BMO Mutual Funds 2018

BMO Mutual Funds 2018 Semi-Annual Financial Statements BMO Core Bond Fund NOTICE OF NO AUDITOR REVIEW OF THE SEMI-ANNUAL FINANCIAL STATEMENTS BMO Investments Inc., the Manager of the Fund, appoints independent auditors to audit the Fund s Annual Financial Statements. Under Canadian securities laws (National Instrument 81-106), if an auditor has not reviewed the Semi-Annual Financial Statements, this must be disclosed in an accompanying notice. The Fund s independent auditors have not performed a review of these Semi-Annual Financial Statements in accordance with standards established by the Chartered Professional Accountants of Canada.

STATEMENT OF FINANCIAL POSITION March 31 September 30 As at 2018 2017 ASSETS CURRENT ASSETS Cash 31,124 41,372 Investments Non-derivative financial assets 1,999,068 2,138,753 Derivative assets 167 3,425 Receivable for investments sold 51,837 Futures margin receivable 12,874 10,338 Subscriptions receivable 28 218 Interest receivable 14,745 15,417 Dividends receivable 7 7 Total assets 2,058,013 2,261,367 LIABILITIES CURRENT LIABILITIES Payable for investments purchased 8,900 62,121 Redemptions payable 4,401 2,671 Derivative liabilities 16,959 9,487 Accrued expenses 175 16 Total liabilities 30,435 74,295 redeemable units 2,027,578 2,187,072 redeemable units Series A Units 166,783 177,972 Advisor Series Units 292 236 Series F Units 842 634 Series D Units 166 167 Series G Units 1,323 Series I Units 1,858,172 2,008,063 redeemable units per unit Series A Units $ 10.16 $ 10.09 Advisor Series Units $ 10.13 $ 10.07 Series F Units $ 10.21 $ 10.15 Series D Units $ 10.15 $ 10.10 Series G Units $ 10.12 $ Series I Units $ 10.23 $ 10.17 STATEMENT OF COMPREHENSIVE INCOME March 31 March 31 For the periods ended 2018 2017 INCOME Interest income 29,175 24,832 Dividend income 170 194 Other changes in fair value of investments and derivatives Net realized loss (4,177) (16,878) Change in unrealized appreciation (depreciation) 29,272 (42,830) Net gain (loss) in fair value of investments and derivatives 54,440 (34,682) Securities lending revenue (note 8) 117 Foreign exchange (loss) gain (1,909) 42 Total other (loss) income (1,792) 42 Total income (loss) 52,648 (34,640) EXPENSES Management fees (note 6) 922 61 Fixed administration fees (note 6) 146 10 Independent review committee fees (note 6) 0 0 Withholding taxes 0 Custodian fees 14 Fund Facts fees 0 0 Commissions and other portfolio transaction costs (note 6) 42 439 Operating expenses absorbed by the Manager (note 6) (0) (14) Total expenses 1,110 510 Increase (decrease) in net assets attributable to holders of redeemable units 51,538 (35,150) Increase (decrease) in net assets attributable to holders of redeemable units Series A Units 3,206 (286) Advisor Series Units 5 (7) Series F Units 15 (7) Series D Units 3 (4) Series G Units 15 Series I Units 48,294 (34,846) Increase (decrease) in net assets attributable to holders of redeemable units per unit (note 8) Series A Units 0.19 (0.27) Advisor Series Units 0.18 (0.26) Series F Units 0.22 (0.13) Series D Units 0.20 (0.29) Series G Units 0.14 Series I Units 0.25 (0.18) The accompanying notes are an integral part of these financial statements.

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (All amounts in thousands of Canadian dollars) March 31 March 31 For the periods ended 2018 2017 Series A Units redeemable units at beginning of period 177,972 10,151 Increase (decrease) in net assets attributable to holders of redeemable units 3,206 (286) Distributions to holders of redeemable units from: Net investment income (1,907) (82) Net realized gains on investments and derivatives (41) (69) Return of capital (0) Total distributions to holders of redeemable units (1,948) (151) Redeemable unit transactions Proceeds from redeemable units issued 14,351 4,153 Reinvestments of distributions to holders of redeemable units 1,939 147 Redemption of redeemable units (28,737) (3,934) Net (decrease) increase from redeemable unit transactions (12,447) 366 Net decrease in net assets attributable to holders of redeemable units (11,189) (71) redeemable units at end of period 166,783 10,080 March 31 March 31 For the periods ended 2018 2017 Series F Units redeemable units at beginning of period 634 342 Increase (decrease) in net assets attributable to holders of redeemable units 15 (7) Distributions to holders of redeemable units from: Net investment income (10) (5) Net realized gains on investments and derivatives (1) (2) Return of capital (0) (0) Total distributions to holders of redeemable units (11) (7) Redeemable unit transactions Proceeds from redeemable units issued 205 521 Reinvestments of distributions to holders of redeemable units 10 7 Redemption of redeemable units (11) (125) Net increase from redeemable unit transactions 204 403 Net increase in net assets attributable to holders of redeemable units 208 389 redeemable units at end of period 842 731 Advisor Series Units redeemable units at beginning of period 236 273 Increase (decrease) in net assets attributable to holders of redeemable units 5 (7) Distributions to holders of redeemable units from: Net investment income (3) (2) Net realized gains on investments and derivatives (0) (2) Return of capital (0) Total distributions to holders of redeemable units (3) (4) Redeemable unit transactions Proceeds from redeemable units issued 95 16 Reinvestments of distributions to holders of redeemable units 2 3 Redemption of redeemable units (43) (4) Net increase from redeemable unit transactions 54 15 Net increase in net assets attributable to holders of redeemable units 56 4 redeemable units at end of period 292 277 Series D Units redeemable units at beginning of period 167 133 Increase (decrease) in net assets attributable to holders of redeemable units 3 (4) Distributions to holders of redeemable units from: Net investment income (2) (2) Net realized gains on investments and derivatives (0) (1) Return of capital (0) Total distributions to holders of redeemable units (2) (3) Redeemable unit transactions Proceeds from redeemable units issued 19 11 Reinvestments of distributions to holders of redeemable units 2 2 Redemption of redeemable units (23) (41) Net decrease from redeemable unit transactions (2) (28) Net decrease in net assets attributable to holders of redeemable units (1) (35) redeemable units at end of period 166 98 The accompanying notes are an integral part of these financial statements.

STATEMENT OF CHANGES IN NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS (cont d) (All amounts in thousands of Canadian dollars) March 31 March 31 For the periods ended 2018 2017 Series G Units redeemable units at beginning of period Increase in net assets attributable to holders of redeemable units 15 Distributions to holders of redeemable units from: Net investment income (3) Total distributions to holders of redeemable units (3) Redeemable unit transactions Proceeds from redeemable units issued 1,330 Reinvestments of distributions to holders of redeemable units 3 Redemption of redeemable units (22) Net increase from redeemable unit transactions 1,311 Net increase in net assets attributable to holders of redeemable units 1,323 redeemable units at end of period 1,323 Series I Units redeemable units at beginning of period 2,008,063 1,333,718 Increase (decrease) in net assets attributable to holders of redeemable units 48,294 (34,846) Distributions to holders of redeemable units from: Net investment income (34,627) (25,657) Net realized gains on investments and derivatives (1,871) (8,929) Return of capital (14) (13) Total distributions to holders of redeemable units (36,512) (34,599) Redeemable unit transactions Proceeds from redeemable units issued 8,910 998,931 Reinvestments of distributions to holders of redeemable units 36,512 34,599 Redemption of redeemable units (207,095) (92,475) Net (decrease) increase from redeemable unit transactions (161,673) 941,055 Net (decrease) increase in net assets attributable to holders of redeemable units (149,891) 871,610 redeemable units at end of period 1,858,172 2,205,328 March 31 March 31 For the periods ended 2018 2017 Total Fund redeemable units at beginning of period 2,187,072 1,344,617 Increase (decrease) in net assets attributable to holders of redeemable units 51,538 (35,150) Distributions to holders of redeemable units from: Net investment income (36,552) (25,748) Net realized gains on investments and derivatives (1,913) (9,003) Return of capital (14) (13) Total distributions paid to holders of redeemable units (38,479) (34,764) Redeemable unit transactions Proceeds from redeemable units issued 24,910 1,003,632 Reinvestments of distributions to holders of redeemable units 38,468 34,758 Redemption of redeemable units (235,931) (96,579) Net (decrease) increase from redeemable unit transactions (172,553) 941,811 Net (decrease) increase in net assets attributable to holders of redeemable units (159,494) 871,897 redeemable units at end of period 2,027,578 2,216,514 The accompanying notes are an integral part of these financial statements.

STATEMENT OF CASH FLOWS (All amounts in thousands of Canadian dollars) March 31 March 31 For the periods ended 2018 2017 Cash flows from operating activities Increase (decrease) in net assets attributable to holders of redeemable units 51,538 (35,150) Adjustments for: Foreign exchange loss on cash 258 9 Net realized loss on sale of investments and derivatives 4,177 16,878 Change in unrealized (appreciation) depreciation of investments and derivatives (29,272) 42,830 Increase in futures margin receivable (2,536) (875) Decrease (increase) in interest receivable 672 (6,723) Increase in dividends receivable (3) (Increase) decrease in accrued interest on money market investments (5) 60 Increase (decrease) in accrued expenses 159 (1) Amortization of premium and discounts 658 2,077 Purchases of investments (1,507,578) (4,472,066) Proceeds from sale and maturity of investments 1,670,083 3,551,585 Cash inflows (outflows) on derivatives 10,968 (3,322) Net cash from operating activities 199,122 (904,701) Cash flows from financing activities Distributions paid to holders of redeemable units, net of reinvested distributions (11) (6) Proceeds from issuances of redeemable units 25,092 1,003,312 Amounts paid on redemption of redeemable units (234,193) (87,783) Net cash from financing activities (209,112) 915,523 Foreign exchange loss on cash (258) (9) Net (decrease) increase in cash (9,990) 10,822 Cash at beginning of period 41,372 3,467 Cash at end of period 31,124 14,280 Supplementary Information Interest received, net of withholding taxes* 30,495 20,246 Dividends received, net of withholding taxes* 170 191 Interest expense paid* 0 *These items are from operating activities The accompanying notes are an integral part of these financial statements.

SCHEDULE OF INVESTMENT PORTFOLIO As at (All amounts in thousands of Canadian dollars, unless otherwise noted) MONEY MARKET INVESTMENTS Par (in thousands) Cost Fair Provincial 0.9% Province of Newfoundland and Labrador, Treasury Bills, 1.264% Apr 12, 2018......7,800... 7,793... 7,797 Province of Ontario, Treasury Bills, 1.357% Jun 20, 2018...... 10,000...9,967... 9,970...... 17,760...17,767 Total Money Market Investments 0.9%...... 17,760... 17,767 BONDS & DEBENTURES CANADIAN BONDS Federal Bonds 14.5% First Nations Finance Authority, Series 17-1, Senior, Secured, Notes, 3.050% Jun 1, 2028......2,386... 2,382... 2,365 Government of Canada, Unsecured, 1.500% Mar 1, 2020......6,475...6,436... 6,443 Government of Canada, 3.500% Jun 1, 2020...... 740... 766... 766 Government of Canada, Unsecured, 0.750% Sep 1, 2020......4,830...4,715... 4,703 Government of Canada, Unsecured, 0.750% Sep 1, 2021......2,570...2,464... 2,470 Government of Canada, Unsecured, 0.500% Mar 1, 2022......3,597...3,390... 3,402 Government of Canada, 2.750% Jun 1, 2022......1,657... 1,705... 1,708 Government of Canada, Unsecured, 1.000% Sep 1, 2022......6,295...6,023... 6,039 Government of Canada, Series 1, 1.500% Jun 1, 2023...... 44,586... 43,831...43,566 Government of Canada, 2.500% Jun 1, 2024......7,625... 7,808... 7,859 Government of Canada, 2.250% Jun 1, 2025...... 14,396... 14,653... 14,569 Government of Canada, 1.500% Jun 1, 2026...... 54,291... 52,498... 51,946 Government of Canada, Unsecured, 1.000% Jun 1, 2027......456... 411... 419 Government of Canada, Series WL43, 5.750% Jun 1, 2029...... 551... 761... 747 Government of Canada, 5.750% Jun 1, 2033......2,772... 4,036... 4,045 Government of Canada, 5.000% Jun 1, 2037...... 109... 152... 156 Government of Canada, Unsecured, 2.750% Dec 1, 2048......127,288... 141,393... 141,990...... 293,424... 293,193 Provincial Bonds 21.8% Hydro-Quebec, Stripped, Feb 15, 2050...... 18,870... 6,617... 7,519 Province of Alberta, 2.850% Jan 19, 2024......4,736... 4,810... 4,787 Province of British Columbia, Medium Term Notes, Putable, 5.620% Aug 17, 2028......3,231... 3,987... 4,006 Province of British Columbia, Unsecured, 2.800% Jun 18, 2048...... 25,451... 25,063... 24,750 Province of Ontario, Unsecured, 2.600% Jun 2, 2027...... 88,425... 88,947...87,369 Province of Ontario, Unsecured, 2.900% Dec 2, 2046......681... 636... 663 Province of Ontario, Unsecured, 2.800% Jun 2, 2048......171,318... 166,838... 163,624 Province of Quebec, Unsecured, 2.500% Sep 1, 2026......2,840...2,906... 2,809 Par (in thousands) Cost Fair Province of Quebec, Unsecured, 2.750% Sep 1, 2027...... 63,687... 64,421...63,939 Province of Quebec, Unsecured, 3.500% Dec 1, 2045...... 22,406... 24,291...24,510 Province of Quebec, Unsecured, 3.500% Dec 1, 2048...... 53,400... 57,983...58,977...... 446,499... 442,953 Corporate Bonds & Debentures 44.6% 407 International Inc., Series 17-A2, Medium Term Notes, Senior, Secured, Callable, 3.650% Sep 8, 2044......1,806...1,799... 1,831 AGT Food and Ingredients Inc., Senior, Unsecured, Notes, Callable, 5.875% Dec 21, 2021......4,464... 4,464... 4,408 Algonquin Power Co., Senior, Unsecured, Notes, 4.650% Feb 15, 2022......4,050... 4,332... 4,282 Alimentation Couche-Tard Inc., Series 4, Senior, Unsecured, Notes, 4.214% Aug 21, 2020......6,575... 6,889... 6,813 Alimentation Couche-Tard Inc., Senior, Unsecured, Notes, Callable, 3.056% Jul 26, 2024...... 10,267... 10,260... 10,103 AltaGas Ltd., Series 19, Medium Term Notes, Senior, Unsecured, Callable, 4.990% Oct 4, 2047......5,408...5,408... 5,545 Artis Real Estate Investment Trust, Series B, Senior, Unsecured, Notes, Floating Rate, Feb 7, 2020...... 14,177... 14,177...14,184 Bank of Montreal, Medium Term Notes, Fixed to Floating, Subordinated, Callable, 3.120% Sep 19, 2024...... 20,000... 20,292... 20,146 Bank of Montreal, Fixed to Floating, Notes, Subordinated, Callable, 3.340% Dec 8, 2025......8,369... 8,403... 8,463 Bank of Montreal, Medium Term Notes, Fixed to Floating, Subordinated, Callable, 3.320% Jun 1, 2026...... 30,200... 30,390...30,454 Bank of Montreal, Fixed to Floating, Unsecured, Notes, Subordinated, Callable, 3.803% Dec 15, 2032..... USD 10,497... 13,489...12,806 Bank of Nova Scotia, The, Deposit Notes, Senior, Unsecured, 1.900% Dec 2, 2021......4,500... 4,499... 4,381 Bank of Nova Scotia, The, Deposit Notes, Senior, Unsecured, 2.290% Jun 28, 2024......2,117... 2,112... 2,050 Bank of Nova Scotia, The, Fixed to Floating, Notes, Subordinated, Callable, 3.367% Dec 8, 2025......5,000...5,141... 5,062 Bank of Nova Scotia, The, Fixed to Floating, Notes, Subordinated, Callable, 2.580% Mar 30, 2027...... 16,216... 15,890...15,793 Bank of Nova Scotia, The, Fixed to Floating, Unsecured, Notes, Subordinated, Perpetual, Callable, 4.650% Oct 12, 2049...... USD 4,000... 4,991... 4,870 Bell Canada, Series M-37, Medium Term Notes, Senior, Unsecured, 3.540% Jun 12, 2020......2,352... 2,426... 2,399 Bell Canada, Series M-44, Medium Term Notes, Senior, Unsecured, Callable, 2.700% Feb 27, 2024...... 11,238... 11,212...10,963 BRP Finance ULC, Series 7, Medium Term Notes, Unsecured, 5.140% Oct 13, 2020......1,382... 1,474... 1,463

SCHEDULE OF INVESTMENT PORTFOLIO (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Par (in thousands) Cost Fair BRP Finance ULC, Series 8, Medium Term Notes, Unsecured, 4.790% Feb 7, 2022......3,750... 4,043... 3,993 Cameco Corporation, Series D, Senior, Unsecured, Notes, 5.670% Sep 2, 2019......3,138... 3,240... 3,248 Canadian Imperial Bank of Commerce, Deposit Notes, Senior, Unsecured, 2.040% Mar 21, 2022......7,074...6,930... 6,910 Canadian Imperial Bank of Commerce, Fixed to Floating, Notes, Subordinated, Callable, 3.000% Oct 28, 2024...... 18,606... 18,733... 18,708 Canadian Imperial Bank of Commerce, Fixed to Floating, Notes, Subordinated, Callable, 3.420% Jan 26, 2026...... 27,387... 27,600... 27,695 Canadian Natural Resources Limited, Medium Term Notes, Senior, Unsecured, 2.050% Jun 1, 2020..... 20,517... 20,495... 20,287 Capital Power Corporation, Series 1, Medium Term Notes, Senior, Unsecured, 4.850% Feb 21, 2019...6,585... 6,699... 6,716 Choice Properties L.P., Series 10, Senior, Unsecured, Notes, Callable, 3.600% Sep 20, 2022......4,000...4,168... 4,069 Choice Properties Real Estate Investment Trust, Series I, Senior, Unsecured, Debentures, Callable, 3.010% Mar 21, 2022......7,719... 7,717... 7,685 Choice Properties Real Estate Investment Trust, Series G, Senior, Unsecured, Notes, Callable, 3.196% Mar 7, 2023......1,294... 1,297... 1,292 Choice Properties Real Estate Investment Trust, Series B, Senior, Unsecured, Notes, Callable, 4.903% Jul 5, 2023......7,775... 8,586... 8,345 Choice Properties Real Estate Investment Trust, Series J, Senior, Unsecured, Debentures, Callable, 3.546% Jan 10, 2025......7,009... 7,009... 6,998 Cominar Real Estate Investment Trust, Series 9, Senior, Unsecured, Notes, 4.164% Jun 1, 2022.....4,500... 4,540... 4,482 Crombie Real Estate Investment Trust, Series B, Senior, Unsecured, Notes, 3.962% Jun 1, 2021.....4,250... 4,313... 4,276 CT Real Estate Investment Trust, Series F, Senior, Unsecured, Notes, Callable, 3.865% Dec 7, 2027......4,802...4,802... 4,801 Dollarama Inc., Senior, Unsecured, Notes, 2.337% Jul 22, 2021...... 24,460... 24,550... 24,149 Dollarama Inc., Senior, Unsecured, Notes, Callable, 2.203% Nov 10, 2022......7,174... 7,128... 6,957 Enbridge Inc., Medium Term Notes, Senior, Unsecured, 3.190% Dec 5, 2022......8,925... 9,237... 8,922 Enbridge Inc., Fixed to Floating, Notes, Subordinated, Callable, 5.375% Sep 27, 2077...... 12,300... 12,317... 11,793 Fair Hydro Trust, Senior, Secured, Notes, Callable, 3.357% May 15, 2033...... 15,992... 15,992... 16,390 Fifth Avenue LP, Sinking Funds, Secured, Notes, 1st Mortgage, 4.710% Aug 5, 2021......1,750... 1,805... 1,788 First Nations ETF LP, Series 1a, Sinking Funds, Senior, Secured, Notes, 4.136% Dec 31, 2041.....4,766... 4,766... 4,811 GFL Environmental Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.625% May 1, 2022...... USD 450... 617... 583 GFL Environmental Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.375% Mar 1, 2023...... USD 710... 901... 899 Par (in thousands) Cost Fair Gibson Energy Inc., Senior, Unsecured, Notes, Callable, 5.250% Jul 15, 2024......8,015... 8,018... 8,035 Granite REIT Holdings Limited Partnership, Series 3, Senior, Unsecured, Notes, Callable, 3.873% Nov 30, 2023......8,941... 9,010... 8,979 Great-West Lifeco Inc., Senior, Unsecured, Notes, 5.998% Nov 16, 2039...... 505... 650... 669 HCN Canadian Holdings-1LP, Senior, Unsecured, Notes, 3.350% Nov 25, 2020...... 13,633... 13,750... 13,734 HSBC Bank of Canada, Deposit Notes, Senior, Unsecured, 2.170% Jun 29, 2022......8,820... 8,808... 8,596 HSBC Bank of Canada, Senior, Unsecured, Notes, 2.542% Jan 31, 2023......5,550... 5,550... 5,471 Husky Energy Inc., Senior, Unsecured, Notes, Callable, 3.600% Mar 10, 2027...... 17,725... 17,739... 17,660 IGM Financial, Inc., Senior, Unsecured, Notes, 7.350% Apr 8, 2019......1... 1... 1 Inter Pipeline Ltd., Series 4, Medium Term Notes, Senior, Unsecured, 3.448% Jul 20, 2020...... 10,501... 10,839... 10,671 Loblaw Companies Limited, Series 2023, Senior, Unsecured, Notes, Callable, 4.860% Sep 12, 2023......7,144...7,912... 7,729 Manitoba Telecom Services Inc., Series 10, Medium Term Notes, Senior, Unsecured, Callable, 4.000% May 27, 2024......4,700... 4,896... 4,866 Manufacturers Life Insurance Company, The, Fixed to Floating, Notes, Subordinated, Callable, 2.100% Jun 1, 2025...... 11,004... 10,839... 10,892 Manulife Financial Corporation, Fixed to Floating, Unsecured, Debentures, Subordinated, Callable, 3.049% Aug 20, 2029...... 13,856... 13,848... 13,655 Mattamy Group Corporation, Series 144A, Senior, Unsecured, Notes, Callable, 6.875% Dec 15, 2023...... USD 1,579...2,089... 2,093 Mattamy Group Corporation, Senior, Unsecured, Notes, Callable, 6.500% Oct 1, 2025......7,891... 7,891... 7,960 McCain Finance Canada Limited, Senior, Unsecured, Notes, 4.565% Feb 7, 2033......3,034... 3,173... 3,180 Morguard Corporation, Series B, Senior, Unsecured, Notes, Callable, 4.013% Nov 18, 2020......4,750... 4,774... 4,818 National Bank of Canada, Fixed to Floating, Medium Term Notes, Unsecured, Subordinated, Callable, 3.183% Feb 1, 2028...... 34,157... 34,147... 33,641 North West Redwater Partnership/NWR Financing Co., Ltd., Series J, Senior, Secured, Notes, Callable, 2.800% Jun 1, 2027...... 12,599... 12,528... 12,096 North West Redwater Partnership/NWR Financing Co., Ltd., Series F, Secured, Notes, Callable, 4.250% Jun 1, 2029...... 13,771... 14,495... 14,781 North West Redwater Partnership/NWR Financing Co., Ltd., Series K, Senior, Secured, Notes, Callable, 3.650% Jun 1, 2035...... 14,121... 14,079... 14,053 North West Redwater Partnership/NWR Financing Co., Ltd., Series D, Secured, Notes, Callable, 3.700% Feb 23, 2043......5,000... 4,943... 4,929 North West Redwater Partnership/NWR Financing Co., Ltd., Series B, Secured, Notes, Callable, 4.050% Jul 22, 2044......3,250... 3,119... 3,391 OPB Finance Trust, Series E, Senior, Unsecured, Notes, 2.950% Feb 2, 2026...... 296... 297... 298

SCHEDULE OF INVESTMENT PORTFOLIO (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Par (in thousands) Cost Fair Parkland Fuel Corporation, Senior, Unsecured, Notes, Callable, 6.000% Nov 21, 2022......1,550... 1,594... 1,596 Parkland Fuel Corporation, Senior, Unsecured, Notes, Callable, 5.750% Sep 16, 2024......2,583... 2,583... 2,615 Pembina Pipeline Corporation, Series 1, Medium Term Notes, Unsecured, 4.890% Mar 29, 2021.....4,994... 5,331... 5,275 Pembina Pipeline Corporation, Series 10, Senior, Unsecured, Notes, Callable, 4.020% Mar 27, 2028......8,459...8,458... 8,534 Power Corporation of Canada, Unsecured, Debentures, 8.570% Apr 22, 2039......1,045... 1,617... 1,659 Reliance LP, Senior, Secured, Notes, Callable, 3.836% Mar 15, 2025...... 11,323... 11,322... 11,273 RioCan Real Estate Investment Trust, Series Z, Senior, Unsecured, Notes, 2.194% Apr 9, 2021....7,585... 7,585... 7,442 RioCan Real Estate Investment Trust, Series R, Senior, Unsecured, Notes, 3.716% Dec 13, 2021...4,234... 4,349... 4,345 RioCan Real Estate Investment Trust, Series V, Senior, Unsecured, Notes, 3.746% May 30, 2022......1,500...1,569... 1,539 RioCan Real Estate Investment Trust, Series Y, Senior, Unsecured, Notes, 2.830% Oct 3, 2022....2,103... 2,100... 2,076 RioCan Real Estate Investment Trust, Series AA, Senior, Unsecured, Debentures, Callable, 3.209% Sep 29, 2023......8,312... 8,311... 8,286 Royal Bank of Canada, Deposit Notes, Senior, Unsecured, 1.650% Jul 15, 2021......9,000... 9,016... 8,740 Royal Bank of Canada, Fixed to Floating, Notes, Subordinated, Callable, 2.480% Jun 4, 2025...... 25,210... 25,034... 25,047 Royal Bank of Canada, Fixed to Floating, Notes, Subordinated, Callable, 3.310% Jan 20, 2026......9,357... 9,339... 9,451 Shaw Communications Inc., Senior, Unsecured, Notes, 5.650% Oct 1, 2019......6,950... 7,263... 7,281 Shaw Communications Inc., Senior, Unsecured, Notes, 5.500% Dec 7, 2020...... 13,388... 14,406... 14,340 SmartCentres Real Estate Investment Trust, Series H, Senior, Unsecured, Debentures, 4.050% Jul 27, 2020......4,875... 5,061... 5,015 SmartCentres Real Estate Investment Trust, Series M, Senior, Unsecured, Notes, 3.730% Jul 22, 2022......5,253...5,455... 5,343 SmartCentres Real Estate Investment Trust, Series I, Senior, Unsecured, Notes, 3.985% May 30, 2023......8,669...9,079... 8,895 SmartCentres Real Estate Investment Trust, Series P, Senior, Unsecured, Notes, Callable, 3.444% Aug 28, 2026......4,013... 3,984... 3,858 SmartCentres Real Estate Investment Trust, Series S, Senior, Unsecured, Debentures, Callable, 3.834% Dec 21, 2027...... 16,927... 16,944... 16,584 Sobeys Inc., Series 2013-1, Senior, Unsecured, Notes, 3.520% Aug 8, 2018......5,456... 5,468... 5,483 Sun Life Financial Inc., Series E, Senior, Unsecured, Debentures, 4.570% Aug 23, 2021......1,734... 1,852... 1,840 Sun Life Financial Inc., Series 2015-1, Fixed to Floating, Unsecured, Debentures, Subordinated, Callable, 2.600% Sep 25, 2025...... 18,825... 18,924... 18,794 Sun Life Financial Inc., Series 2016-1, Fixed to Floating, Unsecured, Debentures, Subordinated, Callable, 3.100% Feb 19, 2026......8,463... 8,581... 8,517 Par (in thousands) Cost Fair Suncor Energy, Inc., Series 5, Medium Term Notes, Senior, Unsecured, Notes, Callable, 4.340% Sep 13, 2046......1,176... 1,170... 1,240 TELUS Corporation, Series CN, Senior, Unsecured, Notes, Callable, 5.150% Nov 26, 2043......4,139... 4,497... 4,514 TELUS Corporation, Series CR, Senior, Unsecured, Notes, Callable, 4.750% Jan 17, 2045......9,000... 9,074... 9,265 TELUS Corporation, Series CW, Senior, Unsecured, Notes, Callable, 4.700% Mar 6, 2048......7,000... 6,935... 7,173 Toronto-Dominion Bank, The, Deposit Notes, Senior, Unsecured, 1.994% Mar 23, 2022......8,924... 8,726... 8,719 Toronto-Dominion Bank, The, Deposit Notes, Senior, Unsecured, 1.909% Jul 18, 2023...... 13,868... 13,801... 13,305 Toronto-Dominion Bank, The, Medium Term Notes, Fixed to Floating, Subordinated, Callable, 2.692% Jun 24, 2025...... 23,790... 23,660... 23,725 Toronto-Dominion Bank, The, Medium Term Notes, Fixed to Floating, Subordinated, Callable, 3.224% Jul 25, 2029......8,327... 8,319... 8,212 TransCanada PipeLines Limited, Medium Term Notes, Senior, Unsecured, Callable, 4.330% Sep 16, 2047...... 11,581... 11,576... 12,038 TransCanada Trust, Series 2017-A, Fixed to Floating, Junior, Notes, Subordinated, Callable, 4.650% May 18, 2077......8,626... 8,617... 8,491 Veresen Inc., Series 5, Medium Term Notes, Senior, Unsecured, Callable, 3.430% Nov 10, 2021...... 11,047... 11,224...11,211 Vermilion Energy, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 5.625% Mar 15, 2025..... USD 11,041... 14,805...13,905 West Edmonton Mall Property Inc., Series B1, Secured, Notes, 4.309% Feb 13, 2024......2,527... 2,579... 2,557 Westcoast Energy Inc., Series 12, Medium Term Notes, Senior, Unsecured, 4.791% Oct 28, 2041...2,448... 2,515... 2,695...... 911,251... 904,889 Total Canadian Bonds 80.9%.... 1,651,174.. 1,641,035 FOREIGN BONDS Belgium 0.7% Anheuser-Busch InBev Finance Inc., Senior, Unsecured, Notes, Callable, 2.600% May 15, 2024......5,398...5,387... 5,246 Anheuser-Busch InBev Worldwide Inc., Senior, Unsecured, Notes, Callable, 4.000% Apr 13, 2028...... USD 3,350...4,348... 4,365 Anheuser-Busch InBev Worldwide Inc., Senior, Unsecured, Notes, Callable, 4.600% Apr 15, 2048...... USD 3,605...4,690... 4,791...... 14,425...14,402 China 0.3% Alibaba Group Holding Limited, Senior, Unsecured, Notes, Callable, 3.400% Dec 6, 2027...... USD 5,482... 7,050... 6,680 Germany 0.6% VW Credit Canada, Inc., Senior, Unsecured, Notes, 3.250% Mar 29, 2023...... 12,715... 12,711... 12,763

SCHEDULE OF INVESTMENT PORTFOLIO (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Par (in thousands) Cost Fair Netherlands 0.5% AerCap Ireland Capital Designated Activity Co and AerCap Global Aviation Trust, Senior, Unsecured, Notes, Callable, 3.500% May 26, 2022...... USD 2,584...3,419... 3,275 AerCap Ireland Capital Limited/AerCap Global Aviation Trust, Senior, Unsecured, Notes, Callable, 3.950% Feb 1, 2022...... USD 4,500... 5,920... 5,819......9,339... 9,094 United Kingdom 0.1% Heathrow Funding Limited, Senior, Secured, Notes, 3.000% Jun 17, 2021, Extendible to Jun 17, 2023, Floating Rate......2,401... 2,431... 2,426 HSBC Holdings plc, Senior, Unsecured, Notes, 3.196% Dec 5, 2023...... 356... 361... 358......2,792... 2,784 United States 14.2% Amazon.com, Inc., Series 144A, Senior, Unsecured, Notes, Callable, 2.800% Aug 22, 2024...... USD 2,719... 3,455... 3,386 American Tower Corporation, Senior, Unsecured, Notes, Callable, 3.600% Jan 15, 2028...... USD 4,361... 5,551... 5,333 Apple Inc., Senior, Unsecured, Notes, Callable, 2.850% May 11, 2024...... USD 8,095... 11,130... 10,164 Apple Inc., Senior, Unsecured, Notes, Callable, 2.750% Jan 13, 2025..... USD 11,375... 14,443... 14,070 AT&T Inc., Senior, Unsecured, Notes, 3.825% Nov 25, 2020......6,008... 6,225... 6,188 AT&T Inc., Senior, Unsecured, Notes, 2.850% May 25, 2024......4,258... 4,251... 4,143 AT&T Inc., Senior, Unsecured, Notes, Callable, 3.900% Aug 14, 2027...... USD 7,500... 9,404... 9,728 AT&T Inc., Senior, Unsecured, Notes, Callable, 5.250% Mar 1, 2037...... USD 2,570... 3,329... 3,495 AT&T Inc., Senior, Unsecured, Notes, Callable, 5.150% Feb 14, 2050...... USD 3,500... 4,386... 4,559 AT&T Inc., Senior, Unsecured, Notes, Callable, 5.300% Aug 14, 2058...... USD 2,500... 3,133... 3,248 Bank of America Corporation, Global Medium Term Notes, Fixed to Floating, Senior, Unsecured, Callable, 2.816% Jul 21, 2023...... USD 5,356... 6,754... 6,717 Bank of America Corporation, Fixed to Floating, Senior, Unsecured, Notes, Callable, 3.366% Jan 23, 2026..... USD 17,674... 21,949... 22,165 CCO Holdings LLC/CCO Holdings Capital Corp., Series 144A, Senior, Unsecured, Notes, Callable, 5.500% May 1, 2026...... USD 2,160... 2,839... 2,720 Citigroup Inc., Unsecured, Notes, Subordinated, 4.600% Mar 9, 2026...... USD 3,603... 5,129... 4,740 CVS Health Corporation, Senior, Unsecured, Notes, Callable, 3.700% Mar 9, 2023...... USD 5,036... 6,431... 6,522 CVS Health Corporation, Senior, Unsecured, Notes, Callable, 4.100% Mar 25, 2025...... USD 5,036... 6,425... 6,533 CVS Health Corporation, Senior, Unsecured, Notes, Callable, 4.300% Mar 25, 2028...... USD 5,036... 6,397... 6,528 CVS Health Corporation, Senior, Unsecured, Notes, Callable, 5.050% Mar 25, 2048...... USD 2,585... 3,311... 3,492 Ford Credit Canada Company, Senior, Unsecured, Notes, 2.450% May 7, 2020...... 19,657... 19,646... 19,507 Par (in thousands) Cost Fair Ford Credit Canada Company, Senior, Unsecured, Notes, 2.923% Sep 16, 2020......6,272... 6,371... 6,288 Ford Credit Canada Company, Senior, Unsecured, Notes, 2.766% Jun 22, 2022...... 118... 116... 115 General Motors Financial of Canada, Ltd., Senior, Unsecured, Notes, 3.000% Feb 26, 2021...... 11,933... 11,930... 11,962 Goldman Sachs Group, Inc., The, Fixed to Floating. Senior, Unsecured, Notes, Callable, 2.433% Apr 26, 2023...... 10,580... 10,564... 10,309 Goldman Sachs Group, Inc., The, Fixed to Floating, Senior, Unsecured, Notes, Callable, 3.307% Oct 31, 2025...... 16,445... 16,445... 16,260 Goodyear Tire & Rubber Company, The, Senior, Unsecured, Notes, Callable, 5.125% Nov 15, 2023...... USD 2,310...3,056... 3,013 Goodyear Tire & Rubber Company, The, Senior, Unsecured, Notes, Callable, 5.000% May 31, 2026...... USD 1,517...2,074... 1,901 Iron Mountain Canada Operations ULC, Senior, Unsecured, Notes, Callable, 5.375% Sep 15, 2023......4,000...4,000... 4,061 Kraft Canada Inc., Senior, Unsecured, Notes, Callable, 2.700% Jul 6, 2020......5,000... 5,036... 5,000 McDonald's Corporation, Senior, Unsecured, Notes, Callable, 3.125% Mar 4, 2025......6,881... 6,866... 6,922 Molson Coors International LP, Series #2, Senior, Unsecured, Notes, Callable, 2.750% Sep 18, 2020......7,947...8,070... 7,957 Mondelez International, Inc., Senior, Unsecured, Notes, Callable, 3.250% Mar 7, 2025...... 14,849... 14,782... 14,933 Morgan Stanley, Senior, Unsecured, Notes, 3.000% Feb 7, 2024......5,467... 5,473... 5,410 Mosaic Company, The, Senior, Unsecured, Notes, Callable, 3.250% Nov 15, 2022...... USD 3,525... 4,484... 4,441 Seagate HDD Cayman, Series 144A, Senior, Unsecured, Notes, Callable, 4.875% Mar 1, 2024...... USD 1,542...1,995... 1,962 Time Warner Inc., Senior, Unsecured, Notes, Callable, 3.800% Feb 15, 2027...... USD 4,600... 6,160... 5,729 T-Mobile USA, Inc., Senior, Unsecured, Notes, Callable, 4.500% Feb 1, 2026...... USD 1,400... 1,749... 1,732 Wells Fargo & Company, Medium Term Notes, Subordinated, 3.874% May 21, 2025......5,259... 5,409... 5,300 Wells Fargo & Company, Senior, Unsecured, Notes, 2.975% May 19, 2026...... 31,857... 31,241... 30,708...... 290,009... 287,241 Total Foreign Bonds 16.4%......336,326... 332,964 Total Bonds & Debentures 97.3%.... 1,987,500.. 1,973,999

SCHEDULE OF INVESTMENT PORTFOLIO (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) Number of Shares or Units Cost + Fair PREFERRED SHARES Fixed/Floaters Preferreds 0.4% Bank of Montreal, Series 38, 4.850%, Non- Cumulative, Fixed/Floating Rate Preferred, Redeemable, Feb 25, 2022, $25.00...... 98,605... 2,465... 2,593 Toronto-Dominion Bank, The, Series 14, 4.850%, Non-Cumulative, Fixed/Floating Rate Preferred, Redeemable, Oct 31, 2021, $25.00...... 160,000... 4,000... 4,192 Westcoast Energy Inc., Series 12, 5.200%, Cumulative, Fixed/Floating Rate Preferred, Redeemable, Oct 15, 2021, $25.00...... 20,000... 500... 517......6,965... 7,302 Total Preferred Shares 0.4%...... 6,965...7,302 Total Investment Portfolio 98.6%.... 2,012,225.. 1,999,068 Total Unrealized Gain on Forward Currency Contracts 0.0%...... 167 Total Unrealized Loss on Forward Currency Contracts (0.2)%...... (3,126) Credit Default Swap Contracts (0.7)%......(13,833) Other Assets Less Liabilities 2.3%...... 45,302 NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS- 100.0%..... 2,027,578 + 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.

SCHEDULE OF INVESTMENT PORTFOLIO (cont d) As at (All amounts in thousands of Canadian dollars, unless otherwise noted) UNREALIZED GAIN ON FORWARD CURRENCY CONTRACTS Settlement Date Currency Buy Position (000s) Currency Sell Position (000s) Contract Rate Counterparty Credit Rating* Unrealized Gain 2-May-18......CAD... 45,721...USD... (35,491)... 1.2883... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... 19 2-May-18......CAD... 51,211...USD... (39,750)... 1.2883... Royal Bank of Canada... A-1+...... 24 2-May-18......CAD... 58,005...USD... (45,000)... 1.2890... Bank of Nova Scotia... A-1...... 58 2-May-18......CAD... 58,013...USD... (45,000)... 1.2892... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... 66 Total Unrealized Gain on Forward Currency Contracts... 167 UNREALIZED LOSS ON FORWARD CURRENCY CONTRACTS Settlement Date Currency Buy Position (000s) Currency Sell Position (000s) Contract Rate Counterparty Credit Rating* Unrealized Loss 3-Apr-18......CAD... 57,299...USD... (45,000)... 1.2733... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... (676) 3-Apr-18......CAD... 57,294...USD... (45,000)... 1.2732... Bank of Nova Scotia... A-1...... (682) 3-Apr-18......CAD... 57,290...USD... (45,000)... 1.2731... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... (686) 3-Apr-18......CAD... 60,776...USD... (47,750)... 1.2728... Royal Bank of Canada... A-1+...... (742) 3-Apr-18......USD... 12,000...CAD... (15,464)... 0.7760... Bank of New York Mellon Trust Co. N.A. (The)... A-1+......(4) 3-Apr-18......USD... 33,000...CAD... (42,536)... 0.7758... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... (21) 3-Apr-18......USD... 39,750...CAD... (51,241)... 0.7757... Royal Bank of Canada... A-1+...... (29) 3-Apr-18......USD... 45,000...CAD... (58,037)... 0.7754... Bank of Nova Scotia... A-1...... (61) 3-Apr-18......USD... 45,000...CAD... (58,046)... 0.7753... Bank of New York Mellon Trust Co. N.A. (The)... A-1+...... (70) 3-Apr-18......USD...8,000...CAD... (10,462)... 0.7647... Royal Bank of Canada... A-1+...... (155) Total Unrealized Loss on Forward Currency Contracts... (3,126) CREDIT DEFAULT SWAPS CONTRACTS Receive/ Buy/Sell Referenced (Pay) Expiry Credit Notional Fair Protection Entity Fixed Rate Date Counterparty Rating* Amount (Liability) Buy... Markit CDX North America Investment Grade Index, Series 27...... 1.000%... 20-Dec-21.. Credit Suisse Securities (USA) LLC... A-1... 102,000... (2,562) Buy... Markit CDX North America Investment Grade Index, Series 29...... 1.000%... 20-Dec-22.. Credit Suisse Securities (USA) LLC... A-1... 298,991... (7,164) Buy... Markit CDX North America High Yield Index, Series 29...... 5.000%... 20-Dec-22.. Credit Suisse Securities (USA) LLC... A-1... 49,000... (4,107) Total Credit Default Swap Contracts at Fair......(13,833) FUTURES CONTRACTS Country Contract Expiry Date Number of Contracts Canada... Canada 10 Year Bond Futures...... Jun-2018... (660)...131.6798...(86,909)...(87,958) United States... US 10 Year Ultra Treasury Note Futures...... Jun-2018... (470)...128.1432...(76,750)...(78,633) United States... US Ultra Long Term Treasury Bond (CBT) Futures...... Jun-2018...(47)... 155.1719... (9,246)... (9,717) United States... US 5 Year Treasury Note Futures...... Jun-2018... (509)...114.1485...(73,655)...(75,060) Total Futures Contracts...(246,560)...(251,368) Contract Rate Notional Cost Notional Market * Credit Rating provided by Standard & Poor s.

NOTES TO THE FINANCIAL STATEMENTS 1. The Mutual Fund BMO Core Bond Fund (the Fund ) is an open-ended mutual fund established under the laws of the province of Ontario by Declaration of Trust. The Master Declaration of Trust was amended on October 23, 2008 and November 3, 2009 to permit certain funds to offer a multi-series structure. In addition to the existing Series A Units, certain Funds are permitted to offer Series A Hedged Units, Advisor Series Units, Advisor Series Hedged Units, Series T4 Units, Series T5 Units, Series T6 Units, Series M Units, Series F Units, Series F Hedged Units, Series F2 Units, Series F4 Units, Series F6 Units, Series D Units, Series G Units, Series I Units, Series N Units, Series NBA Units, Series NBF Units, Series O Units, Series L Units, Series R Units, Series S Units and/or Classic Series Units. Each series is intended for different kinds of investors and has different management fees and fixed administration fees. Refer to Note 8 for the series issued for this Fund as well as the management and administration fee rates for each series. BMO Investments Inc. ( the Manager ) is the Manager and Trustee of the Fund. The Manager is a wholly owned subsidiary of Bank of Montreal. The address of the Fund s registered office is 100 King Street West, Toronto, Ontario, M5X 1A1. The Statement of Financial Position and related notes of each of the Funds are as at and September 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 and March 31, 2017. Financial information for a Fund established during the period(s) is presented from the date of inception as noted in Note 8. Financial information provided for a series established during the period(s) is presented from the inception date as noted in Note 8. These financial statements were authorized for issuance by the Board of Directors of the Manager on May 9, 2018. These financial statements should be read in conjunction with the annual financial statements for the period ended September 30, 2017 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 Fund records financial instruments at fair value. Investment transactions are accounted for on the trade date. The Fund s investments are either designated at fair value through profit or loss ( FVTPL ) at inception or classified as held for trading. The changes in the investment fair values and related transaction costs are recorded in the Fund s Statement of Comprehensive Income. Financial assets and 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 Fund manages together and that have a recent actual pattern of short-term profit taking. The Fund classifies all derivatives and short positions as held for trading. The Fund does not designate any derivatives as hedges in a hedging relationship. The Fund designates all other investments at FVTPL at inception, 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 Fund s investment strategy. The Fund s outstanding redeemable units, which are puttable instruments, are entitled to a contractual obligation of annual distribution of any net income and net realized capital gains by the Fund. This annual distribution can be in cash at the option of the unitholders, and therefore the ongoing redemption feature is not the redeemable units only contractual obligation. The Fund may issue multiple series of redeemable units, which are equally subordinated but are not identical. As a result, the Fund s obligations for net assets attributable 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 Fund meets the definition of investment entity and as a result, the Fund 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 bid prices provided by independent security pricing services. Short-term investments, if any, are held at amortized cost which approximates fair value. Unlisted warrants, if any, are valued based on a pricing model which considers factors such as the market value of the underlying security, strike price and terms of the warrant. Mutual fund units held as investments are valued at their respective Net Asset ( NAV ) on each Valuation Date (the Valuation Date is each day on which the Toronto Stock Exchange is open for trading), as these values are the most readily and regularly available. 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 Fund may use these instruments for trading purposes, as well as to manage the Fund 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 Fund and the counterparty) to purchase or sell a currency against another currency at a set price on a future date. The Fund 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 Fund may also enter into these contracts for non-hedging purposes, which can include increasing the exposure to a foreign currency, or shifting of the exposure to foreign currency fluctuations from one country to another. The value of forward currency contracts entered into by the Fund is recorded as the difference between the value of the contract on the

Valuation Date and the value on the date the contract originated. For the Series A Hedged Units, Advisor Series Hedged Units and Series F Hedged Units, the Fund enters into forward currency contracts to hedge against exchange rate risk based on fluctuations in the exchange rate between the Canadian dollar and the U.S. dollar. Option contracts The Fund 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 Fund, 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 are 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 Position. 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 Fund will realize a loss equal to the premium paid. When a purchased option is closed, the gain or loss the Fund 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 Position. When a written option expires, the Fund will realize a gain equal to the premium received. When a written option is closed, the Fund 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 will be subtracted from the cost of the underlying investment the Fund had to purchase. The gain or loss that the Fund realizes when a purchased or written option is expired or closed is recorded as Net realized gain (loss) in the Statement of Comprehensive Income. Futures contracts Futures contracts are financial agreements to purchase or sell a financial instrument at a contracted price on a specified future date. Futures contracts are valued at the gain or loss that would arise as a result of closing the position at the Valuation date. Any difference between the notional value on each Valuation Date is recorded as Net realized gain (loss) in the Statement of Comprehensive Income. Treasury bills or cash are held as margin against futures contracts. 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 Fund, 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 thirdparty. In return, the Fund 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 Fund 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 Fund, 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 Fund would be required to pay to the counterparty a periodic stream of payments over the 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