304,734, $13,142, respectively.

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

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

76

February 29, 2020 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	551,774,663		$	145,664,365		$	299,205,159	(1)	$	2,073,166,004		$	86,602,908	(1)
Cash sweep investments in affiliated issuers, at value		—			—			12,255,775			—			395,311
Investments in repurchase agreements		166,899			200,705			—			175,652			—
Cash		6,000,000			500,000			—			3,500,000			—
Dividends and interest receivable		3,539,092			1,337,769			1,251,549			19,663,737			871,683
Receivable for investments sold		2,011,259			—			—			7,056,990			—
Receivable for capital stock sold		95,998			321,571			924,131			2,465,549			317,664
Prepaid expenses and other receivables		45,735			36,114			35,758			131,818			40,099
Total assets		563,633,646			148,060,524			313,672,372			2,106,159,750			88,227,665
Liabilities:
Payable for return of securities lending collateral		—			—			25,472,131			—			15,654,671
Payable for investments purchased		7,029,078			500,000			1,500,000			39,518,119			—
Payable for capital stock redeemed		23,271,151			123,537			1,113,720			3,227,846			76,967
Payable for foreign tax expense		—			—			477			—			—
Payable to affiliates, net (Note 6)		109,048			43,258			58,170			468,593			26,157
Payable for distributions		311,289			158,545			259,882			1,084,558			11,744
Other liabilities		39,620			29,286			26,426			116,639			20,895
Total liabilities		30,760,186			854,626			28,430,806			44,415,755			15,790,434
Total net assets	$	532,873,460		$	147,205,898		$	285,241,566		$	2,061,743,995		$	72,437,231
Net assets consist of:
Paid-in capital	$	530,537,519		$	144,474,614		$	281,922,822		$	1,930,964,826		$	74,561,150
Distributable earnings (accumulated loss)		2,335,941			2,731,284			3,318,744			130,779,169			(2,123,919	)
Total net assets	$	532,873,460		$	147,205,898		$	285,241,566		$	2,061,743,995		$	72,437,231
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	—		$	—		$	11.77		$	9.46
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		10.11			10.32			9.51			11.77			9.46
Offering price per share		10.32	(2)		10.53	(2)		9.70	(2)		12.20	(3)		9.80	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.10			10.32			9.53			11.76			9.46
Net assets:
Investor class of shares	$	—		$	—		$	—		$	517,617,193		$	53,256,623
Advisor class of shares		14,007,431			4,370,863			24,925,874			5,482,836			12,931,309
Institutional class of shares		518,866,029			142,835,035			260,315,692			1,538,643,966			6,249,299
Total net assets	$	532,873,460		$	147,205,898		$	285,241,566		$	2,061,743,995		$	72,437,231
Shares outstanding:
Investor class of shares		—			—			—			43,965,573			5,626,901
Advisor class of shares		1,385,219			423,616			2,620,775			465,758			1,366,362
Institutional class of shares		51,356,432			13,834,950			27,318,603			130,829,363			660,664
Total shares outstanding		52,741,651			14,258,566			29,939,378			175,260,694			7,653,927
Investments, at cost:
Investments in unaffiliated issuers	$	549,617,941		$	142,996,051		$	293,882,510		$	1,926,909,650		$	84,361,162
Cash sweep investments in affiliated issuers		—			—			12,255,119			—			395,294
Total investments, at cost	$	549,617,941		$	142,996,051		$	306,137,629		$	1,926,909,650		$	84,756,456

(1) Including $25,404,728 and $15,367,988, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

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

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

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

77

February 29, 2020 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Corporate Income Fund			Core Plus Bond Fund			High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	441,510,906	(1)	$	1,242,750,207	(1)	$	12,832,004	(1)
Cash sweep investments in affiliated issuers, at value		23,821,125			19,960,085			357,708
Dividends and interest receivable		3,180,603			6,934,357			155,682
Receivable for capital stock sold		275,063			3,730,380			—
Receivable from affiliates, net (Note 6)		—			—			5,187
Prepaid expenses and other receivables		55,703			76,186			39,409
Total assets		468,843,400			1,273,451,215			13,389,990
Liabilities:
Payable for return of securities lending collateral		83,325,574			142,554,344			2,670,259
Payable for investments purchased		5,769,044			—			50,000
Payable for capital stock redeemed		456,057			4,119,351			1,876
Payable to affiliates, net (Note 6)		109,277			247,993			—
Payable for income distribution		351,049			214,820			2,865
Other liabilities		26,464			86,917			17,713
Total liabilities		90,037,465			147,223,425			2,742,713
Total net assets	$	378,805,935		$	1,126,227,790		$	10,647,277
Net assets consist of:
Paid-in capital	$	350,770,505		$	1,077,698,490		$	14,127,281
Distributable earnings (accumulated loss)		28,035,430			48,529,300			(3,480,004	)
Total net assets	$	378,805,935		$	1,126,227,790		$	10,647,277
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	$	13.98		$	12.17		$	—
Advisor class of shares:
Net asset value, offering price and redemption proceeds per share		13.98			12.17			9.03
Offering price per share(2)		14.49			12.61			9.36
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		13.97			12.17			9.02
Net assets:
Investor class of shares	$	104,615,672		$	83,669,655		$	—
Advisor class of shares		9,495,507			4,193,180			691,367
Institutional class of shares		264,694,756			1,038,364,955			9,955,910
Total net assets	$	378,805,935		$	1,126,227,790		$	10,647,277
Shares outstanding:
Investor class of shares		7,480,676			6,872,734			—
Advisor class of shares		679,005			344,461			76,541
Institutional class of shares		18,948,082			85,319,831			1,103,295
Total shares outstanding		27,107,763			92,537,026			1,179,836
Investments, at cost:
Investments in unaffiliated issuers	$	413,305,801		$	1,180,026,601		$	13,134,405
Cash sweep investments in affiliated issuers		23,819,042			19,958,585			357,661
Total investments, at cost	$	437,124,843		$	1,199,985,186		$	13,492,066

(1) Including $82,858,910, $141,217,829 and $2,601,624, respectively, of securities on loan. A security on loan value represents both fair value and accrued interest.

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

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

78

February 29, 2020 (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	$	1,695,309,198	$	322,538,705	$	421,858,706		$	503,612,086
Investments in repurchase agreements		1,388,317,875		—		48,087,208			75,000,000
Cash		—		872		—			—
Dividends and interest receivable		2,935,379		1,081,880		399,117			423,736
Receivable for capital stock sold		1,316,786		500		112,425			—
Prepaid expenses and other receivables		68,997		56,559		57,960			38,346
Total assets		3,087,948,235		323,678,516		470,515,416			579,074,168
Liabilities:
Payable for investments purchased		40,000,000		—		—			—
Payable for capital stock redeemed		2,939,854		—		—			—
Payable to affiliates, net (Note 6)		517,601		31,814		82,621			38,058
Payable for income distribution		2,860,936		204,172		332,563			445,060
Other liabilities		124,802		51,379		45,900			66,509
Total liabilities		46,443,193		287,365		461,084			549,627
Total net assets	$	3,041,505,042	$	323,391,151	$	470,054,332		$	578,524,541
Net assets consist of:
Paid-in capital	$	3,041,499,930	$	323,384,219	$	470,078,273		$	578,417,579
Distributable earnings (accumulated loss)		5,112		6,932		(23,941	)		106,962
Total net assets	$	3,041,505,042	$	323,391,151	$	470,054,332		$	578,524,541
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		$	1.0001
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00		1.00		1.00			1.0001
Net assets:
Investor class of shares	$	619,223,205	$	47,425,969	$	217,187,604		$	2,122,047
Premier class of shares		2,422,281,837		275,965,182		252,866,728			576,402,494
Total net assets	$	3,041,505,042	$	323,391,151	$	470,054,332		$	578,524,541
Shares outstanding:
Investor class of shares		619,222,951		47,421,369		217,249,514			2,121,866
Premier class of shares		2,422,276,979		275,990,519		252,828,796			576,336,272
Total shares outstanding		3,041,499,930		323,411,888		470,078,310			578,458,138
Investments, at cost:
Investments in unaffiliated issuers	$	3,083,627,073	$	322,538,705	$	469,945,914		$	578,521,550
Total investments, at cost	$	3,083,627,073	$	322,538,705	$	469,945,914		$	578,521,550

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

79

February 29, 2020 (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	$	3,088,082	(1)	$	4,835,110		$	4,110,572		$	2,402,834		$	1,842,348
Affiliated issuers		45,441			53,883			47,453			61,445			16,779
Net securities lending income from:
Unaffiliated issuers (Note 6)		19,433			21,323			27,381			32,301			15,185
Affiliated issuers (Note 6)		13,128			14,584			18,457			21,923			10,360
Total income		3,166,084			4,924,900			4,203,863			2,518,503			1,884,672
Expenses:
Investment advisory fees (Note 6)		577,938			824,445			629,769			833,370			485,405
Shareholder servicing fees (Note 6)		—			—			—			74,701			—
Administration fees (Note 6)		188,707			247,334			228,291			176,944			96,188
Portfolio accounting fees		20,412			23,482			27,728			37,441			18,846
Recordkeeping fees		16,064			33,366			33,513			43,149			37,627
Custodian fees		4,075			5,474			6,918			3,792			5,838
Registration fees		34,600			33,927			27,750			33,836			24,977
Professional fees		8,352			8,352			8,523			8,523			8,523
Printing and postage		6,711			15,669			12,575			14,074			13,774
Directors’ fees		7,966			7,967			7,967			7,967			7,967
Distribution services fees (Note 6):
Advisor		49,217			19,888			23,616			848			48,092
Miscellaneous		3,405			3,564			8,483			8,861			3,666
Total expenses		917,447			1,223,468			1,015,133			1,243,506			750,903
Deduct:
Expense waivers (Note 6)		(50,409	)		(131,801	)		(58,487	)		(60,126	)		(11,382	)
Net expenses		867,038			1,091,667			956,646			1,183,380			739,521
Net investment income		2,299,046			3,833,233			3,247,217			1,335,123			1,145,151
Realized and unrealized gain (loss) on Investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		2,532,328			4,460,832			8,634,054			17,806,475			6,062,338
Investments in affiliated issuers		1,824			40			1,130			177			(141	)
Total net realized gain		2,534,152			4,460,872			8,635,184			17,806,652			6,062,197
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(18,456,368	)		(15,426,919	)		(24,230,759	)		(11,600,300	)		(10,331,725	)
Investments in affiliated issuers		20			(61	)		(262	)		—			45
Total net change in unrealized appreciation/depreciation		(18,456,348	)		(15,426,980	)		(24,231,021	)		(11,600,300	)		(10,331,680	)
Net realized and unrealized gain (loss)		(15,922,196	)		(10,966,108	)		(15,595,837	)		6,206,352			(4,269,483	)
Change in net assets resulting from operations	$	(13,623,150	)	$	(7,132,875	)	$	(12,348,620	)	$	7,541,475		$	(3,124,332	)

(1) Net of foreign taxes withheld of $1,041.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

80

Six Months Ended February 29, 2020 (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	$	506,444		$	526,715		$	76,433		$	514,292		$	363,771	(1)
Affiliated issuers		12,646			6,138			1,833			10,530			6,743
Net securities lending income from:
Unaffiliated issuers (Note 6)		11,804			8,149			1,658			12,588			—
Affiliated issuers (Note 6)		7,906			5,514			1,142			8,641			928
Total income		538,800			546,516			81,066			546,051			371,442
Expenses:
Investment advisory fees (Note 6)		345,536			199,303			47,722			348,117			109,463
Administration fees (Note 6 )		69,586			37,518			11,013			76,230			27,537
Portfolio accounting fees		15,826			14,297			12,000			16,889			2,806
Recordkeeping fees		31,503			17,042			10,048			31,245			9,802
Custodian fees		2,400			4,645			7,300			5,461			34,612
Registration fees		25,046			26,116			17,289			18,356			18,355
Professional fees		8,523			8,352			8,352			8,523			10,895
Printing and postage		12,056			4,641			3,641			12,121			2,749
Directors’ fees		7,967			7,967			7,967			7,967			8,257
Distribution services fees (Note 6):
Advisor		17,912			3,960			895			38,558			697
Miscellaneous		2,672			2,571			1,246			2,723			224
Total expenses		539,027			326,412			127,473			566,190			225,397
Deduct:
Expense waivers (Note 6)		(27,806	)		(40,532	)		(60,500	)		(24,514	)		(68,335	)
Net expenses		511,221			285,880			66,973			541,676			157,062
Net investment income		27,579			260,636			14,093			4,375			214,380
Realized and unrealized gain (loss) on Investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		4,998,893			(616,285	)		(31,179	)		6,203,865			226,722
Investments in affiliated issuers		271			118			(2	)		(213	)		96
Foreign currency transactions		—			—			—			—			(3,404	)
Total net realized gain (loss)		4,999,164			(616,167	)		(31,181	)		6,203,652			223,414
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(6,241,941	)		(2,963,298	)		(608,648	)		(4,845,926	)		(1,894,757	)
Investments in affiliated issuers		(3	)		(3	)		10			61			(53	)
Foreign currency transactions		—			—			—			—			1,633
Total net change in unrealized appreciation/depreciation		(6,241,944	)		(2,963,301	)		(608,638	)		(4,845,865	)		(1,893,177	)
Net realized and unrealized gain (loss)		(1,242,780	)		(3,579,468	)		(639,819	)		1,357,787			(1,669,763	)
Change in net assets resulting from operations	$	(1,215,201	)	$	(3,318,832	)	$	(625,726	)	$	1,362,162		$	(1,455,383	)

(1) Net of foreign taxes withheld of $25,801.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

81

Six Months Ended February 29, 2020 (Unaudited)

Statements of Operations BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund
Investment Income:
Dividend income from:
Unaffiliated issuers	$	631,904	(1)	$	6,339,430	(1)	$	5,212,181	(1)	$	77,256	(1)
Affiliated issuers		5,020			183,537			87,881			186,393
Interest income		—			—			—			51,845
Net securities lending income from:
Affiliated issuers (Note 6)		2,457			66,244			117,170			—
Total income		639,381			6,589,211			5,417,232			315,494
Expenses:
Investment advisory fees (Note 6)		175,820			2,434,123			1,338,935			188,284
Administration fees (Note 6)		43,955			348,566			223,156			28,242
Portfolio accounting fees		2,171			10,823			7,669			1,731
Recordkeeping fees		9,408			21,969			20,510			9,181
Custodian fees		34,365			90,706			131,956			142,975
Registration fees		25,058			30,865			25,490			15,279
Professional fees		9,803			12,091			15,573			24,460
Printing and postage		2,753			12,233			12,424			3,410
Directors’ fees		7,967			7,967			7,967			7,966
Distribution services fees (Note 6):
Advisor		186			5,290			6,015			25
Miscellaneous		2,154			3,313			1,351			280
Total expenses		313,640			2,977,946			1,791,046			421,833
Deduct:
Expense waivers (Note 6)		(47,896	)		—			(74,170	)		(148,797	)
Net expenses		265,744			2,977,946			1,716,876			273,036
Net investment income		373,637			3,611,265			3,700,356			42,458
Realized and unrealized gain (loss) on Investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(675,175	)		(909,098	)		(17,425,222	)(2)		(221,739	)
Investments in affiliated issuers		(200	)		(688	)		(732	)		(629	)
Foreign currency transactions		7,314			(144,636	)		(29,293	)		9,407
Forward contracts		—			—			—			(75,797	)
Futures contracts		—			—			—			331,475
Swap agreements		—			—			—			(1,594,316	)
Total net realized loss		(668,061	)		(1,054,422	)		(17,455,247	)		(1,551,599	)
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		949,055			(1,511,354	)		8,777,266			(151,889	)
Investments in affiliated issuers		(3	)		1,654			644			40
Foreign currency transactions		4,074			69,787			(7,418	)		2,380
Forward contracts		—			—			—			(154,322	)
Futures contracts		—			—			—			(612,268	)
Swap agreements		—			—			—			80,330
Total net change in unrealized appreciation/depreciation		953,126			(1,439,913	)		8,770,492			(835,729	)
Net realized and unrealized gain (loss)		285,065			(2,494,335	)		(8,684,755	)		(2,387,328	)
Change in net assets resulting from operations	$	658,702		$	1,116,930		$	(4,984,399	)	$	(2,344,870	)

(1) Net of foreign taxes withheld of $53,126, $424,478, $356,018, $5,411 and $827, respectively.

(2) Net of foreign taxes withheld of $143,141, $144,921 of which is related to appreciated investments held at period end.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

82

Six Months Ended February 29, 2020 (Unaudited)

Statements of Operations BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Investment Income:
Dividend income from:
Unaffiliated issuers	$	92,731		$	7,884		$	9,871		$	62,133		$	38,963
Affiliated issuers		—			—			65,020			—			23,418
Interest income		4,795,543			1,694,780			3,414,313			30,596,801			1,885,133
Net securities lending income from:
Unaffiliated issuers (Note 6)		—			—			13,769			—			11,204
Affiliated issuers (Note 6)		—			—			9,491			—			7,868
Total income		4,888,274			1,702,664			3,512,464			30,658,934			1,966,586
Expenses:
Investment advisory fees (Note 6)		489,615			149,745			248,541			1,116,615			95,196
Shareholder servicing fees (Note 6)		—			—			—			642,430			68,621
Administration fees (Note 6)		428,603			114,294			193,064			1,458,611			57,117
Portfolio accounting fees		56,220			37,605			37,486			183,427			22,575
Recordkeeping fees		16,599			11,109			27,660			22,238			30,210
Custodian fees		10,255			2,282			4,786			9,165			3,035
Registration fees		25,882			19,131			19,833			102,424			24,641
Professional fees		10,472			10,472			10,472			10,472			11,444
Printing and postage		5,048			4,262			6,787			17,644			6,674
Directors’ fees		7,967			7,967			7,967			7,967			7,967
Distribution services fees (Note 6):
Advisor		19,009			4,876			30,540			6,341			15,815
Miscellaneous		8,990			3,140			4,062			23,461			2,344
Total expenses		1,078,660			364,883			591,198			3,600,795			345,639
Deduct:
Expense waivers (Note 6)		(201,966	)		(57,174	)		(110,176	)		(65,218	)		(51,774	)
Net expenses		876,694			307,709			481,022			3,535,577			293,865
Net investment income		4,011,580			1,394,955			3,031,442			27,123,357			1,672,721
Realized and unrealized gain (loss) on Investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		59,570			30,751			220,507			406,391			(272,701	)
Investments in affiliated issuers		—			—			498			—			308
Total net realized gain (loss)		59,570			30,751			221,005			406,391			(272,393	)
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		1,058,543			489,615			1,575,576			30,660,335			379,559
Investments in affiliated issuers		—			—			642			—			9
Total net change in unrealized appreciation/depreciation		1,058,543			489,615			1,576,218			30,660,335			379,568
Net realized and unrealized gain		1,118,113			520,366			1,797,223			31,066,726			107,175
Change in net assets resulting from operations	$	5,129,693		$	1,915,321		$	4,828,665		$	58,190,083		$	1,779,896

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

83

Six Months Ended February 29, 2020 (Unaudited)

Statements of Operations BMO Funds

	Corporate Income Fund			Core Plus Bond Fund			High Yield Bond Fund
Investment Income:
Dividend income from:
Unaffiliated issuers	$	134,371		$	336,371		$	—
Affiliated issuers		132,699			295,656			5,582
Interest income		6,203,124			17,464,890			274,154
Net securities lending income from:
Unaffiliated issuers (Note 6)		38,575			65,099			1,881
Affiliated issuers (Note 6)		26,487			44,530			1,296
Total income		6,535,256			18,206,546			282,913
Expenses:
Investment advisory fees (Note 6)		315,993			675,800			24,865
Shareholder servicing fees (Note 6)		126,027			99,099			—
Administration fees (Note 6)		261,294			797,389			7,460
Portfolio accounting fees		36,452			74,630			16,447
Recordkeeping fees		16,182			18,273			9,736
Custodian fees		2,320			13,637			705
Registration fees		27,355			39,185			17,682
Professional fees		11,418			11,418			11,176
Printing and postage		6,715			14,722			1,179
Directors’ fees		7,967			7,967			7,967
Distribution services fees (Note 6):
Advisor		10,785			4,869			1,033
Miscellaneous		4,745			13,952			1,124
Total expenses		827,253			1,770,941			99,374
Deduct:
Expense waivers (Note 6)		(30,823	)		—			(66,016	)
Net expenses		796,430			1,770,941			33,358
Net investment income		5,738,826			16,435,605			249,555
Realized and unrealized gain (loss) on Investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		1,254,683			(4,470,795	)		(27,304	)
Investments in affiliated issuers		(931	)		2,887			84
Total net realized gain (loss)		1,253,752			(4,467,908	)		(27,220	)
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		7,383,844			21,225,751			(225,942	)
Investments in affiliated issuers		715			729			41
Total net change in unrealized appreciation/depreciation		7,384,559			21,226,480			(225,901	)
Net realized and unrealized gain (loss)		8,638,311			16,758,572			(253,121	)
Change in net assets resulting from operations	$	14,377,137		$	33,194,177		$	(3,566	)

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

84

Six Months Ended February 29, 2020 (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:
Interest income	$	28,510,667	(1)	$	2,447,133		$	4,659,830		$	5,402,009
Total income		28,510,667			2,447,133			4,659,830			5,402,009
Expenses:
Investment advisory fees (Note 6)		3,100,116			373,353			361,365			414,495
Shareholder servicing fees (Note 6)		910,201			82,833			261,634			1,716
Administration fees (Note 6)		536,754			69,738			81,083			92,999
Portfolio accounting fees		200,148			58,729			55,989			66,683
Recordkeeping fees		13,272			12,476			32,810			103,771
Custodian fees		29,823			8,205			13,643			17,817
Registration fees		20,594			26,215			32,829			26,368
Professional fees		9,996			11,864			11,915			11,864
Printing and postage		10,504			6,763			16,294			4,989
Directors’ fees		7,967			7,967			7,967			7,967
Miscellaneous		42,026			5,729			6,643			7,058
Total expenses		4,881,401			663,872			882,172			755,727
Deduct:
Expense waivers (Note 6)		(780,999	)		(207,686	)		(138,719	)		(201,351	)
Net expenses		4,100,402			456,186			743,453			554,376
Net investment income		24,410,265			1,990,947			3,916,377			4,847,633
Realized and unrealized gain (loss) on Investments
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		(1,834	)		—			617			830
Total net realized gain (loss)		(1,834	)		—			617			830
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		—			—			—			31,464
Total net change in unrealized appreciation/depreciation		—			—			—			31,464
Net realized and unrealized gain (loss)		(1,834	)		—			617			32,294
Change in net assets resulting from operations	$	24,408,431		$	1,990,947		$	3,916,994		$	4,879,927

(1) Income earned from the interfund lending program is $7,761.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

85

Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	2,299,046		$	2,572,907		$	3,833,233		$	5,295,723		$	3,247,217		$	6,703,231
Net realized gain (loss) on investments		2,534,152			2,908,962			4,460,872			(1,812,626	)		8,635,184			(3,260,425	)
Net change in unrealized appreciation/depreciation on investments		(18,456,348	)		15,017,580			(15,426,980	)		(6,514,456	)		(24,231,021	)		(34,813,659	)
Change in net assets resulting from operations		(13,623,150	)		20,499,449			(7,132,875	)		(3,031,359	)		(12,348,620	)		(31,370,853	)
Distributions to shareholders:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(1,153,096	)		(2,539,428	)		(178,130	)		(553,901	)		(145,413	)		(2,255,004	)
Institutional class of shares		(5,676,512	)		(10,688,056	)		(3,873,587	)		(11,571,620	)		(2,386,895	)		(29,608,063	)
Retirement class R-6 of shares		—			—			—			—			(529,861	)		(8,385,293	)
Change in net assets resulting from distributions to shareholders		(6,829,608	)		(13,227,484	)		(4,051,717	)		(12,125,521	)		(3,062,169	)		(40,248,360	)
Capital stock transactions:
Proceeds from sale of shares		132,670,586			124,692,065			37,362,449			235,092,837			111,068,387			66,947,372
Net asset value of shares issued to shareholders in payment of distributions declared		6,615,456			12,448,685			3,540,457			11,734,440			2,901,470			39,419,230
Cost of shares redeemed		(60,285,668	)		(59,633,706	)		(51,053,649	)		(73,784,496	)		(73,950,336	)		(129,756,728	)
Change in net assets resulting from capital stock transactions		79,000,374			77,507,044			(10,150,743	)		173,042,781			40,019,521			(23,390,126	)
Change in net assets		58,547,616			84,779,009			(21,335,335	)		157,885,901			24,608,732			(95,009,339	)
Net assets:
Beginning of period		213,164,379			128,385,370			312,987,167			155,101,266			297,063,341			392,072,680
End of period	$	271,711,995		$	213,164,379		$	291,651,832		$	312,987,167		$	321,672,073		$	297,063,341

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

86

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	1,335,123		$	3,328,031		$	1,145,151		$	1,996,306		$	27,579		$	(177,420	)	$	260,636		$	496,308
	17,806,652			22,623,039			6,062,197			(2,371,492	)		4,999,164			12,560,287			(616,167	)		289,402
	(11,600,300	)		(26,450,235	)		(10,331,680	)		(18,095,442	)		(6,241,944	)		(16,369,576	)		(2,963,301	)		(12,392,721	)
	7,541,475			(499,165	)		(3,124,332	)		(18,470,628	)		(1,215,201	)		(3,986,709	)		(3,318,832	)		(11,607,011	)
	(2,778,048	)		(8,151,650	)		—			—			—			—			—			—
	(31,525	)		(122,745	)		(460,109	)		(5,989,408	)		(1,752,862	)		(2,613,372	)		(32,711	)		(313,516	)
	(8,547,857	)		(36,189,535	)		(1,340,958	)		(12,798,593	)		(9,076,065	)		(12,980,336	)		(599,407	)		(3,915,187	)
	(11,957,597	)		(9,011,688	)		(215,944	)		(3,943,242	)		(919,723	)		(3,595,774	)		(103,017	)		(1,032,489	)
	(23,315,027	)		(53,475,618	)		(2,017,011	)		(22,731,243	)		(11,748,650	)		(19,189,482	)		(735,135	)		(5,261,192	)
	37,761,558			288,967,578			8,071,327			20,727,668			7,413,075			16,077,740			3,634,781			12,512,229
	21,673,096			48,947,018			1,946,452			22,534,196			11,701,291			19,124,023			726,039			5,218,811
	(69,625,015	)		(235,274,441	)		(23,904,767	)		(61,287,176	)		(10,157,421	)		(43,674,135	)		(6,208,250	)		(20,877,358	)
	(10,190,361	)		102,640,155			(13,886,988	)		(18,025,312	)		8,956,945			(8,472,372	)		(1,847,430	)		(3,146,318	)
	(25,963,913	)		48,665,372			(19,028,331	)		(59,227,183	)		(4,006,906	)		(31,648,563	)		(5,901,397	)		(20,014,521	)
	455,088,967			406,423,595			140,882,388			200,109,571			96,783,817			128,432,380			55,833,909			75,848,430
$	429,125,054		$	455,088,967		$	121,854,057		$	140,882,388		$	92,776,911		$	96,783,817		$	49,932,512		$	55,833,909

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

87

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	14,093		$	36,285		$	4,375		$	(450,978	)	$	214,380		$	860,280
Net realized gain (loss) on investments		(31,181	)		(947,478	)		6,203,652			1,931,571			223,414			1,037,717
Net change in unrealized appreciation/depreciation on investments		(608,638	)		(3,431,880	)		(4,845,865	)		(25,089,308	)		(1,893,177	)		(1,041,799	)
Change in net assets resulting from operations		(625,726	)		(4,343,073	)		1,362,162			(23,608,715	)		(1,455,383	)		856,198
Distributions to shareholders:
Advisor class of shares		(1,763	)		(223,543	)		(552,960	)		(6,575,826	)		(33,392	)		(54,278	)
Institutional class of shares		(34,370	)		(1,725,977	)		(1,218,963	)		(11,821,590	)		(1,780,680	)		(5,908,175	)
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Change in net assets resulting from distributions to shareholders		(36,133	)		(1,949,520	)		(1,771,923	)		(18,397,416	)		(1,814,072	)		(5,962,453	)
Capital stock transactions:
Proceeds from sale of shares		360,215			4,593,694			3,973,589			21,977,695			2,400,496			8,165,404
Net asset value of shares issued to shareholders in payment of distributions declared		28,492			1,709,986			1,752,554			18,153,178			1,783,822			5,947,142
Cost of shares redeemed		(544,209	)		(10,469,665	)		(12,433,166	)		(51,603,896	)		(2,393,947	)		(4,555,760	)
Redemption fees		—			—			—			—			5			4
Change in net assets resulting from capital stock transactions		(155,502	)		(4,165,985	)		(6,707,023	)		(11,473,023	)		1,790,376			9,556,790
Change in net assets		(817,361	)		(10,458,578	)		(7,116,784	)		(53,479,154	)		(1,479,079	)		4,450,535
Net assets:
Beginning of period		13,936,935			24,395,513			99,603,984			153,083,138			34,994,370			30,543,835
End of period	$	13,119,574		$	13,936,935		$	92,487,200		$	99,603,984		$	33,515,291		$	34,994,370

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

88

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						Alternative Strategies Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	373,637		$	2,268,048		$	3,611,265		$	17,811,533		$	3,700,356		$	3,948,730		$	42,458		$	239,134
	(668,061	)		(3,342,402	)		(1,054,422	)		(1,140,950	)		(17,455,247	)		1,293,783			(1,551,599	)		(1,342,140	)
	953,126			(4,175,960	)		(1,439,913	)		(16,291,181	)		8,770,492			(14,443,017	)		(835,729	)		(2,467,235	)
	658,702			(5,250,314	)		1,116,930			379,402			(4,984,399	)		(9,200,504	)		(2,344,870	)		(3,570,241	)
	(5,904	)		(2,852	)		(85,227	)		(142,355	)		(89,598	)		(177,483	)		(847	)		—
	(2,443,021	)		(1,525,583	)		(12,028,172	)		(12,873,242	)		(6,410,628	)		(8,498,978	)		(211,753	)		—
	—			—			(5,677,054	)		(4,754,416	)		—			—			—			—
	—			—			—			(1,250	)		—			—			—			—
	(2,448,925	)		(1,528,435	)		(17,790,453	)		(17,771,263	)		(6,500,226	)		(8,676,461	)		(212,600	)		—
	7,773,017			21,711,420			90,726,169			179,398,812			20,247,274			184,565,106			5,470,503			15,071,203
	1,333,781			1,341,526			15,873,905			15,571,565			5,797,498			8,184,014			207,734			—
	(20,376,852	)		(32,830,709	)		(125,611,615	)		(177,474,748	)		(28,003,876	)		(90,308,302	)		(4,864,165	)		(46,257,211	)
	38,329			—			639			7,393			2,623			1,285			—			—
	(11,231,725	)		(9,777,763	)		(19,010,902	)		17,503,022			(1,956,481	)		102,442,103			814,072			(31,186,008	)
	(13,021,948	)		(16,556,512	)		(35,684,425	)		111,161			(13,441,106	)		84,565,138			(1,743,398	)		(34,756,249	)
	60,969,160			77,525,672			654,563,456			654,452,295			291,382,987			206,817,849			38,563,827			73,320,076
$	47,947,212		$	60,969,160		$	618,879,031		$	654,563,456		$	277,941,881		$	291,382,987		$	36,820,429		$	38,563,827

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

89

Statements of Changes in Net Assets

	Ultra Short Tax-Free Fund						Short Tax-Free Fund						Short-Term Income Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	4,011,580		$	9,617,390		$	1,394,955		$	3,194,229		$	3,031,442		$	6,317,075
Net realized gain (loss) on investments		59,570			77,396			30,751			33,823			221,005			(60,896	)
Net change in unrealized appreciation/depreciation on investments		1,058,543			1,187,090			489,615			2,289,929			1,576,218			5,247,967
Change in net assets resulting from operations		5,129,693			10,881,876			1,915,321			5,517,981			4,828,665			11,504,146
Distributions to shareholders:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		(91,232	)		(287,653	)		(32,878	)		(90,361	)		(268,667	)		(572,105	)
Institutional class of shares		(4,025,422	)		(9,329,653	)		(1,362,122	)		(3,103,824	)		(2,859,566	)		(5,821,595	)
Change in net assets resulting from distributions to shareholders		(4,116,654	)		(9,617,306	)		(1,395,000	)		(3,194,185	)		(3,128,233	)		(6,393,700	)
Capital stock transactions:
Proceeds from sale of shares		183,895,104			455,013,834			19,265,455			38,924,406			90,673,322			113,830,655
Net asset value of shares issued to shareholders in payment of distributions declared		2,094,405			5,246,595			441,731			1,039,378			1,634,523			3,753,375
Cost of shares redeemed		(212,486,183	)		(503,271,381	)		(32,817,662	)		(71,015,523	)		(67,114,037	)		(104,426,395	)
Change in net assets resulting from capital stock transactions		(26,496,674	)		(43,010,952	)		(13,110,476	)		(31,051,739	)		25,193,808			13,157,635
Change in net assets		(25,483,635	)		(41,746,382	)		(12,590,155	)		(28,727,943	)		26,894,240			18,268,081
Net assets:
Beginning of period		558,357,095			600,103,477			159,796,053			188,523,996			258,347,326			240,079,245
End of period	$	532,873,460		$	558,357,095		$	147,205,898		$	159,796,053		$	285,241,566		$	258,347,326

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

90

BMO Funds

Intermediate Tax-Free Fund						Strategic Income Fund						Corporate Income Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	27,123,357		$	51,208,942		$	1,672,721		$	3,548,002		$	5,738,826		$	10,457,073
	406,391			(4,368,827	)		(272,393	)		(844,954	)		1,253,752			(1,423,451	)
	30,660,335			80,362,929			379,568			3,982,634			7,384,559			23,115,389
	58,190,083			127,203,044			1,779,896			6,685,682			14,377,137			32,149,011
	(6,740,668	)		(18,177,993	)		(1,198,165	)		(2,623,768	)		(1,595,014	)		(3,608,172	)
	(66,671	)		(224,682	)		(276,456	)		(588,494	)		(136,451	)		(141,929	)
	(20,466,279	)		(33,427,811	)		(198,100	)		(501,610	)		(4,007,361	)		(7,573,720	)
	(27,273,618	)		(51,830,486	)		(1,672,721	)		(3,713,872	)		(5,738,826	)		(11,323,821	)
	258,362,320			934,039,993			1,901,628			2,591,998			63,663,915			166,374,912
	20,997,295			40,306,879			1,591,857			3,529,210			3,619,721			7,341,969
	(166,195,937	)		(911,414,361	)		(9,379,361	)		(16,904,030	)		(42,404,159	)		(94,036,984	)
	113,163,678			62,932,511			(5,885,876	)		(10,782,822	)		24,879,477			79,679,897
	144,080,143			138,305,069			(5,778,701	)		(7,811,012	)		33,517,788			100,505,087
	1,917,663,852			1,779,358,783			78,215,932			86,026,944			345,288,147			244,783,060
$	2,061,743,995		$	1,917,663,852		$	72,437,231		$	78,215,932		$	378,805,935		$	345,288,147

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

91

Statements of Changes in Net Assets

	Core Plus Bond Fund						High Yield Bond Fund						Government Money Market Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	16,435,605		$	34,323,060		$	249,555		$	583,938		$	24,410,265		$	63,208,008
Net realized gain (loss) on investments		(4,467,908	)		(1,998,213	)		(27,220	)		(33,062	)		(1,834	)		4,655
Net change in unrealized appreciation/depreciation on investments		21,226,480			50,833,044			(225,901	)		(3,178	)		—			—
Change in net assets resulting from operations		33,194,177			83,157,891			(3,566	)		547,698			24,408,431			63,212,663
Distributions to shareholders:
Investor class of shares		(1,149,846	)		(2,203,494	)		—			—			(4,866,810	)		(12,256,532	)
Advisor class of shares		(56,564	)		(102,886	)		(20,009	)		(44,387	)		—			—
Institutional class of shares		(15,442,826	)		(32,251,533	)		(229,546	)		(539,551	)		—			—
Premier class of shares		—			—			—			—			(19,536,368	)		(50,956,131	)
Change in net assets resulting from distributions to shareholders		(16,649,236	)		(34,557,913	)		(249,555	)		(583,938	)		(24,403,178	)		(63,212,663	)
Capital stock transactions:
Proceeds from sale of shares		152,542,536			264,740,954			2,224,639			1,031,125			7,691,751,372			16,062,057,054
Net asset value of shares issued to shareholders in payment of distributions declared		15,201,462			31,159,017			233,640			551,976			3,080,981			8,714,362
Cost of shares redeemed		(82,177,790	)		(366,234,660	)		(807,778	)		(3,622,572	)		(7,843,147,107	)		(16,270,006,965	)
Change in net assets resulting from capital stock transactions		85,566,208			(70,334,689	)		1,650,501			(2,039,471	)		(148,314,754	)		(199,235,549	)
Change in net assets		102,111,149			(21,734,711	)		1,397,380			(2,075,711	)		(148,309,501	)		(199,235,549	)
Net assets:
Beginning of period		1,024,116,641			1,045,851,352			9,249,897			11,325,608			3,189,814,543			3,389,050,092
End of period	$	1,126,227,790		$	1,024,116,641		$	10,647,277		$	9,249,897		$	3,041,505,042		$	3,189,814,543

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

92

BMO Funds

Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	1,990,947		$	5,921,671		$	3,916,377		$	10,005,716		$	4,847,633		$	12,721,627
	—			19,607			617			536			830			1,072
	—			—			—			—			31,464			2,973
	1,990,947			5,941,278			3,916,994			10,006,252			4,879,927			12,725,672
	(281,403	)		(919,719	)		(1,547,906	)		(4,275,427	)		(10,247	)		(42,124	)
	—			—			—			—			—			—
	—			—			—			—			—			—
	(1,702,952	)		(5,021,273	)		(2,369,062	)		(5,730,825	)		(4,838,210	)		(12,680,593	)
	(1,984,355	)		(5,940,992	)		(3,916,968	)		(10,006,252	)		(4,848,457	)		(12,722,717	)
	282,229,514			828,334,151			286,853,330			775,417,901			1,368,447,079			2,739,102,472
	286,610			919,257			1,476,896			4,030,461			1,750,442			4,242,411
	(367,207,558	)		(802,490,834	)		(314,799,282	)		(744,417,480	)		(1,353,139,689	)		(2,663,727,009	)
	(84,691,434	)		26,762,574			(26,469,056	)		35,030,882			17,057,832			79,617,874
	(84,684,842	)		26,762,860			(26,469,030	)		35,030,882			17,089,302			79,620,829
	408,075,993			381,313,133			496,523,362			461,492,480			561,435,239			481,814,410
$	323,391,151		$	408,075,993		$	470,054,332		$	496,523,362		$	578,524,541		$	561,435,239

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

93

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Large-Cap Growth Fund
2020		$	17.96		$	0.03			$	0.15			$	0.18			$	(0.09	)		$	(0.79	)		$	(0.88	)		$	17.26		0.79	%		0.82	%		0.79	%		0.26	%		$	55,444		27	%
2019			20.95			0.09				(0.47	)			(0.38	)			(0.06	)			(2.55	)			(2.61	)			17.96		(0.62	)		0.84			0.79			0.50				58,562		89
2018			17.46			0.07				4.42				4.49				—				(1.00	)			(1.00	)			20.95		26.78			0.92			0.91			0.28				65,365		57
2017			15.34			0.06				3.03				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.34				74,359		75
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
Intermediate Tax-Free Fund
2020			11.60			0.15				0.17				0.32				(0.15	)			—				(0.15	)			11.77		2.79			0.55			0.53			2.62				517,617		19
2019			11.13			0.31				0.46				0.77				(0.30	)			—				(0.30	)			11.60		7.05			0.56			0.55			2.69				528,980		64
2018			11.37			0.30				(0.24	)			0.06				(0.30	)			(0.00	)			(0.30	)			11.13		0.53			0.55			0.55			2.65				870,195		45
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.78			0.57			0.55			2.55				975,664		44
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
Strategic Income Fund
2020			9.46			0.21				—				0.21				(0.21	)			—				(0.21	)			9.46		2.19			0.94			0.80			4.37				53,257		14
2019			9.08			0.42				0.38				0.80				(0.42	)			—				(0.42	)			9.46		9.08			0.96			0.80			4.41				56,576		39
2018			9.45			0.38				(0.37	)			0.04				(0.41	)			—				(0.41	)			9.08		0.37			0.91			0.80			4.09				59,724		33
2017			9.43			0.23				0.08				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			2.46				73,488		65
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
Corporate Income Fund
2020			13.65			0.21				0.33				0.54				(0.21	)			—				(0.21	)			13.98		4.03			0.65			0.59			3.16				104,616		11
2019			12.79			0.45				0.90				1.35				(0.45	)			(0.04	)			(0.49	)			13.65		10.88			0.67			0.59			3.52				101,125		37
2018			13.20			0.40				(0.39	)			0.01				(0.40	)			(0.02	)			(0.42	)			12.79		0.05			0.63			0.59			3.08				102,523		31
2017			13.17			0.35				0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.70				120,745		44
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
Core Plus Bond Fund
2020			12.00			0.17				0.17				0.34				(0.17	)			—				(0.17	)			12.17		2.88			0.56			0.56			2.86				83,670		8
2019			11.41			0.37				0.59				0.96				(0.37	)			—				(0.37	)			12.00		8.63			0.58			0.58			3.24				74,970		51
2018			11.79			0.32				(0.37	)			(0.05	)			(0.32	)			(0.01	)			(0.33	)			11.41		(0.45	)		0.58			0.58			2.70				61,251		45
2017			11.89			0.24				(0.02	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.37				68,946		34
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
Government Money Market Fund
2020			1.00			0.01				—				0.01				(0.01	)			—				(0.01	)			1.00		0.67			0.50			0.45			1.34				619,223		—
2019			1.00			0.02				0.00				0.02				(0.02	)			(0.00	)			(0.02	)			1.00		1.89			0.50			0.45			1.89				805,270		—
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.05			0.50			0.45			1.03				747,981		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.24			0.50			0.42			0.24				814,242		—
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		—
Tax-Free Money Market Fund
2020			1.00			(0.02	)			0.02				—				—				—				—				1.00		0.42			0.56			0.45			0.85				47,426		—
2019			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		1.20			0.55			0.45			1.20				71,794		—
2018			1.00			0.01				0.00				0.01				(0.01	)			(0.00	)			(0.01	)			1.00		0.80			0.56			0.45			0.79				75,889		—
2017			1.00			0.00				0.00				0.00				(0.00	)			(0.00	)			(0.00	)			1.00		0.37			0.57			0.45			0.33				76,029		—
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		—

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

94

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																															Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Prime Money Market Fund
2020		$	1.00		$	0.01		$	—		$	0.01		$	(0.01	)		$	—			$	(0.01	)		$	1.00		0.74	%		0.51	%		0.45	%		1.48	%		$	217,188		—	%
2019			1.00			0.02			—			0.02			(0.02	)			—				(0.02	)			1.00		2.03			0.51			0.45			2.03				247,742		—
2018			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		1.25			0.52			0.45			1.24				193,006		—
2017			1.00			0.00			0.00			0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.42			0.53			0.45			0.36				202,251		—
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		—
Institutional Prime Money Market Fund
2020			1.0001			0.0075			—			0.0075			(0.0075	)			—				(0.0075	)			1.0001		0.75			0.53			0.45			1.49				2,122		—
2019			1.0001			0.0204			—			0.0204			(0.0204	)			—				(0.0204	)			1.0001		2.06			0.52			0.45			2.04				1,218		—
2018			1.0001			0.0128			0.0000			0.0128			(0.0128	)			(0.0000	)			(0.0128	)			1.0001		1.29			0.55			0.45			1.31				2,401		—
2017(5)			1.00			0.0049			0.0001			0.0050			(0.0049	)			(0.0000	)			(0.0049	)			1.0001		0.50			0.55			0.45			0.50				1,421		—
2016(6)			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) Annualized for periods less than one year.

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

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

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

(5) Effective October 3, 2016, the BMO Institutional Prime Money Market Fund switched the valuation method of its securities from amortized cost to reflecting changes in market values, thus allowing the Fund’s NAV to “float”. In connection with this change, the Fund’s per share NAV is now calculated to four decimals (e.g., $1.0000).

(6) 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)

95

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)		Portfolio turnover rate (3)
																										Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Low Volatility Equity Fund
2020(5)	$	15.81	$	0.12		$	(0.83	)	$	(0.71	)	$	(0.13	)	$	(0.31	)	$	(0.44	)	$	14.66		(4.67	)%		0.94	%		0.90	%		1.61	%	$	38,365		17	%
2019		15.72		0.22			1.43			1.65			(0.22	)		(1.34	)		(1.56	)		15.81		11.80			1.03			0.90			1.48			29,006		32
2018		14.36		0.19			1.76			1.95			(0.20	)		(0.39	)		(0.59	)		15.72		13.96			1.03			0.90			1.25			25,571		43
2017		13.79		0.20			0.74			0.94			(0.20	)		(0.17	)		(0.37	)		14.36		6.94			1.03			0.90			1.47			31,624		56
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
Dividend Income Fund
2020(5)		14.02		0.16			(0.54	)		(0.38	)		(0.14	)		(0.02	)		(0.16	)		13.48		(2.79	)		0.98			0.90			2.08			13,051		21
2019		15.46		0.30			(0.85	)		(0.55	)		(0.31	)		(0.58	)		(0.89	)		14.02		(3.51	)		1.02			0.90			2.32			15,365		43
2018		14.51		0.28			2.67			2.95			(0.30	)		(1.70	)		(2.00	)		15.46		21.90			1.04			0.90			2.07			6,092		39
2017(6)		12.94		0.28			1.61			1.89			(0.21	)		(0.11	)		(0.32	)		14.51		14.80			1.08			0.90			2.06			3,205		43
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
Large-Cap Value Fund
2020(5)		13.72		0.11			(0.62	)		(0.51	)		(0.11	)		—			(0.11	)		13.10		(3.85	)		0.82			0.79			1.49			16,623		40
2019		16.59		0.26			(1.46	)		(1.20	)		(0.27	)		(1.40	)		(1.67	)		13.72		(7.15	)		0.85			0.79			1.78			18,621		67
2018		15.85		0.16			2.22			2.38			(0.19	)		(1.45	)		(1.64	)		16.59		15.57			0.91			0.89			0.82			22,602		54
2017(6)		14.14		0.08			1.93			2.01			(0.18	)		(0.12	)		(0.30	)		15.85		14.33			1.02			1.00			0.49			25,061		62
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
Large-Cap Growth Fund
2020(5)		17.94		0.04			0.14			0.18			(0.09	)		(0.79	)		(0.88	)		17.24		0.75			0.82			0.79			0.26			631		27
2019		20.96		0.09			(0.48	)		(0.39	)		(0.08	)		(2.55	)		(2.63	)		17.94		(0.63	)		0.84			0.79			0.49			712		89
2018		17.46		0.05			4.45			4.50			—			(1.00	)		(1.00	)		20.96		26.84			0.91			0.88			0.32			860		57
2017		15.34		0.03			3.06			3.09			(0.07	)		(0.90	)		(0.97	)		17.46		21.30			1.03			1.00			0.39			808		75
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
Mid-Cap Value Fund
2020(5)		9.99		0.09			(0.42	)		(0.33	)		(0.13	)		—			(0.13	)		9.53		(3.44	)		1.26			1.24			1.42			32,584		21
2019		12.64		0.13			(1.34	)		(1.21	)		(0.11	)		(1.33	)		(1.44	)		9.99		(9.63	)		1.26			1.24			0.98			39,032		50
2018		11.91		0.11			1.17			1.28			(0.05	)		(0.50	)		(0.55	)		12.64		10.89			1.25			1.24			0.79			55,151		64
2017		14.40		0.05			1.28			1.33			(0.05	)		(3.77	)		(3.82	)		11.91		12.88			1.26			1.24			0.74			64,462		139
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
Mid-Cap Growth Fund
2020(5)		14.20		(0.01	)		(0.09	)		(0.10	)		—			(1.82	)		(1.82	)		12.28		(1.68	)		1.29			1.24			(0.17	)		12,481		27
2019		17.96		(0.06	)		(0.75	)		(0.81	)		—			(2.95	)		(2.95	)		14.20		(2.95	)		1.32			1.24			(0.41	)		14,229		61
2018		14.79		(0.08	)		4.24			4.16			—			(0.99	)		(0.99	)		17.96		29.40			1.31			1.24			(0.43	)		16,399		63
2017		16.26		(0.02	)		2.11			2.09			(0.02	)		(3.54	)		(3.56	)		14.79		16.73			1.37			1.24			(0.47	)		17,945		157
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
Small-Cap Value Fund
2020(5)		11.39		0.05			(0.80	)		(0.75	)		(0.07	)		(0.05	)		(0.12	)		10.52		(6.68	)		1.38			1.24			0.64			2,502		38
2019		14.78		0.08			(2.45	)		(2.37	)		(0.06	)		(0.96	)		(1.02	)		11.39		(16.19	)		1.39			1.24			0.53			3,140		67
2018		13.30		0.03			2.57			2.60			—			(1.12	)		(1.12	)		14.78		20.32			1.41			1.24			0.25			4,741		70
2017(6)		13.21		0.03			1.36			1.39			(0.04	)		(1.26	)		(1.30	)		13.30		11.58			1.49			1.24			0.22			4,931		148
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

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

96

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 (2)(3)			Ratios to Average Net Assets (1)										Net assets, end of period (000 omitted)		Portfolio turnover rate (3)
																										Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Small-Cap Core Fund
2020(5)	$	11.33	$	0.66		$	(1.20	)	$	(0.54	)	$	(0.03	)	$	—		$	(0.03	)	$	10.76		(4.80	)%		1.97	%		1.15	%		(0.05	)%		$	617		36	%
2019		15.11		(0.06	)		(2.56	)		(2.62	)		(0.01	)		(1.15	)		(1.16	)		11.33		(17.39	)		1.88			1.15			(0.04	)			702		81
2018		13.22		(0.01	)		2.73			2.72			—			(0.83	)		(0.83	)		15.11		21.20			1.62			1.15			(0.04	)			2,988		89
2017		11.57		(0.02	)		1.88			1.86			(0.01	)		(0.20	)		(0.21	)		13.22		16.09			1.83			1.15			(0.18	)			2,612		90
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
Small-Cap Growth Fund
2020(5)		15.32		(0.01	)		0.16			0.15			—			(0.30	)		(0.30	)		15.17		0.82			1.29			1.24			(0.17	)			27,431		33
2019		21.60		(0.02	)		(3.51	)		(3.53	)		—			(2.75	)		(2.75	)		15.32		(16.12	)		1.30			1.24			(0.54	)			31,378		61
2018		18.37		(0.12	)		5.43			5.31			—			(2.08	)		(2.08	)		21.60		31.55			1.28			1.24			(0.47	)			53,772		80
2017(7)		17.79		(0.06	)		0.64			0.58			—			—			—			18.37		3.26			1.24			1.24			(0.97	)	��		57,737		197
Global Low Volatility Equity Fund
2020(5)(8)		11.42		(1.55	)		1.10			(0.45	)		(0.36	)		(0.21	)		(0.57	)		10.40		(4.31	)		1.48			1.10			1.11				116		26
2019(8)		14.00		0.52			(0.37	)		0.15			(0.38	)		(2.35	)		(2.73	)		11.42		2.21			1.62			1.10			2.50				660		44
2018		13.16		(0.15	)		1.46			1.31			(0.34	)		(0.13	)		(0.47	)		14.00		10.21			1.46			1.10			1.50				339		34
2017(8)		12.61		0.14			0.66			0.80			(0.17	)		(0.08	)		(0.25	)		13.16		6.59			1.52			1.10			1.96				997		74
2016(8)		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(8)		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
Disciplined International Equity Fund
2020(5)		10.01		0.05			(0.11	)		(0.06	)		(0.42	)		—			(0.42	)		9.53		(0.95	)		1.32			1.16			0.98				138		27
2019		10.94		0.33			(1.09	)		(0.76	)		(0.17	)		—			(0.17	)		10.01		(6.91	)		1.28			1.15			2.79				141		59
2018(8)		11.17		0.21			(0.22	)		(0.01	)		(0.22	)		—			(0.22	)		10.94		(0.15	)		1.27			1.15			2.11				186		52
2017(8)		9.56		0.20			1.66			1.86			(0.25	)		—			(0.25	)		11.17		19.97			1.39			1.15			1.98				149		77
2016(8)(9)		10.00		0.23			(0.67	)		(0.44	)		—			—			—			9.56		(4.40	)		1.45			1.15			2.53				125		64
Pyrford International Stock Fund
2020(5)(8)		13.08		0.14			(0.16	)		(0.02	)		(0.32	)		—			(0.32	)		12.74		(0.31	)		1.19			1.19			0.80				3,497		10
2019(8)		13.43		0.32			(0.34	)		(0.02	)		(0.33	)		—			(0.33	)		13.08		0.04			1.21			1.19			2.32				4,621		16
2018(8)		13.16		(0.09	)		0.36			0.27			—			—			—			13.43		2.05			1.20			1.18			2.88				6,037		20
2017(6)(8)		12.18		0.40			0.83			1.23			(0.25	)		—			(0.25	)		13.16		10.38			1.30			1.21			3.11				891		33
2016(8)		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(8)		13.11		0.05			(1.34	)		(1.29	)		(0.08	)		—			(0.08	)		11.74		(9.86	)		1.28			1.24			2.79				817		9
LGM Emerging Markets Equity Fund
2020(5)(8)		14.89		0.61			(0.89	)		(0.28	)		(0.23	)		(0.08	)		(0.31	)		14.30		(1.93	)		1.45			1.40			2.41				4,104		14
2019(8)		16.04		(0.02	)		(0.49	)		(0.51	)		(0.13	)		(0.51	)		(0.64	)		14.89		(3.05	)		1.51			1.40			1.30				5,224		24
2018(8)		15.93		0.14			(0.03	)		0.11			—			—			—			16.04		0.69			1.55			1.40			0.84				4,983		22
2017(6)(8)		14.04		0.13			1.82			1.95			(0.06	)		—			(0.06	)		15.93		14.03			1.63			1.40			0.96				4,776		40
2016(8)		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(8)		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
Alternative Strategies Fund
2020(5)		9.21		0.03			(0.60	)		(0.57	)		(0.05	)		—			(0.05	)		8.59		(6.19	)		2.50			1.70			(0.03	)			19		33
2019		9.73		(0.53	)		0.01			(0.52	)		—			—			—			9.21		(5.34	)		2.43	(10)		1.87	(10)		0.10				20		64
2018(8)		10.74		(0.14	)		(0.20	)		(0.34	)		—			(0.67	)(11)		(0.67	)		9.73		(3.53	)		3.08	(10)		2.33	(10)		(0.74	)			70		122
2017(8)		10.30		(0.18	)		0.62			0.44			—			—			—			10.74		4.27			3.65	(10)		2.95	(10)		(0.93	)			157		251
2016(8)		10.40		(0.23	)		0.23			0.00			—			(0.10	)		(0.10	)		10.30		(0.02	)		3.88	(10)		3.07	(10)		1.11				286		279
2015(8)(12)		10.00		(0.06	)		0.46			0.40			—			—			—			10.40		4.00			4.94	(10)		2.72	(10)		(1.07	)			1,011		119

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

97

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																									Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Ultra Short Tax-Free Fund
2020(5)	$	10.09	$	0.05	$	0.03		$	0.08		$	(0.06	)	$	0.00		$	(0.06	)	$	10.11		0.80	%		0.62	%		0.55	%		1.16	%	$	14,007			110	%
2019		10.07		0.13		0.03			0.16			(0.14	)		—			(0.14	)		10.09		1.62			0.62			0.55			1.41			16,498			155
2018		10.08		0.10		0.00			0.10			(0.10	)		(0.01	)		(0.11	)		10.07		0.95			0.62			0.55			0.99			27,434			156
2017		10.08		0.07		0.01			0.08			(0.07	)		(0.01	)		(0.08	)		10.08		0.80			0.64			0.55			0.74			34,696			126
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
Short Tax-Free Fund
2020(5)		10.28		0.09		0.04			0.13			(0.09	)		—			(0.09	)		10.32		1.23			0.72			0.55			1.69			4,371			33
2019		10.14		0.17		0.14			0.31			(0.17	)		—			(0.17	)		10.28		3.10			0.72			0.55			1.68			3,668			94
2018		10.22		0.14		(0.08	)		0.06			(0.14	)		—			(0.14	)		10.14		0.62			0.67			0.55			1.40			6,502			95
2017		10.24		0.13		(0.02	)		0.11			(0.13	)		(0.00	)		(0.13	)		10.22		1.08			0.76			0.55			1.27			7,166			93
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
Short-Term Income Fund
2020(5)		9.45		0.10		0.06			0.16			(0.10	)		—			(0.10	)		9.51		1.74			0.69			0.60			2.12			24,926			22
2019		9.27		0.22		0.18			0.40			(0.22	)		—			(0.22	)		9.45		4.34			0.70			0.60			2.30			24,531			53
2018		9.39		0.17		(0.12	)		0.05			(0.17	)		—			(0.17	)		9.27		0.56			0.71			0.60			1.80			26,011			48
2017		9.40		0.15		(0.01	)		0.14			(0.15	)		—			(0.15	)		9.39		1.46			0.72			0.60			1.61			33,311			53
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
Intermediate Tax-Free Fund
2020(5)		11.60		0.14		0.18			0.32			(0.15	)		—			(0.15	)		11.77		2.80			0.55			0.52			2.63			5,483			19
2019		11.13		0.30		0.47			0.77			(0.30	)		—			(0.30	)		11.60		7.05			0.56			0.55			2.69			4,505			64
2018		11.37		0.30		(0.24	)		0.06			(0.30	)		—			(0.30	)		11.13		0.53			0.55			0.55			2.65			14,701			45
2017		11.61		0.29		(0.21	)		0.08			(0.29	)		(0.03	)		(0.32	)		11.37		0.79			0.57			0.55			2.57			10,842			44
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
Strategic Income Fund
2020(5)		9.46		0.21		—			0.21			(0.21	)		—			(0.21	)		9.46		2.19			0.94			0.80			4.37			12,931			14
2019		9.08		0.42		0.38			0.80			(0.42	)		—			(0.42	)		9.46		9.08			0.96			0.80			4.41			12,523			39
2018		9.45		0.37		(0.37	)		0.03			(0.40	)		—			(0.40	)		9.08		0.37			0.92			0.80			4.09			13,602			33
2017		9.43		0.28		0.03			0.31			(0.29	)		—			(0.29	)		9.45		3.32			0.90			0.80			3.14			18,354			65
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
Corporate Income Fund
2020(5)		13.65		0.21		0.33			0.54			(0.21	)		—			(0.21	)		13.98		4.03			0.65			0.59			3.16			9,496			11
2019		12.79		0.45		0.90			1.35			(0.45	)		(0.04	)		(0.49	)		13.65		10.89			0.67			0.59			3.48			7,208			37
2018		13.20		0.40		(0.39	)		0.01			(0.40	)		(0.02	)		(0.42	)		12.79		0.06			0.63			0.59			3.15			1,864			31
2017		13.17		0.35		0.14			0.49			(0.35	)		(0.11	)		(0.46	)		13.20		3.86			0.71			0.59			2.63			1,384			44
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
Core Plus Bond Fund
2020(5)		12.00		0.17		0.17			0.34			(0.17	)		—			(0.17	)		12.17		2.89			0.56			0.56			2.86			4,193			8
2019		11.41		0.37		0.59			0.96			(0.37	)		—			(0.37	)		12.00		8.63			0.58			0.58			3.23			3,727			51
2018		11.79		0.31		(0.37	)		(0.05	)		(0.32	)		(0.01	)		(0.33	)		11.41		(0.45	)		0.58			0.58			2.69			3,032			45
2017		11.89		0.28		(0.06	)		0.22			(0.28	)		(0.04	)		(0.32	)		11.79		1.91			0.59			0.59			2.36			3,337			34
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

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

98

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)		Portfolio turnover rate (3)
																									Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
High Yield Bond Fund
2020(5)	$	9.25	$	0.21	$	(0.21	)	$	—		$	(0.22	)	$	—		$	(0.22	)	$	9.03		0.00	%		2.23	%		0.90	%		4.85	%	$	691		20	%
2019		9.25		0.51		(0.01	)		0.50			(0.50	)		(0.00	)		(0.50	)		9.25		5.59			2.25			0.90			5.48			868		24
2018		9.58		0.48		(0.33	)		0.15			(0.48	)		—			(0.48	)		9.25		1.62			2.00			0.90			5.12			864		37
2017		9.49		0.44		0.15			0.59			(0.50	)		—			(0.50	)		9.58		6.37			1.42			0.90			5.26			1,010		47
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

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

(7) Reflects operations for the period from May 31, 2017 (inception date) to August 31, 2017.

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

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

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

(11) Includes distribution to shareholders for return of capital in the amount of $0.09 per share.

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

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

99

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 (2)(3)			Ratios to Average Net Assets (1)										Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)				Net investment income (loss) (4)
Low Volatility Equity Fund
2020(5)		$	15.88		$	0.16			$	(0.85	)		$	(0.69	)		$	(0.15	)		$	(0.31	)		$	(0.46	)		$	14.73		(4.53	)%		0.69	%		0.65	%			1.87	%		$	233,347		17	%
2019			15.77			0.25				1.46				1.71				(0.26	)			(1.34	)			(1.60	)			15.88		12.18			0.78			0.65				1.71				184,158		32
2018			14.42			0.24				1.74				1.98				(0.24	)			(0.39	)			(0.63	)			15.77		14.12			0.78			0.65				1.52				102,815		43
2017			13.84			0.24				0.74				0.98				(0.23	)			(0.17	)			(0.40	)			14.42		7.24			0.78			0.65				1.69				127,837		56
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
Dividend Income Fund
2020(5)			13.98			0.17				(0.53	)			(0.36	)			(0.16	)			(0.02	)			(0.18	)			13.44		(2.67	)		0.73			0.65				2.34				278,600		21
2019			15.41			0.34				(0.85	)			(0.51	)			(0.34	)			(0.58	)			(0.92	)			13.98		(3.24	)		0.78			0.65				2.56				297,622		43
2018			14.47			0.34				2.64				2.98				(0.34	)			(1.70	)			(2.04	)			15.41		22.17			0.79			0.65				2.31				149,009		39
2017(6)			12.96			0.33				1.60				1.93				(0.31	)			(0.11	)			(0.42	)			14.47		15.15			0.83			0.65				2.37				112,377		43
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
Large-Cap Value Fund
2020(5)			13.74			0.12				(0.61	)			(0.49	)			(0.13	)			—				(0.13	)			13.12		(3.65	)		0.57			0.54				1.81				270,238		40
2019			16.61			0.30				(1.46	)			(1.16	)			(0.31	)			(1.40	)			(1.71	)			13.74		(6.97	)		0.59			0.54				2.01				224,930		67
2018			15.88			0.28				2.14				2.42				(0.24	)			(1.45	)			(1.69	)			16.61		15.83			0.67			0.64				1.64				287,685		54
2017(6)			14.16			0.22				1.83				2.05				(0.21	)			(0.12	)			(0.33	)			15.88		14.66			0.77			0.75				1.47				307,156		62
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
Large-Cap Growth Fund																																								��
2020(5)			18.15			0.06				0.15				0.21				(0.14	)			(0.79	)			(0.93	)			17.43		0.90			0.57			0.54				0.52				160,655		27
2019			21.17			0.18				(0.53	)			(0.35	)			(0.12	)			(2.55	)			(2.67	)			18.15		(0.40	)		0.59			0.54				0.75				168,838		89
2018			17.60			0.11				4.48				4.59				(0.02	)			(1.00	)			(1.02	)			21.17		27.19			0.67			0.64				0.56				279,227		57
2017			15.47			0.10				3.06				3.16				(0.13	)			(0.90	)			(1.03	)			17.60		21.63			0.78			0.75				0.65				278,436		75
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
Mid-Cap Value Fund
2020(5)			9.92			0.10				(0.41	)			(0.31	)			(0.16	)			—				(0.16	)			9.45		(3.29	)		1.01			0.99				1.67				78,452		21
2019			12.58			0.13				(1.32	)			(1.19	)			(0.14	)			(1.33	)			(1.47	)			9.92		(9.47	)		1.01			0.99				1.23				87,893		50
2018			11.89			0.13				1.18				1.31				(0.12	)			(0.50	)			(0.62	)			12.58		11.21			1.00			0.99				1.04				113,786		64
2017			14.38			0.08				1.27				1.35				(0.07	)			(3.77	)			(3.84	)			11.89		13.10			1.01			0.99				0.91				127,304		139
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
Mid-Cap Growth Fund
2020(5)			15.04			0.01				(0.10	)			(0.09	)			—				(1.82	)			(1.82	)			13.13		(1.51	)		1.05			0.99				0.08				73,146		27
2019			18.79			(0.02	)			(0.78	)			(0.80	)			—				(2.95	)			(2.95	)			15.04		(2.75	)		1.07			0.99				(0.16	)			74,575		61
2018			15.39			(0.03	)			4.42				4.39				—				(0.99	)			(0.99	)			18.79		29.76			1.06			0.99				(0.18	)			89,028		63
2017			16.76			0.03				2.19				2.22				(0.05	)			(3.54	)			(3.59	)			15.39		17.07			1.12			0.99				(0.07	)			94,464		157
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
Small-Cap Value Fund
2020(5)			11.60			0.06				(0.81	)			(0.75	)			(0.11	)			(0.05	)			(0.16	)			10.69		(6.66	)		1.13			0.99				0.89				40,264		38
2019			15.03			0.09				(2.47	)			(2.38	)			(0.09	)			(0.96	)			(1.05	)			11.60		(15.93	)		1.14			0.99				0.78				44,586		67
2018			13.47			0.07				2.61				2.68				—				(1.12	)			(1.12	)			15.03		20.67			1.16			0.99				0.49				56,848		70
2017(6)			13.37			0.04				1.41				1.45				(0.09	)			(1.26	)			(1.35	)			13.47		11.87			1.24			0.99				0.33				56,585		148
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

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

100

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Small-Cap Core Fund
2020(5)		$	11.46		$	0.01			$	(0.54	)		$	(0.53	)		$	(0.03	)		$	—			$	(0.03	)		$	10.90		(4.65	)%		1.72	%		0.90	%		0.20	%		$	12,502		36	%
2019			15.23			0.04				(2.65	)			(2.61	)			(0.01	)			(1.15	)			(1.16	)			11.46		(17.18	)		1.65			0.90			0.22				13,235		81
2018			13.30			0.03				2.74				2.77				(0.01	)			(0.83	)			(0.84	)			15.23		21.46			1.37			0.90			0.21				21,407		89
2017			11.64			0.01				1.89				1.90				(0.04	)			(0.20	)			(0.24	)			13.30		16.33			1.58			0.90			0.14				17,049		90
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
Small-Cap Growth Fund
2020(5)			16.10			0.01				0.17				0.18				—				(0.30	)			(0.30	)			15.98		0.97			1.04			0.99			0.08				65,056		33
2019			22.48			0.01				(3.64	)			(3.63	)			—				(2.75	)			(2.75	)			16.10		(15.92	)		1.05			0.99			(0.29	)			68,226		61
2018			19.00			(0.03	)			5.59				5.56				—				(2.08	)			(2.08	)			22.48		31.83			1.02			0.99			(0.21	)			99,311		80
2017			16.62			(0.14	)			2.52				2.38				—				—				—				19.00		14.32			1.02			1.02			(0.37	)			81,259		197
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
Global Low Volatility Equity Fund
2020(5)(7)			11.49			0.06				(0.51	)			(0.45	)			(0.36	)			(0.21	)			(0.57	)			10.47		(4.28	)		1.22			0.85			1.17				33,399		26
2019(7)			14.05			0.38				(0.19	)			0.19				(0.40	)			(2.35	)			(2.75	)			11.49		2.48			1.37			0.85			2.67				34,335		44
2018			13.20			0.30				1.05				1.35				(0.37	)			(0.13	)			(0.50	)			14.05		10.44			1.19			0.85			1.94				30,205		34
2017(7)			12.65			0.19				0.64				0.83				(0.20	)			(0.08	)			(0.28	)			13.20		6.76			1.27			0.85			1.98				48,221		74
2016(7)			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(7)			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
Disciplined International Equity Fund
2020(5)			10.03			0.11				(0.15	)			(0.04	)			(0.45	)			—				(0.45	)			9.54		(0.78	)		1.07			0.91			1.28				47,809		27
2019			10.96			0.34				(1.08	)			(0.74	)			(0.19	)			—				(0.19	)			10.03		(6.64	)		1.03			0.90			3.00				60,828		59
2018(7)			11.19			0.26				(0.25	)			0.01				(0.24	)			—				(0.24	)			10.96		0.05			1.03			0.90			2.33				77,339		52
2017(7)			9.58			0.25				1.64				1.89				(0.28	)			—				(0.28	)			11.19		20.30			1.14			0.90			2.13				72,239		77
2016(7)(8)			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
2020(5)(7)			12.84			0.12				(0.11	)			0.01				(0.37	)			—				(0.37	)			12.48		(0.10	)		0.94			0.94			1.04				410,577		10
2019(7)			13.18			0.33				(0.33	)			—				(0.34	)			—				(0.34	)			12.84		0.25			0.96			0.94			2.71				486,114		16
2018(7)			13.21			0.37				(0.06	)			0.31				(0.34	)			—				(0.34	)			13.18		2.34			0.96			0.94			2.41				485,053		20
2017(6)(7)			12.22			0.32				0.94				1.26				(0.27	)			—				(0.27	)			13.21		10.68			1.05			0.96			2.59				593,746		33
2016(7)			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(7)			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
LGM Emerging Markets Equity Fund
2020(5)(7)			14.82			0.20				(0.46	)			(0.26	)			(0.26	)			(0.08	)			(0.34	)			14.22		(1.88	)		1.20			1.15			2.49				273,838		14
2019(7)			15.99			0.22				(0.69	)			(0.47	)			(0.19	)			(0.51	)			(0.70	)			14.82		(2.76	)		1.25			1.15			1.65				286,159		24
2018(7)			15.97			0.19				(0.04	)			0.15				(0.13	)			—				(0.13	)			15.99		0.92			1.29			1.15			1.20				201,835		22
2017(6)(7)			14.08			0.15				1.84				1.99				(0.10	)			—				(0.10	)			15.97		14.36			1.38			1.15			1.04				157,581		40
2016(7)			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(7)			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
Alternative Strategies Fund
2020(5)			9.32			0.01				(0.57	)			(0.56	)			(0.05	)			—				(0.05	)			8.71		(6.01	)		2.24			1.45			0.23				36,801		33
2019			9.82			(0.05	)			(0.45	)			(0.50	)			—				—				—				9.32		(5.09	)		2.18	(9)		1.62	(9)		0.40				38,544		64
2018(7)			10.81			(0.05	)			(0.27	)			(0.32	)			—				(0.67	)(10)			(0.67	)			9.82		(3.31	)		2.79	(9)		2.08	(9)		(0.42	)			73,250		122
2017(7)			10.33			(0.09	)			0.57				0.48				—				—				—				10.81		4.65			3.40	(9)		2.70	(9)		(0.67	)			95,583		251
2016(7)			10.42			(0.05	)			0.07				0.02				(0.01	)			(0.10	)			(0.11	)			10.33		0.16			3.63	(9)		2.82	(9)		(0.75	)			109,128		279
2015(7)(11)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(9)		2.47	(9)		(1.11	)			34,261		119

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

101

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Ultra Short Tax-Free Fund
2020(5)		$	10.09		$	0.07		$	0.01			$	0.08			$	(0.07	)		$	0.00			$	(0.07	)		$	10.10		0.82	%		0.37	%		0.30	%		1.41	%		$	518,866		110	%
2019			10.06			0.17			0.03				0.20				(0.17	)			—				(0.17	)			10.09		1.98			0.37			0.30			1.66				541,859		155
2018			10.08			0.13			(0.01	)			0.12				(0.13	)			(0.01	)			(0.14	)			10.06		1.10			0.37			0.30			1.25				572,669		156
2017			10.07			0.10			0.02				0.12				(0.10	)			(0.01	)			(0.11	)			10.08		1.15			0.39			0.30			0.94				625,691		126
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
Short Tax-Free Fund
2020(5)			10.29			0.09			0.03				0.12				(0.09	)			—				(0.09	)			10.32		1.21			0.47			0.40			1.83				142,835		33
2019			10.14			0.19			0.15				0.34				(0.19	)			—				(0.19	)			10.29		3.35			0.47			0.40			1.83				156,128		94
2018			10.22			0.16			(0.08	)			0.08				(0.16	)			—				(0.16	)			10.14		0.77			0.48			0.40			1.56				182,022		95
2017			10.25			0.14			(0.03	)			0.11				(0.14	)			(0.00	)			(0.14	)			10.22		1.14			0.51			0.40			1.39				175,454		93
2016			10.20			0.13			0.07				0.20				(0.13	)			(0.02	)			(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
Short-Term Income Fund
2020(5)			9.47			0.12			0.06				0.18				(0.12	)			—				(0.12	)			9.53		1.86			0.44			0.35			2.38				260,316		22
2019			9.29			0.24			0.18				0.42				(0.24	)			—				(0.24	)			9.47		4.59			0.45			0.35			2.56				233,816		53
2018			9.40			0.20			(0.11	)			0.09				(0.20	)			—				(0.20	)			9.29		0.92			0.46			0.35			2.06				214,068		48
2017			9.42			0.17			(0.02	)			0.15				(0.17	)			—				(0.17	)			9.40		1.60			0.47			0.35			1.76				209,278		53
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
Intermediate Tax-Free Fund
2020(5)			11.59			0.16			0.17				0.33				(0.16	)			—				(0.16	)			11.76		2.92			0.30			0.30			2.85				1,538,644		19
2019			11.12			0.33			0.47				0.80				(0.33	)			—				(0.33	)			11.59		7.40			0.30			0.30			2.95				1,384,178		64
2018			11.37			0.32			(0.25	)			0.07				(0.32	)			—				(0.32	)			11.12		0.68			0.31			0.31			2.88				894,463		45
2017			11.60			0.31			(0.20	)			0.11				(0.31	)			(0.03	)			(0.34	)			11.37		1.11			0.32			0.32			2.79				631,658		44
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
Strategic Income Fund
2020(5)			9.45			0.22			0.01				0.23				(0.22	)			—				(0.22	)			9.46		2.43			0.68			0.55			4.60				6,249		14
2019			9.08			0.43			0.38				0.81				(0.44	)			—				(0.44	)			9.45		9.23			0.70			0.55			4.65				9,117		39
2018			9.44			0.40			(0.36	)			0.07				(0.43	)			—				(0.43	)			9.08		0.72			0.67			0.55			4.31				12,701		33
2017			9.42			0.27			0.06				0.33				(0.31	)			—				(0.31	)			9.44		3.58			0.65			0.55			2.68				21,550		65
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
Corporate Income Fund
2020(5)			13.64			0.23			0.33				0.56				(0.23	)			—				(0.23	)			13.97		4.13			0.40			0.40			3.35				264,695		11
2019			12.78			0.47			0.90				1.37				(0.47	)			(0.04	)			(0.51	)			13.64		11.07			0.42			0.42			3.68				236,955		37
2018			13.19			0.42			(0.39	)			0.03				(0.42	)			(0.02	)			(0.44	)			12.78		0.19			0.45			0.45			3.24				140,395		31
2017			13.15			0.37			0.15				0.52				(0.37	)			(0.11	)			(0.48	)			13.19		4.07			0.46			0.46			2.84				134,293		44
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
Core Plus Bond Fund
2020(5)			12.00			0.19			0.17				0.36				(0.19	)			—				(0.19	)			12.17		3.01			0.31			0.31			3.11				1,038,365		8
2019			11.40			0.40			0.60				1.00				(0.40	)			—				(0.40	)			12.00		8.99			0.33			0.33			3.48				945,420		51
2018			11.78			0.34			(0.37	)			(0.03	)			(0.34	)			(0.01	)			(0.35	)			11.40		(0.20	)		0.33			0.33			2.95				981,569		45
2017			11.89			0.31			(0.07	)			0.24				(0.31	)			(0.04	)			(0.35	)			11.78		2.08			0.34			0.34			2.62				975,051		34
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

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

102

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
High Yield Bond Fund
2020(5)		$	9.24		$	0.23		$	(0.22	)		$	0.01			$	(0.23	)		$	—			$	(0.23	)		$	9.02		0.12	%		1.98	%		0.65	%		5.03	%		$	9,956		20	%
2019			9.24			0.52			(0.00	)			0.52				(0.52	)			(0.00	)			(0.52	)			9.24		5.84			1.99			0.65			5.70				8,382		24
2018			9.57			0.50			(0.33	)			0.17				(0.50	)			—				(0.50	)			9.24		1.87			1.75			0.65			5.36				10,462		37
2017			9.49			0.52			0.08				0.60				(0.52	)			—				(0.52	)			9.57		6.53			1.17			0.65			5.50				12,303		47
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

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

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

(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 and overdraft expenses. Gross and net expense ratios, respectively, excluding interest expense and dividends on securities sold short and overdraft expenses are as follows:

(10) Includes distribution to shareholders for return of capital in the amount of $0.09 per share.

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

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

103

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																															Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Government Money Market Fund
2020(5)		$	1.00		$	0.01		$	—		$	0.01		$	(0.01	)		$	—			$	(0.01	)		$	1.00		0.79	%		0.25	%		0.20	%		1.59	%		$	2,422,282		—	%
2019			1.00			0.02			0.00			0.02			(0.02	)			(0.00	)			(0.02	)			1.00		2.14			0.25			0.20			2.13				2,384,545		—
2018			1.00			0.01			0.00			0.01			(0.01	)			—				(0.01	)			1.00		1.30			0.25			0.20			1.30				2,641,069		—
2017			1.00			0.00			0.00			0.00			0.00				0.00				0.00				1.00		0.45			0.25			0.20			0.45				2,269,361		—
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		—
Tax-Free Money Market Fund
2020(5)			1.00			0.01			—			0.01			(0.01	)			—				(0.01	)			1.00		0.55			0.31			0.20			1.11				275,965		—
2019			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		1.46			0.30			0.20			1.44				336,282		—
2018			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		1.05			0.31			0.20			1.07				305,424		—
2017			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.62			0.32			0.20			0.57				238,772		—
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		—
Prime Money Market Fund
2020(5)			1.00			0.01			—			0.01			(0.01	)			—				(0.01	)			1.00		0.87			0.26			0.20			1.74				252,867		—
2019			1.00			0.02			—			0.02			(0.02	)			—				(0.02	)			1.00		2.28			0.26			0.20			2.27				248,781		—
2018			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		1.50			0.27			0.20			1.52				268,487		—
2017			1.00			0.01			0.00			0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.67			0.28			0.20			0.61				166,338		—
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		—
Institutional Prime Money Market Fund
2020			1.0001			0.0087			—			0.0087			(0.0087	)			—				(0.0087	)			1.0001		0.87			0.27			0.20			1.75				576,402		—
2019			1.0001			0.0229			—			0.0229			(0.0229	)			—				(0.0229	)			1.0001		2.31			0.27			0.20			2.30				560,217		—
2018			1.0001			0.0153			0.00			0.0153			(0.0153	)			(0.00	)			(0.0153	)			1.0001		1.54			0.29			0.20			1.55				479,413		—
2017(6)			1.00			0.0074			0.0001			0.0075			(0.0074	)			(0.00	)			(0.0074	)			1.0001		0.75			0.30			0.20			0.74				400,203		—
2016(7)			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) Annualized for periods less than one year.

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

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

(4) 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 ratios.

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Effective October 3, 2016, the BMO Institutional Prime Money Market Fund switched the valuation method of its securities from amortized cost to reflecting changes in market values, thus allowing the Fund’s NAV to “float”. In connection with this change, the Fund’s per share NAV is now calculated to four decimals (e.g., $1.0000).

(7) 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—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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Large-Cap Value Fund
2020(5)		$	13.75		$	0.15			$	(0.63	)		$	(0.48	)		$	(0.14	)		$	—			$	(0.14	)		$	13.13		(3.67	)%		0.42	%		0.39	%		1.90	%		$	34,810		40	%
2019			16.62			0.31				(1.46	)			(1.15	)			(0.32	)			(1.40	)			(1.72	)			13.75		(6.80	)		0.45			0.39			2.15				53,513		67
2018			15.88			(0.48	)			2.94				2.46				(0.27	)			(1.45	)			(1.72	)			16.62		16.07			0.42			0.39			1.97				81,786		54
2017(6)			14.17			0.26				1.81				2.07				(0.24	)			(0.12	)			(0.36	)			15.88		14.75			0.62			0.60			1.64				1,479		62
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
2020(5)			18.20			0.06				0.15				0.21				(0.16	)			(0.79	)			(0.95	)			17.46		0.92			0.42			0.39			0.67				212,395		27
2019			21.21			0.13				(0.44	)			(0.31	)			(0.15	)			(2.55	)			(2.70	)			18.20		(0.22	)		0.43			0.39			0.94				226,978		89
2018			17.62			0.11				4.52				4.63				(0.04	)			(1.00	)			(1.04	)			21.21		27.36			0.43			0.40			0.87				60,971		57
2017			15.49			0.09				3.10				3.19				(0.16	)			(0.90	)			(1.06	)			17.62		21.83			0.63			0.60			0.75				2,852		75
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
2020(5)			9.93			0.11				(0.42	)			(0.31	)			(0.17	)			—				(0.17	)			9.45		(3.26	)		0.86			0.84			1.80				10,818		21
2019			12.60			0.17				(1.35	)			(1.18	)			(0.16	)			(1.33	)			(1.49	)			9.93		(9.37	)		0.86			0.84			1.37				13,957		50
2018			11.90			0.14				1.19				1.33				(0.13	)			(0.50	)			(0.63	)			12.60		11.41			0.83			0.83			1.24				31,173		64
2017			14.38			0.11				1.26				1.37				(0.08	)			(3.77	)			(3.85	)			11.90		13.31			0.86			0.84			1.05				14,714		139
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
Mid-Cap Growth Fund
2020(5)			15.19			0.02				(0.11	)			(0.09	)			—				(1.82	)			(1.82	)			13.28		(1.50	)		0.89			0.84			0.22				7,151		27
2019			18.91			0.02				(0.79	)			(0.77	)			—				(2.95	)			(2.95	)			15.19		(2.54	)		0.92			0.84			0.01				7,980		61
2018			15.46			0.00				4.44				4.44				—				(0.99	)			(0.99	)			18.91		29.96			0.88			0.84			—				23,005		63
2017			16.83			0.07				2.18				2.25				(0.08	)			(3.54	)			(3.62	)			15.46		17.22			0.97			0.84			(0.13	)			592		157
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
Small-Cap Value Fund
2020(5)			11.70			0.08				(0.82	)			(0.74	)			(0.11	)			(0.05	)			(0.16	)			10.80		(6.51	)		0.98			0.84			1.03				7,167		38
2019			15.13			0.12				(2.50	)			(2.38	)			(0.09	)			(0.96	)			(1.05	)			11.70		(15.81	)		1.00			0.84			0.91				8,108		67
2018			13.53			0.04				2.68				2.72				—				(1.12	)			(1.12	)			15.13		20.89			0.97			0.84			0.69				14,260		70
2017(6)			13.42			0.05				1.42				1.47				(0.10	)			(1.26	)			(1.36	)			13.53		12.05			1.09			0.84			0.37				2,653		148
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
Pyrford International Stock Fund
2020(5)(8)			12.86			0.12				(0.11	)			0.01				(0.39	)			—				(0.39	)			12.48		(0.10	)		0.79			0.79			1.18				204,805		10
2019(8)			13.20			0.34				(0.31	)			0.03				(0.37	)			—				(0.37	)			12.86		0.44			0.81			0.79			2.86				163,829		16
2018(8)			13.22			0.35				(0.01	)			0.34				(0.36	)			—				(0.36	)			13.20		2.55			0.81			0.79			3.32				155,368		20
2017(6)(8)			12.23			0.40				0.88				1.28				(0.29	)			—				(0.29	)			13.22		10.85			0.90			0.81			3.21				48,889		33
2016(8)			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(8)			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

(1) Annualized for periods less than one year.

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

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

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

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

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

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

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

105

February 29, 2020 (Unaudited)

Notes to Financial Statements

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940 (the “Act”), as amended, as an open-end management investment company. As of February 29, 2020, the Corporation consisted of 31 portfolios, including 26 diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, 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.

Funds	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.
Alternative Strategies Fund (1)	December 16, 2014	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.
Strategic Income Fund	December 13, 1992	To maximize total return consistent with current income.
Corporate Income Fund (2)	December 22, 2008	To maximize total return consistent with current income.
Core Plus Bond Fund (3)	December 22, 2008	To maximize total return consistent with current income.
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) Formerly BMO TCH Corporate Income Fund.

(3) Formerly BMO TCH Core Plus Bond Fund.

2. Significant Accounting Policies

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

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

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange, including NASDAQ. Securities listed on a foreign exchange are valued each trading day at the last closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price

106

BMO Funds

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 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 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 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.

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 except in the case of certain foreign securities, for which dividends are recorded as soon after the ex-dividend date as the Funds’ information agents become aware of such dividends. Non-cash dividends included in dividend income, if any, are recorded at fair value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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.

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 effect of changes in foreign exchange rates on realized and unrealized gains or losses on securities is reflected as a component of such gains or losses.

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.

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.

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.

107

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.

Total Return Basket Swaps—Certain Funds may enter into total return basket swap agreements to obtain exposure to a portfolio of long and/or short securities. Under the terms of the agreements, the swaps are designed to model a portfolio of direct investments of long and short equity positions. The value of the swap represents the accumulated value of the underlying long and short positions within the model portfolio at period end. The swap value will reflect all of the economic benefits and risks equivalent to direct investments in these positions such as: capital appreciation/depreciation, corporate actions, dividends, and interest. The swap value also includes finance charges and credits, primarily associated with short positions, that are based on defined market rates plus or minus a specified spread and accrued monthly. All positions within the swap are reset periodically. During a reset, the Funds have the ability to increase, reduce, add, or eliminate long and short positions within the swap, any realized gains (losses) from positions, income, proceeds from corporate actions, and accrued financing costs affect the periodic cash settlement between the Funds and the swap counterparty and are included in the swap value in net cash and other receivables (payables). Cash settlement in and out of the swap may occur at a reset date, or any other date, at the discretion of the Funds and the counterparty over the life of the agreement. A change in the market value of a swap contract is recognized as net change in unrealized appreciation/depreciation on swap contracts in the Statements of Operations. Cash settlements between a Fund and the counterparty are recognized as net realized gain

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(loss) from expiration or closing of swap contracts in the Statements of Operations. Total return basket swap contracts outstanding at period end, if any, are listed after each Fund’s Schedule of Investments and include the list of security positions within the current model portfolio of the swap.

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.

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.

Money Market Funds—Rule 2a-7 under the Act effectively includes three categories of money market funds: “Government,” “Retail,” and “Institutional.” The BMO Government Money Market Fund operates as a Government money market fund. The BMO Tax-Free Money Market Fund and BMO Prime Money Market Fund operate as Retail money market funds. The BMO Institutional Prime Money Market Fund operates as an Institutional money market fund. Each money market fund is operated to comply with the various requirements of Rule 2a-7.

As a Government money market fund, the BMO Government Money Market Fund invests at least 99.5% of its total assets in U.S. government securities, cash, and/or repurchase agreements that are collateralized fully (as defined in Rule 2a-7 under the Act). As Retail money market funds, BMO Tax-Free Money Market Fund and BMO Prime Money Market Fund have adopted policies and procedures reasonably designed to limit investments in the Fund to accounts beneficially owned by natural persons. Each Government and Retail money market fund uses the amortized cost method of valuing portfolio instruments, which approximates fair value, and seeks to transact shares at a stable $1.00 NAV per share.

As an Institutional money market fund, BMO Institutional Prime Money Market Fund operates with a floating NAV reflecting the current market-based values of its portfolio securities, except as otherwise generally permitted for securities with remaining maturities of 60 days or less, which generally are valued at amortized cost. BMO Institutional Prime Money Market Fund also is required to round its NAV to four decimal places (e.g., $1.0000).

The Institutional and Retail money market funds have adopted policies and procedures imposing a fee upon the sale of shares (“Liquidity Fee”) or temporarily suspending the ability to sell shares if the Fund’s liquidity falls below designated thresholds (“Redemption Gate”). The Board of Directors has chosen not to subject the BMO Government Money Market Fund to a Liquidity Fee or a Redemption Gate, and may do so in the future only with advance notice to shareholders.

Redemption Fees—The International Funds impose a 2% redemption fee on 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.

109

Notes to Financial Statements (continued)

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of February 29, 2020:

Description	Value
BMO Institutional Prime Money Market Fund—Premier Class, 1.550%	$	42,922,652

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of February 29, 2020(1):

Description	Value
Atlantic Asset Securitization LLC, 1.807%, 5/14/2020(2)	$	4,981,500
Bank of Nova Scotia, 1.810%, 6/18/2020(2)		5,000,000
Bank of Nova Scotia, 1.890%, 5/08/2020(2)		3,501,092
Bank of Nova Scotia, 1.939%, 2/16/2021(2)		3,599,980
Bank of Nova Scotia, 1.940%, 9/03/2020(2)		3,754,897
Bedford Row Funding Corp., 1.817% (LIBOR 1 Month + 19 Basis point), 6/25/2020(3)		5,000,000
BlackRock Liquidity Funds FedFund Portfolio, 1.562%, 3/02/2020		9,469,276
BMO Government Money Market Fund, 1.217%, 3/02/2020(4)		28,000,000
BMO Institutional Prime Money Market Fund, 1.528%, 3/02/2020(4)		310,031,000
Canadian Imperial Bank of Commerce/New York NY, 1.980%, 10/09/2020(2)		3,506,054
Collateralized Commercial Paper Co. LLC, 1.817% (LIBOR 3 Month + 11 Basis point), 8/13/2020(3)		4,500,000
Collateralized Commercial Paper Co. LLC, 1.824% (LIBOR 3 Month + 5 Basis point), 10/23/2020(3)		3,500,000
Credit Agricole Corp. & Investment Bank, 1.830%, 2/03/2021(2)		3,750,000
Credit Suisse AG-New York Branch, 1.960%, 4/28/2020(2)		3,751,747
Credit Suisse AG-New York Branch, 1.960%, 5/04/2020(2)		5,002,525
Credit Suisse AG-New York Branch, 2.013% (LIBOR 3 Month + 25 Basis point), 11/02/2020(3)		3,755,250
Credit Suisse New York Branch, 1.960%, 3/06/2020(2)		5,500,396
Glencove Funding DAC, 1.681% (LIBOR 1 Week + 10 Basis point), 4/09/2020(3)		15,000,000
Glencove Funding DAC, 1.693% (LIBOR 1 Week + 10 Basis point), 9/16/2020(3)		6,500,000
Goldman Sachs, 1.830%, 6/25/2020(2)		5,201,293
HSBC Bank USA NA, 1.888% (LIBOR 1 Month + 22 Basis point), 3/05/2020(3)		3,750,191
HSBC Bank USA NA, 1.895% (LIBOR 1 Month + 23 Basis point), 3/11/2020(3)		3,500,368
JP Morgan Securities LLC, 1.931% (LIBOR 1 Month + 26 Basis point), 3/10/2020(3)		3,500,000
JP Morgan Securities LLC, 2.094% (LIBOR 3 Month + 22 Basis point), 10/07/2020(3)		3,750,000
Liberty Street Funding LLC, 1.816%, 5/06/2020(2)		3,488,386
LMA Americas LLC, 1.903%, 4/02/2020(2)		7,237,756
LMA Americas LLC, 1.904%, 4/06/2020(2)		5,489,550
LMA Americas LLC, 1.953%, 3/25/2020(2)		5,492,850
LMA Americas LLC, 2.041%, 3/10/2020(2)		3,748,088
Longship FDG DAC, 1.600%, 3/05/2020(2)		4,999,111
Macquarie Bank Ltd., 1.900%, 3/03/2020(2)		3,499,631
Manhattan Asset FDG Co LLC, 1.601%, 3/20/2020(2)		3,497,044
Manhattan Asset FDG Co LLC, 1.641%, 3/18/2020(2)		3,497,289
Manhattan Asset FDG Co LLC, 1.650%, 3/03/2020(2)		5,499,496
Mizuho Bank Ltd., 1.770% (LIBOR 1 Month + 10 Basis point), 9/08/2020(3)		3,501,169

Description	Value
Mizuho Bank Ltd., 1.820% (LIBOR 1 Month + 17 Basis point), 8/14/2020(3)	$	3,502,331
Mizuho Bank Ltd., 1.926% (LIBOR 1 Month + 26 Basis point), 5/06/2020(3)		5,002,455
Mizuho Bank Ltd., 1.940%, 4/24/2020(2)		5,003,300
Natixis S.A., 1.826%, 3/12/2020(2)		3,500,340
Natixis S.A., 1.933% (LIBOR 1 Month + 26 Basis point), 5/15/2020(3)		3,502,142
Norinchukin Bank, 1.940%, 4/29/2020(2)		3,753,172
Old Line Funding LLC, 1.815% (LIBOR 1 Month + 16 Basis point), 4/01/2020(3)		4,000,000
Old Line Funding LLC, 1.992% (LIBOR 3 Month + 10 Basis point), 9/09/2020(3)		3,750,000
Regency Markets No 1 LLC, 1.612%, 3/25/2020(2)		3,995,707
Regency Markets No 1 LLC, 1.636%, 3/09/2020(2)		8,513,905
Regency Markets No 1 LLC, 1.651%, 3/16/2020(2)		6,495,531
Royal Bank of Canada, 1.840%, 6/08/2020(2)		4,000,000
Royal Bank of Canada, 1.901%, 3/13/2020(2)		3,250,238
Sheffield Receivables Co. LLC, 1.662%, 3/30/2020(2)		3,495,320
Sheffield Receivables Co. LLC, 1.940%, 6/02/2020(2)		4,975,071
Sheffield Receivables Co. LLC, 1.980%, 4/16/2020(2)		4,502,083
Skandinaviska Enskilda Banken AB, 1.894% (LIBOR 3 Month + 7 Basis point), 10/09/2020(3)		5,001,788
Skandinaviska Enskilda Banken AB, 1.995%, 1/04/2021(2)		3,501,458
Skandinaviska Enskilda Banken AB, 2.059% (LIBOR 3 Month + 15 Basis point), 10/02/2020(3)		4,754,123
Starbird Funding Corp., 1.887% (LIBOR 1 Month + 26 Basis point), 3/25/2020(3)		5,000,000
Starbird Funding Corp., 1.946% (LIBOR 1 Month + 28 Basis point), 4/06/2020(3)		3,500,000
Sumitomo Mitsui Banking Corp., 1.899% (LIBOR 1 Month + 27 Basis point), 4/24/2020(3)		3,751,624
Sumitomo Mitsui Banking Corp., 1.912% (LIBOR 1 Month + 25 Basis point), 3/04/2020(3)		6,250,287
Sumitomo Mitsui Banking Corp., 1.993%, 8/20/2020(2)		5,009,744
Svenska Handelsbanken AB, 1.863%, 1/04/2021(2)		3,504,851
Thunder Bay Funding LLC, 1.921% (LIBOR 1 Month + 25 Basis point), 6/08/2020(3)		9,000,000
Toronto-Dominion Bank, 1.850%, 6/15/2020(2)		5,000,000
Toronto-Dominion Bank, 2.000%, 9/30/2020(2)		3,750,135
Toyota Motor Credit Corp., 1.745% (LIBOR 3 Month + 5 Basis point), 11/13/2020(3)		3,750,000
Toyota Motor Credit Corp., 1.783% (LIBOR 3 Month + 10 Basis point), 8/18/2020(3)		5,000,000
Toyota Motor Credit Corp., 1.838% (LIBOR 1 Month + 18 Basis point), 4/09/2020(3)		5,500,000
Victory Receivables Corp., 1.802%, 3/18/2020(2)		3,097,365
Westpac Banking Corp., 1.920%, 8/14/2020(2)		3,503,919
Other(2)		(84,332	)
Total	$	647,788,496

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

(3) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2020.

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

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BMO Funds

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986 (the “Code”), as amended, and distribution to shareholders each year of substantially all of their income. Accordingly, no provision 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.

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 a significant decrease occurs in the trade volume and/or frequency for an asset, when a transaction is not orderly, and how that information must be incorporated into fair value measurement.

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820) — Disclosures Framework — Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 effective with the current reporting period as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

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 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.

For the period ended February 29, 2020, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy.

The following is a summary of the inputs used, as of February 29, 2020, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	263,910,727	$	—	$	—	$	263,910,727
Short-Term Investments		12,497,892		49,729,451		—		62,227,343
Total	$	276,408,619	$	49,729,451	$	—	$	326,138,070
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	285,291,021	$	—	$	—	$	285,291,021
Short-Term Investments		6,050,495		63,732,746		—		69,783,241
Total	$	291,341,516	$	63,732,746	$	—	$	355,074,262

	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	314,023,884	$	—	$	—	$	314,023,884
Short-Term Investments		6,315,640		75,555,943		—		81,871,583
Total	$	320,339,524	$	75,555,943	$	—	$	395,895,467
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	417,287,223	$	—	$	—	$	417,287,223
Short-Term Investments		11,899,190		65,262,013		—		77,161,203
Total	$	429,186,413	$	65,262,013	$	—	$	494,448,426

111

Notes to Financial Statements (continued)

	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)		$120,365,092	$	—	$	—	$	120,365,092
Short-Term Investments		1,385,866		30,444,460		—		31,830,326
Total	$	121,750,958	$	30,444,460	$	—	$	152,195,418
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	91,453,044	$	—	$	—	$	91,453,044
Short-Term Investments		1,113,622		33,461,108		—		34,574,730
Total	$	92,566,666	$	33,461,108	$	—	$	126,027,774
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	48,890,074	$	—	$	—	$	48,890,074
Short-Term Investments		850,385		16,668,243		—		17,518,628
Total	$	49,740,459	$	16,668,243	$	—	$	66,408,702
	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	12,825,959	$	—	$	—	$	12,825,959
Short-Term Investments		386,326		5,985,469		—		6,371,795
Total	$	13,212,285	$	5,985,469	$	—	$	25,167,384
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	91,129,680	$	—	$	—	$	91,129,680
Short-Term Investments		1,428,856		37,272,087		—		38,700,943
Total	$	92,558,536	$	37,272,087	$	—	$	167,004,082
	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	68,155	$	—	$	—	$	68,155
Belgium		—		230,424		—		230,424
Bermuda		305,114		—		—		305,114
Brazil		335,409		—		—		335,409
Canada		3,289,834		—		—		3,289,834
China		—		355,747		—		355,747
Czech Republic		—		632,785		—		632,785
Germany		—		314,423		—		314,423
Hong Kong		—		2,285,774		—		2,285,774
Hungary		—		88,670		—		88,670
Israel		—		562,723		—		562,723
Italy		—		1,520,655		—		1,520,655
Japan		—		4,769,548		—		4,769,548
Malaysia		—		772,319		—		772,319
Mexico		413,255		—		—		413,255
Netherlands		—		692,112		—		692,112
New Zealand		—		1,308,954		—		1,308,954
Philippines		—		1,144,097		—		1,144,097
Portugal		—		107,000		—		107,000
Singapore		—		1,346,873		—		1,346,873
South Africa		—		342,198		—		342,198
Spain		—		256,710		—		256,710
Switzerland		—		323,313		—		323,313
Taiwan		—		1,558,280		—		1,558,280
United Kingdom		—		279,459		—		279,459
United States		9,886,156		—		—		9,886,156
Short-Term Investments		174,793		—		—		174,793
Total	$	14,472,716	$	18,892,064	$	—	$	33,364,780

	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	4,821,321	$	—	$	4,821,321
Denmark		—		2,636,442		—		2,636,442
Finland		—		1,070,210		—		1,070,210
France		—		3,689,614		—		3,689,614
Germany		—		2,567,569		—		2,567,569
Hong Kong		—		1,279,069		—		1,279,069
Israel		—		686,181		—		686,181
Italy		144,590		2,818,854		—		2,963,444
Japan		—		10,082,996		—		10,082,996
Netherlands		692,872		2,204,448		—		2,897,320
Norway		—		767,897		—		767,897
Singapore		—		1,888,553		—		1,888,553
Spain		—		780,710		—		780,710
Sweden		—		413,320		—		413,320
Switzerland		889,195		4,061,598		—		4,950,793
United Kingdom		—		5,233,135		—		5,233,135
Limited Partnership Units
Germany		—		230,211		—		230,211
Short-Term Investments		1,180,806		—		—		1,180,806
Total	$	2,907,463	$	45,232,128	$	—	$	48,139,591
	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	66,699,377	$	—	$	66,699,377
Finland		—		19,574,897		—		19,574,897
France		—		57,199,558		—		57,199,558
Germany		—		41,731,866		—		41,731,866
Hong Kong		—		30,127,059		—		30,127,059
Japan		—		70,277,364		—		70,277,364
Malaysia		—		18,383,246		—		18,383,246
Netherlands		—		19,432,377		—		19,432,377
Norway		—		10,230,398		—		10,230,398
Singapore		—		30,365,694		—		30,365,694
Sweden		—		15,443,312		—		15,443,312
Switzerland		—		86,699,624		—		86,699,624
Taiwan		—		23,391,712		—		23,391,712
United Kingdom		—		87,599,473		—		87,599,473
Preferred Stocks
Germany		—		11,950,045		—		11,950,045
Short-Term Investments		53,929,975		—		—		53,929,975
Total	$	53,929,975	$	589,106,002	$	—	$	643,035,977
	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Brazil	$	8,185,664	$	—	$	—	$	8,185,664
Cayman Islands		—		7,295,227		—		7,295,227
Chile		2,430,520		—		—		2,430,520
China		7,772,418		41,230,701		—		49,003,119
Egypt		—		12,265,078		—		12,265,078
Hong Kong		—		18,777,733		—		18,777,733
India		—		45,934,333		—		45,934,333
Indonesia		—		16,358,796		—		16,358,796
Jersey		—		5,800,812		—		5,800,812
Malaysia		—		3,812,648		—		3,812,648
Mexico		15,903,325		—		—		15,903,325
Netherlands		—		6,295,513		—		6,295,513
Nigeria		—		3,144,755		—		3,144,755
Peru		3,764,253		—		—		3,764,253
Philippines		—		8,323,903		—		8,323,903
Russia		—		11,903,927		—		11,903,927
South Africa		—		22,080,867		—		22,080,867
Thailand		2,618,977		—		—		2,618,977
United States		8,470,988		—		—		8,470,988
Vietnam		—		6,148,346		—		6,148,346
Common Stock Units		7,922,664		—		—		7,922,664
Short-Term Investments		24,994,405		—		—		24,994,405
Total	$	82,063,214	$	209,372,639	$	—	$	291,435,853

112

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	Alternative Strategies Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	338,692	$	—	$	338,692
Bermuda		130,178		—		—		130,178
Canada		959,884		—		—		959,884
Cayman Islands		—		31,071		—		31,071
China		—		22,153		—		22,153
Denmark		—		331,515		—		331,515
France		—		85,092		—		85,092
Germany		—		12,886		—		12,886
Hong Kong		—		269,095		—		269,095
Indonesia		—		164,559		—		164,559
Italy		—		459,365		—		459,365
Japan		—		721,136		—		721,136
Malaysia		—		17,615		—		17,615
Netherlands		—		186,816		—		186,816
New Zealand		—		309,073		—		309,073
Norway		—		68,322		—		68,322
Poland		—		66,999		—		66,999
Singapore		—		304,876		—		304,876
South Korea		—		321,922		—		321,922
Sweden		—		30,129		—		30,129
Switzerland		—		268,184		—		268,184
Taiwan		—		268,975		—		268,975
Trinidad		—		10,221		—		10,221
United Kingdom		—		571,814		—		571,814
United States		3,085,303		—		—		3,085,303
Limited Partnership Units		—		37,762		—		37,762
Short-Term Investments		24,274,768		—		—		24,274,768
Total	$	28,450,133	$	4,898,272	$	—	$	33,348,405
	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	6,000,000	$	540,774,663	$	—	$	546,774,663
Repurchase Agreements		—		166,899		—		166,899
Short-Term Investments		—		5,000,000		—		5,000,000
Total	$	6,000,000	$	545,941,562	$	—	$	551,941,562
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	500,000	$	145,164,365	$	—	$	145,664,365
Repurchase Agreements		—		200,705		—		200,705
Total	$	500,000	$	145,365,070	$	—	$	145,865,070
	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	52,767,555	$	—	$	52,767,555
Collateralized Mortgage Obligations		—		17,072,492		—		17,072,492
Commercial Mortgage Securities		—		13,177,154		—		13,177,154
Corporate Bonds & Notes		—		126,418,748		—		126,418,748
U.S. Government & U.S. Government Agency Obligations		—		28,115,663		—		28,115,663
U.S. Government Agency-Mortgage Securities		—		3,452,547		—		3,452,547
Short-Term Investments		12,255,775		58,201,000		—		70,456,775
Total	$	12,255,775	$	299,205,159	$	—	$	311,460,934

	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	3,500,000	$	2,069,666,004	$	—	$	2,073,166,004
Repurchase Agreements		—		175,652		—		175,652
Total	$	3,500,000	$	2,069,841,656	$	—	$	2,073,341,656
	Strategic Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	163,584	$	—	$	163,584
Collateralized Mortgage Obligations		—		7,836,367		—		7,836,367
Commercial Mortgage Securities		—		2,182,636		—		2,182,636
Corporate Bonds & Notes		—		55,015,727		—		55,015,727
U.S. Government Agency-Mortgage Securities		—		5,749,923		—		5,749,923
Short-Term Investments		395,311		15,654,671		—		16,049,982
Total	$	395,311	$	86,602,908	$	—	$	86,998,219
	Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	357,675,917	$	—	$	357,675,917
Municipals		—		509,415		—		509,415
Short-Term Investments		23,821,125		83,325,574		—		107,146,699
Total	$	23,821,125	$	441,510,906	$	—	$	465,332,031
	Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	17,507,730	$	—	$	17,507,730
Collateralized Mortgage Obligations		—		43,733,689		—		43,733,689
Commercial Mortgage Securities		—		55,840,076		—		55,840,076
Corporate Bonds & Notes		—		385,341,624		—		385,341,624
Municipals		—		305,649		—		305,649
U.S. Government & U.S. Government Agency Obligations		—		291,141,292		—		291,141,292
U.S. Government Agency-Mortgage Securities		—		306,325,803		—		306,325,803
Short-Term Investments		19,960,085		142,554,344		—		162,514,429
Total	$	19,960,085	$	1,242,750,207	$	—	$	1,262,710,292
	High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	10,161,745	$	—	$	10,161,745
Short-Term Investments		357,708		2,670,259		—		3,027,967
Total	$	357,708	$	12,832,004	$	—	$	13,189,712

113

Notes to Financial Statements (continued)

	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	—	$	126,042,444	$	—	$	126,042,444
Repurchase Agreements		—		1,388,317,875		—		1,388,317,875
U.S. Government & U.S. Government Agency Obligations		—		725,609,918		—		725,609,918
U.S. Government Agency-Mortgage Securities		—		762,663,601		—		762,663,601
U.S. Treasury Bills		—		80,993,235		—		80,993,235
Total	$	—	$	3,083,627,073	$	—	$	3,083,627,073
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	315,122,098	$	—	$	315,122,098
Mutual Funds		—		7,416,607		—		7,416,607
Total	$	—	$	322,538,705	$	—	$	322,538,705
	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	104,070,224	$	—	$	104,070,224
Commercial Paper		—		289,788,660		—		289,788,660
Municipals		—		6,880,000		—		6,880,000
Mutual Funds		—		21,119,821		—		21,119,821
Repurchase Agreements		—		48,087,209		—		48,087,209
Total	$	—	$	469,945,914	$	—	$	469,945,914
	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	114,392,916	$	—	$	114,392,916
Commercial Paper		—		363,394,479		—		363,394,479
Municipals		—		5,000,000		—		5,000,000
Mutual Funds		—		20,824,691		—		20,824,691
Repurchase Agreements		—		75,000,000		—		75,000,000
Total	$	—	$	578,612,086	$	—	$	578,612,086

(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 investments not reflected in the Schedules of Investments, such as futures contracts, forwards contracts and swap agreements. Amounts below are the unrealized appreciation (depreciation) on these investments.

	Unrealized Appreciation/Depreciation On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund:
Long Futures Contracts	$	(557,809	)	$	—		$	—	$	(557,809	)
Short Futures Contracts		114,955			—			—		114,955
Total Futures Contracts	$	(442,854	)	$	—		$	—	$	(442,854	)
Long Forward Contracts	$	—		$	560,678		$	—	$	560,678
Short Forward Contracts		—			(580,442	)		—		(580,442	)
Total Forward Contracts	$	—		$	(19,764	)	$	—	$	(19,764	)
	Unrealized Appreciation/Depreciation On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Total Return Swap Agreements	$	—		$	(70,820	)	$	—	$	(70,820	)

It is the Funds’ policy to recognize transfers between category levels at the end of the period. As described in Note 2, the Funds’ have retained an independent pricing service to fair value foreign equity securities for events occurring after the close of the market in which the security is principally traded. There were no transfers between categorization levels at the end of this period.

4. Derivative Holdings and Activity Detail

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the period ended February 29, 2020, certain strategies within the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

During the period ended February 29, 2020, the Alternative Strategies Fund had average quarterly contracts or notional values outstanding:

Average Quarterly Contracts		Average Quarterly Notional Values		Long Total Return Swaps	Short Total Return Swaps
Long Futures	Short Futures	Long Forwards	Short Forwards
411	37	$25,029,272	$19,178,864	$7,976,181	$11,485,320

114

BMO Funds

The effects of these derivative instruments on the Alternative Strategies 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 29, 2020 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 Appreciation (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	500,414
Payables for daily variation margin		(24,957	)
Net		475,457		$	86,656		$	344,324
Equity futures contracts:
Receivables for daily variation margin		139,912
Payables for daily variation margin		(1,058,223	)
Net		(918,311	)		244,819			(956,592	)
Total receivables for interest rate and equity futures contracts		640,326
Total payables for interest rate and equity futures contracts		(1,083,180	)
Net	$	(442,854	)	$	331,475		$	(612,268	)
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	598,238
Payables for forward foreign exchange contracts		(618,002	)
Net	$	(19,764	)	$	(75,797	)	$	(154,322	)
Equity total return swap contracts:
Receivables for swap contracts	$	1,388,720
Payable for swap contracts		(1,459,540	)
Net	$	(70,820	)	$	(1,594,316	)	$	80,330

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of February 29, 2020, master netting arrangements exist for swap contracts in 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		Swaps		Forward Currency Contracts			Futures Contracts		Swaps						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank of America Merrill Lynch (OTC)	$	379,850	$	—	$	—	$	(434,893	)	$	—	$	—		$	(55,043	)	$	—	$	—	$	(55,043	)
Bank of Montreal (OTC)		—		—		—		(13,173	)		—		—			(13,173	)		—		—		(13,173	)
Barclays Bank PLC (OTC)		43,343		—		—		(984	)		—		—			42,359			—		—		42,359
BNP Paribas, N.A. (OTC)		47,862		—		—		(27,625	)		—		—			20,237			—		—		20,237
Canadian Imperial Bank of Commerce (OTC)		440		—		—		—			—		—			440			—		—		440
Citigroup Global Market, Ltd. (OTC)		2,176		—		—		—			—		—			2,176			—		—		2,176
HSBC Bank (USA) (OTC)		—		—		—		(53,121	)		—		—			(53,121	)		—		—		(53,121	)
Royal Bank of Canada (UK) (OTC)		—		—		—		(6,957	)		—		—			(6,957	)		—		—		(6,957	)
Societe Generale (OTC)		13,879		—		—		—			—		—			13,879			—		—		13,879
Westpac Banking Corporation (OTC)		110,688		—		—		(81,249	)		—		—			29,439			—		—		29,439
JPMorgan Chase & Co.		—		—		1,388,720		—			—		(1,459,540	)		(70,820	)		—		70,820		—

(1) Collateral pledged may exceed amount of liability balance.

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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
	Six Months Ended February 29, 2020 (Unaudited)				Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—			$	—		$	—		$	—
Advisor class of shares		21,157,319				9,668,503			718,475			12,698,198
Institutional class of shares		111,513,267				115,023,562			36,643,974			222,394,639
Retirement class R-6 of shares		—				—			—			—
Net proceeds from sale of shares		132,670,586				124,692,065			37,362,449			235,092,837
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—				—			—			—
Advisor class of shares		1,120,152				2,438,172			176,034			543,537
Institutional class of shares		5,495,304				10,010,513			3,364,423			11,190,903
Retirement class R-6 of shares		—				—			—			—
Net proceeds from shares issued:		6,615,456				12,448,685			3,540,457			11,734,440
Cost of shares redeemed:
Investor class of shares		—				—			—			—
Advisor class of shares		(10,052,957	)			(9,069,238	)		(2,841,995	)		(3,157,993	)
Institutional class of shares		(50,232,711	)			(50,564,468	)		(48,211,654	)		(70,626,503	)
Retirement class R-6 of shares		—				—			—			—
Net cost of shares redeemed		(60,285,668	)			(59,633,706	)		(51,053,649	)		(73,784,496	)
Redemption fees		—				—			—			—
Net change resulting from fund share transactions in dollars	$	79,000,374			$	77,507,044		$	(10,150,743	)	$	173,042,781
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—				—			—			—
Advisor class of shares		1,341,840				641,978			48,522			890,265
Institutional class of shares		7,041,375				7,766,860			2,466,759			15,839,792
Retirement class R-6 of shares		—				—			—			—
Net sale of shares		8,383,215				8,408,838			2,515,281			16,730,057
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—				—			—			—
Advisor class of shares		71,866				171,813			11,862			38,845
Institutional class of shares		351,001				700,704			227,925			803,639
Retirement class R-6 of shares		—				—			—			—
Net shares issued		422,867				872,517			239,787			842,484
Shares redeemed:
Investor class of shares		—				—			—			—
Advisor class of shares		(631,822	)			(606,674	)		(187,950	)		(227,462	)
Institutional class of shares		(3,145,992	)			(3,387,527	)		(3,252,488	)		(5,024,544	)
Retirement class R-6 of shares		—		��		—			—			—
Net shares redeemed		(3,777,814	)			(3,994,201	)		(3,440,438	)		(5,252,006	)
Net change resulting from fund share transactions in shares		5,028,268				5,287,154			(685,370	)		12,320,535

117

BMO Funds

Large-Cap Value Fund						Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	—		$	—		$	1,118,412		$	5,143,147		$	—		$	—		$	—		$	—
	395,228			702,179			17,235			754,845			621,139			1,384,665			313,528			805,182
	100,870,147			44,351,441			17,114,665			66,582,901			6,920,370			11,581,825			6,808,010			8,697,238
	9,803,012			21,893,752			19,511,246			216,486,685			529,818			7,761,178			291,537			6,575,320
	111,068,387			66,947,372			37,761,558			288,967,578			8,071,327			20,727,668			7,413,075			16,077,740
	—			—			2,703,872			7,903,690			—			—			—			—
	140,652			2,194,121			29,377			116,339			445,269			5,843,113			1,745,071			2,598,569
	2,230,958			28,839,817			6,990,904			31,915,301			1,285,239			12,747,841			9,036,497			12,929,680
	529,860			8,385,292			11,948,943			9,011,688			215,944			3,943,242			919,723			3,595,774
	2,901,470			39,419,230			21,673,096			48,947,018			1,946,452			22,534,196			11,701,291			19,124,023
	—			—			(4,782,188	)		(10,901,192	)		—			—			—			—
	(1,802,231	)		(3,014,034	)		(102,818	)		(859,315	)		(6,268,081	)		(12,282,708	)		(1,946,092	)		(2,413,973	)
	(42,922,485	)		(81,627,562	)		(25,904,670	)		(169,560,029	)		(14,129,449	)		(26,636,484	)		(7,152,785	)		(20,445,365	)
	(29,225,660	)		(45,115,132	)		(38,835,339	)		(53,953,905	)		(3,507,287	)		(22,367,984	)		(1,058,544	)		(20,814,797	)
	(73,950,376	)		(129,756,728	)		(69,625,015	)		(235,274,441	)		(23,904,817	)		(61,287,176	)		(10,157,421	)		(43,674,135	)
	—			—			—			—			50			—			—			—
$	40,019,481		$	(23,390,126	)	$	(10,190,361	)	$	102,640,155		$	(13,886,988	)	$	(18,025,312	)	$	8,956,945		$	(8,472,372	)
	—			—			60,269			285,200			—			—			—			—
	27,360			48,101			929			39,698			58,057			130,653			22,255			54,552
	7,029,994			3,087,120			913,967			3,686,092			656,536			1,120,182			455,197			568,485
	690,169			1,551,696			1,042,691			12,113,349			50,530			720,902			19,467			440,599
	7,747,523			4,686,917			2,017,856			16,124,339			765,123			1,971,737			496,919			1,063,636
	—			—			149,965			481,932			—			—			—			—
	9,780			158,402			1,631			7,102			41,809			581,404			131,406			200,507
	154,688			2,079,204			384,116			1,928,417			121,709			1,278,620			636,821			943,084
	36,773			603,955			655,455			543,856			20,449			395,511			64,092			260,186
	201,241			2,841,561			1,191,167			2,961,307			183,967			2,255,535			832,319			1,403,777
	—			—			(257,402	)		(626,865	)		—			—			—			—
	(124,930	)		(211,798	)		(5,611	)		(48,183	)		(587,551	)		(1,165,342	)		(139,433	)		(165,917	)
	(2,949,467	)		(6,116,012	)		(1,381,358	)		(9,504,674	)		(1,332,607	)		(2,584,495	)		(477,505	)		(1,291,903	)
	(1,966,306	)		(3,186,393	)		(2,008,913	)		(3,058,871	)		(331,598	)		(2,186,144	)		(70,559	)		(1,391,659	)
	(5,040,703	)		(9,514,203	)		(3,653,284	)		(13,238,593	)		(2,251,756	)		(5,935,981	)		(687,497	)		(2,849,479	)
	2,908,061			(1,985,725	)		(444,261	)		5,847,053			(1,302,666	)		(1,708,709	)		641,741			(382,066	)

118

Notes to Financial Statements (continued)

	Small-Cap Value Fund						Small-Cap Core Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Advisor class of shares	$	29,789		$	305,655		$	31,260		$	25,507
Institutional class of shares		2,761,616			7,431,075			328,955			4,568,187
Retirement class R-6 of shares		843,376			4,775,499			—			—
Class F-3 of shares		—			—			—			—
Net proceeds from sale of shares		3,634,781			12,512,229			360,215			4,593,694
Net asset value of shares issued to shareholders in payment of distributions declared:
Advisor class of shares		32,323			310,252			1,438			162,495
Institutional class of shares		590,699			3,876,070			27,054			1,547,491
Retirement class R-6 of shares		103,017			1,032,489			—			—
Class F-3 of shares		—			—			—			—
Net proceeds from shares issued:		726,039			5,218,811			28,492			1,709,986
Cost of shares redeemed:
Advisor class of shares		(523,998	)		(1,168,307	)		(88,542	)		(1,825,618	)
Institutional class of shares		(4,348,781	)		(10,640,892	)		(455,667	)		(8,644,047	)
Retirement class R-6 of shares		(1,335,471	)		(9,068,159	)		—			—
Class F-3 of shares		—			—			—			—
Net cost of shares redeemed		(6,208,250	)		(20,877,358	)		(544,209	)		(10,469,665	)
Redemption fees		—			—			—			—
Net change resulting from fund share transactions in dollars	$	(1,847,430	)	$	(3,146,318	)	$	(155,502	)	$	(4,165,985	)
Capital stock transactions in shares:
Sale of shares:
Advisor class of shares		2,415			24,728			2,752			1,890
Institutional class of shares		224,852			604,137			27,409			367,782
Retirement class R-6 of shares		70,001			384,484			—			—
Class F-3 of shares		—			—			—			—
Net sale of shares		297,268			1,013,349			30,161			369,672
Shares issued to shareholders in payment of distributions declared:
Advisor class of shares		2,639			26,815			118			14,305
Institutional class of shares		47,483			329,598			2,204			134,916
Retirement class R-6 of shares		8,202			87,130			—			—
Class F-3 of shares		—			—			—			—
Net shares issued		58,324			443,543			2,322			149,221
Shares redeemed:
Advisor class of shares		(42,837	)		(96,723	)		(7,426	)		(152,050	)
Institutional class of shares		(351,979	)		(871,408	)		(36,672	)		(753,886	)
Retirement class R-6 of shares		(107,435	)		(720,951	)		—			—
Class F-3 of shares		—			—			—			—
Net shares redeemed		(502,251	)		(1,689,082	)		(44,098	)		(905,936	)
Net change resulting from fund share transactions in shares		(146,659	)		(232,190	)		(11,615	)		(387,043	)

(1) Reflects operations for the period from September 1, 2018, to December 28, 2018 (termination of Retirement class F-3 of shares).

119

BMO Funds

Small-Cap Growth Fund						Global Low Volatility Equity Fund						Disciplined International Equity Fund						Pyrford International Stock Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	326,247		$	2,309,900		$	111,430		$	497,821		$	4,342		$	2,561		$	265,778		$	109,625
	3,647,343			19,667,795			2,289,066			7,667,583			7,768,675			21,708,859			19,495,547			114,884,836
	—			—			—			—			—			—			70,964,844			64,243,843
	—			—			—			—			—			—			—			160,508	(1)
	3,973,590			21,977,695			2,400,496			8,165,404			7,773,017			21,711,420			90,726,169			179,398,812
	539,869			6,414,028			32,275			48,910			1,704			1,185			65,462			113,890
	1,212,685			11,739,150			1,751,547			5,898,232			1,332,077			1,340,341			10,131,885			10,702,009
	—			—			—			—			—			—			5,676,558			4,754,416
	—			—			—			—			—			—			—			1,250	(1)
	1,752,554			18,153,178			1,783,822			5,947,142			1,333,781			1,341,526			15,873,905			15,571,565
	(4,733,604	)		(16,029,451	)		(673,852	)		(177,171	)		(2,014	)		(33,953	)		(1,420,338	)		(1,449,652	)
	(7,699,571	)		(35,574,445	)		(1,720,095	)		(4,378,589	)		(20,374,838	)		(32,796,756	)		(96,154,647	)		(111,399,473	)
	—			—			—			—			—			—			(28,036,630	)		(56,842,037	)
	—			—			—			—			—			—			—			(7,783,586	)(1)
	(12,433,175	)		(51,603,896	)		(2,393,947	)		(4,555,760	)		(20,376,852	)		(32,830,709	)		(125,611,615	)		(177,474,748	)
	10			—			5			4			38,329			—			639			7,393
$	(6,707,021	)	$	(11,473,023	)	$	1,790,376		$	9,556,790		$	(11,231,725	)	$	(9,777,763	)	$	(19,010,902	)	$	17,503,022
	20,085			132,193			9,604			43,760			413			251			19,305			8,503
	213,234			1,153,609			197,271			689,325			728,060			2,078,327			1,438,636			9,063,446
	—			—			—			—			—			—			5,297,559			5,014,709
	—			—			—			—			—			—			—			12,198	(1)
	233,319			1,285,802			206,875			733,085			728,473			2,078,578			6,755,500			14,098,856
	33,040			425,898			2,887			4,533			164			123			4,803			9,435
	70,464			742,514			155,555			544,117			128,208			139,474			760,081			904,650
	—			—			—			—			—			—			425,848			401,895
	—			—			—			—			—			—			—			106	(1)
	103,504			1,168,412			158,442			548,650			128,372			139,597			1,190,732			1,316,086
	(293,092	)		(999,522	)		(59,078	)		(14,712	)		(187	)		(3,338	)		(103,009	)		(113,979	)
	(449,201	)		(2,077,157	)		(153,321	)		(394,255	)		(1,907,997	)		(3,208,824	)		(7,147,469	)		(8,909,877	)
	—			—			—			—			—			—			(2,058,184	)		(4,442,295	)
	—			—			—			—			—			—			—			(617,942	)(1)
	(742,293	)		(3,076,679	)		(212,399	)		(408,967	)		(1,908,184	)		(3,212,162	)		(9,308,662	)		(14,084,093	)
	(405,470	)		(622,465	)		152,918			872,768			(1,051,339	)		(993,987	)		(1,362,430	)		1,330,849

120

Notes to Financial Statements (continued)

	LGM Emerging Markets Equity Fund						Alternative Strategies Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Advisor class of shares	$	267,913		$	1,942,673		$	28		$	875
Institutional class of shares		19,979,361			182,622,433			5,470,475			15,070,328
Net proceeds from sale of shares		20,247,274			184,565,106			5,470,503			15,071,203
Net asset value of shares issued to shareholders in payment of distributions declared:
Advisor class of shares		88,930			171,004			113			—
Institutional class of shares		5,708,568			8,013,010			207,621			—
Net proceeds from shares issued:		5,797,498			8,184,014			207,734			—
Cost of shares redeemed:
Advisor class of shares		(1,324,414	)		(1,548,285	)		—			(47,396	)
Institutional class of shares		(26,679,462	)		(88,760,017	)		(4,864,165	)		(46,209,815	)
Net cost of shares redeemed		(28,003,876	)		(90,308,302	)		(4,864,165	)		(46,257,211	)
Redemption fees		2,623			1,285			—			—
Net change resulting from fund share transactions in dollars	$	(1,956,481	)	$	102,442,103		$	814,072		$	(31,186,008	)
Capital stock transactions in shares:
Sale of shares:
Advisor class of shares		17,734			130,398			3			93
Institutional class of shares		1,302,985			12,069,702			597,860			1,592,774
Net sale of shares		1,320,719			12,200,100			597,863			1,592,867
Shares issued to shareholders in payment of distributions declared:
Advisor class of shares		5,897			11,917			13			—
Institutional class of shares		381,079			561,636			22,865			—
Net shares issued		386,976			573,553			22,878			—
Shares redeemed:
Advisor class of shares		(87,670	)		(102,088	)		—			(5,139	)
Institutional class of shares		(1,748,432	)		(5,935,508	)		(528,489	)		(4,920,224	)
Net shares redeemed		(1,836,102	)		(6,037,596	)		(528,489	)		(4,925,363	)
Net change resulting from fund share transactions in shares		(128,407	)		6,736,057			92,252			(3,332,496	)

121

BMO Funds

Ultra Short Tax-Free Fund						Short Tax-Free Fund						Short-Term Income Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	458,651		$	4,379,161		$	1,362,305		$	818,333		$	2,130,649		$	4,131,141
	183,436,453			450,634,673			17,903,150			38,106,073			88,542,673			109,699,514
	183,895,104			455,013,834			19,265,455			38,924,406			90,673,322			113,830,655
	85,103			270,051			23,466			72,771			228,277			499,349
	2,009,302			4,976,544			418,265			966,607			1,406,246			3,254,026
	2,094,405			5,246,595			441,731			1,039,378			1,634,523			3,753,375
	(3,058,577	)		(15,620,257	)		(701,236	)		(3,792,675	)		(2,117,368	)		(6,587,838	)
	(209,427,606	)		(487,651,124	)		(32,116,426	)		(67,222,848	)		(64,996,669	)		(97,838,557	)
	(212,486,183	)		(503,271,381	)		(32,817,662	)		(71,015,523	)		(67,114,037	)		(104,426,395	)
	—			—			—			—			—			—
$	(26,496,674	)	$	(43,010,952	)	$	(13,110,476	)	$	(31,051,739	)	$	25,193,808		$	13,157,635
	45,446			434,741			132,753			80,413			225,691			443,854
	18,194,119			44,771,183			1,743,447			3,745,703			9,354,937			11,770,026
	18,239,565			45,205,924			1,876,200			3,826,116			9,580,628			12,213,880
	8,432			26,801			2,284			7,159			24,150			53,561
	199,244			494,260			40,714			94,908			148,484			348,309
	207,676			521,061			42,998			102,067			172,634			401,870
	(303,052	)		(1,551,260	)		(68,273	)		(372,079	)		(224,187	)		(708,704	)
	(20,764,874	)		(48,442,329	)		(3,128,121	)		(6,606,010	)		(6,874,056	)		(10,482,728	)
	(21,067,926	)		(49,993,589	)		(3,196,394	)		(6,978,089	)		(7,098,243	)		(11,191,432	)
	(2,620,685	)		(4,266,604	)		(1,277,196	)		(3,049,906	)		2,655,019			1,424,318

122

Notes to Financial Statements (continued)

	Intermediate Tax-Free Fund						Strategic Income Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	35,245,191		$	216,805,372		$	698,758		$	992,911
Advisor class of shares		2,050,776			5,193,016			865,661			277,237
Institutional class of shares		221,066,353			712,041,605			337,209			1,321,850
Net proceeds from sale of shares		258,362,320			934,039,993			1,901,628			2,591,998
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		6,598,419			17,880,753			1,178,658			2,584,595
Advisor class of shares		66,324			219,608			270,746			572,728
Institutional class of shares		14,332,552			22,206,518			142,453			371,887
Net proceeds from shares issued:		20,997,295			40,306,879			1,591,857			3,529,210
Cost of shares redeemed:
Investor class of shares		(60,691,190	)		(598,428,311	)		(5,254,207	)		(8,927,747	)
Advisor class of shares		(1,227,081	)		(15,779,341	)		(744,491	)		(2,424,528	)
Institutional class of shares		(104,277,666	)		(297,206,709	)		(3,380,663	)		(5,551,755	)
Net cost of shares redeemed		(166,195,937	)		(911,414,361	)		(9,379,361	)		(16,904,030	)
Net change resulting from fund share transactions in dollars	$	113,163,678		$	62,932,511		$	(5,885,876	)	$	(10,782,822	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		3,055,354			19,477,473			74,333			107,030
Advisor class of shares		178,015			465,275			91,639			30,251
Institutional class of shares		19,185,165			63,694,084			35,799			146,666
Net sale of shares		22,418,534			83,636,832			201,771			283,947
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		570,603			1,596,327			124,825			283,183
Advisor class of shares		5,735			19,628			28,675			62,763
Institutional class of shares		1,240,506			1,970,954			15,099			40,885
Net shares issued		1,816,844			3,586,909			168,599			386,831
Shares redeemed:
Investor class of shares		(5,262,992	)		(53,682,031	)		(555,591	)		(982,294	)
Advisor class of shares		(106,393	)		(1,417,837	)		(78,395	)		(266,152	)
Institutional class of shares		(9,038,964	)		(26,636,202	)		(355,103	)		(622,082	)
Net shares redeemed		(14,408,349	)		(81,736,070	)		(989,089	)		(1,870,528	)
Net change resulting from fund share transactions in shares		9,827,029			5,487,671			(618,719	)		(1,199,750	)

123

BMO Funds

Corporate Income Fund						Core Plus Bond Fund						High Yield Bond Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	9,800,504		$	20,311,265		$	15,824,085		$	32,098,000		$	—		$	—
	2,791,210			5,361,083			513,551			905,069			418,907			457,013
	51,072,202			140,702,564			136,204,900			231,737,885			1,805,732			574,112
	63,663,916			166,374,912			152,542,536			264,740,954			2,224,639			1,031,125
	1,581,786			3,586,826			1,143,550			2,187,496			—			—
	136,494			141,683			56,591			102,848			18,184			41,891
	1,901,441			3,613,460			14,001,321			28,868,673			215,456			510,085
	3,619,721			7,341,969			15,201,462			31,159,017			233,640			551,976
	(10,361,155	)		(31,034,788	)		(9,523,433	)		(24,315,803	)		—			—
	(883,100	)		(608,000	)		(164,672	)		(484,940	)		(599,234	)		(493,323	)
	(31,159,905	)		(62,394,196	)		(72,489,685	)		(341,433,917	)		(208,544	)		(3,129,249	)
	(42,404,160	)		(94,036,984	)		(82,177,790	)		(366,234,660	)		(807,778	)		(3,622,572	)
$	24,879,477		$	79,679,897		$	85,566,208		$	(70,334,689	)	$	1,650,501		$	(2,039,471	)
	716,665			1,556,211			1,326,920			2,807,800			—			—
	205,443			417,871			43,028			77,989			45,153			50,060
	3,721,350			11,033,820			11,415,962			20,143,950			194,892			62,845
	4,643,458			13,007,902			12,785,910			23,029,739			240,045			112,905
	115,355			280,292			95,506			190,146			—			—
	9,947			10,894			4,727			8,937			1,979			4,590
	138,823			281,658			1,169,830			2,515,292			23,472			55,970
	264,125			572,844			1,270,063			2,714,375			25,451			60,560
	(758,175	)		(2,442,676	)		(795,958	)		(2,120,689	)		—			—
	(64,318	)		(46,572	)		(13,803	)		(42,173	)		(64,492	)		(54,206	)
	(2,286,468	)		(4,926,377	)		(6,060,284	)		(29,932,723	)		(22,480	)		(344,084	)
	(3,108,961	)		(7,415,625	)		(6,870,045	)		(32,095,585	)		(86,972	)		(398,290	)
	1,798,622			6,165,121			7,185,928			(6,351,471	)		178,524			(224,825	)

124

Notes to Financial Statements (continued)

	Government Money Market Fund						Tax-Free Money Market Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,385,545,634		$	3,185,455,821		$	42,290,137		$	76,238,873
Premier class of shares		6,306,205,738			12,876,601,233			239,939,377			752,095,278
Net proceeds from sale of shares		7,691,751,372			16,062,057,054			282,229,514			828,334,151
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		749,641			2,297,317			279,210			900,019
Premier class of shares		2,331,340			6,417,045			7,400			19,238
Net proceeds from shares issued:		3,080,981			8,714,362			286,610			919,257
Cost of shares redeemed:
Investor class of shares		(1,572,343,028	)		(3,130,464,509	)		(66,938,365	)		(81,235,290	)
Premier class of shares		(6,270,804,079	)		(13,139,542,456	)		(300,269,193	)		(721,255,544	)
Net cost of shares redeemed		(7,843,147,107	)		(16,270,006,965	)		(367,207,558	)		(802,490,834	)
Net change resulting from fund share transactions in dollars	$	(148,314,754	)	$	(199,235,549	)	$	(84,691,434	)	$	26,762,574
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,385,545,634			3,185,455,821			42,290,137			76,238,873
Premier class of shares		6,306,205,738			12,876,601,233			239,939,377			752,095,278
Net sale of shares		7,691,751,372			16,062,057,054			282,229,514			828,334,151
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		749,641			2,297,317			279,210			900,019
Premier class of shares		2,331,340			6,417,045			7,400			19,238
Net shares issued		3,080,981			8,714,362			286,610			919,257
Shares redeemed:
Investor class of shares		(1,572,343,028	)		(3,130,464,509	)		(66,938,365	)		(81,235,290	)
Premier class of shares		(6,270,804,079	)		(13,139,542,456	)		(300,269,193	)		(721,255,544	)
Net shares redeemed		(7,843,147,107	)		(16,270,006,965	)		(367,207,558	)		(802,490,834	)
Net change resulting from fund share transactions in shares		(148,314,754	)		(199,235,549	)		(84,691,434	)		26,762,574

125

BMO Funds

Prime Money Market Fund						Institutional Prime Money Market Fund
Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
$	125,009,212		$	289,687,624		$	1,048,042		$	94,325
	161,844,118			485,730,277			1,367,399,037			2,739,008,147
	286,853,330			775,417,901			1,368,447,079			2,739,102,472
	1,415,473			3,862,824			10,234			42,122
	61,423			167,637			1,740,208			4,200,289
	1,476,896			4,030,461			1,750,442			4,242,411
	(156,979,519	)		(238,814,009	)		(154,368	)		(1,319,323	)
	(157,819,763	)		(505,603,471	)		(1,352,985,321	)		(2,662,407,686	)
	(314,799,282	)		(744,417,480	)		(1,353,139,689	)		(2,663,727,009	)
$	(26,469,056	)	$	35,030,882		$	17,057,832		$	79,617,874
	125,009,212			289,687,624			1,048,046			94,320
	161,844,118			485,730,277			1,367,330,921			2,738,976,101
	286,853,330			775,417,901			1,368,378,967			2,739,070,421
	1,415,473			3,862,824			10,234			42,122
	61,423			167,637			1,740,121			4,200,220
	1,476,896			4,030,461			1,750,355			4,242,342
	(156,979,519	)		(238,814,024	)		(154,358	)		(1,319,283	)
	(157,819,763	)		(505,603,471	)		(1,352,912,296	)		(2,662,374,872	)
	(314,799,282	)		(744,417,495	)		(1,353,066,654	)		(2,663,694,155	)
	(26,469,056	)		35,030,867			17,062,668			79,618,608

126

Notes to Financial Statements (continued)

6. Investment Adviser Fee and Other Transactions with Affiliates

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more portfolios within the Fund complex, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the Funds. Certain Officers and Directors are also employees of the Adviser.

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		0.400	%(1)		0.390	%(1)		0.350	%(1)		0.300	%(1)
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		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.500	(2)		0.490	(2)		0.450	(2)		0.400	(2)
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
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
Strategic Income Fund		0.250			0.200			0.200			0.200
Corporate Income Fund		0.200			0.190			0.150			0.100
Core Plus Bond Fund		0.250			0.160			0.120			0.100
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			on the next $2 billion
Large-Cap Value Fund		0.350	%		0.325	%		0.300	%
Large-Cap Growth Fund		0.350			0.325			0.300
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies 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 December 27, 2019 the Advisory Rate was changed from 0.500% to 0.400% on the first $500 million, the next $200 million rate was lowered from 0.490% to 0.390%, the next $100 million rate was lowered from 0.450% to 0.350%, and thereafter the rate was lowered from 0.400% to 0.300%.

(2) Effective December 27, 2019 the Advisory Rate was changed from 0.650% to 0.500% on the first $500 million, the next $200 million rate was lowered from 0.640% to 0.490%, the next $100 million rate was lowered from 0.600% to 0.450%, and thereafter the rate was lowered from 0.550% to 0.400%.

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. One of the sub-advisers of the Alternative Strategies Fund is BMO Asset Management Limited, 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.

127

BMO Funds

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, 2020, 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-6
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund					0.79			0.54						0.39	%
Large-Cap Growth Fund		0.79	%		0.79			0.54						0.39
Mid-Cap Value Fund					1.24			0.99						0.84
Mid-Cap Growth Fund					1.24			0.99						0.84
Small-Cap Value Fund					1.24			0.99						0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund					1.24			0.99
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					1.15			0.90
Pyrford International Stock Fund					1.19			0.94						0.79
LGM Emerging Markets Equity Fund					1.40			1.15
Alternative Strategies Fund					1.70			1.45
Ultra Short Tax-Free Fund					0.55			0.30
Short Tax-Free Fund					0.55			0.40
Short-Term Income Fund					0.60			0.35
Intermediate Tax-Free Fund		0.54			0.54			0.50
Strategic Income Fund		0.80			0.80			0.55
Corporate Income Fund		0.59			0.59			0.55
Core Plus Bond Fund		0.59			0.59			0.55
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

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

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

128

Notes to Financial Statements (continued)

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

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

(1) For the period ended February 29, 2020, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class		Advisor Class		Institutional Class		Premier Class
Low Volatility Equity Fund	$	—	$	29,531	$	159,176	$	—
Dividend Income Fund		—		11,933		235,401		—
Large-Cap Value Fund		—		14,170		214,121		—
Large-Cap Growth Fund		44,820		509		131,615		—
Mid-Cap Value Fund		—		28,855		67,333		—
Mid-Cap Growth Fund		—		10,747		58,839		—
Small-Cap Value Fund		—		2,376		35,142		—
Small-Cap Core Fund		—		537		10,476		—
Small-Cap Growth Fund		—		23,135		53,095		—
Disciplined International Equity Fund		—		112		43,843		—
Pyrford International Stock Fund		—		3,174		345,392		—
Alternative Strategies Fund		—		14		28,228		—
Ultra Short Tax-Free Fund		—		11,406		417,197		—
Short Tax-Free Fund		—		2,926		111,368		—
Short-Term Income Fund		—		18,324		174,740		—
Intermediate Tax-Free Fund		385,458		3,804		1,069,349		—
Strategic Income Fund		41,172		9,489		6,456		—
Corporate Income Fund		75,616		6,471		179,207		—
Core Plus Bond Fund		59,460		2,921		735,008		—
High Yield Bond Fund		—		619		6,841		—
Government Money Market Fund		122,526		—		—		414,228
Tax-Free Money Market Fund		12,425		—		—		57,313
Prime Money Market Fund		35,231		—		—		45,852
Institutional Prime Money Market Fund		231		—		—		92,768

129

BMO Funds

Securities Lending—Certain Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the period ended February 29, 2020:

Fund	Fees Paid
Low Volatility Equity Fund	$	13,987
Dividend Income Fund		15,406
Large-Cap Value Fund		19,661
Large-Cap Growth Fund		23,252
Mid-Cap Value Fund		10,965
Mid-Cap Growth Fund		8,461
Small-Cap Value Fund		5,902

Fund	Fees Paid
Small-Cap Core Fund	$	1,220
Small-Cap Growth Fund		9,131
Short-Term Income Fund		9,984
Strategic Income Fund		8,185
Corporate Income Fund		27,908
Core Plus Bond Fund		47,003
High Yield Bond Fund		1,380

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 29, 2020 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.

Security/Fund Description	Value, Beginning of Period		Purchases(1)		Sales Proceeds(1)		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Value, End of Period		Dividends Credited to Income
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 1.550%
Low Volatility Equity Fund	$	5,840,436	$	95,708,210	$	89,052,598	$	20		$	1,824		$	12,497,892	$	45,441
Dividend Income Fund		28,264,217		27,899,105		50,112,806		(61	)		40			6,050,495		53,883
Large-Cap Value Fund		5,888,195		130,918,711		130,492,134		(262	)		1,130			6,315,640		47,453
Large-Cap Growth Fund		5		60,095,910		48,196,902		—			177			11,899,190		61,445
Mid-Cap Value Fund		1,259,074		12,996,345		12,869,457		45			(141	)		1,385,866		16,779
Mid-Cap Growth Fund		687,000		8,226,797		7,800,443		(3	)		271			1,113,622		12,646
Small-Cap Value Fund		511,829		4,729,775		4,391,334		(3	)		118			850,385		6,138
Small-Cap Core Fund		233,030		825,893		672,605		10			(2	)		386,326		1,833
Small-Cap Growth Fund		1,221,390		13,575,286		13,367,668		61			(213	)		1,428,856		10,530
Global Low Volatility Equity Fund		621,645		5,030,246		5,485,601		(53	)		96			166,333		6,743
Disciplined International Equity Fund		182,205		10,651,470		10,587,924		(3	)		(200	)		245,548		5,020
Pyrford International Stock Fund		26,959,715		89,451,615		88,855,900		1,654			(688	)		27,556,396		183,537
LGM Emerging Markets Equity Fund		16,712,847		33,520,384		40,844,093		644			(732	)		9,389,050		87,881
Alternative Strategies Fund		19,001,273		32,207,555		26,933,471		40			(629	)		24,274,768		186,393
Short-Term Income Fund		3,541,770		97,044,726		88,331,861		642			498			12,255,775		65,020
Strategic Income Fund		1,992,682		12,759,910		14,357,598		9			308			395,311		23,418
Corporate Income Fund		19,020,393		60,369,961		55,569,013		715			(931	)		23,821,125		132,699
Core Plus Bond Fund		40,249,132		197,757,956		218,050,619		729			2,887			19,960,085		295,656
High Yield Bond Fund		439,932		3,559,376		3,641,725		41			84			357,708		5,582

130

Notes to Financial Statements (continued)

Security/Fund Description	Value, Beginning of Period		Purchases(1)		Sales Proceeds(1)		Change in Unrealized Appreciation (Depreciation)		Net Realized Gain (Loss)		Value, End of Period		Dividends Credited to Income
Collateral Investment for Securities on Loan in BMO Institutional Prime Money Market Fund, Premier Class, 1.550%
Disciplined International Equity Fund	$	6,280,673	$	8,437,995	$	13,783,410	$	—	$	—	$	935,258	$	2,457
Global Low Volatility Equity Fund		743,529		4,686,622		5,421,691		—		—		8,460		927
Pyrford International Stock Fund		12,915,868		137,074,130		123,616,419		—		—		26,373,579		66,244
LGM Emerging Markets Equity Fund		1,884,447		94,223,955		80,503,047		—		—		15,605,355		117,170
Collateral Pool Pro Rata Allocation for Securities on Loan in BMO Government Money Market Fund, Premier Class, 1.217%
Low Volatility Equity Fund		4,368,527		33,122,288		35,341,310		—		—		2,149,505		567
Dividend Income Fund		5,582,475		42,395,014		45,222,706		—		—		2,754,783		630
Large-Cap Value Fund		5,905,804		47,875,822		50,515,797		—		—		3,265,829		797
Large-Cap Growth Fund		7,435,061		49,164,446		53,778,623		—		—		2,820,884		947
Mid-Cap Value Fund		2,845,282		20,849,388		22,378,739		—		—		1,315,931		448
Mid-Cap Growth Fund		1,522,380		17,544,014		17,620,072		—		—		1,446,322		342
Small-Cap Value Fund		1,317,481		10,610,700		11,207,713		—		—		720,468		238
Small-Cap Core Fund		281,825		3,170,055		3,193,164		—		—		258,716		49
Small-Cap Growth Fund		2,341,532		21,703,484		22,433,968		—		—		1,611,048		373
Short-Term Income Fund		2,183,963		16,786,113		17,869,069		—		—		1,101,007		410
Strategic Income Fund		1,365,485		10,394,279		11,083,107		—		—		676,657		340
Corporate Income Fund		5,389,867		49,039,587		50,827,791		—		—		3,601,663		1,144
Core Plus Bond Fund		8,259,007		80,677,596		82,774,836		—		—		6,161,767		1,924
High Yield Bond Fund		201,313		1,667,212		1,753,106		—		—		115,419		56
Collateral Pool Pro Rata Allocation for Securities on Loan in BMO Institutional Prime Money Market Fund, Premier Class, 1.550%
Low Volatility Equity Fund		27,640,382		—		3,839,911		—		—		23,800,471		6,283
Dividend Income Fund		35,321,230		—		4,818,794		—		—		30,502,436		6,980
Large-Cap Value Fund		37,366,988		—		1,205,981		—		—		36,161,007		8,834
Large-Cap Growth Fund		47,042,842		—		15,808,500		—		—		31,234,342		10,492
Mid-Cap Value Fund		18,002,561		—		3,431,870		—		—		14,570,691		4,958
Mid-Cap Growth Fund		9,632,344		6,382,113		—		—		—		16,014,457		3,784
Small-Cap Value Fund		8,335,920		—		358,514		—		—		7,977,406		2,639
Small-Cap Core Fund		1,783,153		1,081,487		—		—		—		2,864,640		547
Small-Cap Growth Fund		14,815,253		3,023,135		—		—		—		17,838,388		4,136
Short-Term Income Fund		13,818,288		—		1,627,349		—		—		12,190,939		4,543
Strategic Income Fund		8,639,645		—		1,147,334		—		—		7,492,311		3,766
Corporate Income Fund		34,102,571		5,776,975		—		—		—		39,879,546		12,677
Core Plus Bond Fund		52,256,083		15,970,300		—		—		—		68,226,383		21,312
High Yield Bond Fund		1,273,740		4,244		—		—		—		1,277,984		620

(1) Includes adjustment for net change in Collateral Pool Pro Rata Allocation of value, at end of period.

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to borrow cash from any of the BMO Money Market 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 the BMO Money Market Funds 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.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the period ended February 29, 2020, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Low Volatility Equity Fund	$	3,800		2.351	%
Large-Cap Value Fund		132,161		2.230
Large-Cap Growth Fund		100,108		2.236
Global Low Volatility Equity Fund		1,313		2.361

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Disciplined International Equity Fund	$	71,897		2.499	%
Ultra Short Tax-Free Fund		20,660		2.288
Intermediate Tax-Free Fund		817		2.294

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 State Street Bank. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings currently 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 during the period ended February 29, 2020.

131

BMO Funds

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 29, 2020 were as follows:

	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	115,810,742	$	40,198,210	$	—	$	—
Dividend Income Fund		67,678,298		67,301,259		—		—
Large-Cap Value Fund		176,783,350		138,346,712		—		—
Large-Cap Growth Fund		124,387,041		160,756,033		—		—
Mid-Cap Value Fund		28,714,110		41,736,770		—		—
Mid-Cap Growth Fund		26,437,654		28,851,016		—		—
Small-Cap Value Fund		21,330,469		23,969,284		—		—
Small-Cap Core Fund		5,103,662		5,283,699		—		—
Small-Cap Growth Fund		32,224,179		40,743,528		—		—
Global Low Volatility Equity Fund		9,790,212		9,088,945		—		—
Disciplined International Equity Fund		15,454,155		28,946,657		—		—
Pyrford International Stock Fund		61,459,329		89,165,240		—		—
LGM Emerging Markets Equity Fund		39,284,717		39,474,074		—		—
Alternative Strategies Fund		4,276,682		2,848,991		—		—
Ultra Short Tax-Free Fund		560,137,916		560,157,310		—		6,420,000
Short Tax-Free Fund		50,552,164		62,789,386		—		—
Short-Term Income Fund		42,912,863		49,415,767		10,602,949		10,918,030
Intermediate Tax-Free Fund		492,494,536		367,532,992		—		—
Strategic Income Fund		10,340,712		14,148,373		—		669,544
Corporate Income Fund		63,438,582		36,820,835		—		—
Core Plus Bond Fund		53,033,035		32,708,110		114,342,955		45,329,054
High Yield Bond Fund		3,615,768		1,845,645		—		—

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 treatments for 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 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). There are no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Fund reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 29, 2020. 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.

132

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	$	305,004,492	$	29,900,723	$	(8,767,145	)	$	21,133,578
Dividend Income Fund		340,167,610		30,197,617		(15,290,965	)		14,906,652
Large-Cap Value Fund		391,354,654		26,763,722		(22,222,909	)		4,540,813
Large-Cap Growth Fund		403,554,157		109,935,780		(19,041,511	)		90,894,269
Mid-Cap Value Fund		153,611,044		12,840,939		(14,256,565	)		(1,415,626	)
Mid-Cap Growth Fund		119,071,799		12,959,495		(6,003,520	)		6,955,975
Small-Cap Value Fund		69,420,629		4,251,667		(7,263,594	)		(3,011,927	)
Small-Cap Core Fund		18,950,080		1,612,401		(1,364,727	)		247,674
Small-Cap Growth Fund		125,319,229		12,821,105		(8,309,712	)		4,511,393
Global Low Volatility Equity Fund		31,638,895		3,764,765		(2,038,880	)		1,725,885
Disciplined International Equity Fund		46,852,646		5,630,755		(4,343,810	)		1,286,945
Pyrford International Stock Fund		594,272,791		91,429,781		(42,666,595	)		48,763,186
LGM Emerging Markets Equity Fund		271,346,419		44,360,399		(24,270,965	)		20,089,434
Alternative Strategies Fund		33,948,464		466,642		(1,066,701	)		(600,059	)
Ultra Short Tax-Free Fund		549,617,941		2,344,349		(20,728	)		2,323,621
Short Tax-Free Fund		142,996,051		2,871,045		(2,026	)		2,869,019
Short-Term Income Fund		306,137,629		5,440,345		(117,040	)		5,323,305
Intermediate Tax-Free Fund		1,926,909,650		146,578,767		(146,761	)		146,432,006
Strategic Income Fund		84,756,456		3,899,645		(1,657,882	)		2,241,763
Corporate Income Fund		437,124,843		29,072,119		(864,931	)		28,207,188
Core Plus Bond Fund		1,199,985,186		70,149,166		(7,424,060	)		62,725,106
High Yield Bond Fund		13,492,066		254,478		(556,832	)		(302,354	)
Government Money Market Fund		3,083,627,073		—		—			—
Tax-Free Money Market Fund		322,538,705		—		—			—
Prime Money Market Fund		469,945,914		—		—			—
Institutional Prime Money Market Fund		578,521,550		109,307		(18,771	)		90,536

The tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2019 and August 31, 2018, were as follows:

	2019						2018
Fund	Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	3,779,573	$	—	$	9,447,911	$	3,160,478	$	—	$	3,189,229
Dividend Income Fund		4,756,191		—		7,369,330		5,133,814		—		11,100,034
Large-Cap Value Fund		9,866,179		—		30,382,182		11,266,495		—		23,620,755
Large-Cap Growth Fund		13,206,950		—		40,268,668		5,872,237		—		14,405,633
Mid-Cap Value Fund		3,044,221		—		19,687,022		5,417,735		—		4,733,501
Mid-Cap Growth Fund		8,149,700		—		11,039,782		3,084,500		—		3,984,417
Small-Cap Value Fund		1,961,121		—		3,300,073		3,505,522		—		1,725,945
Small-Cap Core Fund		492,526		—		1,456,995		454,372		—		822,023
Small-Cap Growth Fund		5,123,756		—		132,736,600		—		—		14,759,760
Global Low Volatility Equity Fund		1,231,016		—		4,731,437		1,366,846		—		495,697
Disciplined International Equity Fund		1,528,435		—		—		1,534,123		—		—
Pyrford International Stock Fund		17,771,263		—		—		16,810,534		—		—
LGM Emerging Markets Equity Fund		4,193,042		—		4,483,419		1,245,393		—		—
Alternative Strategies Fund		—		—		—		49,511		—		4,427,483
Ultra Short Tax-Free Fund		16,759		9,600,547		—		94,095		7,997,980		217,628
Short Tax-Free Fund		9,597		3,184,588		—		—		2,927,616		—
Short-Term Income Fund		6,393,700		—		—		5,064,383		—		—
Intermediate Tax-Free Fund		620,457		51,210,030		—		—		—		—
Strategic Income Fund		3,713,872		—		—		4,339,645		—		—
Corporate Income Fund		10,884,025		—		439,797		8,278,452		—		—
Core Plus Bond Fund		34,557,913		—		—		32,309,452		—		—
High Yield Bond Fund		582,308		—		—		652,504		—		—
Government Money Market Fund		63,212,461		—		200		40,601,282		—		900
Tax-Free Money Market Fund		12,023		5,921,385		7,584		—		3,674,509		—
Prime Money Market Fund		10,006,252		—		—		5,929,727		—		111
Institutional Prime Money Market Fund		12,722,718		—		—		6,828,289		—		35

133

BMO Funds

As of August 31, 2019, 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			Other Adjustments		Net Unrealized Appreciation (Depreciation)
Low Volatility Equity Fund	$	836,856	$	—	$	2,698,713	$	—		$	—	$	38,752,029
Dividend Income Fund		1,220,262		—		—		(302,119	)		—		27,901,735
Large-Cap Value Fund		1,107,980		—		—		(3,434,577	)		—		26,589,317
Large-Cap Growth Fund		3,767,821		—		16,157,050		—			—		100,934,386
Mid-Cap Value Fund		1,217,500		—		9,401		(2,653,830	)		—		8,648,063
Mid-Cap Growth Fund		—		—		11,748,567		(1,778,946	)		—		13,129,928
Small-Cap Value Fund		336,771		—		111,328		—			—		(174,350	)
Small-Cap Core Fund		36,075		—		—		(818,490	)		—		671,011
Small-Cap Growth Fund		—		—		1,771,713		(299,863	)		—		9,080,712
Global Low Volatility Equity Fund		902,024		—		556,529		(84,907	)		—		3,287,991
Disciplined International Equity Fund		2,013,964		—		—		(3,243,470	)		—		(154,190	)
Pyrford International Stock Fund		15,101,148		—		—		(29,537,487	)		—		37,235,092
LGM Emerging Markets Equity Fund		3,334,446		—		1,584,231		—			—		9,434,358
Alternative Strategies Fund		212,222		—		—		(3,205,129	)		—		(484,206	)
Ultra Short Tax-Free Fund		8,255		335,408		69,141		—			—		(28,114	)
Short Tax-Free Fund		—		164,891		—		(169,234	)		—		1,265,079
Short-Term Income Fund		249,859		—		—		(2,131,007	)		—		2,378,141
Intermediate Tax-Free Fund		148,436		1,244,054		—		(15,469,562	)		—		3,736,045
Strategic Income Fund		1,318		—		—		(4,079,621	)		—		114,957,597
Corporate Income Fund		340,095		—		—		(1,422,345	)		—		1,860,939
Core Plus Bond Fund		232,146		—		—		(9,494,023	)		—		20,821,304
High Yield Bond Fund		—		—		—		(3,147,987	)		—		41,494,430
Government Money Market Fund		4,469,817		—		—		—			—		(76,866	)
Tax-Free Money Market Fund		—		363,934		—		—			—		—
Prime Money Market Fund		432,989		—		—		—			—		—
Institutional Prime Money Market Fund		673,327		—		—		—			—		—

At August 31, 2019, the Funds had capital loss carryforwards, which reduce the Funds’ 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 which would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards are not subject to expiration and are as follows:

	Capital Loss Carryforwards
Fund	Short-Term		Long-Term		Total
Small-Cap Core Fund	$	818,490	$	—	$	818,490
Disciplined International Equity Fund		2,046,816		1,196,654		3,243,470
Pyrford International Stock Fund		1,980,518		27,556,969		29,537,487
Alternative Strategies Fund		3,205,129		—		3,205,129
Short Tax-Free Fund		169,234		—		169,234
Short-Term Income Fund		548,479		1,582,528		2,131,007
Intermediate Tax-Free Fund		13,509,692		1,959,870		15,469,562
Strategic Income Fund		538,072		3,541,549		4,079,621
Corporate Income Fund		517,980		904,365		1,422,345
Core Plus Bond Fund		1,103,076		8,390,947		9,494,023
High Yield Bond Fund		1,136,105		2,011,882		3,147,987

As of August 31, 2019, the following funds had post-October losses, which are deferred until fiscal year 2020 for tax purposes, of:

	Post-October Losses
Fund	Short-Term		Long-Term
Dividend Income Fund	$	1,840,032	$	(1,537,913	)
Large-Cap Value Fund		8,844,355		(5,409,778	)
Mid-Cap Value Fund		3,245,093		(591,263	)
Mid-Cap Growth Fund		1,661,810		—
Global Low Volatility Equity Fund		84,907		—

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.

134

Notes to Financial Statements (continued)

As of August 31, 2019, the Mid-Cap Growth Fund and Small-Cap Growth Fund had qualified late-year ordinary losses of $117,136 and $299,863, respectively, which are deferred until fiscal year 2020 for tax purposes. 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. Subsequent Events

Subsequent to February 29, 2020, the COVID-19 outbreak was declared a pandemic by the World Health Organization. The situation is dynamic with various cities and countries around the world responding in different ways to address the outbreak. Meaningful direct and indirect effects are developing particularly with companies in which we invest. We will monitor the impact COVID-19 has on their securities valuations and reflect the consequences as appropriate in our accounting and reporting.

135

Shareholder Report Disclosure of Directors’ Approval of
for Advisory Fee Reduction

Approval of Amendments to the Fee Schedule of the Advisory Agreement

At a meeting held on November 5-6, 2019, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended, considered an amendment to the investment advisory agreement between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of the BMO Low Volatility Equity Fund and the BMO Global Low Volatility Equity Fund series of the Corporation (each a “Fund” and together the “Funds”) to reflect an amended fee schedule. The contractual fee schedule for each Fund was proposed to be amended to reflect a reduced advisory fee for each Fund in an attempt to increase the ability of the Funds to compete in their highly competitive fund categories. In approving the amended fee schedules, the Board took into consideration that the contractual fee to be paid to the Adviser by each Fund under the amended fee schedule would not be less advantageous to the Fund and its shareholders. In addition, the Board considered that the Adviser represented that the quality and quantity of services the Adviser provides to each Fund would not be affected by the change in fee schedule.

136

NOTES

137

NOTES

138

NOTES

139

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 periodically. The schedule of portfolio holdings for the first and third quarter of the fiscal year for each Fund (other than the money market funds) is included as an exhibit on Form N-PORT. The schedule of portfolio holdings for the money market funds is filed monthly on Form N-MFP. Each Fund’s Form N-PORT or N-MFP 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.

© 2020 BMO Financial Corp. (9/20)

BMO Funds February 29, 2020

Semi-Annual report

Conservative Allocation Fund

Moderate Allocation Fund

Balanced Allocation Fund

Growth Allocation Fund

Aggressive Allocation Fund

Notification of electronic delivery of shareholder materials

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of the Funds’ shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Funds or from your broker/dealer, investment professional, or financial institution. Instead, the reports will be made available online at bmofunds.com/documents, and you will be notified by mail each time a report is posted and provided with a website link to access the report.

If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from the Funds electronically by calling 1-800-236-FUND (3863), by sending an email request to bmofundsus.services@bmo.com, or by asking your broker/dealer, investment professional, or financial institution.

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Table of Contents

Financial Information
Expense Example	2
Schedules of Investments:
BMO Conservative Allocation Fund	3
BMO Moderate Allocation Fund	3
BMO Balanced Allocation Fund	4
BMO Growth Allocation Fund	5
BMO Aggressive Allocation Fund	6
Notes to Schedules of Investments	6
Statements of Assets and Liabilities	7
Statements of Operations	8
Statements of Changes in Net Assets	9
Financial Highlights	11
Notes to Financial Statements	15

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 29, 2020

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 29, 2020 (9/1/19-2/29/20).

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.

			Actual Expenses				Hypothetical Expenses
Fund	Beginning account value 9/1/19		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Ending account value 2/29/20		Expenses paid during period 9/1/19- 2/29/20(1)		Annualized Expense Ratio(1)
Conservative Allocation Fund
Investor	$	1,000.00	$	1,018.20	$	1.66	$	1,023.22	$	1.66		0.33	%
Institutional		1,000.00		1,020.00		0.40		1,024.47		0.40		0.08
Retirement class R-3		1,000.00		1,017.30		2.91		1,021.98		2.92		0.58
Retirement class R-6		1,000.00		1,020.80		0.00		1,024.86		0.00		0.00
Moderate Allocation Fund
Investor		1,000.00		1,015.80		1.50		1,023.37		1.51		0.30
Institutional		1,000.00		1,015.40		0.25		1,024.61		0.25		0.05
Retirement class R-3		1,000.00		1,014.50		2.75		1,022.13		2.77		0.55
Retirement class R-6		1,000.00		1,017.60		0.00		1,024.86		0.00		0.00
Balanced Allocation Fund
Investor		1,000.00		1,010.10		1.65		1,023.22		1.66		0.33
Institutional		1,000.00		1,010.70		0.40		1,024.47		0.40		0.08
Retirement class R-3		1,000.00		1,007.80		2.90		1,021.98		2.92		0.58
Retirement class R-6		1,000.00		1,010.80		0.00		1,024.86		0.00		0.00
Growth Allocation Fund
Investor		1,000.00		1,003.60		1.49		1,023.37		1.51		0.30
Institutional		1,000.00		1,005.20		0.25		1,024.61		0.25		0.05
Retirement class R-3		1,000.00		1,002.40		2.74		1,022.13		2.77		0.55
Retirement class R-6		1,000.00		1,006.30		0.00		1,024.86		0.00		0.00
Aggressive Allocation Fund
Investor		1,000.00		1,000.60		1.64		1,023.22		1.66		0.33
Institutional		1,000.00		1,001.60		0.40		1,024.47		0.40		0.08
Retirement class R-3		1,000.00		999.60		2.88		1,021.98		2.92		0.58
Retirement class R-6		1,000.00		1,002.80		0.00		1,024.86		0.00		0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2019 through February 29, 2020, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

2

February 29, 2020 (Unaudited)

Schedules of Investments BMO Funds

Conservative Allocation Fund

Description	Shares		Value
Exchange Traded Funds — 6.3%
Large-Cap Funds — 1.8%
Vanguard S&P 500 ETF		2,721	$	739,404
Fixed Income Funds — 4.5%
Vanguard Long-Term Treasury ETF		19,396		1,843,784
Total Exchange Traded Funds (identified cost $2,540,864)				2,583,188
Mutual Funds — 86.4%
Large-Cap Funds — 10.5%
BMO Dividend Income Fund — Institutional Class (1)		22,435		301,524
BMO Large-Cap Growth Fund — Class R6 (1)		32,010		558,897
BMO Large-Cap Value Fund — Class R6 (1)		48,601		638,134
BMO Low Volatility Equity Fund — Institutional Class (1)		33,218		489,297
Dodge & Cox Stock Fund — Retail Class		2,916		498,105
Harbor Capital Appreciation Fund — Retirement Class		4,217		314,460
T. Rowe Price Growth Stock Fund — Institutional Class		3,631		256,831
Vanguard Institutional Index Fund — Institutional Class		4,553		1,212,180
Total Large-Cap Funds				4,269,428
Mid-Cap Funds — 1.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		9,675		128,492
BMO Mid-Cap Value Fund — Class R6 (1)		13,224		124,964
Vanguard Mid-Cap Index Fund — Institutional Class		4,141		183,724
Total Mid-Cap Funds				437,180
Small-Cap Funds — 0.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		12,247		195,715
BMO Small-Cap Value Fund — Class R6 (1)		9,735		105,135
Goldman Sachs Small Cap Value Fund — Institutional Class		1,749		81,789
Total Small-Cap Funds				382,639
International Funds — 6.2%
BMO Disciplined International Equity Fund — Institutional Class (1)		36,059		344,000
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		17,056		242,531
BMO Pyrford International Stock Fund — Class R6 (1)		24,782		309,275
Dodge & Cox International Stock Fund — Retail Class		11,944		454,466
MFS International Value Fund — Class R6 (2)		10,184		428,543
T. Rowe Price International Discovery Fund — Institutional Class		4,012		258,967
Vanguard Developed Markets Index Fund — Admiral Class		29,572		375,861
Vanguard Emerging Markets Stock Index Fund — Admiral Class		2,933		99,148
Total International Funds				2,512,791

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 57.9%
BMO Core Plus Bond Fund — Institutional Class (1)		596,037	$	7,253,766
Metropolitan West Total Return Bond Fund — Plan Class		829,765		8,826,874
TCW Emerging Markets Income Fund — Institutional Class		338,510		2,823,171
Vanguard Total Bond Market Index Fund — Institutional Class		411,508		4,703,542
Total Fixed Income Funds				23,607,353
Alternative Funds — 9.8%
BMO Alternative Strategies Fund — Institutional Class (1)		458,952		3,997,471
Total Mutual Funds (identified cost $30,688,799)				35,206,862
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (1)		390,478		390,517
Total Short-Term Investments — 1.0% (identified cost $390,517)				390,517
Total Investments — 93.7% (identified cost $33,620,180)				38,180,567
Other Assets and Liabilities — 6.3%				2,569,446
Total Net Assets — 100.0%			$	40,750,013

Moderate Allocation Fund

Description	Shares		Value
Exchange Traded Funds — 9.2%
Large-Cap Funds — 3.6%
Vanguard S&P 500 ETF		10,009	$	2,719,846
Fixed Income Funds — 5.6%
Vanguard Long-Term Treasury ETF		44,949		4,272,852
Total Exchange Traded Funds (identified cost $7,050,098)				6,992,698
Mutual Funds — 89.7%
Large-Cap Funds — 20.8%
BMO Dividend Income Fund — Institutional Class (1)		79,534		1,068,942
BMO Large-Cap Growth Fund — Class R6 (1)		111,395		1,944,948
BMO Large-Cap Value Fund — Class R6 (1)		193,172		2,536,342
BMO Low Volatility Equity Fund — Institutional Class (1)		121,759		1,793,513
Dodge & Cox Stock Fund — Retail Class		10,996		1,878,287
Harbor Capital Appreciation Fund — Retirement Class		14,744		1,099,466
T. Rowe Price Growth Stock Fund — Institutional Class		13,562		959,270
Vanguard Institutional Index Fund — Institutional Class		17,213		4,582,484
Total Large-Cap Funds				15,863,252
Mid-Cap Funds — 2.3%
BMO Mid-Cap Growth Fund — Class R6 (1)		39,004		517,970

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

3

February 29, 2020 (Unaudited)

Schedules of Investments

Moderate Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds (continued)
BMO Mid-Cap Value Fund — Class R6 (1)		53,695	$	507,421
Vanguard Mid-Cap Index Fund — Institutional Class		16,658		739,114
Total Mid-Cap Funds				1,764,505
Small-Cap Funds — 2.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		47,895		765,368
BMO Small-Cap Value Fund — Class R6 (1)		39,904		430,957
Goldman Sachs Small Cap Value Fund — Institutional Class		7,109		332,352
Total Small-Cap Funds				1,528,677
International Funds — 12.5%
BMO Disciplined International Equity Fund — Institutional Class (1)		135,360		1,291,335
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		61,958		881,045
BMO Pyrford International Stock Fund — Class R6 (1)		89,789		1,120,565
Dodge & Cox International Stock Fund — Retail Class		44,955		1,710,537
MFS International Value Fund — Class R6 (2)		37,175		1,564,328
T. Rowe Price International Discovery Fund — Institutional Class		16,052		1,036,135
Vanguard Developed Markets Index Fund — Admiral Class		114,022		1,449,218
Vanguard Emerging Markets Stock Index Fund — Admiral Class		12,876		435,207
Total International Funds				9,488,370
Fixed Income Funds — 43.7%
BMO Core Plus Bond Fund — Institutional Class (1)		943,486		11,482,224
Metropolitan West Total Return Bond Fund — Plan Class		1,272,776		13,539,537
TCW Emerging Markets Income Fund — Institutional Class		497,077		4,145,626
Vanguard Total Bond Market Index Fund — Institutional Class		360,712		4,122,938
Total Fixed Income Funds				33,290,325
Alternative Funds — 8.4%
BMO Alternative Strategies Fund — Institutional Class (1)		738,646		6,433,608
Total Mutual Funds (identified cost $58,655,663)				68,368,737
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (1)		793,860		793,939
Total Short-Term Investments —1.1% (identified cost $793,939)				793,939
Total Investments — 100.0% (identified cost $66,499,700)				76,155,374
Other Assets and Liabilities — 0.0%				15,129
Total Net Assets — 100.0%			$	76,170,503

Balanced Allocation Fund

Description	Shares		Value
Exchange Traded Funds — 9.7%
Large-Cap Funds — 4.9%
Vanguard S&P 500 ETF		45,366	$	12,327,757
Fixed Income Funds — 4.8%
Vanguard Long-Term Treasury ETF		128,595		12,224,241
Total Exchange Traded Funds (identified cost $25,241,501)				24,551,998
Mutual Funds — 89.6%
Large-Cap Funds — 31.4%
BMO Dividend Income Fund — Institutional Class (1)		389,813		5,239,083
BMO Large-Cap Growth Fund — Class R6 (1)		591,073		10,320,130
BMO Large-Cap Value Fund — Class R6 (1)		895,065		11,752,206
BMO Low Volatility Equity Fund — Institutional Class (1)		607,234		8,944,553
Dodge & Cox Stock Fund — Retail Class		53,612		9,158,006
Harbor Capital Appreciation Fund — Retirement Class		77,539		5,782,115
T. Rowe Price Growth Stock Fund — Institutional Class		73,098		5,170,240
Vanguard Institutional Index Fund — Institutional Class		87,824		23,380,477
Total Large-Cap Funds				79,746,810
Mid-Cap Funds — 3.4%
BMO Mid-Cap Growth Fund — Class R6 (1)		189,615		2,518,095
BMO Mid-Cap Value Fund — Class R6 (1)		264,184		2,496,536
Vanguard Mid-Cap Index Fund — Institutional Class		80,537		3,573,412
Total Mid-Cap Funds				8,588,043
Small-Cap Funds — 3.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		245,141		3,917,357
BMO Small-Cap Value Fund — Class R6 (1)		209,861		2,266,498
Goldman Sachs Small Cap Value Fund — Institutional Class		34,569		1,616,148
Total Small-Cap Funds				7,800,003
International Funds — 18.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		663,669		6,331,403
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		307,087		4,366,785
BMO Pyrford International Stock Fund — Class R6 (1)		446,866		5,576,887
Dodge & Cox International Stock Fund — Retail Class		220,010		8,371,368
MFS International Value Fund — Class R6 (2)		184,295		7,755,126
T. Rowe Price International Discovery Fund — Institutional Class		79,134		5,108,114
Vanguard Developed Markets Index Fund — Admiral Class		598,944		7,612,574

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

4

BMO Funds

Balanced Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
Vanguard Emerging Markets Stock Index Fund — Admiral Class		61,245		2,070,083
Total International Funds				47,192,340
Fixed Income Funds — 26.0%
BMO Core Plus Bond Fund — Institutional Class (1)		1,856,773		22,596,921
Metropolitan West Total Return Bond Fund — Plan Class		2,591,445		27,567,283
TCW Emerging Markets Income Fund — Institutional Class		1,234,783		10,298,090
Vanguard Total Bond Market Index Fund — Institutional Class		484,729		5,540,457
Total Fixed Income Funds				66,002,751
Alternative Funds — 7.2%
BMO Alternative Strategies Fund — Institutional Class (1)		2,097,085		18,265,605
Total Mutual Funds (identified cost $174,807,854)				227,595,552
Short-Term Investments — 1.4%
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (1)		3,497,158		3,497,508
Total Short-Term Investments — 1.4% (identified cost $3,497,508)				3,497,508
Total Investments — 100.7% (identified cost $203,546,863)				255,645,058
Other Assets and Liabilities — (0.7)%				(1,736,807	)
Total Net Assets — 100.0%			$	253,908,251

Growth Allocation Fund

Description	Shares		Value
Exchange Traded Funds — 9.1%
Large-Cap Funds — 6.0%
Vanguard S&P 500 ETF		24,466	$	6,648,391
Fixed Income Funds — 3.1%
Vanguard Long-Term Treasury ETF		35,557		3,380,048
Total Exchange Traded Funds (identified cost $10,706,607)				10,028,439
Mutual Funds — 89.7%
Large-Cap Funds — 41.4%
BMO Dividend Income Fund — Institutional Class (1)		227,101		3,052,233
BMO Large-Cap Growth Fund — Class R6 (1)		336,832		5,881,093
BMO Large-Cap Value Fund — Class R6 (1)		512,727		6,732,101
BMO Low Volatility Equity Fund — Institutional Class (1)		353,844		5,212,123
Dodge & Cox Stock Fund — Retail Class		30,158		5,151,687

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
Harbor Capital Appreciation Fund — Retirement Class		43,141	$	3,217,046
T. Rowe Price Growth Stock Fund — Institutional Class		40,557		2,868,619
Vanguard Institutional Index Fund — Institutional Class		51,175		13,623,717
Total Large-Cap Funds				45,738,619
Mid-Cap Funds — 4.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		114,273		1,517,547
BMO Mid-Cap Value Fund — Class R6 (1)		153,857		1,453,949
Vanguard Mid-Cap Index Fund — Institutional Class		48,615		2,157,022
Total Mid-Cap Funds				5,128,518
Small-Cap Funds — 4.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		140,739		2,249,009
BMO Small-Cap Value Fund — Class R6 (1)		113,352		1,224,200
Goldman Sachs Small Cap Value Fund — Institutional Class		20,159		942,457
Total Small-Cap Funds				4,415,666
International Funds — 24.6%
BMO Disciplined International Equity Fund — Institutional Class (1)		374,134		3,569,238
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		178,949		2,544,661
BMO Pyrford International Stock Fund — Class R6 (1)		260,113		3,246,212
Dodge & Cox International Stock Fund — Retail Class		126,109		4,798,440
MFS International Value Fund — Class R6 (2)		107,109		4,507,157
T. Rowe Price International Discovery Fund — Institutional Class		46,479		3,000,187
Vanguard Developed Markets Index Fund — Admiral Class		337,709		4,292,283
Vanguard Emerging Markets Stock Index Fund — Admiral Class		35,794		1,209,846
Total International Funds				27,168,024
Fixed Income Funds — 9.3%
BMO Core Plus Bond Fund — Institutional Class (1)		282,581		3,439,003
Metropolitan West Total Return Bond Fund — Plan Class		411,764		4,380,264
TCW Emerging Markets Income Fund — Institutional Class		293,378		2,446,775
Vanguard Total Bond Market Index Fund — Institutional Class		566		6,472
Total Fixed Income Funds				10,272,514
Alternative Funds — 5.8%
BMO Alternative Strategies Fund — Institutional Class (1)		737,207		6,421,077
Total Mutual Funds (identified cost $75,005,387)				99,144,418

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

5

February 29, 2020 (Unaudited)

Schedules of Investments

Growth Allocation Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (1)		1,098,403	$	1,098,512
Total Short-Term Investments — 1.0% (identified cost $1,098,512)				1,098,512
Total Investments — 99.8% (identified cost $86,810,506)				110,271,369
Other Assets and Liabilities — 0.2%				245,307
Total Net Assets — 100.0%			$	110,516,676

Aggressive Allocation Fund

Description	Shares		Value
Exchange Traded Funds — 7.1%
Large-Cap Funds — 7.1%
Vanguard S&P 500 ETF (identified cost $11,806,145)		38,120	$	10,358,729
Mutual Funds — 92.0%
Large-Cap Funds — 50.4%
BMO Dividend Income Fund — Institutional Class (1)		371,000		4,986,236
BMO Large-Cap Growth Fund — Class R6 (1)		535,787		9,354,833
BMO Large-Cap Value Fund — Class R6 (1)		816,467		10,720,210
BMO Low Volatility Equity Fund — Institutional Class (1)		568,860		8,379,314
Dodge & Cox Stock Fund — Retail Class		48,025		8,203,708
Harbor Capital Appreciation Fund — Retirement Class		69,916		5,213,648
T. Rowe Price Growth Stock Fund — Institutional Class		65,181		4,610,229
Vanguard Institutional Index Fund — Institutional Class		82,244		21,895,070
Total Large-Cap Funds				73,363,248
Mid-Cap Funds — 5.8%
BMO Mid-Cap Growth Fund — Class R6 (1)		184,444		2,449,414
BMO Mid-Cap Value Fund — Class R6 (1)		265,298		2,507,064
Vanguard Mid-Cap Index Fund — Institutional Class		77,602		3,443,192
Total Mid-Cap Funds				8,399,670

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 5.1%
BMO Small-Cap Growth Fund — Institutional Class (1)		235,692	$	3,766,362
BMO Small-Cap Value Fund — Class R6 (1)		191,451		2,067,674
Goldman Sachs Small Cap Value Fund — Institutional Class		34,006		1,589,818
Total Small-Cap Funds				7,423,854
International Funds — 30.2%
BMO Disciplined International Equity Fund — Institutional Class (1)		602,470		5,747,569
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		291,136		4,139,960
BMO Pyrford International Stock Fund — Class R6 (1)		417,788		5,213,989
Dodge & Cox International Stock Fund — Retail Class		200,337		7,622,808
MFS International Value Fund — Class R6 (2)		172,770		7,270,170
T. Rowe Price International Discovery Fund — Institutional Class		74,939		4,837,299
Vanguard Developed Markets Index Fund — Admiral Class		553,191		7,031,056
Vanguard Emerging Markets Stock Index Fund — Admiral Class		59,927		2,025,545
Total International Funds				43,888,396
Alternative Funds — 0.5%
BMO Alternative Strategies Fund — Institutional Class (1)		91,278		795,032
Total Mutual Funds (identified cost $91,514,279)				133,870,200
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.550% (1)		1,380,239		1,380,377
Total Short-Term Investments — 1.0% (identified cost $1,380,377)				1,380,377
Total Investments — 100.1% (identified cost $104,700,801)				145,609,306
Other Assets and Liabilities — (0.1)%				(109,832	)
Total Net Assets — 100.0%			$	145,499,474

Notes to Schedules of Investments

The categories of investments are shown as a percentage of total net assets for each Fund as of February 29, 2020.

(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.

ETF- Exchange Traded Fund

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

6

February 29, 2020 (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	$	23,100,849	$	44,587,197	$	147,555,491	$	62,630,411	$	84,101,272
Cash sweep investments in affiliated issuers, at value		390,517		793,939		3,497,508		1,098,512		1,380,377
Investments in other affiliated issuers, at value		14,689,201		30,774,238		104,592,059		46,542,446		60,127,657
Dividends and interest receivable		55,986		80,308		165,973		27,622		2,448
Receivable for investments sold		631,863		711,162		2,910,248		—		—
Receivable for capital stock sold		2,482,471		54,556		13,484		467,156		133,483
Receivable from affiliates, net (Note 5)		12,831		14,778		2,013		17,272		7,558
Prepaid expenses and other receivables		42,377		43,725		43,852		43,074		43,313
Total assets		41,406,095		77,059,903		258,780,628		110,826,493		145,796,108
Liabilities:
Payable for investments purchased		614,060		692,051		3,902,978		—		—
Payable for capital stock redeemed		29,036		181,371		946,006		295,931		277,280
Other liabilities		12,986		15,978		23,393		13,886		19,354
Total liabilities		656,082		889,400		4,872,377		309,817		296,634
Total net assets	$	40,750,013	$	76,170,503	$	253,908,251	$	110,516,676	$	145,499,474
Net assets consist of:
Paid-in capital	$	35,866,772	$	64,408,249	$	190,080,949	$	82,331,894	$	95,894,170
Distributable earnings		4,883,241		11,762,254		63,827,302		28,184,782		49,605,304
Total net assets	$	40,750,013	$	76,170,503	$	253,908,251	$	110,516,676	$	145,499,474
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	7.42	$	8.73	$	7.74	$	8.67	$	7.78
Institutional class of shares		7.77		8.76		7.73		8.66		7.77
Retirement class R-3 of shares		7.59		8.75		7.76		8.69		7.76
Retirement class R-6 of shares		7.48		8.77		7.75		8.69		7.79
Net assets:
Investor class of shares	$	10,136,191	$	3,273,149	$	49,384,591	$	2,389,619	$	16,990,718
Institutional class of shares		401,936		7,601,676		35,298,723		11,051,877		9,196,205
Retirement class R-3 of shares		566,148		7,013,134		13,790,375		8,416,348		16,334,941
Retirement class R-6 of shares		29,645,738		58,282,544		155,434,562		88,658,832		102,977,610
Total net assets	$	40,750,013	$	76,170,503	$	253,908,251	$	110,516,676	$	145,499,474
Shares outstanding:
Investor class of shares		1,365,803		374,954		6,378,358		275,588		2,184,005
Institutional class of shares		51,703		868,208		4,563,620		1,275,945		1,183,408
Retirement class R-3 of shares		74,574		801,844		1,778,123		968,798		2,103,762
Retirement class R-6 of shares		3,964,453		6,646,170		20,044,895		10,203,624		13,224,825
Total shares outstanding		5,456,533		8,691,176		32,764,996		12,723,955		18,696,000
Investments, at cost:
Investments in unaffiliated issuers	$	20,146,661	$	38,021,365	$	110,213,026	$	44,307,209	$	53,865,841
Cash sweep investments in affiliated issuers		390,517		793,939		3,497,508		1,098,512		1,380,377
Investments in other affiliated issuers		13,083,002		27,684,396		89,836,329		41,404,785		49,454,583
Total investments, at cost	$	33,620,180	$	66,499,700	$	203,546,863	$	86,810,506	$	104,700,801

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

7

February 29, 2020 (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	$	97,569		$	558,602		$	1,966,860		$	796,185		$	1,061,754
Affiliated issuers		406,949			414,628			1,584,903			722,357			1,060,394
Excess expense reimbursement from investment adviser (Note 5)		9,145			28,577			55,640			45,880			39,694
Total income		513,663			1,001,807			3,607,403			1,564,422			2,161,842
Expenses:
Shareholder servicing fees (Note 5)		13,085			4,394			76,996			6,902			29,364
Administration fees (Note 5)		8,732			12,925			85,234			20,467			38,946
Portfolio accounting fees		12,708			13,886			25,388			15,787			18,675
Recordkeeping fees		19,538			18,141			19,423			18,206			18,779
Custodian fees		907			1,682			6,662			2,697			3,901
Registration fees		31,004			31,075			31,648			31,248			31,249
Professional fees		7,409			7,409			7,409			7,409			7,409
Printing and postage		4,356			4,885			5,281			4,475			5,177
Directors’ fees		7,967			7,967			7,967			7,967			7,967
Distribution services fees (Note 5)		1,594			18,045			35,507			21,857			43,020
Miscellaneous		2,442			3,030			6,454			3,621			4,734
Total expenses		109,742			123,439			307,969			140,636			209,221
Deduct:
Expense waivers (Note 5)		(90,399	)		(96,443	)		(149,453	)		(104,660	)		(115,255	)
Net expenses		19,343			26,996			158,516			35,976			93,966
Net investment income		494,320			974,811			3,448,887			1,528,446			2,067,876
Realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		324,064			2,005,701			10,061,535			3,418,010			5,891,434
Investments in affiliated issuers		249,919			517,578			4,175,228			1,572,929			3,127,938
Net realized gain (loss) on capital gains distributions from:
Investments in unaffiliated issuers		(120,780	)		427,349			1,946,718			1,016,347			1,623,200
Investments in affiliated issuers		348,241			244,630			1,324,376			768,470			1,288,501
Total net realized gain (loss)		801,444			3,195,258			17,507,857			6,775,756			11,931,073
Net change in unrealized appreciation/depreciation on:
Investments in unaffiliated issuers		(48,086	)		(1,864,285	)		(10,552,047	)		(4,327,993	)		(7,791,657	)
Investments in affiliated issuers		(513,135	)		(1,202,573	)		(6,792,963	)		(3,042,057	)		(4,785,563	)
Total net change in unrealized appreciation/depreciation		(561,221	)		(3,066,858	)		(17,345,010	)		(7,370,050	)		(12,577,220	)
Net realized and unrealized gain (loss)		240,223			128,400			162,847			(594,294	)		(646,147	)
Change in net assets resulting from operations	$	734,543		$	1,103,211		$	3,611,734		$	934,152		$	1,421,729

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

8

Statements of Changes in Net Assets BMO Funds

	Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	494,320		$	981,460		$	974,811		$	1,837,031
Net realized gain (loss) on investments		801,444			976,446			3,195,258			2,627,602
Net change in unrealized appreciation/depreciation on investments		(561,221	)		94,897			(3,066,858	)		(3,037,226	)
Change in net assets resulting from operations		734,543			2,052,803			1,103,211			1,427,407
Distributions to shareholders:
Investor class of shares		(588,913	)		(1,832,308	)		(210,809	)		(498,960	)
Institutional class of shares		(29,294	)		(80,131	)		(370,646	)		(652,823	)
Retirement class R-3 of shares		(34,543	)		(138,410	)		(410,410	)		(807,355	)
Retirement class R-6 of shares		(1,456,744	)		(3,516,104	)		(3,427,730	)		(6,601,234	)
Change in net assets resulting from distributions to shareholders		(2,109,494	)		(5,566,953	)		(4,419,595	)		(8,560,372	)
Capital stock transactions:
Proceeds from sale of shares		7,255,627			12,833,774			12,560,787			21,406,373
Net asset value of shares issued to shareholders in payment of distributions declared		2,109,494			5,566,953			4,393,582			8,560,371
Cost of shares redeemed		(5,030,978	)		(14,610,744	)		(9,288,293	)		(32,977,344	)
Change in net assets resulting from capital stock transactions		4,334,143			3,789,983			7,666,076			(3,010,600	)
Change in net assets		2,959,192			275,833			4,349,692			(10,143,565	)
Net assets:
Beginning of period		37,790,821			37,514,988			71,820,811			81,964,376
End of period	$	40,750,013		$	37,790,821		$	76,170,503		$	71,820,811

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

9

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	3,448,887		$	6,479,257		$	1,528,446		$	2,202,510		$	2,067,876		$	3,044,980
Net realized gain (loss) on investments		17,507,857			21,400,763			6,775,756			7,003,942			11,931,073			12,682,620
Net change in unrealized appreciation/depreciation on investments		(17,345,010	)		(24,330,313	)		(7,370,050	)		(10,039,095	)		(12,577,220	)		(19,115,380	)
Change in net assets resulting from operations		3,611,734			3,549,707			934,152			(832,643	)		1,421,729			(3,387,780	)
Distributions to shareholders:
Investor class of shares		(6,302,490	)		(8,967,196	)		(472,835	)		(690,676	)		(2,248,354	)		(3,116,691	)
Institutional class of shares		(3,952,087	)		(3,335,219	)		(1,063,122	)		(1,735,406	)		(1,042,965	)		(1,541,577	)
Retirement class R-3 of shares		(1,386,719	)		(1,767,800	)		(642,786	)		(976,684	)		(1,537,576	)		(1,805,967	)
Retirement class R-6 of shares		(15,963,209	)		(17,482,928	)		(7,071,756	)		(8,566,608	)		(10,584,450	)		(13,423,510	)
Change in net assets resulting from distributions to shareholders		(27,604,505	)		(31,553,143	)		(9,250,499	)		(11,969,374	)		(15,413,345	)		(19,887,745	)
Capital stock transactions:
Proceeds from sale of shares		26,044,987			54,213,225			15,547,809			26,450,385			16,858,227			26,760,381
Net asset value of shares issued to shareholders in payment of distributions declared		27,551,532			31,544,597			9,250,499			11,969,373			15,406,632			19,878,744
Cost of shares redeemed		(49,386,218	)		(129,776,859	)		(19,849,144	)		(34,353,214	)		(35,048,765	)		(40,818,080	)
Change in net assets resulting from capital stock transactions		4,210,301			(44,019,037	)		4,949,164			4,066,544			(2,783,906	)		5,821,045
Change in net assets		(19,782,470	)		(72,022,473	)		(3,367,183	)		(8,735,473	)		(16,775,522	)		(17,454,480	)
Net assets:
Beginning of period		273,690,721			345,713,194			113,883,859			122,619,332			162,274,996			179,729,476
End of period	$	253,908,251		$	273,690,721		$	110,516,676		$	113,883,859		$	145,499,474		$	162,274,996

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

10

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Conservative Allocation Fund
2020(5)		$	7.72		$	0.09			$	0.05			$	0.14			$	(0.22	)		$	(0.22	)		$	(0.44	)		$	7.42		1.82	%		0.86	%		0.33	%		2.35	%		$	10,136		38	%
2019			8.67			0.18	(6)			0.14				0.32				(0.22	)			(1.05	)			(1.27	)			7.72		5.13			0.85			0.33			2.36				10,526		50
2018			10.02			0.21				(0.03	)			0.18				(0.40	)			(1.13	)			(1.53	)			8.67		1.79			0.79			0.33			1.99				13,395		29
2017			9.80			0.18				0.28				0.46				(0.24	)			(0.00	)			(0.24	)			10.02		4.83			0.58			0.33			1.55				15,531		40
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
Moderate Allocation Fund
2020(5)			9.13			0.11				0.04				0.15				(0.23	)			(0.32	)			(0.55	)			8.73		1.58			0.64			0.30			2.33				3,273		47
2019			9.92			0.19	(6)			0.02				0.21				(0.26	)			(0.74	)			(1.00	)			9.13		3.15			0.64			0.30			2.05				3,486		57
2018			10.08			0.18				0.31				0.49				(0.19	)			(0.46	)			(0.65	)			9.92		4.94			0.60			0.30			1.69				7,126		31
2017			9.72			0.17				0.55				0.72				(0.22	)			(0.14	)			(0.36	)			10.08		7.59			0.58			0.30			1.43				7,777		39
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
Balanced Allocation Fund
2020(5)			8.49			0.10				0.02				0.12				(0.19	)			(0.68	)			(0.87	)			7.74		1.01			0.48			0.33			2.32				49,385		32
2019			9.41			0.23				(0.25	)			(0.02	)			(0.21	)			(0.69	)			(0.90	)			8.49		0.94			0.47			0.33			1.87				62,662		52
2018			9.65			0.15				0.60				0.75				(0.18	)			(0.81	)			(0.99	)			9.41		8.06			0.48			0.33			1.39				98,453		29
2017			9.42			0.13				0.79				0.92				(0.18	)			(0.51	)			(0.69	)			9.65		10.33			0.48			0.33			1.19				101,517		35
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
Growth Allocation Fund
2020(5)			9.33			0.56				(0.48	)			0.08				(0.19	)			(0.55	)			(0.74	)			8.67		0.36			0.55			0.30			2.50				2,390		39
2019			10.58			0.15	(6)			(0.39	)			(0.24	)			(0.22	)			(0.79	)			(1.01	)			9.33		(1.00	)		0.56			0.30			1.63				5,883		44
2018			10.23			0.13				0.98				1.11				(0.18	)			(0.58	)			(0.76	)			10.58		11.15			0.56			0.30			1.18				13,887		32
2017			9.57			0.10				1.11				1.21				(0.12	)			(0.43	)			(0.55	)			10.23		13.27			0.57			0.30			1.10				16,758		42
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
Aggressive Allocation Fund
2020(5)			8.53			0.14				(0.07	)			0.07				(0.16	)			(0.66	)			(0.82	)			7.78		0.06			0.52			0.33			2.35				16,991		28
2019			10.01			0.24				(0.61	)			(0.37	)			(0.21	)			(0.90	)			(1.11	)			8.53		(2.10	)		0.52			0.33			1.59				23,715		47
2018			10.01			0.12				1.20				1.32				(0.19	)			(1.13	)			(1.32	)			10.01		13.90			0.53			0.33			1.06				34,898		27
2017			9.56			0.11				1.27				1.38				(0.10	)			(0.83	)			(0.93	)			10.01		15.60			0.53			0.33			1.03				37,632		33
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

(1) Annualized for periods less than one year.

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

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

(4) 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.

(5) For the six months ended February 29, 2020 (unaudited).

(6) Calculated using the average shares method.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

11

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Conservative Allocation Fund
2020(5)		$	8.05		$	2.13	(6)		$	(1.97	)		$	0.16			$	(0.22	)		$	(0.22	)		$	(0.44	)		$	7.77		2.00	%		0.60	%		0.08	%		2.45	%		$	402		38	%
2019			8.97			0.21	(6)			0.14				0.35				(0.22	)			(1.05	)			(1.27	)			8.05		5.32			0.60			0.08			2.57				564		50
2018			10.02			3.41				(3.20	)			0.21				(0.13	)			(1.13	)			(1.26	)			8.97		2.11			0.52			0.08			1.10				1,416		29
2017			9.81			0.18				0.30				0.48				(0.27	)			(0.00	)			(0.27	)			10.02		5.07			0.33			0.08			1.78				26,464		40
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
Moderate Allocation Fund
2020(5)			9.16			0.14				0.02				0.16				(0.24	)			(0.32	)			(0.56	)			8.76		1.54			0.39			0.05			2.74				7,602		47
2019			9.94			0.21	(6)			0.02				0.23				(0.27	)			(0.74	)			(1.01	)			9.16		3.42			0.39			0.05			2.27				6,997		57
2018			10.08			0.28				0.25				0.53				(0.21	)			(0.46	)			(0.67	)			9.94		5.33			0.36			0.05			1.68				5,888		31
2017			9.73			0.17				0.57				0.74				(0.25	)			(0.14	)			(0.39	)			10.08		7.82			0.33			0.05			1.66				9,375		39
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
Balanced Allocation Fund
2020(5)			8.50			0.11				0.02				0.13				(0.22	)			(0.68	)			(0.90	)			7.73		1.07			0.23			0.08			2.59				35,299		32
2019			9.42			0.26				(0.26	)			—				(0.23	)			(0.69	)			(0.92	)			8.50		1.23			0.22			0.08			1.99				37,232		52
2018			9.66			0.19				0.58				0.77				(0.20	)			(0.81	)			(1.01	)			9.42		8.27			0.23			0.08			1.61				47,597		29
2017			9.43			0.13				0.81				0.94				(0.20	)			(0.51	)			(0.71	)			9.66		10.67			0.23			0.08			1.42				52,821		35
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
Growth Allocation Fund
2020(5)			9.32			0.14				(0.05	)			0.09				(0.20	)			(0.55	)			(0.75	)			8.66		0.52			0.30			0.05			2.74				11,052		39
2019			10.59			0.18	(6)			(0.42	)			(0.24	)			(0.24	)			(0.79	)			(1.03	)			9.32		(0.88	)		0.31			0.05			1.96				13,390		44
2018			10.23			0.15				1.00				1.15				(0.21	)			(0.58	)			(0.79	)			10.59		11.59			0.31			0.05			1.42				11,441		32
2017			9.58			0.09				1.14				1.23				(0.15	)			(0.43	)			(0.58	)			10.23		13.51			0.32			0.05			1.15				8,969		42
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
Aggressive Allocation Fund
2020(5)			8.53			0.14				(0.06	)			0.08				(0.18	)			(0.66	)			(0.84	)			7.77		0.16			0.27			0.08			2.60				9,196		28
2019			10.01			0.26				(0.61	)			(0.35	)			(0.23	)			(0.90	)			(1.13	)			8.53		(1.79	)		0.27			0.08			1.79				12,095		47
2018			10.00			0.15				1.20				1.35				(0.21	)			(1.13	)			(1.34	)			10.01		14.26			0.28			0.08			1.23				15,878		27
2017			9.57			0.14				1.25				1.39				(0.13	)			(0.83	)			(0.96	)			10.00		15.79			0.28			0.08			1.29				14,685		33
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

(1) Annualized for periods less than one year.

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

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

(4) 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.

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

12

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Conservative Allocation Fund
2020(5)		$	7.88		$	0.16			$	(0.02	)		$	0.14			$	(0.21	)		$	(0.22	)		$	(0.43	)		$	7.59		1.73	%		1.11	%		0.58	%		2.10	%		$	566		38	%
2019			8.84			0.17	(6)			0.13				0.30				(0.21	)			(1.05	)			(1.26	)			7.88		4.78			1.10			0.58			2.14				633		50
2018			10.01			0.52				(0.36	)			0.16				(0.20	)			(1.13	)			(1.33	)			8.84		1.58			1.04			0.58			1.41				956		29
2017			9.80			0.13				0.30				0.43				(0.22	)			(0.00	)			(0.22	)			10.01		4.52			0.83			0.58			1.34				3,012		40
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
Moderate Allocation Fund
2020(5)			9.14			0.09				0.05				0.14				(0.21	)			(0.32	)			(0.53	)			8.75		1.45			0.89			0.55			2.07				7,013		47
2019			9.91			0.17	(6)			0.02				0.19				(0.22	)			(0.74	)			(0.96	)			9.14		2.94			0.89			0.55			1.89				6,975		57
2018			10.08			0.20				0.26				0.46				(0.17	)			(0.46	)			(0.63	)			9.91		4.65			0.85			0.55			1.43				8,095		31
2017			9.72			0.11				0.58				0.69				(0.19	)			(0.14	)			(0.33	)			10.08		7.37			0.83			0.55			1.10				13,725		39
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
Balanced Allocation Fund
2020(5)			8.50			0.08				0.03				0.11				(0.17	)			(0.68	)			(0.85	)			7.76		0.78			0.73			0.58			2.02				13,790		32
2019			9.41			0.21				(0.24	)			(0.03	)			(0.19	)			(0.69	)			(0.88	)			8.50		0.75			0.72			0.58			1.73				13,632		52
2018			9.64			0.13				0.59				0.72				(0.14	)			(0.81	)			(0.95	)			9.41		7.77			0.73			0.58			1.16				19,213		29
2017			9.40			0.09				0.80				0.89				(0.14	)			(0.51	)			(0.65	)			9.64		10.11			0.73			0.58			0.92				23,649		35
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
Growth Allocation Fund
2020(5)			9.34			0.08				(0.01	)			0.07				(0.17	)			(0.55	)			(0.72	)			8.69		0.24			0.80			0.55			1.98				8,416		39
2019			10.58			0.15	(6)			(0.42	)			(0.27	)			(0.18	)			(0.79	)			(0.97	)			9.34		(1.29	)		0.81			0.55			1.59				8,220		44
2018			10.22			0.10				0.99				1.09				(0.15	)			(0.58	)			(0.73	)			10.58		11.00			0.81			0.55			0.91				15,107		32
2017			9.55			0.10				1.08				1.18				(0.08	)			(0.43	)			(0.51	)			10.22		12.96			0.82			0.55			0.85				18,846		42
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
Aggressive Allocation Fund
2020(5)			8.50			0.09				(0.03	)			0.06				(0.14	)			(0.66	)			(0.80	)			7.76		(0.04	)		0.77			0.58			1.94				16,335		28
2019			9.99			0.20				(0.60	)			(0.40	)			(0.19	)			(0.90	)			(1.09	)			8.50		(2.47	)		0.77			0.58			1.29				16,079		47
2018			9.98			0.10				1.20				1.30				(0.16	)			(1.13	)			(1.29	)			9.99		13.70			0.78			0.58			0.79				16,950		27
2017			9.55			0.06				1.29				1.35				(0.09	)			(0.83	)			(0.92	)			9.98		15.24			0.78			0.58			0.63				17,152		33
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

(1) Annualized for periods less than one year.

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

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

(4) 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.

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

13

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 (2)(3)			Ratios to Average Net Assets (1)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (4)			Net investment income (loss) (4)
Conservative Allocation Fund
2020(5)		$	7.76		$	0.12			$	0.04			$	0.16			$	(0.22	)		$	(0.22	)		$	(0.44	)		$	7.48		2.08	%		0.46	%		0.00	%		2.74	%		$	29,646		38	%
2019			8.68			0.21	(6)			0.14				0.35				(0.22	)			(1.05	)			(1.27	)			7.76		5.51			0.45			0.00			2.72				26,067		50
2018			10.03			0.21				0.01				0.22				(0.44	)			(1.13	)			(1.57	)			8.68		2.28			0.39			0.00			2.42				21,748		29
2017			9.82			0.27				0.23				0.50				(0.29	)			(0.00	)			(0.29	)			10.03		5.22			0.18			0.00			1.96				28,927		40
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
Moderate Allocation Fund
2020(5)			9.16			0.13				0.04				0.17				(0.24	)			(0.32	)			(0.56	)			8.77		1.76			0.24			0.00			2.69				58,283		47
2019			9.92			0.23	(6)			0.02				0.25				(0.27	)			(0.74	)			(1.01	)			9.16		3.63			0.24			0.00			2.58				54,363		57
2018			10.09			0.22				0.31				0.53				(0.24	)			(0.46	)			(0.70	)			9.92		5.33			0.20			0.00			2.12				60,855		31
2017			9.74			0.21				0.54				0.75				(0.26	)			(0.14	)			(0.40	)			10.09		8.02			0.18			0.00			1.83				80,283		39
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
Balanced Allocation Fund
2020(5)			8.52			0.12				0.01				0.13				(0.22	)			(0.68	)			(0.90	)			7.75		1.08			0.08			0.00			2.64				155,435		32
2019			9.42			0.25				(0.23	)			0.02				(0.23	)			(0.69	)			(0.92	)			8.52		1.48			0.07			0.00			2.23				160,166		52
2018			9.66			0.18				0.61				0.79				(0.22	)			(0.81	)			(1.03	)			9.42		8.51			0.08			0.00			1.82				180,451		29
2017			9.44			0.19				0.76				0.95				(0.22	)			(0.51	)			(0.73	)			9.66		10.73			0.08			0.00			1.67				193,690		35
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
Growth Allocation Fund
2020(5)			9.34			0.13				(0.03	)			0.10				(0.20	)			(0.55	)			(0.75	)			8.69		0.63			0.15			0.00			2.60				88,659		39
2019			10.59			0.18	(6)			(0.40	)			(0.22	)			(0.24	)			(0.79	)			(1.03	)			9.34		(0.68	)		0.16			0.00			1.94				86,392		44
2018			10.24			0.17				0.99				1.16				(0.23	)			(0.58	)			(0.81	)			10.59		11.66			0.17			0.00			1.59				82,185		32
2017			9.59			0.16				1.09				1.25				(0.17	)			(0.43	)			(0.60	)			10.24		13.69			0.17			0.00			1.49				84,417		42
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
Aggressive Allocation Fund
2020(5)			8.54			0.12				(0.03	)			0.09				(0.18	)			(0.66	)			(0.84	)			7.79		0.28			0.12			0.00			2.61				102,978		28
2019			10.02			0.25				(0.60	)			(0.35	)			(0.23	)			(0.90	)			(1.13	)			8.54		(1.77	)		0.12			0.00			1.94				110,386		47
2018			10.01			0.16				1.21				1.37				(0.23	)			(1.13	)			(1.36	)			10.02		14.51			0.13			0.00			1.47				112,003		27
2017			9.58			0.15				1.26				1.41				(0.15	)			(0.83	)			(0.98	)			10.01		16.00			0.13			0.00			1.43				105,925		33
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

(1) Annualized for periods less than one year.

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

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

(4) 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.

(5) For the six months ended February 29, 2020 (Unaudited).

(6) Calculated using the average shares method.

(See Notes to Schedules of Investments and Notes to Financial Statements, which are an integral part of the Financial Statements)

14

February 29, 2020 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940 (the “Act”), as amended, as an open-end management investment company. As of February 29, 2020, the Corporation consisted of 31 portfolios, including 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 26 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.

Fund	Inception Date	Investment Objective
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 Funds, based on each Fund’s total assets, is set forth below.

Fund	Equity		Fixed Income		Alternatives		Money Market Funds
Conservative Allocation Fund		10%-30%		60%-80%		0%-15%		0%-10%
Moderate Allocation Fund		30%-50%		40%-60%		0%-15%		0%-10%
Balanced Allocation Fund		50%-70%		25%-45%		0%-15%		0%-10%
Growth Allocation Fund		70%-90%		5%-25%		0%-15%		0%-10%
Aggressive Allocation Fund		90%–100%		0%		0%–10%		0%–10%

Each Fund seeks to achieve its investment objectives by investing in a mix of BMO Funds (without limitation) 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 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 Fund or the financial statements presented.

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 except in the case of certain foreign securities, for which dividends are recorded as soon after the ex-dividend date as the Fund’s information agents become aware of such dividends. Non-cash dividends included in dividend income, if any, are recorded at fair value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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

15

Notes to Financial Statements (continued)

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 (the “Code”), as amended, and distribution to shareholders each year of substantially all of their income. Accordingly, no provision 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 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 Funds’ 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 a significant decrease occurs in the trade volume and/or frequency for an asset, or when a transaction is not orderly, and how that information must be incorporated into fair value measurement.

In August 2018, the FASB issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820)—Disclosures Framework—Changes to Disclosure Requirements of Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019 and for interim periods within those fiscal years; however, management has elected to early adopt ASU 2018-13 effective with the current reporting period as permitted by the standard. The impact of the Fund’s adoption was limited to changes in the Fund’s financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy and disclosure of the range and weighted average used to develop significant unobservable inputs for Level 3 fair value measurements, when applicable.

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 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.

For the period ended February 29, 2020, 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 29, 2020, 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 29, 2020.

16

BMO Funds

The following is a summary of the inputs used, as of February 29, 2020, in valuing the Funds’ assets:

	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	2,583,188	$	—	$	—	$	2,583,188
Mutual Funds		35,206,862		—		—		35,206,862
Short-Term Investments		390,517		—		—		390,517
Total	$	38,180,567	$	—	$	—	$	38,180,567
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	6,992,698	$	—	$	—	$	6,992,698
Mutual Funds		68,368,737		—		—		68,368,737
Short-Term Investments		793,939		—		—		793,939
Total	$	76,155,374	$	—	$	—	$	76,155,374
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	24,551,998	$	—	$	—	$	24,551,998
Mutual Funds		227,595,552		—		—		227,595,552
Short-Term Investments		3,497,508		—		—		3,497,508
Total	$	255,645,058	$	—	$	—	$	255,645,058

	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	10,028,439	$	—	$	—	$	10,028,439
Mutual Funds		99,144,417		—		—		99,144,417
Short-Term Investments		1,098,513		—		—		1,098,513
Total	$	110,271,369	$	—	$	—	$	110,271,369
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Exchange Traded Funds	$	10,358,729	$	—	$	—	$	10,358,729
Mutual Funds		133,870,200		—		—		133,870,200
Short-Term Investments		1,380,377		—		—		1,380,377
Total	$	145,609,306	$	—	$	—	$	145,609,306

17

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:

	Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	198,221		$	2,465,164		$	310,976		$	950,509
Institutional class of shares		172,805			117,705			3,451,619			3,116,147
Retirement class R-3 of shares		17,358			121,181			653,057			1,154,804
Retirement class R-6 of shares		6,867,243			10,129,724			8,145,135			16,184,913
Net proceeds from sale of shares		7,255,627			12,833,774			12,560,787			21,406,373
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		588,913			1,832,308			210,809			498,960
Institutional class of shares		29,294			80,131			344,633			652,822
Retirement class R-3 of shares		34,543			138,410			410,410			807,355
Retirement class R-6 of shares		1,456,744			3,516,104			3,427,730			6,601,234
Net proceeds from shares issued:		2,109,494			5,566,953			4,393,582			8,560,371
Cost of shares redeemed:
Investor class of shares		(785,659	)		(5,875,859	)		(585,975	)		(4,670,009	)
Institutional class of shares		(348,968	)		(995,816	)		(2,855,009	)		(2,215,134	)
Retirement class R-3 of shares		(97,394	)		(478,752	)		(714,876	)		(2,437,709	)
Retirement class R-6 of shares		(3,798,957	)		(7,260,317	)		(5,132,433	)		(23,654,492	)
Net cost of shares redeemed		(5,030,978	)		(14,610,744	)		(9,288,293	)		(32,977,344	)
Net change resulting from fund share transactions in dollars	$	4,334,143		$	3,789,983		$	7,666,076		$	(3,010,600	)

	Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		26,016			324,199			34,303			105,457
Institutional class of shares		22,188			15,097			379,433			335,532
Retirement class R-3 of shares		2,216			15,349			70,868			125,926
Retirement class R-6 of shares		902,428			1,296,852			889,582			1,750,383
Net sale of shares		952,848			1,651,497			1,374,186			2,317,298
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		79,475			260,642			23,687			60,701
Institutional class of shares		3,780			10,947			38,636			79,419
Retirement class R-3 of shares		4,557			19,250			46,010			97,980
Retirement class R-6 of shares		195,274			498,738			383,844			803,070
Net shares issued		283,086			789,577			492,177			1,041,170
Shares redeemed:
Investor class of shares		(103,220	)		(765,774	)		(64,742	)		(502,486	)
Institutional class of shares		(44,327	)		(113,856	)		(314,125	)		(243,374	)
Retirement class R-3 of shares		(12,542	)		(62,442	)		(78,259	)		(277,395	)
Retirement class R-6 of shares		(492,407	)		(942,390	)		(562,051	)		(2,750,279	)
Net shares redeemed		(652,496	)		(1,884,462	)		(1,019,177	)		(3,773,534	)
Net change resulting from fund share transactions in shares		583,438			556,612			847,186			(415,066	)

18

BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,654,426		$	6,856,544		$	473,006		$	1,098,046		$	515,705		$	2,496,835
Institutional class of shares		2,124,146			15,613,631			406,521			7,043,334			311,784			1,002,999
Retirement class R-3 of shares		531,067			933,516			526,143			1,187,845			1,269,821			1,551,068
Retirement class R-6 of shares		21,735,348			30,809,534			14,142,139			17,121,160			14,760,917			21,709,479
Net proceeds from sale of shares		26,044,987			54,213,225			15,547,809			26,450,385			16,858,227			26,760,381
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		6,302,490			8,958,651			472,835			690,675			2,241,641			3,107,692
Institutional class of shares		3,899,114			3,335,219			1,063,122			1,735,406			1,042,965			1,541,575
Retirement class R-3 of shares		1,386,719			1,767,800			642,786			976,684			1,537,576			1,805,967
Retirement class R-6 of shares		15,963,209			17,482,927			7,071,756			8,566,608			10,584,450			13,423,510
Net proceeds from shares issued:		27,551,532			31,544,597			9,250,499			11,969,373			15,406,632			19,878,744
Cost of shares redeemed:
Investor class of shares		(16,218,901	)		(43,512,389	)		(4,259,199	)		(8,973,691	)		(7,835,414	)		(12,956,666	)
Institutional class of shares		(4,541,912	)		(26,307,153	)		(2,994,680	)		(4,945,775	)		(3,440,114	)		(4,555,850	)
Retirement class R-3 of shares		(490,960	)		(6,503,889	)		(339,969	)		(7,834,425	)		(976,747	)		(2,002,966	)
Retirement class R-6 of shares		(28,134,445	)		(53,453,428	)		(12,255,296	)		(12,599,323	)		(22,796,490	)		(21,302,598	)
Net cost of shares redeemed		(49,386,218	)		(129,776,859	)		(19,849,144	)		(34,353,214	)		(35,048,765	)		(40,818,080	)
Net change resulting from fund share transactions in dollars	$	4,210,301		$	(44,019,037	)	$	4,949,164		$	4,066,544		$	(2,783,906	)	$	5,821,045

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019			Six Months Ended February 29, 2020 (Unaudited)			Year Ended August 31, 2019
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		197,660			817,103			50,016			116,942			58,334			300,242
Institutional class of shares		250,528			1,817,532			43,798			676,329			36,456			118,215
Retirement class R-3 of shares		62,112			109,123			54,824			126,403			143,454			179,397
Retirement class R-6 of shares		2,607,192			3,504,426			1,490,339			1,785,288			1,689,465			2,442,138
Net sale of shares		3,117,492			6,248,184			1,638,977			2,704,962			1,927,709			3,039,992
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		780,011			1,185,007			50,952			84,023			264,033			418,826
Institutional class of shares		483,162			441,166			114,808			211,635			123,137			208,040
Retirement class R-3 of shares		171,200			233,219			69,117			118,530			181,532			243,720
Retirement class R-6 of shares		1,973,203			2,312,557			761,222			1,043,437			1,246,696			1,811,540
Net shares issued		3,407,576			4,171,949			996,099			1,457,625			1,815,398			2,682,126
Shares redeemed:
Investor class of shares		(1,975,783	)		(5,090,096	)		(456,035	)		(882,257	)		(919,452	)		(1,422,575	)
Institutional class of shares		(548,593	)		(2,932,262	)		(318,980	)		(532,221	)		(394,704	)		(493,342	)
Retirement class R-3 of shares		(58,896	)		(780,552	)		(35,656	)		(792,576	)		(111,868	)		(229,147	)
Retirement class R-6 of shares		(3,341,361	)		(6,163,445	)		(1,295,045	)		(1,340,347	)		(2,643,606	)		(2,502,659	)
Net shares redeemed		(5,924,633	)		(14,966,355	)		(2,105,716	)		(3,547,401	)		(4,069,630	)		(4,647,723	)
Net change resulting from fund share transactions in shares		600,435			(4,546,222	)		529,360			615,186			(326,523	)		1,074,395

5. Investment Adviser Fee and Other Transactions with Affiliates

General—Certain of the Officers and Directors of the Corporation are also Officers and Directors/Trustees of one or more portfolios within the Fund complex, which are affiliates of the Corporation. None of the Fund Officers or interested Directors receives any compensation from the funds. Certain Officers and Directors are also employees of the Adviser.

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

19

Notes to Financial Statements (continued)

through December 31, 2020. This agreement may not be terminated prior to December 31, 2020 without the consent of the 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 28, 2018
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)
Conservative Allocation Fund		0.33	%		0.08	%		0.58	%		(0.07	)%		0.88	%		0.63	%		1.13	%		0.48	%
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.88			0.63			1.13			0.48
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		0.94			0.69			1.19			0.54
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		0.94			0.69			1.19			0.54
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		0.93			0.68			1.18			0.53

(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” included in investment income on the Statements of Operations

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

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

Administration Fees—Each Fund pays the Adviser at the annual rate of 0.15% of average daily net assets per class (except the Retirement class R-6, which does not pay an Administration Fee).

For the period ended February 29, 2020, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
Conservative Allocation Fund	$	7,851	$	403	$	478
Moderate Allocation Fund		2,636		4,875		5,414
Balanced Allocation Fund		46,198		28,384		10,652
Growth Allocation Fund		4,141		9,769		6,557
Aggressive Allocation Fund		17,618		8,422		12,906

Custodian Fees—BMO Harris Bank N.A. (“BMO”) was the Funds’ custodian through October 10, 2019. BMO received fees of 0.0050% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO, and 0.0025% on all assets in excess of $10 billion. On October 10, 2019 custody services transferred to State Street Bank and Trust.

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 29, 2020. Please refer to the Schedule of Investments for which class each Fund’s underlying affiliated issuer represents.

20

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Conservative Allocation Fund
Large-Cap Funds — 4.9%
BMO Low Volatility Equity Fund	$	475,209	$	96,370	$	47,217	$	(40,183	)	$	5,118		$	489,297	$	8,258	$	40,635
BMO Dividend Income Fund		292,539		71,981		53,745		(11,274	)		2,023			301,524		6,371		10,040
BMO Large-Cap Value Fund		872,627		259,748		496,477		(61,553	)		63,789			638,134		18,977		79,256
BMO Large-Cap Growth Fund		743,735		240,689		431,685		(64,931	)		71,089			558,897		6,423		112,527
														1,987,852
Mid-Cap Funds — 0.6%
BMO Mid-Cap Growth Fund		137,532		31,503		23,143		(17,768	)		368			128,492		—		30,298
BMO Mid-Cap Value Fund		138,801		18,170		26,385		(7,726	)		2,104			124,964		2,431		20,163
														253,456
Small-Cap Funds — 0.7%
BMO Small-Cap Growth Fund		209,043		36,097		49,601		(1,863	)		2,039			195,715		—		35,928
BMO Small-Cap Value Fund		119,570		21,438		27,859		(8,556	)		542			105,135		1,200		12,132
														300,850
International Funds — 2.2%
BMO LGM Emerging Markets Equity Fund		234,221		57,897		41,425		(8,581	)		419			242,531		2,750		7,262
BMO Pyrford International Stock Fund		364,133		73,700		123,655		(26,761	)		21,858			309,275		12,835		—
BMO Disciplined International Equity Fund		397,559		179,181		221,759		(31,562	)		20,581			344,000		8,609		—
														895,806
Fixed Income Funds — 17.8%
BMO Core Plus Bond Fund		7,645,843		1,572,381		2,060,433		5,024			90,951			7,253,766		293,237		—
Alternative Funds — 9.8%
BMO Alternative Strategies Fund		3,922,099		723,459		379,708		(237,343	)		(31,036	)		3,997,471		22,237		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		290,913		8,625,704		8,526,116		(58	)		74			390,517		23,621		—
Totals	$	15,843,824	$	12,008,318	$	12,509,208	$	(513,135	)	$	249,919		$	15,079,718	$	406,949	$	348,241
Moderate Allocation Fund
Large-Cap Funds — 9.5%
BMO Low Volatility Equity Fund	$	1,762,692	$	1,418,159	$	1,252,273	$	(274,755	)	$	139,690		$	1,793,513	$	16,596	$	35,152
BMO Dividend Income Fund		1,085,928		345,359		313,112		(55,157	)		5,924			1,068,942		12,038		1,593
BMO Large-Cap Value Fund		3,248,906		1,494,467		2,199,870		(112,692	)		105,531			2,536,342		32,869		—
BMO Large-Cap Growth Fund		2,775,255		1,984,305		2,831,179		(227,775	)		244,342			1,944,948		26,167		127,639
														7,343,745
Mid-Cap Funds — 1.4%
BMO Mid-Cap Growth Fund		513,703		210,001		134,934		(71,182	)		382			517,970		—		59,767
BMO Mid-Cap Value Fund		516,503		137,398		117,933		(29,655	)		1,108			507,421		8,597		39
														1,025,391
Small-Cap Funds — 1.6%
BMO Small-Cap Growth Fund		791,550		219,660		240,613		(10,255	)		5,026			765,368		—		13,873
BMO Small-Cap Value Fund		442,812		184,202		156,266		(34,520	)		(5,271	)		430,957		3,856		1,875
														1,196,325
International Funds — 4.4%
BMO LGM Emerging Markets Equity Fund		861,314		126,020		66,670		(37,557	)		(2,062	)		881,045		14,571		4,692
BMO Pyrford International Stock Fund		1,348,953		390,764		595,198		(102,237	)		78,283			1,120,565		32,127		—
BMO Disciplined International Equity Fund		1,470,274		508,002		638,731		(74,546	)		26,336			1,291,335		51,624		—
														3,292,945
Fixed Income Funds — 15.1%
BMO Core Plus Bond Fund		10,686,927		2,380,122		1,761,150		167,370			8,955			11,482,224		174,733		—
Alternative Funds — 8.4%
BMO Alternative Strategies Fund		6,006,630		1,773,179		915,700		(339,508	)		(90,993	)		6,433,608		34,711		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		696,506		21,950,809		21,853,599		(104	)		327			793,939		6,739		—
Totals	$	32,207,953	$	33,122,447	$	33,077,228	$	(1,202,573	)	$	517,578		$	31,568,177	$	414,628	$	244,630

21

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Balanced Allocation Fund
Large-Cap Funds — 14.3%
BMO Low Volatility Equity Fund	$	9,840,258	$	1,848,505	$	2,066,228	$	(900,036	)	$	222,054		$	8,944,553	$	91,201	$	190,301
BMO Dividend Income Fund		6,050,960		207,193		837,822		(304,735	)		123,487			5,239,083		65,956		8,621
BMO Large-Cap Value Fund		18,143,713		2,782,448		9,283,670		(768,071	)		877,786			11,752,206		180,534		—
BMO Large-Cap Growth Fund		15,513,513		4,374,518		9,734,367		(1,534,007	)		1,700,473			10,320,130		141,661		690,994
														36,255,972
Mid-Cap Funds — 2.0%
BMO Mid-Cap Growth Fund		2,886,233		348,728		371,666		(385,257	)		40,057			2,518,095		—		323,763
BMO Mid-Cap Value Fund		2,901,971		96,591		389,823		(164,536	)		52,333			2,496,536		46,563		214
														5,014,631
Small-Cap Funds — 2.4%
BMO Small-Cap Growth Fund		4,414,268		136,911		628,259		(42,107	)		36,544			3,917,357		—		74,957
BMO Small-Cap Value Fund		2,482,108		359,244		413,342		(133,520	)		(27,992	)		2,266,498		20,790		10,107
														6,183,855
International Funds — 6.4%
BMO LGM Emerging Markets Equity Fund		4,812,244		215,638		485,768		(197,858	)		22,529			4,366,785		78,945		25,419
BMO Pyrford International Stock Fund		7,536,704		1,815,876		3,676,983		(956,986	)		858,276			5,576,887		174,341		—
BMO Disciplined International Equity Fund		8,214,534		2,245,653		3,914,037		(450,075	)		235,328			6,331,403		280,378		—
														16,275,075
Fixed Income Funds — 8.9%
BMO Core Plus Bond Fund		23,835,921		2,383,374		3,965,591		172,200			171,017			22,596,921		375,104		—
Alternative Funds — 7.2%
BMO Alternative Strategies Fund		19,017,134		2,094,855		1,581,605		(1,127,453	)		(137,326	)		18,265,605		107,438		—
Short-Term Investment — 1.4%
BMO Institutional Prime Money Market Fund		2,721,496		43,767,734		42,991,862		(522	)		662			3,497,508		21,992		—
Totals	$	128,371,057	$	62,677,268	$	80,341,023	$	(6,792,963	)	$	4,175,228		$	108,089,567	$	1,584,903	$	1,324,376
Growth Allocation Fund
Large-Cap Funds — 18.9%
BMO Low Volatility Equity Fund	$	5,418,771	$	1,916,814	$	1,731,756	$	(428,521	)	$	36,815		$	5,212,123	$	52,232	$	110,393
BMO Dividend Income Fund		3,330,821		162,073		327,198		(118,924	)		5,461			3,052,233		37,172		5,003
BMO Large-Cap Value Fund		9,987,271		2,245,235		5,523,418		(265,984	)		288,997			6,732,101		101,643		—
BMO Large-Cap Growth Fund		8,540,272		2,457,526		5,206,918		(648,141	)		738,354			5,881,093		82,160		400,758
														20,877,550
Mid-Cap Funds — 2.7%
BMO Mid-Cap Growth Fund		1,584,650		212,511		72,955		(208,873	)		2,214			1,517,547		—		188,035
BMO Mid-Cap Value Fund		1,593,287		70,152		139,723		(74,139	)		4,372			1,453,949		27,043		124
														2,971,496
Small-Cap Funds — 3.1%
BMO Small-Cap Growth Fund		2,425,688		128,857		305,496		(19,171	)		19,131			2,249,009		—		43,573
BMO Small-Cap Value Fund		1,372,534		88,316		137,348		(88,685	)		(10,617	)		1,224,200		12,060		5,863
														3,473,209
International Funds — 8.5%
BMO LGM Emerging Markets Equity Fund		2,668,786		166,641		187,327		(98,174	)		(5,265	)		2,544,661		45,718		14,721
BMO Pyrford International Stock Fund		4,148,947		1,063,233		1,900,604		(498,257	)		432,893			3,246,212		101,303		—
BMO Disciplined International Equity Fund		4,519,910		1,120,600		1,934,213		(248,207	)		111,148			3,569,238		162,863		—
														9,360,111
Fixed Income Funds — 3.1%
BMO Core Plus Bond Fund		3,201,664		509,468		325,151		50,267			2,755			3,439,003		53,008		—
Alternative Funds — 5.8%
BMO Alternative Strategies Fund		6,309,807		1,033,989		474,352		(395,043	)		(53,324	)		6,421,077		37,708		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		1,152,517		21,908,863		21,962,658		(205	)		(5	)		1,098,512		9,447		—
Totals	$	56,254,925	$	33,084,278	$	40,229,117	$	(3,042,057	)	$	1,572,929		$	47,640,958	$	722,357	$	768,470

22

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change In Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Aggressive Allocation Fund
Large-Cap Funds — 23.0%
BMO Low Volatility Equity Fund	$	9,429,318	$	944,498	$	1,359,465	$	(727,161	)	$	92,124		$	8,379,314	$	88,409	$	184,978
BMO Dividend Income Fund		5,764,728		277,863		890,158		(193,152	)		26,955			4,986,236		62,904		8,333
BMO Large-Cap Value Fund		17,286,092		3,429,833		10,092,681		(433,714	)		530,680			10,720,210		172,671		—
BMO Large-Cap Growth Fund		14,758,236		2,982,990		8,549,220		(1,264,926	)		1,427,753			9,354,833		137,533		670,856
														33,440,593
Mid-Cap Funds — 3.4%
BMO Mid-Cap Growth Fund		2,736,158		423,405		373,622		(372,733	)		36,206			2,449,414		—		317,001
BMO Mid-Cap Value Fund		2,761,184		121,400		255,973		(150,202	)		30,655			2,507,064		45,436		209
														4,956,478
Small-Cap Funds — 4.0%
BMO Small-Cap Growth Fund		4,170,031		267,499		670,650		(34,915	)		34,397			3,766,362		—		72,681
BMO Small-Cap Value Fund		2,345,901		201,731		314,655		(143,500	)		(21,803	)		2,067,674		20,373		9,904
														5,834,036
International Funds — 10.4%
BMO LGM Emerging Markets Equity Fund		4,612,374		262,167		566,414		(156,772	)		(11,395	)		4,139,960		76,212		24,539
BMO Pyrford International Stock Fund		7,216,629		1,756,460		3,678,893		(858,446	)		778,239			5,213,989		168,466		—
BMO Disciplined International Equity Fund		7,859,748		1,936,362		3,857,285		(397,943	)		206,687			5,747,569		270,523		—
														15,101,518
Alternative Funds — 0.5%
BMO Alternative Strategies Fund		808,700		75,318		34,118		(52,093	)		(2,775	)		795,032		4,683		—
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		1,351,802		38,921,512		38,893,146		(6	)		215			1,380,377		13,184		—
Totals	$	81,100,901	$	51,601,038	$	69,536,280	$	(4,785,563	)	$	3,127,938		$	61,508,034	$	1,060,394	$	1,288,501

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to borrow cash from any of the BMO Money Market 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 the BMO Money Market Funds 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.

Funds utilizing the interfund lending program, borrowing from the BMO Government Money Market Fund during the period ended February 29, 2020, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Conservative Allocation Fund	$	352		2.205	%
Moderate Allocation Fund		10,905		2.249
Balanced Allocation Fund		24,650		2.218
Growth Allocation Fund		17,428		2.235
Aggressive Allocation Fund		35,555		2.241

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 State Street Bank. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings currently 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 during the period ended February 29, 2020.

23

BMO Funds

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 29, 2020 were as follows:

	Other than U.S Government Securities				U.S Government Securities
Fund	Purchases		Sales		Purchases		Sales
Conservative Allocation Fund	$	14,718,196	$	13,981,093	$	—	$	—
Moderate Allocation Fund		39,049,785		34,170,622		—		—
Balanced Allocation Fund		85,961,251		101,298,483		—		—
Growth Allocation Fund		45,663,123		46,653,617		—		—
Aggressive Allocation Fund		44,898,735		57,727,865		—		—

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 treatments for 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 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 has no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Fund reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 29, 2020. 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.

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 for Federal Tax Purposes
Conservative Allocation Fund	$	33,620,180	$	5,120,797	$	(560,410	)	$	4,560,387
Moderate Allocation Fund		66,499,700		10,846,950		(1,191,276	)		9,655,674
Balanced Allocation Fund		203,546,863		56,694,732		(4,596,537	)		52,098,195
Growth Allocation Fund		86,810,506		25,849,427		(2,388,564	)		23,460,863
Aggressive Allocation Fund		104,700,801		43,523,126		(2,614,621	)		40,908,505

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 tax character of distributions reported on the Statements of Changes in Net Assets for the years ended August 31, 2019 and August 31, 2018, were as follows:

	2019				2018
Fund	Ordinary Income(1)		Long-Term Capital Gains		Ordinary Income(1)		Long-Term Capital Gains
Conservative Allocation Fund	$	1,102,589	$	4,464,364	$	2,519,961	$	4,479,258
Moderate Allocation Fund		2,532,120		6,028,252		2,959,918		4,208,363
Balanced Allocation Fund		8,637,637		22,915,506		10,019,454		26,938,699
Growth Allocation Fund		3,086,814		8,882,560		3,864,557		5,945,893
Aggressive Allocation Fund		4,733,699		15,154,046		5,593,851		17,406,814

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

24

Notes to Financial Statements (continued)

As of August 31, 2019, 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		Other Adjustments		Unrealized Appreciation
Conservative Allocation Fund	$	690,142	$	787,897	$	—	$	—	$	4,780,153
Moderate Allocation Fund		965,609		2,327,997		—		—		11,785,031
Balanced Allocation Fund		4,157,125		16,958,368		—		—		66,704,580
Growth Allocation Fund		1,113,882		5,837,895		—		—		29,549,352
Aggressive Allocation Fund		1,109,573		10,730,272		—		—		51,757,075

9. Subsequent Events

Subsequent to February 29, 2020, the COVID-19 outbreak was declared a pandemic by the World Health Organization. The situation is dynamic with various cities around the world responding in different ways to address the outbreak.

Meaningful direct and indirect effects are developing particularly with companies in which we invest. We will monitor the impact COVID-19 has on their securities valuations and reflect the consequences as appropriate in our accounting and reporting.

25

NOTES

26

NOTES

27

NOTES

28

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 as an attachment to Form N-PORT. Each Fund’s Form N-PORT 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
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BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

© 2020 BMO Financial Corp. (9/20)

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. Investments.

(a)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 Intermediate Tax-Free Fund, BMO Short Tax-Free Fund and BMO Ultra Short Tax-Free Fund are filed under this Item.

(b)Not applicable

Intermediate Tax-Free Fund

		Shares or
Description		Principal		Value
		Amount
Municipals — 100.6%
Alabama — 2.9%
Alabama Board of Education:
3.000%, 6/1/2021	$	305,000	$	313,098
4.000%, 7/1/2021		1,895,000		1,973,623
5.000%, 10/1/2020, Call 3/30/2020		230,000		230,713
Black Belt Energy Gas District:
2.009%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)		4,000,000		4,047,960
4.000%, 12/1/2025, Call 9/1/2025 (1)		6,500,000		7,485,075
4.000%, 10/1/2026, Call 7/1/2026 (1)(2)		5,000,000		5,848,450
Butler County Board of Education, AGM, 4.000%, 7/1/2020		585,000		590,973
City of Birmingham, 4.000%, 3/1/2022 (3)		1,725,000		1,768,867
Health Care Authority for Baptist Health, 1.440%, 11/1/2042, Call 3/2/2020 (1)		8,175,000		8,175,000
Industrial Development Board of the City of Mobile Alabama, 1.250%, 6/1/2034, Call		1,520,000		1,520,000
2/28/2020 (1)
Lower Alabama Gas District, 4.000%, 12/1/2025, Call 9/1/2025 (1)		1,400,000		1,606,388
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026		4,015,000		4,879,670
Southeast Alabama Gas Supply District, 1.960%, (LIBOR 1 Month), 6/1/2024, Call		7,000,000		7,058,240
3/1/2024 (1)
Special Care Facilities Financing Authority of the City of Pell City Alabama, 5.000%,		4,000,000		4,265,160
12/1/2025, Call 12/1/2021
UAB Medicine Finance Authority:
4.000%, 9/1/2038, Call 9/1/2029		1,000,000		1,193,270
4.000%, 9/1/2044, Call 9/1/2029		2,470,000		2,905,288
5.000%, 9/1/2036, Call 3/1/2027		2,340,000		2,902,864
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,512,308
5.000%, 9/1/2041, Call 3/1/2027		1,020,000		1,252,203
Alaska — 0.4%				60,529,150
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,065,000		1,164,791
5.000%, 12/1/2027, Call 6/1/2022		310,000		336,589
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,943,700
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,176,140
Borough of Matanuska-Susitna:
5.000%, 11/1/2022		500,000		554,485
5.000%, 4/1/2031, Call 4/1/2021		150,000		156,879
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,073,978
City of Anchorage Electric Revenue, NATL-RE, 5.000%, 12/1/2024, Call 3/30/2020		305,000		305,936
Arizona — 2.6%				7,712,498
Arizona Department of Transportation State Highway Fund Revenue, 5.250%,		3,000,000		3,177,180
7/1/2029, Call 7/1/2021
Arizona Health Facilities Authority, 5.000%, 2/1/2022		1,000,000		1,071,570
Arizona Industrial Development Authority:
3.550%, 7/15/2029, Call 7/15/2027 (4)		1,350,000		1,449,319
3.750%, 12/15/2029, Call 12/15/2027 (4)		570,000		617,606
4.000%, 7/15/2030, Call 7/15/2028 (4)		625,000		701,375
4.000%, 7/15/2040, Call 7/15/2028 (4)		925,000		1,015,225
4.000%, 7/15/2050, Call 7/15/2028 (4)		1,600,000		1,732,400
5.000%, 3/1/2037, Call 9/1/2027 (4)		1,250,000		1,426,587
5.000%, 7/1/2039, Call 7/1/2029 (4)		780,000		907,452
5.000%, 7/15/2039, Call 7/15/2027 (4)		1,325,000		1,511,149
5.000%, 12/15/2039, Call 12/15/2027 (4)		400,000		456,976

5.000%, 3/1/2042, Call 9/1/2027 (4)	1,000,000	1,132,620
5.000%, 7/1/2049, Call 7/1/2029 (4)	1,400,000	1,607,872
5.000%, 7/15/2049, Call 7/15/2027 (4)	1,675,000	1,885,447
5.000%, 12/15/2049, Call 12/15/2027 (4)	700,000	789,831
5.750%, 7/15/2038, Call 7/15/2026 (4)	1,750,000	2,097,585
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020	1,260,000	1,277,401
5.000%, 7/1/2023, Call 7/1/2020	1,405,000	1,424,403
Chandler Industrial Development Authority, 5.000%, 6/3/2024 (1)	5,000,000	5,809,150
City of Goodyear Water & Sewer Revenue, 5.125%, 7/1/2025, Call 7/1/2020	345,000	349,640
City of Phoenix Civic Improvement Corp., 5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,064,500
City of Phoenix Civic Improvement Corp., BHAC FGIC, 5.500%, 7/1/2027 (3)	500,000	652,115
City of Phoenix Civic Improvement Corp., NATL-RE:
5.500%, 7/1/2021 (3)	555,000	589,377
5.500%, 7/1/2036 (3)	530,000	820,456
City of Tucson, AGM, 5.000%, 7/1/2020	500,000	506,720
County of Pima Sewer System Revenue, 5.000%, 7/1/2027, Call 7/1/2022	1,450,000	1,587,721
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020	500,000	504,210
Greater Arizona Development Authority, BHAC NATL-RE, 5.000%, 8/1/2027, Call	70,000	70,214
3/30/2020
Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (4)	145,000	145,548
5.000%, 7/1/2031, Call 7/1/2026 (4)	3,000,000	3,398,790
La Paz County Industrial Development Authority:
5.000%, 2/15/2046, Call 2/15/2026 (4)	1,000,000	1,130,120
5.000%, 2/15/2048, Call 2/15/2028	1,185,000	1,383,203
Maricopa County Industrial Development Authority:
5.000%, 7/1/2035, Call 7/1/2026	2,325,000	2,574,124
5.000%, 7/1/2036, Call 7/1/2026 (4)	1,225,000	1,381,004
5.000%, 7/1/2036, Call 7/1/2026	750,000	871,208
5.000%, 7/1/2039, Call 7/1/2029 (4)	1,000,000	1,162,520
Maricopa County Unified School District No. 60 Higley, AGM:
5.000%, 7/1/2023	1,000,000	1,134,070
5.000%, 7/1/2024	575,000	673,440
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	121,455
State of Arizona, AGM, 5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,003,280
Town of Marana, 5.000%, 7/1/2023	450,000	511,920
University Medical Center Corp., 5.000%, 7/1/2021	425,000	448,116
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	481,959
Arkansas — 0.6%		52,656,858
Arkansas Development Finance Authority:
5.000%, 2/1/2021	315,000	325,782
5.000%, 2/1/2022	150,000	160,919
Arkansas Development Finance Authority, GNMA/FNMA/FHLMC:
4.000%, 1/1/2025, Call 7/1/2021	165,000	170,793
4.000%, 7/1/2025, Call 7/1/2021	370,000	383,024
Arkansas State University:
4.000%, 3/1/2021	390,000	401,115
4.000%, 3/1/2022	1,140,000	1,205,550
4.000%, 3/1/2023	985,000	1,068,301
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	475,000	482,211
City of Springdale Sales & Use Tax Revenue:
3.000%, 11/1/2021	1,000,000	1,035,380
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,103,670
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	200,000	200,720
Conway Health Facilities Board, 4.250%, 8/1/2021	410,000	421,201
County of Greene, AGM, 4.000%, 3/1/2020	1,430,000	1,430,000
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	997,310
5.000%, 11/1/2023, Call 11/1/2022	860,000	950,825
University of Arkansas:
5.000%, 12/1/2021	300,000	322,053
5.000%, 12/1/2022	520,000	579,618
5.000%, 12/1/2023, Call 12/1/2022	500,000	556,455

5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,171,320
California — 6.3%		12,966,247
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	522,334
Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,003,440
ABC Unified School District, NATL-RE, 5.000%, 2/1/2021	1,250,000	1,300,012
Alvord Unified School District, AGM, 1.000%, 8/1/2046, Call 8/1/2036	1,150,000	1,448,988
Bay Area Toll Authority, 2.400%, (SIFMA Municipal Swap Index Yield), 4/1/2027,	5,000,000	5,264,850
Call 10/1/2026 (1)
Bellevue Union School District, AGM:
0.010%, 8/1/2030	585,000	485,228
0.010%, 8/1/2031	615,000	496,895
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,005,029
Burbank Unified School District, 1.000%, 8/1/2031, Call 2/1/2025 (3)	1,325,000	1,339,919
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 3/30/2020	3,115,000	3,170,354
California Health Facilities Financing Authority:
5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,247,100
5.000%, 8/15/2042, Call 8/15/2027	1,000,000	1,218,900
California Infrastructure & Economic Development Bank, 1.511%, (LIBOR 1 Month),	2,500,000	2,503,700
8/1/2021, Call 2/1/2021 (1)
California Municipal Finance Authority, 5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,830,540
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,080,140
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (4)	1,000,000	1,172,980
5.000%, 12/1/2046, Call 6/1/2026 (4)	1,000,000	1,145,190
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	906,687
City of Fairfield, XLCA, 0.010%, 4/1/2022	1,205,000	1,179,587
County of Los Angeles, AMBAC TCRs, 0.010%, 9/1/2020	600,000	597,168
County of San Joaquin, 5.000%, 4/1/2022	350,000	379,785
Duarte Unified School District, 5.125%, 8/1/2026 (3)	585,000	739,387
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	483,552
5.000%, 10/1/2022	580,000	642,820
5.000%, 10/1/2023	800,000	919,144
Encinitas Union School District, 1.000%, 8/1/2035, Call 8/1/2032	500,000	695,055
Escondido Union High School District, 1.000%, 8/1/2032, Call 8/1/2025 (3)	1,250,000	1,472,500
Escondido Union High School District, AGC, 0.010%, 8/1/2031	480,000	394,454
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2033, Call 4/1/2027	1,000,000	1,236,010
Fresno Unified School District, 0.010%, 8/1/2034, Call 8/1/2021	1,045,000	423,925
Fresno Unified School District, NATL-RE, 6.000%, 8/1/2026	2,890,000	3,435,141
Golden State Tobacco Securitization Corp.:
5.000%, 6/1/2028, Call 6/1/2027	1,000,000	1,269,320
5.000%, 6/1/2029, Call 6/1/2027	1,000,000	1,265,640
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	438,244
5.000%, 6/1/2023	400,000	454,648
5.000%, 6/1/2024	775,000	911,896
5.000%, 6/1/2025	425,000	515,151
Imperial Community College District, AGC, 0.010%, 8/1/2028	330,000	290,004
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,183,660
Jefferson School District/San Joaquin County, 0.010%, 8/1/2029, Call 8/1/2024	170,000	127,048
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	382,586
Lakeside Union School District/Kern County, AGC, 0.010%, 9/1/2027	295,000	264,001
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,070,560
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,868,947
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	708,096
5.000%, 8/1/2025, Call 8/1/2023	760,000	867,160
McKinleyville Union School District, AGM, 1.000%, 8/1/2041, Call 8/1/2026 (3)	165,000	210,948
McKinleyville Union School District, BAM:
0.010%, 8/1/2036, Call 8/1/2021	1,200,000	552,912
0.010%, 8/1/2037, Call 8/1/2021	1,980,000	858,904
Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026	300,000	382,971
(3)

Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,221,240
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	529,185
Mount Diablo Unified School District, AGM, 1.000%, 8/1/2035, Call 8/1/2025	2,125,000	2,339,625
Murrieta Valley Unified School District, NATL-RE, 0.010%, 9/1/2020	500,000	497,540
Norman Y Mineta San Jose International Airport SJC:
5.000%, 3/1/2041, Call 3/1/2027 (5)	1,000,000	1,221,500
5.000%, 3/1/2042, Call 3/1/2027	1,665,000	2,075,639
Northern California Gas Authority No. 1, 1.999%, (LIBOR 3 Month), 7/1/2027 (1)	1,915,000	1,907,244
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	547,365
5.000%, 7/1/2032, Call 7/1/2022	700,000	765,464
Orchard School District, NATL-RE, 0.010%, 8/1/2023	590,000	568,884
Pasadena Public Financing Authority, 0.010%, 3/1/2029	2,000,000	1,730,460
Roseville Joint Union High School District, 0.010%, 8/1/2022	305,000	297,686
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	285,880
5.000%, 12/1/2028, Call 12/1/2025	425,000	517,136
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,212,570
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,422,420
San Francisco City & County Airport Comm-San Francisco International Airport:
4.000%, 5/1/2050, Call 5/1/2029	2,700,000	3,121,524
5.000%, 5/1/2024, Call 5/1/2021	745,000	782,868
5.000%, 5/1/2024, Call 5/1/2021	295,000	310,136
5.000%, 5/1/2038, Call 5/1/2029	4,220,000	5,442,661
5.000%, 5/1/2039, Call 5/1/2029	4,900,000	6,305,467
5.000%, 5/1/2040, Call 5/1/2029	3,335,000	4,281,573
5.000%, 5/1/2044, Call 5/1/2029	5,500,000	6,996,440
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,618,709
San Jose Unified School District, NATL-RE, 0.010%, 8/1/2027	1,495,000	1,379,063
San Miguel Joint Union School District, AGM:
0.010%, 6/15/2020	415,000	413,792
0.010%, 6/15/2021	490,000	483,277
0.010%, 6/15/2022	505,000	491,961
Santa Ana Unified School District, 0.010%, 8/1/2021	500,000	492,395
Santa Barbara County College School District:
0.010%, 8/1/2027	365,000	332,260
0.010%, 8/1/2031	470,000	388,432
State of California:
5.000%, 4/1/2036, Call 4/1/2029	4,500,000	5,958,270
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,181,217
6.000%, 3/1/2033, Call 3/30/2020	1,550,000	1,556,076
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2020 (1)	1,365,000	1,367,525
Vallejo City Unified School District, NATL-RE, 5.900%, 8/1/2025	1,225,000	1,427,235
Walnut Creek Elementary School District Contra Costa County, 0.010%, 9/1/2023	1,560,000	1,504,402
Watereuse Finance Authority, BAM TCRs, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,123,872
West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.010%, 8/1/2025	310,000	292,659
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,100,460
Westminster School District, BAM, 0.010%, 8/1/2048, Call 8/1/2023	7,045,000	1,222,519
Windsor Unified School District, AGM:
0.010%, 8/1/2020	105,000	104,626
0.010%, 8/1/2023	240,000	231,334
0.010%, 8/1/2024, Call 8/1/2023	330,000	303,425
0.010%, 8/1/2025, Call 8/1/2023	270,000	236,053
0.010%, 8/1/2026, Call 8/1/2023	330,000	273,260
0.010%, 8/1/2028, Call 8/1/2023	420,000	311,384
Colorado — 3.5%		129,538,223
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call	5,000,000	6,273,200
12/1/2026
Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	594,935
5.000%, 12/1/2026, Call 12/1/2024	355,000	424,690
5.000%, 12/1/2027, Call 12/1/2024	500,000	597,545
Arkansas River Power Authority, 5.000%, 10/1/2043, Call 10/1/2028	2,250,000	2,735,370

City & County of Denver, 5.000%, 8/1/2041, Call 8/1/2026	8,000,000	9,743,600
City & County of Denver Airport System Revenue:
5.000%, 11/15/2021	500,000	535,735
5.000%, 11/15/2029, Call 11/15/2027	4,945,000	6,289,100
5.000%, 11/15/2030, Call 11/15/2027	5,010,000	6,342,560
5.000%, 12/1/2048, Call 12/1/2028	3,000,000	3,744,600
Colorado Bridge Enterprise:
4.000%, 12/31/2028, Call 12/31/2027	2,760,000	3,250,176
4.000%, 6/30/2029, Call 12/31/2027	4,525,000	5,303,752
Colorado Educational & Cultural Facilities Authority:
4.000%, 12/15/2025	535,000	575,772
5.000%, 9/1/2020	1,060,000	1,080,861
5.000%, 9/1/2021	865,000	916,199
Colorado Health Facilities Authority:
3.125%, 5/15/2027, Call 5/15/2020	250,000	250,500
4.000%, 11/15/2043, Call 11/15/2029	1,000,000	1,183,540
4.000%, 8/1/2044, Call 8/1/2029	2,000,000	2,309,060
4.000%, 8/1/2049, Call 8/1/2029	2,000,000	2,293,580
5.000%, 2/1/2021	475,000	489,982
5.000%, 9/1/2022	750,000	822,180
5.000%, 12/1/2023	215,000	244,554
5.000%, 2/1/2024	420,000	472,693
5.000%, 6/1/2047, Call 6/1/2027	1,000,000	1,289,340
5.250%, 5/15/2037, Call 5/15/2027	1,000,000	1,175,820
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	809,712
5.000%, 12/1/2021	725,000	778,295
5.000%, 12/1/2022	1,185,000	1,316,405
County of Boulder, 5.000%, 12/1/2025, Call 12/1/2020	475,000	489,193
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,673,700
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,202,050
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,198,210
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,262,914
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,139,080
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call	1,140,000	1,167,269
12/1/2020
Connecticut — 2.2%		71,976,172
City of New Haven, AGM:
5.000%, 8/1/2023	295,000	336,716
5.000%, 8/1/2023	1,765,000	1,992,844
5.000%, 2/1/2024	650,000	745,907
5.000%, 8/1/2024	1,000,000	1,165,940
5.000%, 8/1/2039, Call 8/1/2029	3,000,000	3,772,650
Connecticut Housing Finance Authority:
3.500%, 11/15/2045, Call 5/15/2029	2,500,000	2,793,775
3.600%, 11/15/2030, Call 11/15/2024	305,000	330,190
Connecticut State Health & Educational Facilities Authority:
4.000%, 7/1/2041, Call 7/1/2029	3,000,000	3,467,580
4.000%, 7/1/2049, Call 7/1/2029	2,500,000	2,853,225
5.000%, 7/1/2029, Call 7/1/2028	1,000,000	1,284,090
State of Connecticut:
4.000%, 1/15/2037, Call 1/15/2030	2,900,000	3,485,568
5.000%, 3/15/2027, Call 3/15/2026	2,155,000	2,651,232
5.000%, 4/15/2028	1,250,000	1,621,900
5.000%, 4/15/2030, Call 4/15/2029	1,150,000	1,510,364
5.000%, 4/15/2034, Call 4/15/2027	3,000,000	3,707,520
5.000%, 1/15/2040, Call 1/15/2030	4,000,000	5,152,400
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,421,240
5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,930,880
5.000%, 11/1/2036, Call 11/1/2028	1,485,000	1,893,835
		46,117,856

Delaware — 0.4%

City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,256,907
Delaware State Economic Development Authority:
5.000%, 6/1/2036, Call 6/1/2026	500,000	567,810
5.000%, 6/1/2046, Call 6/1/2026	1,000,000	1,117,300
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,672,714
District of Columbia — 0.6%		7,614,731
District of Columbia:
4.000%, 7/1/2039, Call 7/1/2029	1,275,000	1,463,687
4.000%, 7/1/2044, Call 7/1/2029	1,240,000	1,406,755
4.000%, 7/1/2049, Call 7/1/2029	1,000,000	1,128,750
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	1,988,463
5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,948,900
5.000%, 12/1/2036, Call 12/1/2021	500,000	534,325
Metropolitan Washington Airports Authority Dulles Toll Road Revenue, 4.000%,	1,000,000	1,180,320
10/1/2044, Call 10/1/2029
Washington Convention & Sports Authority, 5.000%, 10/1/2030, Call 10/1/2027	1,500,000	1,913,700
Florida — 5.5%		12,564,900
Central Florida Expressway Authority, 4.000%, 7/1/2041, Call 7/1/2027	4,000,000	4,567,000
City of Atlantic Beach:
5.000%, 11/15/2043, Call 11/15/2025	1,085,000	1,266,184
5.000%, 11/15/2048, Call 11/15/2025	1,750,000	2,034,340
City of Boynton Beach Utility System Revenue, AGM, 5.000%, 11/1/2027, Call	1,000,000	1,067,800
11/1/2021
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,062,500
City of Lakeland Department of Electric Utilities, AGM, 5.250%, 10/1/2028	1,250,000	1,691,912
City of North Port, BAM, 5.000%, 7/1/2022	200,000	219,094
City of Orlando, AGM, 5.000%, 11/1/2035, Call 11/1/2027	2,270,000	2,845,649
City of Sunrise, NATL-RE:
0.010%, 10/1/2020	975,000	969,784
0.010%, 10/1/2021	175,000	172,240
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	542,772
5.000%, 12/1/2027, Call 12/1/2025	400,000	481,144
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,017,840
City of Tampa, AMBAC, 0.010%, 4/1/2021	460,000	454,498
Columbia County School Board, BAM, 5.000%, 7/1/2026, Call 7/1/2025	495,000	594,173
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023	740,000	821,726
County of Broward Airport System Revenue:
5.000%, 10/1/2026, Call 10/1/2025 (5)	750,000	906,990
5.000%, 10/1/2031, Call 10/1/2025 (5)	1,000,000	1,191,420
County of Jackson, 1.240%, 7/1/2022, Call 2/28/2020 (1)	1,630,000	1,630,000
County of Lee County Water & Sewer Revenue, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,214,960
County of Miami-Dade, AGC, 0.010%, 10/1/2021	610,000	600,576
County of Miami-Dade Aviation Revenue:
4.000%, 10/1/2044, Call 10/1/2029	1,000,000	1,163,220
5.000%, 10/1/2025, Call 10/1/2024	800,000	947,072
5.000%, 10/1/2044, Call 10/1/2029	3,000,000	3,817,200
5.500%, 10/1/2026, Call 10/1/2020	450,000	462,245
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,489,454
County of Miami-Dade Water & Sewer System Revenue:
5.000%, 10/1/2033, Call 10/1/2025	2,000,000	2,410,060
5.250%, 10/1/2029, Call 10/1/2023	100,000	115,702
County of Orange Sales Tax Revenue, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,259,578
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,663,772
5.000%, 10/1/2021	1,110,000	1,182,039
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,705,707
Florida Development Finance Corp., 1.900%, 3/17/2020 (1)	10,770,000	10,773,662
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.450%, 1/1/2030, Call	235,000	237,195
7/1/2021

Halifax Hospital Medical Center:

5.000%, 6/1/2026	1,525,000	1,858,838
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,569,967
JPMorgan Chase Putters/Drivers Trust, 1.400%, 2/1/2022, Call 8/18/2020 (1)(4)	3,500,000	3,500,000
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,055,800
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,931,400
Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,363,180
Miami-Dade County Industrial Development Authority, 1.600%, 11/2/2020 (1)	1,000,000	1,002,830
Monroe County School District, 5.000%, 6/1/2034, Call 6/1/2027	1,000,000	1,245,050
North Sumter County Utility Dependent District, 5.000%, 10/1/2049, Call 10/1/2029	1,350,000	1,692,859
Palm Beach County Health Facilities Authority:
5.000%, 5/15/2036, Call 5/15/2027	1,000,000	1,178,050
5.000%, 5/15/2037, Call 5/15/2027	1,000,000	1,176,340
5.000%, 11/15/2045, Call 11/15/2025	4,000,000	4,719,480
Polk County Housing Finance Authority, GNMA COLL, 5.000%, 9/1/2029, Call	150,000	152,729
8/1/2020
Polk County Industrial Development Authority:
5.000%, 1/1/2029, Call 1/1/2025	390,000	453,613
5.000%, 1/1/2039, Call 1/1/2025	300,000	341,883
5.000%, 1/1/2049, Call 1/1/2025	1,000,000	1,129,280
Putnam County Development Authority, 1.240%, 9/1/2024, Call 2/28/2020 (1)	300,000	300,000
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	861,405
5.000%, 1/1/2031, Call 1/1/2025	935,000	1,071,089
5.000%, 1/1/2032, Call 1/1/2025	1,100,000	1,256,277
Sarasota County Public Hospital District, 5.000%, 7/1/2041, Call 7/1/2028	5,000,000	6,233,450
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,630,525
Sumter County Industrial Development Authority, 5.000%, 7/1/2020	500,000	506,685
Town of Davie:
5.000%, 4/1/2021	615,000	641,439
5.000%, 4/1/2022	830,000	897,230
Volusia County Educational Facility Authority:
4.000%, 10/15/2038, Call 10/15/2029	585,000	682,309
5.000%, 10/15/2044, Call 10/15/2029	2,850,000	3,614,598
5.000%, 10/15/2049, Call 10/15/2029	4,000,000	5,039,040
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call	730,000	778,903
10/15/2021
Georgia — 4.6%		112,463,757
Appling County Development Authority, 1.250%, 9/1/2041, Call 2/28/2020 (1)	1,000,000	1,000,000
Bartow County Development Authority, 1.550%, 8/19/2022 (1)	2,000,000	2,009,680
Burke County Development Authority:
1.250%, 7/1/2049, Call 2/28/2020 (1)	3,000,000	3,000,000
2.250%, 5/25/2023 (1)	3,000,000	3,082,020
2.925%, 3/12/2024 (1)	4,250,000	4,497,222
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,201,199
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,626,090
5.000%, 7/1/2024, Call 7/1/2020	695,000	704,501
5.000%, 7/1/2024, Call 7/1/2020	945,000	957,351
City of Atlanta Airport Passenger Facility Charge:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,144,480
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,860,175
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,142,460
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,142,050
City of Atlanta Water & Wastewater Revenue:
5.000%, 11/1/2040, Call 11/1/2027	1,000,000	1,260,230
5.000%, 11/1/2043, Call 11/1/2027	3,000,000	3,760,650
City of Atlanta Water & Wastewater Revenue, NATL-RE, 5.500%, 11/1/2022	1,000,000	1,079,770
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,113,460
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,352,635
5.000%, 7/1/2021	1,155,000	1,214,829
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,353,612
Gainesville & Hall County Development Authority:

5.000%, 3/1/2027	750,000	819,263
5.000%, 3/1/2037, Call 3/1/2027	500,000	564,515
5.000%, 3/1/2047, Call 3/1/2027	3,500,000	3,889,830
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,819,395
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,421,560
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,588,030
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,404,918
Main Street Natural Gas, Inc.:
1.720%, (SIFMA Municipal Swap Index Yield), 12/1/2023, Call 9/1/2023 (1)	5,000,000	5,026,350
1.859%, (LIBOR 1 Month), 9/1/2023, Call 6/1/2023 (1)	7,000,000	7,087,640
1.940%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)	5,000,000	5,076,750
4.000%, 12/2/2024, Call 9/1/2024 (1)	6,000,000	6,856,620
5.000%, 5/15/2030, Call 5/15/2029	2,750,000	3,540,872
5.000%, 5/15/2031, Call 5/15/2029	4,000,000	5,130,520
Monroe County Development Authority, 2.250%, 7/1/2025, Call 6/13/2024	3,000,000	3,092,130
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	587,673
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	890,176
5.000%, 1/1/2024	1,000,000	1,151,790
5.000%, 1/1/2025, Call 1/1/2024	700,000	806,239
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	28,472
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%,	2,940,000	3,135,128
10/1/2025, Call 10/1/2021
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call	1,000,000	1,067,570
12/1/2021
Guam — 0.1%		95,487,855
Territory of Guam:
5.000%, 12/1/2032, Call 12/1/2026	1,310,000	1,571,817
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,197,840
Hawaii — 0.1%		2,769,657
City & County of Honolulu:
5.000%, 10/1/2022	500,000	553,610
5.000%, 10/1/2023	500,000	573,890
Idaho — 0.1%		1,127,500
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,141,840
Illinois — 18.3%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043,	3,400,000	4,126,274
Call 12/1/2023
Chicago Board of Education:
4.000%, 12/1/2027	2,000,000	2,348,740
5.000%, 12/1/2028	2,600,000	3,302,156
5.000%, 12/1/2029	1,955,000	2,525,938
5.000%, 12/1/2030, Call 12/1/2029	2,000,000	2,572,100
5.000%, 4/1/2042, Call 4/1/2028	1,500,000	1,777,455
5.000%, 4/1/2046, Call 4/1/2028	1,250,000	1,471,812
6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,844,805
Chicago Board of Education, NATL-RE:
0.010%, 12/1/2022	365,000	351,196
5.250%, 12/1/2021	1,000,000	1,062,340
Chicago Housing Authority, HUD SEC 8:
5.000%, 1/1/2023	710,000	786,041
5.000%, 1/1/2037, Call 1/1/2028	2,500,000	3,057,050
Chicago O'Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (5)	1,500,000	1,767,150
5.000%, 1/1/2031, Call 1/1/2025 (5)	1,000,000	1,164,810
5.000%, 1/1/2037, Call 1/1/2029	1,200,000	1,508,736
5.000%, 1/1/2038, Call 1/1/2027	2,290,000	2,808,937
5.000%, 1/1/2038, Call 1/1/2029	4,250,000	5,325,420

5.000%, 1/1/2039, Call 1/1/2029	1,250,000	1,562,562
5.250%, 1/1/2030, Call 3/30/2020	2,595,000	2,603,382
Chicago O'Hare International Airport, AGC, 5.250%, 1/1/2026, Call 3/30/2020	775,000	777,612
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,128,222
5.000%, 1/1/2025, Call 7/1/2020	230,000	232,868
5.000%, 1/1/2026, Call 1/1/2021	730,000	752,535
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,817,950
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	2,093,387
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,144,490
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,614,340
City of Chicago:
5.000%, 1/1/2028	2,000,000	2,461,300
5.000%, 1/1/2029	2,000,000	2,505,540
5.000%, 1/1/2030	2,000,000	2,543,200
5.000%, 1/1/2039, Call 1/1/2029	6,500,000	7,932,795
5.000%, 1/1/2040, Call 1/1/2029	10,900,000	13,272,712
5.000%, 1/1/2044, Call 1/1/2029	3,750,000	4,526,137
5.500%, 1/1/2035, Call 1/1/2029	2,000,000	2,565,480
6.000%, 1/1/2038, Call 1/1/2027	10,000,000	12,603,900
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,316,756
5.000%, 1/1/2032, Call 1/1/2027	2,000,000	2,442,840
5.000%, 1/1/2035, Call 1/1/2027	3,310,000	4,022,941
5.000%, 1/1/2039, Call 1/1/2025	500,000	569,470
City of Chicago Waterworks Revenue:
5.000%, 11/1/2025	2,000,000	2,391,820
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	3,069,325
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,234,890
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,229,460
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,225,410
City of Chicago Waterworks Revenue, AGM, 5.000%, 11/1/2027, Call 3/30/2020	60,000	60,194
City of Springfield, 5.000%, 12/1/2022	905,000	991,120
City of Springfield Electric Revenue:
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,184,490
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,182,300
Cook County Community Consolidated School District No. 65 Evanston:
0.010%, 12/1/2027, Call 12/1/2024	300,000	241,296
0.010%, 12/1/2029, Call 12/1/2024	400,000	290,816
0.010%, 12/1/2030, Call 12/1/2024	1,130,000	782,016
0.010%, 12/1/2031, Call 12/1/2024	1,500,000	984,150
Cook County School District No 63 East Maine, 5.000%, 12/1/2027	2,350,000	2,986,403
Cook County School District No. 103 Lyons, AGM, 0.010%, 12/1/2021	850,000	832,609
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	460,049
Cook County School District No. 144 Prairie Hills, AGM:
0.010%, 12/1/2028	2,830,000	2,387,162
0.010%, 12/1/2029	2,580,000	2,112,091
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,975,260
Cook County Township High School District No. 220 Reavis, 6.000%, 12/1/2030, Call	1,000,000	1,176,690
12/1/2023
Cook County Township High School District No. 220 Reavis, BAM:
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,400,974
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,546,683
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,635,579
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	3,270,000	3,975,437
5.000%, 11/15/2030, Call 11/15/2026	2,750,000	3,330,057
5.250%, 11/15/2023, Call 11/15/2020	350,000	360,269
County of Cook, BAM TCRs, 5.000%, 11/15/2023	1,000,000	1,135,090
County of Cook Sales Tax Revenue:
5.250%, 11/15/2035, Call 11/15/2027	1,520,000	1,923,317
5.250%, 11/15/2036, Call 11/15/2027	3,000,000	3,781,200
County of St. Clair Highway Revenue, 5.500%, 1/1/2038, Call 1/1/2023	825,000	929,577
DeKalb County Community Unit School District No. 428 DeKalb:
0.010%, 1/1/2025, Call 7/1/2020	400,000	311,560

0.010%, 1/1/2028, Call 7/1/2020	1,000,000	644,280
DeKalb Kane & LaSalle Counties Community College District No. 523 Kishwaukee,	470,000	177,900
0.010%, 2/1/2035, Call 2/1/2021
Frankfort Square Park District, AMBAC, 0.010%, 1/1/2022	670,000	643,870
Illinois Development Finance Authority, AGM:
0.010%, 1/1/2021	95,000	94,250
0.010%, 1/1/2021	160,000	158,632
Illinois Finance Authority:
5.000%, 5/15/2023	445,000	492,139
5.000%, 11/15/2023, Call 11/15/2022	215,000	237,003
5.000%, 8/15/2024	250,000	289,488
5.000%, 5/15/2025	1,000,000	1,100,360
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,209,030
5.000%, 11/15/2027, Call 11/15/2025	500,000	602,880
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,426,760
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,119,610
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,392,280
5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,158,820
5.000%, 8/1/2042, Call 8/1/2027	580,000	684,800
5.000%, 5/15/2043, Call 11/15/2028	5,000,000	6,159,650
5.000%, 1/1/2044, Call 1/1/2028	5,000,000	5,910,450
5.000%, 10/1/2044, Call 10/1/2029	1,000,000	1,261,400
5.000%, 8/1/2046, Call 8/1/2027	515,000	605,388
5.000%, 8/1/2047, Call 8/1/2027	750,000	880,822
5.000%, 12/1/2047, Call 12/1/2027	1,000,000	1,138,770
5.000%, 10/1/2049, Call 10/1/2029	1,250,000	1,566,225
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,059,520
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	2,836,386
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,170,580
Illinois Housing Development Authority, GNMA/FNMA/FHLMC, 2.450%, 6/1/2043,	458,542	480,680
Call 1/1/2023
Illinois State Toll Highway Authority:
5.000%, 1/1/2026	2,180,000	2,673,705
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,110,350
5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,112,160
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,218,320
5.000%, 1/1/2031, Call 1/1/2029	500,000	651,475
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	9,453,477
5.000%, 1/1/2044, Call 7/1/2029	7,000,000	8,935,430
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-	5,450,000	5,251,238
RE, 0.010%, 2/1/2023
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.010%, 1/1/2023	350,000	340,169
0.010%, 1/1/2023	650,000	626,613
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,108,870
5.000%, 1/1/2024	1,000,000	1,142,860
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,783,320
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,007,496
Knox & Warren Counties Community Unit School District No. 205 Galesburg,	1,435,000	1,497,150
6.125%, 1/1/2036, Call 1/1/2021
Lake County School District No. 33 Emmons, XLCA:
0.010%, 12/1/2026	525,000	456,089
0.010%, 12/1/2028	335,000	272,027
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	502,858
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley,	500,000	470,555
AGM FGIC, 0.010%, 1/1/2024
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley,
NATL-RE:
0.010%, 1/1/2021	1,070,000	1,061,547
0.010%, 1/1/2021	830,000	819,866
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
5.000%, 1/1/2021	810,000	833,563
5.000%, 1/1/2022	895,000	957,471
Metropolitan Pier & Exposition Authority, NATL-RE:

0.010%, 6/15/2020	440,000	438,535
0.010%, 12/15/2023	20,000	19,230
0.010%, 12/15/2023	835,000	793,200
0.010%, 6/15/2024	1,000,000	942,300
5.700%, 6/15/2023	1,710,000	1,978,555
5.700%, 6/15/2023	1,820,000	2,057,637
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call	3,500,000	4,299,190
12/1/2026
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2027, Call 6/1/2026	2,000,000	2,462,260
5.250%, 6/1/2021	1,120,000	1,177,277
Sales Tax Securitization Corp.:
5.000%, 1/1/2029	3,000,000	3,900,900
5.000%, 1/1/2029, Call 1/1/2028	1,000,000	1,269,800
5.000%, 1/1/2030	1,500,000	1,988,085
5.000%, 1/1/2030, Call 1/1/2028	1,450,000	1,833,626
5.000%, 1/1/2031, Call 1/1/2028	2,000,000	2,519,060
5.250%, 1/1/2043, Call 1/1/2029	5,000,000	6,366,900
South Suburban College Community School District No. 510, AGC, 0.010%,	1,000,000	907,340
12/1/2025
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,388,791
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	2,109,496
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,580,119
State of Illinois:
4.000%, 11/1/2035, Call 11/1/2029	5,000,000	5,843,100
5.000%, 3/1/2020	500,000	500,000
5.000%, 6/1/2020	9,900,000	9,996,723
5.000%, 8/1/2020	2,000,000	2,032,880
5.000%, 4/1/2024, Call 4/1/2023	500,000	556,875
5.000%, 11/1/2025	7,000,000	8,396,710
5.000%, 2/1/2027	5,000,000	6,146,650
5.000%, 10/1/2028	4,700,000	5,976,567
5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,222,160
5.000%, 11/1/2029, Call 11/1/2027	5,000,000	6,164,750
5.000%, 6/15/2034, Call 6/15/2028	5,000,000	6,239,150
6.500%, 6/15/2022	195,000	202,771
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,564,857
Tazewell County School District No. 51 Washington Central, NATL-RE, 9.000%,	165,000	233,977
12/1/2025
Town of Cicero, AGM, 5.000%, 1/1/2021	1,000,000	1,029,510
Village of Elwood, AGC:
0.010%, 3/1/2024	250,000	205,358
0.010%, 3/1/2026	1,280,000	940,198
Village of Franklin Park, BAM:
4.000%, 10/1/2020	615,000	625,781
5.000%, 10/1/2022, Call 10/1/2021	730,000	777,268
5.000%, 10/1/2023, Call 10/1/2021	685,000	729,128
5.000%, 10/1/2024, Call 10/1/2021	425,000	452,009
5.000%, 10/1/2025, Call 10/1/2021	920,000	978,227
Village of Justice, AMBAC, 0.010%, 1/1/2021	635,000	628,536
Will & Kankakee Counties School District No. 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	592,810
5.000%, 6/1/2029, Call 6/1/2025	600,000	706,446
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,350,737
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,776,570
5.000%, 1/1/2030, Call 1/1/2023	2,000,000	2,152,120
Will County Community High School District No. 210 Lincoln-Way, AGM, 4.000%,	650,000	749,216
1/1/2034, Call 1/1/2029
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.010%, 11/1/2020	245,000	243,501
0.010%, 11/1/2020	1,755,000	1,742,206
0.010%, 11/1/2021	55,000	54,087
0.010%, 11/1/2021	245,000	240,144

0.010%, 11/1/2022	60,000	58,289
0.010%, 11/1/2022	190,000	183,513
Will County School District No 114 Manhattan, NATL-RE, 0.010%, 12/1/2020	550,000	543,554
Will County School District No. 114 Manhattan, NATL-RE:
0.010%, 12/1/2020	630,000	625,666
0.010%, 12/1/2023	1,600,000	1,490,512
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call	500,000	522,440
1/1/2021
Will Grundy Counties Community College District No. 525, 5.250%, 6/1/2036, Call	3,400,000	3,929,278
12/1/2023
Winnebago & Boone Counties School District No. 205 Rockford, 4.000%, 2/1/2027,	4,680,000	5,067,083
Call 2/1/2023
Indiana — 1.9%		376,710,913
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	354,774
City of Boonville, 2.600%, 1/1/2023, Call 9/1/2020	2,500,000	2,505,375
City of Rockport, 3.050%, 6/1/2025	2,100,000	2,296,308
City of Whiting, 5.000%, 6/5/2026 (1)	2,200,000	2,693,020
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	138,600
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	612,300
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,848,022
Indiana Bond Bank:
0.010%, 1/15/2031, Call 1/15/2029	1,500,000	1,186,185
0.010%, 1/15/2032, Call 1/15/2029	1,500,000	1,144,770
1.810%, (SIFMA Municipal Swap Index Yield), 10/15/2022 (1)	1,650,000	1,650,231
Indiana Finance Authority:
5.000%, 8/15/2020	360,000	365,710
5.000%, 10/1/2022	300,000	327,411
5.000%, 10/1/2023	400,000	449,160
5.000%, 10/1/2024, Call 10/1/2023	275,000	309,710
5.000%, 5/1/2029, Call 5/1/2022	130,000	141,439
5.000%, 5/1/2029, Call 5/1/2022	3,940,000	4,251,457
5.000%, 11/15/2038, Call 11/15/2025	2,000,000	2,344,880
5.250%, 10/1/2024, Call 10/1/2021	710,000	758,401
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,337,496
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,925,825
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC,	1,200,000	1,200,000
1.400%, 7/1/2047, Call 2/28/2020 (1)
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	181,050
5.000%, 1/1/2022, Call 1/1/2021	200,000	206,778
5.000%, 2/1/2044, Call 2/1/2029	3,500,000	4,480,140
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	550,120
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	310,475
5.000%, 1/15/2024	215,000	246,371
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	80,000	82,859
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,391,894
Iowa — 0.7%		38,290,761
City of Waverly, 2.500%, 12/31/2022, Call 7/1/2022	1,213,000	1,228,648
Iowa Finance Authority:
5.000%, 5/15/2036, Call 5/15/2026	4,065,000	4,707,961
5.000%, 5/15/2043, Call 5/15/2027	1,000,000	1,162,150
5.000%, 3/1/2048, Call 3/1/2024	1,250,000	1,377,750
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,589,005
PEFA, Inc., 5.000%, 9/1/2026, Call 6/1/2026 (1)	3,500,000	4,284,315
Kansas — 0.3%		14,349,829
City of Holton, 2.500%, 7/1/2021, Call 1/1/2021	4,495,000	4,512,575
Kansas Development Finance Authority, 5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,000,000

Wyandotte County-Kansas City Unified Government Utility System Revenue, 5.000%,	1,000,000	1,097,580
9/1/2032, Call 9/1/2022
Kentucky — 1.3%		6,610,155
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,176,220
5.000%, 9/1/2025	1,250,000	1,512,388
Kentucky Economic Development Finance Authority, 5.000%, 8/15/2041, Call	3,500,000	4,177,600
8/15/2027
Kentucky Public Energy Authority, 4.000%, 6/1/2026, Call 3/1/2026 (1)(2)	4,000,000	4,609,000
Louisville/Jefferson County Metropolitan Government:
5.000%, 10/1/2029, Call 7/1/2029 (1)(2)	4,000,000	5,351,400
5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,611,181
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	4,328,415
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,491,960
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,301,455
Louisiana — 1.0%		27,559,619
City of Bossier City Utilities Revenue, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,360,773
City of Shreveport Water & Sewer Revenue, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,503,267
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	702,130
4.000%, 10/1/2021	675,000	706,941
Louisiana Housing Corp., GNMA COLL, 4.750%, 6/1/2027, Call 6/1/2020	470,000	478,037
Louisiana Public Facilities Authority:
3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,497,072
5.000%, 5/15/2042, Call 5/15/2027	2,500,000	3,050,125
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	905,848
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,470,000
4.000%, 3/1/2021	3,585,000	3,695,131
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023	725,000	798,638
Regional Transit Authority, NATL-RE, 0.010%, 12/1/2021	105,000	99,637
Maine — 0.4%		20,267,599
City of Portland General Airport Revenue, 5.000%, 7/1/2022	300,000	328,203
Maine Health & Higher Educational Facilities Authority, 5.000%, 7/1/2043, Call	3,500,000	4,311,930
7/1/2028
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	2,615,000	2,659,063
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,640,280
Maryland — 0.4%		8,939,476
City of Rockville:
5.000%, 11/1/2030, Call 11/1/2024	765,000	876,407
5.000%, 11/1/2037, Call 11/1/2024	1,000,000	1,123,710
5.000%, 11/1/2042, Call 11/1/2024	1,000,000	1,114,800
Maryland Health & Higher Educational Facilities Authority, 5.750%, 7/1/2034, Call	775,000	824,809
7/1/2021
Montgomery County Housing Opportunities Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	662,638
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,146,729
Massachusetts — 1.5%		7,749,093
Commonwealth of Massachusetts, 5.000%, 1/1/2037, Call 1/1/2029	3,000,000	3,922,800
Massachusetts Bay Transportation Authority, 5.000%, 7/1/2046, Call 7/1/2027	4,465,000	5,566,873
Massachusetts Development Finance Agency:
4.000%, 6/1/2049, Call 6/1/2029	1,000,000	1,106,100
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,504,458
5.000%, 7/1/2027, Call 7/1/2025	125,000	152,128
5.000%, 7/1/2029, Call 1/1/2029	750,000	960,037
5.000%, 7/1/2031, Call 1/1/2029	2,000,000	2,535,940

5.000%, 7/1/2037, Call 7/1/2027	1,400,000	1,647,170
5.000%, 10/1/2037, Call 10/1/2022 (4)	500,000	558,110
5.000%, 6/1/2039, Call 6/1/2029	750,000	938,243
5.000%, 10/1/2047, Call 10/1/2022 (4)	500,000	554,325
Massachusetts Educational Financing Authority, 5.000%, 7/1/2025, Call 7/1/2022 (5)	330,000	354,542
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (5)	635,000	638,302
Massachusetts Port Authority, 5.000%, 7/1/2037, Call 7/1/2029	3,100,000	3,987,685
Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	896,850
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue,	5,000,000	5,581,500
5.000%, 1/1/2023, Call 1/1/2023 (1)
Michigan — 3.3%		30,905,063
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	932,684
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	753,554
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,524,070
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	723,306
5.000%, 5/1/2026	500,000	621,560
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	377,471
Charter Township of Northville:
4.000%, 4/1/2021	400,000	413,840
4.000%, 4/1/2022	240,000	254,316
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	24,566
City of Detroit Sewage Disposal System Revenue, NATL-RE, 0.010%, 7/1/2020	110,000	109,608
City of Wyandotte Electric System Revenue, BAM:
5.000%, 10/1/2020	200,000	204,068
5.000%, 10/1/2021	290,000	306,420
5.000%, 10/1/2022	290,000	316,883
5.000%, 10/1/2023	250,000	282,218
5.000%, 10/1/2024	300,000	347,835
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	928,593
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	419,516
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	372,741
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,305,360
5.000%, 5/1/2025	1,000,000	1,204,950
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,047,600
5.000%, 5/1/2022	1,000,000	1,087,800
5.000%, 5/1/2025	1,700,000	2,038,912
Great Lakes Water Authority Sewage Disposal System Revenue, 5.000%, 7/1/2029	3,600,000	4,812,264
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	240,878
5.000%, 5/1/2027, Call 5/1/2025	230,000	276,495
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,703,731
5.250%, 5/1/2027, Call 5/1/2021	600,000	629,070
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,652,254
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,074,600
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020	415,000	418,818
Jenison Public Schools:
5.000%, 5/1/2021	500,000	524,275
5.000%, 5/1/2022, Call 5/1/2021	560,000	587,658
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,071,290
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,055,760
Lansing School District, Q-SBLF, 5.000%, 5/1/2020	1,825,000	1,837,483
Livonia Public Schools, BAM, 5.000%, 5/1/2021	1,600,000	1,676,160
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,591,333
4.000%, 11/1/2029, Call 5/1/2025	940,000	1,074,937
Michigan Finance Authority:
4.000%, 2/15/2044, Call 8/15/2029	4,000,000	4,736,920
5.000%, 11/1/2020	2,000,000	2,054,180
5.000%, 7/1/2026, Call 7/1/2025	175,000	210,039

5.000%, 7/1/2027, Call 7/1/2025	600,000	718,782
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,138,623
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,785,435
5.000%, 7/1/2034, Call 7/1/2025	500,000	590,705
5.000%, 12/1/2035, Call 12/1/2027	1,000,000	1,269,370
5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,214,480
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,758,540
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,754,220
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	872,228
Michigan Strategic Fund, 5.000%, 12/31/2043, Call 12/31/2028	3,400,000	4,199,612
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	232,858
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	472,010
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	195,000	204,660
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,711,475
5.000%, 5/1/2021	1,155,000	1,211,075
Taylor Tax Increment Finance Authority, AGM, 3.250%, 5/1/2020	90,000	90,302
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (5)	3,000,000	3,623,520
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,515,975
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,230,096
Minnesota — 0.6%		68,419,982
City of Minneapolis St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025,	275,000	280,459
Call 8/15/2020
City of Minneapolis St. Paul Housing & Redevelopment Authority, AGM, 5.000%,	215,000	219,027
8/15/2025, Call 8/15/2020
Duluth Economic Development Authority, 5.000%, 2/15/2043, Call 2/15/2028	1,000,000	1,243,130
JPMorgan Chase Putters/Drivers Trust, 1.400%, 6/1/2021 (1)(4)	5,000,000	5,000,000
Minnesota Housing Finance Agency, GNMA COLL, 2.600%, 9/1/2042, Call 7/1/2022	605,068	616,527
Minnesota Housing Finance Agency, GNMA/FNMA/FHLMC:
2.250%, 12/1/2042, Call 1/1/2022	407,545	415,362
3.500%, 7/1/2050, Call 7/1/2029	2,500,000	2,768,025
3.900%, 7/1/2030, Call 1/1/2022	450,000	467,411
5.000%, 1/1/2031, Call 7/1/2021	560,000	570,494
Mississippi — 0.9%		11,580,435
Mississippi Business Finance Corp.:
1.200%, 11/1/2035, Call 3/2/2020 (1)	200,000	200,000
3.200%, 9/1/2028, Call 3/13/2024	4,000,000	4,185,600
Mississippi Development Bank:
3.125%, 10/1/2023	165,000	171,970
5.000%, 10/1/2023	2,270,000	2,481,723
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,291,716
Mississippi Hospital Equipment & Facilities Authority:
4.000%, 1/1/2039, Call 1/1/2030	1,500,000	1,733,355
4.000%, 1/1/2040, Call 1/1/2030	1,100,000	1,266,914
Mississippi State University Educational Building Corp., 5.000%, 11/1/2022	135,000	149,446
State of Mississippi:
5.000%, 10/15/2036, Call 10/15/2028	3,395,000	4,341,322
5.000%, 10/15/2037, Call 10/15/2028	2,000,000	2,549,760
Missouri — 2.2%		18,371,806
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%,	4,000,000	4,406,200
10/1/2033, Call 10/1/2022
Chesterfield Valley Transportation Development District:
5.000%, 5/15/2020	125,000	125,994
5.000%, 5/15/2021	490,000	513,314
City of Kansas City:
5.000%, 9/1/2021, Call 3/30/2020	500,000	501,550
5.000%, 9/1/2023, Call 3/30/2020	300,000	300,903
5.000%, 10/1/2026, Call 10/1/2025	120,000	146,198

5.000%, 10/1/2028, Call 10/1/2025	115,000	139,903
5.000%, 9/1/2032, Call 3/30/2020	1,000,000	1,002,810
Health & Educational Facilities Authority of the State of Missouri:
4.000%, 2/15/2044, Call 2/15/2029	2,000,000	2,309,520
4.000%, 2/1/2048, Call 2/1/2029	2,750,000	2,994,613
4.000%, 2/15/2049, Call 2/15/2029	2,500,000	2,868,525
5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,083,096
5.000%, 2/1/2034, Call 2/1/2024	1,250,000	1,440,313
5.000%, 11/15/2034, Call 5/15/2026	3,000,000	3,643,530
5.000%, 2/1/2042, Call 2/1/2024	2,000,000	2,282,420
5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,069,300
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,087,780
Kansas City Industrial Development Authority, 5.000%, 3/1/2046, Call 3/1/2029	2,000,000	2,489,060
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,100,000	1,216,105
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	2,190,800
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.500%, 11/1/2050, Call 5/1/2029	7,000,000	7,751,310
3.800%, 5/1/2025, Call 5/1/2021	485,000	497,707
4.000%, 5/1/2027, Call 5/1/2021	485,000	498,793
Missouri State Environmental Improvement & Energy Resources Authority, 5.750%,	65,000	65,239
1/1/2029, Call 3/30/2020
St. Louis County Industrial Development Authority, 5.000%, 9/1/2048, Call 9/1/2027	1,000,000	1,149,990
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,000,000
5.000%, 3/1/2031, Call 3/1/2020	750,000	750,000
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,000,000
Nebraska — 0.4%		45,524,973
Central Plains Energy Project, 4.000%, 8/1/2025, Call 5/1/2025 (1)	2,500,000	2,881,550
Nebraska Public Power District, 5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,074,200
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	897,246
5.000%, 5/1/2027, Call 5/1/2022	585,000	635,573
5.000%, 5/1/2028, Call 5/1/2022	550,000	597,300
5.000%, 5/1/2029, Call 5/1/2022	660,000	716,311
Saline County Hospital Authority No. 1, 1.160%, 6/1/2031, Call 2/28/2020 (1)	1,000,000	1,000,000
Nevada — 0.7%		7,802,180
City of North Las Vegas NV, AGM, 5.000%, 6/1/2023	1,000,000	1,128,360
City of Sparks NV, 2.500%, 6/15/2024 (4)	700,000	716,646
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,401,540
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,165,180
5.000%, 7/1/2040, Call 7/1/2027	4,000,000	4,979,200
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,577,601
New Hampshire — 0.5%		14,968,527
New Hampshire Business Finance Authority, 2.150%, 7/1/2024, Call 4/2/2024 (1)	4,000,000	4,144,800
New Hampshire Health and Education Facilities Authority Act, 1.170%, 7/1/2033, Call	4,900,000	4,900,000
2/28/2020 (1)
New Hampshire Housing Finance Authority, 4.800%, 7/1/2028, Call 1/1/2022	550,000	553,427
New Jersey — 3.2%		9,598,227
New Jersey Economic Development Authority:
5.000%, 6/15/2020	1,500,000	1,516,125
5.000%, 11/1/2021	4,600,000	4,892,054
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	3,110,325
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call	4,190,000	4,193,268
3/10/2020
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	85,000	85,608
New Jersey Transportation Trust Fund Authority:
4.000%, 6/15/2036, Call 12/15/2028	1,000,000	1,157,350

4.000%, 6/15/2044, Call 12/15/2028	2,500,000	2,833,575
4.000%, 6/15/2050, Call 12/15/2028	3,500,000	3,935,890
5.000%, 6/15/2022	500,000	543,265
5.000%, 6/15/2030, Call 6/15/2026	1,000,000	1,200,010
5.000%, 6/15/2031, Call 6/15/2026	1,000,000	1,196,870
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,777,000
5.000%, 6/15/2035, Call 12/15/2028	3,000,000	3,753,420
5.250%, 12/15/2023	240,000	276,305
New Jersey Transportation Trust Fund Authority, BAM TCRs:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,435,250
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,245,940
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,320,667
New Jersey Transportation Trust Fund Authority, BHAC AMBAC, 0.010%,	440,000	414,493
12/15/2024
New Jersey Turnpike Authority:
5.000%, 1/1/2031, Call 1/1/2025	500,000	594,590
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,778,393
5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,815,385
Tobacco Settlement Financing Corp.:
5.000%, 6/1/2031, Call 6/1/2028	2,750,000	3,477,677
5.000%, 6/1/2032, Call 6/1/2028	2,000,000	2,512,620
5.000%, 6/1/2033, Call 6/1/2028	1,500,000	1,889,460
5.000%, 6/1/2046, Call 6/1/2028	2,500,000	3,046,125
New Mexico — 0.7%		67,001,665
City of Santa Fe:
2.625%, 5/15/2025, Call 11/15/2021	750,000	757,785
4.000%, 6/1/2025, Call 6/1/2022	655,000	700,333
5.000%, 5/15/2044, Call 5/15/2026	500,000	570,485
5.000%, 5/15/2049, Call 5/15/2026	800,000	905,424
New Mexico Hospital Equipment Loan Council:
2.375%, 7/1/2024, Call 1/1/2021	550,000	552,073
5.000%, 7/1/2039, Call 7/1/2026	1,225,000	1,437,256
5.000%, 7/1/2049, Call 7/1/2026	4,000,000	4,625,240
New Mexico Mortgage Finance Authority, GNMA COLL, 2.600%, 2/1/2043, Call	666,502	682,865
1/1/2023
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
3.500%, 1/1/2051, Call 7/1/2029	3,000,000	3,321,810
4.625%, 3/1/2028, Call 9/1/2021	425,000	435,289
5.350%, 3/1/2030, Call 9/1/2020	1,045,000	1,064,113
New York — 5.2%		15,052,673
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	173,001
5.000%, 12/1/2024	200,000	238,180
Buffalo & Erie County Industrial Land Development Corp.:
5.000%, 6/1/2035, Call 6/1/2024	1,000,000	1,148,470
5.000%, 8/1/2037, Call 8/1/2027	1,300,000	1,500,525
5.000%, 8/1/2047, Call 8/1/2027	1,000,000	1,134,840
City of New York:
1.170%, 6/1/2044, Call 2/28/2020 (1)	1,400,000	1,400,000
1.170%, 10/1/2046, Call 2/28/2020 (1)	600,000	600,000
1.210%, 8/1/2044, Call 2/28/2020 (1)	400,000	400,000
1.380%, 10/1/2046, Call 2/28/2020 (1)	3,000,000	3,000,000
5.000%, 8/1/2032, Call 2/1/2022	3,000,000	3,241,770
5.000%, 3/1/2037, Call 3/1/2028	1,120,000	1,425,379
5.250%, 3/1/2034, Call 3/1/2028	3,000,000	3,923,220
5.250%, 3/1/2035, Call 3/1/2028	2,500,000	3,257,450
City of New York, AGC, 1.180%, 10/1/2021, Call 3/2/2020 (1)(6)	400,000	400,000
Long Island Power Authority, 1.910%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022	5,000,000	5,030,700
(1)
Metropolitan Transportation Authority:
1.170%, 11/1/2032, Call 2/28/2020 (1)	1,100,000	1,100,000
1.200%, 11/1/2035, Call 2/28/2020 (1)	1,200,000	1,200,000

1.600%, (SIFMA Municipal Swap Index Yield), 11/15/2022 (1)	1,000,000	1,003,730
5.000%, 11/15/2034, Call 5/15/2028	1,815,000	2,303,707
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,860,703
New York City Transitional Finance Authority Future Tax Secured Revenue:
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,352,165
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,210,610
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,421,220
5.000%, 8/1/2034, Call 8/1/2026	4,000,000	4,971,200
5.000%, 8/1/2036, Call 8/1/2028	5,555,000	7,147,730
5.000%, 5/1/2038, Call 5/1/2027	4,000,000	5,027,840
5.250%, 8/1/2037, Call 8/1/2028	3,500,000	4,576,775
New York City Water & Sewer System:
1.170%, 6/15/2050, Call 2/28/2020 (1)	1,600,000	1,600,000
5.000%, 6/15/2028, Call 6/15/2024	500,000	591,335
5.000%, 6/15/2029, Call 6/15/2024	600,000	709,104
5.000%, 6/15/2048, Call 12/15/2027	1,000,000	1,264,780
New York Liberty Development Corp., 2.800%, 9/15/2069, Call 3/15/2029	1,000,000	1,068,730
New York State Dormitory Authority:
4.000%, 2/15/2047, Call 2/15/2030	4,000,000	4,794,800
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,200,348
5.000%, 12/1/2035, Call 6/1/2027 (4)	500,000	605,630
5.000%, 12/1/2037, Call 6/1/2027 (4)	500,000	602,105
5.250%, 3/15/2037, Call 9/15/2028	1,695,000	2,229,756
New York State Dormitory Authority, NATL-RE, 3.161%, 7/1/2029, Call 3/2/2020	2,400,000	2,400,000
(1)(6)
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,123,680
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024	2,500,000	2,785,125
(5)
Nuveen New York AMT-Free Municipal Credit Income Fund, 1.500%, 3/1/2029 (1)	4,700,000	4,700,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.500%, 3/1/2029 (1)	3,500,000	3,500,000
Triborough Bridge & Tunnel Authority, 5.000%, 11/15/2037, Call 11/15/2028	1,500,000	1,952,265
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,201,590
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,160,370
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	523,235
North Carolina — 1.1%		108,062,068
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	614,683
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,066,550
5.000%, 10/1/2024, Call 10/1/2021	835,000	890,569
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,574,634
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,860,676
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	65,000	66,061
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	473,370
5.000%, 6/1/2027, Call 6/1/2022	500,000	546,260
5.000%, 1/1/2038, Call 1/1/2026	1,000,000	1,198,950
5.000%, 1/1/2044, Call 1/1/2026	1,000,000	1,187,880
North Carolina Turnpike Authority:
0.010%, 1/1/2040, Call 1/1/2030	2,000,000	1,207,100
0.010%, 1/1/2041, Call 1/1/2030	2,000,000	1,162,560
0.010%, 1/1/2042, Call 1/1/2030	1,500,000	839,730
0.010%, 1/1/2043, Call 1/1/2030	1,500,000	809,610
0.010%, 1/1/2044, Call 1/1/2030	2,000,000	1,041,460
5.000%, 1/1/2043, Call 1/1/2030	1,400,000	1,788,528
5.000%, 1/1/2044, Call 1/1/2030	1,500,000	1,911,810
5.000%, 7/1/2047, Call 7/1/2026	750,000	879,008
Orange County Public Facilities Co., 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,252,989
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,701,475
North Dakota — 1.3%		22,073,903

Barnes County North Public School District Building Authority:

4.000%, 5/1/2021	635,000	658,279
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,579,281
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,928,495
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,360,019
City of Grand Forks, 5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,057,070
City of West Fargo, 3.000%, 5/1/2023, Call 3/30/2020	185,000	185,174
County of Ward:
5.000%, 6/1/2034, Call 6/1/2028	2,500,000	3,013,125
5.000%, 6/1/2043, Call 6/1/2028	2,500,000	2,935,725
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,674,655
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,403,569
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,253,409
Williston Parks & Recreation District:
4.500%, 3/1/2020	605,000	605,000
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,550,199
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,645,755
Ohio — 2.9%		25,849,755
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000	1,065,840
Buckeye Tobacco Settlement Financing Authority, 4.000%, 6/1/2048, Call 6/1/2030	2,000,000	2,294,840
(2)
City of Cleveland Airport System Revenue, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,201,782
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,077,380
City of Cleveland Airport System Revenue, MAC:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,399,414
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,368,273
City of Cleveland Income Tax Revenue:
5.000%, 10/1/2024, Call 10/1/2022	460,000	510,066
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,192,003
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,252,989
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,539,244
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,056,640
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	558,675
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,112,420
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,108,020
Cleveland Heights & University Heights City School District:
0.010%, 12/1/2024	400,000	379,132
0.010%, 12/1/2025	600,000	560,790
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,024,330
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,245,180
5.000%, 7/1/2029, Call 7/1/2026	2,000,000	2,372,240
5.000%, 5/15/2031, Call 5/15/2023	405,000	453,155
County of Hamilton Sales Tax Revenue, 5.000%, 12/1/2029, Call 12/1/2021	975,000	1,042,811
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,188,208
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	979,446
County of Miami, 5.000%, 8/1/2045, Call 8/1/2028	2,220,000	2,751,668
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,416,787
Elyria City School District, School District Credit Program, 4.000%, 12/1/2028, Call	1,130,000	1,220,072
12/1/2022
Franklin County Convention Facilities Authority, 5.000%, 12/1/2044, Call 12/1/2029	1,500,000	1,858,695
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	767,295
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,635,684
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,751,532
New Albany Community Authority:
4.000%, 10/1/2020	590,000	600,856
5.000%, 10/1/2022	1,000,000	1,104,250
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,219,301
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	254,547
5.000%, 12/1/2028, Call 12/1/2023	365,000	422,316

5.000%, 12/1/2029, Call 12/1/2023	500,000	578,515
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,072,900
4.000%, 12/1/2021	795,000	835,704
4.000%, 12/1/2022	845,000	913,208
Ohio Turnpike & Infrastructure Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,486,873
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	246,083
Ohio Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,203,356
Port of Greater Cincinnati Development Authority, 3.000%, 5/1/2023, Call 5/1/2022	5,000,000	5,122,200
State of Ohio, 1.290%, 1/15/2045, Call 3/2/2020 (1)	2,000,000	2,000,000
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	263,230
Oklahoma — 0.6%		60,707,950
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,189,880
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 3/30/2020	975,000	976,219
4.000%, 9/1/2020	700,000	710,857
4.000%, 9/1/2021	805,000	836,580
Norman Regional Hospital Authority, 4.000%, 9/1/2045, Call 9/1/2029	1,500,000	1,725,210
Oklahoma Housing Finance Agency, GNMA COLL:
2.500%, 3/1/2022	165,000	170,013
3.300%, 3/1/2031, Call 3/1/2022	365,000	368,405
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (5)	1,405,000	1,567,193
Tulsa County Industrial Authority:
5.250%, 11/15/2037, Call 11/15/2025	1,500,000	1,745,595
5.250%, 11/15/2045, Call 11/15/2025	1,500,000	1,726,515
Oregon — 0.6%		12,016,467
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,089,610
City of Tigard Water Revenue, 5.000%, 8/1/2029, Call 8/1/2022	690,000	755,253
City of Woodburn Wastewater Revenue:
0.010%, 3/1/2020	1,380,000	1,380,000
0.010%, 3/1/2021	1,215,000	1,201,939
Clackamas & Washington Counties School District No. 3, NATL-RE School Bond	2,000,000	1,936,760
Gty, 0.010%, 6/15/2023
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	264,375
5.000%, 9/1/2022	505,000	552,419
Oregon State Business Development Commission, 5.000%, 3/1/2022 (1)	1,000,000	1,076,970
Port of Morrow:
3.500%, 6/1/2020, Call 3/30/2020	210,000	210,391
3.750%, 6/1/2021, Call 3/30/2020	220,000	220,436
4.000%, 6/1/2022, Call 3/30/2020	235,000	235,491
Port of Portland Airport Revenue, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,181,320
State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call	130,000	130,078
3/23/2020 (5)
Pennsylvania — 3.6%		12,235,042
Allegheny County Hospital Development Authority:
4.000%, 7/15/2038, Call 7/15/2029	500,000	592,295
4.000%, 7/15/2039, Call 7/15/2029	500,000	590,420
Berks County Industrial Development Authority:
5.000%, 5/15/2032, Call 5/15/2027	1,050,000	1,257,260
5.000%, 5/15/2038, Call 5/15/2025	255,000	294,446
5.000%, 5/15/2042, Call 5/15/2024	1,655,000	1,873,294
5.000%, 5/15/2043, Call 5/15/2025	350,000	400,362
5.000%, 5/15/2047, Call 5/15/2027	1,630,000	1,894,337
Berks County Municipal Authority:
5.000%, 2/1/2025, Call 8/1/2024 (1)	2,000,000	2,382,100
5.000%, 2/1/2027, Call 8/1/2026 (1)	2,000,000	2,504,620
5.000%, 2/1/2030, Call 8/1/2029 (1)	2,000,000	2,652,500
Bucks County Industrial Development Authority, 5.000%, 10/1/2037, Call 10/1/2024	1,250,000	1,440,662
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	538,905
City of Pittsburgh, 4.000%, 9/1/2021	750,000	785,355

Commonwealth Financing Authority:
5.000%, 6/1/2032, Call 6/1/2028	1,000,000	1,264,300
5.000%, 6/1/2033, Call 6/1/2028	1,250,000	1,576,962
5.000%, 6/1/2034, Call 6/1/2028	1,000,000	1,258,340
5.000%, 6/1/2035, Call 6/1/2028	1,000,000	1,254,350
Doylestown Hospital Authority, 4.000%, 7/1/2045, Call 7/1/2029	1,250,000	1,365,538
Geisinger Authority, 5.000%, 2/15/2039, Call 2/15/2027	2,500,000	3,052,900
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,493,819
Lancaster County Hospital Authority:
2.875%, 12/15/2023, Call 3/30/2020	500,000	500,355
5.000%, 6/15/2044, Call 6/15/2026	1,000,000	1,151,730
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	377,564
5.000%, 5/1/2022	430,000	468,808
Montgomery County Higher Education & Health Authority:
4.000%, 9/1/2044, Call 9/1/2029	1,000,000	1,155,610
5.000%, 9/1/2033, Call 9/1/2029	1,500,000	1,958,745
Montgomery County Industrial Development Authority:
5.000%, 12/1/2038, Call 12/1/2025	1,000,000	1,164,620
5.000%, 12/1/2044, Call 12/1/2025	500,000	597,945
5.000%, 12/1/2049, Call 12/1/2025	750,000	893,933
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call	1,350,000	1,373,098
8/1/2020
Pennsylvania Economic Development Financing Authority, AGM:
0.010%, 1/1/2021	600,000	593,406
5.000%, 1/1/2022	305,000	326,289
Pennsylvania Turnpike Commission:
2.130%, (SIFMA Municipal Swap Index Yield), 12/1/2021, Call 6/1/2021 (1)	5,000,000	5,047,550
4.000%, 12/1/2023, Call 3/30/2020	95,000	95,210
4.000%, 12/1/2037, Call 12/1/2027	2,975,000	3,383,408
5.000%, 12/1/2030, Call 12/1/2020 (3)	215,000	221,736
5.000%, 12/1/2030, Call 12/1/2020 (3)	120,000	123,760
5.000%, 12/1/2030, Call 12/1/2020 (3)	250,000	257,928
5.000%, 12/1/2037, Call 12/1/2027	1,250,000	1,565,412
5.000%, 12/1/2037, Call 12/1/2029	1,000,000	1,308,580
5.000%, 12/1/2038, Call 12/1/2029	2,000,000	2,610,000
5.000%, 12/1/2039, Call 12/1/2029	1,000,000	1,300,800
5.000%, 6/1/2042, Call 6/1/2027	5,450,000	6,593,846
5.500%, 12/1/2042, Call 12/1/2026	3,000,000	3,745,170
6.000%, 12/1/2034, Call 12/1/2020 (3)	55,000	57,126
6.000%, 12/1/2034, Call 12/1/2020 (3)	70,000	72,706
6.000%, 12/1/2034, Call 12/1/2020 (3)	270,000	280,541
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,013,064
Pittsburgh School District, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,103,800
Pittsburgh Water & Sewer Authority, AGM, 1.828%, (LIBOR 1 Month), 12/1/2020,	2,055,000	2,055,411
Call 6/1/2020 (1)
Sayre Health Care Facilities Authority, 2.058%, (LIBOR 3 Month), 12/1/2024, Call	170,000	170,741
3/30/2020 (1)
School District of Philadelphia, SAW, 4.000%, 3/31/2020	2,000,000	2,004,880
Tender Option Bond Trust Receipts/Certificates, 1.500%, 11/1/2047, Call 11/1/2027	2,435,000	2,435,000
(1)(4)
Rhode Island — 0.4%		74,481,537
Rhode Island Housing & Mortgage Finance Corp., 3.625%, 10/1/2029, Call 10/1/2021	760,000	783,955
Rhode Island Student Loan Authority:
4.000%, 12/1/2022, Call 12/1/2021 (5)	2,885,000	3,018,893
4.250%, 12/1/2020, Call 3/30/2020	85,000	85,268
4.250%, 12/1/2025, Call 12/1/2021 (5)	2,205,000	2,311,722
Town of Cumberland, SAW:
4.000%, 3/15/2024	795,000	891,982
4.000%, 3/15/2026, Call 3/15/2024	460,000	515,296
South Carolina — 1.2%		7,607,116

City of Rock Hill Combined Utility System Revenue, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	787,867
5.250%, 1/1/2028, Call 1/1/2022	475,000	511,480
County of Dorchester Waterworks & Sewer System Revenue:
5.000%, 10/1/2022	480,000	530,040
5.000%, 10/1/2026, Call 10/1/2022	400,000	441,592
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,051,620
5.000%, 11/1/2030, Call 11/1/2020	500,000	512,365
5.000%, 11/1/2031, Call 11/1/2024	360,000	418,568
Patriots Energy Group Financing Agency, 1.970%, (LIBOR 1 Month), 2/1/2024, Call	8,000,000	8,114,880
11/1/2023 (1)
Piedmont Municipal Power Agency, AGC:
5.000%, 1/1/2030, Call 7/1/2021	450,000	472,946
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,062,530
South Carolina Jobs-Economic Development Authority:
5.000%, 7/1/2022	1,735,000	1,903,555
5.000%, 4/1/2038, Call 4/1/2024	2,000,000	2,234,380
South Carolina Public Service Authority, 5.000%, 12/1/2032, Call 12/1/2026	3,265,000	4,036,520
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023 (3)	1,500,000	1,669,965
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call	900,000	937,998
4/1/2021
South Dakota — 0.5%		25,686,306
South Dakota Health & Educational Facilities Authority:
4.250%, 9/1/2023	740,000	805,031
4.500%, 9/1/2020	900,000	916,173
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,098,868
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,022,206
5.000%, 11/1/2022	715,000	790,318
5.000%, 8/1/2023	375,000	427,196
5.000%, 11/1/2023	625,000	714,600
5.000%, 8/1/2024	195,000	229,940
5.000%, 11/1/2024	650,000	767,384
5.000%, 11/1/2025, Call 11/1/2024	600,000	708,750
5.000%, 9/1/2027, Call 9/1/2024	720,000	829,915
South Dakota Housing Development Authority, 3.550%, 11/1/2033, Call 11/1/2022	2,250,000	2,345,737
Tennessee — 2.1%		10,656,118
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call	5,815,000	6,937,760
1/1/2027
Metropolitan Government Nashville & Davidson County Health & Educational Facility
Board:
2.000%, 1/1/2021 (1)	3,000,000	3,023,700
5.000%, 11/1/2027, Call 11/1/2021	1,500,000	1,597,830
5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,218,240
Metropolitan Nashville Airport Authority:
4.000%, 7/1/2049, Call 7/1/2030	1,250,000	1,464,712
5.000%, 7/1/2044, Call 7/1/2030	3,500,000	4,504,220
Shelby County Health Educational & Housing Facilities Board, AGM, 1.150%,	7,100,000	7,100,000
6/1/2042, Call 2/28/2020 (1)
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,875,834
5.250%, 9/1/2021	3,810,000	4,049,039
5.250%, 9/1/2022	250,000	275,008
Tennessee Housing Development Agency:
3.500%, 7/1/2050, Call 7/1/2029 (2)	5,890,000	6,585,903
4.000%, 7/1/2025, Call 1/1/2021	890,000	909,518
4.125%, 1/1/2025, Call 1/1/2021	590,000	602,178
Texas — 6.5%		44,143,942
Bexar County Health Facilities Development Corp., 5.000%, 7/15/2033, Call	1,000,000	1,149,550
7/15/2023

Bexar County Hospital District:

5.000%, 2/15/2034, Call 2/15/2028	1,000,000	1,277,710
5.000%, 2/15/2038, Call 2/15/2028	1,250,000	1,582,900
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	706,643
Capital Area Cultural Education Facilities Finance Corp., 5.250%, 4/1/2021, Call	400,000	401,212
4/1/2020
Central Texas Regional Mobility Authority, 0.010%, 1/1/2025	1,000,000	931,630
Central Texas Turnpike System, 5.000%, 8/15/2039, Call 8/15/2030 (2)	3,500,000	4,634,140
City of Beaumont Waterworks & Sewer System Revenue, BAM:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,208,820
5.000%, 9/1/2027, Call 9/1/2025	600,000	724,896
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,200,940
City of Galveston Wharves & Terminal Revenue, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,163,776
City of Houston Airport System Revenue:
5.000%, 7/1/2030, Call 7/1/2028	1,375,000	1,781,656
5.000%, 7/1/2038, Call 7/1/2028	5,000,000	6,341,050
City of Houston Hotel Occupancy Tax & Special Revenue, 5.000%, 9/1/2026, Call	250,000	293,653
9/1/2024
City of Laredo International Toll Bridge System Revenue, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	264,404
5.000%, 10/1/2027, Call 10/1/2024	240,000	281,890
City of San Antonio Electric & Gas Systems Revenue:
5.000%, 2/1/2035, Call 2/1/2030	4,400,000	5,874,088
5.000%, 2/1/2045, Call 2/1/2030	1,750,000	2,293,987
5.000%, 2/1/2049, Call 2/1/2030	1,500,000	1,954,905
City of San Marcos Electric Utility System Revenue, BAM:
4.500%, 11/1/2028, Call 11/1/2022	600,000	652,980
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,339,866
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	819,308
5.000%, 8/15/2027, Call 8/15/2025	545,000	660,524
5.000%, 8/15/2028, Call 8/15/2025	835,000	1,010,066
5.000%, 8/15/2029, Call 8/15/2025	335,000	402,446
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,499,387
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,096,500
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,488,435
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,280,440
Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,081,503
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,174,840
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call	675,000	700,792
2/15/2021
Dallas Area Rapid Transit:
5.000%, 12/1/2030, Call 12/1/2029	2,000,000	2,711,500
5.000%, 12/1/2031, Call 12/1/2029	2,500,000	3,380,600
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,112,330
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,138,450
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,278,200
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,380,456
Georgetown Independent School District, PSF:
5.000%, 8/15/2025, Call 8/15/2020	645,000	657,229
5.000%, 8/15/2027	1,000,000	1,291,920
5.000%, 8/15/2028	1,000,000	1,324,900
Grand Parkway Transportation Corp.:
1.000%, 10/1/2030, Call 10/1/2028 (3)	1,000,000	1,136,240
4.000%, 10/1/2045, Call 4/1/2030	1,250,000	1,488,775
4.000%, 10/1/2049, Call 4/1/2030	750,000	888,998
Gulf Coast Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,581,237
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,663,747
Harris County Cultural Education Facilities Finance Corp.:
1.220%, 12/1/2024, Call 2/28/2020 (1)	300,000	300,000
1.900%, (SIFMA Municipal Swap Index Yield), 6/1/2020 (1)	2,000,000	2,002,280
1.980%, (SIFMA Municipal Swap Index Yield), 6/1/2021 (1)	2,400,000	2,414,904

Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	473,204
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,383,370
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	838,948
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,630,444
5.000%, 5/15/2036, Call 5/15/2029	1,500,000	1,955,280
Matagorda County Navigation District No. 1, 2.600%, 11/1/2029	1,000,000	1,082,760
Mesquite Independent School District, PSF, 0.010%, 8/15/2021	635,000	627,609
New Hope Cultural Education Facilities Finance Corp.:
4.000%, 11/15/2021	615,000	631,464
5.000%, 11/15/2031, Call 11/15/2024	850,000	966,518
5.000%, 8/15/2036, Call 8/15/2021 (4)	1,700,000	1,747,872
5.000%, 8/15/2037, Call 8/15/2021 (4)	1,260,000	1,294,751
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,042,010
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	485,509
North Texas Tollway Authority:
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,498,177
5.000%, 1/1/2048, Call 1/1/2028	5,000,000	6,212,450
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2020 (1)	1,975,000	1,984,737
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,175,320
Prosper Independent School District, PSF, 5.000%, 2/15/2044, Call 2/15/2029	2,880,000	3,689,453
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	527,530
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	406,004
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,306,872
5.000%, 5/15/2037, Call 5/15/2024	1,895,000	2,099,944
5.000%, 11/15/2037, Call 11/15/2027	2,175,000	2,619,526
5.000%, 5/15/2045, Call 5/15/2024	3,250,000	3,575,520
5.000%, 11/15/2046, Call 11/15/2026	2,000,000	2,330,100
5.000%, 11/15/2046, Call 11/15/2027	1,250,000	1,484,462
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,138,500
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,129,150
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,683,878
U. S. Virgin Islands — 0.2%		134,048,065
Virgin Islands Public Finance Authority:
5.000%, 9/1/2030, Call 9/1/2025 (4)	2,320,000	2,628,908
5.000%, 9/1/2033, Call 9/1/2025 (4)	1,000,000	1,126,650
Utah — 0.5%		3,755,558
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	352,875
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,662,439
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,456,526
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	961,685
Utah Charter School Finance Authority, UT, 5.250%, 10/15/2028, Call 10/15/2023	480,000	548,199
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,074,240
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,398,592
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,047,623
Vermont — 0.0%		9,502,179
Vermont Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 11/1/2043, Call	595,000	630,260
5/1/2023
Vermont Student Assistance Corp., 5.000%, 6/15/2020 (5)	125,000	126,391
Virginia — 0.7%		756,651
Charles City County Economic Development Authority, 2.125%, 4/1/2020 (1)	1,220,000	1,220,891
City of Chesapeake Chesapeake Expressway Toll Road Revenue, 5.000%, 7/15/2022	500,000	545,680
Henrico County Economic Development Authority, 5.000%, 10/1/2037, Call	1,000,000	1,164,550
10/1/2024
Henrico County Economic Development Authority, AGM, 2.888%, 8/23/2027, Call	50,000	50,000
2/28/2020 (1)(6)

Stafford County Economic Development Authority:
5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,225,450
5.000%, 6/15/2030, Call 6/15/2026	700,000	852,607
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	745,000
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,755,000
5.000%, 2/1/2031, Call 2/1/2027	2,200,000	2,778,996
Virginia Small Business Financing Authority:
4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,005,580
5.000%, 1/1/2044, Call 1/1/2022	2,500,000	2,662,750
Washington — 1.9%		14,006,504
Chelan County Public Utility District No. 1, NATL-RE, 0.010%, 6/1/2024	210,000	200,680
FYI Properties, 5.000%, 6/1/2031, Call 6/1/2028	5,000,000	6,408,700
King County Housing Authority, County Guarantee:
5.200%, 5/1/2028, Call 3/30/2020	480,000	486,538
5.500%, 12/1/2028, Call 3/30/2020	1,000,000	1,004,190
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,939,400
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	206,362
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty,	2,025,000	2,313,745
5.000%, 12/1/2035, Call 12/1/2023
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,093,793
Port of Seattle, 4.000%, 4/1/2044, Call 4/1/2029	1,000,000	1,144,930
Snohomish County Housing Authority, 5.000%, 4/1/2031, Call 4/1/2029	1,000,000	1,278,480
Spokane County School District No. 81 Spokane, School Bond Gty:
5.000%, 12/1/2030, Call 12/1/2021	650,000	698,132
5.000%, 12/1/2036, Call 6/1/2029	5,000,000	6,566,900
Washington Health Care Facilities Authority, 5.000%, 10/1/2030, Call 10/1/2022	750,000	822,135
Washington State Housing Finance Commission:
2.375%, 1/1/2026, Call 7/1/2021 (4)	1,000,000	1,005,920
5.000%, 1/1/2029, Call 1/1/2026 (4)	840,000	1,004,808
5.000%, 1/1/2036, Call 1/1/2025 (4)	2,125,000	2,413,256
5.000%, 1/1/2038, Call 1/1/2026 (4)	2,000,000	2,345,180
5.000%, 1/1/2044, Call 7/1/2026 (4)	1,000,000	1,152,520
5.000%, 1/1/2049, Call 7/1/2026 (4)	1,000,000	1,149,360
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 3.050%,	750,000	783,030
6/1/2022
WBRP 3.2:
5.000%, 1/1/2026, Call 7/1/2025	750,000	910,005
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,128,743
West Virginia — 0.5%		39,056,807
West Virginia Hospital Finance Authority:
5.000%, 9/1/2031, Call 9/1/2029	2,020,000	2,604,346
5.000%, 9/1/2032, Call 9/1/2029	1,000,000	1,286,440
5.000%, 6/1/2042, Call 6/1/2027	3,665,000	4,423,179
5.000%, 1/1/2043, Call 1/1/2029	1,750,000	2,131,447
Wisconsin — 2.6%		10,445,412
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	109,000
Public Finance Authority:
4.000%, 1/1/2046, Call 1/1/2027	2,000,000	2,170,840
4.750%, 12/1/2035, Call 12/1/2020	525,000	565,530
4.750%, 12/1/2035, Call 12/1/2020	1,475,000	1,518,218
5.000%, 11/15/2029	2,500,000	3,132,825
5.000%, 11/15/2030	1,620,000	2,041,313
5.000%, 7/1/2037, Call 7/1/2024	820,000	909,552
5.000%, 7/1/2047, Call 7/1/2024	1,000,000	1,097,430
5.125%, 7/15/2037, Call 7/15/2027 (4)	2,500,000	2,868,275
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	855,984
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,121,160
5.000%, 5/1/2027, Call 5/1/2022	25,000	27,228
5.000%, 5/1/2027, Call 5/1/2022	1,580,000	1,724,380

Wisconsin Center District:
0.010%, 12/15/2033, Call 6/15/2026	2,200,000	1,502,930
0.010%, 12/15/2034, Call 6/15/2026	6,665,000	4,341,914
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	570,944
5.250%, 12/15/2027	1,930,000	2,364,868
Wisconsin Health & Educational Facilities Authority:
4.750%, 10/15/2029, Call 10/15/2021	605,000	635,492
5.000%, 8/15/2020	1,060,000	1,079,854
5.000%, 3/1/2021	240,000	245,357
5.000%, 8/15/2021	1,160,000	1,229,739
5.000%, 10/1/2022	750,000	827,378
5.000%, 12/15/2022	500,000	553,885
5.000%, 12/15/2023	500,000	572,820
5.000%, 12/15/2024	500,000	591,835
5.000%, 3/1/2025, Call 3/1/2024	315,000	341,233
5.000%, 6/1/2026, Call 6/1/2020	135,000	136,373
5.000%, 8/15/2027, Call 8/15/2022	500,000	550,460
5.000%, 12/15/2028, Call 12/15/2024	100,000	117,372
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,871,564
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	4,953,619
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,075,590
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,504,600
5.125%, 4/15/2031, Call 4/15/2023	250,000	283,298
5.250%, 6/1/2034, Call 6/1/2020	300,000	303,234
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call	3,655,000	3,864,760
7/15/2021
Wyoming — 0.0%		52,660,854
		1,043,550
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000
Total Municipals		2,073,166,004
(identified cost $1,926,733,998)

Short-Term Investments — 0.0%

Repurchase Agreements — 0.0%

Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be repurchased at $175,675 on 3/2/2020, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a fair value of $183,013

Total Short-Term Investments

(identified cost $175,652)

Total Investments — 100.6%

(identified cost $1,926,909,650)

Other Assets and Liabilities — (0.6)%

Total Net Assets — 100.0%

175,652175,652

175,652

2,073,341,656

(11,597,661)

$2,061,743,995

(1)Denotes a variable rate security. The rate shown is the current interest rate as of February 29, 2020. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

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

(3)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.

(4)Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2020 these securities amounted to:

		% of Total
Fund	Amount	Net Assets
Intermediate Tax-Free Fund	59,576,914	2.89%

(5) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represents 2.34%, as calculated based upon total portfolio market value.

(6)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

		Shares or
Description		Principal		Value
		Amount
Municipals — 99.0%
Alabama — 4.3%
Black Belt Energy Gas District:
2.009%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)	$	1,000,000	$	1,011,990
4.000%, 6/1/2021, Call 3/1/2021 (1)		1,000,000		1,037,070
4.000%, 6/1/2023		1,000,000		1,092,470
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,064,040
Lower Alabama Gas District, 4.000%, 12/1/2025, Call 9/1/2025 (1)		600,000		688,452
Southeast Alabama Gas Supply District, 2.009%, (LIBOR 1 Month), 4/1/2024, Call		1,000,000		1,010,140
1/1/2024 (1)
Tuscaloosa City Board of Education:
5.000%, 8/1/2020		200,000		203,440
5.000%, 8/1/2021		175,000		185,292
Alaska — 0.7%				6,292,894
Alaska Industrial Development & Export Authority, 3.500%, 12/1/2020, Call		1,000,000		1,001,390
3/30/2020
Arizona — 1.4%
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		471,189
Coconino County Pollution Control Corp., 1.600%, 5/21/2020 (1)		750,000		750,930
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (2)		25,000		25,094
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (2)		250,000		257,595
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021		225,000		226,339
2.875%, 7/1/2021 (2)		135,000		135,671
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		252,545
Arkansas — 0.2%				2,119,363
City of Hot Springs Wastewater Revenue, 5.000%, 12/1/2020		245,000		252,303
California — 5.1%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		507,120
Bay Area Toll Authority, 2.250%, (SIFMA Municipal Swap Index Yield), 4/1/2024,		500,000		517,200
Call 10/1/2023 (1)
California Housing Finance Agency, AGM, 3.956%, 2/1/2037, Call 3/5/2020 (1)(3)		5,000		5,000
California Municipal Finance Authority, 5.000%, 2/1/2022		1,000,000		1,079,120
California Public Finance Authority:
5.000%, 10/15/2021		350,000		368,400
5.000%, 10/15/2022		300,000		325,473
California State Public Works Board, 5.000%, 4/1/2020		320,000		321,059
California Statewide Communities Development Authority, 5.000%, 12/1/2025 (2)		200,000		234,774
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021,		250,000		251,153
Call 3/20/2020
California Statewide Communities Development Authority, NATL-RE, 4.140%,		75,000		75,000
4/1/2028 (1)(3)
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020		675,000		691,544
City of Redding Electric System Revenue, NATL-RE, 2.502%, 7/1/2022 (1)(3)		50,000		50,000
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2022		875,000		950,600
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022		1,000,000		1,089,630
Palomar Health, 5.000%, 11/1/2022		375,000		411,071
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022		385,000		430,033
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 4/1/2020 (1)		220,000		220,407
				7,527,584

Colorado — 3.9%

Colorado Educational & Cultural Facilities Authority, 5.000%, 10/1/2021	1,000,000	1,054,680
Colorado Health Facilities Authority:
3.125%, 5/15/2027, Call 5/15/2020	1,000,000	1,002,000
5.000%, 6/1/2021	250,000	263,070
5.000%, 6/1/2022	250,000	273,425
5.000%, 8/1/2025, Call 2/1/2025 (1)	1,000,000	1,182,810
E-470 Public Highway Authority, 2.130%, (LIBOR 1 Month), 9/1/2021, Call 3/1/2021	575,000	579,773
(1)
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	505,150
University of Colorado Hospital Authority, 5.000%, 3/1/2022, Call 9/1/2021 (1)	750,000	795,090
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	127,490
Connecticut — 1.9%		5,783,488
City of New Haven, AGM, 5.000%, 8/1/2024	1,000,000	1,165,940
State of Connecticut:
5.000%, 3/15/2021	500,000	521,565
5.000%, 4/15/2023	1,000,000	1,126,690
District of Columbia — 0.8%		2,814,195
Metropolitan Washington Airports Authority, 5.000%, 10/1/2024	1,000,000	1,177,930
Florida — 7.1%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	501,560
5.000%, 4/1/2021	400,000	417,060
City of Atlantic Beach, 3.250%, 11/15/2024, Call 11/15/2020	1,155,000	1,169,068
City of Orlando, AGM, 4.000%, 11/1/2021	460,000	483,455
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	298,994
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	25,213
Columbia County School Board, BAM, 5.000%, 7/1/2021	400,000	421,592
County of Broward Half-Cent Sales Tax Revenue, 5.000%, 10/1/2020	100,000	102,445
County of Okeechobee, 1.550%, 7/1/2021 (1)	1,000,000	1,007,890
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	310,500
Florida Development Finance Corp., 1.900%, 3/17/2020 (1)	3,000,000	3,001,020
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call	35,000	35,036
3/16/2020
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	328,039
5.000%, 6/1/2021	300,000	313,653
JPMorgan Chase Putters/Drivers Trust, 1.400%, 2/1/2022, Call 8/18/2020 (1)(2)	500,000	500,000
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	40,133
Pinellas County Health Facilities Authority, NATL-RE, 2.375%, 11/15/2023, Call	100,000	100,000
2/28/2020 (1)(3)
Putnam County Development Authority, 1.240%, 9/1/2024, Call 2/28/2020 (1)	400,000	400,000
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	530,025
Sumter County Industrial Development Authority:
5.000%, 7/1/2020	235,000	238,142
5.000%, 7/1/2020	300,000	304,011
Georgia — 7.4%		10,527,836
Appling County Development Authority, 1.250%, 9/1/2041, Call 2/28/2020 (1)	400,000	400,000
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	507,855
Bartow County Development Authority:
1.550%, 8/19/2022 (1)	500,000	502,420
2.050%, 11/19/2021 (1)	500,000	506,295
Burke County Development Authority:
1.250%, 7/1/2049, Call 2/28/2020 (1)	600,000	600,000
2.925%, 3/12/2024 (1)	1,250,000	1,322,712
City of Atlanta:
5.000%, 1/1/2021	250,000	258,728
5.000%, 1/1/2022	700,000	749,518
County of DeKalb Water & Sewerage Revenue, 5.000%, 10/1/2020	150,000	153,641
Gainesville & Hall County Hospital Authority, 5.000%, 2/15/2021	700,000	725,725

Georgia State Road & Tollway Authority, 5.000%, 6/1/2021	1,250,000	1,315,025
Main Street Natural Gas, Inc.:
1.859%, (LIBOR 1 Month), 9/1/2023, Call 6/1/2023 (1)	1,000,000	1,012,520
1.940%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)	500,000	507,675
5.000%, 5/15/2024	1,250,000	1,438,837
Municipal Electric Authority of Georgia, 5.000%, 1/1/2023	875,000	970,261
Guam — 0.4%		10,971,212
Territory of Guam, 5.000%, 12/1/2022	500,000	548,715
Illinois — 16.1%
Chicago Housing Authority, HUD SEC 8, 5.000%, 1/1/2023	1,000,000	1,107,100
Chicago O'Hare International Airport:
5.000%, 1/1/2022	100,000	107,491
5.000%, 1/1/2022	200,000	214,982
Chicago Park District:
5.000%, 1/1/2022	250,000	266,108
5.000%, 1/1/2022	500,000	532,215
Chicago Transit Authority, 5.000%, 6/1/2021	750,000	785,085
City of Chicago, 5.000%, 1/1/2024	340,000	382,221
City of Chicago Wastewater Transmission Revenue:
5.000%, 1/1/2021	840,000	866,981
5.000%, 1/1/2022	500,000	534,710
City of Chicago Waterworks Revenue, 5.000%, 11/1/2021	1,445,000	1,537,234
City of Waukegan, 5.000%, 12/30/2020	250,000	258,255
Cook County School District No 99 Cicero, 5.000%, 12/1/2023	575,000	652,682
County of Cook, 5.000%, 11/15/2021	720,000	764,280
County of Cook Sales Tax Revenue, 5.000%, 11/15/2024, Call 11/15/2022	810,000	899,076
Illinois Finance Authority:
2.509%, (LIBOR 1 Month), 5/1/2021, Call 11/1/2020 (1)	1,000,000	1,001,500
5.000%, 1/1/2021	200,000	205,818
5.000%, 11/15/2021	400,000	426,828
5.000%, 1/1/2022	150,000	159,596
5.000%, 7/15/2022	750,000	821,670
5.000%, 11/15/2022	555,000	612,109
5.000%, 12/1/2022	290,000	313,275
5.000%, 5/15/2023	250,000	276,483
5.000%, 5/15/2024	450,000	511,263
Illinois Housing Development Authority, 1.900%, 10/1/2021 (1)	500,000	506,560
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 3/30/2020	20,000	20,049
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%,	1,000,000	1,108,870
1/1/2023
Lake County Forest Preserve District, 1.749%, (LIBOR 3 Month), 12/15/2020 (1)	70,000	70,088
Metropolitan Pier & Exposition Authority, NATL-RE, 0.010%, 6/15/2020	30,000	29,900
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2023	1,165,000	1,309,367
Sales Tax Securitization Corp., 5.000%, 1/1/2023	1,000,000	1,111,420
State of Illinois:
5.000%, 4/1/2020	100,000	100,311
5.000%, 6/1/2020	500,000	504,885
5.000%, 8/1/2020	900,000	914,796
5.000%, 2/1/2021	240,000	248,616
5.000%, 11/1/2022	2,000,000	2,202,320
University of Illinois, 5.000%, 3/15/2022	1,000,000	1,080,340
Village of Bolingbrook, AGM:
4.000%, 3/1/2022	630,000	666,351
4.000%, 3/1/2023	510,000	553,916
Indiana — 2.4%		23,664,751
City of Boonville, 2.600%, 1/1/2023, Call 9/1/2020	500,000	501,075
City of Whiting, 5.000%, 6/5/2026 (1)	1,000,000	1,224,100
Indiana Finance Authority:
5.000%, 5/1/2020	100,000	100,662
5.000%, 8/15/2020	130,000	132,062
5.250%, 10/1/2022, Call 10/1/2021	150,000	160,323

Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC,	1,000,000	1,000,000
1.400%, 7/1/2047, Call 2/28/2020 (1)
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	101,010
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	256,737
Iowa — 0.3%		3,475,969
City of Waverly, 2.500%, 12/31/2022, Call 7/1/2022	500,000	506,450
Kansas — 0.5%
Bourbon County Unified School District No. 234-Fort Scott, 5.000%, 9/1/2020	420,000	428,518
City of Holton, 2.500%, 7/1/2021, Call 1/1/2021	375,000	376,466
Kentucky — 1.5%		804,984
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	569,600
Kentucky Public Energy Authority, 4.000%, 7/1/2023	750,000	821,873
Kentucky Rural Water Finance Corp., 2.250%, 3/1/2020	375,000	375,000
Louisville/Jefferson County Metropolitan Government, 1.850%, 4/1/2021 (1)	500,000	504,435
Louisiana — 0.4%		2,270,908
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	412,228
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	5,000	5,180
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	110,926
Maine — 0.1%		528,334
City of Portland General Airport Revenue, 4.000%, 7/1/2020	110,000	111,112
Maryland — 0.4%
City of Baltimore, NATL-RE, 2.375%, 7/1/2020 (1)(3)	50,000	50,000
City of Rockville, 5.000%, 11/1/2022	500,000	544,245
Maryland Community Development Administration, GNMA/FNMA/FHLMC,	5,000	5,129
4.500%, 3/1/2027, Call 3/1/2021
Massachusetts — 2.2%		599,374
Commonwealth of Massachusetts, 1.700%, 8/1/2022 (1)	1,000,000	1,020,740
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	115,000	115,285
5.000%, 7/1/2021	280,000	294,087
5.000%, 7/1/2022	315,000	342,474
5.000%, 7/1/2024	260,000	300,441
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue,	1,000,000	1,116,300
5.000%, 1/1/2023, Call 1/1/2023 (1)
Michigan — 2.2%		3,189,327
Great Lakes Water Authority Water Supply System Revenue, 5.000%, 7/1/2023	800,000	905,000
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	598,921
Lake St. Claire Clean Water Initiative, County Guarantee, 5.000%, 10/1/2020	150,000	153,649
Michigan Finance Authority, 3.500%, 11/15/2022 (1)	1,000,000	1,062,290
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 3/30/2020	200,000	200,496
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 3/30/2020	270,000	270,640
Minnesota — 0.7%		3,190,996
JPMorgan Chase Putters/Drivers Trust, 1.400%, 6/1/2021 (1)(2)	1,000,000	1,000,000
Mississippi — 1.5%
Mississippi Business Finance Corp, 2.200%, 6/3/2024 (1)	1,250,000	1,299,587
State of Mississippi, 5.000%, 10/15/2024	750,000	885,293
Missouri — 0.8%		2,184,880
Health & Educational Facilities Authority of the State of Missouri:
2.875%, 2/1/2022, Call 4/1/2020	600,000	600,810
5.000%, 2/1/2022	250,000	266,820
5.000%, 2/1/2024, Call 2/1/2021	250,000	257,880
		1,125,510

Nebraska — 0.8%

Central Plains Energy Project, 5.000%, 1/1/2024, Call 10/1/2023 (1) 1,000,000 1,138,930

Nevada — 1.5%

City of Carson City, 5.000%, 9/1/2022	500,000	545,140
City of North Las Vegas NV, AGM, 5.000%, 6/1/2023	1,000,000	1,128,360
City of Sparks NV, 2.500%, 6/15/2024 (2)	500,000	511,890
New Hampshire — 0.7%		2,185,390
New Hampshire Business Finance Authority, 2.000%, 8/31/2020 (1)(2)	1,000,000	1,003,620
New Jersey — 2.5%
New Jersey Economic Development Authority, 5.000%, 11/1/2021	400,000	425,396
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2022	790,000	865,224
5.000%, 10/1/2026	650,000	797,030
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call	250,000	250,195
3/10/2020
New Jersey Transportation Trust Fund Authority, 5.000%, 12/15/2023	250,000	285,510
New Jersey Transportation Trust Fund Authority, NATL-RE, 5.500%, 12/15/2020	10,000	10,354
Tobacco Settlement Financing Corp., 5.000%, 6/1/2022	1,000,000	1,086,180
New Mexico — 0.7%		3,719,889
New Mexico Hospital Equipment Loan Council, 2.375%, 7/1/2024, Call 1/1/2021	1,000,000	1,003,770
New York — 7.2%
City of New York:
1.170%, 10/1/2046, Call 2/28/2020 (1)	900,000	900,000
1.210%, 8/1/2044, Call 2/28/2020 (1)	700,000	700,000
1.380%, 10/1/2046, Call 2/28/2020 (1)	1,000,000	1,000,000
Long Island Power Authority, 1.908%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022	1,000,000	1,006,150
(1)
Metropolitan Transportation Authority, 5.000%, 11/15/2024 (1)	1,000,000	1,177,020
New York City Water & Sewer System, 1.170%, 6/15/2050, Call 2/28/2020 (1)	300,000	300,000
New York State Dormitory Authority, 5.000%, 12/1/2022 (2)	600,000	662,736
New York State Dormitory Authority, NATL-RE, 3.161%, 7/1/2029, Call 3/2/2020	475,000	475,000
(1)(3)
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (1)	475,000	475,774
New York State Housing Finance Agency, SONYMA, 1.875%, 11/1/2021, Call	750,000	750,990
5/1/2020 (1)
Triborough Bridge & Tunnel Authority, 1.809%, (LIBOR 1 Month), 2/1/2021 (1)	980,000	983,205
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,048,880
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,165,707
North Carolina — 0.7%		10,645,462
North Carolina Eastern Municipal Power Agency, FGIC, 3.144%, 1/1/2025 (1)(3)	600,000	577,866
North Carolina Medical Care Commission, 5.000%, 10/1/2022	350,000	384,038
North Dakota — 0.2%		961,904
City of Williston, 5.000%, 5/1/2020	240,000	241,509
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	55,000	56,995
Ohio — 2.9%		298,504
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	858,001
American Municipal Power, Inc., 2.300%, 2/15/2022, Call 8/15/2021 (1)	1,000,000	1,018,110
County of Hamilton:
4.000%, 1/1/2021	445,000	455,004
5.000%, 1/1/2022	465,000	495,620
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC, 4.000%, 5/1/2022, Call	65,000	65,220
5/1/2021
Port of Greater Cincinnati Development Authority, 3.000%, 5/1/2023, Call 5/1/2022	1,000,000	1,024,440
University of Toledo, 5.000%, 6/1/2020	375,000	378,720
Oklahoma — 0.4%		4,295,115

Oklahoma Development Finance Authority, 1.625%, 7/6/2023, Call 6/30/2022 600,000 604,434

Pennsylvania — 3.4%

Allegheny County Hospital Development Authority, 1.901%, (LIBOR 3 Month),	30,000	30,004
2/1/2021, Call 5/1/2020 (1)
Berks County Industrial Development Authority, 5.000%, 11/1/2022	250,000	276,195
Commonwealth Financing Authority, 5.000%, 6/1/2022	1,000,000	1,087,400
Lancaster County Hospital Authority, 2.875%, 12/15/2023, Call 3/30/2020	500,000	500,355
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	206,240
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	286,935
Montgomery County Industrial Development Authority:
4.000%, 12/1/2022	250,000	266,182
4.000%, 12/1/2023	100,000	110,136
4.000%, 12/1/2024	100,000	112,518
5.000%, 12/1/2023	320,000	358,986
Northampton County General Purpose Authority:
2.200%, (LIBOR 1 Month), 8/15/2024, Call 2/15/2023 (1)	1,000,000	1,006,350
2.550%, (SIFMA Municipal Swap Index Yield), 8/15/2020, Call 3/30/2020 (1)	150,000	150,102
Pennsylvania Economic Development Financing Authority, 5.000%, 3/1/2020	200,000	200,000
Pennsylvania Turnpike Commission:
2.030%, (SIFMA Municipal Swap Index Yield), 12/1/2020, Call 6/1/2020 (1)	325,000	325,640
2.130%, (SIFMA Municipal Swap Index Yield), 12/1/2021, Call 6/1/2021 (1)	80,000	80,761
South Carolina — 0.7%		4,997,804
Patriots Energy Group Financing Agency, 1.970%, (LIBOR 1 Month), 2/1/2024, Call	1,000,000	1,014,360
11/1/2023 (1)
Tennessee — 2.2%
Metropolitan Government Nashville & Davidson County Health & Educational Facility	1,000,000	1,007,900
Board, 2.000%, 1/1/2021 (1)
Shelby County Health Educational & Housing Facilities Board, AGM, 1.150%,	200,000	200,000
6/1/2042, Call 2/28/2020 (1)
Tennessee Energy Acquisition Corp.:
4.000%, 5/1/2023, Call 2/1/2023 (1)	1,000,000	1,089,990
5.000%, 2/1/2023	790,000	874,182
5.250%, 9/1/2020	10,000	10,212
5.250%, 9/1/2021	55,000	58,451
Texas — 6.6%		3,240,735
City of Dallas Housing Finance Corp., 1.500%, 4/1/2022 (1)	900,000	907,029
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	163,005
Crane County Water District, 3.000%, 2/15/2021	605,000	616,410
Fort Bend Independent School District, PSF, 1.950%, 8/1/2022 (1)	1,000,000	1,020,670
Harris County Cultural Education Facilities Finance Corp., 1.980%, (SIFMA	350,000	352,173
Municipal Swap Index Yield), 6/1/2021 (1)
Houston Independent School District, PSF, 2.250%, 6/1/2022 (1)	1,250,000	1,288,850
Irving Hospital Authority, 5.000%, 10/15/2022	215,000	235,634
Mission Economic Development Corp., 2.500%, 8/1/2020, Call 3/30/2020	1,000,000	1,001,340
New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (2)	275,000	278,679
4.000%, 11/15/2021	615,000	631,464
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	250,498
North Texas Higher Education Authority, Inc., 2.809%, (LIBOR 3 Month), 7/1/2030	80,000	79,932
(1)
North Texas Tollway Authority, 5.000%, 1/1/2022	250,000	268,870
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2020 (1)	655,000	658,229
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2021	500,000	518,110
5.000%, 11/15/2022	1,000,000	1,094,210
Texas State University System, 5.000%, 3/15/2022	350,000	379,526
Utah — 0.1%		9,744,629
Salt Lake City Corp., AMBAC, 1.000%, 5/15/2020, Call 2/28/2020 (1)(3)	200,000	200,000

Virginia — 1.2%

Henrico County Economic Development Authority, 5.000%, 10/1/2023	575,000	651,475
Henrico County Economic Development Authority, AGM, 2.888%, 8/23/2027, Call	1,050,000	1,050,000
2/28/2020 (1)(3)
Washington — 1.6%		1,701,475
State of Washington, 5.000%, 2/1/2022	1,000,000	1,080,690
Washington State Housing Finance Commission, 2.375%, 1/1/2026, Call 7/1/2021 (2)	1,000,000	1,005,920
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC, 5.000%,	320,000	327,805
10/1/2020
West Virginia — 1.5%		2,414,415
West Virginia Economic Development Authority, 2.550%, 4/1/2024 (1)	1,000,000	1,059,570
West Virginia Hospital Finance Authority:
5.000%, 1/1/2022	520,000	555,817
5.000%, 1/1/2023	555,000	613,131
Wisconsin — 1.8%		2,228,518
Public Finance Authority:
5.000%, 11/15/2021	610,000	643,800
5.000%, 11/15/2022	500,000	543,215
State of Wisconsin:
5.000%, 9/1/2020	175,000	178,628
5.000%, 3/1/2021	300,000	312,486
Wisconsin Health & Educational Facilities Authority:
5.000%, 3/1/2020	200,000	200,000
5.000%, 8/15/2020	260,000	264,870
5.000%, 8/15/2022	200,000	219,880
5.000%, 8/15/2023	205,000	233,027
		2,595,906
Total Municipals		145,664,365
(identified cost $142,795,346)

Short-Term Investments — 0.1%

Repurchase Agreements — 0.1%

Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be repurchased at $200,732 on 3/2/2020, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a fair value of $208,432

Total Short-Term Investments

(identified cost $200,705)

Total Investments — 99.1%

(identified cost $142,996,051)

Other Assets and Liabilities — 0.9%

Total Net Assets — 100.0%

200,705200,705

200,705

145,865,070

1,340,828

$147,205,898

(1)Denotes a variable rate security. The rate shown is the current interest rate as of February 29, 2020. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

(2)Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2020 these securities amounted to

		% of Total
Fund	Amount	Net Assets
Short Tax-Free Fund	5,615,981	3.82%

(3)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.

Ultra Short Tax-Free Fund

		Shares or
Description		Principal		Value
		Amount
Municipals — 102.6%
Alabama — 4.9%
Alabama Housing Finance Authority, 1.500%, 11/1/2022 (1)	$	3,000,000	$	3,023,070
Albertville Municipal Utilities Board - Water System, AGM, 2.000%, 8/15/2020		355,000		356,431
Black Belt Energy Gas District:
2.009%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)		4,500,000		4,553,955
4.000%, 6/1/2021		1,000,000		1,036,880
4.000%, 6/1/2022		1,000,000		1,065,510
Health Care Authority for Baptist Health, 1.440%, 11/1/2042, Call 3/2/2020 (1)		11,125,000		11,125,000
Southeast Alabama Gas Supply District, 2.009%, (LIBOR 1 Month), 4/1/2024, Call		5,000,000		5,050,700
1/1/2024 (1)
Arkansas — 1.3%				26,211,546
Arkansas Development Finance Authority, 1.450%, 9/1/2044, Call 3/2/2020 (1)		7,000,000		7,000,000
California — 1.2%
Bay Area Toll Authority, 2.250%, (SIFMA Municipal Swap Index Yield), 4/1/2024,		1,750,000		1,810,200
Call 10/1/2023 (1)
State of California, 1.440%, (SIFMA Municipal Swap Index Yield), 12/1/2020, Call		750,000		750,083
3/20/2020 (1)
Tender Option Bond Trust Receipts/Certificates, 1.350%, 8/1/2042, Call 2/1/2026		3,730,000		3,730,000
(1)(2)
Colorado — 0.8%				6,290,283
City & County of Denver Airport System Revenue, AGC, 1.250%, 11/15/2025, Call		475,000		475,000
2/28/2020 (1)(3)
Colorado Health Facilities Authority, 5.000%, 6/1/2022		1,000,000		1,093,700
Colorado School of Mines, 1.609%, (LIBOR 1 Month), 2/1/2023, Call 8/1/2022 (1)		1,165,000		1,160,154
E-470 Public Highway Authority, 1.511%, (LIBOR 1 Month), 9/1/2021, Call 9/1/2020		1,370,000		1,371,452
(1)
Connecticut — 1.7%				4,100,306
City of New Haven:
5.000%, 2/1/2022		350,000		374,223
5.000%, 8/1/2022		1,025,000		1,114,493
City of New Haven, AGM:
5.000%, 2/1/2023		580,000		644,624
5.000%, 8/1/2023		1,080,000		1,220,961
Connecticut Housing Finance Authority, 1.450%, 11/15/2020, Call 5/15/2020 (1)		1,500,000		1,501,005
Connecticut State Health & Educational Facilities Authority, 5.000%, 7/1/2020		400,000		405,324
Town of Windham, 3.000%, 10/1/2020		4,000,000		4,047,120
District of Columbia — 0.5%				9,307,750
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call		360,000		361,130
3/30/2020
Washington Convention & Sports Authority, 5.000%, 10/1/2020		2,500,000		2,560,525
Florida — 7.7%				2,921,655
Broward County Housing Finance Authority, 1.400%, 5/1/2021 (1)		2,500,000		2,510,925
Citizens Property Insurance Corp., 5.000%, 6/1/2020		3,870,000		3,909,280
City of Atlantic Beach, 3.000%, 11/15/2023, Call 5/15/2020		2,000,000		2,006,040
County of Escambia, 1.270%, 4/1/2039, Call 2/28/2020 (1)		2,500,000		2,500,000
County of Jackson, 1.240%, 7/1/2022, Call 2/28/2020 (1)		900,000		900,000

Florida Development Finance Corp., 1.900%, 3/17/2020 (1)	10,000,000	10,003,400
Florida Housing Finance Corp., 1.250%, 2/1/2022 (1)	1,500,000	1,505,985
JPMorgan Chase Putters/Drivers Trust, 1.400%, 2/1/2022, Call 8/18/2020 (1)(2)	6,000,000	6,000,000
Lee Memorial Health System, 1.290%, 4/1/2049, Call 3/2/2020 (1)	7,500,000	7,500,000
Miami-Dade County Industrial Development Authority, 1.600%, 11/2/2020 (1)	1,400,000	1,403,962
Wells Fargo Stage Trust, 1.450%, (SIFMA Municipal Swap Index Yield), 10/1/2040	3,005,000	3,005,000
(1)(2)
Georgia — 5.2%		41,244,592
Appling County Development Authority, 1.250%, 9/1/2041, Call 2/28/2020 (1)	1,100,000	1,100,000
Bartow County Development Authority, 2.050%, 11/19/2021 (1)	1,400,000	1,417,626
Burke County Development Authority:
1.550%, 8/19/2022 (1)	3,000,000	3,015,240
2.250%, 5/25/2023 (1)	4,000,000	4,109,360
Floyd County Development Authority, 1.250%, 9/1/2026, Call 2/28/2020 (1)	1,175,000	1,175,000
Main Street Natural Gas, Inc.:
1.720%, (SIFMA Municipal Swap Index Yield), 12/1/2023, Call 9/1/2023 (1)	5,000,000	5,026,350
1.940%, (LIBOR 1 Month), 12/1/2023, Call 9/1/2023 (1)	5,000,000	5,076,750
5.000%, 5/15/2021	700,000	732,704
Monroe County Development Authority, 1.250%, 11/1/2048, Call 2/28/2020 (1)	4,500,000	4,500,000
Municipal Electric Authority of Georgia:
5.000%, 1/1/2022	380,000	406,524
5.000%, 1/1/2023	805,000	890,499
Hawaii — 0.5%		27,450,053
City & County of Honolulu, 1.450%, (SIFMA Municipal Swap Index Yield), 9/1/2020,	2,800,000	2,800,028
Call 3/5/2020 (1)
Illinois — 8.7%
Chicago Housing Authority, HUD SEC 8, 5.000%, 1/1/2021	1,400,000	1,445,080
City of Chicago:
5.000%, 1/1/2021	200,000	206,086
5.000%, 1/1/2022	300,000	319,473
5.000%, 1/1/2023	400,000	438,260
City of Chicago Waterworks Revenue, 5.000%, 11/1/2021	1,000,000	1,062,300
Cook & Will Counties Community College District No 515, 1.450%, 12/1/2039, Call	7,000,000	7,004,410
5/19/2020 (1)
Cook County School District No 99 Cicero:
5.000%, 12/1/2020	555,000	571,417
5.000%, 12/1/2021	575,000	614,669
County of Peoria, 1.350%, 6/15/2020 (1)(2)	1,130,000	1,130,000
Illinois Development Finance Authority, 1.600%, 11/2/2020, Call 8/4/2020 (1)	5,000,000	5,014,150
Illinois Finance Authority, 1.900%, (SIFMA Municipal Swap Index Yield), 7/1/2023,	2,000,000	2,006,000
Call 7/1/2022 (1)
Illinois Housing Development Authority, 1.900%, 10/1/2021 (1)	1,790,000	1,813,485
Illinois State University, 5.000%, 4/1/2020	200,000	200,486
Lake County Forest Preserve District, 1.749%, (LIBOR 3 Month), 12/15/2020 (1)	130,000	130,164
Rockford Park District, 3.000%, 12/15/2020	1,165,000	1,179,726
Sales Tax Securitization Corp., 5.000%, 1/1/2025	500,000	591,850
State of Illinois:
5.000%, 6/1/2020	1,000,000	1,009,770
5.000%, 6/15/2020	1,000,000	1,009,940
5.000%, 7/1/2020	2,110,000	2,137,662
5.000%, 8/1/2020	4,000,000	4,065,760
5.000%, 10/1/2021	1,500,000	1,592,955
5.000%, 2/1/2022	6,040,000	6,478,262
Tender Option Bond Trust Receipts/Certificates, 1.350%, 6/15/2031, Call 6/15/2026	4,355,000	4,355,000
(1)(2)
Village of Bolingbrook, 4.000%, 3/2/2020	345,000	345,000
Will County Community High School District No 210 Lincoln-Way, AGM, 4.000%,	975,000	1,025,856
1/1/2022
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE,	435,000	426,378
0.010%, 11/1/2021
		46,174,139

Indiana — 4.5%

Center Grove Multi-Facility School Building Corp., 2.500%, 12/15/2020, Call	3,000,000	3,009,510
6/15/2020
City of Rockport:
1.350%, 9/1/2022 (1)	1,000,000	1,006,240
1.350%, 9/1/2022 (1)	1,000,000	1,006,240
City of Whiting, 5.000%, 11/1/2022 (1)	1,345,000	1,483,710
Clark Pleasant Middle School Corp., 2.500%, 7/16/2020, Call 3/20/2020	4,710,000	4,735,246
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC,	5,450,000	5,450,000
1.400%, 7/1/2047, Call 2/28/2020 (1)
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC	1,000,000	1,000,000
COLL, 1.400%, 7/1/2047, Call 2/28/2020 (1)
Indianapolis Local Public Improvement Bond Bank, 1.450%, 6/1/2021, Call 6/1/2020	3,750,000	3,752,887
Lafayette School Corp., 4.000%, 1/15/2021	425,000	434,851
Tender Option Bond Trust Receipts/Certificates, 1.400%, 8/1/2020 (1)(2)	2,125,000	2,125,000
Iowa — 1.8%		24,003,684
City of Waverly, 2.500%, 12/31/2022, Call 7/1/2022	3,500,000	3,545,150
Iowa Finance Authority:
1.725%, (SIFMA Municipal Swap Index Yield), 1/4/2024, Call 3/20/2020 (1)(2)	3,455,000	3,455,035
2.875%, 5/15/2049, Call 11/15/2020	1,000,000	1,014,450
Iowa Finance Authority, GNMA/FNMA/FHLMC, 1.450%, (SIFMA Municipal Swap	1,500,000	1,498,485
Index Yield), 5/3/2021, Call 11/2/2020 (1)
Kansas — 1.5%		9,513,120
City of Andover, 1.625%, 10/1/2022, Call 10/1/2020	2,190,000	2,197,621
City of Holton, 2.500%, 7/1/2021, Call 1/1/2021	1,245,000	1,249,868
City of Lenexa, 1.625%, 9/1/2021, Call 9/1/2020	1,000,000	1,001,740
City of Washington, 2.000%, 12/1/2022, Call 12/1/2020	3,000,000	3,021,300
State of Kansas Department of Transportation, 1.459%, (LIBOR 1 Month), 9/1/2021	400,000	401,268
(1)
Kentucky — 5.6%		7,871,797
City of Ashland:
5.000%, 2/1/2021	385,000	397,894
5.000%, 2/1/2022	475,000	507,799
County of Carroll, 1.200%, 6/1/2021 (1)	5,000,000	5,009,850
Kentucky Higher Education Student Loan Corp., 5.000%, 6/1/2021	1,000,000	1,045,260
Kentucky Housing Corp., 2.000%, 4/1/2021 (1)	1,400,000	1,412,712
Kentucky Public Energy Authority, 4.000%, 7/1/2020	2,115,000	2,136,382
Kentucky Rural Water Finance Corp.:
1.250%, 2/1/2022, Call 2/1/2021	6,770,000	6,776,093
1.450%, 6/1/2021, Call 12/1/2020	5,500,000	5,512,980
1.550%, 3/2/2020	1,500,000	1,500,000
Laurel County Judicial Center Public Properties Corp., 4.000%, 3/2/2020	530,000	530,000
Louisville/Jefferson County Metropolitan Government, 1.850%, 4/1/2021 (1)	2,000,000	2,017,740
Tender Option Bond Trust Receipts/Certificates, 1.350%, 4/1/2032, Call 4/1/2027	3,100,000	3,100,000
(1)(2)
Louisiana — 1.0%		29,946,710
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	355,000	367,773
Louisiana Public Facilities Authority, 1.800%, (SIFMA Municipal Swap Index Yield),	5,000,000	5,017,300
9/1/2023, Call 3/1/2023 (1)
Maryland — 0.8%		5,385,073
Maryland Economic Development Corp., 1.700%, 9/1/2022	4,000,000	4,065,880
Massachusetts — 0.4%
Massachusetts Development Finance Agency, 5.000%, 7/1/2021	300,000	314,970
Town of Northbridge, 2.000%, 6/26/2020	1,700,000	1,704,267
Michigan — 3.0%		2,019,237

Michigan Finance Authority:
1.620%, (LIBOR 1 Month), 12/1/2020, Call 6/1/2020 (1)	200,000	200,248
3.500%, 11/15/2022 (1)	3,175,000	3,372,771
Michigan Finance Authority, SAW, 4.000%, 8/20/2020	2,000,000	2,029,000
Michigan State Hospital Finance Authority, 1.500%, 5/1/2020 (1)	695,000	695,653
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 3/30/2020	785,000	786,829
4.000%, 5/1/2021, Call 3/30/2020	600,000	601,422
Tender Option Bond Trust Receipts/Certificates, AGM Q-SBLF, 1.400%, 11/1/2023	7,575,000	7,575,000
(1)(2)
Wayne-Westland Community Schools, Q-SBLF, 4.000%, 11/1/2020	500,000	510,090
Minnesota — 1.1%		15,771,013
JPMorgan Chase Putters/Drivers Trust, 1.400%, 6/1/2021 (1)(2)	5,000,000	5,000,000
Minnesota Rural Water Finance Authority, Inc., 2.000%, 8/1/2020, Call 3/5/2020	1,080,000	1,080,065
Mississippi — 0.7%		6,080,065
Mississippi Business Finance Corp., 1.350%, 5/1/2037, Call 5/1/2020 (1)	3,800,000	3,802,166
Missouri — 1.7%
City of St. Louis, 2.500%, 6/1/2020	5,000,000	5,018,400
Health & Educational Facilities Authority of the State of Missouri, 2.875%, 2/1/2022,	765,000	766,033
Call 4/1/2020
Missouri Public Utilities Commission, 1.500%, 3/1/2021, Call 9/1/2020	3,275,000	3,282,401
Nebraska — 0.4%		9,066,834
Central Plains Energy Project:
4.000%, 8/1/2021	1,000,000	1,043,230
4.000%, 8/1/2022	1,000,000	1,073,040
Nevada — 1.0%		2,116,270
City of North Las Vegas NV, AGM, 5.000%, 6/1/2020	1,650,000	1,666,335
State of Nevada Department of Business & Industry, 1.470%, 6/1/2020 (1)(2)	3,800,000	3,802,736
New Hampshire — 2.6%		5,469,071
New Hampshire Business Finance Authority, 2.000%, 8/31/2020 (1)(2)	14,000,000	14,050,680
New Jersey — 1.2%
Lyndhurst Township School District, 1.875%, 9/10/2020	1,100,000	1,104,884
New Jersey Transportation Trust Fund Authority, 4.000%, 6/15/2020	200,000	201,678
New Jersey Turnpike Authority:
1.498%, (LIBOR 1 Month), 1/1/2021 (1)	1,750,000	1,753,167
1.638%, (LIBOR 1 Month), 1/1/2022 (1)	750,000	751,988
Tobacco Settlement Financing Corp., 5.000%, 6/1/2020	2,400,000	2,423,160
New Mexico — 0.4%		6,234,877
City of Santa Fe, 2.250%, 5/15/2024, Call 11/15/2021	500,000	503,325
New Mexico Hospital Equipment Loan Council, 2.250%, 7/1/2023, Call 1/1/2021	1,525,000	1,530,704
New York — 12.5%		2,034,029
City of New York, 1.380%, 10/1/2046, Call 2/28/2020 (1)	8,000,000	8,000,000
City of New York, AGC, 1.180%, 10/1/2021, Call 3/2/2020 (1)(3)	100,000	100,000
County of Nassau, 5.000%, 6/1/2020	3,000,000	3,030,480
County of Suffolk, 2.000%, 9/25/2020	4,000,000	4,022,440
Hempstead Union Free School District, SAW, 2.500%, 6/25/2020	6,000,000	6,028,260
Livonia Central School District, SAW, 2.500%, 6/19/2020	5,485,000	5,508,970
Long Island Power Authority, 1.908%, (LIBOR 1 Month), 10/1/2023, Call 10/1/2022	4,000,000	4,024,600
(1)
Metropolitan Transportation Authority:
1.600%, (SIFMA Municipal Swap Index Yield), 11/15/2022 (1)	3,000,000	3,011,190
1.659%, (LIBOR 1 Month), 11/1/2022 (1)	2,970,000	2,957,942
4.000%, 2/1/2022	6,000,000	6,341,040

New York State Housing Finance Agency, SONYMA, 1.800%, 5/1/2020, Call	765,000	765,497
3/20/2020 (1)
Nuveen New York AMT-Free Municipal Credit Income Fund, 1.500%, 3/1/2029 (1)	4,700,000	4,700,000
Nuveen New York AMT-Free Quality Municipal Income Fund:
1.450%, 5/1/2047, Call 2/28/2020 (1)(2)	3,800,000	3,800,000
1.500%, 3/1/2029 (1)	3,500,000	3,500,000
Orange & Ulster Counties Board Coop Educational Services Sole Supervisory District,	4,000,000	4,019,160
2.250%, 7/22/2020
Triborough Bridge & Tunnel Authority, 1.809%, (LIBOR 1 Month), 2/1/2021 (1)	4,845,000	4,860,843
Whitney Point Central School District, SAW, 2.500%, 6/26/2020	2,000,000	2,009,960
North Carolina — 0.4%		66,680,382
North Carolina Medical Care Commission, 1.470%, 6/1/2029, Call 6/1/2020 (1)(2)	1,000,000	1,000,000
Tender Option Bond Trust Receipts/Certificates, NATL-IBC, 1.320%, 1/1/2022 (1)(2)	1,200,000	1,200,000
North Dakota — 0.3%		2,200,000
City of Williston:
5.000%, 7/15/2020	1,025,000	1,038,612
5.000%, 7/15/2021	750,000	786,728
Ohio — 8.5%		1,825,340
American Municipal Power, Inc.:
2.250%, 8/13/2020	500,000	502,375
2.250%, 12/3/2020	765,000	770,936
2.500%, 6/25/2020	1,525,000	1,531,222
City of Bowling Green, 2.500%, 5/29/2020	1,000,000	1,003,360
City of Gahanna, 3.000%, 8/6/2020	1,100,000	1,108,789
City of Lakewood, 3.000%, 3/26/2020	1,600,000	1,602,128
City of Moraine, 2.500%, 6/25/2020	2,725,000	2,736,717
City of North Olmsted:
2.000%, 3/10/2021 (4)	1,020,000	1,029,211
3.000%, 4/9/2020	1,110,000	1,112,176
City of Parma, 2.500%, 7/23/2020	3,000,000	3,016,350
City of Seven Hills, 3.000%, 4/9/2020	875,000	876,733
City of Sharonville, 3.000%, 6/25/2020	2,920,000	2,937,199
City of Springfield, 2.500%, 4/15/2020	735,000	736,191
County of Belmont:
2.000%, 8/27/2020	2,510,000	2,521,897
2.500%, 4/16/2020	1,900,000	1,903,192
County of Lake, 3.000%, 4/2/2020	1,265,000	1,267,024
County of Lorain, 1.300%, 2/6/2021, Call 4/1/2020	805,000	805,040
County of Trumbull:
2.000%, 7/23/2020	2,275,000	2,283,417
2.500%, 7/23/2020	2,250,000	2,262,690
County of Union, 2.000%, 9/9/2020	1,500,000	1,507,440
Ohio Housing Finance Agency, 1.750%, 6/1/2021, Call 6/1/2021 (1)	2,775,000	2,799,670
Port of Greater Cincinnati Development Authority, 3.000%, 5/1/2023, Call 5/1/2022	6,000,000	6,146,640
Township of Liberty OH/Ross County, 3.000%, 3/26/2020	1,150,000	1,151,472
Village of Oakwood, 2.250%, 9/17/2020	1,000,000	1,007,010
Village of Orange, 2.000%, 8/27/2020	2,575,000	2,586,819
Oklahoma — 1.4%		45,205,698
Canadian County Educational Facilities Authority, 5.000%, 12/1/2020	1,900,000	1,950,008
Oklahoma Development Finance Authority, 1.625%, 7/6/2023, Call 6/30/2022	4,400,000	4,432,516
Oklahoma Housing Finance Agency, 1.600%, 1/1/2022 (1)	1,000,000	1,006,160
Pennsylvania — 5.8%		7,388,684
Berks County Municipal Authority:
5.000%, 2/1/2022	500,000	537,580
5.000%, 2/1/2023	1,300,000	1,445,639
Bethlehem Area School District, SAW, 1.609%, (LIBOR 1 Month), 11/1/2021, Call	2,990,000	2,991,046
11/2/2020 (1)

Commonwealth Financing Authority, 5.000%, 6/1/2020	1,000,000	1,010,020
Manheim Township School District, 1.595%, (LIBOR 1 Month), 11/1/2021, Call	2,000,000	2,004,700
5/1/2021 (1)
Montgomery County Higher Education & Health Authority, 1.870%, (SIFMA	2,500,000	2,500,025
Municipal Swap Index Yield), 9/1/2023, Call 3/20/2020 (1)
Montgomery County Industrial Development Authority, 4.000%, 12/1/2021	100,000	104,927
Northampton County General Purpose Authority, 2.200%, (LIBOR 1 Month),	1,000,000	1,006,350
8/15/2024, Call 2/15/2023 (1)
Pennsylvania Economic Development Financing Authority:
1.200%, 4/15/2020 (1)	2,000,000	2,000,420
1.200%, 4/15/2020 (1)	1,750,000	1,750,368
2.150%, 11/1/2021 (1)	2,000,000	2,030,480
Pennsylvania Turnpike Commission, 2.030%, (SIFMA Municipal Swap Index Yield),	1,800,000	1,803,546
12/1/2020, Call 6/1/2020 (1)
School District of Philadelphia, SAW, 4.000%, 3/31/2020	5,000,000	5,012,200
Tender Option Bond Trust Receipts/Certificates, 1.500%, 11/1/2047, Call 11/1/2027	6,500,000	6,500,000
(1)(2)
South Carolina — 2.3%		30,697,301
Patriots Energy Group Financing Agency, 1.970%, (LIBOR 1 Month), 2/1/2024, Call	6,000,000	6,086,160
11/1/2023 (1)
Tender Option Bond Trust Receipts/Certificates, 1.400%, 7/1/2021 (1)(2)	6,000,000	6,000,000
Tennessee — 1.2%		12,086,160
Metropolitan Government Nashville & Davidson County Health & Educational Facility	1,400,000	1,402,884
Board, 1.875%, 7/1/2020 (1)
Tennessee Energy Acquisition Corp., 5.250%, 9/1/2020	4,720,000	4,820,111
Texas — 3.7%		6,222,995
Bexar County Health Facilities Development Corp., 5.000%, 7/15/2020	175,000	177,345
City of Dallas Housing Finance Corp., 1.500%, 4/1/2022 (1)	3,400,000	3,426,554
Houston Independent School District, PSF, 2.250%, 6/1/2022 (1)	3,250,000	3,351,010
Irving Hospital Authority, 2.250%, (SIFMA Municipal Swap Index Yield),	1,000,000	1,012,610
10/15/2023, Call 4/15/2023 (1)
Midlothian Independent School District, PSF:
2.500%, 8/1/2020 (1)	1,725,000	1,736,144
2.500%, 8/1/2020, (pre-refunded 8/1/2020) (1)	275,000	276,823
Mission Economic Development Corp., 2.500%, 8/1/2020, Call 3/30/2020	6,500,000	6,508,710
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2020 (1)	1,800,000	1,808,874
Panhandle Regional Housing Finance Agency, 2.000%, 5/1/2020 (1)	1,500,000	1,502,160
Virginia — 1.7%		19,800,230
Hampton Redevelopment & Housing Authority, 1.460%, 12/1/2021, Call 12/1/2021 (1)	4,000,000	4,022,120
Henrico County Economic development Authority, 5.000%, 10/1/2020	900,000	920,043
Westmoreland County Industrial Development Authority, 2.000%, 6/1/2022	4,300,000	4,375,723
Washington — 1.1%		9,317,886
City of Bellingham Water & Sewer Revenue, 1.350%, 2/1/2021 (1)(2)	3,625,000	3,625,000
Vancouver Housing Authority, 1.530%, 12/1/2022, Call 12/1/2021	1,795,000	1,804,567
Washington Health Care Facilities Authority, 2.180%, (LIBOR 1 Month), 7/1/2022,	550,000	555,258
Call 1/1/2022 (1)
West Virginia — 0.3%		5,984,825
West Virginia Economic Development Authority, 3.000%, 4/1/2022 (1)	1,000,000	1,035,600
West Virginia Hospital Finance Authority, 5.000%, 1/1/2021	360,000	371,380
Wisconsin — 3.2%		1,406,980
Burlington Area School District, 2.000%, 9/24/2020	1,000,000	1,004,400
City of Lancaster, 4.000%, 5/1/2021, Call 5/1/2020	1,010,000	1,013,990
D C Everest Area School District, 2.000%, 4/1/2022, Call 4/1/2020	1,290,000	1,290,980
Edgar School District, 2.000%, 10/6/2020	1,800,000	1,809,468

Milwaukee & Ozaukee County Joint School District No. 2 Fox Point & Bayside,	2,250,000		2,260,440
2.000%, 8/20/2020
New Richmond School District, 2.000%, 8/27/2020	2,400,000		2,409,264
Oconto Falls Public School District, 2.000%, 10/1/2020	2,450,000		2,463,989
Two Rivers Public School District, 2.000%, 9/30/2020	1,750,000		1,758,033
Wisconsin Health & Educational Facilities Authority, 1.500%, (SIFMA Municipal	500,000		500,760
Swap Index Yield), 7/28/2021, Call 1/28/2021 (1)
Wisconsin Housing & Economic Development Authority, 1.600%, 11/1/2022, Call	2,500,000		2,516,000
11/1/2021 (1)
			17,027,324
Total Municipals			546,774,663
(identified cost $544,451,042)
Short-Term Investments — 1.0%
Repurchase Agreements — 0.0%
Agreement with Fixed Income Clearing Corp., 1.590%, dated 2/28/2020 to be
repurchased at $166,921 on 3/2/2020, collateralized by a U.S. Government Treasury	166,899		166,899
Obligation with a maturity of 11/15/2020, with a fair value of $172,846
Short-Term Municipals — 1.0%
Florida — 1.0%			5,000,000
JEA Electric System Revenue, 1.200%, 3/4/2020	5,000,000
Total Short-Term Investments			5,166,899
(identified cost $5,166,899)
Total Investments — 103.6%
(identified cost $549,617,941)			551,941,562
Other Assets and Liabilities — (3.6)%			(19,068,102)
Total Net Assets — 100.0%		$	532,873,460

(1)Denotes a variable rate security. The rate shown is the current interest rate as of February 29, 2020. Rate fluctuations are based underlying positions and/or other variables. For securities whose yields vary with a designated market index or market rate, the reference rate and spread are indicated in the description.

(2)Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 29, 2020 these securities amounted to:

(3)

(4)

		% of Total
Fund	Amount	Net Assets
Ultra Short Tax-Free Fund	79,453,451	14.91%

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.

Purchased on a when-issued or delayed delivery basis.

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 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. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies

Not applicable to open-end management investment companies.

Item 13. 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. (a)(4) Not applicable.

(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.

By: /s/ John M. Blaser

John M. Blaser

President

Date: May 6, 2020

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.

By: /s/ John M.Blaser John M. Blaser President

(Principal Executive Officer)

Date: May 6, 2020

By: /s/ Timothy M.Bonin Timothy M. Bonin Treasurer

(Principal Financial Officer)

Date: May 6, 2020