BMO MSCI EAFE Hedged to CAD Index ETF (ZDM)

Transcription

1 SEMI-ANNUAL FINANCIAL STATEMENTS BMO MSCI EAFE Hedged to CAD Index ETF (ZDM)

2 Statement of Financial June 30 December 31 As at Assets Current Assets Cash 1, Investments Non-derivative financial assets 506, ,255 Derivative assets 17,371 9,261 Receivable for investments sold 5,741 Subscriptions receivable 6,170 Distribution receivable from investment trusts 2,699 7,093 Other receivables 27 Total assets 533, ,155 Liabilities Current Liabilities Payable for investments purchased 22,622 3,043 Redemptions payable 9,615 Derivative liabilities 492 4,357 Distributions payable 2,683 7,619 Accrued expenses 3 Total liabilities 25,800 24,634 Net assets attributable to holders of redeemable units 507, ,521 Net assets attributable to holders of redeemable units Listed CAD Units 507, ,521 Institutional Units 0 0 Net assets attributable to holders of redeemable units per unit Listed CAD Units $20.57 $19.22 Institutional Units $22.40 $20.63 Statement of Comprehensive Income June 30 June 30 For the periods ended Income Interest income 0 Dividend income 0 5,102 Distribution from investment trusts 5,083 7,463 Other changes in fair value of investments and derivatives Net realized (loss) gain (10,833) 13,119 Change in unrealized appreciation (depreciation) 41,898 (71,816) Net gain (loss) in fair value of investments and derivatives 36,148 (46,132) Securities lending (note 8) Foreign exchange gain (loss) 235 (165) Total other income (loss) 267 (89) Total income (loss) 36,415 (46,221) Expenses Management fees (note 6) Independent review committee fees (note 6) 1 2 Withholding taxes (39) 750 Interest charges 0 2 ETF Summary document fees 0 0 Commissions and other portfolio transaction costs (note 6) Total expenses 22 1,113 Increase (decrease) in net assets attributable to holders of redeemable units 36,393 (47,334) Increase in net assets attributable to holders of redeemable units Listed CAD Units 36,393 (47,334) Institutional Units 0 (0) Increase (decrease) in net assets attributable to holders of redeemable units per unit (note 8) Listed CAD Units 1.60 (1.08) Institutional Units 1.77 (1.14) The accompanying notes are an integral part of these financial statements.

3 Statement of Changes in Net Assets Attributable to Holders of Redeemable Units (All amounts in thousands of Canadian dollars) June 30 June 30 For the periods ended Listed CAD Units Net assets attributable to holders of redeemable units at beginning of period 719, ,872 Increase (decrease) in net assets attributable to holders of redeemable units 36,393 (47,334) Distributions to holders of redeemable units from: Net investment income (5,251) (9,352) Total distributions to holders of redeemable units (5,251) (9,352) Redeemable unit transactions Proceeds from redeemable units issued 134,957 74,314 Redemption of redeemable units (377,846) (190,798) Net decrease from redeemable unit transactions (242,889) (116,484) Net decrease in net assets attributable to holders of redeemable units (211,747) (173,170) Net assets attributable to holders of redeemable units at end of period 507, ,702 June 30 June 30 For the periods ended Total Fund Net assets attributable to holders of redeemable units at beginning of period 719, ,872 Increase (decrease) in net assets attributable to holders of redeemable units 36,393 (47,334) Distributions to holders of redeemable units from: Net investment income (5,251) (9,352) Total distributions paid to holders of redeemable units (5,251) (9,352) Redeemable unit transactions Proceeds from redeemable units issued 134,957 74,314 Redemption of redeemable units (377,846) (190,798) Net decrease from redeemable unit transactions (242,889) (116,484) Net decrease in net assets attributable to holders of redeemable units (211,747) (173,170) Net assets attributable to holders of redeemable units at end of period 507, ,702 Institutional Units Net assets attributable to holders of redeemable units at beginning of period 0 0 Increase (decrease) in net assets attributable to holders of redeemable units 0 (0) Net increase in net assets attributable to holders of redeemable units 0 0 Net assets attributable to holders of redeemable units at end of period 0 0 The accompanying notes are an integral part of these financial statements.

4 Statement of Cash Flows (All amounts in thousands of Canadian dollars) June 30 June 30 For the periods ended Cash flows from operating activities Increase (decrease) in net assets attributable to holders of redeemable units 36,393 (47,334) Adjustments for: Foreign exchange loss on cash 4 15 Net realized loss (gain) on sale of investments and derivatives 10,833 (13,119) Change in unrealized (appreciation) depreciation of investments and derivatives (41,898) 71,816 Decrease in dividends receivable 39 Decrease in distribution receivable from investment trusts 4, Decrease in other receivables 27 Increase (decrease) in accrued expenses 3 (131) Return of capital dividends received 180 Non-cash dividends (21) Purchases of investments (6,315) (50,187) Proceeds from sale and maturity of investments 27, ,018 Cash (outflows) on derivatives (16,199) (21,464) Net cash from operating activities 14, ,842 Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (10,187) (10,103) Proceeds from issuances of redeemable units Amounts paid on redemption of redeemable units (4,661) (159,373) Net cash used in financing activities (14,173) (169,349) Foreign exchange loss on cash (4) (15) Net increase in cash Cash at beginning of period 778 3,669 Cash at end of period 1,174 4,147 Supplementary Information Interest received, net of withholding taxes* 0 Dividends received, net of withholding taxes* 39 4,553 Distribution received from investment trusts* 9,477 7,493 Interest expense paid* 0 2 *These items are from operating activities The accompanying notes are an integral part of these financial statements.

5 Schedule of Investment Portfolio As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Number of Units Cost + Fair Value Number of Units Cost + Fair Value HOLDINGS IN INVESTMENT FUNDS 99.7% International Equity Funds 99.7% BMO MSCI EAFE Index ETF ,252, , ,160 Total Investment Portfolio 99.7% , ,160 Total Unrealized Gain on Forward Contracts 3.5% ,564 Total Unrealized Loss on Forward Contracts (0.1)%......(685) Other Assets Less Liabilities (3.1)% (15,265) NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS % ,774 + Where applicable, distributions received from holdings as a return of capital are used to reduce the adjusted cost base of the securities in the portfolio. UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Gain 5-Jul AUD...2,529...CAD...(2,519) Bank of Montreal... A Jul AUD... 3,745...CAD...(3,730) Bank of New York Mellon Trust Co. N.A.(The)... A Jul AUD... 8,043...CAD...(8,013) Toronto Dominion Bank, The... A Jul AUD...9,135...CAD...(9,100) Royal Bank of Canada... A Jul AUD... 11,149...CAD... (11,107) Bank of Nova Scotia... A Jul CAD SGD... (25) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD ILS... (20) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SGD... (25) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SGD... (13) Royal Bank of Canada... A Jul CAD DKK... (91) Royal Bank of Canada... A Jul CAD ILS... (39) Royal Bank of Canada... A Jul CAD DKK... (353) Royal Bank of Canada... A Jul CAD NOK... (74) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD ILS... (20) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD ILS... (40) Bank of Nova Scotia... A Jul CAD ILS... (38) Royal Bank of Canada... A Jul CAD DKK... (183) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SGD... (49) Royal Bank of Canada... A Jul CAD AUD... (141) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD ILS... (79) Bank of Montreal... A Jul CAD CHF... (130) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD ILS... (68) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD EUR... (431) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD NOK... (257) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SEK... (777) Royal Bank of Canada... A Jul CAD SGD... (39) Toronto Dominion Bank, The... A Jul CAD AUD... (272) Royal Bank of Canada... A Jul CAD EUR... (215) Royal Bank of Canada... A Jul CAD HKD... (787) Royal Bank of Canada... A Jul CAD GBP... (414) Royal Bank of Canada... A Jul CAD CHF... (65) Royal Bank of Canada... A Jul CAD HKD... (204) Royal Bank of Canada... A Jul CAD AUD... (70) Royal Bank of Canada... A Jul CAD NOK... (147) Royal Bank of Canada... A Jul CAD HKD... (407) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SGD... (50) Royal Bank of Canada... A Jul CAD AUD... (294) Royal Bank of Canada... A Jul CAD DKK... (366) Royal Bank of Canada... A Jul CAD HKD... (408) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD NOK... (358) Bank of Montreal... A Jul CAD CHF... (130) Bank of New York Mellon Trust Co. N.A.(The)... A

6 Schedule of Investment Portfolio (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Gain 5-Jul CAD SGD... (65) Royal Bank of Canada... A Jul CAD CHF... (250) Royal Bank of Canada... A Jul CAD SGD... (88) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD SEK...(1,407) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD DKK... (640) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...1,237...EUR... (831) Royal Bank of Canada... A Jul CAD SEK...(3,228) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD HKD... (777) Royal Bank of Canada... A Jul CAD JPY... (75,984) Royal Bank of Canada... A Jul CAD DKK...(1,463) Bank of Montreal... A Jul CAD JPY... (19,651) Royal Bank of Canada... A Jul CAD HKD...(1,424) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD AUD... (492) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD CHF... (259) Royal Bank of Canada... A Jul CAD JPY... (39,311) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...1, SEK...(8,072) Bank of Montreal... A Jul CAD NOK...(3,128) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD JPY... (39,385) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...2, AUD...(2,529) Bank of Montreal... A Jul CAD NOK...(3,914) Toronto Dominion Bank, The... A Jul CAD GBP... (412) Royal Bank of Canada... A Jul CAD CHF... (453) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD EUR... (594) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD DKK...(4,567) Toronto Dominion Bank, The... A Jul CAD NOK...(4,954) Royal Bank of Canada... A Jul CAD NOK...(4,979) Bank of Nova Scotia... A Jul CAD SGD... (776) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...2, SEK... (16,713) Bank of Nova Scotia... A Jul CAD HKD...(4,526) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...1,301...EUR... (856) Royal Bank of Canada... A Jul CAD... 4, AUD...(4,517) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...1, DKK...(7,168) Royal Bank of Canada... A Jul CAD... 3, SEK... (19,574) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...3, SEK... (22,788) Royal Bank of Canada... A Jul CAD... 1, ILS...(4,499) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 1, GBP... (749) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 3, SEK... (24,478) Toronto Dominion Bank, The... A Jul CAD JPY... (76,245) Royal Bank of Canada... A Jul CAD... 8, AUD...(8,043) Toronto Dominion Bank, The... A Jul CAD... 2, EUR...(1,506) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...8, AUD...(8,499) Royal Bank of Canada... A Jul CAD...1, HKD...(9,274) Bank of Montreal... A Jul CAD...2, DKK... (13,320) Bank of Nova Scotia... A Jul CAD...2,101...SGD...(2,153) Bank of Montreal... A Jul CAD... 11, AUD... (11,149) Bank of Nova Scotia... A Jul CAD... 3, DKK... (16,628) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...2,701...CHF...(1,931) Bank of Montreal... A Jul CAD...2,833...SGD...(2,903) Bank of Nova Scotia... A Jul CAD... 3, GBP...(1,913) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 2, HKD... (14,358) Toronto Dominion Bank, The... A Jul CAD... 1,693...JPY... (137,521) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 3, HKD... (17,497) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD...3, HKD... (20,044) Royal Bank of Canada... A Jul CAD... 3,543...JPY... (290,000) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 6, CHF...(4,553) Toronto Dominion Bank, The... A Jul CAD...5, HKD... (30,423) Bank of Nova Scotia... A Jul CAD...8,870...EUR...(5,834) Bank of Montreal... A

7 Schedule of Investment Portfolio (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Gain 5-Jul CAD...9,452...CHF...(6,760) Bank of Nova Scotia... A Jul CAD...9, GBP...(5,620) Bank of Montreal... A Jul CAD... 11, CHF...(8,096) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 12,860...CHF...(9,198) Royal Bank of Canada... A Jul CAD... 17, EUR... (11,591) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 16, GBP...(9,534) Bank of Nova Scotia... A Jul CAD... 16, GBP...(9,518) Royal Bank of Canada... A Jul CAD... 20, GBP... (11,659) Toronto Dominion Bank, The... A Jul CAD... 25, EUR... (16,770) Toronto Dominion Bank, The... A Jul CAD... 21, GBP... (12,320) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 14,093...JPY...(1,152,894) Bank of Montreal... A Jul CAD... 14,938...JPY...(1,221,980) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD... 49,434...EUR... (32,513) Royal Bank of Canada... A ,277 5-Jul CAD... 23,625...JPY...(1,932,761) Toronto Dominion Bank, The... A ,341 5-Jul CAD... 51,997...EUR... (34,200) Bank of Nova Scotia... A ,342 5-Jul CAD... 27,875...JPY...(2,280,474) Bank of Nova Scotia... A ,582 5-Jul CAD... 29,331...JPY...(2,399,516) Royal Bank of Canada... A ,666 5-Jul GBP...5,620...CAD...(9,481) Bank of Montreal... A Jul GBP...9,534...CAD... (16,083) Bank of Nova Scotia... A Jul GBP... 10,451...CAD... (17,630) Royal Bank of Canada... A Jul GBP... 11,659...CAD... (19,667) Toronto Dominion Bank, The... A Jul GBP... 15,410...CAD... (25,995) Bank of New York Mellon Trust Co. N.A.(The)... A Jul ILS CAD... (29) Royal Bank of Canada... A Jul NOK CAD... (56) Bank of Montreal... A Jul NOK... 3,533...CAD... (548) Bank of New York Mellon Trust Co. N.A.(The)... A Jul NOK... 3,914...CAD... (607) Toronto Dominion Bank, The... A Jul NOK...4,979...CAD... (772) Bank of Nova Scotia... A Jul NOK...5,242...CAD... (813) Royal Bank of Canada... A Jul CAD USD... (13) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD USD... (13) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD USD... (25) Royal Bank of Canada... A Jul CAD USD... (26) Royal Bank of Canada... A Jul CAD USD... (45) Bank of Nova Scotia... A Jul CAD USD... (45) Bank of New York Mellon Trust Co. N.A.(The)... A Jul CAD USD... (344) Royal Bank of Canada... A Jul CAD USD... (739) Bank of Montreal... A Jul CAD... 2,542...USD...(1,883) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD USD... (600) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD SGD... (177) Royal Bank of Canada... A Aug CAD SGD... (24) Royal Bank of Canada... A Aug CAD USD... (45) Bank of Nova Scotia... A Aug CAD SGD... (39) Toronto Dominion Bank, The... A Aug CAD ILS... (79) Bank of Montreal... A Aug CAD ILS... (40) Bank of Nova Scotia... A Aug CAD JPY... (38,060) Royal Bank of Canada... A Aug CAD USD... (395) Royal Bank of Canada... A Aug CAD SGD... (914) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD...1, HKD...(9,274) Bank of Montreal... A Aug CAD USD... (739) Bank of Montreal... A Aug CAD... 1, ILS...(4,607) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD...2,030...SGD...(2,153) Bank of Montreal... A Aug CAD... 2, HKD... (14,358) Toronto Dominion Bank, The... A Aug CAD... 2,536...USD...(1,954) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD...2,738...SGD...(2,903) Bank of Nova Scotia... A Aug CAD... 7,533...JPY... (652,385) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD... 4, HKD... (24,262) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD...3, HKD... (21,812) Royal Bank of Canada... A

8 Schedule of Investment Portfolio (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Gain 3-Aug CAD...2,622...CHF...(1,931) Bank of Montreal... A Aug CAD...5, HKD... (30,423) Bank of Nova Scotia... A Aug CAD... 6, CHF...(4,553) Toronto Dominion Bank, The... A Aug CAD...9,179...CHF...(6,760) Bank of Nova Scotia... A Aug CAD... 11, CHF...(8,809) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD... 13,334...JPY...(1,152,894) Bank of Montreal... A Aug CAD... 13,268...CHF...(9,772) Royal Bank of Canada... A Aug CAD...3, SEK... (24,543) Royal Bank of Canada... A Aug CAD... 19,987...JPY...(1,728,197) Bank of New York Mellon Trust Co. N.A.(The)... A Aug CAD... 22,352...JPY...(1,932,761) Toronto Dominion Bank, The... A Aug CAD... 26,375...JPY...(2,280,474) Bank of Nova Scotia... A Aug CAD... 29,741...JPY...(2,571,396) Royal Bank of Canada... A Total Unrealized Gain on Forward Contracts...17,564 UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Loss 5-Jul JPY...1,152,894...CAD... (13,325) Bank of Montreal... A (33) 5-Jul JPY... 1,728,197...CAD... (19,975) Bank of New York Mellon Trust Co. N.A.(The)... A (50) 5-Jul JPY... 1,932,761...CAD... (22,339) Toronto Dominion Bank, The... A (55) 5-Jul JPY...2,280,474...CAD... (26,359) Bank of Nova Scotia... A (66) 5-Jul JPY...2,571,396...CAD... (29,721) Royal Bank of Canada... A (74) 5-Jul EUR... 16,770...CAD... (24,839) Toronto Dominion Bank, The... A (1) 5-Jul EUR...5,834...CAD...(8,641) Bank of Montreal... A (1) 5-Jul EUR... 14,552...CAD... (21,555) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul EUR... 34,415...CAD... (50,977) Royal Bank of Canada... A (3) 5-Jul EUR... 34,200...CAD... (50,658) Bank of Nova Scotia... A (3) 5-Jul AUD... 1,546...CAD...(1,551) Bank of New York Mellon Trust Co. N.A.(The)... A (10) 5-Jul CAD AUD... (141) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 5-Jul CAD GBP... (107) Royal Bank of Canada... A (0) 5-Jul CAD NOK... (141) Royal Bank of Canada... A (0) 5-Jul CAD GBP... (214) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 5-Jul CAD DKK... (183) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 5-Jul CAD NOK... (74) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 5-Jul CAD SEK... (777) Royal Bank of Canada... A (0) 5-Jul CAD SEK... (201) Royal Bank of Canada... A (0) 5-Jul CAD SEK... (403) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul CAD SEK... (402) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul CAD EUR... (430) Bank of New York Mellon Trust Co. N.A.(The)... A (2) 5-Jul CAD GBP... (214) Bank of New York Mellon Trust Co. N.A.(The)... A (3) 5-Jul CHF...1,931...CAD...(2,619) Bank of Montreal... A (7) 5-Jul CHF... 4,553...CAD...(6,175) Toronto Dominion Bank, The... A (17) 5-Jul CHF...6,760...CAD...(9,168) Bank of Nova Scotia... A (25) 5-Jul CHF... 8,809...CAD... (11,946) Bank of New York Mellon Trust Co. N.A.(The)... A (33) 5-Jul CHF...9,772...CAD... (13,251) Royal Bank of Canada... A (37) 5-Jul DKK... 4,567...CAD... (910) Toronto Dominion Bank, The... A (0) 5-Jul DKK...7,978...CAD...(1,589) Royal Bank of Canada... A (0) 5-Jul DKK...1,463...CAD... (291) Bank of Montreal... A (0) 5-Jul DKK... 13,320...CAD...(2,654) Bank of Nova Scotia... A (0) 5-Jul DKK... 17,634...CAD...(3,513) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul HKD...9,274...CAD...(1,543) Bank of Montreal... A (3) 5-Jul HKD... 14,358...CAD...(2,389) Toronto Dominion Bank, The... A (4) 5-Jul HKD... 21,812...CAD...(3,629) Royal Bank of Canada... A (6) 5-Jul HKD... 24,262...CAD...(4,036) Bank of New York Mellon Trust Co. N.A.(The)... A (6) 5-Jul HKD... 30,423...CAD...(5,061) Bank of Nova Scotia... A (8) 5-Jul ILS CAD... (15) Bank of Nova Scotia... A (0) 5-Jul ILS CAD... (29) Bank of Montreal... A (0)

9 Schedule of Investment Portfolio (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Loss 5-Jul ILS... 4,607...CAD...(1,714) Bank of New York Mellon Trust Co. N.A.(The)... A (2) 5-Jul SEK...8,072...CAD...(1,243) Bank of Montreal... A (0) 5-Jul SEK... 16,713...CAD...(2,573) Bank of Nova Scotia... A (1) 5-Jul SEK... 24,478...CAD...(3,769) Toronto Dominion Bank, The... A (1) 5-Jul SEK... 25,014...CAD...(3,851) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul SEK... 24,543...CAD...(3,814) Royal Bank of Canada... A (36) 5-Jul SGD CAD... (37) Toronto Dominion Bank, The... A (0) 5-Jul SGD CAD... (167) Royal Bank of Canada... A (0) 5-Jul SGD CAD... (862) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 5-Jul SGD...2,153...CAD...(2,030) Bank of Montreal... A (3) 5-Jul SGD...2,903...CAD...(2,738) Bank of Nova Scotia... A (4) 6-Jul USD CAD... (58) Bank of Nova Scotia... A (0) 6-Jul USD CAD... (513) Royal Bank of Canada... A (1) 6-Jul USD CAD... (960) Bank of Montreal... A (1) 6-Jul USD... 1,954...CAD...(2,538) Bank of New York Mellon Trust Co. N.A.(The)... A (4) 3-Aug CAD DKK... (177) Royal Bank of Canada... A (0) 3-Aug CAD ILS... (77) Royal Bank of Canada... A (0) 3-Aug CAD...2, SEK... (16,713) Bank of Nova Scotia... A (0) 3-Aug CAD... 3, SEK... (24,478) Toronto Dominion Bank, The... A (0) 3-Aug CAD DKK...(4,567) Toronto Dominion Bank, The... A (0) 3-Aug CAD...1, SEK...(8,072) Bank of Montreal... A (0) 3-Aug CAD DKK...(1,463) Bank of Montreal... A (0) 3-Aug CAD NOK... (358) Bank of Montreal... A (0) 3-Aug CAD...1, DKK...(7,978) Royal Bank of Canada... A (0) 3-Aug CAD... 3, SEK... (25,014) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 3-Aug CAD GBP... (207) Royal Bank of Canada... A (0) 3-Aug CAD EUR... (416) Royal Bank of Canada... A (0) 3-Aug CAD AUD... (136) Royal Bank of Canada... A (0) 3-Aug CAD CHF... (579) Bank of New York Mellon Trust Co. N.A.(The)... A (0) 3-Aug CAD SEK... (389) Royal Bank of Canada... A (0) 3-Aug CAD CHF... (125) Royal Bank of Canada... A (0) 3-Aug CAD HKD... (394) Royal Bank of Canada... A (0) 3-Aug CAD NOK...(3,533) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 3-Aug CAD... 2, EUR...(1,550) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 3-Aug CAD...2, DKK... (13,320) Bank of Nova Scotia... A (1) 3-Aug CAD... 3, DKK... (17,634) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 3-Aug CAD NOK...(3,914) Toronto Dominion Bank, The... A (1) 3-Aug CAD...2, AUD...(2,529) Bank of Montreal... A (1) 3-Aug CAD... 1, GBP... (647) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 3-Aug CAD... 1, AUD...(1,173) Bank of New York Mellon Trust Co. N.A.(The)... A (1) 3-Aug CAD NOK...(4,979) Bank of Nova Scotia... A (2) 3-Aug CAD... 3, AUD...(3,745) Bank of New York Mellon Trust Co. N.A.(The)... A (2) 3-Aug CAD...8,649...EUR...(5,834) Bank of Montreal... A (2) 3-Aug CAD NOK...(5,242) Royal Bank of Canada... A (2) 3-Aug CAD... 8, AUD...(8,043) Toronto Dominion Bank, The... A (5) 3-Aug CAD... 21, EUR... (14,552) Bank of New York Mellon Trust Co. N.A.(The)... A (5) 3-Aug CAD...9, AUD...(9,135) Royal Bank of Canada... A (5) 3-Aug CAD... 24, EUR... (16,770) Toronto Dominion Bank, The... A (6) 3-Aug CAD... 11, AUD... (11,149) Bank of Nova Scotia... A (7) 3-Aug CAD... 50,704...EUR... (34,200) Bank of Nova Scotia... A (11) 3-Aug CAD... 51,022...EUR... (34,415) Royal Bank of Canada... A (11)

10 Schedule of Investment Portfolio (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Settlement Date Buy Sell Contract Rate Counterparty Credit Rating* Unrealized Loss 3-Aug CAD...9, GBP...(5,620) Bank of Montreal... A (12) 3-Aug CAD... 16, GBP...(9,534) Bank of Nova Scotia... A (20) 3-Aug CAD... 17, GBP... (10,451) Royal Bank of Canada... A (22) 3-Aug CAD... 19, GBP... (11,659) Toronto Dominion Bank, The... A (26) 3-Aug CAD... 26, GBP... (15,410) Bank of New York Mellon Trust Co. N.A.(The)... A (33) Total Unrealized Loss on Forward Contracts... (685) * Credit Rating provided by Standard & Poor s.

11 Notes to the Financial Statements 1. The ETF Fund BMO MSCI EAFE Hedged to CAD Index ETF ( the ETF ) is an exchange-traded fund established as an open-ended trust by a Declaration of Trust under the laws of the Province of Ontario. BMO Asset Management Inc. ( the Manager ) is the Manager and trustee of the ETF. The Manager is a wholly owned subsidiary of Bank of Montreal. The address of the ETF s registered office is 100 King Street West, Toronto, Ontario, M5X 1A1. The Statement of Financial and related notes of each of the ETFs are as at and December 31, 2016 except for ETFs established in 2017, in which case the information is only as at June 30, 2017 The Statement of Comprehensive Income, Statement of Changes in Net Assets Attributable to Holders of Redeemable Units, Statement of Cash Flows and related notes are for the periods ended June 30, 2017 and June 30, 2016 except for the ETFs established during either period, in which case the information provided relates to the period from the date of establishment to or June 30, 2016, as applicable. Financial information provided for a class of units established during the period(s) is presented from the establishment date as noted in Note 8. Certain prior period balances have been reclassified to conform with the current presentation. The financial statements were authorized for issue by the Manager on August 9, These financial statements should be read in conjunction with the annual financial statements for the period ended December 31, 2016 which have been prepared in accordance with International Financial Reporting Standards ( IFRS ). 2. Basis of preparation and presentation These unaudited interim financial statements have been prepared in accordance with IFRS and in accordance with International Accounting Standard ( IAS ) 34 Interim Financial Reporting, as issued by the International Accounting Standards Board ( IASB ). 3. Summary of significant accounting policies Financial instruments The ETF records financial instruments at fair value. Investment transactions are accounted for on the trade date. The ETF s investments are either designated at fair value through profit or loss ( FVTPL ) at inception or classified as held for trading. The changes in investment fair values and related transaction costs are recorded in the ETF s Statement of Comprehensive Income. Financial assets or financial liabilities held for trading are those acquired or incurred principally for the purpose of selling or repurchasing in the near future, or on initial recognition, are part of a portfolio of identified financial instruments that the ETF manages together and that have a recent actual pattern of shortterm profit taking. The ETF classifies all derivatives and short positions as held for trading. The ETF does not designate any derivatives as hedges in a hedging relationship. The ETF designates all other investments at FVTPL, as they have reliably measurable fair values and are part of a group of financial assets or financial liabilities that are managed and have their performance evaluated on a fair value basis in accordance with the ETF s investment strategy. The ETF s redeemable units, which are puttable instruments, are held by different types of unitholders that are entitled to different redemption rights. See Note 5 for details of unitholders transactions in the units of the ETF. The different redemption features create equally subordinate but not identical units or classes of the units of the ETF. Redemption of units at 95% of the Net Asset Value NAV for some type of unitholders redemptions also results in a situation where the redemption value of this puttable instrument is not based substantially on the net assets of the ETF. As a result, the ETF s obligations for net assets attributable

12 Notes to the Financial Statements (cont d) to holders of redeemable units are classified as financial liabilities and presented at the redemption amounts. All other financial assets and financial liabilities are measured at amortized cost. Under this method, financial assets and financial liabilities reflect the amount required to be received, paid or discounted, when appropriate, at the contract s effective interest rate. The Manager has determined that the ETF meets the definition of investment entity and as a result, the ETF measures subsidiaries, if any, at FVTPL. Cost of investments The cost of investments represents the amount paid for each security and is determined on an average cost basis. Fair value measurement Investments are recorded at their fair value with the change between this amount and their average cost being recorded as Change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income. For exchange-traded securities, close prices are considered to be fair value if they fall within the bidask spread. In circumstances where the close price is not within the bid-ask spread, the Manager determines the point within the bid-ask spread that is most representative of fair value based on the specific facts and circumstances. Procedures are in place to fair value securities traded in countries outside of North America daily, to avoid stale prices and to take into account, among other things, any significant events occurring after the close of a foreign market. For bonds, debentures, asset-backed securities and other debt securities, fair value is represented by mid prices provided by independent security pricing services. Short-term investments, if any, are held at amortized cost which approximates fair value. For securities where market quotes are not available, unreliable or not considered to reflect the current value, the Manager may determine another value which it considers to be fair and reasonable, or use a valuation technique that, to the extent possible, makes maximum use of inputs and assumptions based on observable market data, including volatility, comparable companies, NAV (for exchange-traded funds) and other applicable rates or prices. These estimation techniques include discounted cash flows, internal models that utilize observable data or comparisons with other securities that are substantially similar. In limited circumstances, the Manager may use internal models where the inputs are not based on observable market data. Derivative instruments Derivative instruments are financial contracts that derive their value from changes in the underlying interest rates, foreign exchange rates, or other financial or commodity prices or indices. Derivative instruments are either regulated exchangetraded contracts or negotiated over-the-counter contracts. The ETF may use these instruments for trading purposes, as well as to manage the ETF s risk exposures. Derivatives are measured at fair value. Realized gains and losses are included in Net realized gain (loss) in the Statement of Comprehensive Income and unrealized gains and losses are included in Change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income. Forward currency contracts A forward currency contract is an agreement between two parties (the ETF and the counterparty) to purchase or sell a currency against another currency at a set price on a future date. The ETF may enter into forward currency contracts for hedging purposes, which can include the economic hedging of all or a portion of the currency exposure of an investment or group of investments, either directly or indirectly. The ETF may also enter into these contracts for non-hedging

13 Notes to the Financial Statements (cont d) purposes, which can include increasing the exposure to a foreign currency, or the shifting exposure to foreign currency fluctuations from one country to another. The value of forward currency contracts entered into by the ETF is recorded as the difference between the value of the contract on the Valuation Date (the Valuation Date is each day on which the Toronto Stock Exchange is open for trading) and the value on the date the contract originated. Option contracts The ETF may engage in option contract transactions by purchasing (long positions) or writing (short positions) call or put option contracts. These contracts have different risk exposures for the ETF, whereas the risk for long positions will be limited to the premium paid to purchase the option contracts, the risk exposure for the short positions is potentially unlimited until closed or expired. Purchased option contracts The premium paid for purchasing an option is recorded as an asset in the Statement of Financial. The option contract is valued on each Valuation Date at an amount equal to the fair value of the option that would have the effect of closing the position. The change in the difference between the premium and the fair value is shown as Change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income. When a purchased option expires, the ETF will realize a loss equal to the premium paid. When a purchased option is closed, the gain or loss the ETF will realize will be the difference between the proceeds and the premium paid. When a purchased call option is exercised, the premium paid is added to the cost of acquiring the underlying security. When a purchased put option is exercised, the premium paid is subtracted from the proceeds from the sale of the underlying security that had to be sold. Written option contracts The premium received from writing a call or put option is recorded as a liability in the Statement of Financial. When a written option expires, the ETF will realize a gain equal to the premium received. When a written option is closed, the ETF will realize a gain or loss equal to the difference between the cost at which the contract was closed and the premium received. When a written call option is exercised, the premium received is added to the proceeds from the sale of the underlying investments to determine the realized gain or loss. When a written put option is exercised, the premium received is subtracted from the cost of the underlying investment the ETF had purchased. The gain or loss that the ETF realizes when a purchased or written option is expired or closed is recorded as Net realized gain (loss) in the Statement of Comprehensive Income. Credit default swap contracts A credit default swap contract is an agreement to transfer credit risk from one party, a buyer of protection, to another party, a seller of protection. The ETF, as a seller of protection, would be required to pay a notional or other agreed upon value to the buyer of protection in the event of a default by a third-party. In return, the ETF would receive from the counterparty a periodic stream of payments over the term of the contract provided that no event of default occurs. If no default occurs, the ETF would keep the stream of payments and would have no payment obligations. In connection with the agreement, securities or cash may be identified as collateral or margin in accordance with the terms of the agreement to provide assets of value in the event of default or bankruptcy/insolvency. The ETF, as a buyer of protection, would receive a notional or other agreed upon value from the seller of protection in the event of a default by a third-party. In return, the ETF would be required to pay to the counterparty a periodic stream of payments over the

14 Notes to the Financial Statements (cont d) term of the contract provided that no event of default occurs. Credit default swap contracts are fair valued daily based upon quotations from independent security pricing sources. Premiums paid or received, if any, are included in Net realized gain (loss) in the Statement of Comprehensive Income. Net periodic payments are accrued daily and recorded as Interest income in the Statement of Comprehensive Income. When credit default swap contracts expire or are closed out, gains or losses are recorded as Net realized gain (loss) in the Statement of Comprehensive Income. Income recognition Dividend income and distribution from investment trusts are recognized on the ex-dividend and exdistribution date, respectively. Interest income from interest bearing investments is recognized in the Statement of Comprehensive Income using the effective interest rate. Interest receivable shown in the Statement of Financial is accrued based on the interest bearing investments stated rates of interest. Interest on inflation-indexed bonds is paid based on a principal value, which is adjusted for inflation. The inflation adjustment of the principal value is recognized as part of interest income in the Statement of Comprehensive Income. If held to maturity, the ETF will receive, in addition to a coupon interest payment, a final payment equal to the sum of the par value and the inflation compensation accrued from the original issue date. Interest is accrued on each Valuation Date based on the inflation adjusted par value at that time and is included in Interest income in the Statement of Comprehensive Income. Foreign currency translation The fair value of investments and other assets and liabilities in foreign currencies are translated into the ETF s functional currency at the rates of exchange prevailing at the period-end date. Purchases and sales of investments, and income and expenses are translated at the rates of exchange prevailing on the respective dates of such transactions. Foreign exchange gains (losses) on completed transactions are included in Net realized gain (loss) in the Statement of Comprehensive Income and unrealized foreign exchange gains (losses) are included in Change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income. Foreign exchange gains (losses) relating to cash, receivables and payables are included in "Foreign exchange gain (loss) in the Statement of Comprehensive Income. Securities lending An ETF may engage in securities lending pursuant to the terms of an agreement with BNY Mellon (the securities lending agent ). The aggregate market value of all securities on loan by an ETF cannot exceed 50% of the NAV of the ETF. An ETF will receive collateral of at least 102% of the value of the securities on loan. Collateral will generally be comprised of obligations of or guarantee by the Government of Canada or a province thereof, or by the United States government or its agencies, but may include obligations of other governments with appropriate credit ratings. Further, the program entered into provides for 100% indemnification by the securities lending agent and parties related to the ETF s custodian, to the ETF for any defaults by borrowers. For those ETFs participating in the program, aggregate values of securities on loan and the collateral held as at and December 31, 2016 and information about the security lending income earned by the ETF are disclosed in Note 8. Income from securities lending, where applicable, is included in the Statement of Comprehensive Income and is recognized when earned. The breakdown of the securities lending income is disclosed in Note 8, where applicable. Cash Cash is comprised of cash and deposits with banks which include bankers acceptances and overnight demand deposits. Cash is recorded at fair value. The

15 Notes to the Financial Statements (cont d) carrying amount of cash approximates its fair value because it is short-term in nature. Other assets and other liabilities Receivable from investments sold, dividends receivable, distribution receivable from investment trusts, and subscriptions receivable, are initially recorded at fair value and subsequently measured at amortized cost. Similarly, payable for investments purchased, redemptions payable, distributions payable and accrued expenses are measured at amortized cost. Other assets and liabilities are short-term in nature, and are carried at cost or amortized cost. Increase or decrease in net assets attributable to holders of redeemable units Increase (decrease) in net assets attributable to holders of redeemable units per unit of a class in the Statement of Comprehensive Income represents the increase (decrease) in net assets attributable to holders of redeemable units ( Net Assets ) of the class divided by the weighted average number of units of the class outstanding during the period. Taxation The ETF qualifies as a mutual fund trust under the provisions of the Income Tax Act (Canada). Distributions of all net taxable income and sufficient amounts of net realized capital gains for each taxation year will be paid to unitholders so that the ETF will not be subject to income tax. As a result, the ETF has determined that it is in substance not taxable and therefore does not record income taxes in the Statement of Comprehensive Income nor does it recognize any deferred tax assets or liabilities in the Statement of Financial. The ETF may incur withholding taxes imposed by certain countries on investment income and capital gains. Such income and gains are recorded on a gross basis with the related withholding taxes shown as a separate expense in the Statement of Comprehensive Income. Investments in subsidiaries, joint ventures and associates Subsidiaries are entities over which the ETF has control through its exposure or rights to variable returns from its investment and has the ability to affect those returns through its power over the entity. The Manager has determined that the ETF is an investment entity and as such, it accounts for subsidiaries, if any, at fair value. Joint ventures are those where the ETF exercises joint control through an agreement with other shareholders, and associates are investments in which the ETF exerts significant influence over operating, investing, and financing decisions (such as entities in which the ETF owns 20% - 50% of voting shares), all of which, if any, have been designated at FVTPL. Unconsolidated structured entities During the periods, the ETF had no sponsored unconsolidated structured entities. The Manager has determined that the underlying funds in which the ETF may invest are unconsolidated structured entities. This determination is based on the fact that decision making about the underlying funds is not governed by the voting right or other similar right held by the ETF. Similarly, investments in securitizations, assetbacked securities and mortgage-backed securities are determined to be interests in unconsolidated structured entities. The ETF may invest in underlying funds whose investment objectives range from achieving short-term to long-term income and capital growth potential. Underlying funds may use leverage in a manner consistent with their respective investment objectives and as permitted by Canadian securities regulatory authorities. Underlying funds finance their operations by issuing redeemable units which are puttable at the holders option and entitles the holder to a proportionate stake in the respective fund s Net Assets. The change in fair value of each of the underlying funds during the periods is included in Change in unrealized appreciation (depreciation) in the Statement of Comprehensive Income.