UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

Marshall Funds, Inc., d/b/a BMO Funds

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue

               Milwaukee, WI 53202               

(Address of principal executive offices) (Zip code)

John M. Blaser

M&I Investment Management Corp.

111 East Kilbourn Avenue

               Milwaukee, WI 53202               

(Name and address of agent for service)

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

Date of fiscal year end: August 31

Date of reporting period: February 29, 2012

Item 1. Reports to Stockholders.

BMO Funds

Semi-Annual Report

February 29, 2012

Equity Funds

BMO Large-Cap Value Fund

BMO Dividend Income Fund

BMO Large-Cap Growth Fund

BMO Large-Cap Focus Fund

BMO Mid-Cap Value Fund

BMO Mid-Cap Growth Fund

BMO Small-Cap Value Fund

BMO Small-Cap Growth Fund

BMO Pyrford International Stock Fund

BMO Lloyd George Emerging Markets Equity Fund

Balanced Funds

BMO Pyrford Global Strategic Return Fund

Income Funds

BMO Ultra Short Tax-Free Fund

BMO Short-Term Income Fund

BMO Short-Intermediate Bond Fund

BMO Intermediate Tax-Free Fund

BMO Government Income Fund

BMO TCH Corporate Income Fund

BMO Aggregate Bond Fund

BMO TCH Core Plus Bond Fund

BMO Monegy High Yield Bond Fund

Money Market Funds

BMO Government Money Market Fund

BMO Tax-Free Money Market Fund

BMO Prime Money Market Fund

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
BMO Large-Cap Value Fund	4	BMO Ultra Short Tax-Free Fund	23
BMO Dividend Income Fund	5	BMO Short-Term Income Fund	40
BMO Large-Cap Growth Fund.	7	BMO Short-Intermediate Bond Fund	44
BMO Large-Cap Focus Fund	9	BMO Intermediate Tax-Free Fund	46
BMO Mid-Cap Value Fund	10	BMO Government Income Fund	64
BMO Mid-Cap Growth Fund	12	BMO TCH Corporate Income Fund	66
BMO Small-Cap Value Fund	14	BMO Aggregate Bond Fund	70
BMO Small-Cap Growth Fund	16	BMO TCH Core Plus Bond Fund	73
BMO Pyrford International Stock Fund	18	BMO Monegy High Yield Bond Fund	77
BMO Lloyd George Emerging Markets Equity Fund	20	BMO Government Money Market Fund	81
		BMO Tax-Free Money Market Fund	82
BMO Pyrford Global Strategic Return Fund	21	BMO Prime Money Market Fund	86
Notes to Schedules of Investments			90
Statements of Assets and Liabilities			92
Statements of Operations			97
Statements of Changes in Net Assets			102
Financial Highlights			109
Notes to Financial Statements			115
Shareholder Report Disclosure of Directors’ Approval of Advisory and Sub-Advisory Contracts			138

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 29, 2012

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 29, 2012 (9/1/11-2/29/12).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor Class									Institutional Class
Fund	Beginning account value 9/1/11		Ending account value 2/29/12		Annualized Expense Ratio(1)			Expenses paid during period 9/1/11- 2/29/12(1)		Beginning account value 9/1/11		Ending account value 2/29/12		Annualized Expense Ratio(1)			Expenses paid during period 9/1/11- 2/29/12(1)
Large-Cap Value Fund
Actual	$	1,000.00	$	1,121.40		1.24	%	$	6.54	$	1,000.00	$	1,121.40		0.99	%	$	5.22
Hypothetical (5% return before expenses)		1,000.00		1,018.83		1.24			6.22		1,000.00		1,020.08		0.99			4.97
Dividend Income Fund
Actual		1,000.00		1,048.00		0.90	(2)		1.55		1,000.00		1,049.00		0.65	(2)		1.12
Hypothetical (5% return before expenses)		1,000.00		1,023.48		0.90	(2)		1.53		1,000.00		1,023.91		0.65	(2)		1.11
Large-Cap Growth Fund
Actual		1,000.00		1,138.70		1.24			6.60		1,000.00		1,139.80		0.99			5.27
Hypothetical (5% return before expenses)		1,000.00		1,018.83		1.24			6.23		1,000.00		1,020.07		0.99			4.97
Large-Cap Focus Fund
Actual		1,000.00		1,137.20		0.90			4.79		1,000.00		1,138.50		0.65			3.46
Hypothetical (5% return before expenses)		1,000.00		1,020.52		0.90			4.52		1,000.00		1,021.77		0.65			3.27
Mid-Cap Value Fund
Actual		1,000.00		1,111.30		1.23			6.45		1,000.00		1,112.90		0.98			5.14
Hypothetical (5% return before expenses)		1,000.00		1,018.89		1.23			6.17		1,000.00		1,020.13		0.98			4.92
Mid-Cap Growth Fund
Actual		1,000.00		1,152.40		1.23			6.60		1,000.00		1,153.40		0.98			5.27
Hypothetical (5% return before expenses)		1,000.00		1,018.87		1.23			6.19		1,000.00		1,020.11		0.98			4.94
Small-Cap Value Fund
Actual		1,000.00		1,094.10		1.24			6.45		1,000.00		1,095.00		0.99			5.15
Hypothetical (5% return before expenses)		1,000.00		1,018.84		1.24			6.22		1,000.00		1,020.08		0.99			4.97
Small-Cap Growth Fund
Actual		1,000.00		1,176.70		1.43			7.76		1,000.00		1,177.40		1.18			6.41
Hypothetical (5% return before expenses)		1,000.00		1,017.87		1.43			7.19		1,000.00		1,019.12		1.18			5.94
Pyrford International Stock Fund
Actual		1,000.00		1,053.00		1.24	(2)		2.15		1,000.00		1,053.00		0.99	(2)		1.71
Hypothetical (5% return before expenses)		1,000.00		1,022.91		1.24	(2)		2.12		1,000.00		1,023.33		0.99	(2)		1.69
Lloyd George Emerging Markets Equity Fund
Actual		1,000.00		976.00		1.46			7.17		1,000.00		977.10		1.21			5.96
Hypothetical (5% return before expenses)		1,000.00		1,017.74		1.46			7.33		1,000.00		1,018.97		1.21			6.09
Pyrford Global Strategic Return Fund
Actual		1,000.00		1,021.00		1.24	(2)		2.12		1,000.00		1,021.00		0.99	(2)		1.69
Hypothetical (5% return before expenses)		1,000.00		1,022.90		1.24	(2)		2.12		1,000.00		1,023.33		0.99	(2)		1.69

2

Expense Example (Unaudited) (continued)

	Investor Class									Institutional Class
Fund	Beginning account value 9/1/11		Ending account value 2/29/12		Annualized Expense Ratio(1)			Expenses paid during period 9/1/11- 2/29/12(1)		Beginning account value 9/1/11		Ending account value 2/29/12		Annualized Expense Ratio(1)			Expenses paid during period 9/1/11- 2/29/12(1)
Ultra Short Tax-Free Fund
Actual	$	1,000.00	$	1,007.30		0.55	%	$	2.74	$	1,000.00	$	1,008.60		0.30	%	$	1.50
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.51		0.30			1.51
Short-Term Income Fund
Actual		1,000.00		1,020.70		0.60			3.01		1,000.00		1,021.90		0.35			1.76
Hypothetical (5% return before expenses)		1,000.00		1,022.02		0.60			3.01		1,000.00		1,023.26		0.35			1.76
Short-Intermediate Bond Fund
Actual		1,000.00		1,031.10		0.80			4.04		1,000.00		1,032.40		0.55			2.78
Hypothetical (5% return before expenses)		1,000.00		1,021.02		0.80			4.02		1,000.00		1,022.27		0.55			2.76
Intermediate Tax-Free Fund
Actual		1,000.00		1,053.20		0.53			2.73		1,000.00		1,053.40		0.48			2.47
Hypothetical (5% return before expenses)		1,000.00		1,022.34		0.53			2.69		1,000.00		1,022.59		0.48			2.44
Government Income Fund
Actual		1,000.00		1,016.20		0.80			4.01		1,000.00		1,017.40		0.55			2.76
Hypothetical (5% return before expenses)		1,000.00		1,021.02		0.80			4.02		1,000.00		1,022.26		0.55			2.77
TCH Corporate Income Fund
Actual		1,000.00		1,060.80		0.80			4.08		1,000.00		1,062.20		0.55			2.81
Hypothetical (5% return before expenses)		1,000.00		1,021.04		0.80			4.00		1,000.00		1,022.27		0.55			2.76
Aggregate Bond Fund
Actual		1,000.00		1,032.80		0.80			4.04		1,000.00		1,035.00		0.55			2.78
Hypothetical (5% return before expenses)		1,000.00		1,021.03		0.80			4.02		1,000.00		1,022.27		0.55			2.76
TCH Core Plus Bond Fund
Actual		1,000.00		1,044.70		0.78			3.95		1,000.00		1,046.00		0.53			2.68
Hypothetical (5% return before expenses)		1,000.00		1,021.14		0.78			3.90		1,000.00		1,022.38		0.53			2.65
Monegy High Yield Bond Fund
Actual		1,000.00		1,033.40		0.90	(2)		1.54		1,000.00		1,033.80		0.65	(2)		1.11
Hypothetical (5% return before expenses)		1,000.00		1,023.48		0.90	(2)		1.53		1,000.00		1,023.91		0.65	(2)		1.11
Government Money Market Fund
Actual		1,000.00		1,000.00		0.13			0.67		1,000.00		1,000.00		0.13			0.67
Hypothetical (5% return before expenses)		1,000.00		1,024.33		0.13			0.68		1,000.00		1,024.33		0.13			0.68
Tax-Free Money Market Fund
Actual		1,000.00		1,000.20		0.44			2.17		1,000.00		1,001.40		0.20			1.00
Hypothetical (5% return before expenses)		1,000.00		1,022.83		0.44			2.20		1,000.00		1,024.01		0.20			1.01
Prime Money Market Fund
Actual		1,000.00		1,000.10		0.36			1.80		1,000.00		1,000.90		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,023.20		0.36			1.82		1,000.00		1,024.01		0.20			1.01

(1) Expenses are equal to the Funds’ annualized expense ratios for the period March 1, 2011 through February 29, 2012, multiplied by the average account value over the period, multiplied by 182/366 (to reflect the one-half year period).

(2) The Dividend Income Fund, Pyrford International Stock Fund, Pyrford Global Strategic Return Fund and Monegy High Yield Bond Fund commenced operations on December 30, 2011. The Fund’s Investor and Institutional class expense ratios are multiplied by 62/366 (to reflect the partial period).

3

February 29, 2012 (Unaudited)

Schedule of Investments

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 99.1%
Consumer Discretionary — 10.7%
Automotive Retail — 0.8%
Advance Auto Parts, Inc.		13,300		$    1,135,421
Broadcasting — 1.6%
CBS Corp., Class B		78,760		2,354,924
Cable & Satellite — 3.3%
DIRECTV Group, Inc., Class A (1)(2)		49,800		2,306,736
DISH Network Corp., Class A		41,740		1,217,556
Time Warner Cable, Inc.		16,085		1,276,184
				4,800,476
Computer & Electronics Retail — 0.8%
GameStop Corp., Class A (1)		54,000		1,230,120
Department Stores — 3.3%
Dillard’s, Inc., Class A (1)		16,400		1,002,696
Kohl’s Corp.		17,700		879,336
Macy’s, Inc.		78,335		2,974,380
				4,856,412
Homefurnishing Retail — 0.5%
Bed Bath & Beyond, Inc. (2)		13,500		806,490
Movies & Entertainment — 0.4%
Viacom, Inc., Class B		11,700		557,154
Total Consumer Discretionary				15,740,997
Consumer Staples — 7.9%
Drug Retail — 1.3%
Walgreen Co.		57,000		1,890,120
Food Retail — 1.8%
Kroger Co.		107,100		2,547,909
Household Products — 0.4%
Procter & Gamble Co.		9,000		607,680
Hypermarkets & Super Centers — 1.2%
Wal-Mart Stores, Inc.		30,175		1,782,739
Packaged Foods & Meats — 1.8%
Tyson Foods, Inc., Class A		141,100		2,668,201
Soft Drinks — 1.4%
Dr. Pepper Snapple Group, Inc.		52,600		2,001,430
Total Consumer Staples				11,498,079
Energy — 14.0%
Integrated Oil & Gas — 10.2%
Chevron Corp. (1)		60,990		6,655,229
ConocoPhillips (1)		62,515		4,785,523
Exxon Mobil Corp.		41,200		3,563,800
				15,004,552
Oil & Gas-Refining & Marketing — 3.8%
CVR Energy, Inc. (2)		24,100		655,761
Tesoro Corp. (2)		92,600		2,456,678
Valero Energy Corp.		97,900		2,397,571
				5,510,010
Total Energy				20,514,562
Financials — 21.1%
Asset Management & Custody Banks — 1.9%
Ameriprise Financial, Inc.		51,025		2,845,154
Consumer Finance — 1.9%
Discover Financial Services (1)		94,135		2,824,991
Common Stocks (continued)
Financials (continued)
Diversified Banks — 4.2%
U.S. Bancorp		63,020		$    1,852,788
Wells Fargo & Co.		135,335		4,234,632
				6,087,420
Life & Health Insurance — 1.3%
Unum Group		79,500		1,832,475
Multi-line Insurance — 3.8%
American Financial Group, Inc.		72,700		2,722,615
Assurant, Inc.		67,100		2,849,737
				5,572,352
Other Diversified Financial Services — 2.0%
JPMorgan Chase & Co.		73,090		2,868,051
Property & Casualty Insurance — 1.8%
ACE, Ltd.		14,015		1,005,016
Travelers Cos., Inc.		27,700		1,605,769
				2,610,785
Regional Banks — 1.7%
PNC Financial Services Group, Inc. (1)		41,155		2,449,546
Reinsurance — 1.8%
Reinsurance Group of America, Inc.		46,800		2,698,956
Specialized Finance — 0.3%
Moody’s Corp.		13,200		509,652
Specialized REIT’s — 0.4%
Senior Housing Properties Trust, REIT		27,900		597,060
Total Financials				30,896,442
Healthcare — 17.0%
Biotechnology — 2.9%
Amgen, Inc. (1)		43,200		2,935,440
Gilead Sciences, Inc. (2)		27,900		1,269,450
				4,204,890
Managed Healthcare — 5.1%
Aetna, Inc.		26,300		1,229,788
Humana, Inc.		28,180		2,454,478
UnitedHealth Group, Inc.		68,390		3,812,743
				7,497,009
Pharmaceuticals — 9.0%
AstraZeneca PLC, ADR (1)		26,100		1,171,629
Eli Lilly & Co.		72,695		2,852,552
Forest Laboratories, Inc. (2)		78,645		2,557,535
Johnson & Johnson		7,625		496,235
Pfizer, Inc.		289,900		6,116,890
				13,194,841
Total Healthcare				24,896,740
Industrials — 4.3%
Aerospace & Defense — 0.7%
Raytheon Co. (1)		20,100		1,015,452
Construction & Farm Machinery & Heavy Trucks — 2.0%
AGCO Corp. (1)(2)		46,800		2,416,284
Cummins, Inc.		4,200		506,394
				2,922,678
Industrial Conglomerates — 1.6%
General Electric Co.		120,830		2,301,812
Total Industrials				6,239,942

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

4

BMO Funds

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology — 9.5%
Communications Equipment — 1.9%
Cisco Systems, Inc.		141,400		$    2,811,032
Computer Hardware — 2.3%
Apple, Inc. (2)		2,600		1,410,344
Dell, Inc. (2)		110,600		1,913,380
				3,323,724
Computer Storage & Peripherals — 1.1%
Western Digital Corp. (2)		41,000		1,609,250
Electronic Components — 0.3%
Vishay Intertechnology, Inc. (1)(2)		41,000		502,660
Semiconductor Equipment — 2.0%
ASML Holding NV		10,900		496,495
Novellus Systems, Inc. (2)		41,100		1,910,328
Teradyne, Inc. (2)		28,200		463,044
				2,869,867
Semiconductors — 1.4%
Intel Corp. (1)		74,470		2,001,754
Systems Software — 0.5%
Microsoft Corp.		23,300		739,542
Total Information Technology				13,857,829
Materials — 5.9%
Diversified Metals & Mining — 1.5%
Freeport-McMoRan Copper & Gold, Inc.		52,800		2,247,168
Fertilizers & Agricultural Chemicals — 2.3%
CF Industries Holdings, Inc.		17,600		3,273,600
Paper Products — 1.1%
Domtar Corp.		17,090		1,638,418
Specialty Chemicals — 1.0%
LyondellBasell Industries, Class A, NV		32,800		1,416,304
Total Materials				8,575,490
Telecommunication Services — 2.7%
Integrated Telecommunication Services — 2.7%
AT&T, Inc. (1)		32,955		1,008,093
Verizon Communications, Inc.		79,100		3,014,501
Total Telecommunication Services				4,022,594
Utilities — 6.0%
Electric Utilities — 3.2%
American Electric Power Co., Inc.		61,945		2,329,751
Portland General Electric Co.		92,700		2,284,128
				4,613,879
Independent Power Producers & Energy Traders — 1.8%
AES Corp. (2)		193,400		2,622,504
Multi-Utilities — 1.0%
Ameren Corp.		25,100		804,957
CMS Energy Corp.		32,400		693,684
				1,498,641
Total Utilities				8,735,024
Total Common Stocks (identified cost $128,790,760)				144,977,699
Short-Term Investments — 10.7%
Collateral Pool Investment for Securities on Loan — 9.6%
(See Note 2 of the Financial Statements)				$  14,145,685
Mutual Funds — 1.1%
BMO Prime Money Market Fund, Class I, 0.210% (11)		1,566,434		1,566,434
Total Short-Term Investments (identified cost $15,712,119)				15,712,119
Total Investments — 109.8% (identified cost $144,502,879)				160,689,818
Other Assets and Liabilities — (9.8)%				(14,299,823	)
Total Net Assets — 100.0%				$146,389,995

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	10.7%
Consumer Staples	7.9
Energy	14.0
Financials	21.1
Healthcare	17.0
Industrials	4.3
Information Technology	9.5
Materials	5.9
Mutual Funds	1.1
Telecommunication Services	2.7
Utilities	6.0
Other Assets & Liabilities, Net	(0.2)
Total	100.0%

Dividend Income Fund

Description	Shares		Value
Common Stocks — 95.3%
Consumer Discretionary — 10.1%
Apparel Retail — 0.7%
Limited Brands, Inc.		8,285		$     385,501
Apparel, Accessories & Luxury Goods — 0.5%
VF Corp.		1,980		289,179
Cable & Satellite — 3.1%
Comcast Corp., Class A		26,295		772,547
Time Warner Cable, Inc.		12,060		956,841
				1,729,388
Department Stores — 0.8%
Macy’s, Inc.		11,735		445,578
Distributors — 0.9%
Genuine Parts Co.		7,930		497,052
Home Furnishings — 0.8%
Leggett & Platt, Inc.		20,545		464,933
Home Improvement Retail — 1.0%
Home Depot, Inc.		11,285		536,828
Leisure Products — 1.3%
Mattel, Inc.		22,625		733,955
Specialty Stores — 1.0%
Staples, Inc.		38,485		564,190
Total Consumer Discretionary				5,646,604

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

5

February 29, 2012 (Unaudited)

Schedule of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples — 13.1%
Agricultural Products — 0.7%
Archer-Daniels-Midland Co.		12,915		$     402,948
Household Products — 1.9%
Kimberly-Clark Corp.		9,010		656,649
Procter & Gamble Co.		5,835		393,979
				1,050,628
Hypermarkets & Super Centers — 0.6%
Wal-Mart Stores, Inc.		5,630		332,620
Packaged Foods & Meats — 3.0%
ConAgra Foods, Inc.		25,670		673,838
H.J. Heinz Co.		11,565		609,591
Kraft Foods, Inc., Class A		10,840		412,679
				1,696,108
Soft Drinks — 0.9%
Coca-Cola Co.		3,970		277,344
PepsiCo, Inc.		3,850		242,319
				519,663
Tobacco — 6.0%
Altria Group, Inc.		38,485		1,158,399
Lorillard, Inc.		6,100		799,588
Philip Morris International, Inc.		16,785		1,401,883
				3,359,870
Total Consumer Staples				7,361,837
Energy — 13.2%
Integrated Oil & Gas — 6.6%
Chevron Corp.		13,110		1,430,563
ConocoPhillips		21,225		1,624,774
Occidental Petroleum Corp.		6,075		634,048
				3,689,385
Oil & Gas-Exploration & Production — 1.8%
Marathon Oil Corp.		29,125		987,046
Oil & Gas-Refining & Marketing — 0.8%
Marathon Petroleum Corp.		10,560		438,768
Oil & Gas-Storage & Transportation — 4.0%
Spectra Energy Corp.		39,015		1,224,291
Williams Cos., Inc.		34,890		1,042,513
				2,266,804
Total Energy				7,382,003
Financials — 12.0%
Asset Management & Custody Banks — 0.9%
BlackRock, Inc.		2,425		482,575
Consumer Finance — 1.7%
Discover Financial Services		11,825		354,868
SLM Corp.		38,950		613,852
				968,720
Diversified Banks — 1.3%
U.S. Bancorp		25,395		746,613
Insurance Brokers — 1.1%
Marsh & McLennan Cos., Inc.		20,565		641,628
Life & Health Insurance — 0.9%
Prudential Financial, Inc.		8,615		526,893
Other Diversified Financial Services — 1.2%
JPMorgan Chase & Co.		16,370		642,359
Common Stocks (continued)
Financials (continued)
Property & Casualty Insurance — 1.6%
ACE, Ltd.		7,255		$     520,256
Chubb Corp.		5,910		401,644
				921,900
Retail REIT’s — 1.1%
Simon Property Group, Inc., REIT		4,465		604,918
Specialized Finance — 0.9%
NYSE Euronext		16,150		480,786
Specialized REIT’s — 1.3%
Public Storage		5,445		730,011
Total Financials				6,746,403
Healthcare — 11.6%
Healthcare Distributors — 1.4%
Cardinal Health, Inc.		18,865		783,841
Healthcare Equipment — 1.3%
Baxter International, Inc.		5,360		311,577
Medtronic, Inc.		11,100		423,132
				734,709
Managed Healthcare — 1.0%
UnitedHealth Group, Inc.		9,630		536,872
Pharmaceuticals — 7.9%
Bristol-Myers Squibb Co.		32,125		1,033,461
Eli Lilly & Co.		14,800		580,752
Johnson & Johnson		14,360		934,549
Merck & Co., Inc.		25,435		970,854
Pfizer, Inc.		43,945		927,239
				4,446,855
Total Healthcare				6,502,277
Industrials — 10.7%
Aerospace & Defense — 2.4%
General Dynamics Corp.		3,385		247,884
Honeywell International, Inc.		6,715		400,012
Lockheed Martin Corp.		7,915		699,765
				1,347,661
Air Freight & Logistics — 1.1%
United Parcel Service, Inc., Class B		8,410		646,645
Electrical Components & Equipment — 0.5%
Emerson Electric Co.		5,870		295,320
Environmental & Facilities Services — 1.1%
Waste Management, Inc.		17,125		599,032
Industrial Conglomerates — 2.5%
General Electric Co.		73,235		1,395,127
Industrial Machinery — 1.3%
Eaton Corp.		13,710		715,525
Office Services & Supplies — 0.8%
Pitney Bowes, Inc.		23,760		430,769
Railroads — 1.0%
Norfolk Southern Corp.		7,830		539,487
Total Industrials				5,969,566
Information Technology — 6.5%
Communications Equipment — 0.5%
Cisco Systems, Inc.		13,670		271,760
Data Processing & Outsourced Services — 0.7%
Western Union Co.		22,045		385,126

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

6

BMO Funds

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Semiconductor Equipment — 1.2%
Kla-Tencor Corp.		14,095		$     682,198
Semiconductors — 3.1%
Intel Corp.		43,635		1,172,909
Microchip Technology, Inc.		16,110		581,087
				1,753,996
Systems Software — 1.0%
Microsoft Corp.		17,405		552,435
Total Information Technology				3,645,515
Materials — 4.6%
Diversified Chemicals — 3.5%
E.I. du Pont de Nemours & Co.		14,205		722,324
Eastman Chemical Co.		14,245		771,082
PPG Industries, Inc.		5,165		471,306
				1,964,712
Diversified Metals & Mining — 1.1%
Freeport-McMoRan Copper & Gold, Inc.		13,770		586,051
Total Materials				2,550,763
Telecommunication Services — 5.7%
Integrated Telecommunication Services — 5.7%
AT&T, Inc.		46,950		1,436,200
CenturyLink, Inc.		26,570		1,069,443
Verizon Communications, Inc.		18,015		686,552
Total Telecommunication Services				3,192,195
Utilities — 7.8%
Electric Utilities — 2.9%
American Electric Power Co., Inc.		14,045		528,233
FirstEnergy Corp.		11,705		518,414
PPL Corp.		19,865		567,146
				1,613,793
Gas Utilities — 0.5%
ONEOK, Inc.		3,450		285,108
Multi-Utilities — 4.4%
CenterPoint Energy, Inc.		27,245		531,005
CMS Energy Corp.		35,380		757,486
DTE Energy Co.		10,250		553,397
Xcel Energy, Inc.		22,810		604,237
				2,446,125
Total Utilities				4,345,026
Total Common Stocks (identified cost $51,255,874)				53,342,189
Short-Term Investments — 3.6%
Mutual Funds — 3.6%
BMO Prime Money Market Fund, Class I, 0.210% (11)		2,043,962		2,043,962
Total Short-Term Investments (identified cost $2,043,962)				2,043,962
Total Investments — 98.9% (identified cost $53,299,836)				55,386,151
Other Assets and Liabilities — 1.1%				606,547
Total Net Assets — 100.0%				$55,992,698

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	10.1%
Consumer Staples	13.1
Energy	13.2
Financials	12.0
Healthcare	11.6
Industrials	10.7
Information Technology	6.5
Materials	4.6
Mutual Funds	3.6
Telecommunication Services	5.7
Utilities	7.8
Other Assets & Liabilities, Net	1.1
Total	100.0%

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 99.0%
Consumer Discretionary — 11.7%
Apparel Retail — 1.0%
TJX Cos., Inc.		50,650		$    1,854,297
Automotive Retail — 1.3%
AutoZone, Inc. (1)(2)		3,050		1,142,164
O’Reilly Automotive, Inc. (2)		12,600		1,089,900
				2,232,064
Cable & Satellite — 4.5%
Comcast Corp., Class A (1)		101,500		2,982,070
DISH Network Corp., Class A		55,350		1,614,559
Time Warner Cable, Inc.		42,750		3,391,785
				7,988,414
Consumer Electronics — 1.8%
Garmin, Ltd.		67,150		3,168,808
Internet Retail — 1.0%
Priceline.com, Inc. (1)(2)		2,750		1,724,305
Restaurants — 2.1%
McDonald’s Corp.		38,550		3,827,244
Total Consumer Discretionary				20,795,132
Consumer Staples — 7.8%
Household Products — 2.0%
Church & Dwight Co., Inc.		45,200		2,157,848
Colgate-Palmolive Co.		14,750		1,374,405
				3,532,253
Hypermarkets & Super Centers — 2.1%
Costco Wholesale Corp. (1)		42,800		3,683,368
Soft Drinks — 3.7%
Coca-Cola Co.		54,950		3,838,807
Monster Beverage Corp. (2)		47,300		2,705,087
				6,543,894
Total Consumer Staples				13,759,515
Energy — 10.5%
Integrated Oil & Gas — 4.3%
ConocoPhillips		22,050		1,687,927
Exxon Mobil Corp.		69,850		6,042,025
				7,729,952

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

7

February 29, 2012 (Unaudited)

Schedule of Investments

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Equipment & Services — 3.0%
Core Laboratories (1)		17,550		$    2,135,133
National Oilwell Varco, Inc.		37,850		3,123,761
				5,258,894
Oil & Gas-Exploration & Production — 3.2%
Cobalt International Energy, Inc. (1)(2)		51,500		1,548,090
Marathon Oil Corp. (1)		122,550		4,153,220
				5,701,310
Total Energy				18,690,156
Financials — 7.1%
Asset Management & Custody Banks — 0.5%
Affiliated Managers Group, Inc. (2)		7,650		813,884
Consumer Finance — 1.3%
Discover Financial Services		76,700		2,301,767
Diversified Banks — 0.6%
Wells Fargo & Co.		33,100		1,035,699
Life & Health Insurance — 1.7%
Aflac, Inc.		62,950		2,974,387
Office REIT’s — 1.0%
Digital Realty Trust, Inc.		24,800		1,798,000
Specialized Finance — 0.7%
IntercontinentalExchange, Inc. (1)(2)		9,300		1,283,028
Specialized REIT’s — 1.3%
American Tower Corp., Class A		38,450		2,406,201
Total Financials				12,612,966
Healthcare — 11.0%
Biotechnology — 4.6%
Amgen, Inc.		14,200		964,890
Biogen Idec, Inc. (2)		20,700		2,410,929
Celgene Corp. (2)		22,800		1,671,810
Gilead Sciences, Inc. (2)		69,850		3,178,175
				8,225,804
Healthcare Equipment — 0.5%
Intuitive Surgical, Inc. (1)(2)		1,550		793,011
Healthcare Technology — 1.2%
Cerner Corp. (1)(2)		29,400		2,170,602
Managed Healthcare — 2.1%
Humana, Inc.		43,750		3,810,625
Pharmaceuticals — 2.6%
Abbott Laboratories		23,650		1,338,827
Forest Laboratories, Inc. (2)		51,500		1,674,780
Merck & Co., Inc.		40,050		1,528,708
				4,542,315
Total Healthcare				19,542,357
Industrials — 10.6%
Aerospace & Defense — 1.0%
TransDigm Group, Inc. (2)		14,500		1,722,455
Construction & Farm Machinery & Heavy Trucks — 2.3%
Cummins, Inc.		10,700		1,290,099
Wabtec Corp.		38,150		2,850,949
				4,141,048
Common Stocks (continued)
Industrials (continued)
Electrical Components & Equipment — 0.6%
Roper Industries, Inc.		11,600		$    1,061,632
Environmental & Facilities Services — 1.6%
Clean Harbors, Inc. (2)		23,650		1,588,334
Stericycle, Inc. (1)(2)		13,750		1,193,088
				2,781,422
Industrial Conglomerates — 2.3%
General Electric Co.		214,050		4,077,653
Research & Consulting Services — 2.8%
FTI Consulting, Inc. (1)(2)		66,950		2,682,686
IHS, Inc., Class A (2)		10,000		945,700
Verisk Analytics, Inc., Class A (2)		31,300		1,361,550
				4,989,936
Total Industrials				18,774,146
Information Technology — 31.9%
Application Software — 1.0%
Intuit, Inc.		30,500		1,764,120
Communications Equipment — 4.8%
Cisco Systems, Inc.		122,100		2,427,348
F5 Networks, Inc. (2)		25,200		3,148,992
QUALCOMM, Inc.		48,400		3,009,512
				8,585,852
Computer Hardware — 5.3%
Apple, Inc. (2)		17,400		9,438,456
Consulting & Other Services — 1.3%
Cognizant Technology Solutions Corp., Class A (2)		31,900		2,263,305
Data Processing & Outsourced Services — 3.2%
Alliance Data Systems Corp. (1)(2)		37,700		4,575,272
Visa, Inc., Class A (1)		9,150		1,064,786
				5,640,058
Internet Software & Services — 5.3%
Google, Inc., Class A (2)		10,900		6,738,925
IAC/InterActiveCorp		60,300		2,749,680
				9,488,605
Semiconductor Equipment — 2.5%
ASML Holding NV		29,000		1,320,950
Kla-Tencor Corp. (1)		63,350		3,066,140
				4,387,090
Semiconductors — 1.3%
Intel Corp.		90,450		2,431,296
Systems Software — 7.2%
Check Point Software Technologies, Ltd. (2)		46,950		2,730,612
Microsoft Corp.		153,900		4,884,786
Oracle Corp.		135,050		3,952,913
Red Hat, Inc. (2)		23,650		1,169,729
				12,738,040
Total Information Technology				56,736,822
Materials — 6.5%
Diversified Metals & Mining — 3.2%
BHP Billiton, Ltd., ADR		34,050		2,615,721
Freeport-McMoRan Copper & Gold, Inc.		71,200		3,030,272
				5,645,993

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

8

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Fertilizers & Agricultural Chemicals — 2.8%
CF Industries Holdings, Inc.		20,300		$    3,775,800
Monsanto Co.		15,650		1,210,997
				4,986,797
Gold — 0.5%
Newmont Mining Corp.		14,800		879,120
Total Materials				11,511,910
Telecommunication Services — 1.9%
Integrated Telecommunication Services — 1.9%
Verizon Communications, Inc.		89,650		3,416,562
Total Common Stocks (identified cost $161,369,097)				175,839,566
Short-Term Investments — 14.7%
Collateral Pool Investment for Securities on Loan — 13.4%
(See Note 2 of the Financial Statements)				23,919,761
Mutual Funds — 1.3%
BMO Prime Money Market Fund, Class I, 0.210% (11)		2,261,166		2,261,166
Total Short-Term Investments (identified cost $26,180,927)				26,180,927
Total Investments — 113.7% (identified cost $187,550,024)				202,020,493
Other Assets and Liabilities — (13.7)%				(24,330,107	)
Total Net Assets — 100.0%				$177,690,386

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	11.7%
Consumer Staples	7.8
Energy	10.5
Financials	7.1
Healthcare	11.0
Industrials	10.6
Information Technology	31.9
Materials	6.5
Mutual Funds	1.3
Telecommunication Services	1.9
Other Assets & Liabilities, Net	(0.3)
Total	100.0%

Large-Cap Focus Fund

Description	Shares		Value
Common Stocks — 90.3%
Consumer Discretionary — 11.3%
Apparel Retail — 2.1%
TJX Cos., Inc.		29,400		$  1,076,334
Apparel, Accessories & Luxury Goods — 1.2%
Coach, Inc.		8,100		606,204
Common Stocks (continued)
Consumer Discretionary (continued)
Auto Parts & Equipment — 2.9%
Lear Corp.		16,300		$     736,923
Visteon Corp. (2)		14,600		784,312
				1,521,235
Automobile Manufacturers — 1.4%
Ford Motor Co. (1)		58,000		718,040
Home Improvement Retail — 2.1%
Home Depot, Inc. (1)		23,300		1,108,381
Homefurnishing Retail — 1.6%
Bed Bath & Beyond, Inc. (2)		13,500		806,490
Total Consumer Discretionary				5,836,684
Consumer Staples — 4.4%
Drug Retail — 2.2%
CVS Caremark Corp.		25,800		1,163,580
Soft Drinks — 2.2%
Coca-Cola Co.		16,100		1,124,746
Total Consumer Staples				2,288,326
Energy — 11.6%
Integrated Oil & Gas — 5.1%
Chevron Corp. (1)		12,700		1,385,824
Hess Corp.		7,700		499,884
Occidental Petroleum Corp.		7,300		761,901
				2,647,609
Oil & Gas-Equipment & Services — 4.3%
National Oilwell Varco, Inc.		12,300		1,015,119
Schlumberger, Ltd.		15,100		1,171,911
				2,187,030
Oil & Gas-Exploration & Production — 2.2%
Anadarko Petroleum Corp.		6,800		572,016
Marathon Oil Corp.		16,800		569,352
				1,141,368
Total Energy				5,976,007
Financials — 7.2%
Asset Management & Custody Banks — 1.5%
Blackstone Group L.P. (1)		50,100		782,562
Life & Health Insurance — 1.9%
MetLife, Inc.		25,600		986,880
Other Diversified Financial Services — 3.8%
Citigroup, Inc. (1)		30,400		1,012,928
JPMorgan Chase & Co.		23,900		937,836
				1,950,764
Total Financials				3,720,206
Healthcare — 5.3%
Biotechnology — 2.1%
Celgene Corp. (2)		7,000		513,275
Gilead Sciences, Inc. (2)		12,500		568,750
				1,082,025
Healthcare Distributors — 1.4%
McKesson Corp.		8,700		726,537
Healthcare Services — 1.8%
Express Scripts, Inc. (1)(2)		16,900		901,277
Total Healthcare				2,709,839

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

9

February 29, 2012 (Unaudited)

Schedule of Investments

Large-Cap Focus Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials — 12.5%
Aerospace & Defense — 1.6%
Boeing Co.		11,300		$     846,935
Air Freight & Logistics — 1.6%
FedEx Corp.		9,100		818,909
Construction & Farm Machinery & Heavy Trucks — 4.1%
Caterpillar, Inc. (1)		10,800		1,233,468
Deere & Co. (1)		10,800		895,644
				2,129,112
Industrial Machinery — 5.2%
Eaton Corp.		16,100		840,259
Kennametal, Inc.		17,600		810,832
Stanley Black & Decker, Inc.		13,200		1,013,760
				2,664,851
Total Industrials				6,459,807
Information Technology — 31.8%
Communications Equipment — 2.8%
QUALCOMM, Inc.		23,300		1,448,794
Computer Hardware — 6.7%
Apple, Inc. (2)		6,400		3,471,616
Computer Storage & Peripherals — 3.7%
EMC Corp. (1)(2)		46,700		1,293,123
NetApp, Inc. (2)		14,400		619,200
				1,912,323
Electronic Manufacturing Services — 1.1%
Jabil Circuit, Inc.		21,400		552,762
Internet Software & Services — 4.2%
eBay, Inc. (2)		21,600		771,984
Google, Inc., Class A (2)		2,300		1,421,975
				2,193,959
Semiconductor Equipment — 2.6%
Novellus Systems, Inc. (2)		16,300		757,624
Teradyne, Inc. (1)(2)		35,300		579,626
				1,337,250
Semiconductors — 3.5%
Broadcom Corp., Class A (2)		14,700		546,105
Intel Corp.		33,900		911,232
Micron Technology, Inc. (2)		40,800		348,840
				1,806,177
Systems Software — 5.5%
Microsoft Corp.		48,900		1,552,086
Oracle Corp.		43,900		1,284,953
				2,837,039
Technology Distributors — 1.7%
Arrow Electronics, Inc. (2)		22,000		883,300
Total Information Technology				16,443,220
Materials — 6.2%
Diversified Chemicals — 2.0%
Eastman Chemical Co. (1)		19,000		1,028,470
Diversified Metals & Mining — 1.2%
Freeport-McMoRan Copper & Gold, Inc.		14,600		621,376
Common Stocks (continued)
Materials (continued)
Specialty Chemicals — 2.2%
Ashland, Inc.		5,400		$     343,224
Celanese Corp.		16,700		794,419
				1,137,643
Steel — 0.8%
Cliffs Natural Resources, Inc.		6,700		425,316
Total Materials				3,212,805
Total Common Stocks (identified cost $38,903,355)				46,646,894
Short-Term Investments — 23.0%
Collateral Pool Investment for Securities on Loan — 13.2%
(See Note 2 of the Financial Statements)				6,851,249
Mutual Funds — 9.8%
BMO Prime Money Market Fund, Class I, 0.210% (11)		5,043,163		5,043,163
Total Short-Term Investments (identified cost $11,894,412)				11,894,412
Total Investments — 113.3% (identified cost $50,797,767)				58,541,306
Other Assets and Liabilities — (13.3)%				(6,889,038	)
Total Net Assets — 100.0%				$51,652,268

Poftfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	11.3%
Consumer Staples	4.4
Energy	11.6
Financials	7.2
Healthcare	5.3
Industrials	12.5
Information Technology	31.8
Materials	6.2
Mutual Funds	9.8
Other Assets & Liabilities, Net	(0.1)
Total	100.0%

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 94.5%
Consumer Discretionary — 15.4%
Advertising — 1.9%
Interpublic Group of Cos., Inc.		398,500		$    4,670,420
Apparel, Accessories & Luxury Goods — 1.5%
The Warnaco Group, Inc. (2)		64,000		3,757,440
Auto Parts & Equipment — 1.5%
Visteon Corp. (2)		68,600		3,685,192
Cable & Satellite — 1.8%
Liberty Global, Inc. (1)(2)		87,956		4,413,632
Catalog Retail — 1.9%
Liberty Media Corp.—Interactive (2)		260,400		4,885,104

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

10

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Department Stores — 1.5%
Kohl’s Corp.		75,800		$    3,765,744
Internet Retail — 1.8%
Expedia, Inc.		130,700		4,450,335
Leisure Products — 1.5%
Mattel, Inc.		115,800		3,756,552
Specialty Stores — 2.0%
Staples, Inc. (1)		334,300		4,900,838
Total Consumer Discretionary				38,285,257
Consumer Staples — 5.8%
Agricultural Products — 1.3%
Darling International, Inc. (1)(2)		210,500		3,365,895
Food Retail — 3.5%
Kroger Co. (1)		189,800		4,515,342
Safeway, Inc. (1)		191,600		4,109,820
				8,625,162
Packaged Foods & Meats — 1.0%
ConAgra Foods, Inc.		94,800		2,488,500
Total Consumer Staples				14,479,557
Energy — 7.9%
Oil & Gas-Drilling — 1.7%
Rowan Cos., Inc. (1)(2)		117,000		4,313,790
Oil & Gas-Equipment & Services — 1.7%
Tidewater, Inc.		71,200		4,236,400
Oil & Gas-Exploration & Production — 4.5%
Cimarex Energy Co. (1)		7,400		596,958
EQT Corp.		56,300		2,985,026
Noble Energy, Inc.		30,300		2,958,795
QEP Resources, Inc.		65,600		2,239,584
SandRidge Energy, Inc. (1)(2)		264,400		2,292,348
				11,072,711
Total Energy				19,622,901
Financials — 19.6%
Asset Management & Custody Banks — 3.3%
Ameriprise Financial, Inc.		70,200		3,914,352
Invesco Ltd.		176,500		4,371,905
				8,286,257
Consumer Finance — 1.7%
Discover Financial Services (1)		137,000		4,111,370
Diversified Banks — 1.3%
Comerica, Inc.		104,900		3,114,481
Investment Banking & Brokerage — 1.1%
TD Ameritrade Holding Corp.		144,200		2,692,214
Office REIT’s — 1.2%
Mack-Cali Realty Corp.		104,600		2,991,560
Property & Casualty Insurance — 2.5%
Axis Capital Holdings, Ltd.		107,700		3,322,545
Hanover Insurance Group, Inc.		73,400		2,996,188
				6,318,733
Regional Banks — 3.1%
Fifth Third Bancorp (1)		344,110		4,683,337
First Niagara Financial Group, Inc.		315,200		3,013,312
				7,696,649
Common Stocks (continued)
Financials (continued)
Reinsurance — 2.6%
PartnerRe Ltd. (1)		46,600		$    2,956,304
Reinsurance Group of America, Inc. (1)		59,800		3,448,666
				6,404,970
Retail REIT’s — 1.5%
Macerich Co., REIT		68,400		3,692,916
Specialized REIT’s — 1.3%
Sovran Self Storage, Inc.		67,800		3,221,178
Total Financials				48,530,328
Healthcare — 10.4%
Healthcare Distributors — 1.9%
AmerisourceBergen Corp.		124,900		4,665,015
Healthcare Facilities — 2.0%
Community Health Systems, Inc. (1)(2)		199,650		5,039,166
Healthcare Services — 1.7%
DaVita, Inc. (2)		48,200		4,171,710
Life Sciences Tools & Services — 1.7%
Thermo Fisher Scientific, Inc. (2)		74,100		4,195,542
Managed Healthcare — 3.1%
CIGNA Corp.		102,900		4,538,919
Coventry Health Care, Inc. (2)		100,700		3,291,883
				7,830,802
Total Healthcare				25,902,235
Industrials — 10.0%
Aerospace & Defense — 2.5%
L-3 Communications Holdings, Inc.		48,900		3,435,225
Spirit Aerosystems Holdings, Inc., Class A (2)		112,300		2,690,708
				6,125,933
Construction & Engineering — 2.2%
Fluor Corp.		51,800		3,132,864
Jacobs Engineering Group, Inc. (1)(2)		52,500		2,426,550
				5,559,414
Environmental & Facilities Services — 1.6%
Republic Services, Inc.		136,500		4,071,795
Human Resource & Employment Services — 1.4%
Manpower, Inc.		79,500		3,424,065
Industrial Conglomerates — 1.5%
Carlisle Companies, Inc.		73,900		3,606,320
Industrial Machinery — 0.8%
Eaton Corp.		36,400		1,899,716
Total Industrials				24,687,243
Information Technology — 12.4%
Communications Equipment — 2.3%
ARRIS Group, Inc. (1)(2)		309,100		3,520,649
InterDigital, Inc. (1)		53,600		2,028,760
				5,549,409
Computer Storage & Peripherals — 4.1%
Lexmark International, Inc., Class A		85,300		3,145,864
NetApp, Inc. (1)(2)		81,700		3,513,100

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

11

February 29, 2012 (Unaudited)

Schedule of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Computer Storage & Peripherals (continued)
Seagate Technology		136,400		$    3,581,864
				10,240,828
Consulting & Other Services — 1.9%
Amdocs, Ltd. (1)(2)		151,100		4,634,237
Data Processing & Outsourced Services — 1.3%
Western Union Co.		187,800		3,280,866
Office Electronics — 1.3%
Xerox Corp.		400,200		3,293,646
Technology Distributors — 1.5%
Ingram Micro, Inc. (2)		198,100		3,789,653
Total Information Technology				30,788,639
Materials — 5.1%
Metal & Glass Containers — 1.3%
Ball Corp.		81,800		3,278,544
Paper Products — 1.3%
International Paper Co. (1)		92,200		3,240,830
Specialty Chemicals — 1.5%
W.R. Grace & Co. (2)		63,400		3,611,264
Steel — 1.0%
Reliance Steel & Aluminum Co.		44,100		2,369,052
Total Materials				12,499,690
Telecommunication Services — 1.6%
Integrated Telecommunication Services — 1.6%
CenturyLink, Inc.		99,646		4,010,752
Utilities — 6.3%
Electric Utilities — 2.9%
Edison International		96,400		4,036,268
Great Plains Energy, Inc.		159,800		3,160,844
				7,197,112
Multi-Utilities — 3.4%
CMS Energy Corp. (1)		208,100		4,455,421
Sempra Energy		68,600		4,063,864
				8,519,285
Total Utilities				15,716,397
Total Common Stocks (identified cost $189,843,812)				234,522,999
Short-Term Investments — 22.3%
Collateral Pool Investment for Securities on Loan — 16.5%
(See Note 2 of the Financial Statements)				40,878,759
Mutual Funds — 5.8%
BMO Prime Money Market Fund, Class I, 0.210% (11)		14,411,808		14,411,808
Total Short-Term Investments (identified cost $55,290,567)				55,290,567
Total Investments — 116.8% (identified cost $245,134,379)				289,813,566
Other Assets and Liabilities — (16.8)%				(41,585,169	)
Total Net Assets — 100.0%				$248,228,397

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	15.4%
Consumer Staples	5.8
Energy	7.9
Financials	19.6
Healthcare	10.4
Industrials	10.0
Information Technology	12.4
Materials	5.1
Mutual Funds	5.8
Telecommunication Services	1.6
Utilities	6.3
Other Assets & Liabilities, Net	(0.3)
Total	100.0%

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 97.4%
Consumer Discretionary — 14.1%
Apparel, Accessories & Luxury Goods — 3.3%
Coach, Inc.		50,300		$    3,764,452
Phillips-Van Heusen Corp. (1)		20,770		1,765,658
VF Corp.		19,200		2,804,160
				8,334,270
Auto Parts & Equipment — 1.4%
Lear Corp.		37,300		1,686,333
Visteon Corp. (2)		33,800		1,815,736
				3,502,069
Automotive Retail — 1.1%
O’Reilly Automotive, Inc. (1)(2)		31,400		2,716,100
Broadcasting — 1.3%
Discovery Communications, Inc., Class A (1)(2)		70,600		3,293,490
Department Stores — 1.2%
Macy’s, Inc.		82,200		3,121,134
Distributors — 0.9%
LKQ Corp. (2)		70,100		2,233,386
General Merchandise Stores — 1.4%
Dollar Tree, Inc. (1)(2)		38,800		3,434,188
Hotels, Resorts & Cruise Lines — 2.4%
Marriott International, Inc., Class A (1)		68,400		2,413,152
Wyndham Worldwide Corp.		85,400		3,756,746
				6,169,898
Specialty Stores — 1.1%
Dick’s Sporting Goods, Inc.		59,700		2,672,172
Total Consumer Discretionary				35,476,707
Consumer Staples — 0.7%
Soft Drinks — 0.7%
Fomento Economico Mexicano, SAB de C.V., ADR		23,300		1,714,880
Energy — 12.7%
Oil & Gas-Drilling — 2.5%
Unit Corp. (2)		133,200		6,336,324

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

12

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Exploration & Production — 10.2%
Advantage Oil & Gas, Ltd. (2)		1,053,700		$    4,056,745
Chesapeake Energy Corp. (1)		459,900		11,497,500
Forest Oil Corp. (2)		692,400		8,952,732
Gulfport Energy Corp. (1)(2)		34,905		1,173,506
				25,680,483
Total Energy				32,016,807
Financials — 6.4%
Asset Management & Custody Banks — 4.0%
American Capital, Ltd. (2)		828,761		7,384,260
Ameriprise Financial, Inc.		44,700		2,492,472
				9,876,732
Real Estate Services — 0.6%
Jones Lang LaSalle, Inc.		19,400		1,579,354
Specialized REIT’s — 1.8%
American Tower Corp., Class A		39,800		2,490,684
Host Hotels & Resorts, Inc.		131,200		2,070,336
				4,561,020
Total Financials				16,017,106
Healthcare — 15.1%
Biotechnology — 1.4%
Alexion Pharmaceuticals, Inc. (2)		42,700		3,575,271
Healthcare Equipment — 0.8%
Edwards Lifesciences Corp. (1)(2)		28,775		2,104,316
Healthcare Facilities — 2.3%
HealthSouth Corp. (2)		126,500		2,575,540
Universal Health Services, Inc., Class B		73,000		3,256,530
				5,832,070
Healthcare Services — 0.5%
Express Scripts, Inc. (2)		23,700		1,263,921
Healthcare Technology — 2.0%
Cerner Corp. (1)(2)		66,700		4,924,461
Life Sciences Tools & Services — 0.9%
Mettler-Toledo International, Inc. (2)		13,000		2,343,640
Managed Healthcare — 0.9%
AMERIGROUP Corp. (1)(2)		32,000		2,173,760
Pharmaceuticals — 6.3%
Medicis Pharmaceutical Corp., Class A (1)		70,200		2,452,788
Mylan, Inc. (1)(2)		119,400		2,798,736
Shire PLC, ADR		30,000		3,139,500
Valeant Pharmaceuticals International (1)(2)		81,633		4,319,202
Watson Pharmaceuticals, Inc. (2)		52,800		3,079,296
				15,789,522
Total Healthcare				38,006,961
Industrials — 18.7%
Aerospace & Defense — 1.5%
Triumph Group, Inc.		57,900		3,694,020
Construction & Farm Machinery & Heavy Trucks — 1.1%
Joy Global, Inc.		33,200		2,887,072
Common Stocks (continued)
Industrials (continued)
Electrical Components & Equipment — 3.6%
AMETEK, Inc.		68,350		$    3,253,460
Rockwell Automation, Inc.		32,400		2,591,352
Roper Industries, Inc. (1)		34,000		3,111,680
				8,956,492
Industrial Conglomerates — 1.6%
Tyco International, Ltd.		79,700		4,130,054
Industrial Machinery — 3.2%
IDEX Corp.		59,800		2,499,640
Snap-On, Inc. (1)		54,300		3,319,359
Timken Co.		44,100		2,310,840
				8,129,839
Railroads — 1.2%
Kansas City Southern (2)		44,150		3,071,957
Research & Consulting Services — 3.5%
Acacia Research Corp. (2)		83,400		3,294,300
Nielsen Holdings NV (2)		99,100		2,922,459
Verisk Analytics, Inc., Class A (2)		57,700		2,509,950
				8,726,709
Trading Companies & Distributors — 0.8%
MSC Industrial Direct Co., Inc., Class A		25,100		1,993,191
Trucking — 2.2%
Hertz Global Holdings, Inc. (2)		185,500		2,652,650
J.B. Hunt Transport Services, Inc. (1)		55,400		2,837,034
				5,489,684
Total Industrials				47,079,018
Information Technology — 24.8%
Application Software — 6.3%
Ebix, Inc.		436,700		10,175,110
Informatica Corp. (1)(2)		40,100		1,971,316
Intuit, Inc. (1)		64,500		3,730,680
				15,877,106
Consulting & Other Services — 1.4%
Cognizant Technology Solutions Corp., Class A (1)(2)		47,900		3,398,505
Data Processing & Outsourced Services — 6.5%
Alliance Data Systems Corp. (1)(2)		26,000		3,155,360
FleetCor Technologies, Inc. (2)		75,000		2,777,250
Total System Services, Inc.		141,900		3,104,772
VeriFone Systems, Inc. (1)(2)		94,900		4,544,761
Western Union Co.		163,800		2,861,586
				16,443,729
Electronic Components — 1.2%
Amphenol Corp., Class A		55,700		3,116,972
Internet Software & Services — 2.8%
Ancestry.com, Inc. (1)(2)		201,900		4,599,282
Rackspace Hosting, Inc. (1)(2)		46,600		2,434,384
				7,033,666
Semiconductor Equipment — 1.0%
ASML Holding NV (1)		55,400		2,523,470
Semiconductors — 3.1%
Atmel Corp. (1)(2)		152,000		1,536,720
Broadcom Corp., Class A (2)		67,400		2,503,910

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

13

February 29, 2012 (Unaudited)

Schedule of Investments

Mid-Cap Growth Fund (continued)

Description	Shares or Warrants		Value
Common Stocks (continued)
Information Technology (continued)
Semiconductors (continued)
Cavium Networks, Inc. (1)(2)		51,000		$    1,822,230
Cypress Semiconductor Corp. (1)(2)		115,500		1,992,375
				7,855,235
Systems Software — 2.5%
Check Point Software Technologies, Ltd. (1)(2)		69,000		4,013,040
Red Hat, Inc. (1)(2)		43,100		2,131,726
				6,144,766
Total Information Technology				62,393,449
Materials — 3.3%
Diversified Chemicals — 0.9%
FMC Corp.		22,900		2,266,413
Gold — 1.5%
AuRico Gold, Inc. (2)		396,100		3,877,819
Specialty Chemicals — 0.9%
Celanese Corp.		45,700		2,173,949
Total Materials				8,318,181
Telecommunication Services — 1.6%
Wireless Telecommunication Services — 1.6%
Crown Castle International Corp. (1)(2)		75,700		3,922,017
Total Common Stocks (identified cost $187,231,148)				244,945,126
Warrants — 0.0%
Magnum Hunter Resource Corp., Exercise Price: $10.50, 10/14/2013 (1)(2)		38,880		—
Total Warrants (identified cost $0)				—
Short-Term Investments — 29.0%
Collateral Pool Investment for Securities on Loan — 26.5%
(See Note 2 of the Financial Statements)				66,494,610
Mutual Funds — 2.5%
BMO Prime Money Market Fund, Class I, 0.210% (11)		6,393,082		6,393,082
Total Short-Term Investments (identified cost $72,887,692)				72,887,692
Total Investments — 126.4% (identified cost $260,118,840)				317,832,818
Other Assets and Liabilities — (26.4)%				(66,422,898	)
Total Net Assets — 100.0%				$251,409,920

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	14.1%
Consumer Staples	0.7
Energy	12.7
Financials	6.4
Healthcare	15.1
Industrials	18.7
Information Technology	24.8
Materials	3.3
Mutual Funds	2.5
Telecommunication Services	1.6
Warrants	0.0
Other Assets & Liabilities, Net	0.1
Total	100.0%

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 95.0%
Consumer Discretionary — 12.6%
Apparel Retail — 2.4%
Ann, Inc. (2)		12,700		$     303,403
The Finish Line, Inc., Class A		17,800		409,222
				712,625
Apparel, Accessories & Luxury Goods — 2.0%
The Warnaco Group, Inc. (2)		10,200		598,842
Broadcasting — 1.6%
Sinclair Broadcast Group, Inc., Class A		42,500		485,350
Department Stores — 1.6%
Dillard’s, Inc., Class A (1)		7,500		458,550
Household Appliances — 1.2%
Helen of Troy, Ltd. (2)		10,500		341,250
Leisure Products — 1.0%
JAKKS Pacific, Inc.		18,900		293,517
Publishing — 1.8%
Valassis Communications, Inc. (1)(2)		20,900		522,082
Restaurants — 1.0%
Bob Evans Farms, Inc.		8,400		309,120
Total Consumer Discretionary				3,721,336
Consumer Staples — 4.2%
Agricultural Products — 1.6%
Darling International, Inc. (1)(2)		29,600		473,304
Packaged Foods & Meats — 1.3%
Chiquita Brands International, Inc. (2)		39,000		374,010
Personal Products — 1.3%
Nu Skin Enterprises, Inc., Class A		6,800		392,768
Total Consumer Staples				1,240,082
Energy — 5.8%
Coal & Consumable Fuels — 1.0%
Cloud Peak Energy, Inc. (1)(2)		16,600		294,152

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

14

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Equipment & Services — 2.4%
Helix Energy Solutions Group, Inc. (1)(2)		20,500		$     394,420
Matrix Service Co. (1)(2)		23,700		313,788
				708,208
Oil & Gas-Exploration & Production — 2.4%
Bill Barrett Corp. (1)(2)		9,400		274,762
VAALCO Energy, Inc. (1)(2)		54,900		433,161
				707,923
Total Energy				1,710,283
Financials — 22.4%
Asset Management & Custody Banks — 3.0%
Fifth Street Finance Corp.		29,000		287,100
Walter Investment Management Corp.		29,138		593,832
				880,932
Consumer Finance — 1.3%
Nelnet, Inc., Class A		13,900		367,238
Life & Health Insurance — 1.4%
American Equity Investment Life Holding Co. (1)		34,700		419,870
Office REIT’s — 1.4%
CoreSite Realty Corp. (1)		19,700		420,595
Property & Casualty Insurance — 1.1%
Tower Group, Inc. (1)		14,000		322,700
Regional Banks — 3.9%
BBCN Bancorp, Inc. (1)(2)		43,800		448,950
IBERIABANK Corp.		5,400		286,416
Susquehanna Bancshares, Inc.		44,900		416,223
				1,151,589
Reinsurance — 4.0%
Enstar Group, Ltd. (2)		4,600		446,108
Maiden Holdings, Ltd.		47,200		408,280
Montpelier Re Holdings, Ltd.		18,400		317,400
				1,171,788
Specialized REIT’s — 2.4%
LaSalle Hotel Properties (1)		13,500		360,180
Sovran Self Storage, Inc.		7,300		346,823
				707,003
Thrifts & Mortgage Finance — 3.9%
Northwest Bancshares, Inc.		32,200		406,364
Ocwen Financial Corp. (2)		46,400		747,504
				1,153,868
Total Financials				6,595,583
Healthcare — 9.7%
Healthcare Facilities — 1.2%
Health Management Associates, Inc., Class A (1)(2)		46,600		343,908
Healthcare Technology — 1.3%
MedAssets, Inc. (2)		26,100		372,708
Life Sciences Tools & Services — 2.6%
Bio-Rad Laboratories, Inc., Class A (2)		3,600		366,912
Common Stocks (continued)
Healthcare (continued)
Life Sciences Tools & Services (continued)
PAREXEL International Corp. (1)(2)		16,800		$     411,264
				778,176
Pharmaceuticals — 4.6%
Impax Laboratories, Inc. (2)		17,400		406,290
Medicis Pharmaceutical Corp., Class A		12,900		450,726
Par Pharmaceutical Cos., Inc. (2)		13,650		506,552
				1,363,568
Total Healthcare				2,858,360
Industrials — 15.7%
Aerospace & Defense — 2.3%
Alliant Techsystems, Inc.		5,100		306,000
Moog, Inc., Class A (2)		8,700		382,017
				688,017
Commercial Printing — 1.2%
Deluxe Corp.		14,600		360,182
Construction & Engineering — 2.2%
Aegion Corp. (1)(2)		19,400		341,634
EMCOR Group, Inc.		10,500		291,900
				633,534
Diversified Support Services — 1.1%
Encore Capital Group, Inc. (2)		14,200		316,376
Electrical Components & Equipment — 2.3%
Brady Corp., Class A		8,600		274,770
EnerSys (2)		5,600		188,048
Thomas & Betts Corp. (2)		3,150		227,525
				690,343
Industrial Conglomerates — 1.6%
Carlisle Companies, Inc.		7,200		351,360
Standex International Corp.		3,440		131,442
				482,802
Industrial Machinery — 2.5%
Kaydon Corp.		4,000		150,480
LB Foster Co., Class A		12,250		360,762
Mueller Industries, Inc.		4,634		213,164
				724,406
Railroads — 1.2%
RailAmerica, Inc. (1)(2)		16,700		344,020
Research & Consulting Services — 1.3%
FTI Consulting, Inc. (1)(2)		9,800		392,686
Total Industrials				4,632,366
Information Technology — 17.2%
Application Software — 1.5%
Quest Software, Inc. (2)		21,900		438,438
Communications Equipment — 2.4%
ARRIS Group, Inc. (1)(2)		37,100		422,569
InterDigital, Inc. (1)		7,490		283,497
				706,066
Computer Storage & Peripherals — 1.9%
Immersion Corp. (2)		22,600		146,674
Lexmark International, Inc., Class A		11,500		424,120
				570,794

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

15

February 29, 2012 (Unaudited)

Schedule of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Consulting & Other Services — 0.9%
ManTech International Corp.		8,000		$     268,320
Data Processing & Outsourced Services — 3.3%
CSG Systems International, Inc. (2)		21,400		342,614
MoneyGram International, Inc. (2)		16,300		292,096
NeuStar, Inc., Class A (2)		9,400		329,470
				964,180
Internet Software & Services — 0.9%
EarthLink, Inc.		34,100		254,727
Semiconductor Equipment — 2.3%
FSI International, Inc. (1)(2)		67,100		267,058
Tessera Technologies, Inc. (2)		25,000		420,000
				687,058
Semiconductors — 0.9%
Lattice Semiconductor Corp. (2)		41,900		276,121
Technology Distributors — 3.1%
Brightpoint, Inc. (2)		58,700		516,560
SYNNEX Corp. (1)(2)		9,400		387,562
				904,122
Total Information Technology				5,069,826
Materials — 4.9%
Commodity Chemicals — 0.5%
TPC Group, Inc. (2)		4,350		151,119
Paper Packaging — 1.3%
Graphic Packaging Corp. (2)		71,600		378,048
Paper Products — 1.4%
KapStone Paper and Packaging Corp. (2)		20,800		418,080
Specialty Chemicals — 1.7%
W.R. Grace & Co. (2)		9,000		512,640
Total Materials				1,459,887
Utilities — 2.5%
Electric Utilities — 2.5%
Great Plains Energy, Inc.		17,310		342,392
Portland General Electric Co.		15,600		384,384
Total Utilities				726,776
Total Common Stocks (identified cost $26,618,505)				28,014,499
Short-Term Investments — 31.0%
Collateral Pool Investment for Securities on Loan — 23.8%
(See Note 2 of the Financial Statements)				6,987,110
Mutual Funds — 7.2%
BMO Prime Money Market Fund, Class I, 0.210% (11)		2,137,105		2,137,105
Total Short-Term Investments (identified cost $9,124,215)				9,124,215
Total Investments — 126.0% (identified cost $35,742,720)				37,138,714
Other Assets and Liabilities — (26.0)%				(7,659,852	)
Total Net Assets — 100.0%				$29,478,862

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	12.6%
Consumer Staples	4.2
Energy	5.8
Financials	22.4
Healthcare	9.7
Industrials	15.7
Information Technology	17.2
Materials	4.9
Mutual Funds	7.2
Utilities	2.5
Other Assets & Liabilities, Net	(2.2)
Total	100.0%

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 96.9%
Consumer Discretionary — 9.1%
Auto Parts & Equipment — 1.3%
Dana Holding Corp. (2)		479,050		$    7,664,800
Automotive Retail — 2.4%
Lithia Motors, Inc., Class A (1)		272,500		6,433,725
Sonic Automotive, Inc., Class A (1)		457,100		7,830,123
				14,263,848
Casinos & Gaming — 2.3%
Ameristar Casinos, Inc.		246,100		4,882,624
Pinnacle Entertainment, Inc. (2)		773,100		8,511,831
				13,394,455
Footwear — 0.5%
Steven Madden, Ltd. (1)(2)		70,800		3,057,144
Leisure Products — 1.7%
Arctic Cat, Inc. (2)		279,600		10,283,688
Restaurants — 0.9%
Biglari Holdings, Inc. (2)		13,605		5,584,989
Total Consumer Discretionary				54,248,924
Energy — 13.9%
Oil & Gas-Drilling — 3.7%
Unit Corp. (1)(2)		458,600		21,815,602
Oil & Gas-Exploration & Production — 10.2%
Advantage Oil & Gas, Ltd. (2)		783,900		3,018,015
Forest Oil Corp. (1)(2)		2,043,000		26,415,990
Gulfport Energy Corp. (1)(2)		222,600		7,483,812
Lone Pine Resources, Inc. (2)		1,091,400		8,109,102
Petroleum Development Corp. (1)(2)		492,010		16,010,005
				61,036,924
Total Energy				82,852,526
Financials — 12.8%
Asset Management & Custody Banks — 8.7%
American Capital, Ltd. (2)		2,723,300		24,264,603
Internet Capital Group, Inc. (1)(2)		768,200		6,660,294
Safeguard Scientifics, Inc. (1)(2)(11)		1,230,900		20,814,519
				51,739,416

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

16

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Specialized REIT’s — 4.1%
Entertainment Properties Trust, REIT		79,400		$    3,612,700
LaSalle Hotel Properties (1)		237,400		6,333,832
Sabra Health Care REIT, Inc.		1,023,900		14,621,292
				24,567,824
Total Financials				76,307,240
Healthcare — 17.4%
Healthcare Equipment — 5.0%
DexCom, Inc. (1)(2)		275,800		2,975,882
Insulet Corp. (1)(2)		221,000		4,358,120
NxStage Medical, Inc. (1)(2)		306,280		6,125,600
Thoratec Corp. (1)(2)		142,400		4,912,800
Volcano Corp. (1)(2)		221,000		6,194,630
Zoll Medical Corp. (1)(2)		73,400		5,369,210
				29,936,242
Healthcare Facilities — 1.7%
Emeritus Corp. (1)(2)		234,700		4,332,562
HealthSouth Corp. (1)(2)		284,800		5,798,528
				10,131,090
Healthcare Services — 2.2%
HMS Holdings Corp. (1)(2)		158,100		5,093,982
MEDNAX, Inc. (1)(2)		105,000		7,810,950
				12,904,932
Healthcare Technology — 1.9%
Quality Systems, Inc.		109,300		4,685,691
SXC Health Solutions Corp. (2)		95,200		6,740,160
				11,425,851
Life Sciences Tools & Services — 1.0%
PAREXEL International Corp. (1)(2)		245,700		6,014,736
Managed Healthcare — 1.5%
Centene Corp. (1)(2)		96,100		4,689,680
Molina Healthcare, Inc. (2)		124,450		4,226,322
				8,916,002
Pharmaceuticals — 4.1%
Akorn, Inc. (1)(2)		435,500		5,456,815
Jazz Pharmaceuticals, Inc. (1)(2)		155,700		8,169,579
Medicis Pharmaceutical Corp., Class A (1)		153,400		5,359,796
Salix Pharmaceuticals, Ltd. (1)(2)		109,100		5,380,812
				24,367,002
Total Healthcare				103,695,855
Industrials — 14.0%
Aerospace & Defense — 3.7%
BE Aerospace, Inc. (1)(2)		163,000		7,471,920
Hexcel Corp. (1)(2)		241,000		6,090,070
Triumph Group, Inc.		137,900		8,798,020
				22,360,010
Air Freight & Logistics — 0.8%
Hub Group, Inc., Class A (1)(2)		139,200		4,959,696
Construction & Engineering — 1.0%
Chicago Bridge & Iron Co.		121,800		5,666,136
Common Stocks (continued)
Industrials (continued)
Construction & Farm Machinery & Heavy Trucks — 0.6%
The Manitowoc Co., Inc.		242,200		$    3,812,228
Human Resource & Employment Services — 0.3%
Korn/Ferry International (2)		126,000		2,012,220
Industrial Machinery — 3.5%
Actuant Corp., Class A (1)		182,000		5,126,940
Altra Holdings, Inc. (2)		236,011		4,599,854
Gardner Denver, Inc.		78,400		5,384,512
Trimas Corp. (1)(2)		233,900		5,667,397
				20,778,703
Research & Consulting Services — 1.7%
Acacia Research Corp. (2)		254,600		10,056,700
Trading Companies & Distributors — 2.4%
MSC Industrial Direct Co., Inc., Class A		50,800		4,034,028
United Rentals, Inc. (1)(2)		148,200		6,176,976
Watsco, Inc. (1)		54,400		3,883,616
				14,094,620
Total Industrials				83,740,313
Information Technology — 23.3%
Application Software — 9.0%
ACI Worldwide, Inc. (1)(2)		133,700		5,051,186
Aspen Technology, Inc. (2)		226,100		4,648,616
Bottomline Technologies, Inc. (1)(2)		138,700		3,897,470
Ebix, Inc.		1,089,850		25,393,505
NICE Systems, Ltd., ADR (2)		241,400		8,253,466
Taleo Corp., Class A (1)(2)		136,800		6,268,176
				53,512,419
Communications Equipment — 1.3%
Aruba Networks, Inc. (1)(2)		233,300		5,036,947
NETGEAR, Inc. (1)(2)		79,900		3,001,843
				8,038,790
Computer Storage & Peripherals — 0.6%
Electronics for Imaging, Inc. (2)		244,000		3,894,240
Data Processing & Outsourced Services — 3.9%
Cardtronics, Inc. (1)(2)		278,400		7,402,656
ExlService Holdings, Inc. (2)		183,300		5,099,406
VeriFone Systems, Inc. (1)(2)		219,800		10,526,222
				23,028,284
Internet Software & Services — 2.4%
Ancestry.com, Inc. (1)(2)		421,600		9,604,048
Rackspace Hosting, Inc. (1)(2)		56,800		2,967,232
Zix Corp. (1)(2)		509,500		1,492,835
				14,064,115
Semiconductors — 4.8%
Cavium Networks, Inc. (1)(2)		122,400		4,373,352
CEVA, Inc. (1)(2)		355,700		8,768,005
Cypress Semiconductor Corp. (1)(2)		295,800		5,102,550
EZchip Semiconductor, Ltd. (1)(2)		68,000		2,748,560
Microsemi Corp. (1)(2)		367,300		7,683,916
				28,676,383
Systems Software — 1.3%
Ariba, Inc. (2)		256,300		8,065,761
Total Information Technology				139,279,992

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

17

February 29, 2012 (Unaudited)

Schedule of Investments

Small-Cap Growth Fund (continued)

Description	Shares or Warrants		Value
Common Stocks (continued)
Materials — 5.1%
Commodity Chemicals — 1.2%
Methanex Corp.		217,100		$    6,803,914
Gold — 3.9%
AuRico Gold, Inc. (1)(2)		1,958,050		19,169,310
Lake Shore Gold Corp. (2)		2,716,500		4,319,235
				23,488,545
Total Materials				30,292,459
Telecommunication Services — 1.3%
Alternative Carriers — 0.0%
8x8, Inc. (1)(2)		30,100		129,129
Wireless Telecommunication Services — 1.3%
SBA Communications Corp. (1)(2)		160,800		7,546,344
Total Telecommunication Services				7,675,473
Total Common Stocks (identified cost $481,690,964)				578,092,782
Warrants — 0.0%
Magnum Hunter Resource Corp., Exercise Price: $10.50, 10/14/2013 (1)(2)		80,820		—
Total Warrants (identified cost $0)				—
Short-Term Investments — 40.0%
Collateral Pool Investment for Securities on Loan — 36.1%
(See Note 2 of the Financial Statements)				215,492,987
Mutual Funds — 3.9%
BMO Prime Money Market Fund, Class I, 0.210% (11)		23,460,497		23,460,497
Total Short-Term Investments (identified cost $238,953,484)				238,953,484
Total Investments — 136.9% (identified cost $720,644,448)				817,046,266
Other Assets and Liabilities — (36.9)%				(220,271,417	)
Total Net Assets — 100.0%				$596,774,849

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	9.1%
Energy	13.9
Financials	12.8
Healthcare	17.4
Industrials	14.0
Information Technology	23.3
Materials	5.1
Mutual Funds	3.9
Telecommunication Services	1.3
Warrants	0.0
Other Assets & Liabilities, Net	(0.8)
Total	100.0%

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 91.3%
Australia — 9.5%
Brambles, Ltd.		188,000		$    1,459,734
Computershare, Ltd.		141,700		1,176,219
QBE Insurance Group, Ltd.		147,200		1,839,124
Rio Tinto, Ltd.		10,900		788,471
Telstra Corp., Ltd.		377,000		1,334,235
Woodside Petroleum, Ltd.		32,400		1,293,993
Woolworths, Ltd.		61,500		1,669,339
				9,561,115
Belgium — 3.0%
Belgacom SA		34,680		1,104,048
Colruyt SA		48,880		1,915,913
				3,019,961
Bermuda — 1.3%
VTech Holdings, Ltd.		115,200		1,298,120
Cayman Islands — 1.0%
ASM Pacific Technology, Ltd.		72,900		1,027,303
France — 7.4%
Air Liquide SA		12,830		1,667,119
Legrand SA		30,730		1,115,658
Sanofi		25,390		1,877,741
Total SA		49,420		2,764,716
				7,425,234
Germany — 6.4%
Adidas AG		10,790		847,868
Deutsche Post AG		62,046		1,089,923
SAP AG		23,180		1,564,209
Symrise AG		38,199		1,115,055
Wincor Nixdorf AG		34,210		1,858,669
				6,475,724
Hong Kong — 5.4%
CNOOC, Ltd.		632,000		1,447,142
Hang Seng Bank, Ltd.		130,000		1,821,897
Power Assets Holdings, Ltd.		291,000		2,172,314
				5,441,353
Ireland — 1.1%
CRH PLC		51,200		1,094,148
Israel — 2.5%
Bezeq Israeli Telecommunication Corp., Ltd.		430,770		712,064
Teva Pharmaceutical Industries, Ltd.		40,220		1,801,975
				2,514,039
Japan — 8.3%
Makita Corp.		38,000		1,580,022
Mitsubishi Electric Corp.		160,000		1,434,863
Shin-Etsu Chemical Co., Ltd.		24,600		1,317,911
Sumitomo Rubber Industries, Ltd.		120,800		1,520,216
Tokyu REIT, Inc., REIT		207		1,135,712
Toyota Tsusho Corp.		71,500		1,434,574
				8,423,298
Malaysia — 3.8%
Lafarge Malayan Cement Bhd		392,400		940,555
Malayan Banking Bhd		517,000		1,510,182
Telekom Malaysia Bhd		772,000		1,337,566
				3,788,303

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

18

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Netherlands — 4.8%
Koninklijke KPN NV		154,570		$    1,675,269
Koninklijke Vopak NV		9,830		548,744
Reed Elsevier NV		129,410		1,597,060
Unilever NV		32,000		1,062,855
				4,883,928
Norway — 1.0%
Telenor ASA		54,510		1,007,422
Singapore — 3.6%
ComfortDelGro Corp., Ltd.		764,000		934,650
Sakari Resources, Ltd.		212,000		450,902
StarHub, Ltd.		377,000		886,243
United Overseas Bank, Ltd.		69,000		995,842
Venture Corp., Ltd.		59,000		397,689
				3,665,326
Spain — 1.9%
Telefonica SA		110,330		1,882,975
Sweden — 1.0%
Swedish Match AB		25,170		961,259
Switzerland — 11.7%
Givaudan SA (2)		609		575,208
Nestle SA		49,470		3,023,865
Novartis AG		43,370		2,362,891
Panalpina Welttransport Holding AG (2)		6,380		772,201
Roche Holding AG		15,250		2,654,886
Schindler Holding AG		4,975		613,145
Syngenta AG (2)		1,840		599,978
Zurich Financial Services AG (2)		4,950		1,246,391
				11,848,565
Taiwan — 2.7%
Advantech Co., Ltd.		262,400		883,712
Chunghwa Telecom Co., Ltd.		378,000		1,162,444
MediaTek, Inc.		70,000		716,764
				2,762,920
United Kingdom — 14.9%
BP PLC		139,200		1,090,436
British American Tobacco PLC		22,200		1,122,052
British Sky Broadcasting Group PLC		90,000		959,313
GlaxoSmithKline PLC		59,300		1,308,501
Legal & General Group PLC		633,100		1,216,696
National Grid PLC		105,100		1,072,611
Royal Dutch Shell PLC, A Shares		51,720		1,887,694
Royal Dutch Shell PLC, B Shares		38,200		1,415,693
SSE PLC		53,500		1,097,960
Tesco PLC		202,300		1,017,333
United Utilities Group PLC		108,200		1,052,608
Vodafone Group PLC		660,600		1,779,781
				15,020,678
Total Common Stocks (identified cost $87,205,958)				92,101,671
Preferred Stocks — 1.1%
Germany — 1.1%
Fuchs Petrolub AG		22,012		$    1,169,544
Total Preferred Stocks (identified cost $967,803)				1,169,544
Total Investments — 92.4% (identified cost $88,173,761)				93,271,215
Other Assets and Liabilities — 7.6%				7,636,547
Total Net Assets — 100.0%				$100,907,762

Industry Division

Industry	Value		% of Total Net Assets
Agriculture	$	2,083,311		2.1	%
Apparel		847,868		0.8
Auto Parts & Equipment		1,520,217		1.5
Banks		4,327,921		4.3
Building Materials		2,034,703		2.0
Chemicals		5,275,271		5.2
Coal		450,902		0.5
Commercial Services		1,459,734		1.5
Computers		3,918,600		3.9
Distribution/Wholesale		1,434,574		1.4
Electric		3,270,273		3.2
Electrical Components & Equipment		2,550,520		2.5
Electronics		397,689		0.4
Food		8,689,306		8.6
Gas		1,072,611		1.1
Hand/Machine Tools		2,193,167		2.2
Insurance		4,302,211		4.3
Media		2,556,373		2.5
Mining		788,471		0.8
Oil & Gas		9,899,673		9.8
Pharmaceuticals		10,005,994		9.9
Real Estate Investment Trusts		1,135,712		1.1
Semiconductors		1,744,068		1.7
Software		1,564,209		1.6
Telecommunications		14,180,168		14.1
Transportation		3,345,517		3.3
Water		1,052,608		1.0
Total Common Stocks		92,101,671		91.3
Preferred Stocks		1,169,544		1.1
Total Investments		93,271,215		92.4
Other Assets and Liabilities		7,636,547		7.6
Total Net Assets	$	100,907,762		100.0	%

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	4.9%
Consumer Staples	10.7
Energy	11.4
Financials	9.7
Healthcare	9.9
Industrials	10.9
Information Technology	8.8
Materials	8.0
Telecommunication Services	12.8
Utilities	5.3
Other Assets & Liabilities, Net	7.6
Total	100.0%

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

19

February 29, 2012 (Unaudited)

Schedule of Investments

Lloyd George Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 90.8%
Argentina — 0.2%
YPF SA, ADR		5,390		$     141,380
Bermuda — 6.1%
Credicorp, Ltd.		9,300		1,142,877
Jardine Matheson Holdings, Ltd.		24,000		1,224,000
VTech Holdings, Ltd.		111,400		1,255,300
				3,622,177
Brazil — 12.2%
AES Tiete SA		72,700		939,840
BM&FBOVESPA SA		121,500		812,948
CCR SA		153,100		1,223,195
EDP—Energias do Brasil SA		32,400		792,430
Localiza Rent a Car SA		55,800		1,030,703
Petroleo Brasileiro SA		88,600		1,325,969
Vale SA, ADR		45,510		1,118,636
				7,243,721
Chile — 2.8%
Aguas Andinas SA, Class A		1,237,190		755,437
Banco Santander—Chile, ADR		11,250		911,363
				1,666,800
China — 2.5%
Dongfeng Motor Group Co., Ltd., Class H		290,000		566,076
PetroChina Co., Ltd., Class H		608,000		918,718
				1,484,794
Colombia — 1.3%
Ecopetrol SA, ADR		13,600		791,384
Czech Republic — 1.4%
CEZ AS		19,500		842,049
Hong Kong — 9.9%
China Mobile, Ltd.		77,000		823,490
CLP Holdings, Ltd.		116,500		1,031,891
CNOOC, Ltd.		492,000		1,126,572
SJM Holdings, Ltd.		543,000		1,139,738
Swire Pacific, Ltd.		392,500		865,340
Swire Properties, Ltd. (2)		45,850		112,789
Television Broadcasts, Ltd.		127,000		808,057
				5,907,877
India — 4.7%
Ashok Leyland, Ltd.		1,495,440		854,363
Mahindra & Mahindra, Ltd.		72,460		1,051,195
Tata Consultancy Services, Ltd.		35,280		878,868
				2,784,426
Indonesia — 2.9%
Bank Mandiri Tbk PT		1,473,904		1,053,956
United Tractors Tbk PT		207,500		667,128
				1,721,084
Israel — 1.4%
Israel Chemicals, Ltd.		79,630		844,529
Malaysia — 3.8%
Kuala Lumpur Kepong Bhd		129,100		1,009,355
Public Bank Bhd		269,400		1,226,712
				2,236,067
Mauritius — 1.8%
Golden Agri-Resources, Ltd.		1,804,000		1,052,989
Common Stocks (continued)
Mexico — 1.3%
Grupo Financiero Banorte SAB de CV, Class O		196,900		$     797,340
Peru — 1.1%
Cia de Minas Buenaventura SA, ADR		16,260		652,514
Philippines — 1.6%
Universal Robina Corp.		773,260		958,549
Russia — 4.8%
LUKOIL OAO, ADR		16,820		1,072,275
NovaTek OAO, GDR		7,110		1,031,661
Sberbank of Russia		213,570		730,409
				2,834,345
Singapore — 2.8%
Fraser and Neave, Ltd.		135,000		722,145
Jardine Cycle & Carriage, Ltd.		25,000		955,303
				1,677,448
South Africa — 9.8%
African Bank Investments, Ltd.		178,920		935,811
Discovery Holdings, Ltd.		206,140		1,342,444
FirstRand, Ltd.		261,280		831,288
Foschini Group, Ltd.		73,930		1,163,283
Life Healthcare Group Holdings, Ltd.		339,470		982,897
MTN Group, Ltd.		30,630		551,686
				5,807,409
South Korea — 8.0%
Hyundai Marine & Fire Insurance Co., Ltd.		37,440		1,080,974
Hyundai Motor Co.		4,700		907,462
KT&G Corp.		16,800		1,099,251
Samsung Electronics Co., Ltd.		1,560		1,681,700
				4,769,387
Taiwan — 5.9%
Catcher Technology Co., Ltd.		86,000		630,460
Chunghwa Telecom Co., Ltd.		287,000		882,596
St. Shine Optical Co., Ltd.		44,000		555,314
Taiwan Semiconductor Manufacturing Co., Ltd.		514,839		1,420,378
				3,488,748
Thailand — 4.5%
Bangkok Bank PCL		114,926		736,681
Kasikornbank PCL		160,669		788,348
PTT PCL		96,300		1,123,208
				2,648,237
Total Common Stocks (identified cost $46,495,674)				53,973,254
Preferred Stocks — 5.9%
Brazil — 5.9%
Cia Energetica de Minas Gerais		73,600		1,687,367
Itausa—Investimentos Itau SA		117,300		819,683
Telefonica Brasil SA		33,800		1,011,687
Total Preferred Stocks (identified cost $2,966,912)				3,518,737

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

20

BMO Funds

Lloyd George Emerging Markets Equity Fund (continued)

Description	Principal Amount		Value
Short-Term Investments — 2.3%
Repurchase Agreement — 2.3%
Agreement with State Street Bank & Trust Co., 0.030%, dated 2/29/2012, to be repurchased at $1,341,128 on 3/1/2012, collateralized by a U.S. Government Agency Obligation with a maturity of 5/25/2041, with a market value of $1,369,641 (at amortized cost)		$1,341,127		$    1,341,127
Total Short-Term Investments (identified cost $1,341,127)				1,341,127
Total Investments — 99.0% (identified cost $50,803,713)				58,833,118
Other Assets and Liabilities — 1.0%				579,015
Total Net Assets — 100.0%				$59,412,133

Industry Division

Industry	Value		% of Total Net Assets
Agriculture	$	3,161,594		5.3	%
Auto Manufacturers		3,379,095		5.7
Banks		8,218,973		13.8
Chemicals		844,529		1.4
Commercial Services		2,253,899		3.8
Computers		878,869		1.5
Distribution/Wholesale		955,303		1.6
Diversified Financial Services		1,748,759		2.9
Electric		3,606,209		6.1
Food		958,549		1.6
Healthcare-Products		555,314		0.9
Healthcare-Services		982,897		1.6
Holding Companies-Diversified		2,089,340		3.5
Insurance		2,423,417		4.1
Iron/Steel		1,118,636		1.9
Lodging		1,139,739		1.9
Machinery-Construction & Mining		667,129		1.1
Media		808,057		1.4
Metal Fabricate/Hardware		630,460		1.1
Mining		652,514		1.1
Oil & Gas		7,531,167		12.7
Real Estate		834,934		1.4
Retail		1,163,283		2.0
Semiconductors		3,102,079		5.2
Telecommunications		3,513,072		5.9
Water		755,437		1.3
Total Common Stocks		53,973,254		90.8
Preferred Stocks		3,518,737		5.9
Repurchase Agreement		1,341,127		2.3
Total Investments		58,833,118		99.0
Other Assets and Liabilities		579,015		1.0
Total Net Assets	$	59,412,133		100.0	%

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	11.1%
Consumer Staples	6.9
Energy	12.7
Financials	22.4
Healthcare	2.6
Industrials	11.0
Information Technology	9.9
Materials	4.4
Telecommunication Services	5.5
Utilities	10.2
Other Assets & Liabilities, Net	3.3
Total	100.0%

Pyrford Global Strategic Return Fund

Description	Shares		Value
Common Stocks — 23.6%
Australia — 0.8%
Brambles, Ltd.		7,000		$       54,352
QBE Insurance Group, Ltd.		4,500		56,223
Woolworths, Ltd.		2,100		57,002
				167,577
Belgium — 0.1%
Colruyt SA		600		23,518
Bermuda — 0.6%
VTech Holdings, Ltd.		10,300		116,065
Canada — 0.8%
Imperial Oil, Ltd.		2,111		100,894
Metro, Inc.		1,241		64,292
				165,186
France — 0.4%
Air Liquide SA		160		20,790
Sanofi		350		25,884
Total SA		800		44,755
				91,429
Germany — 0.2%
SAP AG		320		21,594
Wincor Nixdorf AG		410		22,276
				43,870
Hong Kong — 2.1%
CNOOC, Ltd.		51,000		116,779
Hang Seng Bank, Ltd.		10,000		140,146
Power Assets Holdings, Ltd.		22,000		164,230
				421,155
Israel — 0.9%
Bezeq Israeli Telecommunication Corp., Ltd.		24,890		41,143
Teva Pharmaceutical Industries, Ltd.		2,980		133,513
				174,656
Japan — 0.9%
Makita Corp.		1,500		62,369
Shin-Etsu Chemical Co., Ltd.		1,000		53,574
Sumitomo Rubber Industries, Ltd.		4,900		61,664
				177,607

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

21

February 29, 2012 (Unaudited)

Schedule of Investments

Pyrford Global Strategic Return Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Malaysia — 1.3%
Malayan Banking Bhd		46,000		$     134,368
Telekom Malaysia Bhd		79,000		136,875
				271,243
Netherlands — 0.3%
Koninklijke KPN NV		1,950		21,135
Reed Elsevier NV		1,830		22,584
Unilever NV		430		14,282
				58,001
Norway — 0.5%
Telenor ASA		5,010		92,592
Singapore — 1.3%
ComfortDelGro Corp., Ltd.		73,000		89,305
StarHub, Ltd.		33,000		77,576
United Overseas Bank, Ltd.		6,000		86,595
				253,476
Spain — 0.1%
Telefonica SA		1,700		29,013
Sweden — 0.4%
Swedish Match AB		2,360		90,130
Switzerland — 1.4%
Nestle SA		1,420		86,798
Novartis AG		1,260		68,647
Roche Holding AG		450		78,341
Syngenta AG (2)		60		19,564
Zurich Financial Services AG (2)		110		27,698
				281,048
Taiwan — 1.0%
Advantech Co., Ltd.		19,600		66,009
Chunghwa Telecom Co., Ltd.		43,000		132,236
				198,245
United Kingdom — 1.0%
BP PLC		1,900		14,884
British American Tobacco PLC		300		15,163
British Sky Broadcasting Group PLC		1,300		13,857
GlaxoSmithKline PLC		1,000		22,066
Legal & General Group PLC		9,100		17,488
National Grid PLC		1,500		15,308
Royal Dutch Shell PLC, A Shares		800		29,199
SSE PLC		800		16,418
Tesco PLC		2,900		14,584
United Utilities Group PLC		1,500		14,592
Vodafone Group PLC		9,100		24,517
				198,076
United States — 9.5%
Altria Group, Inc.		6,500		195,650
Automatic Data Processing, Inc.		1,670		90,714
Exxon Mobil Corp.		4,590		397,035
General Dynamics Corp.		2,122		155,394
Home Depot, Inc.		3,278		155,935
Linear Technology Corp.		4,410		147,647
McDonald’s Corp.		1,301		129,163
Microsoft Corp.		6,200		196,788
Philip Morris International, Inc.		1,600		133,632
Sigma-Aldrich Corp.		1,209		86,794
Stryker Corp.		2,167		116,238
Common Stocks (continued)
United States (continued)
T. Rowe Price Group, Inc.		2,047		$     126,075
				1,931,065
Total Common Stocks (identified cost $4,534,601)				4,783,952
Preferred Stocks — 0.1%
Germany — 0.1%
Fuchs Petrolub AG		412		21,890
Total Preferred Stocks (identified cost $18,655)				21,890
International Bonds — 70.5%
Canada — 11.2%
Canadian Government Bond, 2.500%, 9/1/2013 (12)		$2,200,000		2,270,261
Germany — 9.0%
Bundesrepublik Deutschland, 3.500%, 1/4/2016 (12)		400,000		593,601
Bundesrepublik Deutschland, 3.750%, 7/4/2013 (12)		420,000		586,283
Bundesrepublik Deutschland, 3.750%, 1/4/2015 (12)		440,000		643,280
				1,823,164
United Kingdom — 8.8%
United Kingdom Treasury Bond, 2.250%, 3/7/2014 (12)		170,000		280,370
United Kingdom Treasury Bond, 4.750%, 9/7/2015 (12)		600,000		1,092,717
United Kingdom Treasury Bond, 5.000%, 9/7/2014 (12)		230,000		407,791
				1,780,878
United States — 41.5%
United States Treasury Note/Bond, 0.250%, 11/30/2013		2,400,000		2,398,875
United States Treasury Note/Bond, 0.375%, 11/15/2014		1,000,000		999,375
United States Treasury Note/Bond, 1.250%, 8/31/2015		800,000		819,875
United States Treasury Note/Bond, 1.375%, 11/30/2015		800,000		822,875
United States Treasury Note/Bond, 1.500%, 12/31/2013		2,300,000		2,351,122
United States Treasury Note/Bond, 4.250%, 11/15/2014		900,000		992,883
				8,385,005
Total International Bonds (identified cost $14,140,741)				14,259,308
Total Investments — 94.2% (identified cost $18,693,997)				19,065,150
Other Assets and Liabilities — 5.8%				1,164,018
Total Net Assets — 100.0%				$20,229,168

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

22

BMO Funds

Pyrford Global Strategic Return Fund (continued)

Industry Division

Industry	Value		% of Total Net Assets
Aerospace/Defense	$	155,394		0.8	%
Agriculture		434,575		2.1
Auto Parts & Equipment		61,664		0.3
Banks		361,109		1.8
Chemicals		180,722		0.9
Commercial Services		145,066		0.7
Computers		88,285		0.4
Diversified Financial Services		126,075		0.6
Electric		180,648		0.9
Food		260,475		1.3
Gas		15,308		0.1
Hand/Machine Tools		62,369		0.3
Healthcare-Products		116,238		0.6
Insurance		101,409		0.5
Media		36,441		0.2
Oil & Gas		703,545		3.5
Pharmaceuticals		328,452		1.6
Retail		285,098		1.4
Semiconductors		147,647		0.7
Software		218,382		1.1
Telecommunications		671,151		3.3
Transportation		89,306		0.4
Water		14,593		0.1
Total Common Stocks		4,783,952		23.6
Preferred Stocks		21,890		0.1
International Bonds		14,259,308		70.5
Total Investments		19,065,150		94.2
Other Assets and Liabilities		1,164,018		5.8
Total Net Assets	$	20,229,168		100.0	%

Portfolio Sector Allocations*
Sector	Fund
Consumer Discretionary	1.9%
Consumer Staples	3.4
Energy	3.6
Financials	2.9
Healthcare	2.2
Industrials	1.8
Information Technology	3.3
Materials	0.9
Telecommunication Services	32.7
Utilities	1.0
International Bonds	70.5
Other Assets & Liabilities, Net	5.8
Total	100.0%

Ultra Short Tax-Free Fund

Description	Principal Amount		Value
Municipals — 91.9%
Alabama — 2.2%
Alabama Agricultural & Mechanical University, AMBAC, 5.000%, 11/1/2012		$     300,000		$       304,935
Alabama Agricultural & Mechanical University, AMBAC, 5.000%, 11/1/2013		475,000		487,887
Alabama Board of Education, AMBAC, 5.375%, 10/1/2014, Call 4/2/2012		50,000		50,077
Alabama Drinking Water Finance Authority, AMBAC, 5.000%, 8/15/2014		500,000		539,340
Alabama Drinking Water Finance Authority, AMBAC, 5.250%, 8/15/2021, Call 3/15/2012		690,000		690,966
Alabama Private Colleges & Universities Facilities Authority, AGC, 5.000%, 9/1/2015		700,000		753,018
Birmingham-Baptist Medical Centers Special Care Facilities Financing Authority, 5.000%, 11/15/2012		1,600,000		1,639,632
Birmingham-Baptist Medical Centers Special Care Facilities Financing Authority, 5.000%, 11/15/2013		1,045,000		1,103,238
County of Jefferson, 5.400%, 9/1/2012, Call 4/2/2012		10,000		10,003
County of Pike, 2.000%, 10/1/2012		470,000		472,162
Health Care Authority for Baptist Health, ACG, 0.630%, 11/15/2037, Call 3/2/2012 (3)		1,100,000		1,100,000
Southeast Alabama Gas District, 3.000%, 8/1/2027, Call 3/1/2012 (3)		5,000,000		5,000,000
				12,151,258
Alaska — 0.1%
Alaska Housing Finance Corp., 3.875%, 6/1/2014, Call 10/1/2012		50,000		50,282
Alaska Industrial Development & Export Authority, 3.500%, 4/1/2012		270,000		270,462
State of Alaska, AMBAC, 4.550%, 7/15/2012		100,000		101,140
State of Alaska, AMBAC, 4.600%, 7/15/2013, Call 7/15/2012		160,000		162,528
				584,412
Arizona — 2.2%
Arizona Health Facilities Authority, 1.160%, 2/2/2015, Call 2/1/2013 (3)		45,000		41,979
Arizona Health Facilities Authority, NATL-RE FGIC, 5.500%, 6/1/2014		1,130,000		1,201,540
Arizona School Facilities Board, 4.000%, 9/1/2014		100,000		106,060

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

23

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Arizona (continued)
Arizona School Facilities Board, AMBAC, 4.000%, 7/1/2015		$     50,000		$       53,247
Arizona School Facilities Board, AMBAC, 4.250%, 7/1/2015		25,000		26,824
Arizona School Facilities Board, AMBAC, 5.250%, 7/1/2013		500,000		520,620
Arizona School Facilities Board, NATL-RE FGIC, 5.000%, 9/1/2014		505,000		547,890
Arizona School Facilities Board, NATL-RE FGIC, 5.250%, 9/1/2014, Call 9/1/2013		175,000		184,600
County of Mohave, AGC, 3.250%, 4/1/2012		65,000		65,128
Glendale Industrial Development Authority, 3.875%, 12/1/2012		40,000		40,493
Maricopa County Elementary School District No. 2 Riverside, 3.000%, 7/1/2012		425,000		426,827
Maricopa County Pollution Control Corp., 6.000%, 5/1/2014 (3)		1,500,000		1,642,950
Maricopa County School District No. 17 Tolleson Elementary, 3.000%, 7/1/2012		300,000		301,776
Maricopa County Stadium District, AMBAC, 5.250%, 6/1/2012		250,000		249,562
Maricopa County Unified School District No. 95 Queen Creek, NATL-RE FGIC, 3.500%, 7/1/2012		225,000		226,123
Pima County Industrial Development Authority, 6.250%, 7/1/2013, Call 7/1/2012		240,000		241,018
Pima County Unified School District No. 30 Sahuarita, 0.000%, 7/1/2012		221,000		219,221
Pima County Unified School District No. 30 Sahuarita, 3.000%, 7/1/2012		900,000		904,977
Pima County Unified School District No. 6 Marana, NATL-RE, 4.500%, 7/1/2012		175,000		176,883
Pima County Unified School District No. 6 Marana, NATL-RE, 4.500%, 7/1/2013		50,000		52,030
Pinal County Electric District No. 3, 2.000%, 7/1/2013		745,000		756,436
Pinal County Electric District No. 3, 4.000%, 7/1/2014		1,000,000		1,055,420
Surprise Municipal Property Corp., AMBAC, 3.500%, 7/1/2012		100,000		101,039
Surprise Municipal Property Corp., AMBAC, 5.000%, 7/1/2013		100,000		105,457
Surprise Municipal Property Corp., AMBAC, 5.000%, 7/1/2015, Call 7/1/2014		100,000		107,956
Town of Gilbert, Transportation, 5.000%, 7/1/2012		50,000		50,738
University Medical Center Corp., 4.000%, 7/1/2013		500,000		518,570
Municipals (continued)
Arizona (continued)
University Medical Center Corp., 5.000%, 7/1/2013		$     540,000		$       567,119
Yuma Municipal Property Corp., 5.000%, 7/1/2019		1,385,000		1,659,368
				12,151,851
Arkansas — 0.2%
Conway Health Facilities Board, 2.750%, 8/1/2012		270,000		272,082
County of Jefferson, AGM, 3.000%, 6/1/2014		500,000		515,775
Siloam Springs Public Education Facilities Board, 2.000%, 12/1/2012		100,000		101,134
				888,991
California — 7.9%
Alvord Unified School District, NATL-RE, 5.050%, 2/1/2013		370,000		382,924
Anaheim City School District, NATL-RE FGIC, 0.000%, 8/1/2017		200,000		175,332
Anaheim Public Financing Authority, AMBAC, 4.000%, 10/1/2012		25,000		25,299
Antioch Area Public Facilities Financing Agency, NATL-RE, 4.250%, 8/1/2012		100,000		101,336
Bay Area Governments Association, XLCA, 4.000%, 3/1/2012		225,000		225,000
California Community College Financing Authority, 3.000%, 6/1/2013		200,000		205,010
California Health Facilities Financing Authority, 3.500%, 8/15/2014		250,000		263,005
California Housing Finance Agency, 2.375%, 8/1/2014, Call 2/1/2013		650,000		653,373
California Infrastructure & Economic Development Bank, NATL-RE FGIC, 4.250%, 5/1/2013		950,000		974,823
California State Public Works Board, AMBAC, 5.250%, 6/1/2012		100,000		101,078
Carlsbad Unified School District, 0.000%, 8/1/2012		45,000		44,938
Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2012		300,000		302,685
City of Duarte, 2.000%, 7/1/2022, Call 3/7/2012 (3)		75,000		75,000
City of Fresno CA Water System Revenue, NATL-RE FGIC, 5.250%, 6/1/2015, Call 6/1/2013		525,000		549,659
City of Lodi, NATL-RE, 4.500%, 10/1/2016, Call 10/1/2014		175,000		189,305
City of Lodi, NATL-RE, 5.500%, 10/1/2017, Call 10/1/2014		175,000		192,502
City of Palo Alto, 2.000%, 9/2/2013		250,000		253,170
City of Santa Ana, AMBAC, 5.000%, 6/1/2012		225,000		226,220

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

24

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
California (continued)
City of Santa Rosa, 0.630%, 9/1/2033, Call 3/1/2012 (3)		$     300,000		$       300,000
City of Turlock, 5.000%, 10/15/2012		895,000		914,413
City of Yucaipa, 3.000%, 9/1/2014		425,000		434,749
City of Yucaipa, 3.000%, 9/1/2015		345,000		350,265
Compton Community College District, NATL-RE, 4.000%, 7/1/2013		100,000		102,820
County of San Bernardino, NATL-RE, 4.000%, 7/1/2012		240,000		241,447
Delhi Unified School District, AMBAC, 0.000%, 8/1/2012		405,000		400,180
Fairfield-Suisun Unified School District, AMBAC, 5.000%, 8/15/2013		1,980,000		2,071,951
Fresno Joint Powers Financing Authority, XLCA, 4.000%, 10/1/2014, Call 4/2/2012		90,000		90,146
Gilroy Unified School District, 0.000%, 4/1/2013		500,000		489,965
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2012		250,000		251,567
Golden State Tobacco Securitization Corp., AMBAC, 5.000%, 6/1/2014		150,000		159,869
Hemet Unified School District, 1.660%, 10/1/2012 (3)		5,000,000		5,000,200
Hesperia Unified School District, FSA, 3.000%, 2/1/2038, Call 3/1/2012 (3)		4,000,000		4,000,000
Hueneme Elementary School District, NATL-RE FGIC, 0.000%, 8/1/2014		100,000		94,760
Long Beach Bond Finance Authority, AMBAC, 5.000%, 8/1/2012		100,000		100,796
Long Beach Bond Finance Authority, AMBAC, 5.500%, 11/1/2014, Call 4/2/2012		100,000		100,217
Los Angeles Convention & Exhibit Center Authority, AMBAC, 3.500%, 8/15/2014		50,000		51,987
Midpeninsula Regional Open Space District, AMBAC, 3.250%, 9/1/2012		100,000		100,869
Oakland Unified School District/Alameda County, NATL-RE FGIC, 5.000%, 8/1/2013		180,000		188,521
Pittsburg Infrastructure Financing Authority, AGM, 2.000%, 9/2/2012		175,000		175,641
Pittsburg Infrastructure Financing Authority, AGM, 2.000%, 9/2/2013		200,000		200,792
Pittsburg Infrastructure Financing Authority, AGM, 3.000%, 9/2/2014		390,000		396,669
Municipals (continued)
California (continued)
Placer County Community Facilities District, 3.000%, 9/1/2013		$     735,000		$       748,009
Plumas Unified School District, 3.900%, 8/1/2012		25,000		25,119
Puttable Floating Option Tax-Exempt Receipts, 0.660%, 8/1/2030		6,260,000		6,260,000
Puttable Floating Option Tax-Exempt Receipts, 1.060%, 2/1/2025 (3)		1,980,000		1,980,000
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 0.690%, 8/1/2037, Call 8/1/2017 (3)(5)(6)		2,500,000		2,500,000
Rancho Santa Fe Community Services District, 3.000%, 9/1/2012		195,000		196,964
Rancho Santa Fe Community Services District, 3.000%, 9/1/2013		235,000		239,507
Sacramento Municipal Utility District, NATL-RE, 5.000%, 7/1/2012		100,000		101,400
Sacramento Municipal Utility District, NATL-RE, 5.000%, 7/1/2013		100,000		105,444
Salida Area Public Facilities Financing Agency, 3.000%, 9/1/2013		450,000		462,321
Salida Area Public Facilities Financing Agency, 3.000%, 9/1/2014		460,000		473,943
Salida Area Public Facilities Financing Agency, 3.000%, 9/1/2015		715,000		734,834
Santa Barbara Redevelopment Agency, AMBAC, 5.000%, 3/1/2013		500,000		516,610
Santa Rosa Elementary School District, AGM, 2.000%, 8/1/2012		265,000		266,717
Santaluz Community Facilities District No. 2, 3.000%, 9/1/2013		2,000,000		2,044,900
Santaluz Community Facilities District No. 2, 3.000%, 9/1/2014		760,000		780,041
Savanna Elementary School District, 4.000%, 5/1/2012		1,000,000		1,004,350
Sierra View Local Health Care District, 4.600%, 7/1/2015		100,000		107,879
Southern California Public Power Authority, 5.000%, 11/1/2014		900,000		951,723
State of California, 4.500%, 4/1/2012		20,000		20,059
State of California, 5.200%, 3/1/2014, Call 4/2/2012		75,000		75,258
State of California, NATL-RE, 5.000%, 6/1/2012, Call 4/2/2012		150,000		150,495
State of California, NATL-RE FGIC, 4.500%, 2/1/2014, Call 4/2/2012		35,000		35,106

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

25

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
California (continued)
Stockton Unified School District, NATL-RE, 4.500%, 1/1/2014, Call 4/2/2012		$     375,000		$       379,635
Vallejo City Unified School District, MBIA, 5.000%, 2/1/2013		500,000		508,990
Vallejo City Unified School District, NATL-RE, 5.200%, 2/1/2014		725,000		748,860
West Kern Water District, 3.000%, 6/1/2013		205,000		209,752
Westlands Water District, 4.000%, 9/1/2012		125,000		127,146
				42,913,545
Colorado — 7.1%
Broomfield Urban Renewal Authority, 1.100%, 12/1/2030, Call 3/1/2012 (3)		5,100,000		5,100,000
City of Colorado Springs, AMBAC, 1.450%, 12/15/2024 (3)		5,975,000		5,975,000
Colorado Educational & Cultural Facilities Authority, 2.375%, 3/1/2013		150,000		151,196
Colorado Educational & Cultural Facilities Authority, 2.400%, 12/1/2012		125,000		125,666
Colorado Educational & Cultural Facilities Authority, 3.000%, 6/1/2012		200,000		200,902
Colorado Educational & Cultural Facilities Authority, 4.500%, 12/15/2014, Call 4/2/2012		190,000		190,150
Colorado Educational & Cultural Facilities Authority, 4.750%, 12/15/2015, Call 4/2/2012		1,045,000		1,045,815
Colorado Educational & Cultural Facilities Authority, CIFG, 4.000%, 6/1/2014		300,000		307,749
Colorado Educational & Cultural Facilities Authority, XLCA, 3.600%, 12/1/2012		100,000		101,910
Colorado Educational & Cultural Facilities Authority, XLCA, 5.000%, 6/15/2014		465,000		488,245
Colorado Housing & Finance Authority, 0.850%, 4/1/2038, Call 3/7/2012 (3)		7,140,000		7,140,000
Colorado Mountain Junior College District, NATL-RE, 3.750%, 8/1/2015		525,000		554,736
Colorado Water Resources & Power Development Authority, NATL-RE, 5.000%, 9/1/2016, Call 9/1/2014		185,000		199,018
Cornerstar Metropolitan District, 1.310%, 12/1/2037, Call 3/1/2012 (3)		1,900,000		1,900,000
Municipals (continued)
Colorado (continued)
E-470 Public Highway Authority, 2.880%, 9/1/2014, Call 3/1/2014 (3)		$  2,000,000		$    2,004,020
Goldsmith Metropolitan District, 1.650%, 12/1/2034, Call 3/1/2012 (3)		5,120,000		5,120,000
Grand Junction Downtown Development Authority, 3.000%, 12/15/2012		80,000		80,151
Rangely Hospital District, 3.000%, 11/1/2013		1,000,000		1,017,830
Rangely Hospital District, 3.000%, 11/1/2014		665,000		674,510
Regional Transportation District, AMBAC, 5.000%, 12/1/2012		445,000		458,301
State of Colorado, 0.000%, 3/1/2012		300,000		300,000
Town of Castle Rock Co., NATL-RE FGIC, 3.800%, 12/1/2012		240,000		244,716
University of Colorado, NATL-RE, 0.900%, 6/1/2025 (3)		5,470,000		5,470,000
Washington County School District R-3, 5.100%, 12/1/2012, Call 4/2/2012		30,000		30,095
				38,880,010
Connecticut — 0.3%
City of Bridgeport, AMBAC, 6.250%, 3/1/2012		275,000		275,000
Connecticut State Health & Educational Facility Authority, 3.000%, 7/1/2013		670,000		687,822
Connecticut State Health & Educational Facility Authority, NATL-RE, 5.000%, 7/1/2013		875,000		922,276
				1,885,098
Florida — 5.4%
Bay Laurel Center Community Development District, AGM, 2.000%, 9/1/2013		400,000		405,716
Brevard County Health Facilities Authority, 5.000%, 4/1/2016		125,000		137,790
Citizens Property Insurance Corp., 1.910%, 6/1/2013 (3)		2,000,000		2,016,760
Citizens Property Insurance Corp., 4.000%, 6/1/2015		25,000		26,633
Citizens Property Insurance Corp., 5.000%, 6/1/2013		200,000		210,742
Citizens Property Insurance Corp., AGC, 4.500%, 6/1/2014		200,000		215,134
Citizens Property Insurance Corp., BHAC-CR NATL-RE, 5.000%, 3/1/2012		185,000		185,000
Citizens Property Insurance Corp., NATL-RE, 5.000%, 3/1/2014		550,000		596,629
Citizens Property Insurance Corp., NATL-RE, 5.000%, 3/1/2015		105,000		114,382

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

26

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
City of Daytona Beach FL Utility System Revenue, AGM, 4.250%, 11/15/2014, Call 11/15/2012		$     100,000		$     101,919
City of Gulf Breeze, 3.000%, 12/1/2012, Call 4/2/2012 (3)		10,000,000		10,053,000
City of Lakeland, 3.000%, 11/15/2013		250,000		257,992
City of Lakeland, NATL-RE, 0.000%, 10/1/2014		100,000		97,842
City of Leesburg, 5.000%, 7/1/2012		110,000		111,442
City of Leesburg, 5.000%, 7/1/2016, Call 7/1/2013		100,000		103,281
City of Melbourne FL Water & Sewer Revenue, NATL-RE FGIC, 0.000%, 10/1/2015		120,000		108,960
City of Ocala, AMBAC, 3.400%, 10/1/2012		150,000		151,953
City of Palm Bay, NATL-RE FGIC, 3.250%, 10/1/2012		30,000		30,528
City of Palm Bay, NATL-RE FGIC, 3.250%, 10/1/2012		70,000		71,200
City of Port St. Lucie, AGM, 1.500%, 9/1/2013		535,000		538,231
City of Port St. Lucie, AGM, 1.750%, 9/1/2014		640,000		644,205
City of Sunrise, NATL-RE, 0.000%, 10/1/2015		395,000		351,289
City of Tallahassee, NATL-RE, 6.625%, 12/1/2013, Call 4/2/2012		305,000		306,440
City of Tampa, NATL-RE, 5.500%, 11/15/2014		150,000		168,240
County of Bay, 3.500%, 9/1/2016		375,000		367,365
County of Clay, AMBAC, 3.000%, 6/1/2012		345,000		346,463
County of Miami-Dade, NATL-RE FGIC, 5.000%, 8/1/2014		525,000		571,504
County of Miami-Dade, XLCA, 4.000%, 10/1/2015		150,000		164,863
County of Sarasota, AMBAC, 4.000%, 10/1/2013		195,000		200,606
County of St. Lucie, NATL-RE, 5.250%, 10/1/2017, Call 10/1/2013		1,260,000		1,349,687
County of Volusia, AGM, 3.500%, 12/1/2013, Call 4/2/2012		50,000		50,094
Emerald Coast Utilities Authority, NATL-RE FGIC, 0.000%, 1/1/2015		60,000		54,388
Emerald Coast Utilities Authority, NATL-RE FGIC, 6.250%, 1/1/2013		400,000		413,112
Florida Department of Corrections, AMBAC, 3.300%, 3/1/2012		200,000		200,000
Florida Higher Educational Facilities Financial Authority, 3.000%, 7/1/2012		250,000		251,310
Florida Hurricane Catastrophe Fund Finance Corp., 4.125%, 7/1/2013		100,000		104,526
Municipals (continued)
Florida (continued)
Florida State Board of Education, NATL-RE FGIC, 5.000%, 7/1/2017, Call 7/1/2012		$     150,000		$       153,831
Halifax Hospital Medical Center, 5.000%, 6/1/2013		100,000		104,657
Hillsborough County Industrial Development Authority, 5.000%, 10/1/2012		500,000		510,740
Hillsborough County Industrial Development Authority, 5.100%, 10/1/2013, Call 10/1/2012		200,000		204,444
Hillsborough County School Board, AMBAC, 4.000%, 10/1/2013		50,000		51,469
Miami-Dade County School Board, AGM, 5.375%, 8/1/2014		150,000		165,861
Orange County Health Facilities Authority, 4.000%, 10/1/2013		220,000		229,599
Orange County Health Facilities Authority, 5.000%, 10/1/2012		735,000		751,773
Orlando Community Redevelopment Agency, 3.000%, 4/1/2014		1,005,000		1,036,889
Orlando Community Redevelopment Agency, 5.000%, 4/1/2015		1,835,000		2,009,710
Palm Beach County Health Facilities Authority, 5.350%, 10/1/2014, Call 10/1/2013		1,000,000		1,057,660
Palm Beach County School District, NATL-RE, 3.900%, 8/1/2015		100,000		106,837
Palm Beach County Solid Waste Authority, AMBAC, 0.000%, 10/1/2013		100,000		97,434
Pinellas County Educational Facilities Authority, 3.000%, 10/1/2013		105,000		107,404
Polk County School District, AGM, 4.500%, 10/1/2012		25,000		25,555
Polk County School District, NATL-RE, 5.000%, 10/1/2013		145,000		152,669
St. Johns County School Board, NATL-RE, 4.100%, 7/1/2014		400,000		419,612
St. Lucie County School Board, NATL-RE FGIC, 5.000%, 10/1/2012		855,000		873,759
Volusia County Educational Facility Authority, AGM, 3.000%, 10/15/2012		250,000		252,915
Volusia County Educational Facility Authority, RADIAN, 4.000%, 10/15/2012		40,000		40,692
				29,432,736
Georgia — 2.2%
Bartow County Development Authority, 5.100%, 6/6/2013 (3)		100,000		102,895
Burke County Development Authority, 6.750%, 4/1/2012 (3)		325,000		326,417

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

27

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Georgia (continued)
Downtown Dalton Development Authority, NATL-RE, 5.500%, 8/15/2017		$     400,000		$       439,752
East Point Building Authority, XLCA, 4.000%, 2/1/2013		35,000		35,501
Fulton County Development Authority, 4.000%, 10/1/2019		2,000,000		2,232,080
Fulton County Development Authority, 5.000%, 3/15/2016		210,000		235,040
Fulton County Development Authority, 5.000%, 10/1/2019		2,000,000		2,370,220
Gainesville & Hall County Development Authority, 5.000%, 11/15/2012		230,000		235,877
Gainesville & Hall County Development Authority, 7.250%, 11/15/2029, Call 4/2/2012		2,000,000		2,009,900
Georgia Housing & Finance Authority, FHA, 0.000%, 12/1/2016		2,010,000		1,486,435
Georgia Municipal Gas Authority, 2.000%, 5/23/2012		200,000		200,770
Private Colleges & Universities Authority, 4.000%, 10/1/2013		710,000		739,394
Private Colleges & Universities Authority, 4.000%, 10/1/2015		1,535,000		1,634,299
				12,048,580
Hawaii — 0.0%
Hawaii State Department of Budget & Finance, 5.250%, 7/1/2013, Call 4/16/2012		110,000		110,322
Illinois — 7.2%
Boone Mchenry & Dekalb Counties Community Unit School District 100, AGM, 0.000%, 12/1/2012		40,000		39,770
Central Lake County Joint Action Water Agency, AMBAC, 5.250%, 5/1/2016, Call 5/1/2013		125,000		130,628
Chicago Public Building Commission, AMBAC, 4.000%, 3/1/2012		100,000		100,000
Chicago Transit Authority, AMBAC, 4.000%, 6/1/2012		140,000		141,049
Chicago Transit Authority, AMBAC, 4.000%, 6/1/2012		10,000		10,091
Chicago Transit Authority, AMBAC, 5.250%, 6/1/2013		205,000		215,906
City of Berwyn, AMBAC, 5.000%, 12/1/2013		1,995,000		2,093,912
City of Chicago, 0.500%, 1/1/2042, Call 3/1/2012 (3)		6,000,000		6,000,000
City of Chicago, NATL-RE, 5.000%, 1/1/2013		200,000		207,408
City of Chicago, NATL-RE, 5.250%, 1/1/2017, Call 1/1/2013		840,000		874,616
City of Chicago, NATL-RE FGIC, 0.000%, 1/1/2016		150,000		138,645
Municipals (continued)
Illinois (continued)
City of Joliet, 2.000%, 1/1/2017		$     180,000		$       179,915
City of Joliet, 4.000%, 1/1/2014		560,000		588,067
City of Joliet, 4.000%, 1/1/2015		125,000		133,601
City of Ottawa, RADIAN, 4.200%, 8/15/2012		490,000		495,375
City of Waukegan, AGM, 3.000%, 12/30/2013		200,000		205,946
City of Waukegan, AGM, 4.000%, 12/30/2015		535,000		575,986
Cook County School District No. 130 Blue Island, XLCA, 4.250%, 12/1/2013		500,000		521,830
Cook County School District No. 149 Dolton, AMBAC, 0.000%, 12/1/2012		300,000		296,445
Cook County School District No. 30 Northbrook-Glenview, NATL-RE, 0.000%, 11/1/2012		955,000		941,764
County of Cook, NATL-RE, 5.250%, 11/15/2016, Call 11/15/2013		315,000		342,062
Illinois Finance Authority, 1.125%, 10/1/2012 (3)		500,000		502,155
Illinois Finance Authority, 4.000%, 4/1/2014		30,000		31,994
Illinois Finance Authority, 4.150%, 11/1/2012 (3)		110,000		111,777
Illinois Finance Authority, 4.390%, 8/15/2031, Call 3/1/2012 (3)		3,220,000		3,220,000
Illinois Finance Authority, 4.500%, 11/15/2012		250,000		254,825
Illinois Finance Authority, 4.550%, 11/1/2018, Call 11/1/2013		100,000		104,363
Illinois Finance Authority, 5.000%, 11/1/2014		100,000		107,611
Illinois Finance Authority, 5.250%, 5/15/2012		385,000		387,302
Illinois Finance Authority, 5.250%, 6/1/2013, Call 4/2/2012		175,000		175,572
Illinois Finance Authority, NATL-RE, 0.000%, 1/1/2013		75,000		73,783
Illinois Finance Authority, NATL-RE, 0.000%, 12/1/2013		50,000		47,903
Illinois Finance Authority, NATL-RE, 5.500%, 11/15/2015		25,000		28,110
Illinois Finance Authority, XLCA, 5.000%, 8/1/2015		50,000		54,346
Illinois Housing Development Authority, 4.000%, 7/1/2012		180,000		181,004
Illinois Housing Development Authority, 4.100%, 1/1/2013		220,000		223,058
Illinois Housing Development Authority, NATL-RE, 4.100%, 1/1/2014, Call 7/1/2013		145,000		148,128
Illinois State University, 4.000%, 4/1/2013		605,000		618,352
Kane & DeKalb Counties Community Unit School District No. 301 Burlington, AMBAC, 0.000%, 12/1/2012		100,000		97,795

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

28

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Kendall Kane & Will Counties Community Unit School District No. 308, 3.000%, 10/1/2014		$     155,000		$       163,420
Kendall Kane & Will Counties Community Unit School District No. 308, 4.000%, 10/1/2015		70,000		77,221
Lake County Community Unit School District No. 116 Round Lake, NATL-RE, 9.000%, 1/1/2013		465,000		490,245
Lake County School District No. 37 Gavin, FSA, 0.000%, 12/1/2014		400,000		376,528
Lake County School District No. 38 Big Hallow, AMBAC, 0.000%, 2/1/2013		450,000		436,392
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2015		200,000		179,894
Lake County Township High School District No. 126 Zion-Benton, NATL-RE, 0.000%, 2/1/2014		910,000		879,952
Macon-Christian-De Witt Etc Counties Community College District No. 537 Richland, 5.000%, 11/1/2013		275,000		292,262
Marion & Jefferson Counties Community High School District No. 600 Salem, NATL-RE FGIC, 0.000%, 11/1/2016		475,000		407,118
Mason Hospital District, RADIAN, 7.250%, 12/1/2015		155,000		169,280
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL-RE FGIC, 0.000%, 1/1/2014		400,000		380,512
Railsplitter Tobacco Settlement Authority, 3.000%, 6/1/2012		400,000		402,364
Railsplitter Tobacco Settlement Authority, 3.125%, 6/1/2014		325,000		338,923
Railsplitter Tobacco Settlement Authority, 4.000%, 6/1/2012		250,000		252,073
Saint Clair County School District No. 118 Belleville, AMBAC, 0.000%, 12/1/2014		200,000		182,064
Saint Clair County School District No. 189 East St. Louis, 2.250%, 1/1/2014		300,000		298,509
State of Illinois, 2.950%, 10/1/2033, Call 3/7/2012 (3)		7,000,000		7,000,000
State of Illinois, 3.500%, 9/1/2012		500,000		507,340
State of Illinois, 5.000%, 3/1/2015, Call 3/1/2014		225,000		241,155
State of Illinois, 5.250%, 10/1/2015, Call 10/1/2012		100,000		102,740
State of Illinois, AGM, 5.250%, 12/1/2018, Call 12/1/2012		100,000		103,339
Municipals (continued)
Illinois (continued)
State of Illinois, AGM, 5.375%, 12/1/2015, Call 12/1/2012		$     100,000		$       103,628
State of Illinois, AGM, 5.500%, 4/1/2013		130,000		137,086
State of Illinois, FSA, 5.500%, 12/15/2014, Call 4/2/2012		200,000		200,716
State of Illinois, NATL-RE, 5.500%, 8/1/2017, Call 8/1/2012		1,925,000		1,963,134
Town of Cicero, XLCA, 5.000%, 1/1/2013		235,000		238,433
Town of Cicero, XLCA, 5.000%, 1/1/2014		210,000		215,762
University of Illinois, 5.000%, 10/1/2012		100,000		102,177
University of Illinois, AMBAC, 5.000%, 10/1/2012		250,000		255,370
Village of Bourbonnais, 4.500%, 11/1/2015		210,000		230,830
Village of Cary, RADIAN, 4.400%, 3/1/2016		440,000		442,125
Village of Elwood, RADIAN, 4.200%, 3/1/2016, Call 3/1/2014		100,000		103,298
Village of Glenwood, AGM, 2.500%, 12/1/2012		170,000		171,105
Village of Glenwood, AGM, 3.000%, 12/1/2013		140,000		142,789
Village of Glenwood, AGM, 3.000%, 12/1/2014		165,000		169,107
Village of Harwood Heights, XLCA, 4.200%, 12/1/2012		50,000		50,496
Village of Hillside, 2.000%, 12/1/2016		175,000		178,341
Village of Melrose Park, NATL-RE FGIC, 0.000%, 12/15/2014		100,000		90,465
Village of Midlothian, 4.000%, 1/1/2014		100,000		102,725
Village of Sauk Village, RADIAN, 5.350%, 12/1/2014, Call 12/1/2012		75,000		75,431
Village of Willow Springs, 2.500%, 12/15/2012		50,000		50,595
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE FGIC, 0.000%, 11/1/2012		100,000		99,212
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE FGIC, 0.000%, 11/1/2014		100,000		95,882
				39,101,132
Indiana — 1.7%
Boone County Hospital Association, NATL-RE FGIC, 5.500%, 7/10/2012		50,000		50,847
City of Carmel, AMBAC, 3.850%, 5/1/2013, Call 3/10/2012		150,000		150,077
City of Greenwood, 4.000%, 10/1/2014		100,000		105,842
City of Mishawaka, 2.500%, 3/1/2012		235,000		235,000

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

29

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Indiana (continued)
Clarksville High School Building Corp., NATL-RE FGIC, 4.500%, 7/15/2012		$       50,000		$         50,781
Columbus Multi School Building Corp., AMBAC, 0.000%, 1/1/2013		100,000		97,779
County of Jasper, NATL-RE, 5.200%, 6/1/2013		100,000		104,548
County of St. Joseph, 3.000%, 4/1/2012		295,000		295,357
Hammond Local Public Improvement Bond Bank, 4.000%, 2/15/2013		250,000		256,217
Hammond Local Public Improvement Bond Bank, 5.000%, 2/15/2014		500,000		530,730
Indiana Finance Authority, 3.000%, 7/1/2012		100,000		100,540
Indiana Finance Authority, 3.000%, 10/1/2012		110,000		111,049
Indiana Finance Authority, 3.000%, 3/1/2013		380,000		386,099
Indiana Finance Authority, 3.000%, 10/1/2014		3,000,000		3,148,860
Indiana Finance Authority, 5.000%, 5/1/2014		250,000		268,652
Indiana Finance Authority, CIFG, 5.000%, 7/1/2012		100,000		101,229
Indiana Health & Educational Facilities Financing Authority, 5.250%, 3/1/2016		710,000		787,958
Indiana Health Facility Financing Authority, 5.000%, 6/1/2014 (3)		225,000		245,714
Indiana Municipal Power Agency, NATL-RE, 6.000%, 1/1/2013		200,000		209,200
Northwestern School Building Corp., NATL-RE FGIC State Aid withholding, 5.000%, 7/15/2016, Call 7/15/2014		100,000		108,696
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 1.100%, 7/1/2022, Call 3/1/2012 (3)		1,500,000		1,500,000
St. Joseph County Hospital Authority, 4.750%, 8/15/2012, Call 4/2/2012		350,000		351,053
				9,196,228
Iowa — 1.9%
City of Ames, 3.000%, 6/15/2013		100,000		102,146
City of Ames, 4.000%, 6/15/2014		250,000		263,768
City of Coralville, 5.000%, 6/1/2014		250,000		268,557
City of Coralville, 5.000%, 6/1/2014		2,115,000		2,284,644
City of Hills, 4.000%, 8/15/2015		1,690,000		1,804,278
Iowa Finance Authority, FGIC, 5.000%, 7/1/2014		500,000		541,575
Iowa Higher Education Loan Authority, 3.000%, 10/1/2012		115,000		115,913
Municipals (continued)
Iowa (continued)
Iowa Higher Education Loan Authority, 3.000%, 10/1/2013		$     160,000		$       162,462
Iowa Higher Education Loan Authority, 3.000%, 10/1/2015		340,000		357,065
Iowa Higher Education Loan Authority, 3.000%, 10/1/2016		350,000		367,881
Iowa Higher Education Loan Authority, 6.450%, 5/18/2012		3,000,000		3,009,540
Kirkwood Community College, 3.000%, 6/1/2012		190,000		191,127
Marshalltown Community School District, NATL-RE, 5.000%, 5/1/2012		1,000,000		1,005,440
				10,474,396
Kansas — 0.5%
City of Olathe, 4.125%, 3/1/2013, Call 3/1/2012 (3)		700,000		700,000
Geary County Unified School District No. 475, NATL-RE, 5.250%, 9/1/2014		1,025,000		1,104,704
Kansas Development Finance Authority, 3.000%, 11/15/2013		300,000		308,670
Kansas Development Finance Authority, 3.000%, 11/15/2014		395,000		409,520
				2,522,894
Kentucky — 1.8%
City of Owensboro, AMBAC, 0.000%, 1/1/2015		25,000		23,275
City of Pikeville, USDA, 4.000%, 5/1/2013		2,500,000		2,538,100
County of Mason, 0.450%, 10/15/2014, Call 3/7/2012 (3)		4,100,000		4,100,000
Kentucky Economic Development Finance Authority, 4.000%, 5/1/2012		350,000		351,722
Kentucky Public Energy Authority, 3.500%, 2/1/2028, Call 3/1/2012 (3)		3,000,000		3,000,000
				10,013,097
Louisiana — 2.7%
Ascension Parish Industrial Development Board, Inc., 1.510%, 12/1/2041, Call 3/1/2012 (3)		5,000,000		5,000,000
City of New Orleans, FGIC, 5.125%, 12/1/2012		150,000		153,921
Louisiana Local Government Environmental Facilities & Community Development Auth, AGM, 2.000%, 10/1/2012		100,000		100,563
Louisiana Local Government Environmental Facilities & Community Development Auth, AGM, 2.000%, 10/1/2013		100,000		101,509
Louisiana Offshore Terminal Authority, 1.875%, 10/1/2013 (3)		335,000		338,039

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

30

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Louisiana (continued)
Louisiana State Citizens Property Insurance Corp., 2.000%, 6/1/2013		$     100,000		$       101,228
Louisiana State Citizens Property Insurance Corp., 2.000%, 6/1/2014		100,000		101,517
Louisiana State Citizens Property Insurance Corp., AMBAC, 5.000%, 6/1/2012		2,565,000		2,592,240
Louisiana State Citizens Property Insurance Corp., AMBAC, 5.250%, 6/1/2013		140,000		147,680
Louisiana State Citizens Property Insurance Corp., AMBAC, 5.250%, 6/1/2014		110,000		119,606
New Orleans Aviation Board, AGC, 4.250%, 1/1/2015		250,000		267,705
Plaquemines Parish School Board, AMBAC, 4.650%, 3/1/2012		785,000		785,000
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2012		70,000		68,085
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2015		275,000		238,070
St. Tammany Parish Hospital Service District No. 1, 2.000%, 7/1/2013		1,000,000		1,009,140
St. Tammany Parish Hospital Service District No. 1, 3.000%, 7/1/2014		1,400,000		1,448,384
Tangipahoa Parish Hospital Service District No. 1, 5.375%, 2/1/2014, Call 2/1/2013		2,000,000		2,091,000
Terrebonne Parish Hospital Service District No. 1, 4.000%, 4/1/2013		105,000		107,747
				14,771,434
Maine — 0.1%
Town of Bucksport, 4.000%, 3/1/2014		500,000		522,395
Maryland — 1.6%
City of Baltimore, NATL-RE, 0.810%, 7/1/2020 (3)		6,000,000		6,000,000
City of Baltimore, NATL-RE, 5.375%, 9/1/2012, Call 4/2/2012		40,000		40,070
Maryland Health & Higher Educational Facilities Authority, 0.750%, 7/1/2036, Call 3/21/2012 (3)		2,500,000		2,500,000
				8,540,070
Massachusetts — 2.0%
City of Fall River, AGM, 5.250%, 2/1/2018, Call 2/1/2013		100,000		103,818
Commonwealth of Massachusetts, AMBAC, 0.600%, 8/1/2037, Call 8/1/2017 (3)		6,250,000		6,250,000
Municipals (continued)
Massachusetts (continued)
Massachusetts Development Finance Agency, 0.750%, 11/1/2037, Call 3/1/2012 (3)		$  4,000,000		$    4,000,000
Massachusetts Development Finance Agency, 4.000%, 7/1/2014		250,000		262,333
Massachusetts Development Finance Agency, 5.000%, 1/1/2014		200,000		214,294
				10,830,445
Michigan — 3.5%
Allen Park Brownfield Redevelopment Authority, AMBAC, 4.250%, 5/1/2012		250,000		249,855
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2012		200,000		201,456
Almont Community Schools, NATL-RE Q-SBLF, 4.000%, 5/1/2015, Call 11/1/2013		200,000		208,848
Anchor Bay School District, Q-SBLF, 5.500%, 5/1/2014, Call 5/1/2012		500,000		504,160
Brighton Area School District, NATL-RE, 4.000%, 5/1/2012		240,000		240,943
Charter Township of Bath, NATL-RE, 4.000%, 11/1/2012		130,000		132,566
Charter Township of Redford, AMBAC, 4.800%, 4/1/2015, Call 10/1/2012		275,000		275,759
City of Detroit MI Water Supply System Revenue, AGM, 5.000%, 7/1/2014		505,000		542,895
City of Detroit, AGM, 5.000%, 7/1/2012		50,000		50,778
City of Detroit, NATL-RE, 5.000%, 7/1/2012		850,000		859,869
City of Detroit, NATL-RE, 5.000%, 7/1/2012		1,000,000		1,011,610
City of Detroit, NATL-RE, 5.000%, 9/30/2013		3,090,000		3,246,230
City of Detroit, NATL-RE, 5.500%, 7/1/2013 (3)		650,000		685,217
City of Garden City, NATL-RE, 4.750%, 11/1/2012		100,000		101,971
City of Grand Haven, NATL-RE, 5.500%, 7/1/2014		200,000		210,988
City of Marquette, AMBAC, 4.000%, 5/1/2013		200,000		205,424
City of Marquette, AMBAC, 4.000%, 5/1/2015, Call 5/1/2013		100,000		102,480
City of Pontiac, AGC, 3.750%, 5/1/2014		80,000		82,016
City of Saginaw, AGM, 2.000%, 7/1/2013		175,000		177,245
County of Cass, AMBAC, 3.750%, 5/1/2013, Call 5/1/2012		400,000		402,240
County of Iron, AMBAC, 4.100%, 6/1/2014, Call 6/1/2012		200,000		201,298
County of Washtenaw, NATL-RE, 4.000%, 7/1/2018, Call 7/1/2014		100,000		105,424

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

31

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Michigan (continued)
Detroit City School District, AGM, 5.000%, 5/1/2013		$     495,000		$       513,370
Eastern Michigan University, AMBAC, 6.000%, 6/1/2012, Call 4/2/2012		200,000		200,808
Eaton Rapids Building Authority, 3.000%, 3/1/2012		195,000		195,000
Grand Blanc Community Schools, AGM, 2.000%, 5/1/2013		610,000		620,815
Hazel Park School District, AGM Q-SBLF, 2.000%, 5/1/2013		485,000		493,599
Michigan Finance Authority, 3.000%, 4/1/2013		125,000		126,919
Michigan Finance Authority, 3.500%, 4/1/2014		130,000		134,233
Michigan Finance Authority, 4.000%, 4/1/2015		135,000		142,138
Michigan Municipal Bond Authority, AGM, 0.000%, 6/15/2012		25,000		24,923
Michigan Municipal Bond Authority, AGM, 0.000%, 6/15/2013		50,000		49,223
Michigan Municipal Bond Authority, AGM, 5.000%, 6/1/2013		65,000		67,454
Michigan Municipal Bond Authority, AMBAC, 4.500%, 5/1/2015, Call 5/1/2012		150,000		150,309
Michigan Municipal Bond Authority, AMBAC, 4.700%, 11/1/2013, Call 4/2/2012		150,000		150,414
Michigan Municipal Bond Authority, AMBAC, 5.500%, 11/1/2012, Call 4/2/2012		100,000		100,249
Michigan State Hospital Finance Authority, 5.000%, 5/1/2012 (3)		150,000		151,056
Michigan State Hospital Finance Authority, 5.500%, 11/1/2015, Call 11/1/2013		100,000		106,514
Michigan State Housing Development Authority, 1.000%, 10/1/2014, Call 4/1/2014		3,150,000		3,153,213
Mona Shores Public Schools, Q-SBLF, 3.900%, 5/1/2014, Call 5/1/2012		185,000		185,821
Oakland County Economic Development Corp., 4.500%, 12/1/2013		1,415,000		1,411,632
Redford Township Building Authority, AGM, 2.000%, 4/1/2014		355,000		357,158
Romulus Tax Increment Finance Authority, AGM, 4.250%, 11/1/2014		400,000		429,720
Saginaw-Midland Municipal Water Supply Corp., NATL-RE, 5.250%, 9/1/2014, Call 3/1/2013		215,000		221,979
Municipals (continued)
Michigan (continued)
Saginaw-Midland Municipal Water Supply Corp., NATL-RE, 5.250%, 9/1/2015, Call 3/1/2013		$     100,000		$       103,017
Taylor Tax Increment Finance Authority, FSA, 5.500%, 5/1/2012		100,000		100,801
Wyandotte Building Authority, AMBAC, 3.750%, 5/1/2012		150,000		150,630
				19,140,267
Minnesota — 0.8%
City of Glencoe, 5.000%, 4/1/2013		260,000		267,137
City of Hutchinson, 2.500%, 4/1/2012		2,000,000		2,000,600
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.000%, 12/1/2014, Call 12/1/2013		15,000		15,868
St. Paul Housing & Redevelopment Authority, 3.500%, 7/1/2013, Call 3/16/2012		2,000,000		2,002,880
St. Paul Housing & Redevelopment Authority, NATL-RE, 5.000%, 11/15/2013		60,000		64,243
				4,350,728
Mississippi — 1.4%
Mississippi Business Finance Corp., 1.500%, 12/1/2036, Call 3/1/2012 (3)		7,500,000		7,500,000
Mississippi Hospital Equipment & Facilities Authority, 5.000%, 10/1/2017		200,000		234,364
				7,734,364
Missouri — 3.6%
Camdenton Reorganized School District No. R-III, 2.000%, 4/1/2014		625,000		637,006
Camdenton Reorganized School District No. R-III, 2.000%, 4/1/2015		200,000		204,202
City of Branson, 3.000%, 1/1/2013		130,000		131,843
City of Kansas City, 0.000%, 2/1/2013		100,000		97,968
City of Liberty, NATL-RE, 4.600%, 10/1/2014, Call 10/1/2012		135,000		138,379
City of Springfield, 5.000%, 6/1/2013		230,000		240,159
City of Springfield, 5.000%, 6/1/2014		255,000		274,105
City of St. Louis, 4.000%, 7/1/2013		890,000		916,397
City of St. Louis MO Airport Revenue, AGM, 5.250%, 7/1/2016, Call 7/1/2013		220,000		231,440
City of St. Louis, AGM, 5.000%, 7/1/2014		150,000		161,007

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

32

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Missouri (continued)
Clarence Cannon Wholesale Water Commission, NATL-RE, 4.000%, 5/15/2013		$     250,000		$       256,915
County of Jackson, AMBAC, 0.000%, 12/1/2015		90,000		81,714
Hannibal Industrial Development Authority, 4.300%, 3/1/2013		1,345,000		1,382,230
Joplin Industrial Development Authority, 2.750%, 2/15/2014		135,000		136,611
Joplin Industrial Development Authority, 3.125%, 2/15/2015		705,000		718,028
Joplin Industrial Development Authority, 5.500%, 2/15/2013		700,000		724,206
Kansas City Industrial Development Authority, 4.000%, 9/1/2013		1,150,000		1,166,457
Kansas City School District Building Corp., FGIC, 5.000%, 2/1/2013		600,000		614,532
Missouri Development Finance Board, 4.500%, 12/1/2012		50,000		51,168
Missouri Joint Municipal Electric Utility Commission, NATL-RE, 5.000%, 1/1/2013		355,000		363,985
Missouri State Health & Educational Facilities Authority, 1.700%, 12/1/2036, Call 3/2/2012 (3)		1,475,000		1,475,000
Missouri State Health & Educational Facilities Authority, 3.000%, 5/15/2012		500,000		501,910
Missouri State Health & Educational Facilities Authority, 3.000%, 2/15/2013		700,000		707,763
Missouri State Health & Educational Facilities Authority, AMBAC, 1.650%, 12/1/2036, Call 3/5/2012 (3)		2,075,000		2,075,000
Missouri State Health & Educational Facilities Authority, CIFG, 1.100%, 12/1/2030, Call 3/6/2012 (3)		2,475,000		2,475,000
Missouri State Health & Educational Facilities Authority, CIFG, 1.700%, 12/1/2030, Call 3/7/2012 (3)		3,575,000		3,575,000
Riverside Industrial Development Authority, 2.000%, 5/1/2013		245,000		245,835
				19,583,860
Montana — 0.1%
Gallatin County Rural Improvement District, 3.500%, 7/1/2013		130,000		130,816
Montana Facility Finance Authority, 2.300%, 7/1/2012		400,000		401,172
				531,988
Nevada — 0.7%
City of Carson City, RADIAN, 3.950%, 9/1/2012		500,000		501,875
Municipals (continued)
Nevada (continued)
City of Henderson, 4.000%, 7/1/2012		$     225,000		$       227,207
City of Reno, 5.000%, 6/1/2013		100,000		103,575
Clark County School District, NATL-RE FGIC, 5.250%, 6/15/2012, Call 4/2/2012		100,000		101,350
Clark County School District, NATL-RE FGIC, 5.250%, 6/15/2014, Call 4/2/2012		100,000		105,316
County of Clark, 4.500%, 8/1/2013		1,050,000		1,092,892
County of Clark, AMBAC, 4.000%, 12/1/2012		25,000		25,669
County of Clark, NATL-RE, 4.750%, 7/1/2022, Call 4/2/2012		1,500,000		1,504,365
Henderson Redevelopment Agency, AMBAC, 4.600%, 10/1/2014, Call 10/1/2012		175,000		178,656
North Las Vegas Special Assessment District No. 63, AMBAC, 4.000%, 11/1/2012, Call 5/1/2012		45,000		45,820
Reno Redevelopment Agency, NATL-RE, 5.000%, 9/1/2012, Call 4/2/2012		25,000		25,002
				3,911,727
New Hampshire — 0.2%
New Hampshire Business Finance Authority, 5.375%, 5/1/2014		100,000		106,123
New Hampshire Health & Education Facilities Authority, 5.000%, 7/1/2014		315,000		322,746
New Hampshire Health & Education Facilities Authority, NATL-RE FGIC, 5.000%, 10/1/2013		100,000		105,369
New Hampshire University System, 2.000%, 7/15/2012 (5)(6)		460,000		460,685
New Hampshire University System, 2.250%, 7/15/2013 (5)(6)		285,000		285,567
				1,280,490
New Jersey — 2.7%
Camden County Municipal Utilities Authority, NATL-RE FGIC, 0.000%, 9/1/2015		185,000		168,533
City of Perth Amboy, 3.000%, 2/1/2013		250,000		253,720
New Jersey Economic Development Authority, 0.650%, 4/1/2012 (3)		1,200,000		1,200,036
New Jersey Economic Development Authority, 1.860%, 2/1/2016, Call 8/1/2015 (3)		3,000,000		3,016,740
New Jersey Economic Development Authority, 5.000%, 5/1/2012		100,000		100,740
New Jersey Economic Development Authority, AGM, 5.000%, 9/1/2014 (3)		125,000		136,130

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

33

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
New Jersey (continued)
New Jersey Economic Development Authority, NATL-RE, 0.000%, 7/1/2013		$     225,000		$       220,743
New Jersey Health Care Facilities Financing Authority, 0.610%, 7/1/2038, Call 3/1/2012 (3)		4,700,000		4,700,000
New Jersey Health Care Facilities Financing Authority, 1.300%, 7/1/2018, Call 3/1/2012 (3)		200,000		200,000
New Jersey Health Care Facilities Financing Authority, 5.000%, 1/1/2013		1,000,000		1,029,890
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2013		2,000,000		2,091,000
New Jersey Transit Corp., AMBAC, 5.500%, 9/15/2012		225,000		231,055
North Hudson Sewerage Authority Sewer Revenue, NATL-RE FGIC, 5.250%, 8/1/2016, Call 8/1/2012		250,000		253,617
Perth Amboy Board of Education, School Bond Reserve Fund, 3.000%, 7/15/2013		500,000		510,060
Perth Amboy Board of Education, School Bond Reserve Fund, 3.000%, 7/15/2014		470,000		485,181
State of New Jersey, NATL-RE, 4.750%, 6/15/2013, Call 4/2/2012		100,000		100,312
Township of Lyndhurst, NATL-RE FGIC, 4.700%, 5/1/2014, Call 4/2/2012		25,000		25,064
				14,722,821
New Mexico — 0.0%
County of Dona Ana, AMBAC, 5.250%, 6/1/2012		5,000		5,032
New Mexico Institute of Mining & Technology, 3.000%, 7/1/2012		120,000		120,811
New Mexico Institute of Mining & Technology, 3.000%, 7/1/2013		125,000		128,241
				254,084
New York — 4.7%
Albany Capital Resource Corp., 2.000%, 7/1/2013		365,000		369,588
County of Monroe, NATL-RE, 4.000%, 6/1/2012, Call 4/2/2012		200,000		200,444
County of Monroe, NATL-RE, 4.000%, 6/1/2014, Call 4/2/2012		280,000		280,655
Metropolitan Transportation Authority, AGM, 0.750%, 11/1/2022, Call 3/1/2012 (3)		3,500,000		3,500,000
Municipals (continued)
New York (continued)
New York City Industrial Development Agency, 0.820%, 5/1/2036, Call 3/1/2012 (3)		$  4,000,000		$    4,000,000
New York State Dormitory Authority, NATL-RE, 5.500%, 11/1/2012		250,000		256,160
New York State Energy Research & Development Authority, AMBAC, 1.250%, 10/1/2028, Call 3/2/2012 (3)		5,725,000		5,725,000
New York State Housing Finance Agency, 0.650%, 11/1/2041, Call 3/7/2012 (3)		3,000,000		3,000,000
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.800%, 12/1/2025, Call 3/6/2012 (3)(5)(6)		7,000,000		7,000,000
South Jefferson Central School District, 1.250%, 2/22/2013		1,186,720		1,191,325
				25,523,172
North Carolina — 0.2%
Board of Governors of the University of North Carolina, AMBAC, 4.000%, 4/1/2012		250,000		250,500
County of New Hanover, 3.000%, 10/1/2012		480,000		485,851
North Carolina Capital Facilities Finance Agency, XLCA, 5.000%, 4/1/2012		195,000		195,544
North Carolina Municipal Power Agency No. 1, AMBAC, 5.250%, 1/1/2015, Call 1/1/2013		130,000		135,170
				1,067,065
North Dakota — 0.7%
Barnes County North Public School District Building Authority, 4.000%, 5/1/2014		485,000		514,018
Barnes County North Public School District Building Authority, 4.000%, 5/1/2015		500,000		539,500
Barnes County North Public School District Building Authority, 4.000%, 5/1/2016		520,000		562,775
Barnes County North Public School District Building Authority, 4.000%, 5/1/2017		545,000		586,213
Barnes County North Public School District Building Authority, 4.000%, 5/1/2018		565,000		598,810
Barnes County North Public School District Building Authority, 4.000%, 5/1/2019		590,000		620,727
County of Burleigh, 2.500%, 7/1/2013		100,000		100,936
County of Burleigh, 2.500%, 7/1/2014		150,000		150,672
County of Burleigh, 3.000%, 7/1/2015		255,000		261,084
				3,934,735

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

34

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio — 4.1%
Adams County/Ohio Valley Local School District, 2.000%, 12/1/2014		$     105,000		$       105,110
Buckeye Tobacco Settlement Financing Authority, 4.500%, 6/1/2013		1,325,000		1,373,415
Buckeye Tobacco Settlement Financing Authority, 5.000%, 6/1/2015		50,000		53,687
City of Akron OH Waterworks System Revenue, NATL-RE, 5.000%, 3/1/2013		300,000		310,809
City of Bowling Green, 3.000%, 6/1/2012		100,000		100,431
City of Cleveland OH Airport System Revenue, 3.000%, 1/1/2013		560,000		567,986
City of Parma, AMBAC, 5.450%, 12/1/2014		270,000		289,613
City of Toledo, 4.125%, 6/1/2012		1,250,000		1,256,912
County of Erie, 0.750%, 8/15/2046, Call 4/2/2012 (3)		6,500,000		6,500,000
County of Knox, RADIAN, 5.000%, 6/1/2012		10,000		10,065
County of Montgomery, AGM, 2.350%, 8/1/2047, Call 3/7/2012 (3)		300,000		300,000
Marysville Exempted Village School District, AMBAC, 0.000%, 12/1/2012		200,000		198,284
Parma City School District, NATL-RE, 3.500%, 12/1/2012		50,000		50,955
Parma City School District, NATL-RE, 4.000%, 12/1/2012		100,000		102,465
Puttable Floating Option Tax-Exempt Receipts, 0.700%, 11/1/2040, Call 11/1/2020 (3)(5)(6)		2,500,000		2,500,000
Puttable Floating Option Tax-Exempt Receipts, 0.750%, 11/1/2029, Call 11/1/2020 (3)(5)(6)		7,375,000		7,375,000
Warrensville Height City School District, NATL-RE FGIC, 7.000%, 12/1/2013		1,050,000		1,140,940
				22,235,672
Oklahoma — 0.4%
City of Moore, NATL-RE, 5.750%, 4/1/2012		350,000		351,148
Oklahoma County Finance Authority, 4.000%, 3/1/2018		1,750,000		1,961,313
				2,312,461
Oregon — 1.2%
County of Gilliam, 2.000%, 9/2/2014 (3)		2,500,000		2,550,800
Port of Morrow, 0.750%, 2/1/2027, Call 3/7/2012 (3)		3,360,000		3,360,000
Treasure Valley Community College District, AMBAC, 4.500%, 6/1/2017, Call 6/1/2015		430,000		466,640
Municipals (continued)
Oregon (continued)
Treasure Valley Community College District, AMBAC, 4.500%, 6/1/2019, Call 6/1/2015		$     300,000		$       322,716
				6,700,156
Pennsylvania — 3.6%
Allegheny County Hospital Development Authority, 1.210%, 8/1/2013, Call 2/1/2013 (3)		2,000,000		2,000,920
City of Allentown, AGC, 3.125%, 8/15/2014		440,000		461,648
City of Philadelphia PA Gas Works Revenue, AMBAC, 5.000%, 10/1/2014		200,000		219,246
City of Pittsburgh, 2.000%, 9/1/2013		1,430,000		1,451,293
City of Pittsburgh, 4.000%, 9/1/2015		475,000		513,195
County of Allegheny, NATL-RE, 5.375%, 11/1/2014, Call 11/1/2012		385,000		396,026
County of Blair, AMBAC, 5.375%, 8/1/2013		270,000		283,411
Delaware County Authority, 3.000%, 6/1/2012		1,320,000		1,326,455
Delaware Valley Regioinal Financial Authority, 1.000%, 12/1/2020, Call 3/1/2012 (3)		1,000,000		1,000,000
Erie County Hospital Authority, RADIAN, 5.000%, 7/1/2012		110,000		110,440
Erie County Hospital Authority, USDA, 3.000%, 12/1/2012, Call 4/2/2012		2,000,000		2,003,380
Harrisburg Authority, AGM, 5.000%, 12/1/2013 (3)		2,535,000		2,542,326
Harrisburg Authority, AGM, 5.250%, 12/1/2013 (3)		2,000,000		2,008,800
Hermitage Municipal Authority, NATL-RE, 3.650%, 2/1/2014, Call 4/2/2012		200,000		200,380
Montgomery County Industrial Development Authority, 5.000%, 11/15/2016		1,000,000		1,093,340
Pennsylvania Economic Development Financing Authority, 3.000%, 12/3/2012 (3)		105,000		106,269
Pennsylvania Higher Educational Facilties Authority, 2.250%, 7/1/2013		225,000		227,434
Pennsylvania Higher Educational Facilties Authority, 2.500%, 7/1/2014		615,000		623,758
Pennsylvania Housing Finance Agency, 2.500%, 10/1/2016		130,000		131,801
Philadelphia Parking Authority, 5.000%, 9/1/2013		125,000		131,989
Pittsburgh Public Parking Authority, AMBAC, 5.000%, 12/1/2012		400,000		410,092
Pittsburgh Public Parking Authority, NATL-RE FGIC, 0.000%, 12/1/2015		725,000		658,735

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

35

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Pennsylvania (continued)
Pittsburgh Water & Sewer Authority, NATL-RE FGIC, 6.500%, 9/1/2013		$     105,000		$       109,422
South Fork Municipal Authority, 4.000%, 7/1/2013		550,000		567,044
West Shore Area Authority, 4.000%, 1/1/2013		1,290,000		1,319,012
				19,896,416
Puerto Rico — 0.6%
Commonwealth of Puerto Rico, 5.500%, 7/1/2013		100,000		105,175
Commonwealth of Puerto Rico, FGIC, 4.150%, 7/1/2012		150,000		151,397
Commonwealth of Puerto Rico, FGIC, 5.500%, 7/1/2012		140,000		142,065
Government Development Bank for Puerto Rico, 4.250%, 8/1/2014, Call 3/21/2012		150,000		150,030
Government Development Bank for Puerto Rico, 5.000%, 12/1/2012		550,000		566,560
Puerto Rico Highway & Transportation Authority, NATL-RE, 5.500%, 7/1/2013		135,000		139,955
Puerto Rico Infrastructure Financing Authority, AMBAC, 5.500%, 7/1/2015		1,400,000		1,540,098
Puerto Rico Municipal Finance Agency, AGM, 3.900%, 8/1/2014		200,000		211,784
				3,007,064
Rhode Island — 0.4%
City of Woonsocket, NATL-RE FGIC, 5.250%, 10/1/2012, Call 4/2/2012		200,000		201,194
Kent County Water Authority, NATL-RE, 5.000%, 7/15/2016, Call 7/15/2012		1,265,000		1,285,265
Rhode Island Health & Educational Building Corp., 2.500%, 3/1/2012		455,000		455,000
				1,941,459
South Carolina — 0.7%
Kershaw County School District, AGC-, 5.000%, 12/1/2014		100,000		110,779
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 4/1/2012		2,000,000		2,004,480
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 4/1/2013		125,000		128,875
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 10/1/2013		695,000		723,036
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 4/1/2014		835,000		876,366
Piedmont Municipal Power Agency, AMBAC, 0.000%, 1/1/2015		90,000		72,825
Municipals (continued)
South Carolina (continued)
Trustees of the South Carolina Heritage Trust, XLCA, 4.000%, 8/1/2012		$       25,000		$         25,296
				3,941,657
South Dakota — 1.4%
Puttable Floating Option Tax-Exempt Receipts, 0.900%, 12/1/2022 (3)		7,000,000		7,000,000
South Dakota Health & Educational Facilities Authority, AMBAC, 5.250%, 7/1/2012		100,000		101,287
South Dakota Housing Development Authority, AGM, 4.300%, 11/1/2013, Call 5/1/2012		105,000		105,320
South Dakota Housing Development Authority, FSA, 4.100%, 11/1/2012, Call 5/1/2012		175,000		175,529
				7,382,136
Tennessee — 2.3%
Blount County Public Building Authority, 0.450%, 6/1/2032, Call 3/1/2012 (3)		5,300,000		5,300,000
Franklin Public Building Authority, 0.400%, 6/1/2037, Call 3/1/2012 (3)		7,000,000		7,000,000
				12,300,000
Texas — 9.8%
Brazos River Authority, NATL-RE FGIC, 3.625%, 4/1/2012		50,000		50,095
Capital Area Cultural Education Facilities Finance Corp., 5.000%, 4/1/2013		380,000		396,002
Cinco Municipal Utility District No. 1, NATL-RE FGIC, 3.750%, 12/1/2012, Call 4/2/2012		225,000		225,477
City of Arlington, NATL-RE, 5.000%, 8/15/2034, Call 8/15/2015		3,165,000		3,286,473
City of Austin, NATL-RE, 5.250%, 11/15/2012		100,000		103,388
City of Galveston TX Wharves & Terminal Revenue, 4.000%, 2/1/2014		710,000		737,761
City of Galveston TX Wharves & Terminal Revenue, 4.000%, 2/1/2015		250,000		262,090
City of Weslaco, NATL-RE FGIC, 4.375%, 2/15/2015, Call 2/15/2013		150,000		154,157
Clifton Higher Education Finance Corp., 3.750%, 8/15/2016		485,000		494,351
County of Jones, 3.000%, 9/1/2014		155,000		159,966
County of Jones, 3.000%, 9/1/2015		85,000		88,054
County of Jones, 4.000%, 9/1/2016		165,000		178,510

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

36

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
Dallas Independent School District, 5.000%, 2/15/2014		$     895,000		$       970,466
Denton Independent School District, PSF, 0.930%, 8/15/2022, Call 8/15/2016 (3)		3,965,000		3,965,000
Fort Bend County Municipal Utility District No. 118, AGM, 2.000%, 9/1/2013		65,000		66,026
Fort Bend County Municipal Utility District No. 118, AGM, 2.000%, 9/1/2014		65,000		66,433
Fort Bend County Municipal Utility District No. 23, AMBAC, 4.000%, 9/1/2012		100,000		100,895
Grand Prairie Independent School District, 0.000%, 8/15/2012		100,000		99,377
Gulf Coast Industrial Development Authority, 0.950%, 11/1/2019, Call 3/1/2012 (3)		2,350,000		2,350,000
Harris County Health Facilities Development Corp., 0.900%, 7/1/2027 (3)		6,985,000		6,985,000
Harris County Health Facilities Development Corp., AGM, 0.560%, 7/1/2031, Call 3/1/2012 (3)		1,000,000		1,000,000
Harris County Health Facilities Development Corp., AGM, 0.585%, 7/1/2031, Call 3/1/2012 (3)		1,000,000		1,000,000
Harris County Health Facilities Development Corp., NATL-RE, 5.375%, 10/1/2013, Call 4/2/2012		200,000		200,732
Harris County Municipal Utility District No. 1, AGM, 3.000%, 9/1/2013		175,000		180,080
Harris County Municipal Utility District No. 276, AGM, 2.000%, 9/1/2013		80,000		81,322
Harris County Municipal Utility District No. 276, AGM, 2.000%, 9/1/2014		215,000		220,005
Harris County Municipal Utility District No. 391, AGM, 2.000%, 9/1/2014		25,000		25,495
Harris County Municipal Utility District No. 391, AGM, 2.000%, 9/1/2015		125,000		127,374
Harris Montgomery Counties Municipal Utility District No. 386, 5.000%, 9/1/2015		290,000		316,207
Harrison County Health Facilities Development Corp., 3.000%, 7/1/2012		500,000		501,390
Harrison County Health Facilities Development Corp., 4.000%, 7/1/2013		180,000		183,580
Hidalgo County Health Services Corp., 5.000%, 8/15/2013		505,000		523,059
Municipals (continued)
Texas (continued)
Horsepen Bayou Municipal Utility District, AGM, 3.000%, 3/1/2013		$     300,000		$       306,039
Lubbock Health Facilities Development Corp., 5.000%, 7/1/2013		500,000		528,310
Matagorda County Navigation District No. 1, NATL-RE, 4.000%, 10/15/2015, Call 4/2/2012 (3)		275,000		287,997
Midtown Redevelopment Authority, 3.000%, 1/1/2013		560,000		567,291
Midtown Redevelopment Authority, 4.000%, 1/1/2014		170,000		177,483
Mission Economic Development Corp., 0.700%, 4/2/2012 (3)		3,000,000		3,000,060
North Texas Health Facilities Development Corp., AGM, 5.000%, 9/1/2015		180,000		201,532
North Texas Tollway Authority, 5.000%, 1/1/2013 (3)		600,000		621,564
North Texas Tollway Authority, 6.000%, 1/1/2020, Call 1/1/2018		250,000		301,640
Paseo De La Resaca Municipal Utility District No. 3, 0.000%, 9/1/2013		300,000		291,114
Puttable Floating Option Tax-Exempt Receipts, FSA, 0.930%, 12/1/2028 (3)		1,181,000		1,181,000
Puttable Floating Option Tax-Exempt Receipts, PSF, 0.900%, 2/1/2033 (3)		5,685,000		5,685,000
State of Texas, 0.350%, 8/1/2022, Call 4/2/2012 (3)		3,470,000		3,470,000
State of Texas, 0.350%, 4/1/2030, Call 4/2/2012 (3)		100,000		100,000
State of Texas, 0.650%, 4/1/2037, Call 4/1/2017 (3)		7,000,000		7,000,000
State of Texas, 5.500%, 8/1/2016, Call 8/1/2012		900,000		919,062
Texas Municipal Gas Acquisition & Supply Corp., 5.625%, 12/15/2017		2,500,000		2,770,075
Texas Public Finance Authority, NATL-RE, 0.000%, 2/1/2013		505,000		498,748
Texas Transportation Commission, 2.750%, 2/15/2013 (3)		625,000		628,544
				53,634,224
Utah — 0.1%
City of Brigham City, 5.000%, 8/1/2012		125,000		126,694
City of Herriman, 3.000%, 11/1/2012		125,000		126,144
City of Santa Clara UT Electric Revenue, NATL-RE, 5.000%, 8/1/2012		205,000		207,433
County of Emery, 0.850%, 7/1/2015, Call 3/1/2012 (3)		250,000		250,000
Farmington City Municipal Building Authority, AMBAC, 4.375%, 6/15/2012		80,000		80,361
				790,632

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

37

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Vermont — 0.2%
Vermont Educational & Health Buildings Financing Agency, AMBAC, 4.550%, 10/1/2012, Call 4/2/2012		$     820,000		$       822,099
Virgin Islands — 0.1%
Virgin Islands Public Finance Authority, 4.000%, 10/1/2012		300,000		303,771
Virgin Islands Public Finance Authority, 5.000%, 10/1/2012		370,000		376,749
				680,520
Virginia — 0.1%
Riverside Regional Jail Authority, NATL-RE, 5.000%, 7/1/2012		50,000		50,641
Roanoke Economic Development Authority, AGM, 5.000%, 7/1/2017 (3)		415,000		476,644
				527,285
Washington — 0.3%
Greater Wenatchee Regional Events Center Public Facilities Dist, 5.250%, 12/1/2012 (10)		875,000		605,062
King County Housing Authority, CNTY GTD, 2.400%, 1/1/2013, Call 4/2/2012		550,000		550,193
Kittitas County Public Utility District No. 1, 3.000%, 6/1/2012		185,000		186,012
Washington Higher Education Facilities Authority, 3.000%, 10/1/2014		100,000		103,181
Washington Higher Education Facilities Authority, 3.000%, 10/1/2015		170,000		175,593
				1,620,041
West Virginia — 0.0%
City of Wheeling, AGC, 2.625%, 6/1/2012		200,000		200,790
Wisconsin — 0.8%
City of Fond Du Lac, NATL-RE FGIC, 3.250%, 3/1/2012		25,000		25,000
City of Nekoosa, 5.350%, 7/1/2015		130,000		142,346
Green Bay Housing Authority, 3.000%, 4/1/2012		225,000		225,229
Park Falls Redevelopment Authority, 4.125%, 10/1/2013, Call 10/1/2012		175,000		176,285
Southeast Wisconsin Professional Baseball Park District, NATL-RE, 5.000%, 12/15/2021, Call 4/2/2012		125,000		126,641
Southeast Wisconsin Professional Baseball Park District, NATL-RE, 5.100%, 12/15/2029, Call 4/2/2012		125,000		126,650
Southeast Wisconsin Professional Baseball Park District, NATL-RE, 5.500%, 12/15/2012		220,000		226,494
Municipals (continued)
Wisconsin (continued)
Village of Hustisford, 4.750%, 9/1/2012		$     135,000		$       136,619
Viroqua Area School District, NATL-RE, 4.000%, 4/1/2012		105,000		105,097
Wisconsin Health & Educational Facilities Authority, 2.500%, 10/15/2013		500,000		512,845
Wisconsin Health & Educational Facilities Authority, 2.500%, 10/15/2015		100,000		102,648
Wisconsin Health & Educational Facilities Authority, 4.000%, 6/1/2012		500,000		503,175
Wisconsin Health & Educational Facilities Authority, 4.000%, 7/1/2012		370,000		372,771
Wisconsin Health & Educational Facilities Authority, 4.750%, 8/15/2014 (3)		1,000,000		1,078,460
Wisconsin Health & Educational Facilities Authority, 5.000%, 9/1/2012		125,000		127,488
Wisconsin Health & Educational Facilities Authority, AMBAC, 5.000%, 12/15/2013		235,000		251,563
Wisconsin Health & Educational Facilities Authority, AMBAC, 5.000%, 12/15/2014		140,000		154,651
				4,393,962
Wyoming — 0.1%
Teton County Hospital District, 2.200%, 12/1/2012		200,000		201,998
Teton County Hospital District, 3.000%, 12/1/2013		250,000		255,803
				457,801
Total Municipals (identified cost $500,763,901)				501,898,570
Short-Term Investments — 6.9%
Mutual Funds — 3.3%
BMO Tax-Free Money Market Fund, Class I, 0.280% (11)		17,824,640		17,824,640
Short-Term Municipals — 3.6%
California — 0.6%
California School Cash Reserve Program Authority, 2.500%, 1/31/2013		$  3,000,000		3,033,630
Palo Verde Unified School District, 4.000%, 9/1/2012		100,000		101,627
West Kern Water District, 2.000%, 6/1/2012		245,000		245,786
				3,381,043
Colorado — 0.0%
Platte Valley Fire Protection District, 3.000%, 12/1/2012		100,000		101,654
Florida — 0.1%
Bay Laurel Center Community Development District, AGM, 2.000%, 9/1/2012		200,000		201,100

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

38

BMO Funds

Ultra Short Tax-Free Fund (continued)

Description	Principal Amount		Value
Short-Term Investments (continued)
Short-Term Municipals (continued)
Florida (continued)
City of Port St. Lucie, AGM, 1.250%, 9/1/2012		$     325,000		$       325,315
				526,415
Illinois — 0.2%
Bridgeview Park District, 4.000%, 12/1/2012		535,000		535,792
Macon-Christian-De Witt Etc Counties Community College District No. 537 Richland, 5.000%, 11/1/2012		125,000		128,224
Saint Clair County School District No. 189 East St. Louis, 2.000%, 1/1/2013		250,000		249,937
				913,953
Indiana — 0.2%
Hammond Local Public Improvement Bond Bank, 4.000%, 8/15/2012		975,000		988,153
Louisiana — 0.1%
St. Tammany Parish Hospital Service District No. 1, 2.000%, 7/1/2012		800,000		803,288
Missouri — 0.1%
Missouri State Health & Educational Facilities Authority, 3.000%, 11/1/2012		425,000		430,368
Riverside Industrial Development Authority, 2.000%, 5/1/2012		120,000		120,071
				550,439
Nevada — 0.9%
Las Vegas Valley Water District, 0.250%, 6/1/2036, Call 3/1/2012 (3)		5,000,000		5,000,000
New Jersey — 0.4%
New Jersey Health Care Facilities Financing Authority, 3.000%, 7/1/2012		2,150,000		2,163,352
New York — 0.8%
Binghamton City School District, State Aid Withholding, 1.500%, 6/29/2012		500,000		501,815
Copenhagen Central School District, 1.750%, 7/27/2012		750,000		752,805
Nassau Health Care Corp., AGC, 3.125%, 12/15/2012		3,000,000		3,056,040
				4,310,660
North Carolina — 0.0%
County of Burleigh, 2.000%, 7/1/2012		125,000		125,246
Ohio — 0.1%
Adams County/Ohio Valley Local School District, 1.150%, 12/1/2012		170,000		170,037
Short-Term Investments (continued)
Short-Term Municipals (continued)
Ohio (continued)
Jefferson County Ohio, AGC, 1.000%, 12/1/2012		$     150,000		$       150,335
				320,372
Rhode Island — 0.0%
Rhode Island Economic Development Corp., NATL-RE FGIC, 4.000%, 6/15/2012		50,000		50,526
Utah — 0.1%
City of Eagle Mountain City, AGM, 3.000%, 6/1/2012		670,000		673,263
Total Short-Term Municipals				19,908,364
Total Short-Term Investments (identified cost $37,719,593)				37,733,004
Total Investments — 98.8% (identified cost $538,483,494)				539,631,574
Other Assets and Liabilities — 1.2%				6,379,223
Total Net Assets — 100.0%				$546,010,797

Portfolio Credit Ratings*
Sector	Fund
AAA	8.6%
AA	22.2
A	39.3
BBB	15.5
BB	0.7
SP-1	0.1
SP-2	1.4
D	0.1
NR	7.6
Other Assets & Liabilities, Net	4.5
Total	100.0%

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

39

February 29, 2012 (Unaudited)

Schedule of Investments

Ultra Short Tax-Free Fund (continued)

Municipal Issuance/ Industry Type*
Issuance/Industry	Fund
General Obligation
School District	5.3%
State or Local	15.2
Total General Obligation	20.5
Revenue Bonds
Appropriation	14.1
Education	10.0
General Revenue	5.8
Healthcare	19.3
Housing	3.7
Industrial Revenue	5.3
Power	1.3
Special Tax	5.4
Student Loan	0.7
Tobacco	0.5
Transportation	1.9
Water & Sewer	7.0
Total Revenue Bonds	75.0
Other Assets & Liabilities, Net	4.5
Total	100.0%

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 4.9%
Automobiles — 4.1%
Ally Auto Receivables Trust, Class A3, (Series 2011-5), 0.990%, 11/15/2015		$   375,000		$       377,342
AmeriCredit Automobile Receivables Trust, Class A2, (Series 2010-3), 0.770%, 12/9/2013		434,845		435,027
AmeriCredit Automobile Receivables Trust, Class A3, (Series 2010-1), 1.660%, 3/17/2014		435,835		436,570
CarMax Auto Owner Trust, Class A3, (Series 2010-2), 1.410%, 2/16/2015		1,042,597		1,048,863
Ford Credit Auto Lease Trust, Class A3, (Series 2012-A), 0.850%, 1/15/2015		1,275,000		1,274,840
Ford Credit Auto Owner Trust, Class A3, (Series 2009-D), 2.170%, 10/15/2013		345,694		347,253
Honda Auto Receivables Owner Trust, Class A3, (Series 2010-2), 1.340%, 3/18/2014		322,700		324,253
Santander Drive Auto Receivables Trust, Class A2, (Series 2011-3), 1.110%, 8/15/2014		1,420,000		1,420,433
SMART Trust/Australia, Class A2B, (Series 2011-1USA), 1.001%, 4/14/2013 (3)(5)(6)		515,820		515,844
Asset-Backed Securities (continued)
Automobiles (continued)
World Omni Auto Receivables Trust, Class A3, (Series 2010-A), 1.340%, 12/16/2013		$   430,489		$       431,239
				6,611,664
Credit Cards — 0.6%
GE Capital Credit Card Master Note Trust, Class A, (Series 2010-3), 2.210%, 6/15/2016		1,000,000		1,021,045
Other Financial — 0.2%
Countrywide Asset-Backed Certificates, Class A1, (Series 2007-QH2), 0.484%, 4/25/2037 (3)(5)(6)		741,541		297,004
Total Asset-Backed Securities (identified cost $8,347,804)				7,929,713
Collateralized Mortgage Obligations — 3.9%
Federal Home Loan Mortgage Corporation — 0.1%
5.250%, 1/15/2034, (Series 3014)		94,658		94,822
Private Sponsor — 3.8%
Banc of America Funding Corp., Class 1A12, (Series 2006-6), 5.750%, 8/25/2036		78,131		77,833
Banc of America Funding Corp., Class 1A3, (Series 2007-C), 5.541%, 5/20/2036 (3)		610,590		558,570
Chase Mortgage Finance Corp., Class A3, (Series 2006-S4), 6.000%, 12/25/2036		448,864		443,891
First Horizon Asset Securities, Inc., Class 1A1, (Series 2005-1), 5.000%, 3/25/2035		246,492		245,857
GSR Mortgage Loan Trust, Class 2A4, (Series 2005-AR5), 2.776%, 10/25/2035 (3)		434,330		393,862
Holmes Master Issuer PLC, Class A2, (Series 2010-1A), 1.967%, 10/15/2054 (3)(5)(6)		1,560,000		1,563,346
JP Morgan Mortgage Trust, Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		989,736		983,232
JP Morgan Mortgage Trust, Class 3A1, (Series 2007-A2), 5.446%, 4/25/2037 (3)		46,052		43,412
Lehman Mortgage Trust, Class 5A1, (Series 2006-2), 5.500%, 4/25/2036		355,554		353,659
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.573%, 11/25/2034 (3)		1,237,781		1,135,680
Wells Fargo Mortgage Backed Securities Trust, Class 2A4, (Series 2006-AR7), 2.743%, 5/25/2036 (3)		482,432		358,600
Wells Fargo Mortgage Backed Securities Trust, Class 2A4, (Series 2006-AR8), 2.697%, 4/25/2036 (3)		192,548		154,680
				6,312,622
Total Collateralized Mortgage Obligations (identified cost $6,487,884)				6,407,444

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

40

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities — 10.0%
Private Sponsor — 10.0%
Banc of America Commercial Mortgage, Inc., Class A3, (Series 2007-1), 5.449%, 1/15/2049		$1,050,000		$    1,115,411
Bear Stearns Commercial Mortgage Securities, Class A3, (Series 2007-PW17), 5.736%, 6/11/2050		1,250,000		1,309,741
Bear Stearns Commercial Mortgage Securities, Class AAB, (Series 2007-T28), 5.746%, 9/11/2042		550,000		596,331
Credit Suisse Mortgage Capital Certificates, Class A1, (Series 2007-TFLA), 0.319%, 2/15/2022 (3)(5)(6)		204,635		199,017
Greenwich Capital Commercial Funding Corp., Class A3, (Series 2005-GG3), 4.569%, 8/10/2042		1,600,000		1,638,298
GS Mortgage Securities Corp. II, Class A3, (Series 2007-EOP), 1.456%, 3/6/2020 (3)(5)(6)		1,400,000		1,374,800
JP Morgan Chase Commercial Mortgage Securities Corp., Class A2, (Series 2007-LD12), 5.827%, 2/15/2051		883,345		900,340
JP Morgan Chase Commercial Mortgage Securities Corp., Class A3, (Series 2007-CB20), 5.819%, 2/12/2051		1,500,000		1,598,580
LB-UBS Commercial Mortgage Trust, Class AAB, (Series 2006-C1), 5.139%, 2/15/2031		645,286		678,635
LB-UBS Commercial Mortgage Trust, Class AAB, (Series 2006-C6), 5.341%, 9/15/2039		932,948		984,005
LB-UBS Commercial Mortgage Trust, Class C, (Series 2004-C4), 5.320%, 6/15/2036 (3)		1,180,000		1,219,627
Lehman Brothers Commercial Mortgage Trust, Class A1, (Series 2007-LLFA), 0.549%, 6/15/2022 (3)(5)(6)		802,537		780,637
Merrill Lynch/Countrywide Commercial Mortgage Trust, Class A2, (Series 2006-2), 5.878%, 6/12/2046		407,578		420,297
Merrill Lynch/Countrywide Commercial Mortgage Trust, Class ASB, (Series 2006-2), 5.870%, 6/12/2046 (3)		600,253		649,884
Morgan Stanley Capital I, Class A4, (Series 2007-IQ15), 5.879%, 6/11/2049 (3)		1,510,000		1,723,592
Wachovia Bank Commercial Mortgage Trust, Class AMFX, (Series 2005-C20), 5.179%, 7/15/2042		963,000		1,029,408
Total Commercial Mortgage Securities (identified cost $15,946,922)				16,218,603
Corporate Bonds & Notes — 49.0%
Apparel — 0.6%
VF Corp., 1.243%, 8/23/2013 (3)		$1,000,000		$    1,000,316
Auto Manufacturers — 0.6%
Volkswagen International Finance, 1.875%, 4/1/2014 (5)(6)		870,000		879,906
Banks — 11.4%
Abbey National Treasury Services PLC/London, 2.137%, 4/25/2014 (1)(3)		1,070,000		1,033,747
ABN Amro Bank, 4.250%, 2/2/2017 (5)(6)		1,000,000		1,014,150
Banco Santander Chile, 2.875%, 11/13/2012 (5)(6)		500,000		500,642
Bank of America Corp., 7.375%, 5/15/2014		1,300,000		1,405,823
Bank of New York Mellon Corp., 1.700%, 11/24/2014 (1)		1,625,000		1,652,586
BB&T Corp., 3.850%, 7/27/2012		1,280,000		1,297,220
BBVA U.S. Senior SA Uniper, 3.250%, 5/16/2014		650,000		640,140
BNP Paribas, 1.482%, 1/10/2014 (3)		855,000		835,636
Citigroup, Inc., 6.000%, 12/13/2013		1,500,000		1,592,383
GMAC, LLC., 7.500%, 12/31/2013 (1)		528,000		563,640
Goldman Sachs Group, Inc., 5.125%, 1/15/2015 (1)		1,300,000		1,382,688
Intesa Sanpaolo SpA/New York, 2.375%, 12/21/2012		875,000		859,310
Morgan Stanley, 2.875%, 1/24/2014 (1)		1,455,000		1,445,698
Royal Bank of Canada, 1.450%, 10/30/2014		775,000		788,277
U.S. Bancorp, 1.375%, 9/13/2013		1,385,000		1,399,637
Wachovia Bank NA, 0.876%, 3/15/2016 (3)		2,150,000		2,017,076
				18,428,653
Beverages — 0.6%
Anheuser-Busch InBev Worldwide, Inc., 1.500%, 7/14/2014 (1)		925,000		940,181
Biotechnology — 1.6%
Amgen, Inc., 1.875%, 11/15/2014 (1)		1,600,000		1,638,150
Life Technologies Corp., 3.375%, 3/1/2013		1,000,000		1,019,566
				2,657,716
Chemicals — 1.3%
Ecolab, Inc., 2.375%, 12/8/2014 (1)		2,000,000		2,068,746
Computers — 1.2%
Hewlett-Packard Co., 3.000%, 9/15/2016 (1)		1,430,000		1,495,395
International Business Machines Corp., 0.550%, 2/6/2015 (1)		500,000		497,908
				1,993,303
Cosmetics/Personal Care — 0.6%
Procter & Gamble Co., 0.700%, 8/15/2014		900,000		903,990

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

41

February 29, 2012 (Unaudited)

Schedule of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services — 9.4%
American Express Credit Corp., 7.300%, 8/20/2013		$1,385,000		$    1,506,001
BlackRock, Inc., 3.500%, 12/10/2014 (1)		1,240,000		1,328,646
Countrywide Financial Corp., 5.800%, 6/7/2012 (1)		1,000,000		1,008,088
FUEL Trust, 3.984%, 6/15/2016 (5)(6)		1,000,000		1,022,223
FUEL Trust, 4.207%, 4/15/2016 (5)(6)		1,000,000		1,026,822
General Electric Capital Corp., 1.433%, 1/7/2014 (1)(3)		1,000,000		1,004,379
General Electric Capital Corp., 3.350%, 10/17/2016		1,475,000		1,575,153
Invesco, Ltd., 5.625%, 4/17/2012		1,325,000		1,332,201
Lehman Brothers Holdings, Inc., 5.000%, 1/14/2013 (2)(10)		1,100,000		303,875
Merrill Lynch & Co., Inc., 6.050%, 8/15/2012		850,000		866,602
SSIF Nevada LP, 1.267%, 4/14/2014 (3)(5)(6)		1,100,000		1,084,314
TD Ameritrade Holding Corp., 4.150%, 12/1/2014 (1)		940,000		999,899
Toyota Motor Credit Corp., 1.250%, 11/17/2014 (1)		600,000		608,389
Woodside Finance, Ltd., 4.500%, 11/10/2014 (5)(6)		1,500,000		1,572,252
				15,238,844
Electric — 2.6%
Alliant Energy Corp., 4.000%, 10/15/2014 (1)		2,350,000		2,479,654
Appalachian Power Co., 3.400%, 5/24/2015		970,000		1,020,029
Duke Energy Corp., 2.150%, 11/15/2016		715,000		731,078
				4,230,761
Food — 0.6%
Kraft Foods, Inc., 2.625%, 5/8/2013		932,000		951,670
Healthcare-Products — 0.8%
Boston Scientific Corp., 4.500%, 1/15/2015 (1)		1,200,000		1,286,633
Home Furnishings — 0.7%
Whirlpool Corp., 5.500%, 3/1/2013		1,150,000		1,196,240
Insurance — 5.1%
Genworth Life Institutional Funding Trust, 5.875%, 5/3/2013 (5)(6)		477,000		488,461
HSB Group, Inc., 1.477%, 7/15/2027 (3)		2,430,000		1,931,850
MetLife Institutional Funding II, 1.481%, 4/4/2014 (3)(5)(6)		870,000		870,203
MetLife, Inc., 5.000%, 11/24/2013 (1)		1,355,000		1,448,931
Protective Life Secured Trusts, 5.450%, 9/28/2012		830,000		852,208
Prudential Financial, Inc., 2.750%, 1/14/2013		1,300,000		1,321,056
Corporate Bonds & Notes (continued)
Insurance (continued)
Prudential Financial, Inc., 3.625%, 9/17/2012		$1,400,000		$    1,421,231
				8,333,940
Iron/Steel — 0.8%
ArcelorMittal, 5.375%, 6/1/2013		1,200,000		1,245,280
Mining — 1.4%
Anglo American Capital PLC, 2.150%, 9/27/2013 (5)(6)		1,250,000		1,247,590
Barrick Gold Corp., 1.750%, 5/30/2014 (5)(6)		1,000,000		1,020,650
				2,268,240
Oil & Gas — 1.8%
Petrobras International Finance Co.—Pifco, 2.875%, 2/6/2015 (1)		1,500,000		1,539,058
Total Capital Canada, Ltd., 1.625%, 1/28/2014 (1)		1,390,000		1,420,127
				2,959,185
Pharmaceuticals — 0.9%
Aristotle Holding, Inc., 2.100%, 2/12/2015 (5)(6)		1,500,000		1,513,018
Pipelines — 0.4%
Enterprise Products Operating LLC, 6.375%, 2/1/2013		210,000		220,157
ONEOK Partners LP, 5.900%, 4/1/2012		490,000		491,764
				711,921
Real Estate Investment Trusts — 1.0%
HCP, Inc., 2.700%, 2/1/2014 (1)		1,610,000		1,629,563
Retail — 1.1%
Macy’s Retail Holdings, Inc., 5.350%, 3/15/2012		1,800,000		1,801,723
Telecommunications — 3.8%
AT&T, Inc., 0.875%, 2/13/2015		1,360,000		1,358,032
AT&T, Inc., 5.100%, 9/15/2014		760,000		841,090
Telefonica Emisiones SAU, 2.582%, 4/26/2013		950,000		950,047
Verizon Communications, Inc., 1.950%, 3/28/2014		1,050,000		1,078,461
Verizon Communications, Inc., 2.000%, 11/1/2016 (1)		750,000		767,477
Vodafone Group PLC, 5.000%, 12/16/2013 (1)		1,125,000		1,207,815
				6,202,922
Transportation — 0.7%
CSX Corp., 5.750%, 3/15/2013		1,000,000		1,049,735
Total Corporate Bonds & Notes (identified cost $79,530,987)				79,492,486
Municipals — 5.9%
Arkansas — 0.6%
Arkansas Development Finance Authority, 0.750%, 6/1/2012		1,040,000		1,040,843
Florida — 0.9%
Florida Hurricane Catastrophe Fund Finance Corp., 1.029%, 10/15/2012, Call 3/15/2012 (3)		1,500,000		1,500,135

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

42

BMO Funds

Short-Term Income Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Illinois — 1.6%
State of Illinois, 3.080%, 7/1/2012		$1,000,000		$    1,006,830
State of Illinois, 4.071%, 1/1/2014		1,525,000		1,584,551
				2,591,381
Michigan — 0.3%
County of Wayne, 5.000%, 9/15/2013		500,000		502,960
Minnesota — 0.8%
Tobacco Securitization Authority, 2.643%, 3/1/2014		1,250,000		1,267,800
New York — 0.5%
City of New York, 1.620%, 12/1/2012		790,000		794,471
Puerto Rico — 1.0%
Government Development Bank for Puerto Rico, 3.670%, 5/1/2014		1,525,000		1,547,402
Washington — 0.2%
Fife Local Improvement District, 3.000%, 3/1/2012		300,000		300,000
Total Municipals (identified cost $9,438,284)				9,544,992
Mutual Funds — 4.1%
Eaton Vance Institutional Senior Loan Fund, 4.680% (8)		326,711		2,963,269
Fidelity Floating Rate High Income Fund, 3.430%		372,038		3,645,974
Total Mutual Funds (identified cost $6,422,183)				6,609,243
U.S. Government & U.S. Government Agency Obligations —13.5%
Federal Home Loan Bank — 0.6%
0.875%, 12/27/2013 (1)		$1,000,000		1,011,773
Federal Home Loan Mortgage Corporation — 4.9%
0.500%, 4/17/2015		1,625,000		1,627,834
0.625%, 12/29/2014 (1)		1,505,000		1,516,152
0.750%, 11/25/2014		1,500,000		1,515,966
2.875%, 2/9/2015 (1)		3,000,000		3,222,432
				7,882,384
Federal National Mortgage Association — 1.6%
0.375%, 12/28/2012 (1)		1,500,000		1,503,220
1.125%, 6/27/2014 (1)		1,100,000		1,119,972
				2,623,192
U.S. Treasury Bonds & Notes — 6.4%
1.375%, 1/15/2013 (1)		2,500,000		2,526,173
1.375%, 11/30/2015 (1)		1,500,000		1,542,891
1.750%, 7/31/2015		1,000,000		1,041,406
1.750%, 5/31/2016 (1)		1,500,000		1,565,508
1.875%, 6/30/2015 (1)		1,975,000		2,064,183
2.500%, 6/30/2017		1,500,000		1,620,117
				10,360,278
Total U.S. Government & U.S. Government Agency Obligations (identified cost $21,706,951)				21,877,627
U.S. Government Agency-Mortgage Securities — 3.2%
Federal National Mortgage Association — 3.1%
3.110%, 5/1/2041 (3)		$   835,819		$       869,802
3.228%, 5/1/2041 (3)		870,216		909,503
4.000%, 11/1/2031 (1)		1,471,772		1,561,393
5.500%, 11/1/2033		766,962		838,420
5.500%, 2/1/2034		588,542		643,192
7.000%, 12/1/2015		33,580		35,958
7.500%, 9/1/2015		49,888		53,838
9.500%, 12/1/2024		38,244		43,369
9.500%, 1/1/2025		22,240		22,373
9.500%, 1/1/2025		16,203		16,301
10.000%, 7/1/2020		29,921		30,842
11.000%, 12/1/2015		19		19
				5,025,010
Government National Mortgage Association — 0.1%
7.500%, 8/15/2037		148,314		179,695
9.000%, 12/15/2019		27,229		31,650
				211,345
Total U.S. Government Agency-Mortgage Securities (identified cost $5,182,442)				5,236,355
Short-Term Investments — 23.9%
Collateral Pool Investment for Securities on Loan — 18.8%
(See Note 2 of the Financial Statements)				30,526,568
Mutual Funds — 4.8%
BMO Prime Money Market Fund, Class I, 0.210% (11)		7,733,180		7,733,180
Short-Term Municipals — 0.3%
Ohio — 0.3%
City of Sheffield Lake, 2.250%, 11/14/2012		$   500,000		503,430
Total Short-Term Investments (identified cost $38,763,231)				38,763,178
Total Investments — 118.4% (identified cost $191,826,688)				192,079,641
Other Assets and Liabilities — (18.4)%				(29,828,460	)
Total Net Assets — 100.0%				$162,251,181

Portfolio Sector Allocations*
Sector	Fund
Asset-Backed Securities	4.9%
Collateralized Mortgage Obligations	3.9
Commercial Mortgage Securities	10.0
Corporate Bonds & Notes	49.0
Municipals	5.9
Mutual Funds	8.9
U.S. Government & U.S. Government Agency Obligations	13.5
U.S. Government Agency-Mortgage Securities	3.2
Other Assets & Liabilities, Net	0.7
Total	100.0%

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

43

February 29, 2012 (Unaudited)

Schedule of Investments

Short-Intermediate Bond Fund

Description	Principal Amount		Value
Collateralized Mortgage Obligations — 2.2%
Federal Home Loan Mortgage Corporation — 0.8%
0.999%, 7/15/2032, (Series 3652) (3)		$  1,212,348		$    1,217,809
Private Sponsor — 1.4%
Chase Mortgage Finance Corp., Class 7A1, (Series 2007-A2), 5.678%, 7/25/2037 (3)		836,752		755,648
Holmes Master Issuer PLC, Class A2, (Series 2010-1A), 1.967%, 10/15/2054 (3)(5)(6)		1,500,000		1,503,218
				2,258,866
Total Collateralized Mortgage Obligations (identified cost $3,550,584)				3,476,675
Commercial Mortgage Securities — 3.4%
Private Sponsor — 3.4%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4, (Series 2007-1), 5.451%, 1/15/2049		700,000		793,181
Credit Suisse Mortgage Capital Certificates, Class A1, (Series 2007-TFLA), 0.319%, 2/15/2022 (3)(5)(6)		249,938		243,076
JP Morgan Chase Commercial Mortgage Securities Corp., Class A3, (Series 2007-CB20), 5.819%, 2/12/2051		1,500,000		1,598,580
Lehman Brothers Commercial Mortgage Trust, Class A1, (Series 2007-LLFA), 0.549%, 6/15/2022 (3)(5)(6)		2,808,878		2,732,230
Total Commercial Mortgage Securities (identified cost $5,364,111)				5,367,067
Corporate Bonds & Notes — 64.6%
Aerospace/Defense — 0.6%
Raytheon Co., 1.400%, 12/15/2014		1,000,000		1,018,498
Auto Manufacturers — 2.1%
Daimler Finance North America LLC, 1.875%, 9/15/2014 (5)(6)		1,300,000		1,310,592
Volkswagen International Finance NV, 2.875%, 4/1/2016 (1)(5)(6)		2,000,000		2,068,096
				3,378,688
Banks — 19.9%
Abbey National Treasury Services PLC/London, 3.875%, 11/10/2014 (5)(6)		1,500,000		1,496,118
ABN Amro Bank, 4.250%, 2/2/2017 (1)(5)(6)		1,000,000		1,014,150
ANZ National Int’l, Ltd./London, 2.375%, 12/21/2012 (5)(6)		2,000,000		2,024,200
ANZ National Int’l, Ltd./New Zealand, 1.563%, 12/20/2013 (3)(5)(6)		1,000,000		995,872
Bank of America Corp., 1.973%, 1/30/2014 (3)		1,500,000		1,461,459
Bank of America Corp., 3.750%, 7/12/2016		1,500,000		1,483,917
Corporate Bonds & Notes (continued)
Banks (continued)
BB&T Corp., 3.850%, 7/27/2012		$  2,000,000		$    2,026,906
BNP Paribas, 1.482%, 1/10/2014 (3)		1,500,000		1,466,028
Citigroup, Inc., 4.450%, 1/10/2017		1,500,000		1,584,895
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.375%, 1/19/2017 (1)		1,500,000		1,545,903
Credit Suisse/New York, 3.450%, 7/2/2012 (1)		2,000,000		2,019,202
HSBC Bank PLC, 1.625%, 7/7/2014 (5)(6)		1,500,000		1,505,649
JPMorgan Chase & Co., 4.350%, 8/15/2021		1,000,000		1,051,232
National Australia Bank, Ltd., 1.301%, 4/11/2014 (3)(5)(6)		1,700,000		1,689,841
Nordea Bank AB, 1.750%, 10/4/2013 (1)(5)(6)		1,500,000		1,494,741
PNC Funding Corp., 2.700%, 9/19/2016 (1)		1,000,000		1,040,553
Rabobank Nederland NV, 3.200%, 3/11/2015 (5)(6)		1,200,000		1,235,723
Royal Bank of Canada, 1.450%, 10/30/2014		1,500,000		1,525,696
Santander U.S. Debt SA Unipersonal, 1.379%, 3/30/2012 (3)(5)(6)		1,500,000		1,499,345
Wells Fargo & Co., 2.625%, 12/15/2016 (1)		1,700,000		1,752,078
Westpac Banking Corp., 3.000%, 12/9/2015 (1)		2,000,000		2,074,658
				31,988,166
Biotechnology — 2.0%
Amgen, Inc., 3.875%, 11/15/2021 (1)		1,000,000		1,041,259
Gilead Sciences, Inc., 3.050%, 12/1/2016 (1)		2,000,000		2,108,386
				3,149,645
Building Materials — 1.2%
CRH America, Inc., 6.000%, 9/30/2016 (1)		1,700,000		1,855,477
Chemicals — 1.7%
Ecolab, Inc., 5.500%, 12/8/2041		1,000,000		1,183,889
Valspar Corp., 4.200%, 1/15/2022		1,500,000		1,562,406
				2,746,295
Diversified Financial Services — 5.5%
Caterpillar Financial Services Corp., 2.050%, 8/1/2016 (1)		1,500,000		1,551,274
FUEL Trust, 3.984%, 6/15/2016 (5)(6)		1,000,000		1,022,223
General Electric Capital Corp., 3.350%, 10/17/2016		1,400,000		1,495,060
General Electric Capital Corp., 4.375%, 9/16/2020		2,000,000		2,136,908
Hyundai Capital America, 4.000%, 6/8/2017 (5)(6)		500,000		508,762
Lehman Brothers Holdings, Inc., 6.000%, 7/19/2012 (2)(10)		2,000,000		552,500
Toyota Motor Credit Corp., 1.250%, 11/17/2014 (1)		1,500,000		1,520,973
				8,787,700

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

44

BMO Funds

Short-Intermediate Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Electric — 1.6%
Alliant Energy Corp., 4.000%, 10/15/2014		$  1,000,000		$    1,055,172
Commonwealth Edison Co., 1.625%, 1/15/2014		1,500,000		1,524,879
				2,580,051
Engineering & Construction — 1.0%
Fluor Corp., 3.375%, 9/15/2021		1,500,000		1,531,058
Healthcare-Products — 2.9%
Becton, Dickinson and Co., 1.750%, 11/8/2016 (1)		1,025,000		1,045,380
Boston Scientific Corp., 4.500%, 1/15/2015		2,000,000		2,144,388
DENTSPLY International, Inc., 2.750%, 8/15/2016 (1)		1,500,000		1,518,828
				4,708,596
Healthcare-Services — 0.7%
Coventry Health Care, Inc., 5.450%, 6/15/2021		1,000,000		1,111,239
Insurance — 6.7%
Berkshire Hathaway, Inc., 1.900%, 1/31/2017		1,500,000		1,529,679
Berkshire Hathaway, Inc., 3.200%, 2/11/2015		1,500,000		1,607,553
Genworth Life Institutional Funding Trust, 5.875%, 5/3/2013 (5)(6)		1,000,000		1,024,026
HSB Group, Inc., 1.477%, 7/15/2027 (3)		4,000,000		3,180,000
Lincoln National Corp., 4.850%, 6/24/2021		1,000,000		1,069,282
Progressive Corp., 3.750%, 8/23/2021		1,000,000		1,082,668
Prudential Financial, Inc., 3.875%, 1/14/2015		1,100,000		1,163,452
				10,656,660
Iron/Steel — 2.6%
ArcelorMittal, 4.500%, 2/25/2017		2,000,000		2,018,618
ArcelorMittal, 5.375%, 6/1/2013		2,000,000		2,075,466
				4,094,084
Machinery-Diversified — 0.6%
Xylem, Inc., 3.550%, 9/20/2016 (5)(6)		1,000,000		1,029,183
Media — 5.3%
Comcast Corp., 4.950%, 6/15/2016		2,000,000		2,262,622
NBCUniversal Media LLC, 4.375%, 4/1/2021		1,300,000		1,426,728
News America, Inc., 4.500%, 2/15/2021 (1)		2,000,000		2,160,082
Time Warner, Inc., 4.750%, 3/29/2021 (1)		1,500,000		1,681,441
Viacom, Inc., 2.500%, 12/15/2016 (1)		1,000,000		1,031,895
				8,562,768
Mining — 1.6%
Anglo American Capital PLC, 9.375%, 4/8/2019		2,000,000		2,611,000
Corporate Bonds & Notes (continued)
Oil & Gas — 2.4%
Petrobras International Finance Co.—Pifco, 3.500%, 2/6/2017		$  1,000,000		$    1,024,043
Reliance Holdings USA, Inc., 4.500%, 10/19/2020 (5)(6)		1,500,000		1,463,080
Statoil ASA, 1.800%, 11/23/2016 (1)		1,300,000		1,328,434
				3,815,557
Real Estate Investment Trusts — 1.0%
HCP, Inc., 5.375%, 2/1/2021		1,500,000		1,647,107
Telecommunications — 5.2%
AT&T, Inc., 0.875%, 2/13/2015		1,250,000		1,248,191
AT&T, Inc., 5.100%, 9/15/2014		1,500,000		1,660,045
Deutsche Telekom International Finance BV, 3.125%, 4/11/2016 (5)(6)		1,500,000		1,555,886
France Telecom SA, 2.750%, 9/14/2016		1,300,000		1,353,434
Telefonica Emisiones SAU, 5.462%, 2/16/2021 (1)		1,000,000		1,007,706
Verizon Communications, Inc., 3.500%, 11/1/2021 (1)		1,500,000		1,572,444
				8,397,706
Total Corporate Bonds & Notes (identified cost $101,742,740)				103,669,478
U.S. Government & U.S. Government Agency Obligations — 24.5%
U.S. Treasury Bonds & Notes — 24.5%
0.875%, 1/31/2017 (1)		5,000,000		5,005,470
1.125%, 6/15/2013 (1)		5,000,000		5,057,425
1.375%, 10/15/2012 (1)		7,000,000		7,053,592
1.375%, 12/31/2018 (1)		2,000,000		2,002,812
1.500%, 12/31/2013 (1)		7,000,000		7,155,589
2.000%, 11/15/2021 (1)		13,000,000		13,067,028
Total U.S. Government & U.S. Government Agency Obligations (identified cost $39,108,196)				39,341,916
Short-Term Investments — 42.1%
Collateral Pool Investment for Securities on Loan — 37.9%
(See Note 2 of the Financial Statements)				60,908,745
Mutual Funds — 4.2%
BMO Prime Money Market Fund, Class I, 0.210% (11)		6,668,415		6,668,415
Total Short-Term Investments (identified cost $67,577,160)				67,577,160
Total Investments — 136.8% (identified cost $217,342,791)				219,432,296
Other Assets and Liabilities — (36.8)%				(59,038,759	)
Total Net Assets — 100.0%				$160,393,537

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

45

February 29, 2012 (Unaudited)

Schedule of Investments

Short-Intermediate Bond Fund (continued)

Portfolio Sector Allocations*
Sector	Fund
Collateralized Mortgage Obligations	2.2%
Commercial Mortgage Securities	3.4
Corporate Bonds & Notes	64.6
Mutual Funds	4.2
U.S. Government & U.S. Government Agency Obligations	24.5
Other Assets & Liabilities, Net	1.1
Total	100.0%

Intermediate Tax-Free Fund

Description	Principal Amount		Value
Municipals — 94.4%
Alabama — 1.1%
Alabama Board of Education, 3.000%, 6/1/2020		$     340,000		$       350,275
Alabama Board of Education, 3.000%, 6/1/2021		305,000		310,676
Alabama Drinking Water Finance Authority, 2.250%, 8/15/2021, Call 2/15/2021		1,505,000		1,475,999
Alabama State Board of Education, 4.375%, 10/1/2017		200,000		229,702
Alabama State Board of Education, 5.000%, 10/1/2020, Call 10/1/2018		230,000		264,797
Baldwin County Board of Education, AMBAC, 5.000%, 7/1/2018, Call 7/1/2017		350,000		401,607
Cullman Utilities Board, AGM, 4.375%, 9/1/2029, Call 9/1/2020		500,000		537,210
Southeast Alabama Gas District, 3.000%, 8/1/2027, Call 3/1/2012 (3)		5,000,000		5,000,000
				8,570,266
Alaska — 0.1%
Alaska Housing Finance Corp., 4.750%, 6/1/2032, Call 6/1/2016 (7)		470,000		469,319
Alaska Student Loan Corp., Guaranteed Student Loans, 5.000%, 6/1/2018, Call 6/1/2015 (7)		270,000		288,519
				757,838
Arizona — 2.8%
Arizona Health Facilities Authority, 5.000%, 1/1/2020, Call 1/1/2017		900,000		1,023,066
Arizona School Facilities Board, 5.750%, 9/1/2019, Call 9/1/2018		690,000		818,105
Arizona School Facilities Board, AMBAC, 4.000%, 7/1/2015		1,050,000		1,118,197
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2017		500,000		569,130
Arizona School Facilities Board, AMBAC, 5.250%, 7/1/2013		750,000		780,930
Municipals (continued)
Arizona (continued)
Arizona School Facilities Board, AMBAC, 5.500%, 7/1/2014		$     575,000		$       619,608
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018		950,000		1,131,374
City of Goodyear, 5.000%, 7/1/2023, Call 7/1/2020		265,000		294,259
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020		345,000		380,701
City of Sedona, NATL-RE, 5.000%, 7/1/2012		250,000		253,245
Gila County Unified School District No. 10-Payson, 5.000%, 7/1/2019, Call 7/1/2018 (3)		500,000		573,610
Gila County Unified School District No. 10-Payson, 5.000%, 7/1/2020, Call 7/1/2018 (3)		600,000		676,344
Maricopa County Elementary School District No. 28-Kyrene Elementary, MBIA, 5.000%, 7/1/2013		125,000		132,575
Maricopa County Elementary School District No. 8-Osborn, 6.000%, 7/1/2024, Call 7/1/2016		300,000		341,886
Phoenix Civic Improvement Corp., 5.000%, 7/1/2020, Call 7/1/2018		600,000		691,362
Phoenix Civic Improvement Corp., BHAC, 0.000%, 7/1/2027		200,000		233,840
Phoenix Civic Improvement Corp., District, General, Revenue Bonds, MBIA, 0.000%, 7/1/2013		1,135,000		1,205,461
Phoenix Civic Improvement Corp., NATL-RE FGIC, 0.000%, 7/1/2013		320,000		352,157
Phoenix Civic Improvement Corp., NATL-RE FGIC, 0.000%, 7/1/2021		310,000		345,176
Phoenix Civic Improvement Corp., NATL-RE FGIC, 0.000%, 7/1/2034		525,000		568,244
Phoenix Industrial Development Authority, 5.200%, 7/1/2022, Call 7/1/2021		300,000		304,404
Phoenix-Mesa Airport Authority, 5.000%, 7/1/2032, Call 7/1/2022 (7)		800,000		833,360
Phoenix-Mesa Airport Authority, 5.000%, 7/1/2038, Call 7/1/2022 (7)		600,000		602,844
Pima County Industrial Development Authority, 6.375%, 7/1/2028, Call 7/1/2018		310,000		316,826
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018		250,000		281,480

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

46

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Arizona (continued)
Scottsdale Industrial Development Authority, 5.250%, 9/1/2030, Call 9/1/2013		$     435,000		$       441,212
State of Arizona, AGM, 5.250%, 10/1/2024, Call 10/1/2019		2,000,000		2,307,140
University Medical Center Corp., 5.250%, 7/1/2014		500,000		542,145
Yuma Municipal Property Corp., XLCA, 5.000%, 7/1/2023, Call 7/1/2017		1,950,000		2,119,338
Yuma Municipal Property Corp., XLCA, 5.000%, 7/1/2025, Call 7/1/2017		1,000,000		1,076,240
				20,934,259
Arkansas — 2.1%
Arkansas Development Finance Authority, GNMA/FNMA, 4.000%, 1/1/2025, Call 7/1/2021		305,000		316,044
Arkansas Development Finance Authority, GNMA/FNMA, 4.000%, 7/1/2025, Call 7/1/2021		625,000		647,631
Arkansas Development Finance Authority, GNMA/FNMA, 4.100%, 7/1/2026, Call 7/1/2021		300,000		310,815
City of Rogers, 3.750%, 11/1/2034, Call 11/1/2021		1,000,000		1,044,500
City of Rogers, 4.125%, 11/1/2031, Call 11/1/2021		500,000		532,575
County of Greene, AGM, 4.000%, 3/1/2019, Call 3/1/2017		840,000		916,054
County of Greene, AGM, 4.000%, 3/1/2020, Call 3/1/2017		1,430,000		1,541,154
County of Jefferson, AGM, 4.000%, 6/1/2023, Call 12/1/2019		535,000		546,053
County of Jefferson, AGM, 5.000%, 6/1/2026, Call 12/1/2019		2,120,000		2,284,639
Independence County Public Health Education & Housing Facilities Board, 5.300%, 6/1/2025, Call 6/1/2020		1,250,000		1,346,650
Independence County Public Health Education & Housing Facilities Board, 5.625%, 6/1/2027, Call 6/1/2020		1,250,000		1,352,075
University of Arkansas, 3.350%, 12/1/2028, Call 12/1/2019		440,000		439,987
University of Arkansas, 3.650%, 12/1/2031, Call 12/1/2019		665,000		667,201
University of Arkansas, 3.700%, 7/1/2027, Call 1/1/2020		455,000		472,854
University of Arkansas, 4.000%, 11/1/2029, Call 11/1/2021		1,240,000		1,331,401
University of Arkansas, 4.000%, 7/1/2030, Call 1/1/2020		330,000		344,411
Municipals (continued)
Arkansas (continued)
University of Arkansas, 4.625%, 11/1/2036, Call 11/1/2021		$  1,800,000		$    1,960,002
				16,054,046
California — 7.9%
Abag Finance Authority for Nonprofit Corps., 5.750%, 7/1/2037, Call 7/1/2015		785,000		827,704
ABC Unified School District, MBIA, 5.000%, 2/1/2021		500,000		554,120
Anaheim Public Financing Authority, AMBAC, 4.500%, 10/1/2015		350,000		377,006
Bellevue Union School District, AGM, 0.000%, 8/1/2030		585,000		209,418
Bellevue Union School District, AGM, 0.000%, 8/1/2031		615,000		204,315
Bellevue Union School District, AGM, 0.000%, 8/1/2032		645,000		199,660
Bret Harte Union High School District, 0.000%, 3/15/2015		500,000		477,880
California Health Facilities Financing Authority, 5.150%, 11/15/2040, Call 11/15/2020		3,325,000		3,633,926
California Infrastructure & Economic Development Bank, 5.750%, 2/1/2039, Call 2/1/2015		600,000		646,782
California Infrastructure & Economic Development Bank, 6.250%, 2/1/2039, Call 2/1/2015		450,000		492,624
Castaic Lake Water Agency, AMBAC, 0.000%, 8/1/2021		2,645,000		1,920,905
Central Union High School District-Imperial County, NATL-RE, 4.000%, 8/1/2019, Call 8/1/2015		670,000		681,296
City & County of San Francisco, 4.625%, 6/15/2030, Call 6/15/2015		350,000		366,611
City of Madera, 5.750%, 1/1/2026, Call 1/1/2020		1,550,000		1,693,545
City of Madera, 6.500%, 1/1/2040, Call 1/1/2020		1,330,000		1,462,242
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019		645,000		466,271
Duarte Unified School District, 0.000%, 8/1/2016		525,000		482,674
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025		1,250,000		865,150
Escondido Union High School District, AGC, 0.000%, 8/1/2031		480,000		186,547
Evergreen Elementary School District, AGC, 0.000%, 8/1/2028		1,350,000		628,992
Fontana Unified School District, 0.000%, 12/1/2012		1,500,000		1,493,160
Fresno Unified School District, MBIA, 5.300%, 2/1/2014		290,000		309,262
Fresno Unified School District, MBIA, 6.000%, 8/1/2026		1,400,000		1,741,992

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

47

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
California (continued)
Imperial Community College District, AGC, 0.000%, 8/1/2028		$     330,000		$       134,208
Inland Valley Development Agency, 4.000%, 3/1/2014 (3)		1,500,000		1,537,800
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020		375,000		413,396
Lake Tahoe Unified School District, NATL-RE FGIC, 0.000%, 8/1/2016		575,000		510,255
Lake Tahoe Unified School District, NATL-RE FGIC, 0.000%, 8/1/2017		650,000		548,086
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027		295,000		145,187
Los Alamitos Unified School District, 0.000%, 9/1/2016		2,000,000		1,842,960
Los Angeles Community College District, AGM-CR-FGIC, 5.000%, 8/1/2032, Call 8/1/2017		1,330,000		1,456,922
Los Angeles Community College District, NATL-RE FGIC, 5.000%, 8/1/2032, Call 8/1/2017		475,000		520,329
Los Angeles Unified School District, 5.200%, 7/1/2029, Call 7/1/2019		480,000		554,395
Lynwood Unified School District, AGM, 5.000%, 8/1/2022		340,000		395,100
Lynwood Unified School District, AGM, 5.000%, 8/1/2023		475,000		553,185
Lynwood Unified School District, AGM, 5.000%, 8/1/2024, Call 8/1/2023		620,000		713,756
Lynwood Unified School District, AGM, 5.000%, 8/1/2025, Call 8/1/2023		760,000		866,423
Mendocino-Lake Community College District, AGM, 0.000%, 8/1/2031, Call 8/1/2026		300,000		272,475
Merced Redevelopment Agency, AMBAC, 0.000%, 12/1/2021		1,035,000		582,074
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020		500,000		370,270
Northern California Power Agency, 5.000%, 7/1/2031, Call 7/1/2022		500,000		565,870
Northern California Power Agency, 5.000%, 7/1/2032, Call 7/1/2022		700,000		787,045
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023		590,000		341,569
Municipals (continued)
California (continued)
Palo Alto Unified School District, 0.000%, 8/1/2017		$     590,000		$       536,103
Pasadena Public Financing Authority, 0.000%, 3/1/2029		2,000,000		827,860
Pioneer Union Elementary School District, NATL-RE, 5.000%, 8/1/2021, Call 8/1/2016		315,000		340,474
Rincon Valley Union Elementary School District, NATL-RE FGIC, 0.000%, 8/1/2029		510,000		212,629
Sacramento Unified School District, AGM, 3.160%, 3/1/2014 (3)		2,000,000		2,037,380
San Gorgonio Memorial Health Care District, 6.500%, 8/1/2014		230,000		251,229
San Gorgonio Memorial Health Care District, 6.500%, 8/1/2015		310,000		347,966
San Mateo County Community College District, NATL-RE, 0.000%, 9/1/2025		10,000,000		5,830,300
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018		250,000		280,595
Santa Barbara County College Elementary School District, 0.000%, 8/1/2027		365,000		176,299
Santa Barbara County College Elementary School District, 0.000%, 8/1/2029		335,000		144,496
Santa Barbara County College Elementary School District, 0.000%, 8/1/2031		470,000		185,453
Santa Barbara County College Elementary School District, 0.000%, 8/1/2033		575,000		202,728
Santa Barbara School District, 0.000%, 8/1/2036, Call 8/1/2033		1,450,000		904,452
Santa Monica Community College District, NATL-RE, 0.000%, 8/1/2017, Call 8/1/2015		775,000		628,912
Santaluz Community Facilities District No. 2, 3.000%, 9/1/2015		1,000,000		1,025,370
Semitropic Improvement District, XLCA, 5.500%, 12/1/2022, Call 12/1/2014		655,000		714,500
Sierra View Local Health Care District, 3.800%, 7/1/2017		370,000		379,494
Sierra View Local Health Care District, 4.700%, 7/1/2016		250,000		265,118
Sierra View Local Health Care District, 4.875%, 7/1/2018, Call 7/1/2017		650,000		693,023
Sierra View Local Health Care District, 5.250%, 7/1/2022, Call 7/1/2017		1,000,000		1,069,720
Sierra View Local Health Care District, 5.250%, 7/1/2023, Call 7/1/2017		250,000		266,685

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

48

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
California (continued)
Tahoe Forest Hospital District, 5.500%, 8/1/2027, Call 8/1/2018		$  1,345,000		$    1,502,204
Tahoe Forest Hospital District, 5.500%, 8/1/2035, Call 8/1/2018		1,000,000		1,087,520
University of California, 5.000%, 5/15/2021, Call 5/15/2017		500,000		574,410
University of California, AGM, 5.000%, 5/15/2018, Call 5/15/2013		250,000		266,458
Vallejo City Unified School District, MBIA, 5.000%, 2/1/2013		100,000		101,798
Vallejo City Unified School District, MBIA, 5.400%, 2/1/2015		275,000		288,764
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2018		350,000		384,335
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025		725,000		773,952
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023		1,560,000		974,236
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021		1,500,000		1,718,280
Yosemite Community College District, AGM, 5.000%, 8/1/2028, Call 8/1/2018		1,495,000		1,667,104
				59,693,234
Colorado — 2.5%
City & County of Denver, XLCA, 5.000%, 11/15/2023, Call 11/15/2015		1,410,000		1,543,527
Colorado Educational & Cultural Facilities Authority, 5.000%, 12/15/2017, Call 4/2/2012		700,000		700,595
Colorado Educational & Cultural Facilities Authority, 6.000%, 4/1/2021, Call 4/2/2012		225,000		225,149
Colorado Educational & Cultural Facilities Authority, 6.250%, 3/1/2040, Call 3/1/2020		2,000,000		2,212,900
Colorado Educational & Cultural Facilities Authority, 7.400%, 12/1/2038, Call 12/1/2018		500,000		584,385
Colorado Educational & Cultural Facilities Authority, XLCA, 5.250%, 6/1/2024, Call 6/1/2014		750,000		763,717
Colorado Health Facilities Authority, 5.000%, 12/1/2014 (3)		1,150,000		1,247,888
Municipals (continued)
Colorado (continued)
Colorado Health Facilities Authority, 5.125%, 11/15/2020, Call 11/15/2016 (3)		$     555,000		$       627,805
Colorado Health Facilities Authority, RADIAN, 5.000%, 5/15/2014		570,000		611,872
Colorado Mountain Junior College District, NATL-RE, 3.750%, 8/1/2016		400,000		422,956
County of Pueblo, AMBAC, 5.100%, 1/1/2019, Call 4/2/2012		750,000		750,765
Denver Health & Hospital Authority, 5.500%, 12/1/2019		1,195,000		1,322,435
E-470 Public Highway Authority, 2.880%, 9/1/2014, Call 3/1/2014 (3)		2,000,000		2,004,020
E-470 Public Highway Authority, NATL-RE, 5.000%, 9/1/2016		250,000		267,597
Moffat County School District No. Re001 Craig, AGM, 5.250%, 12/1/2027, Call 12/1/2017		500,000		568,195
Public Authority for Colorado Energy, 5.750%, 11/15/2018		695,000		778,324
Rangely Hospital District, 4.500%, 11/1/2021		2,000,000		2,031,240
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021		2,000,000		2,244,380
Sand Creek Metropolitan District, XLCA, 5.000%, 12/1/2016, Call 12/1/2013		250,000		261,390
				19,169,140
Connecticut — 0.1%
State of Connecticut, 4.250%, 2/1/2015		750,000		830,333
Delaware — 0.6%
Delaware State Housing Authority, 0.000%, 7/1/2031, Call 7/1/2021		2,000,000		799,720
Delaware State Housing Authority, 5.000%, 1/1/2026, Call 7/1/2019 (7)		300,000		315,363
Delaware State Housing Authority, 5.200%, 7/1/2029, Call 7/1/2018		3,240,000		3,342,060
Town of Middletown, NATL-RE, 3.800%, 1/15/2013		300,000		305,514
				4,762,657
District of Columbia — 0.3%
District of Columbia, 5.000%, 10/1/2025, Call 10/1/2021		1,865,000		2,115,171
District of Columbia, AGM, 5.000%, 6/1/2022, Call 12/1/2017		250,000		284,933
Metropolitan Washington Airports Authority, AGC, 0.000%, 10/1/2033		255,000		84,433
				2,484,537

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

49

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida — 6.9%
Citizens Property Insurance Corp., 5.000%, 6/1/2016		$     700,000		$       779,793
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2016		400,000		449,912
Citizens Property Insurance Corp., AGM, 5.000%, 6/1/2017		1,000,000		1,140,990
City of Cape Coral, AMBAC, 3.700%, 10/1/2013		200,000		206,240
City of Clearwater, 4.500%, 12/1/2032, Call 12/1/2021		1,800,000		1,933,524
City of Gainesville, AMBAC, 5.500%, 8/1/2017		1,000,000		1,148,600
City of Gulf Breeze, 3.000%, 12/1/2012, Call 4/2/2012 (3)		4,485,000		4,508,770
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020		2,000,000		2,287,220
City of Gulf Breeze, FGIC, 6.050%, 12/1/2013, Call 4/2/2012 (3)		1,020,000		1,024,080
City of Lakeland, 1.260%, 10/1/2014, Call 4/1/2014 (3)		250,000		252,030
City of Niceville, AMBAC, 4.300%, 6/1/2030, Call 6/1/2014		475,000		476,686
City of Sarasota, 4.125%, 10/1/2028, Call 10/1/2021		2,335,000		2,517,830
City of St. Augustine, 5.750%, 10/1/2041, Call 10/1/2021		1,000,000		1,119,430
City of Sunrise, NATL-RE, 0.000%, 10/1/2013		120,000		114,832
City of Sunrise, NATL-RE, 0.000%, 10/1/2020		975,000		696,657
County of Bay, 3.500%, 9/1/2016		500,000		489,820
County of Brevard, AMBAC, 5.000%, 7/1/2015		355,000		386,787
County of Brevard, AMBAC, 5.000%, 7/1/2016		365,000		432,729
County of Brevard, AMBAC, 5.000%, 7/1/2016		910,000		1,012,093
County of Collier, NATL-RE, 4.250%, 1/1/2022, Call 1/1/2017		300,000		307,614
County of Miami-Dade, 5.500%, 10/1/2026, Call 10/1/2020		1,900,000		2,182,302
County of Miami-Dade FL Water & Sewer System Revenue, 5.500%, 10/1/2025, Call 10/1/2018		2,000,000		2,292,340
County of Miami-Dade, AGC, 5.000%, 10/1/2029, Call 10/1/2019		400,000		435,712
County of Miami-Dade, AGC, 5.500%, 10/1/2024, Call 10/1/2018 (7)		1,500,000		1,654,365
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018		1,000,000		1,229,950
County of Polk, NATL-RE, 5.000%, 12/1/2016		625,000		695,575
Municipals (continued)
Florida (continued)
Emerald Coast Utilities Authority, NATL-RE FGIC, 5.000%, 1/1/2020, Call 1/1/2017		$  1,000,000		$    1,101,400
Emerald Coast Utilities Authority, NATL-RE FGIC, 5.250%, 1/1/2026, Call 1/1/2016		1,000,000		1,071,300
Florida Housing Finance Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020		945,000		1,019,494
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 5.250%, 7/1/2028, Call 1/1/2018		760,000		796,754
Florida Hurricane Catastrophe Fund Finance Corp., 5.000%, 7/1/2013		500,000		528,380
Florida Hurricane Catastrophe Fund Finance Corp., 5.000%, 7/1/2014		570,000		621,095
Florida Municipal Power Agency, 5.500%, 10/1/2019		250,000		303,750
Florida State Department of Transportation, FSA, 4.750%, 7/1/2022, Call 7/1/2014		1,500,000		1,608,855
Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018		500,000		575,280
Highlands County Health Facilities Authority, 5.125%, 11/15/2023, Call 11/15/2016 (3)		500,000		557,075
Highlands County Health Facilities Authority, 6.100%, 11/15/2013 (3)		750,000		815,850
Hillsborough County Industrial Development Authority, 5.650%, 5/15/2018 (3)		650,000		764,348
Hillsborough County Industrial Development Authority, AMBAC, 5.000%, 3/15/2012 (3)		875,000		876,207
Key West Utility Board, NATL-RE, 5.000%, 10/1/2023, Call 10/1/2016		1,015,000		1,124,437
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020		2,000,000		2,172,440
Miami Health Facilities Authority, 4.500%, 11/15/2014, Call 11/15/2013		570,000		601,054
Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018		300,000		310,254
Pinellas County Educational Facilities Authority, 3.000%, 10/1/2014		580,000		598,154
Pinellas County Educational Facilities Authority, 4.000%, 10/1/2016		350,000		374,735
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020		150,000		159,293

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

50

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018		$     500,000		$       552,315
Putnam County Development Authority, AMBAC, 5.350%, 5/1/2018 (3)		445,000		504,430
Saint Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021		2,500,000		2,825,700
Sunrise Excise Tax & Special Assessment, AMBAC, 5.500%, 10/1/2018		575,000		690,426
Sunrise Excise Tax & Special Assessment, NATL-RE, 0.000%, 10/1/2019		905,000		677,519
Tampa-Hillsborough County Expressway Authority, AMBAC, 5.000%, 7/1/2014		455,000		492,287
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021		500,000		542,045
				52,040,758
Georgia — 6.1%
Carroll City-County Hospital Authority, County Guarantee, 5.000%, 7/1/2023, Call 7/1/2020		2,790,000		3,229,285
Carroll City-County Hospital Authority, County Guarantee, 5.000%, 7/1/2024, Call 7/1/2020		1,640,000		1,879,916
City of Atlanta, 5.000%, 1/1/2018		600,000		707,478
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022		1,000,000		1,233,480
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021		3,000,000		3,259,590
County of DeKalb, 4.000%, 12/1/2012		835,000		852,819
County of DeKalb, 4.000%, 1/1/2013		300,000		307,074
County of DeKalb, 4.500%, 12/1/2024, Call 12/1/2015		250,000		258,235
County of Fulton Water & Sewerage Revenue, NATL-RE FGIC, 5.250%, 1/1/2035, Call 1/1/2014		3,200,000		3,401,120
County of Heard, XLCA, 5.000%, 5/1/2012		500,000		502,400
DeKalb County Hospital Authority, 6.000%, 9/1/2030, Call 9/1/2020		500,000		560,675
East Point Building Authority, XLCA, 4.500%, 2/1/2025, Call 2/1/2016		500,000		475,955
East Point Building Authority, XLCA, 5.000%, 2/1/2017		575,000		610,351
Fulton County Development Authority, 4.000%, 10/1/2019		1,355,000		1,512,234
Fulton County Development Authority, 5.000%, 10/1/2019		2,000,000		2,370,220
Municipals (continued)
Georgia (continued)
Gainesville & Hall County Hospital Authority, 4.000%, 2/15/2020		$     805,000		$       849,275
Georgia State Environmental Loan Acquisition Corp., 4.000%, 3/15/2021		600,000		674,910
Georgia State Environmental Loan Acquisition Corp., 5.125%, 3/15/2031, Call 3/15/2021		3,250,000		3,723,427
Jefferson City School District, State Aid Withholding, 5.250%, 2/1/2029, Call 2/1/2021		1,350,000		1,578,906
Main Street Natural Gas, Inc., 5.250%, 9/15/2018		250,000		272,135
Medical Center Hospital Authority, AGC, 6.500%, 8/1/2038, Call 8/1/2018		250,000		279,460
Municipal Electric Authority of Georgia, 5.750%, 1/1/2019, Call 7/1/2018		1,980,000		2,433,361
Private Colleges & Universities Authority, 5.000%, 10/1/2032, Call 10/1/2021		1,450,000		1,489,933
Private Colleges & Universities Authority, 5.250%, 10/1/2027, Call 10/1/2021		2,500,000		2,707,125
Puttable Floating Option Tax-Exempt Receipts, FGIC, 0.860%, 7/1/2025, Call 3/1/2012 (3)		1,980,000		1,980,000
Richmond County Hospital Authority, 5.250%, 1/1/2029, Call 1/1/2019		1,150,000		1,227,234
Richmond County Hospital Authority, 5.375%, 1/1/2029, Call 1/1/2019		940,000		1,010,058
South Georgia Governmental Services Authority, MBIA, 5.000%, 1/1/2020, Call 1/1/2014		300,000		311,487
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018		500,000		590,215
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021		2,940,000		3,334,372
Winder-Barrow Industrial Building Authority, AGM, 3.000%, 12/1/2026, Call 12/1/2021		1,000,000		976,610
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021		1,000,000		1,145,040
				45,744,380
Hawaii — 0.4%
City & County of Honolulu, NATL-RE FGIC, 5.000%, 7/1/2024, Call 7/1/2015		1,000,000		1,085,180
Hawaii State Department of Budget & Finance, NATL-RE, 4.950%, 4/1/2012		1,750,000		1,753,483
				2,838,663

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

51

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Idaho — 0.1%
Boise-Kuna Irrigation District, 5.875%, 6/1/2022, Call 6/1/2018		$     200,000		$       228,208
Boise-Kuna Irrigation District, 7.375%, 6/1/2034, Call 6/1/2018		340,000		396,447
Idaho Housing & Finance Association, 5.150%, 7/1/2022, Call 1/1/2013 (7)		450,000		452,884
				1,077,539
Illinois — 8.9%
Bryant, 5.900%, 8/1/2023, Call 4/2/2012		680,000		682,162
Chicago Transit Authority, AGC, 5.250%, 6/1/2022, Call 6/1/2018		1,500,000		1,658,295
City of Chicago, FSA, 5.500%, 1/1/2013		435,000		452,896
City of Chicago, NATL-RE, 5.250%, 1/1/2024, Call 1/1/2016		1,925,000		2,078,788
City of Chicago, NATL-RE, 5.530%, 1/1/2020, Call 1/1/2016		1,000,000		1,133,360
City of Quincy, 5.000%, 11/15/2012		185,000		188,881
City of Springfield, NATL-RE, 5.000%, 3/1/2022, Call 3/1/2017		3,500,000		3,845,940
Cook County Community High School District No. 219-Niles Township, FSA, 5.000%, 12/1/2025, Call 12/1/2017		2,105,000		2,366,673
Cook County School District No. 130 Blue Island, XLCA, 4.250%, 6/1/2013		500,000		515,805
Cook County School District No. 144 Prairie Hills, AGM, 0.000%, 12/1/2028		2,830,000		1,294,017
Cook County School District No. 144 Prairie Hills, AGM, 0.000%, 12/1/2029		2,580,000		1,110,329
Cook County School District No. 144 Prairie Hills, AGM, 0.000%, 12/1/2030		2,830,000		1,142,414
Cook County School District No. 144 Prairie Hills, AGM, 5.000%, 12/1/2030		4,250,000		4,676,105
Cook County School District No. 159 Matteson-Richton Park, FSA, 0.000%, 12/1/2016		300,000		266,055
Cook County School District No. 169 Ford Heights, AGC, 5.750%, 12/1/2030, Call 12/1/2021		1,000,000		1,086,920
County of St. Clair, 5.250%, 10/1/2027, Call 10/1/2019		1,150,000		1,303,260
Du Page County School District No. 12 Roselle, NATL-RE, 5.000%, 1/1/2016		440,000		488,673
Illinois Finance Authority, 1.125%, 10/1/2012 (3)		500,000		502,155
Municipals (continued)
Illinois (continued)
Illinois Finance Authority, 5.000%, 12/1/2012		$     415,000		$       427,716
Illinois Finance Authority, 5.000%, 5/15/2020		250,000		283,163
Illinois Finance Authority, 5.250%, 3/1/2019		250,000		300,580
Illinois Finance Authority, 5.250%, 11/15/2022, Call 11/15/2017		250,000		270,253
Illinois Finance Authority, 5.750%, 11/15/2033, Call 11/15/2017		960,000		1,040,669
Illinois Finance Authority, 6.000%, 8/15/2041, Call 8/15/2021		1,750,000		1,924,650
Illinois Finance Authority, 6.875%, 10/1/2043, Call 10/1/2021		3,000,000		3,294,270
Illinois Finance Authority, 7.125%, 11/15/2037, Call 5/15/2019		530,000		624,637
Illinois Finance Authority, AGC, 5.250%, 8/15/2019		250,000		287,635
Illinois Finance Authority, AMBAC, 6.000%, 2/1/2022, Call 2/1/2018		335,000		380,084
Illinois Finance Authority, BHAC, 4.875%, 11/1/2018, Call 11/1/2013 (3)(7)		2,255,000		2,379,972
Illinois Municipal Electric Agency, MBIA, 5.250%, 2/1/2019, Call 2/1/2017		1,000,000		1,159,740
Illinois Municipal Electric Agency, NATL-RE FGIC, 5.250%, 2/1/2024, Call 2/1/2017		1,000,000		1,110,570
Illinois State University, 4.000%, 4/1/2012		325,000		325,663
Kendall, Kane & Will Counties High School District No. 18, FSA, 5.250%, 10/1/2016, Call 10/1/2014		925,000		1,041,217
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021		1,435,000		1,594,314
Lake County Community Unit School District No. 116 Round Lake, XLCA, 4.500%, 1/15/2018, Call 1/15/2015		500,000		524,605
Lake County School District No. 33, XLCA, 0.000%, 12/1/2026		525,000		229,630
Lake County School District No. 33, XLCA, 0.000%, 12/1/2028		335,000		128,439
Lake County School District No. 38 Big Hallow, AMBAC, 0.000%, 2/1/2013		200,000		193,952
Lake County School District No. 38-Big Hallow, AMBAC, 0.000%, 2/1/2021		700,000		448,182

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

52

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Lake County School District No. 38-Big Hallow, AMBAC, 0.000%, 2/1/2023		$     100,000		$         56,286
McHenry & Kane Counties Community Consolidated School District 158, NATL-RE, 0.000%, 1/1/2017		210,000		180,277
Metropolitan Pier & Exposition Authority, 0.860%, 7/1/2026 (3)(5)(6)		2,980,000		2,980,000
Northern Illinois Municipal Power Agency, NATL-RE, 5.000%, 1/1/2020, Call 1/1/2018		1,500,000		1,678,665
Railsplitter Tobacco Settlement Authority, 5.250%, 6/1/2021		1,075,000		1,229,660
Rock Island County Metropolitan Airport Authority, AGC, 5.000%, 12/1/2020 (7)		1,095,000		1,204,697
Rock Island County Metropolitan Airport Authority, AGC, 5.000%, 12/1/2021 (7)		815,000		893,941
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019		325,000		359,629
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (7)		745,000		824,320
State of Illinois, 3.750%, 9/1/2016		500,000		545,025
State of Illinois, 5.000%, 1/1/2015		250,000		273,940
State of Illinois, 5.000%, 1/1/2016		500,000		562,380
State of Illinois, 6.500%, 6/15/2022		250,000		306,952
Stephenson County School District No. 145 Freeport, AMBAC, 0.000%, 1/1/2018		425,000		364,816
Stephenson-Jo Daviess Counties Community Unit School District No. 200, NATL-RE, 0.000%, 2/1/2016		535,000		459,560
University of Illinois, AMBAC, 5.250%, 4/1/2013		1,060,000		1,110,721
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020		1,425,000		1,595,957
Village of Bolingbrook, NATL-RE, 0.000%, 1/1/2020, Call 1/1/2015		200,000		142,880
Village of Bridgeview, AMBAC, 5.250%, 1/1/2013, Call 4/2/2012		295,000		295,847
Village of Bridgeview, AMBAC, 5.300%, 1/1/2014, Call 4/2/2012		310,000		310,927
Village of Elwood, RADIAN, 0.000%, 3/1/2024, Call 3/1/2016		250,000		131,978
Municipals (continued)
Illinois (continued)
Village of Elwood, RADIAN, 0.000%, 3/1/2026, Call 3/1/2016		$  1,280,000		$       598,157
Village of Franklin Park, AMBAC, 5.000%, 7/1/2016, Call 1/1/2014		1,065,000		1,086,481
Village of Hoffman Estates, 5.250%, 12/1/2025, Call 12/1/2018		300,000		348,036
Village of Justice, AMBAC, 0.000%, 1/1/2014		545,000		515,107
Village of Justice, AMBAC, 0.000%, 1/1/2015		345,000		314,298
Village of Maywood, XLCA, 5.000%, 1/1/2021, Call 1/1/2015		385,000		362,158
Village of Melrose Park, NATL-RE FGIC, 0.000%, 12/15/2015		155,000		133,509
Village of South Chicago Heights, NATL-RE FGIC, 0.000%, 11/1/2016		505,000		451,914
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC, 0.000%, 1/1/2017		750,000		656,512
Will County Community Unit School District No. 201 Crete-Monee, NATL-RE FGIC, 0.000%, 11/1/2021		200,000		142,794
Will County Community Unit School District No. 201 Crete-Monee, NATL-RE FGIC, 0.000%, 11/1/2022		250,000		169,685
Will County Community Unit School District No. 209-U Wilmington, NATL-RE, 5.750%, 1/1/2023, Call 1/1/2016		1,025,000		1,151,649
Will County School District No. 114 Manhattan, NATL-RE FGIC, 0.000%, 12/1/2023		900,000		504,621
Will County School District No. 114, NATL-RE FGIC, 0.000%, 12/1/2017		870,000		704,526
Will County School District No. 114, NATL-RE FGIC, 0.000%, 12/1/2020		815,000		548,185
Will County Unit School District No. 200-U Beecher, AMBAC, 5.000%, 11/1/2018, Call 11/1/2015		740,000		806,926
Will, Grundy, Livingston, Cook, Kendall, LaSalle & Kankakee Counties Community College District No. 525, 5.750%, 6/1/2023, Call 6/1/2018		315,000		366,077
Will, Grundy, Livingston, Cook, Kendall, LaSalle & Kankakee Counties Community College District No. 525, 5.750%, 6/1/2028, Call 6/1/2018		275,000		313,692
				67,445,454

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

53

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Indiana — 3.4%
Anderson School Building Corp., AMBAC, 5.000%, 7/15/2026, Call 1/15/2016		$     680,000		$       736,957
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020		350,000		406,515
Carmel Redevelopment Authority, NATL-RE, 5.000%, 7/1/2021, Call 7/1/2016		200,000		224,280
City of Greenwood, 4.000%, 10/1/2017		225,000		248,114
City of Greenwood, 4.250%, 10/1/2020, Call 10/1/2018		820,000		895,153
City of Greenwood, 4.300%, 10/1/2022, Call 10/1/2018		875,000		931,752
City of Greenwood, 4.625%, 10/1/2024, Call 10/1/2018		520,000		556,624
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018		1,000,000		1,131,700
Crown Point Multi School Building Corp., AGM ST AID WITHHLDG, 5.000%, 1/15/2022, Call 7/15/2017		1,000,000		1,140,300
Dyer Redevelopment Authority Economic Development Lease Rent, CIFG, 5.250%, 7/15/2021, Call 7/15/2015		400,000		430,416
Dyer Redevelopment Authority, CIFG, 5.250%, 7/15/2023, Call 7/15/2015		1,225,000		1,307,602
East Chicago Multi School Building Corp., State Aid Withholding, 6.000%, 7/15/2016		670,000		793,380
Fishers Redevelopment District, 5.125%, 7/15/2026, Call 1/15/2020		1,875,000		2,154,937
Fishers Redevelopment District, 5.250%, 7/15/2023, Call 1/15/2020		1,605,000		1,915,648
Hammond Local Public Improvement Bond Bank, 4.000%, 8/15/2013		500,000		519,180
Hammond Local Public Improvement Bond Bank, 5.000%, 8/15/2014		500,000		536,475
Hammond Local Public Improvement Bond Bank, 5.000%, 2/15/2015		1,090,000		1,179,140
Hendricks County Redevelopment District, 6.000%, 1/1/2022, Call 1/1/2016		680,000		713,456
Indiana Development Finance Authority, 4.700%, 10/1/2015 (3)(7)		550,000		602,938
Indiana Finance Authority, 6.000%, 10/1/2021, Call 10/1/2019		500,000		532,150
Municipals (continued)
Indiana (continued)
Indiana Finance Authority, AMBAC, 4.550%, 12/1/2024, Call 12/1/2016		$  1,750,000		$  1,858,587
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018		500,000		560,100
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019		500,000		573,570
Indiana Municipal Power Agency, NATL-RE, 5.000%, 1/1/2037, Call 1/1/2017		1,850,000		1,942,722
Indianapolis Airport Authority, 4.000%, 1/1/2020		255,000		272,654
Lake County Public Library District, AMBAC, 4.500%, 8/1/2017, Call 2/1/2014		1,000,000		1,056,910
Merrillville Multi-School Building Corp., NATL-RE, 0.000%, 1/15/2015		750,000		701,505
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018		1,000,000		1,143,690
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021		200,000		241,028
Rush County Elementary School Building Corp., State Aid Withholding, 5.250%, 7/15/2021, Call 1/15/2019		565,000		666,677
				25,974,160
Iowa — 2.4%
Cedar Falls Community School District, 3.000%, 6/1/2012		400,000		401,744
Cedar Rapids Community School District, 4.250%, 7/1/2022, Call 7/1/2017		700,000		756,315
City of Altoona, 5.750%, 6/1/2031, Call 6/1/2018		1,000,000		1,052,260
City of Coralville, 5.000%, 6/1/2016		1,200,000		1,367,064
City of Coralville, 5.000%, 6/1/2017		3,490,000		4,064,838
City of Coralville, City Appropriation, 5.000%, 6/1/2024, Call 6/1/2017		810,000		885,087
Iowa Finance Authority, GNMA/FNMA/FHLMC, 5.000%, 1/1/2038, Call 1/1/2019		1,155,000		1,235,515
Iowa Higher Education Loan Authority, 3.625%, 10/1/2022, Call 10/1/2019		425,000		430,194
Iowa Higher Education Loan Authority, 3.750%, 10/1/2023, Call 10/1/2019		440,000		446,961
Iowa Higher Education Loan Authority, 4.000%, 10/1/2024, Call 10/1/2019		455,000		466,957
Iowa Higher Education Loan Authority, 4.125%, 10/1/2025, Call 10/1/2019		475,000		489,164
Iowa Higher Education Loan Authority, 4.625%, 10/1/2031, Call 10/1/2019		1,000,000		1,033,190

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

54

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Iowa (continued)
Iowa Higher Education Loan Authority, 5.000%, 10/1/2036, Call 10/1/2019		$     500,000		$       515,230
Iowa Higher Education Loan Authority, 6.450%, 5/18/2012		3,400,000		3,410,812
University of Northern Iowa, 3.000%, 7/1/2020		760,000		800,660
University of Northern Iowa, 3.000%, 7/1/2021		575,000		597,793
				17,953,784
Kansas — 0.6%
City of Salina, 5.000%, 10/1/2018, Call 4/1/2016		350,000		388,976
Kansas Development Finance Authority, 5.000%, 3/1/2031, Call 3/1/2020		1,000,000		1,058,690
Kansas Development Finance Authority, 5.000%, 3/1/2034, Call 3/1/2020		1,000,000		1,052,430
Kansas Development Finance Authority, 5.750%, 11/15/2034, Call 11/15/2014		600,000		680,814
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018		350,000		401,041
Sedgwick & Shawnee Counties, GNMA/FNMA, 5.450%, 6/1/2027, Call 6/1/2013 (7)		470,000		482,135
Sedgwick & Shawnee Counties, GNMA/FNMA COLL, 5.650%, 12/1/2036, Call 12/1/2014 (7)		475,000		489,701
				4,553,787
Kentucky — 0.8%
City of Pikeville, 3.000%, 3/1/2012		250,000		250,000
City of Pikeville, USDA, 4.000%, 5/1/2013		1,500,000		1,522,860
Kentucky Economic Development Finance Authority, 5.000%, 6/1/2016		855,000		937,901
Kentucky Economic Development Finance Authority, 5.000%, 2/1/2017		1,000,000		1,114,230
Kentucky Housing Corp., FHA, 5.750%, 7/1/2039, Call 1/1/2019		830,000		881,842
Kentucky State Property & Building Commission, NATL-RE FGIC, 5.000%, 3/1/2022, Call 3/1/2017		1,100,000		1,227,138
				5,933,971
Louisiana — 0.9%
Louisiana Housing Finance Agency, GNMA/FNMA/FHLMC, 4.750%, 6/1/2027, Call 6/1/2020		1,210,000		1,301,234
Louisiana Housing Finance Agency, GNMA/FNMA/FHLMC, 6.550%, 6/1/2040, Call 6/1/2018		1,075,000		1,167,762
Municipals (continued)
Louisiana (continued)
Louisiana Local Government Environmental Facilities & Community Development Auth, AGM, 3.750%, 10/1/2023, Call 10/1/2021		$     620,000		$       628,463
Louisiana Local Government Environmental Facilities & Community Development Auth, AGM, 4.500%, 10/1/2029, Call 10/1/2021		500,000		518,900
Louisiana Public Facilities Authority, 2.875%, 11/1/2015		800,000		821,696
Louisiana State Citizens Property Insurance Corp., 3.000%, 6/1/2015		370,000		385,684
Louisiana State Citizens Property Insurance Corp., 3.000%, 6/1/2016		545,000		570,882
State of Louisiana, CIFG, 5.000%, 7/15/2017, Call 7/15/2016		250,000		294,440
Tangipahoa Parish Hospital Service District No. 1, 5.375%, 2/1/2016, Call 2/1/2013		1,190,000		1,243,372
				6,932,433
Maine — 0.6%
Maine Governmental Facilities Authority, 4.000%, 10/1/2027, Call 10/1/2021		1,975,000		2,054,691
Maine Governmental Facilities Authority, 4.250%, 10/1/2029, Call 10/1/2021		2,140,000		2,239,382
				4,294,073
Maryland — 1.5%
City of Baltimore, NATL-RE, 0.810%, 7/1/2020 (3)		4,000,000		4,000,000
Maryland Community Development Administration, 6.000%, 3/1/2041, Call 3/1/2016 (7)		30,000		30,799
Maryland Health & Higher Educational Facilities Authority, 0.750%, 7/1/2036, Call 3/21/2012 (3)		2,500,000		2,500,000
Maryland Health & Higher Educational Facilities Authority, 5.750%, 7/1/2034, Call 7/1/2021		750,000		848,752
Maryland Health & Higher Educational Facilities Authority, 6.000%, 1/1/2026, Call 1/1/2022		1,000,000		1,150,540
Maryland Health & Higher Educational Facilities Authority, 6.125%, 1/1/2036, Call 1/1/2022		1,405,000		1,553,972
Maryland Health & Higher Educational Facilities Authority, 6.250%, 1/1/2031, Call 1/1/2022		1,000,000		1,140,180
				11,224,243

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

55

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Massachusetts — 2.0%
Commonwealth of Massachusetts, AMBAC, 0.600%, 8/1/2037, Call 8/1/2017 (3)		$  6,000,000		$    6,000,000
Massachusetts Development Finance Agency, 5.000%, 1/1/2023, Call 1/1/2017		500,000		538,740
Massachusetts Development Finance Agency, 5.000%, 7/1/2025, Call 7/1/2021		1,425,000		1,678,037
Massachusetts Educational Financing Authority, 4.000%, 1/1/2016		600,000		649,230
Massachusetts Educational Financing Authority, 4.750%, 1/1/2016		435,000		481,506
Massachusetts Educational Financing Authority, 5.000%, 1/1/2017		560,000		635,191
Massachusetts Educational Financing Authority, 5.100%, 1/1/2018 (7)		255,000		280,824
Massachusetts Educational Financing Authority, 5.250%, 1/1/2019		855,000		987,679
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019		3,105,000		3,574,259
Route 3 North Transit Improvement Association, NATL-RE, 5.000%, 6/15/2012, Call 4/2/2012		400,000		401,256
				15,226,722
Michigan — 3.7%
Allen Park Brownfield Redevelopment Authority, AMBAC, 4.250%, 5/1/2016		300,000		282,393
Alpena General Hospital, AMBAC, 5.200%, 11/1/2014, Call 5/1/2012		350,000		350,963
Alpena General Hospital, AMBAC, 5.250%, 11/1/2015, Call 5/1/2012		375,000		376,106
Battle Creek School District, AGM Q-SBLF, 5.250%, 5/1/2021, Call 5/1/2017		1,125,000		1,284,851
Berrien Springs Public Schools, NATL-RE, 4.250%, 5/1/2016, Call 5/1/2015		560,000		593,566
City of Detroit, 6.500%, 7/1/2024, Call 7/1/2019		350,000		426,374
City of Detroit, AGM, 5.000%, 7/1/2012		65,000		66,011
City of Detroit, NATL-RE, 0.000%, 9/30/2014		300,000		277,761
City of Detroit, NATL-RE, 5.000%, 7/1/2016 (3)		725,000		799,110
City of Detroit, NATL-RE, 5.250%, 7/1/2022, Call 7/1/2017 (3)		1,250,000		1,355,325
Municipals (continued)
Michigan (continued)
City of Detroit, NATL-RE, 6.000%, 7/1/2014		$     300,000		$       329,388
City of Warren, NATL-RE, 4.200%, 10/1/2018, Call 10/1/2015		250,000		264,433
Detroit City School District, FGIC Q-SBLF, 5.250%, 5/1/2013		500,000		519,980
Ferndale Public Schools, NATL-RE FGIC Q-SBLF, 5.000%, 5/1/2019, Call 5/1/2014		485,000		509,439
Hartland Consolidated Schools, AGM Q-SBLF, 5.250%, 5/1/2026, Call 5/1/2021		1,625,000		1,879,117
Hartland Consolidated Schools, AGM Q-SBLF, 5.250%, 5/1/2027, Call 5/1/2021		600,000		688,710
Hartland Consolidated Schools, AGM Q-SBLF, 5.250%, 5/1/2028, Call 5/1/2021		1,575,000		1,793,216
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020		565,000		603,025
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021		1,000,000		1,093,950
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021		1,000,000		1,109,150
Marquette Board of Light & Power, 4.000%, 7/1/2012		325,000		327,889
Michigan Finance Authority, 3.000%, 6/1/2012		2,340,000		2,345,476
Michigan Public Educational Facilities Authority, 5.250%, 6/1/2015		235,000		242,097
Michigan Public Educational Facilities Authority, 6.000%, 6/1/2020		380,000		398,829
Michigan Public Power Agency, NATL-RE, 5.250%, 1/1/2014		250,000		267,720
Michigan Public Power Agency, NATL-RE, 5.250%, 1/1/2017		375,000		430,751
Michigan State Building Authority, NATL-RE FGIC, 0.000%, 10/15/2021, Call 10/15/2016		1,500,000		1,005,255
Michigan State Building Authority, NATL-RE FGIC, 0.000%, 10/15/2023, Call 10/15/2016		1,350,000		805,248
Pontiac, CIFG, 5.000%, 5/1/2017, Call 5/1/2016		300,000		324,852
Southgate Community School District, NATL-RE FGIC Q-SBLF, 5.000%, 5/1/2019, Call 5/1/2015		1,000,000		1,071,600
State of Michigan, FSA, 5.250%, 9/15/2021, Call 9/15/2017		2,000,000		2,294,540
Warren Consolidated School District, FSA, 5.000%, 5/1/2015		325,000		362,482

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

56

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Michigan (continued)
Wayland Union School District, AGM Q-SBLF, 5.250%, 5/1/2019, Call 5/1/2018		$     400,000		$      462,384
Wayne State University, AGM, 5.000%, 11/15/2025, Call 11/15/2018		515,000		570,110
Wyandotte, NATL-RE, 4.500%, 10/1/2014 (7)		600,000		627,108
Wyandotte, NATL-RE, 5.000%, 10/1/2013 (7)		600,000		623,070
Zeeland Public Schools, NATL-RE, 5.250%, 5/1/2020, Call 5/1/2014		300,000		320,265
Zeeland Public Schools, NATL-RE, 5.250%, 5/1/2021, Call 5/1/2014		650,000		691,496
				27,774,040
Minnesota — 1.5%
City of Center City, 4.750%, 11/1/2031, Call 11/1/2019		850,000		895,654
City of Minneapolis, AGC, 6.500%, 11/15/2038, Call 11/15/2018		950,000		1,102,114
City of Northfield, 5.500%, 11/1/2015		900,000		994,392
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020		275,000		314,672
Minneapolis & St. Paul Housing & Redevelopment Authority, 6.000%, 12/1/2021, Call 12/1/2013		1,680,000		1,802,304
Minnesota Higher Education Facilities Authority, 3.250%, 3/1/2020		300,000		308,736
Minnesota Higher Education Facilities Authority, 3.500%, 3/1/2021, Call 3/1/2020		310,000		318,937
Minnesota Higher Education Facilities Authority, 4.000%, 3/1/2023, Call 3/1/2020		330,000		341,411
Minnesota Higher Education Facilities Authority, 5.000%, 3/1/2031, Call 3/1/2020		275,000		286,201
Southern Minnesota Municipal Power Agency, NATL-RE, 0.000%, 1/1/2026		935,000		551,949
Tobacco Securitization Authority, 4.850%, 3/1/2026, Call 3/1/2022		2,000,000		2,192,360
Tobacco Securitization Authority, 5.000%, 3/1/2022		2,000,000		2,290,980
				11,399,710
Mississippi — 0.3%
Mississippi Development Bank, AGM, 5.375%, 7/1/2036, Call 7/1/2021		250,000		273,058
Mississippi Development Bank, County Guarantee, 5.375%, 12/1/2022, Call 12/1/2018		460,000		550,675
Municipals (continued)
Mississippi (continued)
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018		$     470,000		$      512,314
Rankin County School District, FSA, 5.000%, 10/1/2014		730,000		814,848
				2,150,895
Missouri — 2.9%
Cass County, 5.000%, 5/1/2015		450,000		476,748
City of Des Peres, AMBAC, 5.250%, 2/1/2018, Call 2/1/2015		380,000		421,507
City of Sikeston, NATL-RE, 6.000%, 6/1/2015		1,300,000		1,440,231
City of St. Louis, AGM, 5.000%, 7/1/2020, Call 7/1/2017		1,885,000		2,074,951
Jackson County, AMBAC, 5.000%, 12/1/2018, Call 12/1/2016		1,000,000		1,126,760
Joplin Industrial Development Authority, 3.125%, 2/15/2016		885,000		900,302
Kansas City Industrial Development Authority, 4.000%, 9/1/2014		665,000		676,511
Missouri Development Finance Board, 6.750%, 4/1/2029, Call 10/1/2013		200,000		220,386
Missouri Highway & Transportation Commission, 5.250%, 5/1/2021, Call 5/1/2017		500,000		589,415
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019		930,000		1,006,902
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 3.800%, 5/1/2025, Call 5/1/2021		1,055,000		1,083,158
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 3.800%, 11/1/2025, Call 5/1/2021		1,180,000		1,212,143
Missouri Housing Development Commission, GNMA/FNMA/FHLMC, 4.000%, 5/1/2027, Call 5/1/2021		1,000,000		1,026,990
Missouri Joint Municipal Electric Utility Commission, NATL-RE, 5.000%, 1/1/2017, Call 1/1/2016		500,000		540,345
Missouri State Environmental Improvement & Energy Resources Authority, 5.750%, 1/1/2029, Call 1/1/2019		750,000		919,388
Missouri State Health & Educational Facilities Authority, 3.000%, 2/15/2015		1,785,000		1,814,738
Missouri State Health & Educational Facilities Authority, 3.250%, 2/15/2016		390,000		398,116
Missouri State Health & Educational Facilities Authority, 3.500%, 2/15/2017		1,430,000		1,461,288
Missouri State Health & Educational Facilities Authority, 3.500%, 11/1/2019		950,000		962,094

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

57

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Missouri (continued)
Missouri State Health & Educational Facilities Authority, 3.750%, 2/15/2018		$  1,000,000		$    1,024,640
Missouri State Health & Educational Facilities Authority, 5.250%, 10/1/2031, Call 10/1/2021		1,000,000		1,081,210
Missouri State Health & Educational Facilities Authority, AGM, 5.000%, 11/15/2015		750,000		835,680
St. Louis Municipal Finance Corp., AGC, 0.000%, 7/15/2021		800,000		551,160
				21,844,663
Montana — 0.6%
City of Dillon, AGM, 3.625%, 8/1/2030, Call 8/1/2021		425,000		445,553
City of Dillon, AGM, 4.000%, 8/1/2031, Call 8/1/2021		440,000		473,572
County of Yellowstone, 5.250%, 9/1/2034, Call 9/1/2017		1,400,000		1,551,592
Montana State Board of Regents, 4.000%, 11/15/2027, Call 11/15/2021		525,000		565,651
Montana State Board of Regents, 5.000%, 11/15/2022, Call 11/15/2021		200,000		245,702
Montana State Board of Regents, 5.000%, 11/15/2023, Call 11/15/2021		250,000		304,465
Montana State Board of Regents, 5.000%, 11/15/2024, Call 11/15/2021		375,000		452,741
Montana State Board of Regents, 5.000%, 11/15/2025, Call 11/15/2021		255,000		305,444
				4,344,720
Nebraska — 0.3%
City of O’Neill, 6.250%, 9/1/2012		65,000		65,709
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020		1,000,000		1,099,140
Nebraska Public Power District, 5.000%, 1/1/2032, Call 1/1/2022		1,000,000		1,144,290
				2,309,139
Nevada — 1.3%
City of Henderson, NATL-RE, 5.000%, 6/1/2023, Call 6/1/2015		500,000		536,060
Clark County School District, AMBAC, 5.000%, 6/15/2019, Call 6/15/2017		1,600,000		1,846,176
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019		2,000,000		2,238,800
County of Clark, AMBAC, 5.000%, 11/1/2024, Call 11/1/2016		410,000		456,297
Municipals (continued)
Nevada (continued)
County of Washoe, 5.500%, 2/1/2028, Call 2/1/2019		$  1,000,000		$    1,130,880
Las Vegas Convention & Visitors Authority, AMBAC, 5.250%, 7/1/2013		300,000		316,212
Las Vegas Valley Water District, AGM, 5.000%, 6/1/2028, Call 6/1/2016		2,565,000		2,804,007
Reno-Sparks Indian Colony, 4.250%, 6/1/2014		515,000		515,190
				9,843,622
New Hampshire — 0.5%
New Hampshire Health & Education Facilities Authority, 5.000%, 7/1/2013		230,000		238,984
New Hampshire Housing Finance Authority, 4.500%, 1/1/2029, Call 7/1/2020		1,415,000		1,512,210
New Hampshire Housing Finance Authority, 4.800%, 7/1/2028, Call 1/1/2022		2,000,000		2,178,320
				3,929,514
New Jersey — 1.4%
City of Atlantic City, NATL-RE, 5.000%, 8/15/2014		350,000		382,564
New Jersey Economic Development Authority, 1.860%, 2/1/2016, Call 8/1/2015 (3)		3,000,000		3,016,740
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2013		1,015,000		1,061,182
New Jersey Health Care Facilities Financing Authority, 5.000%, 7/1/2014		2,000,000		2,133,540
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021		1,000,000		1,060,630
New Jersey Housing & Mortgage Finance Agency, AGM, 5.050%, 11/1/2013, Call 4/2/2012		1,450,000		1,453,030
New Jersey Transportation Trust Fund Authority, 0.000%, 12/15/2031		415,000		156,870
New Jersey Transportation Trust Fund Authority, 5.250%, 12/15/2023, Call 12/15/2018		300,000		344,478
New Jersey Transportation Trust Fund Authority, AMBAC, 0.000%, 12/15/2026		1,555,000		814,976
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024		100,000		61,739
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2028		100,000		50,035
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2030		150,000		66,246
New Jersey Transportation Trust Fund Authority, NATL-RE, 0.000%, 12/15/2027		230,000		113,795
				10,715,825

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

58

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
New Mexico — 0.9%
City of Farmington, 4.700%, 9/1/2024, Call 11/1/2020		$  2,000,000		$    2,179,360
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC, 5.650%, 9/1/2039, Call 3/1/2019		885,000		960,446
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC, 6.000%, 9/1/2039, Call 3/1/2019		670,000		724,746
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL, 4.625%, 3/1/2028, Call 9/1/2021		1,230,000		1,335,731
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL, 5.350%, 3/1/2030, Call 9/1/2020		1,500,000		1,642,620
				6,842,903
New York — 2.6%
City of New York, 5.000%, 8/1/2032, Call 8/1/2021		5,000,000		5,752,150
County of Monroe, MBIA, 6.000%, 3/1/2015		225,000		255,123
New York City Municipal Water Finance Authority, 0.280%, 6/15/2032, Call 3/15/2012 (3)		5,500,000		5,500,000
New York City Transitional Finance Authority, NATL-RE FGIC, 5.000%, 7/15/2024, Call 1/15/2017		425,000		476,025
New York Liberty Development Corp., 5.000%, 10/1/2015		250,000		274,730
New York State Dormitory Authority, 5.000%, 3/15/2028, Call 3/15/2019		625,000		722,512
New York State Dormitory Authority, 5.000%, 3/15/2034, Call 3/15/2021		3,000,000		3,402,870
New York State Dormitory Authority, 5.250%, 7/1/2012		250,000		253,183
New York State Housing Finance Agency, 0.650%, 11/1/2041, Call 3/7/2012 (3)		2,500,000		2,500,000
Westchester County Healthcare Corp., 5.000%, 11/1/2032, Call 11/1/2021		785,000		816,039
				19,952,632
North Carolina — 1.9%
Board of Governors of the University of North Carolina, AMBAC, 5.375%, 4/1/2017, Call 10/1/2012		40,000		41,178
City of Charlotte, 5.000%, 7/1/2020 (7)		500,000		585,590
City of Greensboro, 5.250%, 4/1/2031, Call 4/1/2020		1,000,000		1,135,660
County of Catawba, 4.000%, 10/1/2025, Call 10/1/2021		585,000		637,422
County of Catawba, 4.000%, 10/1/2027, Call 10/1/2021		725,000		769,406
Municipals (continued)
North Carolina (continued)
County of Catawba, 5.000%, 10/1/2022, Call 10/1/2021		$     500,000		$       600,160
County of Catawba, 5.000%, 10/1/2023, Call 10/1/2021		1,000,000		1,193,780
County of Catawba, 5.000%, 10/1/2024, Call 10/1/2021		835,000		989,066
County of Catawba, 5.000%, 10/1/2026, Call 10/1/2021		440,000		513,137
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019		250,000		286,062
North Carolina Eastern Municipal Power Agency, 4.200%, 1/1/2019		1,710,000		1,949,930
North Carolina Eastern Municipal Power Agency, 6.000%, 1/1/2022		245,000		315,805
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019		500,000		583,350
North Carolina Eastern Municipal Power Agency, AMBAC, 5.000%, 1/1/2016		500,000		574,405
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021		1,000,000		1,054,130
North Carolina Housing Finance Agency, 4.650%, 7/1/2021, Call 7/1/2016 (3)(7)		1,960,000		2,003,826
Raleigh Durham Airport Authority, 4.250%, 5/1/2030, Call 5/1/2020		1,000,000		1,065,200
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020		350,000		381,248
				14,679,355
North Dakota — 1.8%
Barnes County North Public School District Building Authority, 4.000%, 5/1/2021		635,000		650,646
Barnes County North Public School District Building Authority, 4.250%, 5/1/2027, Call 5/1/2021		1,000,000		1,002,970
Barnes County North Public School District Building Authority, 4.500%, 5/1/2030, Call 5/1/2021		2,145,000		2,148,089
Barnes County North Public School District Building Authority, 4.500%, 5/1/2033, Call 5/1/2021		2,965,000		2,913,202
County of Burleigh, 4.500%, 7/1/2032, Call 7/1/2022		3,000,000		3,041,940
North Dakota Housing Finance Agency, 4.125%, 1/1/2026, Call 1/1/2021		1,350,000		1,400,004
North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019		2,170,000		2,343,969
				13,500,820
Ohio — 1.7%
Buckeye Tobacco Settlement Financing Authority, 4.500%, 6/1/2013		215,000		222,856

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

59

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
City of Cleveland OH Airport System Revenue, 5.000%, 1/1/2022, Call 1/1/2021		$  2,320,000		$    2,610,186
City of Cleveland OH Airport System Revenue, AGM, 5.000%, 1/1/2030, Call 1/1/2022		1,000,000		1,077,980
City of Cleveland OH Airport System Revenue, AGM, 5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,075,460
City of Cleveland, AGC, 5.000%, 10/1/2017		425,000		497,037
City of Hamilton, AGM, 4.250%, 10/1/2029, Call 10/1/2019		500,000		519,010
City of Hamilton, AGM, 4.375%, 10/1/2030, Call 10/1/2019		250,000		260,883
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021		1,000,000		1,065,620
City of Youngstown, AMBAC, 4.250%, 12/1/2025, Call 12/1/2016		300,000		284,100
County of Hamilton, AGM, 4.000%, 6/1/2014		685,000		721,312
New Albany Community Authority, 4.000%, 10/1/2019		900,000		1,001,025
New Albany Community Authority, 4.000%, 10/1/2020		590,000		650,658
New Albany Community Authority, 5.000%, 10/1/2022		1,000,000		1,179,900
New Albany Community Authority, 5.000%, 10/1/2023, Call 10/1/2022		1,105,000		1,292,872
Richland County, AGC, 6.000%, 12/1/2028, Call 12/1/2018		250,000		294,772
				12,753,671
Oklahoma — 0.3%
Cleveland County Justice Authority, 5.750%, 3/1/2029, Call 3/1/2015		650,000		699,985
Oklahoma County Finance Authority, 4.000%, 3/1/2018		1,000,000		1,120,750
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018		380,000		414,207
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.250%, 9/1/2029, Call 3/1/2019		5,000		5,391
				2,240,333
Oregon — 1.0%
City of Woodburn, 0.000%, 3/1/2020		1,380,000		1,074,233
City of Woodburn, 0.000%, 3/1/2021		1,215,000		899,732
County of Gilliam, 2.000%, 9/2/2014 (3)		1,000,000		1,020,320
Port of Portland, 4.000%, 7/1/2028, Call 7/1/2021		1,000,000		1,050,820
Municipals (continued)
Oregon (continued)
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021		$  3,000,000		$    3,471,000
				7,516,105
Pennsylvania — 2.6%
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021		500,000		549,890
City of Philadelphia PA Gas Works Revenue, AGC, 5.250%, 8/1/2019, Call 8/1/2014		400,000		425,324
City of Pittsburgh, 4.000%, 9/1/2016		415,000		454,201
City of Pittsburgh, 4.000%, 9/1/2017		550,000		607,211
Delaware County Industrial Development Authority, 5.000%, 8/15/2020		1,500,000		1,541,550
Erie County Hospital Authority, USDA, 3.000%, 12/1/2012, Call 4/2/2012		4,000,000		4,006,760
Harrisburg Authority, AGM, 5.000%, 12/1/2013 (3)		4,525,000		4,538,077
Harrisburg Authority, AGM, 5.250%, 12/1/2013 (3)		2,000,000		2,008,800
Kiski Area School District, AGM ST AID WITHHLDG, 4.000%, 3/1/2021		1,450,000		1,632,831
Montgomery County Industrial Development Authority, 5.000%, 11/15/2016		1,500,000		1,640,010
Pennsylvania Industrial Development Authority, AMBAC, 5.500%, 7/1/2014, Call 7/1/2012		1,925,000		1,973,683
Saint Mary Hospital Authority, 5.250%, 11/15/2016, Call 11/15/2014		250,000		276,060
				19,654,397
Puerto Rico — 0.4%
Puerto Rico Electric Power Authority, 5.250%, 7/1/2028, Call 7/1/2020		400,000		442,832
Puerto Rico Highway & Transportation Authority, NATL-RE, 5.500%, 7/1/2013		170,000		176,239
Puerto Rico Infrastructure Financing Authority, AMBAC, 5.500%, 7/1/2015		1,915,000		2,106,634
				2,725,705
Rhode Island — 0.5%
City of Woonsocket, AMBAC, 5.000%, 3/1/2013		100,000		100,238
City of Woonsocket, AMBAC, 5.000%, 3/1/2014		500,000		492,585
Providence Public Buildings Authority, AMBAC, 5.500%, 12/15/2012, Call 4/2/2012		525,000		526,811
Rhode Island Student Loan Authority, 3.950%, 12/1/2017		250,000		270,095
Rhode Island Student Loan Authority, 4.200%, 12/1/2018, Call 12/1/2017		600,000		646,536

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

60

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Rhode Island (continued)
Rhode Island Student Loan Authority, 4.250%, 12/1/2020, Call 12/1/2017		$     500,000		$       530,270
Rhode Island Student Loan Authority, 4.500%, 12/1/2021, Call 12/1/2017		1,000,000		1,062,230
				3,628,765
South Carolina — 1.7%
County of Florence, 5.000%, 11/1/2025, Call 11/1/2020		2,000,000		2,208,120
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 4/1/2013		2,490,000		2,567,190
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 10/1/2013		140,000		145,648
Orangeburg Joint Governmental Action Authority, NATL-RE, 5.000%, 10/1/2014		550,000		583,896
Piedmont Municipal Power Agency, AGM, 5.000%, 1/1/2030, Call 7/1/2021		450,000		504,414
Piedmont Municipal Power Agency, AGM, 5.750%, 1/1/2034, Call 7/1/2021		1,000,000		1,167,200
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019		445,000		482,878
South Carolina State Housing Finance & Development Authority, AGM, 5.500%, 7/1/2037, Call 7/1/2016 (7)		1,635,000		1,740,637
South Carolina State Public Service Authority, 5.500%, 1/1/2038, Call 1/1/2019		1,000,000		1,137,290
South Carolina State Public Service Authority, NATL-RE FGIC, 4.750%, 1/1/2023, Call 7/1/2015		1,000,000		1,091,650
South Carolina Transportation Infrastructure Bank, AMBAC, 5.250%, 10/1/2020		250,000		302,748
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021		900,000		976,446
Trustees of the South Carolina Heritage Trust, XLCA, 4.000%, 8/1/2015		250,000		266,975
				13,175,092
South Dakota — 1.0%
City of Rapid City, 6.750%, 12/1/2031, Call 12/1/2019		500,000		558,935
City of Rapid City, 7.000%, 12/1/2035, Call 12/1/2019		750,000		845,212
Puttable Floating Option Tax-Exempt Receipts, 0.900%, 12/1/2022 (3)		3,430,000		3,430,000
Municipals (continued)
South Dakota (continued)
South Dakota Health & Educational Facilities Authority, 5.000%, 11/1/2024, Call 11/1/2019		$  1,000,000		$    1,106,300
South Dakota Health & Educational Facilities Authority, AMBAC, 5.000%, 8/1/2022, Call 8/1/2017		980,000		1,097,874
South Dakota Health & Educational Facilities Authority, AMBAC, 5.250%, 7/1/2022, Call 7/1/2012		250,000		254,053
South Dakota Housing Development Authority, 3.750%, 5/1/2018		500,000		531,330
				7,823,704
Tennessee — 0.8%
Blount County Public Building Authority, 0.450%, 6/1/2032, Call 3/1/2012 (3)		2,000,000		2,000,000
Metropolitan Nashville Airport Authority, 5.000%, 7/1/2017		435,000		503,421
Tennessee Housing Development Agency, 4.000%, 7/1/2025, Call 1/1/2021		1,000,000		1,033,020
Tennessee Housing Development Agency, 4.000%, 7/1/2026, Call 1/1/2021		1,550,000		1,600,003
Tennessee Housing Development Agency, 5.000%, 1/1/2027, Call 7/1/2019		965,000		1,046,630
				6,183,074
Texas — 6.2%
Brazos River Authority, FGIC, 4.250%, 3/1/2014 (3)		885,000		934,657
Brazos River Authority, FGIC, 4.250%, 12/1/2017, Call 6/1/2014 (3)		290,000		302,006
Capital Area Cultural Education Facilities Finance Corp., 4.000%, 4/1/2012		345,000		345,573
Capital Area Cultural Education Facilities Finance Corp., 5.000%, 4/1/2019		1,000,000		1,107,090
Capital Area Cultural Education Facilities Finance Corp., 5.250%, 4/1/2021, Call 4/1/2020		400,000		443,208
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025		1,000,000		504,990
City of Arlington, NATL-RE, 5.000%, 8/15/2034, Call 8/15/2015		2,025,000		2,102,719
City of Galveston, 4.250%, 5/1/2014		290,000		302,255
City of Galveston TX Wharves & Terminal Revenue, 4.000%, 2/1/2016		765,000		803,357

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

61

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Texas (continued)
City of Galveston TX Wharves & Terminal Revenue, 4.500%, 2/1/2023, Call 2/1/2021		$  1,900,000		$    1,949,020
City of Galveston TX Wharves & Terminal Revenue, 4.625%, 2/1/2024, Call 2/1/2021		1,255,000		1,284,869
City of Houston, AMBAC, 0.000%, 9/1/2019		400,000		318,632
City of Keller, NATL-RE, 5.000%, 2/15/2022, Call 2/15/2014		250,000		263,543
Clifton Higher Education Finance Corp., 4.800%, 8/15/2021		465,000		484,344
Clifton Higher Education Finance Corp., 5.500%, 8/15/2031, Call 8/15/2021		500,000		512,190
Comal Independent School District, NATL-RE PSF-GTD, 5.000%, 2/1/2033, Call 2/1/2014		470,000		505,579
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021		3,000,000		3,289,320
Dallas County Cities Municipal Utility District, 4.000%, 8/1/2027, Call 8/1/2020		340,000		369,832
Denton Independent School District, PSF, 0.930%, 8/15/2022, Call 8/15/2016 (3)		2,900,000		2,900,000
Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018		340,000		400,449
Harris County Cultural Education Facilities Finance Corp., Medical, Revenue Bonds, 5.250%, 10/1/2029, Call 10/1/2019		1,550,000		1,759,901
Harris County Health Facilities Development Corp., 0.900%, 7/1/2027 (3)		2,355,000		2,355,000
Harris County Hospital District, NATL-RE, 5.250%, 2/15/2027, Call 2/15/2017		5,615,000		5,893,504
La Vernia Higher Education Finance Corp., 4.375%, 8/15/2015		200,000		211,622
La Vernia Higher Education Finance Corp., 4.750%, 8/15/2016		180,000		194,569
La Vernia Higher Education Finance Corp., 5.000%, 8/15/2017		150,000		164,964
La Vernia Higher Education Finance Corp., 5.000%, 8/15/2018		150,000		165,149
Little Elm Independent School District, PSF, 5.000%, 8/15/2020, Call 8/15/2016		1,145,000		1,312,949
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018		550,000		615,824
Municipals (continued)
Texas (continued)
North Texas Tollway Authority, 0.000%, 9/1/2037, Call 9/1/2031		$     500,000		$       116,965
North Texas Tollway Authority, 5.750%, 1/1/2038, Call 1/1/2018		150,000		159,974
North Texas Tollway Authority, 6.125%, 1/1/2031, Call 1/1/2016		250,000		268,732
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019		1,350,000		1,478,790
Port of Houston Authority, NATL-RE, 5.000%, 10/1/2024, Call 10/1/2016 (7)		1,300,000		1,427,777
Sabine River Authority, Pollution, Revenue Bonds, MBIA, 4.950%, 3/1/2018		345,000		384,630
Sam Rayburn Municipal Power Agency, RADIAN, 5.750%, 10/1/2021, Call 10/1/2012		215,000		217,930
San Antonio Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021		500,000		543,095
State of Texas, 0.650%, 4/1/2037, Call 4/1/2017 (3)		5,000,000		5,000,000
Texas Municipal Gas Acquisition & Supply Corp., 5.625%, 12/15/2017		2,500,000		2,770,075
Texas Public Finance Authority, 5.000%, 7/1/2019, Call 7/1/2014		1,600,000		1,764,048
Texoma Area Solid Waste Authority, 4.000%, 2/15/2018		250,000		272,612
University of Houston, AMBAC, 5.000%, 2/15/2022, Call 2/15/2015		500,000		539,550
				46,741,293
Utah — 1.0%
City of Eagle Mountain City, AGM, 2.000%, 6/1/2014		565,000		573,571
City of Eagle Mountain City, AGM, 2.250%, 6/1/2013		605,000		613,905
City of Herriman, 5.750%, 11/1/2027, Call 5/1/2013		350,000		362,131
Grand County School District, School Bond Gty, 5.250%, 7/1/2026, Call 7/1/2018		500,000		631,265
Utah Housing Corp., GNMA, 3.450%, 7/1/2021		720,000		741,420
Utah Infrastructure Agency, AGM, 5.400%, 10/15/2036, Call 10/15/2021		1,000,000		1,092,390
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020		2,485,000		2,741,005
Utah Water Finance Agency, AMBAC, 5.250%, 7/1/2014, Call 7/1/2012		1,000,000		1,010,050
				7,765,737
Virgin Islands — 0.2%
Virgin Islands Public Finance Authority, 5.000%, 10/1/2017		1,440,000		1,595,318

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

62

BMO Funds

Intermediate Tax-Free Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Virginia — 1.1%
Greater Richmond Convention Center Authority, NATL-RE, 5.000%, 6/15/2021, Call 6/15/2015		$     550,000		$       596,789
Louisa Industrial Development Authority, 5.375%, 12/2/2013 (3)		400,000		431,948
Roanoke Economic Development Authority, AGM, 5.000%, 7/1/2017 (3)		1,000,000		1,148,540
Virginia College Building Authority, 5.000%, 3/1/2023, Call 3/1/2020		745,000		868,558
Virginia College Building Authority, 5.000%, 3/1/2024, Call 3/1/2020		1,755,000		2,032,395
Virginia Housing Development Authority, 3.750%, 3/1/2034, Call 3/1/2021		1,750,000		1,753,973
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020		1,000,000		1,124,440
				7,956,643
Washington — 1.0%
Grays Harbor County Public Utility District No. 1, AGM, 5.250%, 7/1/2019, Call 7/1/2015		425,000		467,445
Greater Wenatchee Regional Events Center Public Facilities Dist, 5.250%, 12/1/2012 (10)		1,585,000		1,096,027
King County Housing Authority, 5.200%, 5/1/2028, Call 11/1/2018		460,000		491,952
King County Housing Authority, 5.500%, 12/1/2028, Call 12/1/2018		500,000		527,560
King County Public Hospital District No. 4, 7.250%, 12/1/2038, Call 12/1/2014		100,000		105,081
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020		1,060,000		1,220,102
Skagit County Public Hospital District No. 1, NATL-RE, 5.500%, 12/1/2023, Call 12/1/2014		1,000,000		1,067,660
State of Washington, 4.000%, 7/1/2018		600,000		678,534
Washington Health Care Facilities Authority, 5.000%, 2/1/2023, Call 2/1/2021		1,000,000		1,167,170
Washington Health Care Facilities Authority, FHA, 6.250%, 8/1/2028, Call 8/1/2018		400,000		476,264
				7,297,795
West Virginia — 0.1%
West Virginia State Hospital Finance Authority, AMBAC, 5.000%, 6/1/2018, Call 6/1/2016		600,000		670,716
Municipals (continued)
Wisconsin — 2.8%
City of Kaukauna, AGM, 5.000%, 12/15/2035, Call 12/15/2022		$  2,250,000		$    2,340,922
City of Platteville, 4.000%, 5/1/2028, Call 5/1/2022		375,000		407,606
City of Platteville, 4.000%, 5/1/2030, Call 5/1/2022		575,000		611,006
City of Platteville, 4.000%, 5/1/2032, Call 5/1/2022		725,000		755,733
County of Milwaukee, AMBAC, 5.000%, 12/1/2015 (7)		255,000		281,257
Kimberly Area School District, 2.375%, 3/1/2019		230,000		234,996
Ladysmith-Hawkins School District, NATL-RE FGIC, 5.500%, 4/1/2020, Call 4/1/2016		1,105,000		1,182,107
Wisconsin Health & Educational Facilities Authority, 4.750%, 10/15/2029, Call 10/15/2021		800,000		835,752
Wisconsin Health & Educational Facilities Authority, 5.000%, 4/15/2016		1,000,000		1,123,280
Wisconsin Health & Educational Facilities Authority, 5.000%, 6/1/2019		1,220,000		1,319,845
Wisconsin Health & Educational Facilities Authority, 5.000%, 7/1/2019		990,000		1,055,488
Wisconsin Health & Educational Facilities Authority, 5.000%, 8/15/2019		250,000		289,088
Wisconsin Health & Educational Facilities Authority, 5.250%, 12/1/2020, Call 12/1/2018		1,295,000		1,459,737
Wisconsin Health & Educational Facilities Authority, 5.250%, 4/1/2023, Call 4/1/2018		365,000		399,452
Wisconsin Health & Educational Facilities Authority, 5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,845,545
Wisconsin Health & Educational Facilities Authority, 6.400%, 9/15/2015, Call 3/16/2012		740,000		740,296
Wisconsin Health & Educational Facilities Authority, NATL-RE, 0.750%, 8/15/2022 (3)		5,000,000		5,000,000
Wisconsin Health & Educational Facilities Authority, NATL-RE, 5.750%, 2/15/2027, Call 4/2/2012		1,000,000		1,000,820
Wisconsin Health & Educational Facilities Authority, RADIAN, 6.250%, 2/15/2029, Call 4/2/2012		550,000		550,622
				21,433,552

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

63

February 29, 2012 (Unaudited)

Schedule of Investments

Intermediate Tax-Free Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wyoming — 0.2%
Teton County Hospital District, 5.500%, 12/1/2027, Call 12/1/2021		$     500,000		$       544,390
Teton County Hospital District, 6.000%, 12/1/2036, Call 12/1/2021		500,000		534,160
				1,078,550
Total Municipals (identified cost $677,190,836)				714,024,565
Short-Term Investments — 7.6%
Mutual Funds — 7.5%
BMO Tax-Free Money Market Fund, Class I, 0.280% (11)		56,546,925		56,546,925
Short-Term Municipals — 0.1%
Ohio — 0.1%
Village of Lockland, 2.000%, 3/12/2013		$     635,000		639,870
Total Short-Term Investments (identified cost $57,186,611)				57,186,795
Total Investments — 102.0% (identified cost $734,377,447)				771,211,360
Other Assets and Liabilities — (2.0)%				(15,006,033	)
Total Net Assets — 100.0%				$756,205,327

Portfolio Credit Ratings*
Sector	Fund
AAA	6.6%
AA	40.6
A	27.1
BBB	14.3
BB	0.3
D	0.1
SP-1	0.5
SP-2	0.7
NR	4.3
Other Assets & Liabilities, Net	5.5
Total	100.0%

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation
School District	9.1%
State or Local	9.4
Total General Obligation	18.5
Revenue Bonds
Appropriation	13.9
Education	9.6
General Revenue	2.8
Healthcare	16.8
Housing	7.0
Industrial Revenue	2.1
Power	4.4
Special Tax	1.5
Student Loan	1.4
Tobacco	0.8
Transportation	6.4
Water & Sewer	9.3
Total Revenue Bonds	76.0
Other Assets & Liabilities, Net	5.5
Total	100.0%

Government Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 1.3%
Automobiles — 0.7%
SMART Trust/Australia, Class A2B, (Series 2011-1USA), 1.001%, 4/14/2013 (3)(5)(6)		$  1,547,461		$    1,547,533
Federal Home Loan Mortgage Corporation — 0.2%
0.504%, 8/25/2031, (Series T-32) (3)		517,639		504,003
Other Financial — 0.4%
Countrywide Asset-Backed Certificates, Class A1, (Series 2007-QH2), 0.484%, 4/25/2037 (3)(5)(6)		2,327,499		932,215
Total Asset-Backed Securities (identified cost $4,392,599)				2,983,751
Collateralized Mortgage Obligations — 11.7%
Federal Home Loan Mortgage Corporation — 5.6%
0.549%, 1/15/2036, (Series 3102) (3)		3,938,398		3,936,508
0.599%, 6/15/2025, (Series 2993) (3)		3,413,239		3,415,590
0.649%, 10/15/2027, (Series 3780) (3)		4,781,596		4,788,473
5.000%, 5/15/2033, (Series 2791)		548,682		582,775
				12,723,346
Federal National Mortgage Association — 2.1%
0.494%, 1/25/2031, (Series 2001-25) (3)		108,383		108,384
0.494%, 7/25/2035, (Series 2005-66) (3)		3,692,560		3,679,617

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

64

BMO Funds

Government Income Fund (continued)

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Federal National Mortgage Association (continued)
0.644%, 4/25/2034, (Series 2004-25) (3)		$     891,055		$       895,274
4.000%, 10/25/2032, (Series 2003-28)		113,073		118,925
				4,802,200
Private Sponsor — 4.0%
American Home Mortgage Investment Trust, Class 4A1, (Series 2005-2), 2.253%, 9/25/2045 (3)		1,014,417		778,218
Chase Mortgage Finance Corp., Class 7A1, (Series 2007-A2), 5.678%, 7/25/2037 (3)		2,091,880		1,889,121
Holmes Master Issuer PLC, Class A2, (Series 2010-1A), 1.967%, 10/15/2054 (3)(5)(6)		2,500,000		2,505,362
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.573%, 11/25/2034 (3)		2,283,678		2,095,305
Structured Asset Securities Corp., Class 2A2, (Series 2003-21), 5.250%, 8/25/2033		1,639,245		1,709,232
				8,977,238
Total Collateralized Mortgage Obligations (identified cost $26,374,230)				26,502,784
Commercial Mortgage Securities — 10.1%
Private Sponsor — 10.1%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4, (Series 2007-1), 5.451%, 1/15/2049		1,300,000		1,473,051
Bear Stearns Commercial Mortgage Securities, Class A2, (Series 2006-PW13), 5.426%, 9/11/2041		2,159,124		2,214,119
Credit Suisse First Boston Mortgage Securities Corp., Class AAB, (Series 2005-C4), 5.065%, 8/15/2038 (3)		267,855		272,517
Credit Suisse Mortgage Capital Certificates, Class A1, (Series 2007-TFLA), 0.319%, 2/15/2022 (3)(5)(6)		688,996		670,079
CW Capital Cobalt, Ltd., Class A3, (Series 2007-C2), 5.484%, 4/15/2047 (3)		2,000,000		2,181,804
GS Mortgage Securities Corp. II, Class A1, (Series 2007-EOP), 1.103%, 3/6/2020 (3)(5)(6)		3,246,065		3,224,151
JP Morgan Chase Commercial Mortgage Securities Corp., Class A1, (Series 2007-FL1A), 0.624%, 7/15/2019 (3)(5)(6)		1,853,115		1,782,478
JP Morgan Chase Commercial Mortgage Securities Corp., Class A3, (Series 2007-CB20), 5.819%, 2/12/2051		3,000,000		3,197,160
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
Lehman Brothers Commercial Mortgage Trust, Class A1, (Series 2007-LLFA), 0.549%, 6/15/2022 (3)(5)(6)		$  3,210,146		$    3,122,548
Morgan Stanley Capital I, Class A4, (Series 2007-IQ15), 5.879%, 6/11/2049 (3)		2,000,000		2,282,904
Wachovia Bank Commercial Mortgage Trust, Class APB, (Series 2005-C16), 4.692%, 10/15/2041		353,010		367,855
Wachovia Bank Commercial Mortgage Trust, Class APB, (Series 2005-C18), 4.807%, 4/15/2042		1,949,845		2,047,074
Total Commercial Mortgage Securities (identified cost $22,722,864)				22,835,740
Corporate Bonds & Notes — 1.1%
Insurance — 1.1%
HSB Group, Inc., 1.477%, 7/15/2027 (3)		3,000,000		2,385,000
Total Corporate Bonds & Notes (identified cost $2,968,950)				2,385,000
U.S. Government & U.S. Government Agency Obligations — 2.2%
U.S. Treasury Bonds & Notes — 2.2%
1.250%, 1/31/2019 (1)		5,000,000		4,958,205
Total U.S. Government & U.S. Government Agency Obligations (identified cost $4,970,333)				4,958,205
U.S. Government Agency-Mortgage Securities — 94.2%
Federal Home Loan Mortgage Corporation — 33.0%
4.000%, 4/1/2026		4,612,149		4,885,479
4.000%, 9/1/2026		2,246,153		2,379,267
4.000%, 10/1/2031 (1)		4,914,089		5,215,844
4.000%, 12/1/2040		959,462		1,013,581
4.500%, 11/1/2022		4,139,341		4,448,081
4.500%, 9/1/2031		1,365,474		1,452,797
4.500%, 9/1/2035		1,974,934		2,102,467
4.500%, 3/1/2036 (1)		2,281,118		2,428,423
4.500%, 12/1/2037		1,269,786		1,352,973
4.500%, 3/1/2039		2,753,387		2,950,119
4.500%, 5/1/2039 (1)		5,528,013		5,957,546
4.500%, 2/1/2040		1,256,700		1,336,282
4.500%, 2/1/2040 (1)		3,387,864		3,602,404
4.500%, 11/1/2040		2,378,674		2,548,632
4.500%, 2/1/2041 (1)		3,618,063		3,881,776
5.000%, 12/1/2022		868,148		934,528
5.000%, 2/1/2038		2,602,238		2,809,197
5.000%, 3/1/2038		1,534,573		1,654,942
5.000%, 1/1/2039 (1)		3,350,912		3,613,751
5.000%, 1/1/2040		920,874		1,005,336
5.500%, 11/1/2018		1,079,085		1,171,554
5.500%, 10/1/2021		952,289		1,032,702
5.500%, 8/1/2038		2,618,252		2,847,466
5.500%, 4/15/2042 (4)		2,500,000		2,708,205
6.000%, 8/1/2036		296,372		325,923
6.000%, 12/1/2036		281,967		310,082
6.000%, 6/1/2037		1,428,519		1,570,957
6.000%, 11/1/2037		1,206,201		1,327,980
6.000%, 12/1/2037		253,893		279,209
6.000%, 2/1/2038 (1)		5,977,879		6,581,406
6.500%, 9/1/2016		43,057		47,531

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

65

February 29, 2012 (Unaudited)

Schedule of Investments

Government Income Fund (continued)

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
7.500%, 9/1/2013		$       12,271		$         12,667
7.500%, 4/1/2024		131,656		155,070
7.500%, 4/1/2027		57,846		69,022
8.000%, 8/1/2030		77,886		95,131
8.500%, 9/1/2024		65,831		79,755
9.000%, 6/1/2019		68,682		77,656
9.500%, 2/1/2025		40,932		48,209
				74,313,950
Federal National Mortgage Association — 58.4%
3.018%, 3/1/2041 (3)		1,677,799		1,752,808
3.030%, 8/1/2041 (3)		1,746,751		1,818,697
3.110%, 5/1/2041 (3)		1,671,638		1,739,603
3.228%, 5/1/2041 (3)		1,740,432		1,819,007
3.264%, 7/1/2041 (1)(3)		3,531,646		3,700,490
4.000%, 11/1/2031 (1)		2,452,954		2,602,322
4.000%, 1/1/2041		2,416,162		2,546,301
4.000%, 2/1/2041 (1)		4,547,557		4,792,497
4.000%, 3/1/2041		562,197		595,728
4.000%, 8/1/2041		1,533,740		1,595,979
4.000%, 9/1/2041		1,515,831		1,577,343
4.500%, 6/1/2039 (1)		3,651,773		3,945,788
4.500%, 7/1/2041		1,199,754		1,254,734
4.500%, 8/1/2041		1,341,276		1,402,741
4.500%, 8/1/2041		1,479,711		1,547,521
4.500%, 8/1/2041		$1,590,361		$1,663,241
4.500%, 8/1/2041 (1)		4,757,860		5,075,509
4.500%, 3/15/2042 (4)		10,500,000		11,190,701
5.000%, 5/1/2018		892,739		975,497
5.000%, 3/1/2035		2,014,788		2,179,165
5.000%, 7/1/2035		1,912,471		2,067,603
5.000%, 2/1/2036		11,954,402		12,944,645
5.000%, 3/13/2042 (4)		8,500,000		9,178,674
5.500%, 1/1/2023		781,564		858,168
5.500%, 10/1/2024		1,059,951		1,163,840
5.500%, 2/1/2036		1,060,088		1,158,857
5.500%, 7/1/2036		2,055,713		2,245,959
5.500%, 12/1/2036 (1)		5,145,651		5,612,207
5.500%, 1/1/2037		532,273		580,534
5.500%, 12/1/2039 (1)		3,070,802		3,347,313
5.500%, 4/15/2042 (4)		17,000,000		18,476,875
6.000%, 9/1/2013		85,118		88,081
6.000%, 10/1/2016		174,198		188,082
6.000%, 9/1/2021		1,219,066		1,319,277
6.000%, 11/1/2038		2,276,177		2,519,493
6.000%, 4/12/2042 (4)		10,000,000		10,982,820
6.500%, 9/1/2016		116,832		128,643
6.500%, 9/1/2016		274,898		302,688
6.500%, 8/1/2030		1,425,814		1,634,148
6.500%, 12/1/2031		89,237		101,830
6.500%, 11/1/2037		824,488		920,868
7.000%, 3/1/2029		172,542		201,109
7.000%, 7/1/2029		432,028		503,555
7.000%, 2/1/2030		376,881		439,279
7.500%, 10/1/2030		69,748		84,070
8.000%, 10/1/2028		597,340		724,068
8.000%, 4/1/2030		123,711		150,936
				131,699,294
Government National Mortgage Association — 2.8%
5.000%, 4/15/2034		1,053,433		1,166,519
5.500%, 9/15/2033		1,830,264		2,049,451
6.000%, 12/20/2033		2,389,579		2,691,989
U.S. Government Agency-Mortgage Securities (continued)
Government National Mortgage Association (continued)
7.000%, 6/15/2029		$   143,787		$       169,802
7.000%, 8/15/2031		101,072		119,997
9.500%, 10/15/2024		40,142		47,350
				6,245,108
Total U.S. Government Agency-Mortgage Securities (identified cost $208,130,422)				212,258,352
Short-Term Investments — 31.5%
Collateral Pool Investment for Securities on Loan — 29.2%
(See Note 2 of the Financial Statements)				65,826,610
Mutual Funds — 2.3%
BMO Government Money Market Fund, Class I, 0.010% (11)		5,147,785		5,147,785
Total Short-Term Investments (identified cost $70,974,395)				70,974,395
Total Investments — 152.1% (identified cost $340,533,793)				342,898,227
Other Assets and Liabilities — (52.1)%				(117,497,847	)
Total Net Assets — 100.0%				$225,400,380

Portfolio Sector Allocations*
Sector	Fund
Asset-Backed Securities	1.3%
Collateralized Mortgage Obligations	11.7
Commercial Mortgage Securities	10.1
Corporate Bonds & Notes	1.1
Mutual Funds	2.3
U.S. Government & U.S. Government Agency Obligations	2.2
U.S. Government Agency-Mortgage Securities	94.2
Other Assets & Liabilities, Net	(22.9)
Total	100.0%

TCH Corporate Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 9.8%
Automobiles — 9.8%
Capital Auto Receivables Asset Trust, Class A4, (Series 2008-2), 5.420%, 12/15/2014		$ 1,010,414		$    1,024,714
Ford Credit Auto Owner Trust, Class A4, (Series 2009-A), 6.070%, 5/15/2014		3,446,777		3,542,653
Ford Credit Auto Owner Trust, Class A4, (Series 2009-B), 4.500%, 7/15/2014		1,500,000		1,547,665
Ford Credit Auto Owner Trust, Class A4A, (Series 2008-C), 5.160%, 4/15/2013		817,542		824,178
Harley-Davidson Motorcycle Trust, Class A4, (Series 2007-2), 5.120%, 8/15/2013		440,843		442,535

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

66

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
Harley-Davidson Motorcycle Trust, Class A4, (Series 2008-1), 4.900%, 12/15/2013		$     712,953		$       720,092
Nissan Auto Receivables Owner Trust, Class A3, (Series 2009-1), 5.000%, 9/15/2014		661,195		667,724
Nissan Auto Receivables Owner Trust, Class A4, (Series 2008-B), 5.050%, 11/17/2014		1,575,168		1,599,937
USAA Auto Owner Trust, Class A4, (Series 2009-1), 4.770%, 9/15/2014		845,005		859,702
Total Asset-Backed Securities (identified cost $11,278,662)				11,229,200
Corporate Bonds & Notes — 81.5%
Agriculture — 2.1%
Altria Group, Inc., 10.200%, 2/6/2039		300,000		479,487
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		250,000		309,661
Lorillard Tobacco Co., 8.125%, 5/1/2040		1,000,000		1,230,228
Reynolds American, Inc., 7.750%, 6/1/2018		350,000		429,392
				2,448,768
Banks — 8.0%
Citigroup, Inc., 5.875%, 1/30/2042		1,500,000		1,603,384
Discover Bank, 7.000%, 4/15/2020 (1)		1,000,000		1,135,375
Goldman Sachs Group, Inc., 5.750%, 1/24/2022 (1)		1,000,000		1,045,809
Goldman Sachs Group, Inc., 6.750%, 10/1/2037		1,000,000		1,005,156
Goldman Sachs Group, Inc., 7.500%, 2/15/2019 (1)		300,000		346,470
HSBC Bank USA NA, 4.875%, 8/24/2020		250,000		252,120
JPMorgan Chase & Co., 4.625%, 5/10/2021		300,000		319,447
Morgan Stanley, 5.500%, 1/26/2020		1,000,000		982,265
Morgan Stanley, 5.500%, 7/28/2021 (1)		1,000,000		992,564
Wells Fargo & Co., 0.753%, 10/28/2015 (3)		1,500,000		1,455,765
				9,138,355
Chemicals — 0.7%
Braskem Finance, Ltd., 5.750%, 4/15/2021 (5)(6)		500,000		523,750
Dow Chemical Co., 8.550%, 5/15/2019		250,000		333,009
				856,759
Computers — 2.0%
Hewlett-Packard Co., 4.650%, 12/9/2021 (1)		250,000		270,105
International Business Machines Corp., 0.576%, 6/15/2012 (3)		2,000,000		2,002,118
				2,272,223
Corporate Bonds & Notes (continued)
Diversified Financial Services — 8.6%
Blackstone Holdings Finance Co. LLC, 6.625% , 8/15/2019 (5)(6)		$     350,000		$       372,632
General Electric Capital Corp., 5.250%, 10/19/2012		1,500,000		1,544,865
General Electric Capital Corp., 5.450%, 1/15/2013		1,600,000		1,667,776
General Electric Capital Corp., 5.875%, 1/14/2038 (1)		500,000		560,947
Harley-Davidson Funding Corp., 5.750%, 12/15/2014 (5)(6)		750,000		814,438
IPIC GMTN, Ltd., 5.000%, 11/15/2020 (5)(6)		1,000,000		1,012,500
IPIC GMTN, Ltd., 6.875%, 11/1/2041 (5)(6)		1,000,000		1,037,500
Jefferies Group, Inc., 8.500%, 7/15/2019 (1)		250,000		270,000
JPMorgan Chase Capital XXVII, 7.000%, 11/1/2039		1,500,000		1,537,500
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018		250,000		272,431
SLM Corp., 7.250%, 1/25/2022		750,000		793,591
				9,884,180
Electric — 1.8%
Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039 (5)(6)		350,000		388,370
CenterPoint Energy Houston Electric LLC, 7.000%, 3/1/2014		250,000		278,801
Dubai Electricity & Water Authority, 8.500%, 4/22/2015 (1)(5)(6)		1,000,000		1,106,250
Progress Energy, Inc., 7.050%, 3/15/2019		250,000		311,892
				2,085,313
Environmental Control — 0.3%
Waste Management, Inc., 7.375%, 3/11/2019		250,000		315,993
Food — 3.0%
Corn Products International, Inc., 6.625%, 4/15/2037		750,000		874,640
Kroger Co., 6.200%, 6/15/2012		1,500,000		1,522,880
Ralcorp Holdings, Inc., 6.625%, 8/15/2039		1,000,000		1,024,022
				3,421,542
Forest Products & Paper — 1.3%
International Paper Co., 6.000%, 11/15/2041 (1)		1,000,000		1,159,947
International Paper Co., 8.700%, 6/15/2038		250,000		349,002
				1,508,949
Healthcare-Products — 0.3%
Hospira, Inc., 6.400%, 5/15/2015		300,000		330,401
Healthcare-Services — 2.8%
DaVita, Inc., 6.375%, 11/1/2018 (1)		500,000		531,250
DaVita, Inc., 6.625%, 11/1/2020		750,000		808,125
Humana, Inc., 8.150%, 6/15/2038		850,000		1,137,988
Quest Diagnostics, Inc., 1.424%, 3/24/2014 (3)		500,000		502,894

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

67

February 29, 2012 (Unaudited)

Schedule of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Services (continued)
Quest Diagnostics, Inc., 6.400%, 7/1/2017		$     150,000		$       178,154
				3,158,411
Home Furnishings — 0.3%
Whirlpool Corp., 8.600%, 5/1/2014		300,000		334,621
Insurance — 7.4%
Aflac, Inc., 6.450%, 8/15/2040		500,000		580,129
Aflac, Inc., 6.900%, 12/17/2039 (1)		295,000		357,923
Aflac, Inc., 8.500%, 5/15/2019 (1)		300,000		391,043
American Financial Group, Inc., 9.875%, 6/15/2019		250,000		303,413
Berkshire Hathaway, Inc., 1.203%, 8/15/2014 (3)		1,500,000		1,519,906
Berkshire Hathaway, Inc., 3.200%, 2/11/2015 (1)		100,000		107,170
Lincoln National Corp., 4.850%, 6/24/2021 (1)		1,000,000		1,069,282
Lincoln National Corp., 6.300%, 10/9/2037		250,000		275,191
Lincoln National Corp., 7.000%, 6/15/2040 (1)		500,000		594,131
Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019		300,000		397,674
MetLife, Inc., 1.781%, 8/6/2013 (3)		1,250,000		1,261,676
Prudential Financial, Inc., 5.625%, 5/12/2041 (1)		500,000		539,034
Prudential Financial, Inc., 5.800%, 11/16/2041		1,000,000		1,123,505
				8,520,077
Internet — 0.9%
Expedia, Inc., 5.950%, 8/15/2020 (1)		1,000,000		1,023,121
Iron/Steel — 1.3%
ArcelorMittal, 5.500%, 3/1/2021 (1)		500,000		495,043
ArcelorMittal, 7.000%, 10/15/2039		1,000,000		990,485
				1,485,528
Lodging — 2.2%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,042,211
Wyndham Worldwide Corp., 6.000%, 12/1/2016		500,000		568,142
Wyndham Worldwide Corp., 7.375%, 3/1/2020 (1)		750,000		918,642
				2,528,995
Machinery-Construction & Mining — 0.4%
Caterpillar, Inc., 0.593%, 11/21/2012 (3)		500,000		500,551
Media — 4.0%
CBS Corp., 8.875%, 5/15/2019 (1)		250,000		333,811
NBCUniversal Media LLC, 6.400%, 4/30/2040 (5)(6)		500,000		635,895
Corporate Bonds & Notes (continued)
Media (continued)
News America, Inc., 9.250%, 2/1/2013		$  1,250,000		$    1,339,430
Time Warner Entertainment Co. LP, 8.875%, 10/1/2012		1,750,000		1,830,841
Time Warner Entertainment Co. LP, 10.150%, 5/1/2012		200,000		202,794
Viacom, Inc., 6.125%, 10/5/2017		250,000		298,385
				4,641,156
Mining — 1.4%
Alcoa, Inc., 6.150%, 8/15/2020 (1)		1,000,000		1,085,418
Rio Tinto Finance USA, Ltd., 8.950%, 5/1/2014 (1)		300,000		350,403
Rio Tinto Finance USA, Ltd., 9.000%, 5/1/2019 (1)		100,000		138,124
				1,573,945
Oil & Gas — 10.4%
Chesapeake Energy Corp., 6.125%, 2/15/2021 (1)		500,000		509,375
Chesapeake Energy Corp., 6.625%, 8/15/2020 (1)		1,000,000		1,050,000
Chesapeake Energy Corp., 6.775%, 3/15/2019 (1)		500,000		503,125
Dolphin Energy, Ltd., 5.500%, 12/15/2021 (1)(5)(6)		1,500,000		1,558,500
Hess Corp., 8.125%, 2/15/2019		300,000		391,114
Nabors Industries, Inc., 4.625%, 9/15/2021		1,000,000		1,052,988
Nabors Industries, Inc., 9.250%, 1/15/2019		250,000		315,158
Pride International, Inc., 6.875%, 8/15/2020		1,000,000		1,220,162
Reliance Holdings USA, Inc., 5.400%, 2/14/2022 (1)(5)(6)		1,500,000		1,522,775
Rowan Cos., Inc., 5.000%, 9/1/2017		1,000,000		1,074,315
Transocean, Inc., 7.350%, 12/15/2041		750,000		960,356
Transocean, Inc., 7.500%, 4/15/2031		250,000		301,725
Valero Energy Corp., 6.625%, 6/15/2037		1,000,000		1,136,576
Valero Energy Corp., 9.375%, 3/15/2019		250,000		332,844
				11,929,013
Oil & Gas Services — 0.4%
Weatherford International, Ltd., 9.625%, 3/1/2019		250,000		339,161
Weatherford International, Ltd., 9.875%, 3/1/2039		100,000		139,757
				478,918
Packaging & Containers — 2.1%
Ball Corp., 7.125%, 9/1/2016		350,000		385,000
Bemis Co., Inc., 6.800%, 8/1/2019		500,000		599,509
Sonoco Products Co., 5.750%, 11/1/2040		1,250,000		1,380,252
				2,364,761

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

68

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pharmaceuticals — 1.0%
Endo Pharmaceuticals Holdings, Inc., 7.000%, 12/15/2020 (5)(6)		$     500,000		$       550,625
Endo Pharmaceuticals Holdings, Inc., 7.250%, 1/15/2022 (1)(5)(6)		500,000		558,750
				1,109,375
Pipelines — 4.3%
El Paso Pipeline Partners Operating Co. LLC, 7.500%, 11/15/2040		750,000		874,413
Energy Transfer Partners LP, 4.650%, 6/1/2021 (1)		1,000,000		1,051,949
Energy Transfer Partners LP, 6.500%, 2/1/2042		1,500,000		1,670,706
Energy Transfer Partners LP, 9.000%, 4/15/2019		250,000		313,430
Kinder Morgan Energy Partners LP, 9.000%, 2/1/2019		150,000		194,309
Rockies Express Pipeline LLC, 6.875%, 4/15/2040 (5)(6)		1,000,000		820,000
				4,924,807
Real Estate Investment Trusts — 1.4%
HCP, Inc., 5.375%, 2/1/2021		1,000,000		1,098,071
Health Care REIT, Inc., 6.500%, 3/15/2041		500,000		544,605
				1,642,676
Retail — 4.2%
Best Buy Co., Inc., 5.500%, 3/15/2021 (1)		1,000,000		975,563
JC Penney Corp., Inc., 6.375%, 10/15/2036		350,000		310,187
JC Penney Corp., Inc., 7.400%, 4/1/2037		800,000		784,000
Kohl’s Corp., 6.875%, 12/15/2037		150,000		187,760
Lowe’s Cos., Inc., 5.600%, 9/15/2012		1,125,000		1,154,162
O’Reilly Automotive, Inc., 4.625%, 9/15/2021		750,000		802,744
Staples, Inc., 9.750%, 1/15/2014		250,000		286,825
TJX Cos., Inc., 6.950%, 4/15/2019		250,000		312,405
				4,813,646
Semiconductors — 1.0%
Kla-Tencor Corp., 6.900%, 5/1/2018		100,000		120,209
Texas Instruments, Inc., 0.683%, 5/15/2013 (3)		1,000,000		1,004,636
				1,124,845
Telecommunications — 6.4%
CenturyLink, Inc., 7.600%, 9/15/2039		1,500,000		1,542,709
Frontier Communications Corp., 8.125%, 10/1/2018		750,000		811,875
Frontier Communications Corp., 9.000%, 8/15/2031		1,000,000		980,000
Juniper Networks, Inc., 4.600%, 3/15/2021 (1)		1,000,000		1,076,324
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Telecom Italia Capital SA, 7.721%, 6/4/2038		$  1,000,000		$       950,000
Telefonica Europe BV, 8.250%, 9/15/2030		750,000		862,964
Windstream Corp., 7.000%, 3/15/2019 (1)		500,000		520,000
Windstream Corp., 7.500%, 6/1/2022 (5)(6)		500,000		540,000
				7,283,872
Toys/Games/Hobbies — 1.2%
Mattel, Inc., 5.450%, 11/1/2041		500,000		529,765
Mattel, Inc., 6.200%, 10/1/2040		750,000		857,612
				1,387,377
Transportation — 0.3%
FedEx Corp., 8.000%, 1/15/2019		250,000		328,760
Total Corporate Bonds & Notes (identified cost $86,353,181)				93,416,938
Municipals — 0.5%
California — 0.5%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		589,050
Total Municipals (identified cost $500,000)				589,050
Short-Term Investments — 27.0%
Collateral Pool Investment for Securities on Loan — 16.8%
(See Note 2 of the Financial Statements)				19,276,821
Commercial Paper — 3.5%
Pepsico, Inc., 0.060%, 3/6/2012 (9)		2,000,000		1,999,983
President & Fellows, 0.080%, 4/23/2012 (9)		2,000,000		1,999,765
				3,999,748
Mutual Funds — 5.0%
BMO Prime Money Market Fund, Class I, 0.210% (11)		5,725,917		5,725,917
U.S. Treasury Bills — 1.7%
0.080%, 6/7/2012 (1)(9)		$2,000,000		1,999,700
Total Short-Term Investments (identified cost $31,002,077)				31,002,186
Total Investments — 118.8% (identified cost $129,133,920)				136,237,374
Other Assets and Liabilities — (18.8)%				(21,554,780	)
Total Net Assets — 100.0%				$114,682,594

Portfolio Sector Allocations*
Sector	Fund
Asset-Backed Securities	9.8%
Corporate Bonds & Notes	81.5
Municipals	0.5
Mutual Funds	5.0
Other Assets & Liabilities, Net	3.2
Total	100.0%

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

69

February 29, 2012 (Unaudited)

Schedule of Investments

Aggregate Bond Fund

Description	Principal Amount		Value
Asset-Backed Securities — 0.9%
Automobiles — 0.9%
AmeriCredit Automobile Receivables Trust, Class A2, (Series 2012-1), 0.910%, 10/8/2015		$  3,000,000		$     3,005,094
SMART Trust/Australia, Class A2B, (Series 2011-1USA), 1.001%, 4/14/2013 (3)(5)(6)		2,063,281		2,063,378
Total Asset-Backed Securities (identified cost $5,063,116)				5,068,472
Collateralized Mortgage Obligations — 3.1%
Federal Home Loan Mortgage Corporation — 1.0%
0.549%, 1/15/2036, (Series 3102) (3)		1,102,751		1,102,222
0.649%, 10/15/2027, (Series 3780) (3)		2,049,256		2,052,203
0.999%, 7/15/2032, (Series 3652) (3)		2,424,696		2,435,619
				5,590,044
Federal National Mortgage Association — 0.7%
0.494%, 7/25/2035, (Series 2005-66) (3)		3,692,560		3,679,617
Private Sponsor — 1.4%
American Home Mortgage Investment Trust, Class 4A1, (Series 2005-2), 2.253%, 9/25/2045 (3)		783,396		600,989
Chase Mortgage Finance Corp., Class 7A1, (Series 2007-A2), 5.678%, 7/25/2037 (3)		1,255,128		1,133,472
Holmes Master Issuer PLC, Class A2, (Series 2010-1A), 1.967%, 10/15/2054 (3)(5)(6)		3,000,000		3,006,435
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 2.573%, 11/25/2034 (3)		2,283,678		2,095,305
Wells Fargo Mortgage Backed Securities Trust, Class 2A4, (Series 2006-AR8), 2.697%, 4/25/2036 (3)		385,096		309,361
				7,145,562
Total Collateralized Mortgage Obligations (identified cost $16,435,277)				16,415,223
Commercial Mortgage Securities — 2.5%
Private Sponsor — 2.5%
Banc of America Merrill Lynch Commercial Mortgage, Inc., Class A4, (Series 2007-1), 5.451%, 1/15/2049		2,455,000		2,781,800
Credit Suisse Mortgage Capital Certificates, Class A1, (Series 2007-TFLA), 0.319%, 2/15/2022 (3)(5)(6)		499,876		486,152
JP Morgan Chase Commercial Mortgage Securities Corp., Class A3, (Series 2007-CB20), 5.819%, 2/12/2051		3,500,000		3,730,020
Commercial Mortgage Securities (continued)
Private Sponsor (continued)
Lehman Brothers Commercial Mortgage Trust, Class A1, (Series 2007-LLFA), 0.549%, 6/15/2022 (3)(5)(6)		$  2,006,342		$     1,951,592
Morgan Stanley Capital I, Class A4, (Series 2007-IQ15), 5.879%, 6/11/2049 (3)		4,000,000		4,565,808
Total Commercial Mortgage Securities (identified cost $13,281,472)				13,515,372
Corporate Bonds & Notes — 48.3%
Advertising — 0.4%
WPP Finance UK, 8.000%, 9/15/2014		2,000,000		2,311,202
Aerospace/Defense — 0.8%
Raytheon Co., 1.400%, 12/15/2014		4,000,000		4,073,992
Auto Manufacturers — 1.5%
Daimler Finance North America LLC, 1.875%, 9/15/2014 (5)(6)		3,700,000		3,730,148
Volkswagen International Finance NV, 2.875%, 4/1/2016 (5)(6)		4,000,000		4,136,192
				7,866,340
Banks — 14.0%
Abbey National Treasury Services PLC/London, 3.875%, 11/10/2014 (5)(6)		1,500,000		1,496,118
ANZ National Int’l, Ltd./London, 2.375%, 12/21/2012 (5)(6)		3,000,000		3,036,300
ANZ National Int’l, Ltd./New Zealand, 1.563%, 12/20/2013 (1)(3)(5)(6)		3,000,000		2,987,616
Banco Santander Chile, 2.875%, 11/13/2012 (5)(6)		2,000,000		2,002,568
Bank of America Corp., 1.973%, 1/30/2014 (3)		2,500,000		2,435,765
Bank of America Corp., 3.750%, 7/12/2016		3,500,000		3,462,473
Bank of America Corp., 5.650%, 5/1/2018		2,000,000		2,077,662
Bank of New York Mellon Corp., 5.125%, 8/27/2013		2,000,000		2,130,002
BB&T Corp., 3.850%, 7/27/2012		3,000,000		3,040,359
BNP Paribas, 1.482%, 1/10/2014 (3)		3,500,000		3,420,732
Citigroup, Inc., 4.450%, 1/10/2017 (1)		3,500,000		3,698,090
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA/Utrect, 3.875%, 2/8/2022		4,000,000		3,997,616
Credit Suisse/New York, 3.450%, 7/2/2012		3,000,000		3,028,803
HSBC Bank PLC, 1.625%, 7/7/2014 (5)(6)		3,500,000		3,513,181
JPMorgan Chase & Co., 3.150%, 7/5/2016 (1)		3,000,000		3,092,016
JPMorgan Chase & Co., 4.350%, 8/15/2021		2,000,000		2,102,464

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

70

BMO Funds

Aggregate Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
National Australia Bank, Ltd., 1.301%, 4/11/2014 (3)(5)(6)		$  3,800,000		$     3,777,291
Nordea Bank AB, 1.467%, 1/14/2014 (3)(5)(6)		1,400,000		1,385,191
Nordea Bank AB, 1.750%, 10/4/2013 (5)(6)		4,000,000		3,985,976
Rabobank Nederland NV, 3.200%, 3/11/2015 (5)(6)		1,800,000		1,853,584
Royal Bank of Canada, 1.450%, 10/30/2014		4,500,000		4,577,089
Santander U.S. Debt SA Unipersonal, 1.379%, 3/30/2012 (3)(5)(6)		2,500,000		2,498,908
Toronto-Dominion Bank, 2.375%, 10/19/2016 (1)		2,000,000		2,064,258
Wells Fargo & Co., 2.625%, 12/15/2016		4,300,000		4,431,726
Westpac Banking Corp., 1.270%, 12/9/2013 (3)		3,000,000		3,009,348
Westpac Banking Corp., 3.000%, 12/9/2015		2,000,000		2,074,658
				75,179,794
Biotechnology — 2.0%
Amgen, Inc., 3.875%, 11/15/2021 (1)		4,000,000		4,165,036
Gilead Sciences, Inc., 5.650%, 12/1/2041		3,000,000		3,343,977
Life Technologies Corp., 3.375%, 3/1/2013		3,000,000		3,058,698
				10,567,711
Building Materials — 0.9%
CRH America, Inc., 5.750%, 1/15/2021		4,500,000		4,656,825
Chemicals — 0.8%
Ecolab, Inc., 3.000%, 12/8/2016 (1)		2,000,000		2,104,268
Ecolab, Inc., 4.350%, 12/8/2021		2,000,000		2,201,610
				4,305,878
Diversified Financial Services — 4.4%
Caterpillar Financial Services Corp., 2.050%, 8/1/2016 (1)		3,500,000		3,619,640
FUEL Trust, 3.984%, 6/15/2016 (5)(6)		3,000,000		3,066,669
General Electric Capital Corp., 4.375%, 9/16/2020		3,000,000		3,205,362
General Electric Capital Corp., 4.650%, 10/17/2021 (1)		2,000,000		2,179,202
Invesco, Ltd., 5.375%, 12/15/2014		1,958,000		2,128,646
MassMutual Global Funding II, 0.947%, 1/14/2014 (3)(5)(6)		3,000,000		3,001,539
Toyota Motor Credit Corp., 1.250%, 11/17/2014 (1)		4,500,000		4,562,919
Woodside Finance, Ltd., 4.600%, 5/10/2021 (5)(6)		2,000,000		2,095,732
				23,859,709
Electric — 2.1%
Alliant Energy Corp., 4.000%, 10/15/2014		2,200,000		2,321,378
Corporate Bonds & Notes (continued)
Electric (continued)
Appalachian Power Co., 3.400%, 5/24/2015		$  2,000,000		$     2,103,152
Commonwealth Edison Co., 1.625%, 1/15/2014		3,500,000		3,558,051
Entergy Corp., 3.625%, 9/15/2015		3,500,000		3,567,393
				11,549,974
Engineering & Construction — 0.6%
Fluor Corp., 3.375%, 9/15/2021		3,000,000		3,062,115
Forest Products & Paper — 0.2%
International Paper Co., 4.750%, 2/15/2022		1,000,000		1,091,544
Healthcare-Products — 1.7%
Boston Scientific Corp., 6.000%, 1/15/2020 (1)		2,000,000		2,340,630
CareFusion Corp., 5.125%, 8/1/2014		3,000,000		3,239,211
DENTSPLY International, Inc., 2.750%, 8/15/2016 (1)		3,500,000		3,543,932
				9,123,773
Home Furnishings — 0.4%
Whirlpool Corp., 8.000%, 5/1/2012 (1)		2,000,000		2,021,274
Insurance — 2.2%
Berkshire Hathaway, Inc., 1.900%, 1/31/2017		2,500,000		2,549,465
Berkshire Hathaway, Inc., 3.200%, 2/11/2015 (1)		1,500,000		1,607,553
Genworth Life Institutional Funding Trust, 5.875%, 5/3/2013 (5)(6)		1,000,000		1,024,026
Ohio National Financial Services, Inc., 6.625%, 5/1/2031 (5)(6)		3,000,000		3,281,130
Reinsurance Group of America, Inc., 5.000%, 6/1/2021		3,000,000		3,130,146
				11,592,320
Iron/Steel — 0.8%
ArcelorMittal, 5.375%, 6/1/2013		2,000,000		2,075,466
ArcelorMittal, 6.250%, 2/25/2022		1,985,680		2,055,348
				4,130,814
Media — 2.0%
NBCUniversal Media LLC, 5.150%, 4/30/2020 (1)		3,000,000		3,474,582
News America, Inc., 4.500%, 2/15/2021 (1)		4,000,000		4,320,164
Time Warner, Inc., 4.750%, 3/29/2021 (1)		2,500,000		2,802,402
				10,597,148
Mining — 0.7%
BHP Billiton Finance USA, Ltd., 1.000%, 2/24/2015		4,000,000		4,015,796
Oil & Gas — 4.8%
CNOOC Finance 2011, Ltd., 4.250%, 1/26/2021 (5)(6)		3,000,000		3,153,690
Encana Corp., 3.900%, 11/15/2021 (1)		3,000,000		3,028,374
Noble Energy, Inc., 4.150%, 12/15/2021 (1)		2,000,000		2,099,220

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

71

February 29, 2012 (Unaudited)

Schedule of Investments

Aggregate Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Petrobras International Finance Co. - Pifco, 5.375%, 1/27/2021		$  2,000,000		$     2,160,236
Reliance Holdings USA, Inc., 4.500%, 10/19/2020 (5)(6)		2,500,000		2,438,467
Reliance Holdings USA, Inc., 6.250%, 10/19/2040 (5)(6)		3,000,000		2,881,419
Statoil ASA, 1.800%, 11/23/2016		4,000,000		4,087,488
Total Capital Canada, Ltd., 1.625%, 1/28/2014		3,000,000		3,065,022
Total Capital International SA, 1.500%, 2/17/2017		3,000,000		3,008,562
				25,922,478
Packaging & Containers — 0.2%
Bemis Co., Inc., 4.500%, 10/15/2021		1,250,000		1,338,524
Pharmaceuticals — 0.6%
Aristotle Holding, Inc., 2.650%, 2/15/2017 (1)(5)(6)		3,000,000		3,006,876
Pipelines — 1.2%
Enterprise Products Operating LLC, 5.700%, 2/15/2042 (1)		4,000,000		4,542,944
Kinder Morgan Energy Partners LP, 3.500%, 3/1/2016		2,000,000		2,122,366
				6,665,310
Real Estate — 0.6%
WEA Finance LLC, 4.625%, 5/10/2021 (5)(6)		3,000,000		3,170,613
Real Estate Investment Trusts — 1.2%
HCP, Inc., 5.375%, 2/1/2021		4,000,000		4,392,284
Ventas Realty LP / Ventas Capital Corp., 4.250%, 3/1/2022 (1)		2,000,000		1,991,516
				6,383,800
Telecommunications — 4.2%
AT&T, Inc., 1.600%, 2/15/2017 (1)		5,000,000		5,011,835
AT&T, Inc., 5.100%, 9/15/2014		3,500,000		3,873,439
Deutsche Telekom International Finance BV, 3.125%, 4/11/2016 (5)(6)		3,500,000		3,630,400
France Telecom SA, 2.750%, 9/14/2016 (1)		3,700,000		3,852,081
Telefonica Emisiones SAU, 5.462%, 2/16/2021 (1)		2,500,000		2,519,265
Verizon Communications, Inc., 3.500%, 11/1/2021 (1)		3,500,000		3,669,036
				22,556,056
Total Corporate Bonds & Notes (identified cost $250,024,658)				259,049,866
Municipals — 1.1%
Georgia — 0.7%
Municipal Electric Authority of Georgia, 6.655%, 4/1/2057		3,015,000		3,455,281
Corporate Bonds & Notes (continued)
Illinois — 0.4%
State of Illinois, 5.877%, 3/1/2019		$  2,000,000		$     2,216,620
Total Municipals (identified cost $4,973,639)				5,671,901
U.S. Government & U.S. Government Agency Obligations —19.5%
U.S. Treasury Bonds & Notes — 19.5%
0.875%, 1/31/2017 (1)		7,000,000		7,007,658
1.125%, 6/15/2013 (1)		15,000,000		15,172,275
1.250%, 1/31/2019 (1)		6,000,000		5,949,846
1.500%, 12/31/2013 (1)		10,000,000		10,222,270
2.000%, 11/15/2021 (1)		35,000,000		35,180,460
2.000%, 2/15/2022 (1)		10,000,000		10,021,880
3.125%, 11/15/2041 (1)		10,000,000		10,084,380
3.125%, 2/15/2042 (1)		5,000,000		5,038,280
3.750%, 8/15/2041 (1)		5,000,000		5,674,220
Total U.S. Government & U.S. Government Agency Obligations (identified cost $103,931,484)				104,351,269
U.S. Government Agency-Mortgage Securities — 26.8%
Federal Home Loan Mortgage Corporation — 9.2%
4.000%, 4/1/2026		2,265,617		2,399,884
4.000%, 9/1/2026		1,347,692		1,427,560
4.000%, 10/1/2031 (1)		2,457,045		2,607,922
4.000%, 12/1/2040		633,339		669,063
4.500%, 11/1/2022		2,483,604		2,668,849
4.500%, 9/1/2031		1,072,872		1,141,483
4.500%, 9/1/2035		2,289,128		2,436,951
4.500%, 3/1/2036 (1)		2,607,800		2,776,201
4.500%, 12/1/2037		1,007,071		1,073,048
4.500%, 3/1/2039		860,433		921,912
4.500%, 5/1/2039 (1)		2,764,007		2,978,773
4.500%, 2/1/2040		718,114		763,590
4.500%, 2/1/2040 (1)		2,041,189		2,170,449
4.500%, 11/1/2040		1,427,204		1,529,180
4.500%, 2/1/2041 (1)		3,165,805		3,396,554
5.000%, 12/1/2022		382,786		412,054
5.000%, 2/1/2038		1,888,721		2,038,933
5.000%, 3/1/2038		2,761,244		2,979,987
5.000%, 3/1/2038		990,047		1,067,705
5.000%, 1/1/2039 (1)		2,053,785		2,214,880
5.000%, 1/1/2040		660,627		721,219
5.500%, 8/1/2038		1,745,501		1,898,311
5.500%, 4/15/2042 (4)		1,500,000		1,624,923
6.000%, 6/1/2037		1,421,108		1,562,806
6.000%, 11/1/2037		735,489		809,744
6.000%, 1/1/2038		1,625,136		1,787,178
6.000%, 2/1/2038 (1)		2,780,409		3,061,119
				49,140,278
Federal National Mortgage Association — 17.6%
3.018%, 3/1/2041 (3)		1,048,624		1,095,505
3.030%, 8/1/2041 (3)		1,091,719		1,136,686
3.110%, 5/1/2041 (3)		1,044,773		1,087,252
3.228%, 5/1/2041 (3)		1,087,770		1,136,879
3.264%, 7/1/2041 (1)(3)		2,207,279		2,312,806
4.000%, 11/1/2031 (1)		1,471,772		1,561,393
4.000%, 1/1/2041		1,449,697		1,527,781
4.000%, 2/1/2041 (1)		7,094,189		7,476,296
4.000%, 3/1/2041		388,621		411,800
4.000%, 8/1/2041		943,840		982,141
4.000%, 9/1/2041		932,819		970,673
4.500%, 6/1/2039		3,236,427		3,452,501
4.500%, 6/1/2039 (1)		3,246,020		3,507,367

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

72

BMO Funds

Aggregate Bond Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal National Mortgage Association (continued)
4.500%, 9/1/2039		$  2,911,938		$     3,106,348
4.500%, 7/1/2041		738,310		772,144
4.500%, 7/1/2041 (1)		4,467,073		4,765,308
4.500%, 8/1/2041 (1)		1,903,144		2,030,203
4.500%, 8/1/2041		825,400		863,225
4.500%, 8/1/2041		910,592		952,320
4.500%, 8/1/2041		978,684		1,023,533
5.000%, 7/1/2022		2,055,202		2,219,388
5.000%, 3/1/2035		1,511,091		1,634,373
5.000%, 10/1/2035 (1)		4,030,493		4,357,430
5.000%, 2/1/2036 (1)		4,781,761		5,177,858
5.000%, 3/13/2042 (4)		8,500,000		9,178,674
5.500%, 7/1/2036		1,480,998		1,618,057
5.500%, 5/1/2037 (1)		4,843,684		5,279,834
5.500%, 12/1/2039 (1)		2,303,102		2,510,485
5.500%, 4/15/2042 (4)		11,000,000		11,955,625
6.000%, 11/1/2038		1,417,946		1,569,520
6.000%, 4/12/2042 (4)		7,500,000		8,237,115
6.500%, 11/1/2037		412,244		460,434
				94,370,954
Total U.S. Government Agency-Mortgage Securities
(identified cost $141,112,244)				143,511,232
Short-Term Investments — 41.9%
Collateral Pool Investment for Securities on Loan — 39.8%
(See Note 2 of the Financial Statements)				213,603,776
Mutual Funds — 2.1%
BMO Prime Money Market Fund, Class I, 0.210% (11)		11,179,621		11,179,621
Total Short-Term Investments (identified cost $224,783,397)				224,783,397
Total Investments — 144.1% (identified cost $759,605,287)				772,366,732
Other Assets and Liabilities — (44.1)%				(236,206,643	)
Total Net Assets — 100.0%				$536,160,089

Portfolio Sector Allocations*
Sector	Fund
Asset-Backed Securities	0.9%
Collateralized Mortgage Obligations	3.1
Commercial Mortgage Securities	2.5
Corporate Bonds & Notes	48.3
Municipals	1.1
Mutual Funds	2.1
U.S. Government & U.S. Government Agency Obligations	19.5
U.S. Government Agency-Mortgage Securities	26.8
Other Assets & Liabilities, Net	(4.3)
Total	100.0%

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Asset-Backed Securities — 13.2%
Automobiles — 13.2%
Capital Auto Receivables Asset Trust, Class A4, (Series 2008-2), 5.420%, 12/15/2014		$1,010,414		$     1,024,714
CarMax Auto Owner Trust, Class A4, (Series 2009-1), 5.810%, 12/16/2013		1,865,710		1,907,176
CarMax Auto Owner Trust, Class A4A, (Series 2008-1), 4.790%, 2/15/2013		57,105		57,208
Ford Credit Auto Owner Trust, Class A4, (Series 2009-A), 6.070%, 5/15/2014		6,893,554		7,085,305
Ford Credit Auto Owner Trust, Class A4, (Series 2009-B), 4.500%, 7/15/2014		605,000		624,225
Ford Credit Auto Owner Trust, Class A4A, (Series 2008-B), 4.950%, 3/15/2013		244,890		246,180
Ford Credit Auto Owner Trust, Class A4A, (Series 2008-C), 5.160%, 4/15/2013		1,308,067		1,318,686
Harley-Davidson Motorcycle Trust, Class A4, (Series 2008-1), 4.900%, 12/15/2013		356,476		360,046
Hyundai Auto Receivables Trust, Class A4, (Series 2008-A), 5.480%, 11/17/2014		1,263,458		1,286,972
Nissan Auto Receivables Owner Trust, Class A3, (Series 2009-1), 5.000%, 9/15/2014		643,325		649,677
Nissan Auto Receivables Owner Trust, Class A4, (Series 2008-B), 5.050%, 11/17/2014		1,582,016		1,606,893
Nissan Auto Receivables Owner Trust, Class A4, (Series 2009-A), 4.740%, 8/17/2015		1,484,935		1,510,366
USAA Auto Owner Trust, Class A4, (Series 2009-1), 4.770%, 9/15/2014		1,690,009		1,719,404
Total Asset-Backed Securities (identified cost $19,466,312)				19,396,852
Commercial Mortgage Securities — 1.0%
Private Sponsor — 1.0%
Bear Stearns Commercial Mortgage Securities, Class A4, (Series 2007-T28), 5.742%, 9/11/2042 (3)		500,000		587,399
JP Morgan Chase Commercial Mortgage Securities Corp., Class A2, (Series 2005-CB13), 5.247%, 1/12/2043		884,911		889,336
Total Commercial Mortgage Securities (identified cost $1,168,814)				1,476,735
Corporate Bonds & Notes — 57.1%
Agriculture — 2.1%
Altria Group, Inc., 10.200%, 2/6/2039		250,000		399,573
Bunge, Ltd. Finance Corp., 8.500%, 6/15/2019		500,000		619,322

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

73

February 29, 2012 (Unaudited)

Schedule of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Agriculture (continued)
Lorillard Tobacco Co., 8.125%, 5/1/2040 (1)		$1,000,000		$    1,230,228
Reynolds American, Inc., 7.750%, 6/1/2018		650,000		797,442
				3,046,565
Banks — 9.9%
Banco Bradesco SA/Cayman Islands, 5.750%, 3/1/2022 (5)(6)		1,000,000		1,011,000
BanColombia SA, 5.950%, 6/3/2021 (5)(6)		750,000		781,875
Citigroup, Inc., 5.875%, 1/30/2042 (1)		2,000,000		2,137,846
Discover Bank, 7.000%, 4/15/2020 (1)		1,000,000		1,135,375
Export-Import Bank of Korea, 4.375%, 9/15/2021 (1)		500,000		508,249
Export-Import Bank of Korea, 5.000%, 4/11/2022		1,000,000		1,055,430
Goldman Sachs Group, Inc., 5.750%, 1/24/2022		1,500,000		1,568,713
Goldman Sachs Group, Inc., 6.750%, 10/1/2037		750,000		753,867
Goldman Sachs Group, Inc., 7.500%, 2/15/2019 (1)		700,000		808,430
Korea Finance Corp., 4.625%, 11/16/2021		1,000,000		1,031,050
Morgan Stanley, 5.500%, 7/28/2021 (1)		1,500,000		1,488,846
National Agricultural Cooperative Federation, 4.250%, 1/28/2016 (5)(6)		500,000		518,337
Royal Bank of Canada, 1.253%, 10/30/2014 (3)		750,000		752,290
Wells Fargo & Co., 0.753%, 10/28/2015 (3)		1,000,000		970,510
				14,521,818
Beverages — 1.4%
Anheuser-Busch InBev Worldwide, Inc., 1.107%, 1/27/2014 (3)		1,000,000		1,005,550
Pernod-Ricard SA, 4.250%, 7/15/2022 (5)(6)		1,000,000		1,040,638
				2,046,188
Chemicals — 0.9%
Braskem Finance, Ltd., 5.750%, 4/15/2021 (5)(6)		500,000		523,750
Dow Chemical Co., 9.400%, 5/15/2039		500,000		805,150
				1,328,900
Commercial Services — 0.4%
Korea Expressway Corp., 4.500%, 3/23/2015 (5)(6)		500,000		525,045
Computers — 0.7%
Hewlett-Packard Co., 0.891%, 5/30/2014 (3)		750,000		735,398
Hewlett-Packard Co., 4.650%, 12/9/2021		250,000		270,106
				1,005,504

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Diversified Financial Services — 3.9%
Blackstone Holdings Finance Co. LLC, 6.625%, 8/15/2019 (1)(5)(6)		$   400,000		$       425,865
Harley-Davidson Funding Corp., 5.750%, 12/15/2014 (1)(5)(6)		600,000		651,551
IPIC GMTN, Ltd., 5.000%, 11/15/2020 (5)(6)		1,000,000		1,012,500
IPIC GMTN, Ltd., 6.875%, 11/1/2041 (5)(6)		1,000,000		1,037,500
Jefferies Group, Inc., 8.500%, 7/15/2019 (1)		250,000		270,000
JPMorgan Chase Capital XXVII, 7.000%, 11/1/2039		1,000,000		1,025,000
Merrill Lynch & Co., Inc., 6.875%, 4/25/2018		250,000		272,430
SLM Corp., 7.250%, 1/25/2022		1,000,000		1,058,122
				5,752,968
Electric — 1.3%
Allegheny Energy Supply Co. LLC, 6.750%, 10/15/2039 (5)(6)		250,000		277,407
CenterPoint Energy Houston Electric LLC, 7.000%, 3/1/2014		250,000		278,802
Dubai Electricity & Water Authority, 8.500%, 4/22/2015 (1)(5)(6)		1,000,000		1,106,250
Progress Energy, Inc., 7.050%, 3/15/2019		250,000		311,892
				1,974,351
Environmental Control — 0.2%
Waste Management, Inc., 7.375%, 3/11/2019		250,000		315,993
Food — 1.4%
Corn Products International, Inc., 6.625%, 4/15/2037		500,000		583,093
Kroger Co., 6.200%, 6/15/2012		500,000		507,627
Ralcorp Holdings, Inc., 6.625%, 8/15/2039		1,000,000		1,024,022
				2,114,742
Forest Products & Paper — 0.6%
International Paper Co., 6.000%, 11/15/2041 (1)		500,000		579,973
International Paper Co., 8.700%, 6/15/2038		250,000		349,002
				928,975
Healthcare-Products — 0.4%
Hospira, Inc., 6.400%, 5/15/2015		500,000		550,668
Healthcare-Services — 1.7%
DaVita, Inc., 6.375%, 11/1/2018 (1)		500,000		531,250
DaVita, Inc., 6.625%, 11/1/2020		500,000		538,750
Humana, Inc., 8.150%, 6/15/2038		500,000		669,405
Quest Diagnostics, Inc., 1.424%, 3/24/2014 (3)		500,000		502,893
Quest Diagnostics, Inc., 6.400%, 7/1/2017		250,000		296,923
				2,539,221
Home Furnishings — 0.5%
Whirlpool Corp., 8.600%, 5/1/2014		700,000		780,782

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

74

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Insurance — 3.9%
Aflac, Inc., 8.500%, 5/15/2019		$   700,000		$       912,434
American Financial Group, Inc., 9.875%, 6/15/2019		250,000		303,413
Berkshire Hathaway, Inc., 1.203%, 8/15/2014 (3)		1,000,000		1,013,271
Lincoln National Corp., 7.000%, 6/15/2040 (1)		1,000,000		1,188,261
Marsh & McLennan Cos., Inc., 9.250%, 4/15/2019 (1)		350,000		463,953
MetLife, Inc., 1.781%, 8/6/2013 (3)		500,000		504,670
Prudential Financial, Inc., 5.625%, 5/12/2041 (1)		250,000		269,517
Prudential Financial, Inc., 5.800%, 11/16/2041 (1)		1,000,000		1,123,505
				5,779,024
Internet — 0.7%
Expedia, Inc., 5.950%, 8/15/2020		1,000,000		1,023,121
Iron/Steel — 1.5%
ArcelorMittal, 5.500%, 3/1/2021 (1)		750,000		742,565
ArcelorMittal, 7.000%, 10/15/2039		1,000,000		990,485
Hyundai Steel Co., 4.625%, 4/21/2016 (5)(6)		500,000		509,853
				2,242,903
Lodging — 0.7%
Wyndham Worldwide Corp., 6.000%, 12/1/2016		400,000		454,514
Wyndham Worldwide Corp., 7.375%, 3/1/2020		500,000		612,428
				1,066,942
Media — 1.9%
CBS Corp., 8.875%, 5/15/2019		500,000		667,622
Time Warner Entertainment Co. LP, 8.875%, 10/1/2012		1,500,000		1,569,292
Time Warner Entertainment Co. LP, 10.150%, 5/1/2012		250,000		253,492
Viacom, Inc., 6.125%, 10/5/2017		250,000		298,385
				2,788,791
Mining — 1.4%
Alcoa, Inc., 6.150%, 8/15/2020 (1)		1,000,000		1,085,418
Rio Tinto Finance USA, Ltd., 8.950%, 5/1/2014 (1)		350,000		408,803
Rio Tinto Finance USA, Ltd., 9.000%, 5/1/2019 (1)		400,000		552,496
				2,046,717
Oil & Gas — 7.1%
Chesapeake Energy Corp., 6.125%, 2/15/2021 (1)		1,000,000		1,018,750
Chesapeake Energy Corp., 6.625%, 8/15/2020 (1)		1,000,000		1,050,000
Chesapeake Energy Corp., 6.775%, 3/15/2019 (1)		500,000		503,125
Dolphin Energy, Ltd., 5.500%, 12/15/2021 (1)(5)(6)		1,500,000		1,558,500
Ecopetrol SA, 7.625%, 7/23/2019 (1)		500,000		631,250
Corporate Bonds & Notes (continued)
Oil & Gas (continued)
Hess Corp., 8.125%, 2/15/2019		$   250,000		$       325,929
Nabors Industries, Inc., 9.250%, 1/15/2019		250,000		315,158
Nexen, Inc., 7.500%, 7/30/2039 (1)		250,000		322,170
Pride International, Inc., 7.875%, 8/15/2040		1,000,000		1,359,980
Reliance Holdings USA, Inc., 5.400%, 2/14/2022 (1)(5)(6)		1,500,000		1,522,774
Rowan Cos., Inc., 5.000%, 9/1/2017		500,000		537,158
Transocean, Inc., 7.350%, 12/15/2041		500,000		640,238
Transocean, Inc., 7.500%, 4/15/2031		250,000		301,725
Valero Energy Corp., 9.375%, 3/15/2019		250,000		332,844
				10,419,601
Oil & Gas Services — 0.2%
Weatherford International, Ltd., 9.625%, 3/1/2019 (1)		250,000		339,161
Packaging & Containers — 2.0%
Ball Corp., 6.625%, 3/15/2018		1,000,000		1,030,000
Ball Corp., 7.125%, 9/1/2016		150,000		165,000
Bemis Co., Inc., 6.800%, 8/1/2019		750,000		899,263
Sonoco Products Co., 5.750%, 11/1/2040		750,000		828,152
				2,922,415
Pharmaceuticals — 0.4%
Endo Pharmaceuticals Holdings, Inc., 7.250%, 1/15/2022 (1)(5)(6)		500,000		558,750
Pipelines — 2.5%
El Paso Pipeline Partners Operating Co. LLC, 7.500%, 11/15/2040		750,000		874,413
Energy Transfer Partners LP, 6.500%, 2/1/2042		1,000,000		1,113,804
Energy Transfer Partners LP, 9.000%, 4/15/2019		250,000		313,430
Kinder Morgan Energy Partners LP, 9.000%, 2/1/2019		250,000		323,848
Rockies Express Pipeline LLC, 6.875%, 4/15/2040 (5)(6)		1,250,000		1,025,000
				3,650,495
Real Estate Investment Trusts — 0.8%
HCP, Inc., 5.375%, 2/1/2021 (1)		500,000		549,036
Health Care REIT, Inc., 6.500%, 3/15/2041		500,000		544,605
				1,093,641
Retail — 1.7%
Best Buy Co., Inc., 5.500%, 3/15/2021 (1)		1,000,000		975,563
JC Penney Corp., Inc., 7.400%, 4/1/2037		1,000,000		980,000
O’Reilly Automotive, Inc., 4.625%, 9/15/2021		250,000		267,581
Staples, Inc., 9.750%, 1/15/2014 (1)		250,000		286,825
				2,509,969

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

75

February 29, 2012 (Unaudited)

Schedule of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Semiconductors — 0.1%
Kla-Tencor Corp., 6.900%, 5/1/2018		$   100,000		$       120,209
Sovereign — 1.8%
MDC-GMTN B.V., 5.500%, 4/20/2021 (5)(6)		500,000		527,401
Poland Government International Bond, 5.000%, 3/23/2022		500,000		533,150
Qatar Government International Bond, 4.500%, 1/20/2022 (1)(5)(6)		500,000		522,500
Republic of Latvia, 5.250%, 2/22/2017 (5)(6)		1,000,000		1,025,000
				2,608,051
Telecommunications — 4.4%
CenturyLink, Inc., 7.600%, 9/15/2039		2,000,000		2,056,946
Frontier Communications Corp., 8.125%, 10/1/2018		500,000		541,250
Frontier Communications Corp., 9.000%, 8/15/2031		1,000,000		980,000
Telecom Italia Capital SA, 7.721%, 6/4/2038		1,000,000		950,000
Telefonica Europe BV, 8.250%, 9/15/2030		780,000		897,482
Windstream Corp., 7.000%, 3/15/2019 (1)		500,000		520,000
Windstream Corp., 7.500%, 6/1/2022 (5)(6)		500,000		540,000
				6,485,678
Toys/Games/Hobbies — 0.4%
Mattel, Inc., 6.200%, 10/1/2040		500,000		571,741
Transportation — 0.2%
FedEx Corp., 8.000%, 1/15/2019		250,000		328,760
Total Corporate Bonds & Notes (identified cost $76,869,745)				83,987,689
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		300,000		353,430
Total Municipals (identified cost $300,000)				353,430
U.S. Government & U.S. Government Agency Obligations — 9.9%
U.S. Treasury Bonds & Notes — 9.9%
1.375%, 7/15/2018 (1)		2,093,220		2,423,065
1.750%, 1/15/2028 (1)		1,615,950		1,986,861
2.000%, 4/15/2012		1,112,210		1,121,768
2.125%, 1/15/2019		1,576,785		1,912,098
4.500%, 3/31/2012 (1)		2,000,000		2,007,422
4.625%, 7/31/2012 (1)		5,000,000		5,094,335
Total U.S. Government & U.S. Government Agency Obligations (identified cost $13,820,476)				14,545,549
U.S. Government Agency-Mortgage Securities — 14.0%
Federal Home Loan Mortgage Corporation — 4.4%
4.000%, 3/1/2041		$   919,717		$       966,709
4.000%, 11/1/2041		1,962,010		2,062,869
4.000%, 3/15/2042 (4)		2,500,000		2,623,048
5.000%, 2/1/2039		778,213		838,646
				6,491,272
Federal National Mortgage Association — 3.1%
4.000%, 2/1/2041		1,591,645		1,677,374
4.000%, 2/1/2041		1,848,493		1,948,056
6.000%, 12/1/2038		408,991		450,539
6.500%, 10/1/2037		420,905		476,618
				4,552,587
Government National Mortgage Association — 6.5%
4.000%, 10/15/2040		1,423,735		1,535,913
4.000%, 12/15/2040		2,382,755		2,570,495
4.000%, 4/15/2041		1,952,402		2,106,234
5.500%, 8/20/2038		1,285,059		1,396,185
5.500%, 2/15/2039		517,115		576,296
6.000%, 10/15/2038		218,475		245,777
6.000%, 12/15/2038		645,773		726,470
6.000%, 1/15/2039		306,406		344,695
				9,502,065
Total U.S. Government Agency-Mortgage Securities (identified cost $19,652,247)				20,545,924
Short-Term Investments — 32.1%
Collateral Pool Investment for Securities on Loan — 24.2%
(See Note 2 of the Financial Statements)				35,561,379
Mutual Funds — 5.2%
BMO Prime Money Market Fund, Class I, 0.210% (11)		7,608,286		7,608,286
U.S. Treasury Bills — 2.7%
0.030%, 5/10/2012 (1)(9)		$2,000,000		1,999,718
0.080%, 6/7/2012 (1)(9)		2,000,000		1,999,700
				3,999,418
Total Short-Term Investments (identified cost $47,169,127)				47,169,083
Total Investments — 127.5% (identified cost $178,446,721)				187,475,262
Other Assets and Liabilities — (27.5)%				(40,382,605	)
Total Net Assets — 100.0%				$147,092,657

Portfolio Sector Allocations*
Sector	Fund
Asset-Backed Securities	13.2%
Commercial Mortgage Securities	1.0
Corporate Bonds & Notes	57.1
Municipals	0.2
Mutual Funds	5.2
U.S. Government & U.S. Government Agency Obligations	9.9
U.S. Government Agency — Mortgage Securities	14.0
Other Assets & Liabilities, Net	(0.6)
Total	100.0%

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

76

BMO Funds

Monegy High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 90.6%
Advertising — 0.9%
Lamar Media Corp., 7.875%, 4/15/2018		$   300,000		$     331,500
Lamar Media Corp., 5.875%, 2/1/2022 (5)(6)		61,000		63,974
MDC Partners, Inc., 11.000%, 11/1/2016		250,000		273,750
				669,224
Aerospace/Defense — 2.1%
AAR Corp., 7.250%, 1/15/2022 (5)(6)		168,000		172,620
Alliant Techsystems, Inc., 6.875%, 9/15/2020		300,000		320,250
Spirit Aerosystems, Inc., 6.750%, 12/15/2020		300,000		327,000
TransDigm, Inc., 7.750%, 12/15/2018		300,000		331,500
Triumph Group, Inc., 8.000%, 11/15/2017		300,000		327,750
				1,479,120
Agriculture — 0.5%
Vector Group, Ltd., 11.000%, 8/15/2015		310,000		327,050
Airlines — 0.4%
Continental Airlines, Inc., 6.750%, 9/15/2015 (5)(6)		250,000		253,750
Apparel — 1.2%
Hanesbrands, Inc., 6.375%, 12/15/2020		300,000		315,000
Perry Ellis International, Inc., 7.875%, 4/1/2019		250,000		251,875
Quiksilver, Inc., 6.875%, 4/15/2015		250,000		251,875
				818,750
Auto Manufacturers — 1.6%
Chrysler Group LLC, Inc., 8.000%, 6/15/2019		350,000		354,375
Jaguar Land Rover PLC, 7.750%, 5/15/2018 (5)(6)		400,000		416,000
Oshkosh Corp., 8.250%, 3/1/2017		300,000		327,000
Oshkosh Corp., 8.500%, 3/1/2020		50,000		54,875
				1,152,250
Auto Parts & Equipment — 4.0%
Conti-Gummi Finance BV, 7.500%, 9/15/2017 (5)(6)(12)		250,000		353,477
Dana Holding Corp., 6.750%, 2/15/2021		300,000		326,250
Goodyear Tire & Rubber Co., 8.250%, 8/15/2020		183,000		200,842
Goodyear Tire & Rubber Co., 7.000%, 5/15/2022		68,000		69,190
Lear Corp., 8.125%, 3/15/2020		300,000		339,750
Meritor, Inc., 10.625%, 3/15/2018		250,000		263,750
Pittsburgh Glass Works LLC, 8.500%, 4/15/2016 (5)(6)		264,000		268,620
Titan International, Inc., 7.875%, 10/1/2017		250,000		266,875
TRW Automotive, Inc., 8.875%, 12/1/2017 (5)(6)		260,000		290,550
Visteon Corp., 6.750%, 4/15/2019		400,000		406,000
				2,785,304
Corporate Bonds & Notes (continued)
Banks — 0.8%
CIT Group, Inc., 5.500%, 2/15/2019 (5)(6)		$   564,000		$     577,395
Beverages — 0.5%
Cott Beverages, Inc., 8.375%, 11/15/2017		300,000		331,500
Biotechnology — 0.4%
STHI Holding Corp., 8.000%, 3/15/2018 (5)(6)		300,000		321,000
Building Materials — 1.5%
Gibraltar Industries, Inc., 8.000%, 12/1/2015		300,000		309,900
HeidelbergCement Finance BV, 8.500%, 10/31/2019 (12)		275,000		416,468
Interline Brands, Inc., 7.000%, 11/15/2018		300,000		318,375
				1,044,743
Chemicals — 2.5%
Ferro Corp., 7.875%, 8/15/2018		300,000		315,000
Fufeng Group, Ltd., 7.625%, 4/13/2016 (5)(6)		250,000		215,625
Huntsman International LLC, 8.625%, 3/15/2020		300,000		340,500
Kraton Polymers LLC, 6.750%, 3/1/2019		300,000		307,500
Olin Corp., 8.875%, 8/15/2019		300,000		331,500
PolyOne Corp., 7.375%, 9/15/2020		216,000		233,280
				1,743,405
Coal — 2.7%
Alpha Natural Resources, Inc., 6.000%, 6/1/2019		300,000		294,000
Arch Coal, Inc., 7.250%, 6/15/2021 (5)(6)		325,000		325,812
Consol Energy, Inc., 8.250%, 4/1/2020		300,000		328,500
New World Resources NV, 7.875%, 5/1/2018 (5)(6)(12)		250,000		341,403
Peabody Energy Corp., 6.250%, 11/15/2021 (5)(6)		250,000		263,125
Penn Virginia Resource Partners LP, 8.250%, 4/15/2018		300,000		315,000
				1,867,840
Commercial Services — 7.3%
Avis Budget Car Rental LLC, 8.250%, 1/15/2019		238,000		249,305
CoreLogic, Inc., 7.250%, 6/1/2021 (5)(6)		300,000		303,750
Deluxe Corp., 7.000%, 3/15/2019		300,000		305,250
FTI Consulting, Inc., 6.750%, 10/1/2020		141,000		153,161
Geo Group, Inc., 6.625%, 2/15/2021		200,000		210,250
Great Lakes Dredge & Dock Corp., 7.375%, 2/1/2019		264,000		276,540
Hertz Corp., 7.500%, 10/15/2018		300,000		325,125
Hertz Corp., 6.750%, 4/15/2019 (5)(6)		63,000		66,308
Iron Mountain, Inc., 7.750%, 10/1/2019		500,000		555,000
Live Nation Entertainment, Inc., 8.125%, 5/15/2018 (5)(6)		410,000		438,187
National Money Mart Co., 10.375%, 12/15/2016		375,000		417,656

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

77

February 29, 2012 (Unaudited)

Schedule of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Commercial Services (continued)
Rent-A-Center, Inc., 6.625%, 11/15/2020		$   305,000		$     319,106
RR Donnelley & Sons Co., 8.600%, 8/15/2016		300,000		318,000
RR Donnelley & Sons Co., 7.625%, 6/15/2020		135,000		130,950
Service Corp. International, 7.000%, 5/15/2019		250,000		277,500
United Rentals North America, Inc., 9.250%, 12/15/2019		25,000		27,750
United Rentals North America, Inc., 8.375%, 9/15/2020		300,000		312,000
UR Financing Escrow Corp., 5.750%, 7/15/2018 (5)(6)		8,000		8,240
UR Financing Escrow Corp., 7.375%, 5/15/2020 (5)(6)		8,000		8,230
UR Financing Escrow Corp., 7.625%, 4/15/2022 (5)(6)		85,000		88,188
Valassis Communications, Inc., 6.625%, 2/1/2021		306,000		315,180
				5,105,676
Computers — 1.1%
Seagate HDD Cayman, 7.000%, 11/1/2021 (5)(6)		397,000		441,663
SunGard Data Systems, Inc., 7.375%, 11/15/2018		300,000		324,000
SunGard Data Systems, Inc., 7.625%, 11/15/2020		35,000		37,975
				803,638
Cosmetics/Personal Care — 0.4%
Revlon Consumer Products Corp., 9.750%, 11/15/2015		265,000		287,856
Diversified Financial Services — 2.2%
Aircastle, Ltd., 9.750%, 8/1/2018		161,000		182,333
Ford Motor Credit Co. LLC, 8.125%, 1/15/2020		600,000		750,418
International Lease Finance Corp., 8.875%, 9/1/2017		552,000		627,900
				1,560,651
Electric — 2.9%
AES Corp., 8.000%, 10/15/2017		300,000		347,250
Atlantic Power Corp., 9.000%, 11/15/2018 (5)(6)		276,000		282,900
Calpine Corp., 7.500%, 2/15/2021 (5)(6)		500,000		545,000
GenOn Energy, Inc., 9.500%, 10/15/2018		250,000		240,000
NRG Energy, Inc., 8.250%, 9/1/2020		600,000		610,500
				2,025,650
Engineering & Construction — 0.6%
Abengoa Finance SAU, 8.875%, 11/1/2017 (5)(6)		200,000		200,000
Dycom Investments, Inc., 7.125%, 1/15/2021		200,000		206,500
				406,500
Entertainment — 2.7%
Cinemark USA, Inc., 8.625%, 6/15/2019		300,000		335,250
Corporate Bonds & Notes (continued)
Entertainment (continued)
Cinemark USA, Inc., 7.375%, 6/15/2021		$     75,000		$       80,438
National CineMedia LLC, 7.875%, 7/15/2021		250,000		266,250
Penn National Gaming, Inc., 8.750%, 8/15/2019		338,000		381,095
Regal Entertainment Group, 9.125%, 8/15/2018		500,000		550,000
Vail Resorts, Inc., 6.500%, 5/1/2019		250,000		261,250
				1,874,283
Environmental Control — 0.0%
Darling International, Inc., 8.500%, 12/15/2018		20,000		22,600
Food — 3.0%
Campofrio Food Group SA, 8.250%, 10/31/2016 (5)(6)(12)		200,000		279,117
Dean Foods Co., 6.900%, 10/15/2017		600,000		601,500
Del Monte Corp., 7.625%, 2/15/2019		400,000		403,000
JBS USA LLC, 8.250%, 2/1/2020 (5)(6)		108,000		111,780
JBS USA LLC, 7.250%, 6/1/2021 (5)(6)		300,000		295,500
Smithfield Foods, Inc., 7.750%, 7/1/2017		360,000		413,100
				2,103,997
Forest Products & Paper — 0.5%
PE Paper Escrow GmbH, 12.000%, 8/1/2014 (5)(6)		300,000		328,500
Healthcare-Products — 1.6%
Alere, Inc., 9.000%, 5/15/2016		500,000		530,000
Hanger Orthopedic Group, Inc., 7.125%, 11/15/2018		300,000		318,375
Physio-Control International, Inc., 9.875%, 1/15/2019 (5)(6)		235,000		247,925
				1,096,300
Healthcare-Services — 3.3%
AMERIGROUP Corp., 7.500%, 11/15/2019		166,000		183,430
DaVita, Inc., 6.625%, 11/1/2020		300,000		323,250
HCA, Inc., 7.500%, 2/15/2022		475,000		515,375
HCA, Inc., 5.875%, 3/15/2022		123,000		126,383
Health Management Associates, Inc., 7.375%, 1/15/2020 (5)(6)		331,000		346,722
HealthSouth Corp., 8.125%, 2/15/2020		446,000		492,551
Tenet Healthcare Corp., 8.000%, 8/1/2020		305,000		324,825
				2,312,536
Home Builders — 1.1%
KB Home, 8.000%, 3/15/2020		169,000		172,380
Meritage Homes Corp., 7.150%, 4/15/2020		275,000		285,313
Ryland Group, Inc., 8.400%, 5/15/2017		32,000		35,680
Ryland Group, Inc., 6.625%, 5/1/2020		263,000		269,575
				762,948

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

78

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Household Products/Wares — 2.7%
American Greetings Corp., 7.375%, 12/1/2021		$   332,000		$     344,450
Central Garden and Pet Co., 8.250%, 3/1/2018		500,000		510,000
Jarden Corp., 7.500%, 1/15/2020		600,000		659,250
Prestige Brands, Inc., 8.125%, 2/1/2020 (5)(6)		377,000		414,700
				1,928,400
Internet — 0.6%
Earthlink, Inc., 8.875%, 5/15/2019		66,000		63,030
Equinix, Inc., 7.000%, 7/15/2021		300,000		332,250
				395,280
Iron/Steel — 0.7%
APERAM, 7.375%, 4/1/2016 (5)(6)		250,000		243,750
Steel Dynamics, Inc., 7.625%, 3/15/2020		250,000		280,625
				524,375
Lodging — 2.1%
Gaylord Entertainment Co., 6.750%, 11/15/2014		294,000		296,940
Marina District Finance Co., Inc., 9.500%, 10/15/2015		400,000		387,000
MGM Resorts International, 7.500%, 6/1/2016		300,000		306,750
MGM Resorts International, 8.625%, 2/1/2019 (5)(6)		109,000		116,630
Wynn Las Vegas LLC, 7.750%, 8/15/2020		300,000		339,750
				1,447,070
Machinery-Construction & Mining — 0.8%
Boart Longyear, Ltd., 7.000%, 4/1/2021 (5)(6)		280,000		296,100
Terex Corp., 8.000%, 11/15/2017		250,000		263,125
				559,225
Media — 5.1%
AMC Networks, Inc., 7.750%, 7/15/2021 (5)(6)		300,000		336,000
Block Communications, Inc., 7.250%, 2/1/2020 (5)(6)		264,000		271,920
Cablevision Systems Corp., 8.000%, 4/15/2020		358,000		403,645
CCO Holdings LLC, 7.375%, 6/1/2020		500,000		552,500
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 (5)(6)		116,000		116,000
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020 (5)(6)		17,000		17,000
DISH DBS Corp., 7.875%, 9/1/2019		600,000		708,000
Gannett Co., Inc., 7.125%, 9/1/2018		97,000		101,607
Gannett Co., Inc., 9.375%, 11/15/2017		300,000		340,500
Unitymedia Hessen GmbH & Co. KG, 8.125%, 12/1/2017 (5)(6)		400,000		436,000
XM Satellite Radio, Inc., 7.625%, 11/1/2018 (5)(6)		300,000		330,000
				3,613,172
Corporate Bonds & Notes (continued)
Mining — 1.2%
FMG Resources August 2006 Pty, Ltd., 7.000%, 11/1/2015 (5)(6)		$   300,000		$     318,750
Mirabela Nickel, Ltd., 8.750%, 4/15/2018 (5)(6)		250,000		217,500
Vulcan Materials Co., 7.500%, 6/15/2021		250,000		279,688
				815,938
Miscellaneous Manufacturing — 0.4%
Polypore International, Inc., 7.500%, 11/15/2017		250,000		263,125
Oil & Gas — 6.8%
Berry Petroleum Co., 6.750%, 11/1/2020		332,000		356,070
Bill Barrett Corp., 7.625%, 10/1/2019		300,000		315,000
BreitBurn Energy Partners LP, 8.625%, 10/15/2020		221,000		240,890
BreitBurn Energy Partners LP, 7.875%, 4/15/2022 (5)(6)		55,000		57,888
Calumet Specialty Products Partners LP, 9.375%, 5/1/2019		295,000		309,012
Chesapeake Energy Corp., 6.775%, 3/15/2019		164,000		165,025
Chesapeake Energy Corp., 6.625%, 8/15/2020		318,000		333,900
Chesapeake Oilfield Operating LLC, 6.625%, 11/15/2019 (5)(6)		300,000		307,500
Comstock Resources, Inc., 8.375%, 10/15/2017		305,000		298,137
Denbury Resources, Inc., 6.375%, 8/15/2021		300,000		332,250
Energy XXI Gulf Coast, Inc., 9.250%, 12/15/2017		290,000		322,625
Energy XXI Gulf Coast, Inc., 7.750%, 6/15/2019		55,000		58,300
EXCO Resources, Inc., 7.500%, 9/15/2018		250,000		225,000
Linn Energy LLC, 8.625%, 4/15/2020		210,000		234,150
Linn Energy LLC, 7.750%, 2/1/2021		194,000		209,520
Parker Drilling Co., 9.125%, 4/1/2018		250,000		269,375
Stone Energy Corp., 8.625%, 2/1/2017		200,000		210,000
Swift Energy Co., 7.875%, 3/1/2022 (5)(6)		239,000		250,950
W&T Offshore, Inc., 8.500%, 6/15/2019		260,000		281,125
				4,776,717
Oil & Gas Services — 2.3%
Calfrac Holdings LP, 7.500%, 12/1/2020 (5)(6)		300,000		301,500
Cie Generale de Geophysique - Veritas, 6.500%, 6/1/2021		300,000		309,000
Petroleum Geo-Services ASA, 7.375%, 12/15/2018 (5)(6)		250,000		263,750
Pioneer Drilling Co., 9.875%, 3/15/2018 (5)(6)		250,000		268,750
SESI LLC, 7.125%, 12/15/2021 (5)(6)		200,000		221,500
Trinidad Drilling, Ltd., 7.875%, 1/15/2019 (5)(6)		261,000		280,575
				1,645,075

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

79

February 29, 2012 (Unaudited)

Schedule of Investments

Monegy High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Packaging & Containers — 0.9%
AEP Industries, Inc., 8.250%, 4/15/2019		$   300,000		$     321,000
Sealed Air Corp., 8.375%, 9/15/2021 (5)(6)		300,000		345,000
				666,000
Pharmaceuticals — 4.0%
Elan Finance PLC, 8.750%, 10/15/2016		300,000		331,500
Endo Pharmaceuticals Holdings, Inc., 7.250%, 1/15/2022 (5)(6)		300,000		335,250
Grifols, Inc., 8.250%, 2/1/2018		340,000		370,600
Mylan, Inc., 7.875%, 7/15/2020 (5)(6)		300,000		336,750
NBTY, Inc., 9.000%, 10/1/2018		300,000		330,750
Omnicare, Inc., 7.750%, 6/1/2020		300,000		335,625
Valeant Pharmaceuticals International, 6.875%, 12/1/2018 (5)(6)		300,000		308,250
Valeant Pharmaceuticals International, 7.250%, 7/15/2022 (5)(6)		100,000		101,125
Warner Chilcott Co. LLC, 7.750%, 9/15/2018		360,000		383,400
				2,833,250
Pipelines — 3.4%
Copano Energy LLC, 7.125%, 4/1/2021		332,000		353,580
Crosstex Energy LP, 8.875%, 2/15/2018		250,000		272,500
Eagle Rock Energy Partners LP, 8.375%, 6/1/2019		250,000		258,750
El Paso Corp., 7.250%, 6/1/2018		250,000		284,270
Genesis Energy LP, 7.875%, 12/15/2018		320,000		331,200
Holly Energy Partners LP, 8.250%, 3/15/2018		300,000		319,500
Holly Energy Partners LP, 6.500%, 3/1/2020 (5)(6)		17,000		17,404
MarkWest Energy Partners LP, 6.500%, 8/15/2021		250,000		271,250
Targa Resources Partners LP, 6.375%, 8/1/2022 (5)(6)		250,000		264,375
				2,372,829
Real Estate — 0.4%
CBRE Services, Inc., 6.625%, 10/15/2020		250,000		266,875
Real Estate Investment Trusts — 0.7%
MPT Operating Partnership LP, 6.875%, 5/1/2021		298,000		318,301
MPT Operating Partnership LP, 6.375%, 2/15/2022		159,000		164,963
				483,264
Retail — 3.7%
AmeriGas Finance LLC, 6.750%, 5/20/2020		130,000		134,225
AmeriGas Finance LLC, 7.000%, 5/20/2022		8,000		8,230
AmeriGas Partners LP, 6.500%, 5/20/2021		250,000		253,750
Corporate Bonds & Notes (continued)
Retail (continued)
AutoNation, Inc., 6.750%, 4/15/2018		$   250,000		$     273,750
Dillard’s, Inc., 7.130%, 8/1/2018		129,000		136,095
DineEquity, Inc., 9.500%, 10/30/2018		300,000		332,250
Ferrellgas Partners LP, 8.625%, 6/15/2020		250,000		232,500
Inergy LP, 7.000%, 10/1/2018		310,000		306,900
Limited Brands, Inc., 7.000%, 5/1/2020		300,000		336,375
Limited Brands, Inc., 5.625%, 2/15/2022		32,000		33,120
RadioShack Corp., 6.750%, 5/15/2019		250,000		210,625
Sally Holdings LLC, 6.875%, 11/15/2019 (5)(6)		300,000		324,000
				2,581,820
Semiconductors — 0.8%
Advanced Micro Devices, Inc., 8.125%, 12/15/2017		500,000		551,250
Storage/Warehousing — 0.1%
Mobile Mini, Inc., 6.875%, 5/1/2015		50,000		50,750
Telecommunications — 7.2%
Frontier Communications Corp., 8.250%, 4/15/2017		600,000		651,000
GCI, Inc., 8.625%, 11/15/2019		300,000		328,500
Hughes Satellite Systems Corp., 7.625%, 6/15/2021		300,000		327,000
Level 3 Financing, Inc., 8.625%, 7/15/2020 (5)(6)		175,000		187,250
MetroPCS Wireless, Inc., 7.875%, 9/1/2018		300,000		323,250
MetroPCS Wireless, Inc., 6.625%, 11/15/2020		35,000		36,138
NII Capital Corp., 7.625%, 4/1/2021		275,000		282,562
Qwest Communications International, Inc., 7.125%, 4/1/2018		300,000		322,500
Sprint Nextel Corp., 6.000%, 12/1/2016		35,000		32,025
Sprint Nextel Corp., 9.000%, 11/15/2018 (5)(6)		264,000		295,020
Sprint Nextel Corp., 7.000%, 3/1/2020 (5)(6)		103,000		104,931
tw telecom holdings, Inc., 8.000%, 3/1/2018		300,000		330,375
Viasat, Inc., 6.875%, 6/15/2020 (5)(6)		493,000		510,255
West Corp., 7.875%, 1/15/2019		250,000		271,563
Wind Acquisition Finance SA, 7.250%, 2/15/2018 (5)(6)		435,000		425,212
Windstream Corp., 7.750%, 10/1/2021		600,000		658,500
				5,086,081
Transportation — 0.9%
Bristow Group, Inc., 7.500%, 9/15/2017		300,000		315,000
Martin Midstream Partners LP, 8.875%, 4/1/2018		330,000		341,550
				656,550
Total Corporate Bonds & Notes (identified cost $62,108,426)				63,579,512

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

80

BMO Funds

Monegy High Yield Bond Fund (continued)

Description	Shares		Value
Exchange Traded Funds — 6.7%
iShares iBoxx $ High Yield Corporate Bond Fund, 6.450%		23,000		$  2,118,990
SPDR Barclays Capital High Yield Bond ETF, 6.620%		65,000		2,605,850
Total Exchange Traded Funds (identified cost $4,580,574)				4,724,840
Short-Term Investments — 2.2%
Mutual Funds — 2.2%
BMO Prime Money Market Fund, Class I, 0.210% (11)		1,535,182		1,535,182
Total Short-Term Investments (identified cost $1,535,182)				1,535,182
Total Investments — 99.5% (identified cost $68,224,182)				69,839,534
Other Assets and Liabilities — 0.5%				331,123
Total Net Assets — 100.0%				$70,170,657

Portfolio Sector Allocations*
Sector	Fund
Corporate Bonds & Notes	90.6%
Exchange Traded Funds	6.7
Mutual Funds	2.2
Other Assets & Liabilities, Net	0.5
Total	100.0%

Government Money Market Fund

Description	Principal Amount		Value
Municipals — 28.4%
Arizona — 3.5%
Maricopa County Industrial Development Authority, FNMA, 0.140%, 9/15/2035, Call 3/15/2012 (3)		$  17,390,000		$  17,390,000
California — 14.8%
Abag Finance Authority for Nonprofit Corps., FNMA, 0.160%, 7/15/2035, Call 3/15/2012 (3)(7)		5,000,000		5,000,000
California Statewide Communities Development Authority, FNMA, 0.130%, 12/15/2037, Call 3/15/2012 (3)(7)		19,000,000		19,000,000
City of Concord, FHLMC, 0.160%, 12/1/2016 (3)(7)		4,010,000		4,010,000
Puttable Floating Option Tax-Exempt Receipts, FHLMC, 0.360%, 4/1/2044, Call 12/1/2018 (3)(7)		4,960,000		4,960,000
Puttable Floating Option Tax-Exempt Receipts, FHLMC, 0.360%, 5/1/2044, Call 9/1/2022 (3)(7)		5,010,000		5,010,000
Municipals (continued)
California (continued)
San Francisco City & County Redevelopment Agency, FNMA, 0.120%, 6/15/2034, Call 3/15/2012 (3)(7)		$  16,100,000		$  16,100,000
Santa Cruz Redevelopment Agency, FNMA, 0.130%, 8/15/2035, Call 3/15/2012 (3)(7)		19,000,000		19,000,000
				73,080,000
Federal Home Loan Mortgage Corporation — 3.9%
Federal Home Loan Mortgage Corp., 0.210%, 7/15/2050, Call 3/1/2012 (3)(7)		18,960,000		18,960,000
Georgia — 2.1%
Puttable Floating Option Tax-Exempt Receipts, FHLMC, 0.360%, 9/1/2048, Call 3/1/2022 (3)(7)		10,115,000		10,115,000
Maryland — 2.8%
Prince Georges County Housing Authority, FHLMC, 0.200%, 2/1/2040, Call 3/1/2012 (3)(7)		13,900,000		13,900,000
Pennsylvania — 1.3%
Puttable Floating Option Tax-Exempt Receipts, 0.400%, 11/1/2044, Call 12/1/2023 (3)(7)		6,420,000		6,420,000
Total Municipals				139,865,000
Repurchase Agreements — 46.3%
Agreement with Barclays Capital, Inc., 0.180%, dated 2/29/2012, to be repurchased at $80,000,400 on 3/1/2012, collateralized by a U.S. Government Treasury Obligation with a maturity of 11/15/2020, with a market value of $81,600,054		80,000,000		80,000,000
Agreement with Deutsche Bank Alex Brown, Inc., 0.200%, dated 2/29/2012, to be repurchased at $100,000,556 on 3/1/2012, collateralized by U.S. Government Agency Obligations with various maturities to 3/1/2041, with a market value of $102,000,000		100,000,000		100,000,000
Agreement with Fixed Income Clearing Corp., 0.030%, dated 2/29/2012, to be repurchased at $48,255,825 on 3/1/2012, collateralized by U.S. Government Treasury Obligations with various maturities to 2/28/2014, with a market value of $49,221,203		48,255,785		48,255,785
Total Repurchase Agreements				228,255,785

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

81

February 29, 2012 (Unaudited)

Schedule of Investments

Government Money Market Fund  (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations — 25.3%
Federal Home Loan Bank — 12.1%
0.115%, 4/25/2012 (9)		$  10,000,000		$    9,998,243
0.180%, 2/1/2013		10,000,000		9,999,261
0.210%, 1/3/2013		10,000,000		10,000,000
0.250%, 2/28/2013		10,000,000		10,000,000
0.275%, 4/11/2013 (3)		10,000,000		10,000,000
0.285%, 4/11/2013 (3)		10,000,000		10,000,000
				59,997,504
Federal Home Loan Mortgage Corporation — 6.1%
0.140%, 1/7/2013 (9)		10,000,000		9,987,867
0.240%, 10/12/2012 (3)		20,000,000		20,000,000
				29,987,867
Federal National Mortgage Association — 7.1%
0.110%, 7/18/2012 (9)		10,000,000		9,995,752
0.270%, 1/10/2013 (3)		10,000,000		10,006,156
0.276%, 9/17/2012 (3)		15,000,000		14,998,326
				35,000,234
Total U.S. Government & U.S. Government Agency Obligations				124,985,605
Total Investments — 100.0% (at amortized cost)				493,106,390
Other Assets and Liabilities — 0.0%				8,608
Total Net Assets — 100.0%				$493,114,998

Portfolio Sector Allocations*
Sector	Fund
Municipals	28.4%
Repurchase Agreements	46.3
U.S. Government & U.S. Government Agency Obligations	25.3
Other Assets & Liabilities, Net	0.0
Total	100.0%

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 101.0%
Alabama — 5.4%
Bessemer Governmental Utility Services Corp., 0.260%, 6/1/2015 (3)		$  5,085,000		$    5,085,000
Chatom Industrial Development Board, 0.600%, 8/1/2037, Call 8/1/2012 (3)		11,500,000		11,500,000
Chatom Industrial Development Board, 0.950%, 12/1/2024, Call 6/1/2012 (3)		8,000,000		8,000,000
Chatom Industrial Development Board, 0.950%, 11/15/2038, Call 5/21/2012 (3)		2,355,000		2,355,000
City of Gardendale, 0.300%, 10/1/2032, Call 3/1/2012 (3)		1,465,000		1,465,000
Municipals (continued)
Alabama (continued)
City of Gardendale, 0.300%, 10/1/2032, Call 3/1/2012 (3)		$  1,584,000		$    1,584,000
City of Gardendale, 0.300%, 10/1/2032, Call 3/1/2012 (3)		3,200,000		3,200,000
Mobile Industrial Development Board, 0.750%, 8/22/2012 (3)		15,000,000		15,000,000
				48,189,000
California — 3.2%
California Statewide Communities Development Authority, 0.160%, 11/15/2038, Call 3/1/2012 (3)		5,640,000		5,640,000
Fontana Unified School District, 0.260%, 2/1/2016 (3)		3,765,000		3,765,000
State of California, 0.260%, 3/1/2035, Call 3/1/2016 (3)		12,250,000		12,250,000
Sweetwater Union High School District, 0.260%, 8/1/2013 (3)		7,120,000		7,120,000
				28,775,000
Colorado — 2.3%
Colorado Health Facilities Authority, 0.230%, 1/1/2035, Call 3/1/2012 (3)		6,000,000		6,000,000
Puttable Floating Option Tax-Exempt Receipts, 0.630%, 12/1/2028 (3)		14,140,000		14,140,000
				20,140,000
Connecticut — 2.2%
Connecticut Housing Finance Authority, 0.100%, 5/15/2039, Call 3/1/2012 (3)		20,000,000		20,000,000
District of Columbia — 0.6%
District of Columbia, 0.300%, 10/1/2023, Call 3/1/2012 (3)		3,795,000		3,795,000
District of Columbia, 0.300%, 3/1/2026, Call 3/1/2012 (3)		1,940,000		1,940,000
				5,735,000
Florida — 10.1%
Barclays Capital Municipal Trust Receipts, AGM, 0.260%, 2/15/2024, Call 2/15/2016 (3)(5)(6)		8,405,000		8,405,000
Barclays Capital Municipal Trust Receipts, NATL-RE, 0.260%, 7/1/2026, Call 7/1/2016 (3)(5)(6)		7,070,000		7,070,000
City of Gulf Breeze, 1.350%, 12/1/2012, Call 3/22/2012 (3)		20,280,000		20,280,000
Collier County Educational Facilities Authority, 0.160%, 10/1/2036 (3)		3,335,000		3,335,000
County of Brevard, 0.300%, 10/1/2019, Call 3/1/2012 (3)		2,040,000		2,040,000
County of Miami-Dade, XLCA, 0.260%, 7/1/2031, Call 7/1/2016 (3)(5)(6)		9,900,000		9,900,000
County of St. Lucie, 0.140%, 9/1/2028, Call 3/1/2012 (3)		8,000,000		8,000,000
Eclipse Funding Trust, 0.120%, 4/1/2037, Call 4/1/2017 (3)		20,000,000		20,000,000
Florida State Board of Education, 5.000%, 7/1/2012		2,000,000		2,050,750

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

82

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
JP Morgan Chase Putters/Drivers Trust, 0.260%, 11/1/2015 (3)(5)(6)		$  3,700,000		$    3,700,000
JP Morgan Chase Putters/Drivers Trust, 0.260%, 4/1/2018 (3)(5)(6)		3,000,000		3,000,000
Orange County Industrial Development Authority, 0.300%, 10/1/2023, Call 3/1/2012 (3)		2,855,000		2,855,000
				90,635,750
Georgia — 6.4%
Appling County Development Authority, 0.200%, 9/1/2029, Call 3/1/2012 (3)		4,100,000		4,100,000
Columbia County Development Authority, 0.250%, 8/1/2018, Call 3/1/2012 (3)		2,100,000		2,100,000
County of DeKalb, 0.460%, 4/1/2023 (3)(5)(6)		9,600,000		9,600,000
County of DeKalb, 0.510%, 10/1/2035, Call 10/1/2026 (3)(5)(6)		11,990,000		11,990,000
Floyd County Development Authority, 0.200%, 9/1/2026, Call 3/1/2012 (3)		10,080,000		10,080,000
Monroe County Development Authority, 0.200%, 11/1/2048, Call 3/1/2012 (3)		15,000,000		15,000,000
Savannah Economic Development Authority, 0.220%, 1/1/2016, Call 3/1/2012 (3)		4,085,000		4,085,000
				56,955,000
Illinois — 4.1%
Illinois Finance Authority, 0.240%, 8/15/2033, Call 3/1/2012 (3)		4,300,000		4,300,000
Illinois Finance Authority, 0.260%, 7/1/2029, Call 7/1/2012 (3)		5,850,000		5,850,000
Illinois Finance Authority, 0.270%, 5/15/2037, Call 3/1/2012 (3)		9,000,000		9,000,000
JP Morgan Chase Putters/Drivers Trust, 0.260%, 6/1/2018 (3)(5)(6)		6,865,000		6,865,000
JP Morgan Chase Putters/Drivers Trust, 0.260%, 11/1/2023 (3)(5)(6)		6,375,000		6,375,000
Phoenix Realty Special Account-U LP, 0.280%, 4/1/2020, Call 3/1/2012 (3)		4,075,000		4,075,000
				36,465,000
Indiana — 1.6%
Barclays Capital Municipal Trust Receipts, 0.270%, 4/1/2030 (3)(5)(6)		7,770,000		7,770,000
Municipals (continued)
Indiana (continued)
Puttable Floating Option Tax-Exempt Receipts, NATL-RE, 0.460%, 5/1/2012, Call 4/2/2012 (3)(5)(6)		$  6,805,000		$    6,805,000
				14,575,000
Iowa — 0.4%
Iowa Finance Authority, 0.280%, 2/1/2027 (3)		3,250,000		3,250,000
Kansas — 1.3%
City of Burlington, 0.450%, 3/19/2012		3,000,000		3,000,000
City of Burlington, 0.500%, 3/22/2012		2,600,000		2,600,000
City of Burlington, 0.500%, 3/22/2012		6,295,000		6,295,000
				11,895,000
Kentucky — 2.9%
County of Mason, 0.450%, 10/15/2014, Call 3/7/2012 (3)		12,000,000		12,000,000
County of Mason, 0.450%, 10/15/2014, Call 3/7/2012 (3)		7,775,000		7,775,000
Hancock County, 0.260%, 7/1/2012 (3)		1,685,000		1,685,000
Hancock County, 0.260%, 7/1/2012 (3)		1,000,000		1,000,000
Hardin County Water District No. 1, 0.190%, 9/1/2022, Call 3/1/2012 (3)		3,150,000		3,150,000
				25,610,000
Louisiana — 2.1%
Louisiana Housing Finance Agency, 0.750%, 11/1/2012 (3)		7,350,000		7,350,000
Louisiana Public Facilities Authority, 0.260%, 1/1/2022 (3)		1,665,000		1,665,000
Parish of St. James, 1.530%, 11/1/2039, Call 3/1/2012 (3)		10,000,000		10,000,000
				19,015,000
Maryland — 2.4%
Maryland Health & Higher Educational Facilities Authority, 0.750%, 7/1/2036, Call 3/21/2012 (3)		16,720,000		16,720,000
Montgomery County Housing Opportunites Commission, 0.260%, 7/1/2027, Call 3/1/2012 (3)		2,095,000		2,095,000
Montgomery County Housing Opportunites Commission, 0.260%, 7/1/2037, Call 3/1/2012 (3)		2,945,000		2,945,000
				21,760,000
Massachusetts — 3.2%
BB&T Municipal Trust, 0.250%, 10/1/2028 (3)(5)(6)		16,050,000		16,050,000
Massachusetts Development Finance Agency, 0.180%, 6/1/2041, Call 3/1/2012 (3)		5,000,000		5,000,000
Massachusetts Development Finance Agency, 0.700%, 1/1/2026, Call 3/1/2012 (3)		6,395,000		6,395,000

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

83

February 29, 2012 (Unaudited)

Schedule of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Massachusetts (continued)
Massachusetts Industrial Finance Agency, 0.240%, 12/1/2019, Call 3/7/2012 (3)		$  1,000,000		$    1,000,000
				28,445,000
Michigan — 1.1%
Michigan Strategic Fund, 0.170%, 8/1/2040 (3)		1,250,000		1,250,000
Michigan Strategic Fund, 0.270%, 11/15/2034, Call 3/1/2012 (3)		8,380,000		8,380,000
				9,630,000
Minnesota — 3.2%
City of Bloomington, 0.210%, 12/1/2015 (3)		3,310,000		3,310,000
City of Bloomington, 0.210%, 12/1/2015, Call 3/1/2012 (3)		3,405,000		3,405,000
City of Ramsey, 0.310%, 12/1/2023, Call 3/1/2012 (3)		3,000,000		3,000,000
Southern Minnesota Municipal Power Agency, 0.450%, 3/20/2012		16,650,000		16,650,000
Southern Minnesota Municipal Power Agency, 0.500%, 3/19/2012		2,350,000		2,350,000
				28,715,000
Mississippi — 1.2%
Claiborne County, 0.500%, 5/10/2012		5,000,000		5,000,000
Mississippi Business Finance Corp., 0.850%, 5/1/2037, Call 5/1/2012 (3)		6,000,000		6,000,000
				11,000,000
Missouri — 0.2%
Greene County Industrial Development Authority, 0.260%, 5/1/2039, Call 3/1/2012 (3)		1,325,000		1,325,000
Montana — 0.7%
City of Forsyth, 0.260%, 1/1/2018, Call 3/1/2012 (3)		6,000,000		6,000,000
Nebraska — 1.7%
Central Plains Energy Project, 0.170%, 12/1/2021 (3)		8,425,000		8,425,000
Nebraska Investment Finance Authority, 0.150%, 9/1/2031, Call 3/1/2012 (3)		600,000		600,000
Nebraska Investment Finance Authority, 0.260%, 12/1/2037, Call 3/1/2012 (3)		6,500,000		6,500,000
				15,525,000
New Hampshire — 2.8%
New Hampshire Business Finance Authority, 1.700%, 9/1/2030, Call 3/1/2012 (3)		25,000,000		25,000,000
New Jersey — 1.4%
JP Morgan Chase Putters/Drivers Trust, 0.260%, 12/15/2013 (3)(5)(6)		2,775,000		2,775,000
Municipals (continued)
New Jersey (continued)
New Jersey Economic Development Authority, 0.240%, 5/15/2033, Call 3/1/2012 (3)		$  6,500,000		$    6,500,000
Township of Mendham, 1.250%, 5/25/2012		3,054,900		3,057,444
				12,332,444
New York — 12.3%
Binghamton City School District, 1.000%, 7/13/2012		10,000,000		10,022,092
Broome County Industrial Development Agency, 0.750%, 2/1/2029, Call 3/1/2012 (3)		3,155,000		3,155,000
Broome County Industrial Development Agency, 0.750%, 2/1/2029, Call 3/1/2012 (3)		1,380,000		1,380,000
Jefferson Central School District, 1.250%, 6/22/2012		8,085,000		8,090,172
JP Morgan Chase Putters/Drivers Trust, 0.200%, 4/30/2012 (3)(5)(6)		15,000,000		15,000,000
Metropolitan Transportation Authority, 0.200%, 11/1/2035, Call 3/1/2012 (3)		5,000,000		5,000,000
New York City Industrial Development Agency, 0.820%, 5/1/2036, Call 3/1/2012 (3)		3,900,000		3,900,000
New York State Housing Finance Agency, 0.650%, 11/1/2041, Call 3/1/2012 (3)		11,400,000		11,400,000
New York State Housing Finance Agency, 0.700%, 11/1/2041, Call 3/1/2012 (3)		28,000,000		28,000,000
New York State Thruway Authority, 0.260%, 1/1/2014 (3)		4,995,000		4,995,000
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.800%, 12/1/2025 (3)(5)(6)		12,040,000		12,040,000
Utica Industrial Development Agency, 0.250%, 7/15/2029, Call 3/1/2012 (3)		7,260,000		7,260,000
				110,242,264
Ohio — 4.1%
County of Cuyahoga, 0.270%, 5/1/2042, Call 3/1/2012 (3)		7,620,000		7,620,000
County of Erie, 0.750%, 8/15/2046, Call 4/2/2012 (3)		4,975,000		4,975,000
County of Warren, 0.330%, 9/1/2015 (3)		5,190,000		5,190,000
Ohio State Higher Educational Facility Commission, 0.260%, 1/15/2046, Call 1/15/2017 (3)		11,250,000		11,250,000
Puttable Floating Option Tax-Exempt Receipts, 0.420%, 4/1/2026 (3)		7,860,000		7,860,000
				36,895,000

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

84

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Oklahoma — 0.3%
Tulsa Industrial Authority, 0.350%, 11/1/2026, Call 3/1/2012 (3)		$  2,715,000		$    2,715,000
Pennsylvania — 3.8%
Barclays Capital Municipal Trust Receipts, FHA, 0.260%, 8/1/2038, Call 8/1/2020 (3)(5)(6)		11,090,000		11,090,000
JP Morgan Chase Putters/Drivers Trust, 0.260%, 6/1/2015 (3)(5)(6)		3,540,000		3,540,000
JP Morgan Chase Putters/Drivers Trust, 0.360%, 12/1/2019 (3)(5)(6)		5,335,000		5,335,000
Lehigh County General Purpose Authority, 0.190%, 5/15/2021, Call 3/1/2012 (3)		2,660,000		2,660,000
Luzerne County Industrial Development Authority, 0.750%, 2/1/2029, Call 3/1/2012 (3)		8,500,000		8,500,000
Reading School District, 0.260%, 1/15/2014 (3)		2,895,000		2,895,000
				34,020,000
Puerto Rico — 0.6%
Puerto Rico Industrial Medical & Environmental Pollution Control Facilities Financing Authority, 0.950%, 3/1/2012 (3)		5,770,000		5,770,000
Rhode Island — 1.7%
Rhode Island Health & Educational Building Corp., 0.210%, 11/1/2036, Call 3/1/2012 (3)		14,765,000		14,765,000
South Carolina — 0.6%
South Carolina Jobs-Economic Development Authority, 0.260%, 6/1/2030, Call 3/1/2012 (3)		5,000,000		5,000,000
South Dakota — 1.5%
South Dakota Housing Development Authority, 0.240%, 5/1/2048, Call 3/1/2012 (3)		7,200,000		7,200,000
South Dakota Housing Development Authority, 0.240%, 11/1/2048, Call 3/1/2012 (3)		6,575,000		6,575,000
				13,775,000
Texas — 3.6%
Atascosa County Industrial Development Corp., 0.270%, 6/30/2020, Call 3/1/2012 (3)		3,700,000		3,700,000
Barclays Capital Municipal Trust Receipts, FGIC, 0.260%, 8/15/2017, Call 8/15/2015 (3)(5)(6)		5,655,000		5,655,000
Municipals (continued)
Texas (continued)
Barclays Capital Municipal Trust Receipts, NATL-RE, 0.260%, 2/15/2025, Call 2/15/2015 (3)(5)(6)		$  7,815,000		$    7,815,000
Dallam County Industrial Development Corp., 0.230%, 5/1/2039, Call 3/1/2012 (3)		2,800,000		2,800,000
HFDC of Central Texas, Inc., 0.390%, 11/1/2038, Call 3/1/2012 (3)		3,180,000		3,180,000
New Caney Independent School District, PSF, 0.260%, 2/15/2035, Call 2/15/2016 (3)		6,595,000		6,595,000
San Gabriel Industrial Development Corp., 0.000%, 6/1/2029, Call 3/1/2012 (3)		2,735,000		2,735,000
				32,480,000
Utah — 0.6%
Utah Associated Municipal Power Systems, 0.260%, 4/1/2012 (3)		5,360,000		5,360,000
Vermont — 1.9%
Vermont Economic Development Authority, 0.270%, 5/1/2029, Call 3/1/2012 (3)		7,355,000		7,355,000
Vermont Housing Finance Agency, 0.700%, 7/1/2037, Call 3/1/2012 (3)		10,000,000		10,000,000
				17,355,000
Virginia — 0.5%
Barclays Capital Municipal Trust Receipts, 0.270%, 2/1/2028, Call 2/1/2019 (3)(5)(6)		3,335,000		3,335,000
Suffolk Redevelopment & Housing Authority, 0.300%, 9/1/2019, Call 3/1/2012 (3)		1,105,000		1,105,000
				4,440,000
Washington — 2.7%
Barclays Capital Municipal Trust Receipts, 0.270%, 6/1/2039, Call 6/1/2019 (3)(5)(6)		11,250,000		11,250,000
Central Puget Sound Regional Transit Authority, 0.260%, 11/1/2034, Call 11/1/2017 (3)(5)(6)		4,250,000		4,250,000
Central Puget Sound Regional Transit Authority, FSA, 0.130%, 11/1/2015 (3)		4,080,000		4,080,000
Washington State Housing Finance Commission, 0.250%, 7/1/2028, Call 3/1/2012 (3)		4,105,000		4,105,000
				23,685,000
West Virginia — 0.3%
Deutsche Bank Spears/Lifers Trust, 0.220%, 4/1/2030 (3)		2,545,000		2,545,000
Wisconsin — 6.0%
Chippewa Falls Area Unified School District, 1.000%, 10/1/2012		5,000,000		5,004,351

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

85

February 29, 2012 (Unaudited)

Schedule of Investments

Tax-Free Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Oconto Falls Public School District, 1.750%, 10/1/2012		$  3,200,000		$    3,209,253
Waukesha Housing Authority, 0.300%, 2/1/2026, Call 3/1/2012 (3)		5,100,000		5,100,000
Wisconsin Health & Educational Facilities Authority, 0.160%, 12/1/2027, Call 3/1/2012 (3)		2,640,000		2,640,000
Wisconsin Health & Educational Facilities Authority, 0.260%, 8/15/2034, Call 8/15/2016 (3)		2,200,000		2,200,000
Wisconsin Health & Educational Facilities Authority, 0.260%, 8/15/2034 (3)		8,000,000		8,000,000
Wisconsin Health & Educational Facilities Authority, NATL-RE, 0.750%, 8/15/2022 (3)		13,000,000		13,000,000
Wisconsin Housing & Economic Development Authority, 0.160%, 5/1/2055, Call 3/1/2012 (3)		10,000,000		10,000,000
Wisconsin Housing & Economic Development Authority, 0.260%, 5/1/2037, Call 3/1/2012 (3)		4,630,000		4,630,000
				53,783,604
Total Municipals				903,803,062
Mutual Funds — 0.3%
Federated Tax-Free Obligations Fund, Class I, 0.032%		2,782,098		2,782,098
Total Mutual Funds				2,782,098
Total Investments — 101.3% (at amortized cost)				906,585,160
Other Assets and Liabilities — (1.3)%				(11,453,134	)
Total Net Assets — 100.0%				$895,132,026

Portfolio Sector Allocations*
Sector	Fund
Municipals	101.0%
Mutual Funds	0.3
Other Assets & Liabilities, Net	(1.3)
Total	100.0%

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation
School District	5.8%
State or Local	3.4
Total General Obligation	9.2
Revenue Bonds
Appropriation	10.6
Education	9.3
General Revenue	4.4
Healthcare	17.2
Housing	13.1
Industrial Revenue	15.3
Power	5.0
Special Tax	6.7
Transportation	2.6
Water & Sewer	7.6
Total Revenue Bonds	91.8
Other Assets & Liabilities, Net	(1.0)
Total	100.0%

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 10.3%
Banks — 10.3%
Bank of Nova Scotia/Houston, 0.783%, 10/5/2012 (3)		$  50,000,000		$     50,015,652
Bank of Nova Scotia/Houston, 0.813%, 2/22/2013 (3)		50,000,000		50,136,264
Bank of Nova Scotia/Houston, 0.823%, 2/15/2013 (3)		50,000,000		50,122,432
Canadian Imperial Bank of Commerce, 0.560%, 10/22/2012 (3)		80,000,000		80,000,000
Canadian Imperial Bank of Commerce, 0.731%, 11/5/2012 (3)		17,455,000		17,466,807
Royal Bank of Canada/New York, 0.610%, 11/9/2012 (3)		100,000,000		100,000,000
Total Certificates of Deposit				347,741,155
Commercial Paper — 35.3%
Asset-Backed Securities — 6.7%
GovCo LLC, 0.430%, 3/8/2012 (5)(6)(9)		20,000,000		19,998,328
GovCo LLC, 0.430%, 3/9/2012 (5)(6)(9)		25,000,000		24,997,611
GovCo LLC, 0.470%, 6/11/2012 (5)(6)(9)		25,000,000		24,966,708
GovCo LLC, 0.500%, 7/23/2012 (5)(6)(9)		50,000,000		49,900,000
Kells Funding LLC, 0.470%, 5/10/2012 (5)(6)(9)		55,000,000		54,951,669
Kells Funding LLC, 0.480%, 5/24/2012 (5)(6)(9)		52,400,000		52,343,384
				227,157,700

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

86

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Automobiles — 2.0%
Ford Credit Auto Receivables Trust, 0.520%, 8/1/2012 (9)		$  25,000,000		$     24,944,750
Ford Credit Auto Receivables Trust, 0.550%, 7/5/2012 (9)		45,000,000		44,913,375
				69,858,125
Consumer Products — 3.7%
Reckitt Benckiser TSY, 0.570%, 4/30/2012 (5)(6)(9)		50,000,000		49,952,500
Reckitt Benckiser TSY, 0.670%, 8/6/2012 (5)(6)(9)		25,000,000		24,926,486
Reckitt Benckiser TSY, 0.720%, 10/2/2012 (5)(6)(9)		25,000,000		24,892,500
Reckitt Benckiser TSY, 0.740%, 9/28/2012 (5)(6)(9)		25,000,000		24,891,569
				124,663,055
Foreign Banks — 12.8%
ANZ National Ltd., 0.656%, 6/29/2012 (3)(5)(6)		75,000,000		75,000,000
Barclays U.S. Funding Corp., 0.120%, 3/1/2012 (9)		100,000,000		100,000,000
Barclays U.S. Funding Corp., 0.650%, 6/11/2012 (9)		50,000,000		49,907,917
Commonwealth Bank Australia, 0.474%, 9/10/2012 (3)(5)(6)		75,000,000		75,000,000
Commonwealth Bank Australia, 0.612%, 6/22/2012 (3)(5)(6)		57,110,000		57,102,119
Skandinaviska Enskilda Banken AB, 0.610%, 4/11/2012 (5)(6)(9)		24,750,000		24,732,805
Skandinaviska Enskilda Banken AB, 0.650%, 4/2/2012 (5)(6)(9)		50,000,000		49,971,111
				431,713,952
Insurance — 5.2%
Prudential Funding LLC, 0.110%, 3/1/2012 (9)		25,000,000		25,000,000
Prudential Funding LLC, 0.170%, 3/13/2012 (9)		25,000,000		24,998,583
Prudential PLC, 0.650%, 5/24/2012 (5)(6)(9)		25,000,000		24,962,083
Prudential PLC, 0.800%, 3/16/2012 (5)(6)(9)		50,000,000		49,983,334
Prudential PLC, 0.830%, 7/26/2012 (5)(6)(9)		50,000,000		49,830,542
				174,774,542
Utilities — 4.9%
Florida Power & Light Corp., 0.160%, 3/8/2012 (9)		15,000,000		14,999,533
Florida Power & Light Corp., 0.170%, 3/6/2012 (9)		20,000,000		19,999,528
Florida Power & Light Corp., 0.170%, 3/7/2012 (9)		30,000,000		29,999,150
Commercial Paper (continued)
Utilities (continued)
Florida Power & Light Corp., 0.170%, 3/9/2012 (9)		$  28,472,000		$     28,470,925
National Rural Utilities Cooperative Finance Corp., 0.110%, 3/21/2012 (9)		21,825,000		21,823,666
National Rural Utilities Cooperative Finance Corp., 0.150%, 3/1/2012 (9)		50,000,000		50,000,000
				165,292,802
Total Commercial Paper				1,193,460,176
Funding Agreements — 3.4%
Insurance — 3.4%
Metropolitan Life Insurance Co., 0.727%, 3/1/2012 (3)(5)(8)		65,000,000		65,000,000
Metropolitan Life Insurance Co., 0.797%, 5/1/2012 (3)(5)(8)		50,000,000		50,000,000
Total Funding Agreements				115,000,000
Municipals — 24.5%
Colorado — 0.4%
Colorado Educational & Cultural Facilities Authority, 0.250%, 5/1/2038, Call 3/1/2012 (3)		14,890,000		14,890,000
Connecticut — 1.9%
Connecticut Housing Finance Authority, 0.170%, 5/15/2031, Call 3/1/2012 (3)(7)		26,690,000		26,690,000
Connecticut Housing Finance Authority, 0.270%, 11/15/2038, Call 3/1/2012 (3)		38,115,000		38,115,000
				64,805,000
Federal Home Loan Mortgage Corporation — 0.4%
FHLMC Multifamily Variable Rate Demand Certificates, 0.200%, 9/15/2038, Call 3/1/2012 (3)(7)		13,115,000		13,115,000
Florida — 1.5%
County of St. Lucie, 0.140%, 9/1/2028, Call 3/1/2012 (3)		50,000,000		50,000,000
Georgia — 4.7%
Athens-Clarke County Unified Government Development Authority, 0.220%, 7/1/2021, Call 3/1/2012 (3)		8,365,000		8,365,000
Bartow County Development Authority, 0.240%, 12/1/2032, Call 3/7/2012 (3)		93,000,000		93,000,000
Floyd County Development Authority, 0.160%, 7/1/2022, Call 3/1/2012 (3)		17,000,000		17,000,000
Monroe County Development Authority, 0.200%, 11/1/2048, Call 3/1/2012 (3)		40,000,000		40,000,000
				158,365,000

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

87

February 29, 2012 (Unaudited)

Schedule of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Idaho — 1.0%
Lemhi County Industrial Development Corp., 0.550%, 3/21/2012		$  25,200,000		$     25,200,000
Shoshone County Industrial Development Corp., 0.550%, 3/21/2012		8,900,000		8,900,000
				34,100,000
Iowa — 1.4%
Iowa Finance Authority, 0.210%, 6/1/2036, Call 3/1/2012 (3)		11,000,000		11,000,000
Iowa Finance Authority, 0.210%, 9/1/2036, Call 3/1/2012 (3)		19,000,000		19,000,000
Iowa Finance Authority, GNMA/FNMA/FHLMC, 0.200%, 1/1/2039, Call 3/1/2012 (3)(7)		17,720,000		17,720,000
				47,720,000
Kentucky — 0.2%
County of Hancock, 0.410%, 4/1/2028 (3)(7)		7,815,000		7,815,000
Maine — 0.7%
City of Portland, 0.340%, 6/1/2026, Call 3/1/2012 (3)		22,600,000		22,600,000
Montana — 0.8%
Montana Board of Investments, 0.170%, 12/30/2015, Call 3/7/2012 (3)(7)		27,000,000		27,000,000
New York — 4.4%
New York City Housing Development Corp., FNMA, 0.130%, 5/15/2034, Call 3/15/2012 (3)(7)		44,500,000		44,500,000
New York City Housing Development Corp., FNMA, 0.130%, 6/15/2034, Call 3/7/2012 (3)(7)		49,000,000		49,000,000
New York State Housing Finance Agency, FNMA, 0.130%, 11/15/2038, Call 3/7/2012 (3)(7)		56,100,000		56,100,000
				149,600,000
North Carolina — 0.2%
Puttable Floating Option Tax-Exempt Receipts, 0.500%, 7/1/2036 (3)		5,900,000		5,900,000
North Dakota — 0.4%
North Dakota Housing Finance Agency, 0.140%, 1/1/2039, Call 3/7/2012 (3)(7)		13,700,000		13,700,000
Ohio — 1.4%
Puttable Floating Option Tax-Exempt Receipts, AMBAC, 0.550%, 12/1/2041, Call 3/5/2012 (3)(7)		46,730,000		46,730,000
Municipals (continued)
Texas — 0.8%
Harris County Industrial Development Corp., 0.120%, 3/1/2024, Call 3/1/2012 (3)		$  26,300,000		$     26,300,000
Vermont — 1.0%
BB&T Municipal Trust, 0.460%, 5/1/2027 (3)		33,865,000		33,865,000
Washington — 0.6%
Port of Tacoma, 0.200%, 12/1/2044 (3)		21,800,000		21,800,000
Wisconsin — 2.0%
Wisconsin Health & Educational Facilities Authority, NATL-RE, 0.750%, 8/15/2022 (3)		6,715,000		6,715,000
Wisconsin Housing & Economic Development Authority, 0.140%, 9/1/2032, Call 3/1/2012 (3)(7)		23,890,000		23,890,000
Wisconsin Housing & Economic Development Authority, 0.140%, 9/1/2035, Call 3/7/2012 (3)(7)		21,345,000		21,345,000
Wisconsin Housing & Economic Development Authority, GO, 0.140%, 3/1/2035, Call 3/7/2012 (3)(7)		15,360,000		15,360,000
				67,310,000
Wyoming — 0.7%
City of Kemmerer, 0.120%, 11/1/2014, Call 3/1/2012 (3)		22,900,000		22,900,000
Total Municipals				828,515,000
Mutual Funds — 3.9%
BlackRock Liquidity Funds TempFund, 0.181%		130,000,000		130,000,000
Total Mutual Funds				130,000,000
Notes-Variable — 10.4%
Banks — 1.5%
National Australia Bank/New York, 0.653%, 2/15/2013 (3)		50,000,000		50,000,000
Diversified Financial Services — 0.7%
General Electric Capital Corp., 0.677%, 11/1/2012 (3)		25,000,000		24,994,313
Foreign Banks — 3.7%
ABN Amro Bank, 1.038%, 6/8/2012 (3)(5)(6)		50,000,000		50,000,000
Rabobank Nederland NV, 0.638%, 9/14/2012 (3)(5)(6)		50,000,000		50,000,000
Westpac Securities NZ, Ltd., 0.661%, 7/20/2012 (3)(5)(6)		25,000,000		25,000,000
				125,000,000

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

88

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Notes-Variable (continued)
Insurance — 0.8%
MetLife Institutional Funding II, 0.955%, 12/7/2012 (3)(5)(6)		$  25,000,000		$     25,000,000
Pharmaceuticals — 1.5%
Sanofi-Aventis SA, 0.624%, 3/28/2012 (3)		50,000,000		50,000,000
Utilities — 2.2%
National Rural Utilities Cooperative Finance Corp., 0.669%, 1/7/2013 (3)		75,000,000		75,000,000
Total Notes-Variable				349,994,313
Repurchase Agreements — 5.0%
Agreement with Fixed Income Clearing Corp., 0.030%, dated 2/29/2012, to be repurchased at $19,191,428 on 3/1/2012, collateralized by a U.S. Government Treasury Obligation with a maturity of 8/15/2013, with a market value of $19,576,774		19,191,412		19,191,412
Agreement with Morgan Stanley & Co., Inc., 0.220%, dated 2/29/2012, to be repurchased at $150,000,917 on 3/1/2012, collateralized by Commercial Paper with various maturities to 5/4/2012, with a market value of $157,500,000		150,000,000		150,000,000
Total Repurchase Agreements				169,191,412
Trust Demand Notes — 4.2%
Broker/Dealers — 4.2%
JP Morgan Securities, Inc., 0.270%, 3/1/2012 (3)		143,000,000		143,000,000
Total Trust Demand Notes				143,000,000
U.S. Government & U.S. Government Agency Obligations — 3.0%
Federal Home Loan Bank — 1.6%
0.090%, 5/2/2012 (9)		25,000,000		24,996,125
0.115%, 4/25/2012 (9)		30,000,000		29,994,729
				54,990,854
Federal Home Loan Mortgage Corporation — 1.4%
0.095%, 4/23/2012 (9)		47,062,000		47,055,418
Total U.S. Government & U.S. Government Agency Obligations				102,046,272
Total Investments — 100.0% (at amortized cost)				3,378,948,328
Other Assets and Liabilities — 0.0%				494,964
Total Net Assets — 100.0%				$3,379,443,292

Portfolio Sector Allocations*
Sector	Fund
Certificates of Deposit	10.3%
Commercial Paper	35.3
Funding Agreements	3.4
Municipals	24.5
Mutual Funds	3.9
Notes-Variable	10.4
Repurchase Agreements	5.0
Trust Demand Notes	4.2
U.S. Government & U.S. Government Agency Obligations	3.0
Other Assets & Liabilities, Net	0.0
Total	100.0%

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

89

Notes to Schedules of Investments BMO Funds

The categories of investments are shown as a percentage of total net assets for each Fund as of February 29, 2012.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on February 29, 2012 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement purposes.

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

(2) Non-income producing.

(3) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2012.

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities law. At February 29, 2012, these securities amounted to:

Fund	Amount		% of Total Net Assets
Ultra Short-Tax Free Fund	$	20,121,252		3.69	%
Short-Term Income Fund		16,970,879		10.46
Short-Intermediate Bond Fund		27,416,011		17.09
Intermediate Tax-Free Fund		2,980,000		0.39
Government Income Fund		13,784,366		6.12
TCH Corporate Income Fund		11,441,985		9.98
Aggregate Bond Fund		72,661,191		13.55
TCH Core Plus Bond Fund		16,701,496		11.35
Monegy High Yield Bond Fund		16,476,946		23.48
Tax-Free Money Market Fund		179,615,000		20.07
Prime Money Market Fund		1,023,402,749		30.28

(6) Denotes a restricted security which has been deemed liquid by criteria approved by the Board of Directors of the BMO Funds.

(7) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund, Government Money Market Fund and Prime Money Market Fund portfolios’ represent 2.48%, 24.84% and 10.74%, respectively, as calculated based upon total portfolio market value as of February 29, 2012.

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

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

(10) Issue is in default or bankruptcy.

(11) Please refer to Note 5, Investments in Affiliated Issuers, in the Notes to Financial Statements.

(12) Foreign Security value denominated in U.S. Dollars, Principal amount listed represents adjusted par in local currency.

The following acronyms may be referenced throughout this report:

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

90

[THIS PAGE INTENTIONALLY LEFT BLANK]

February 29, 2012 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Large-Cap Value Fund			Dividend Income Fund (2)		Large-Cap Growth Fund			Large-Cap Focus Fund			Mid-Cap Value Fund
Assets:
Investments in unaffiliated issuers, at value	$	159,123,384	(1)	$	53,342,189	$	199,759,327	(1)	$	53,498,143	(1)	$	275,401,758	(1)
Investments in affiliated issuers, at value		1,566,434			2,043,962		2,261,166			5,043,163			14,411,808
Dividends and interest receivable		246,029			205,328		301,738			57,626			364,437
Receivable for investments sold		—			—		—			—			4,691,593
Receivable for capital stock sold		89,851			442,054		75,100			31,407			161,800
Prepaid expenses		20,457			29,961		21,718			16,732			23,441
Other receivables		7,702			—		12,388			1,275			15,922
Total assets		161,053,857			56,063,494		202,431,437			58,648,346			295,070,759
Liabilities:
Payable for capital stock redeemed		351,649			47,694		621,932			107,670			160,888
Payable for investments purchased		—			—		—			—			5,534,356
Payable for return of securities lending collateral		14,145,685			—		23,919,761			6,851,249			40,878,759
Payable to affiliates (Note 5)		111,320			19,529		135,660			19,923			196,140
Other liabilities		55,208			3,573		63,698			17,236			72,219
Total liabilities		14,663,862			70,796		24,741,051			6,996,078			46,842,362
Total net assets	$	146,389,995		$	55,992,698	$	177,690,386		$	51,652,268		$	248,228,397
Net assets consist of:
Paid-in capital	$	138,060,788		$	53,615,569	$	149,094,825		$	44,472,553		$	201,444,562
Net unrealized appreciation on investments		16,186,939			2,086,315		14,470,469			7,743,539			44,679,187
Accumulated net realized gain (loss) on investments and options		(8,020,184	)		83,803		13,892,792			(626,585	)		2,034,372
Undistributed net investment income		162,452			207,011		232,300			62,761			70,276
Total net assets	$	146,389,995		$	55,992,698	$	177,690,386		$	51,652,268		$	248,228,397
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	11.80		$	10.48	$	13.63		$	12.58		$	13.20
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share	$	11.80		$	10.49	$	13.70		$	12.60		$	13.18
Net assets:
Investor class of shares	$	73,677,896		$	19,827,565	$	89,034,526		$	24,477,730		$	136,816,598
Institutional class of shares		72,712,099			36,165,133		88,655,860			27,174,538			111,411,799
Total net assets	$	146,389,995		$	55,992,698	$	177,690,386		$	51,652,268		$	248,228,397
Shares outstanding:
Investor class of shares		6,246,514			1,892,589		6,532,066			1,945,945			10,364,513
Institutional class of shares		6,159,962			3,448,270		6,471,923			2,156,304			8,454,614
Total shares outstanding		12,406,476			5,340,859		13,003,989			4,102,249			18,819,127
Investments, at cost:
Investments in unaffiliated issuers	$	142,936,445		$	51,255,874	$	185,288,858		$	45,754,604		$	230,722,571
Investments in affiliated issuers		1,566,434			2,043,962		2,261,166			5,043,163			14,411,808
Total Investments, at cost	$	144,502,879		$	53,299,836	$	187,550,024		$	50,797,767		$	245,134,379

(1) Including $13,686,617, $23,143,489, $6,628,903 and $39,552,116, respectively, of securities on loan.

(2) Commenced operations on December 30, 2011.

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

92

February 29, 2012 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Growth Fund			Pyrford International Stock Fund (3)			Lloyd  George Emerging Markets  Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	311,439,736	(1)	$	35,001,609	(1)	$	772,771,250	(1)	$	93,271,215		$	57,491,991
Investments in affiliated issuers, at value		6,393,082			2,137,105			44,275,016			—			—
Investments in repurchase agreements		—			—			—			—			1,341,127
Cash		—			—			—			4,335,214			—
Cash denominated in foreign currencies		—			—			—			56,733	(2)		550,434	(2)
Dividends and interest receivable		75,514			17,567			39,705			364,055			112,172
Receivable for investments sold		2,217,034			132,783			9,720,916			—			444,827
Receivable for capital stock sold		102,350			33,168			1,171,886			3,555,037			91,659
Prepaid expenses		26,562			10,262			36,473			30,188			21,426
Other receivables		20,611			2,310			63,656			—			—
Total assets		320,274,889			37,334,804			828,078,902			101,612,442			60,053,636
Liabilities:
Payable for capital stock redeemed		861,026			3,711			846,046			240,844			53,626
Payable for investments purchased		1,261,807			834,469			14,242,557			—			349,894
Payable for return of securities lending collateral		66,494,610			6,987,110			215,492,987			—			—
Payable for foreign tax expense		—			—			—			25,445			7,562
Payable on forward foreign currency contracts		—			—			—			346,930			—
Payable to affiliates (Note 5)		192,543			14,250			603,305			51,833			28,939
Other liabilities		54,983			16,402			119,158			39,628			201,482
Total liabilities		68,864,969			7,855,942			231,304,053			704,680			641,503
Total net assets	$	251,409,920		$	29,478,862		$	596,774,849		$	100,907,762		$	59,412,133
Net assets consist of:
Paid-in capital	$	186,380,990		$	28,994,464		$	480,029,493		$	96,012,886		$	48,293,642
Net unrealized appreciation on investments and foreign currency translation		57,713,978			1,395,994			96,401,818			4,749,561			8,040,951
Accumulated net realized gain (loss) on investments and foreign currency transactions		7,785,463			(916,396	)		22,535,541			(83,632	)		3,968,720
Undistributed net investment income (distributions in excess of net investment income)		(470,511	)		4,800			(2,192,003	)		228,947			(891,180	)
Total net assets	$	251,409,920		$	29,478,862		$	596,774,849		$	100,907,762		$	59,412,133
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	20.49		$	10.12		$	19.35		$	10.53		$	14.04
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share	$	20.68		$	10.14		$	19.55		$	10.53		$	14.05
Net assets:
Investor class of shares	$	97,551,312		$	25,091,152		$	381,282,369		$	36,128,969		$	16,136,553
Institutional class of shares		153,858,608			4,387,710			215,492,480			64,778,793			43,275,580
Total net assets	$	251,409,920		$	29,478,862		$	596,774,849		$	100,907,762		$	59,412,133
Shares outstanding:
Investor class of shares		4,760,873			2,480,024			19,708,267			3,431,717			1,149,550
Institutional class of shares		7,439,433			432,598			11,024,964			6,150,921			3,080,036
Total shares outstanding		12,200,306			2,912,622			30,733,231			9,582,638			4,229,586
Investments, at cost:
Investments in unaffiliated issuers	$	253,725,758		$	33,605,615		$	680,212,651		$	88,173,761		$	50,803,713
Investments in affiliated issuers		6,393,082			2,137,105			40,431,797			—			—
Total Investments, at cost	$	260,118,840		$	35,742,720		$	720,644,448		$	88,173,761		$	50,803,713

(1) Including $64,336,650, $6,760,358 and $208,499,561, respectively, of securities on loan.

(2) Identified cost of cash denominated in foreign currencies are $56,623 and $540,676, respectively.

(3) Commenced operations on December 30, 2011.

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

93

February 29, 2012 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Pyrford Global Strategic Return Fund (3)			Ultra Short Tax-Free Fund			Short-Term Income Fund			Short- Intermediate Bond Fund			Intermediate Tax-Free Fund
Assets:
Investments in unaffiliated issuers, at value	$	19,065,150		$	521,806,934		$	184,346,461	(1)	$	212,763,881	(1)	$	714,664,435
Investments in affiliated issuers, at value		—			17,824,640			7,733,180			6,668,415			56,546,925
Cash and deposit held at broker		952,241			15,552			—			—			47,900
Cash denominated in foreign currencies		1,492	(2)		—			—			—			—
Dividends and interest receivable		113,837			3,013,269			912,616			990,844			6,556,719
Receivable for investments sold		—			12,834,423			653,403			17,215,793			4,574,013
Receivable for capital stock sold		127,272			1,667,937			615,942			82,067			5,061,703
Receivable from affiliates, net (Note 5)		11,713			—			—			—			—
Prepaid expenses		29,964			35,412			23,996			19,517			65,020
Other receivables		—			—			5,299			—			4
Total assets		20,301,669			557,198,167			194,290,897			237,740,517			787,516,719
Liabilities:
Payable for capital stock redeemed		1,777			320,152			48,552			80,093			506,719
Payable for investments purchased		26,155			10,267,334			1,274,840			16,187,031			29,738,980
Payable for return of securities lending collateral		—			—			30,526,568			60,908,745			—
Payable on forward foreign currency contracts		4,167			—			—			—			—
Payable for income distribution		—			435,652			113,692			69,718			726,980
Payable to affiliates (Note 5)		—			112,477			39,444			63,710			248,236
Other liabilities		40,402			51,755			36,620			37,683			90,477
Total liabilities		72,501			11,187,370			32,039,716			77,346,980			31,311,392
Total net assets	$	20,229,168		$	546,010,797		$	162,251,181		$	160,393,537		$	756,205,327
Net assets consist of:
Paid-in capital	$	19,865,091		$	544,849,024		$	166,159,251		$	188,076,557		$	717,730,489
Net unrealized appreciation on investments and foreign currency translation		368,835			1,148,080			252,953			2,089,505			36,833,913
Accumulated net realized gain (loss) on investments, futures contracts and foreign currency transactions		(19,288	)		15,248			(4,247,418	)		(29,849,987	)		1,458,433
Undistributed net investment income (distributions in excess of net investment income)		14,530			(1,555	)		86,395			77,462			182,492
Total net assets	$	20,229,168		$	546,010,797		$	162,251,181		$	160,393,537		$	756,205,327
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	10.21		$	10.07		$	9.41		$	10.34		$	11.13
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share	$	10.21		$	10.07		$	9.41		$	10.33		$	11.13
Net assets:
Investor class of shares	$	10,984,898		$	73,988,499		$	78,782,573		$	53,367,288		$	558,891,650
Institutional class of shares		9,244,270			472,022,298			83,468,608			107,026,249			197,313,677
Total net assets	$	20,229,168		$	546,010,797		$	162,251,181		$	160,393,537		$	756,205,327
Shares outstanding:
Investor class of shares		1,076,107			7,344,296			8,375,256			5,163,552			50,217,455
Institutional class of shares		905,518			46,882,637			8,865,645			10,364,959			17,732,666
Total shares outstanding		1,981,625			54,226,933			17,240,901			15,528,511			67,950,121
Investments, at cost:
Investments in unaffiliated issuers	$	18,693,997		$	520,658,854		$	184,093,508		$	210,674,376		$	677,830,522
Investments in affiliated issuers		—			17,824,640			7,733,180			6,668,415			56,546,925
Total Investments, at cost	$	18,693,997		$	538,483,494		$	191,826,688		$	217,342,791		$	734,377,447

(1) Including $29,535,888 and $58,932,068, respectively, of securities on loan.

(2) Identified cost of cash denominated in foreign currencies is $1,489.

(3) Commenced operations on December 30, 2011.

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

94

February 29, 2012 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Income Fund			TCH Corporate Income Fund			Aggregate Bond Fund			TCH Core Plus  Bond Fund			Monegy High Yield  Bond Fund (3)
Assets:
Investments in unaffiliated issuers, at value	$	337,750,442	(1)	$	130,511,457	(1)	$	761,187,111	(1)	$	179,866,976	(1)	$	68,304,352
Investments in affiliated issuers, at value		5,147,785			5,725,917			11,179,621			7,608,286			1,535,182
Deposit held at broker		103,395			—			—			—			—
Cash denominated in foreign currencies		—			—			—			—			127,431	(2)
Dividends and interest receivable		779,674			1,389,185			3,070,147			1,416,993			1,287,778
Receivable for investments sold		93,534,729			1,013,373			85,494,223			—			463,712
Receivable for capital stock sold		157,363			589,692			729,730			220,079			226,099
Prepaid expenses		20,572			25,915			21,120			21,071			30,185
Other receivables		7,532			4,322			30,661			6,459			—
Total assets		437,501,492			139,259,861			861,712,613			189,139,864			71,974,739
Liabilities:
Payable for capital stock redeemed		106,585			7,437			262,836			75,560			6,004
Payable for investments purchased		145,796,053			5,143,488			111,219,186			6,297,891			1,709,368
Payable for return of securities lending collateral		65,826,610			19,276,821			213,603,776			35,561,379			—
Payable for daily variation margin		18,063			—			—			—			—
Payable on forward foreign currency contracts		—			—			—			—			38,976
Payable for income distribution		136,737			87,162			152,903			20,508			16,225
Payable to affiliates (Note 5)		117,009			37,093			256,822			57,536			29,620
Other liabilities		100,055			25,266			57,001			34,333			3,889
Total liabilities		212,101,112			24,577,267			325,552,524			42,047,207			1,804,082
Total net assets	$	225,400,380		$	114,682,594		$	536,160,089		$	147,092,657		$	70,170,657
Net assets consist of:
Paid-in capital	$	221,057,713		$	106,238,634		$	521,018,868		$	137,025,879		$	68,569,462
Net unrealized appreciation on investments, futures contracts and foreign currency translation		2,346,108			7,103,454			12,761,445			9,028,541			1,580,300
Accumulated net realized gain on investments, futures contracts and foreign currency transactions		2,620,756			1,459,625			2,674,290			1,203,466			30,908
Distributions in excess of net investment income		(624,197	)		(119,119	)		(294,514	)		(165,229	)		(10,013	)
Total net assets	$	225,400,380		$	114,682,594		$	536,160,089		$	147,092,657		$	70,170,657
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	9.66		$	12.72		$	10.95		$	11.61		$	10.26
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share	$	9.65		$	12.71		$	10.95		$	11.61		$	10.26
Net assets:
Investor class of shares	$	181,106,649		$	33,367,195		$	272,150,616		$	83,331,244		$	37,619,591
Institutional class of shares		44,293,731			81,315,399			264,009,473			63,761,413			32,551,066
Total net assets	$	225,400,380		$	114,682,594		$	536,160,089		$	147,092,657		$	70,170,657
Shares outstanding:
Investor class of shares		18,756,737			2,623,146			24,853,648			7,179,156			3,665,922
Institutional class of shares		4,590,611			6,399,498			24,116,128			5,493,769			3,173,792
Total shares outstanding		23,347,348			9,022,644			48,969,776			12,672,925			6,839,714
Investments, at cost:
Investments in unaffiliated issuers	$	335,386,008		$	123,408,003		$	748,425,666		$	170,838,435		$	66,689,000
Investments in affiliated issuers		5,147,785			5,725,917			11,179,621			7,608,286			1,535,182
Total Investments, at cost	$	340,533,793		$	129,133,920		$	759,605,287		$	178,446,721		$	68,224,182

(1) Including $63,690,331, $18,651,226, $206,671,666 and $34,407,301, respectively, of securities on loan.

(2) Identified cost of cash denominated in foreign currencies is $124,112.

(3) Commenced operations on December 30, 2011.

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

95

February 29, 2012 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Money  Market Fund		Tax-Free Money  Market Fund		Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	264,850,605	$	906,585,160	$	3,209,756,916
Investments in repurchase agreements		228,255,785		—		169,191,412
Cash		—		1,000		—
Dividends and interest receivable		44,274		787,309		1,287,338
Receivable for capital stock sold		—		—		294,141
Prepaid expenses		45,649		38,220		99,805
Total assets		493,196,313		907,411,689		3,380,629,612
Liabilities:
Payable for investments purchased		—		11,927,966		—
Payable for income distribution		3,435		138,314		318,195
Payable to affiliates (Note 5)		35,050		159,744		715,362
Other liabilities		42,830		53,639		152,763
Total liabilities		81,315		12,279,663		1,186,320
Total net assets	$	493,114,998	$	895,132,026	$	3,379,443,292
Net assets consist of:
Paid-in capital	$	493,114,918	$	895,131,178	$	3,379,584,964
Accumulated net realized gain (loss) on investments		80		795		(141,672	)
Undistributed net investment income		—		53		—
Total net assets	$	493,114,998	$	895,132,026	$	3,379,443,292
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00	$	1.00	$	1.00
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00	$	1.00	$	1.00
Net assets:
Investor class of shares	$	146,969,856	$	244,766,807	$	1,381,198,446
Institutional class of shares		346,145,142		650,365,219		1,998,244,846
Total net assets	$	493,114,998	$	895,132,026	$	3,379,443,292
Shares outstanding:
Investor class of shares		146,970,100		244,760,489		1,381,420,353
Institutional class of shares		346,144,818		650,369,535		1,998,322,355
Total shares outstanding		493,114,918		895,130,024		3,379,742,708
Investments, at cost:
Investments in unaffiliated issuers	$	493,106,390	$	906,585,160	$	3,378,948,328
Total Investments, at cost	$	493,106,390	$	906,585,160	$	3,378,948,328

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

96

February 29, 2012 (Unaudited)

Statements of Operations BMO Funds

	Large-Cap Value Fund			Dividend Income Fund (2)			Large-Cap Growth Fund			Large-Cap Focus Fund			Mid-Cap Value Fund
Investment income:
Dividend income, unaffiliated issuers	$	1,717,341		$	265,221		$	1,161,238	(1)	$	307,483	(1)	$	2,082,084	(1)
Dividend income, affiliated issuers		3,646			1,880			5,952			3,883			6,300
Interest income		476			—			515			273			535
Securities lending income		28,974			—			46,233			7,984			52,320
Total income		1,750,437			267,101			1,213,938			319,623			2,141,239
Expenses:
Investment advisory fees (Note 5)		533,687			41,167			666,433			131,196			868,608
Shareholder service fees (Note 5)		85,043			6,573			101,946			30,040			157,854
Administrative fees (Note 5)		65,821			7,616			82,193			24,271			107,128
Portfolio accounting fees		33,205			6,258			37,911			19,133			45,618
Recordkeeping fees		40,199			5,020			50,102			9,669			48,615
Custodian fees (Note 5)		14,232			1,647			17,772			5,248			23,162
Registration fees		17,651			5,315			17,469			14,287			20,073
Professional fees		14,519			4,469			14,519			14,519			14,519
Printing and postage		11,926			753			14,645			3,813			16,582
Directors’ fees		8,854			2,652			8,854			8,854			8,854
Insurance premiums		1,006			63			954			18			1,368
Miscellaneous		4,352			1,255			4,352			4,910			4,352
Total expenses		830,495			82,788			1,017,150			265,958			1,316,733
Deduct (Note 5):
Expense waivers		(40,986	)		(22,698	)		(35,512	)		(65,364	)		(24,923	)
Net expenses		789,509			60,090			981,638			200,594			1,291,810
Net investment income		960,928			207,011			232,300			119,029			849,429
Net realized and unrealized gain on investments and options:
Net realized gain (loss) on investment transactions		24,205,235			83,803			21,583,132			(482,265	)		5,773,056
Net realized loss on options		(25,232	)		—			—			—			(289,395	)
Net change in unrealized appreciation (depreciation) on investments		(8,690,386	)		2,086,315			1,233,544			6,944,682			18,994,577
Net realized and unrealized gain on investments and options		15,489,617			2,170,118			22,816,676			6,462,417			24,478,238
Change in net assets resulting from operations	$	16,450,545		$	2,377,129		$	23,048,976		$	6,581,446		$	25,327,667

(1) Net of foreign taxes withheld of $5,618, $179 and $2,573, respectively.

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

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

97

February 29, 2012 (Unaudited)

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Growth Fund			Pyrford International Stock Fund (3)			Lloyd George Emerging Markets Equity Fund
Investment income:
Dividend income, unaffiliated issuers	$	761,615		$	145,226		$	962,875	(1)	$	392,989	(1)	$	437,746	(1)
Dividend income, affiliated issuers		3,607			1,015			12,355			—			—
Interest income		268			66			470			—			78
Securities lending income		78,032			13,371			380,280			—			—
Total income		843,522			159,678			1,355,980			392,989			437,824
Expenses:
Investment advisory fees (Note 5)		915,478			96,095			2,642,046			121,959			225,316
Shareholder service fees (Note 5)		113,501			28,032			420,422			13,749			14,641
Administrative fees (Note 5)		112,847			11,852			233,008			14,101			21,692
Portfolio accounting fees		47,677			15,980			81,964			13,529			10,084
Recordkeeping fees		40,053			9,430			93,099			5,020			10,462
Custodian fees (Note 5)		24,331			2,562			38,852			28,631			158,249
Registration fees		23,325			23,528			29,490			5,313			16,239
Professional fees		14,519			14,519			14,519			4,469			14,519
Printing and postage		11,937			3,953			29,269			753			9,915
Directors’ fees		8,854			8,854			8,854			2,652			8,854
Insurance premiums		1,228			248			2,153			63			364
Miscellaneous		4,352			4,601			4,601			1,255			4,399
Total expenses		1,318,102			219,654			3,598,277			211,494			494,734
Deduct (Note 5):
Expense waivers		(4,069	)		(64,776	)		(50,294	)		(47,452	)		(195,511	)
Net expenses		1,314,033			154,878			3,547,983			164,042			299,223
Net investment income (loss)		(470,511	)		4,800			(2,192,003	)		228,947			138,601
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain (loss) on investment transactions		14,566,681			(854,832	)		24,524,772			(71,172	)		4,419,454	(2)
Net realized loss on foreign currency transactions		—			—			—			(12,460	)		(56,346	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		20,734,211			3,369,660			67,263,378			4,749,561			(4,516,397	)
Net realized and unrealized gain (loss) on investments and foreign currency		35,300,892			2,514,828			91,788,150			4,665,929			(153,289	)
Net increase (decrease) in net assets resulting from operations	$	34,830,381		$	2,519,628		$	89,596,147		$	4,894,876		$	(14,688	)

(1) Net of foreign taxes withheld of $11,325, $36,490 and $30,757, respectively.

(2) Net of foreign taxes withheld of $80,355.

(3) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

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

98

February 29, 2012 (Unaudited)

Statements of Operations BMO Funds

	Pyrford Global Strategic Return Fund (2)			Ultra  Short Tax-Free Fund			Short-Term Income Fund			Short- Intermediate Bond Fund			Intermediate Tax-Free Fund
Investment income:
Dividend income, unaffiliated issuers	$	11,092	(1)	$	—		$	134,325		$	—		$	—
Dividend income, affiliated issuers		—			33,872			9,128			5,275			43,112
Interest income		32,265			4,253,672			1,952,613			2,080,246			12,066,757
Securities lending income		—			—			21,359			47,379			—
Total income		43,357			4,287,544			2,117,425			2,132,900			12,109,869
Expenses:
Investment advisory fees (Note 5)		20,299			472,684			155,225			313,133			940,784
Shareholder service fees (Note 5)		3,645			75,097			88,324			67,750			568,750
Administrative fees (Note 5)		2,347			210,193			71,792			72,412			274,004
Portfolio accounting fees		17,370			106,637			43,827			37,794			128,739
Recordkeeping fees		5,020			10,819			29,480			31,986			61,939
Custodian fees (Note 5)		24,790			36,080			15,522			15,657			44,101
Registration fees		5,313			26,902			22,289			19,165			46,355
Professional fees		4,469			14,519			14,519			14,519			14,519
Printing and postage		753			3,150			3,855			5,352			11,220
Directors’ fees		2,652			8,854			8,854			8,854			8,854
Insurance premiums		63			1,827			757			1,052			2,431
Miscellaneous		1,255			5,020			4,352			4,351			4,783
Total expenses		87,976			971,782			458,796			592,025			2,106,479
Deduct (Note 5):
Expense waivers		(59,149	)		(187,235	)		(98,828	)		(93,718	)		(455,000	)
Net expenses		28,827			784,547			359,968			498,307			1,651,479
Net investment income		14,530			3,502,997			1,757,457			1,634,593			10,458,390
Net realized and unrealized gain on investments, futures contracts and foreign currency:
Net realized gain (loss) on investment transactions		(889	)		28,858			566,565			1,767,071			2,643,341
Net realized loss on foreign currency transactions		(18,399	)		—			—			—			—
Net realized loss on futures contracts		—			—			—			—			(13,291	)
Net change in unrealized appreciation on investments and foreign currency translation		368,835			592,321			1,054,258			1,536,690			20,956,592
Net realized and unrealized gain on investments, futures contracts and foreign currency		349,547			621,179			1,620,823			3,303,761			23,586,642
Change in net assets resulting from operations	$	364,077		$	4,124,176		$	3,378,280		$	4,938,354		$	34,045,032

(1) Net of foreign taxes withheld of $856.

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

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

99

February 29, 2012 (Unaudited)

Statements of Operations BMO Funds

	Government Income Fund			TCH Corporate Income Fund			Aggregate Bond Fund			TCH Core Plus Bond Fund		Monegy High Yield Bond Fund (1)
Investment income:
Dividend income, unaffiliated issuers	$	—		$	—		$	—		$	—	$	28,203
Dividend income, affiliated issuers		579			5,278			24,506			5,384		2,975
Interest income		3,443,257			2,298,284			7,067,367			2,566,555		492,014
Securities lending income		35,911			15,376			143,739			17,795		—
Total income		3,479,747			2,318,938			7,235,612			2,589,734		523,192
Expenses:
Investment advisory fees (Note 5)		486,191			122,782			980,454			150,259		46,021
Shareholder service fees (Note 5)		246,224			26,053			306,173			85,273		12,172
Administrative fees (Note 5)		112,409			45,429			217,564			55,596		8,514
Portfolio accounting fees		54,112			32,727			84,130			37,215		6,550
Recordkeeping fees		70,615			15,888			16,608			9,966		5,020
Custodian fees (Note 5)		24,280			9,822			36,952			12,021		1,841
Registration fees		20,289			19,062			20,305			14,853		5,316
Professional fees		14,519			14,519			14,519			14,519		4,469
Printing and postage		25,238			1,882			11,153			8,718		753
Directors’ fees		8,854			8,854			8,854			8,854		2,652
Insurance premiums		2,331			407			1,867			451		63
Miscellaneous		4,601			4,654			4,432			5,163		1,255
Total expenses		1,069,663			302,079			1,703,011			402,888		94,626
Deduct (Note 5):
Expense waivers		(154,927	)		(6,252	)		(48,204	)		—		(22,626	)
Net expenses		914,736			295,827			1,654,807			402,888		72,000
Net investment income		2,565,011			2,023,111			5,580,805			2,186,846		451,192
Net realized and unrealized gain on investments, futures contracts and foreign currency:
Net realized gain on investment transactions		3,211,405			1,871,191			8,584,217			1,360,882		20,895
Net realized gain on foreign currency transactions		—			—			—			—		10,013
Net realized loss on futures contracts		(91,341	)		—			—			—		—
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translation		(1,861,166	)		2,179,698			2,657,734			2,196,751		1,580,300
Net realized and unrealized gain on investments, futures contracts and foreign currency		1,258,898			4,050,889			11,241,951			3,557,633		1,611,208
Change in net assets resulting from operations	$	3,823,909		$	6,074,000		$	16,822,756		$	5,744,479	$	2,062,400

(1) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

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

100

February 29, 2012 (Unaudited)

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund
Investment income:
Dividend income, unaffiliated issuers	$	—		$	1,647		$	183,453
Interest income		373,048			2,025,660			6,209,407
Total income		373,048			2,027,307			6,392,860
Expenses:
Investment advisory fees (Note 5)		513,542			860,612			2,501,465
Shareholder service fees (Note 5)		269,135			293,489			1,745,252	(1)
Administrative fees (Note 5)		85,205			142,835			578,244
Portfolio accounting fees		55,203			78,960			182,100
Recordkeeping fees		13,806			13,761			56,879
Custodian fees (Note 5)		38,109			55,462			186,675
Registration fees		30,218			32,904			52,999
Professional fees		14,519			14,519			14,519
Printing and postage		4,177			7,935			23,030
Directors’ fees		8,854			8,854			8,854
Insurance premiums		3,938			5,569			20,599
Distribution services fees (Note 5):
Advisor class of shares		—			—			57,929	(1)
Miscellaneous		12,482			8,702			23,651
Total expenses		1,049,188			1,523,602			5,452,196
Deduct (Note 5):
Expense waivers		(701,948	)		(384,958	)		(844,173	)
Net expenses		347,240			1,138,644			4,608,023
Net investment income		25,808			888,663			1,784,837
Net realized and unrealized gain on investments:
Net realized gain on investment transactions		80			7,999			15,961
Net realized and unrealized gain on investments		80			7,999			15,961
Change in net assets resulting from operations	$	25,888		$	896,662		$	1,800,798

(1) Reflects $48,274 and $57,929 in Advisor class shareholder service fees and distribution services, respectively, for the period from September 1, 2011, to December 19, 2011 (termination of Advisor class of shares).

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

101

Statements of Changes in Net Assets

	Large-Cap Value Fund						Dividend Income Fund			Large-Cap Growth Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(2) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Increase (decrease) in net assets
Operations:
Net investment income (loss)	$	960,928		$	1,619,796		$	207,011		$	232,300		$	8,335
Net realized gain (loss) on investments		24,205,235			11,834,219			83,803			21,583,132			19,594,301
Net realized gain (loss) on options		(25,232	)		234,187			—			—			—
Net change in unrealized appreciation (depreciation) on investments		(8,690,386	)		16,086,191			2,086,315			1,233,544			14,226,224
Change in net assets resulting from operations		16,450,545			29,774,393			2,377,129			23,048,976			33,828,860
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(641,720	)		(458,966	)		—			—			(53,021	)
Advisor class of shares		—			(13,552	)(1)		—			—			—
Institutional class of shares		(913,476	)		(591,867	)		—			—			(368,521	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			—
Institutional class of shares		—			—			—			—			—
Change in net assets resulting from distributions to shareholders		(1,555,196	)		(1,064,385	)		—			—			(421,542	)
Capital stock transactions:
Proceeds from sale of shares		7,301,010			37,073,195			54,039,244			6,414,095			34,926,205
Net asset value of shares issued to shareholders in payment of distributions declared		1,341,305			899,058			—			—			357,848
Cost of shares redeemed		(23,876,711	)		(87,743,359	)		(423,675	)		(35,884,941	)		(41,404,671	)
Redemption fees		6,608			5,536			—			5,812			3,420
Change in net assets resulting from capital stock transactions		(15,227,788	)		(49,765,570	)		53,615,569			(29,465,034	)		(6,117,198	)
Change in net assets		(332,439	)		(21,055,562	)		55,992,698			(6,416,058	)		27,290,120
Net assets:
Beginning of period		146,722,434			167,777,996			—			184,106,444			156,816,324
End of period	$	146,389,995		$	146,722,434		$	55,992,698		$	177,690,386		$	184,106,444
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	162,452		$	756,720		$	207,011		$	232,300		$	—

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

(3) Reflects operations for the period from March 1, 2011 (commencement of operations) to August 31, 2011.

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

102

BMO Funds

Large-Cap Focus Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011(3)
$	119,029		$	205,588		$	849,429		$	1,553,345		$	(470,511	)	$	(12,971	)	$	4,800		$	(24,535	)
	(482,265	)		176,511			5,773,056			21,248,266			14,566,681			31,682,442			(854,832	)		(63,297	)
	—			—			(289,395	)		—			—			—			—			—
	6,944,682			798,857			18,994,577			15,413,330			20,734,211			12,375,207			3,369,660			(1,973,666	)
	6,581,446			1,180,956			25,327,667			38,214,941			34,830,381			44,044,678			2,519,628			(2,061,498	)
	(76,089	)		(7,094	)		(555,419	)		(687,246	)		—			—			—			—
	—			—			—			—			—			—			—			—
	(159,261	)		(24,997	)		(780,495	)		(785,419	)		—			—			—			—
	(148,820	)		—			—			—			—			—			—			—
	(175,056	)		—			—			—			—			—			—			—
	(559,226	)		(32,091	)		(1,335,914	)		(1,472,665	)		—			—			—			—
	3,177,950			65,196,216			11,744,618			58,081,551			12,825,794			79,829,949			4,182,533			31,152,617
	557,714			32,065			1,118,439			1,240,397			—			—			—			—
	(12,984,900	)		(11,509,416	)		(28,265,391	)		(83,190,526	)		(50,706,186	)		(72,958,688	)		(2,169,784	)		(4,145,472	)
	1,686			9,868			5,233			17,089			9,988			6,420			838			—
	(9,247,550	)		53,728,733			(15,397,101	)		(23,851,489	)		(37,870,404	)		6,877,681			2,013,587			27,007,145
	(3,225,330	)		54,877,598			8,594,652			12,890,787			(3,040,023	)		50,922,359			4,533,215			24,945,647
	54,877,598			—			239,633,745			226,742,958			254,449,943			203,527,584			24,945,647			—
$	51,652,268		$	54,877,598		$	248,228,397		$	239,633,745		$	251,409,920		$	254,449,943		$	29,478,862		$	24,945,647
$	62,761		$	179,082		$	70,276		$	556,761		$	(470,511	)	$	—		$	4,800		$	—

103

Statements of Changes in Net Assets

	Small-Cap Growth Fund						Pyrford International Stock Fund			Lloyd George Emerging Markets Equity Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(2) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Increase (decrease) in net assets
Operations:
Net investment income (loss)	$	(2,192,003	)	$	(4,033,559	)	$	228,947		$	138,601		$	551,325
Net realized gain (loss) on investments		24,524,772			58,291,035			(71,172	)		4,419,454			5,080,692
Net realized loss on foreign currency contracts		—			—			(12,460	)		(56,346	)		(9,783	)
Net realized loss on futures contracts		—			—			—			—			—
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translation		67,263,378			15,814,744			4,749,561			(4,516,397	)		(2,863,093	)
Change in net assets resulting from operations		89,596,147			70,072,220			4,894,876			(14,688	)		2,759,141
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			(288,688	)		(385,785	)
Advisor class of shares		—			—			—			—			—
Institutional class of shares		—			—			—			(1,030,495	)		(1,408,143	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(20,355,601	)		—			—			(668,992	)		(725,811	)
Institutional class of shares		(11,467,857	)		—			—			(2,108,739	)		(2,475,979	)
Change in net assets resulting from distributions to shareholders		(31,823,458	)		—			—			(4,096,914	)		(4,995,718	)
Capital stock transactions:
Proceeds from sale of shares		80,388,626			332,975,783			97,332,702			15,100,522			13,317,808
Net asset value of shares issued to shareholders in payment of distributions declared		30,122,984			—			—			4,049,326			4,895,749
Cost of shares redeemed		(100,450,310	)		(225,813,864	)		(1,320,614	)		(4,543,917	)		(27,553,764	)
Redemption fees		85,685			75,634			798			683			670
Change in net assets resulting from capital stock transactions		10,146,985			107,237,553			96,012,886			14,606,614			(9,339,537	)
Change in net assets		67,919,674			177,309,773			100,907,762			10,495,012			(11,576,114	)
Net assets:
Beginning of period		528,855,175			351,545,402			—			48,917,121			60,493,235
End of period	$	596,774,849		$	528,855,175		$	100,907,762		$	59,412,133		$	48,917,121
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(2,192,003	)	$	—		$	228,947		$	(891,180	)	$	289,402

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

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

104

BMO Funds

Pyrford Global Strategic Return Fund			Ultra Short Tax-Free Fund						Short-Term Income Fund						Short-Intermediate Bond Fund
Six Months Ended February 29, 2012(2) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
$	14,530		$	3,502,997		$	5,523,704		$	1,757,457		$	3,468,750		$	1,634,593		$	3,238,693
	(889	)		28,858			139,649			566,565			22,595			1,767,071			797,285
	(18,399	)		—			—			—			—			—			—
	—			—			(15,629	)		—			—			—			—
	368,835			592,321			(606,557	)		1,054,258			(231,536	)		1,536,690			2,546,877
	364,077			4,124,176			5,041,167			3,378,280			3,259,809			4,938,354			6,582,855
	—			(379,131	)		(678,289	)		(774,828	)		(1,351,289	)		(552,892	)		(997,738	)
	—			—			—			—			(26,818	)(1)		—			(20,354	)(1)
	—			(3,123,866	)		(4,845,415	)		(1,029,009	)		(1,704,534	)		(1,174,531	)		(2,077,200	)
	—			(1,151	)		(7,189	)		—			—			—			—
	—			(8,393	)		(43,559	)		—			—			—			—
	—			(3,512,541	)		(5,574,452	)		(1,803,837	)		(3,082,641	)		(1,727,423	)		(3,095,292	)
	19,986,957			217,644,354			359,594,924			29,268,376			85,224,333			13,429,555			25,844,448
	—			810,336			1,408,135			1,055,104			1,700,975			1,288,588			2,275,372
	(121,876	)		(96,714,735	)		(243,246,122	)		(21,149,371	)		(64,700,039	)		(14,296,875	)		(54,827,581	)
	10			49,843			77,070			29,152			30,809			3,625			15,010
	19,865,091			121,789,798			117,834,007			9,203,261			22,256,078			424,893			(26,692,751	)
	20,229,168			122,401,433			117,300,722			10,777,704			22,433,246			3,635,824			(23,205,188	)
	—			423,609,364			306,308,642			151,473,477			129,040,231			156,757,713			179,962,901
$	20,229,168		$	546,010,797		$	423,609,364		$	162,251,181		$	151,473,477		$	160,393,537		$	156,757,713
$	14,530		$	(1,555	)	$	(1,555	)	$	86,395		$	132,775		$	77,462		$	170,292

105

Statements of Changes in Net Assets

	Intermediate Tax-Free Fund						Government Income Fund						TCH Corporate Income Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Increase (decrease) in net assets
Operations:
Net investment income	$	10,458,390		$	15,768,406		$	2,565,011		$	6,571,022		$	2,023,111		$	3,140,025
Net realized gain on investments		2,643,341			829,116			3,211,405			12,898,480			1,871,191			1,030,668
Net realized gain on foreign currency contracts		—			—			—			—			—			—
Net realized loss on futures contracts		(13,291	)		(735,137	)		(91,341	)		—			—			—
Net change in unrealized appreciation (depreciation) on investments, futures contracts and foreign currency translation		20,956,592			(3,477,646	)		(1,861,166	)		(7,005,354	)		2,179,698			(6,844	)
Change in net assets resulting from operations		34,045,032			12,384,739			3,823,909			12,464,148			6,074,000			4,163,849
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(7,480,798	)		(12,251,828	)		(2,670,553	)		(4,716,937	)		(436,301	)		(719,639	)
Advisor class of shares		—			—			—			(28,678	)(1)		—			(19,418	)(1)
Institutional class of shares		(2,977,592	)		(3,516,578	)(3)		(684,014	)		(1,778,797	)		(1,703,657	)		(2,549,966	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(369,197	)		(1,224,322	)		(8,279,241	)		(7,440,967	)		(193,242	)		(445,673	)
Institutional class of shares		(143,741	)		—			(1,873,815	)		(3,211,556	)		(749,692	)		(1,180,761	)
Change in net assets resulting from distributions to shareholders		(10,971,328	)		(16,992,728	)		(13,507,623	)		(17,176,935	)		(3,082,892	)		(4,915,457	)
Capital stock transactions:
Proceeds from sale of shares		233,397,332			479,393,400			18,215,481			39,580,323			22,583,739			34,962,292
Net asset value of shares issued to shareholders in payment of distributions declared		6,691,271			9,959,035			11,788,557			14,673,268			2,563,548			4,378,777
Cost of shares redeemed		(58,483,013	)		(356,127,826	)		(46,694,557	)		(191,452,462	)		(7,268,608	)		(14,545,981	)
Redemption fees		37,136			67,889			9,716			19,993			7,703			16,675
Change in net assets resulting from capital stock transactions		181,642,726			133,292,498			(16,680,803	)		(137,178,878	)		17,886,382			24,811,763
Change in net assets		204,716,430			128,684,509			(26,364,517	)		(141,891,665	)		20,877,490			24,060,155
Net assets:
Beginning of period		551,488,897			422,804,388			251,764,897			393,656,562			93,805,104			69,744,949
End of period	$	756,205,327		$	551,488,897		$	225,400,380		$	251,764,897		$	114,682,594		$	93,805,104
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	182,492		$	182,492		$	(624,197	)	$	165,359		$	(119,119	)	$	(2,272	)

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

(3) Reflects operations for the period from December 28, 2010 (commencement of operations) to August 31, 2011.

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

106

BMO Funds

Aggregate Bond Fund						TCH Core Plus Bond Fund						Monegy High Yield Bond Fund			Government Money Market Fund
Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(2) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
$	5,580,805		$	7,957,676		$	2,186,846		$	3,559,830		$	451,192		$	25,808		$	149,314
	8,584,217			9,301,817			1,360,882			1,078,917			20,895			80			94
	—			—			—			—			10,013			—			—
	—			—			—			—			—			—			—
	2,657,734			628,060			2,196,751			676,663			1,580,300			—			—
	16,822,756			17,887,553			5,744,479			5,315,410			2,062,400			25,888			149,408
	(2,789,073	)		(3,392,388	)		(1,297,653	)		(1,955,431	)		(242,441	)		(10,789	)		(22,849	)
	—			(10,348	)(1)		—			—			—			—			—
	(3,097,816	)		(4,439,397	)		(1,052,149	)		(1,760,085	)		(218,764	)		(15,019	)		(126,465	)
	(5,736,192	)		(6,037,464	)		(484,032	)		(817,182	)		—			—			(30	)
	(5,647,146	)		(7,148,125	)		(357,603	)		(776,479	)		—			—			(64	)
	(17,270,227	)		(21,027,722	)		(3,191,437	)		(5,309,177	)		(461,205	)		(25,808	)		(149,408	)
	82,657,817			212,334,484			37,925,592			42,758,412			68,483,350			1,672,167,285			5,110,711,968
	16,332,161			19,576,144			3,077,127			5,110,252			439,711			6,912			40,352
	(31,805,502	)		(74,618,787	)		(5,985,435	)		(13,986,481	)		(353,599	)		(1,679,468,484	)		(5,277,980,800	)
	30,858			5,002			3,699			3,680			—			—			—
	67,215,334			157,296,843			35,020,983			33,885,863			68,569,462			(7,294,287	)		(167,228,480	)
	66,767,863			154,156,674			37,574,025			33,892,096			70,170,657			(7,294,207	)		(167,228,480	)
	469,392,226			315,235,552			109,518,632			75,626,536			—			500,409,205			667,637,685
$	536,160,089		$	469,392,226		$	147,092,657		$	109,518,632		$	70,170,657		$	493,114,998		$	500,409,205
$	(294,514	)	$	11,570		$	(165,229	)	$	(2,273	)	$	(10,013	)	$	—		$	—

107

Statements of Changes in Net Assets BMO Funds

	Tax-Free Money Market Fund						Prime Money Market Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Increase (decrease) in net assets
Operations:
Net investment income	$	888,663		$	2,161,718		$	1,784,837		$	4,265,991
Net realized gain on investments		7,999			104,695			15,961			163,048
Change in net assets resulting from operations		896,662			2,266,413			1,800,798			4,429,039
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(39,743	)		(159,815	)		(59,237	)		(165,239	)
Advisor class of shares		—			—			(784	)(1)		(6,517	)
Institutional class of shares		(848,920	)		(2,001,903	)		(1,770,928	)		(4,094,235	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(1,902	)		(31,369	)		(62,223	)		—
Advisor class of shares		—			—			(1,577	)(1)		—
Institutional class of shares		(5,302	)		(73,326	)		(93,833	)		—
Change in net assets resulting from distributions to shareholders		(895,867	)		(2,266,413	)		(1,988,582	)		(4,265,991	)
Capital stock transactions:
Proceeds from sale of shares		1,275,404,266			2,331,341,990			4,928,903,872			12,983,614,054
Net asset value of shares issued to shareholders in payment of distributions declared		100,684			268,014			237,256			716,309
Cost of shares redeemed		(1,238,141,551	)		(2,380,977,415	)		(5,181,415,208	)		(12,910,474,846	)
Change in net assets resulting from capital stock transactions		37,363,399			(49,367,411	)		(252,274,080	)		73,855,517
Change in net assets		37,364,194			(49,367,411	)		(252,461,864	)		74,018,565
Net assets:
Beginning of period		857,767,832			907,135,243			3,631,905,156			3,557,886,591
End of period	$	895,132,026		$	857,767,832		$	3,379,443,292		$	3,631,905,156
Undistributed net investment income included in net assets at end of period	$	53		$	53		$	—		$	46,112

(1) Reflects operations for the period from September 1, 2011 to December 19, 2011 (termination of Advisor class of shares).

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

108

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions			Total from investment operations			Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets(5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																										Net Expenses(2)			Expense waiver(2)			Net investment income (loss)(2)
Large-Cap Value Fund
2012(3)(14)	$	10.62	$	0.07		$	1.21		$	1.28		$	(0.10	)	$	—		$	(0.10	)	$	11.80		12.14	%		1.24	%		0.06	%		1.22	%	$	73,678		90	%
2011(3)		9.27		0.09			1.31			1.40			(0.05	)		—			(0.05	)		10.62		15.15			1.24			0.05			0.78			67,845		55
2010(3)		9.42		0.09			(0.12	)		(0.03	)		(0.12	)		—			(0.12	)		9.27		(0.42	)		1.27			0.06			0.85			73,579		82
2009(3)		12.07		0.16			(2.64	)		(2.48	)		(0.17	)		(0.00	)		(0.17	)		9.42		(20.50	)		1.33			—			1.80			80,537		73
2008(3)		14.30		0.18			(1.58	)		(1.40	)		(0.14	)		(0.69	)		(0.83	)		12.07		(10.48	)		1.24			—			1.11			103,979		40
2007(3)		13.94		0.18			1.55			1.73			(0.18	)		(1.19	)		(1.37	)		14.30		12.89			1.22			0.01			1.26			329,192		43
Dividend Income Fund
2012(3)(12)		10.00		0.03			0.45			0.48			—			—			—			10.48		4.80			0.90			0.27			2.38			19,828		12
Large-Cap Growth Fund
2012(3)(14)		11.97		0.01			1.65			1.66			—			—			—			13.63		13.87			1.24			0.04			0.13			89,034		122
2011(3)		9.90		(0.02	)		2.10			2.08			(0.01	)		—			(0.01	)		11.97		20.99			1.24			0.05			(0.14	)		80,508		113
2010(3)		9.64		(0.01	)		0.29			0.28			(0.02	)		—			(0.02	)		9.90		2.94			1.28			0.07			(0.07	)		60,125		121
2009(3)		11.82		0.03			(2.20	)		(2.17	)		(0.01	)		—			(0.01	)		9.64		(18.34	)		1.39			—			0.38			55,665		142
2008(3)		13.73		(0.03	)		(0.73	)		(0.76	)		(0.01	)		(1.14	)		(1.15	)		11.82		(6.62	)		1.27			—			(0.10	)		74,507		122
2007(3)		12.16		0.01			1.99			2.00			0.00			(0.43	)		(0.43	)		13.73		16.68			1.27			0.01			0.09			246,811		75
Large-Cap Focus Fund
2012(3)(14)		11.16		0.02			1.50			1.52			(0.03	)		(0.07	)		(0.10	)		12.58		13.72			0.90			0.25			0.32			24,478		16
2011(3)(10)		10.00		0.03			1.14			1.17			(0.01	)		—			(0.01	)		11.16		11.65			0.90			0.32			0.26			24,253		82
Mid-Cap Value Fund
2012(3)(14)		11.93		0.02			1.30			1.32			(0.05	)		—			(0.05	)		13.20		11.13			1.23			0.02			0.62			136,816		19
2011(3)		10.30		0.06			1.63			1.69			(0.06	)		—			(0.06	)		11.93		16.35			1.24			0.02			0.47			131,209		37
2010(3)		9.63		0.04			0.69			0.73			(0.06	)		—			(0.06	)		10.30		7.62			1.27			0.04			0.38			121,288		58
2009(3)		12.15		0.06			(2.01	)		(1.95	)		(0.02	)		(0.55	)		(0.57	)		9.63		(14.74	)		1.37			—			0.64			122,051		63
2008(3)		15.63		0.06			(1.49	)		(1.43	)		(0.06	)		(1.99	)		(2.05	)		12.15		(10.27	)		1.24			—			0.35			166,722		41
2007(3)		15.08		0.06			1.94			2.00			(0.07	)		(1.38	)		(1.45	)		15.63		13.52			1.21			0.01			0.37			572,444		62
Mid-Cap Growth Fund
2012(3)(14)		17.78		(0.05	)		2.76			2.71			—			—			—			20.49		15.24			1.23			0.00	(6)		(0.54	)		97,551		37
2011(3)		14.42		(0.04	)		3.40			3.36			—			—			—			17.78		23.30			1.23			0.00	(6)		(0.21	)		92,911		79
2010(3)		12.62		(0.08	)		1.88			1.80			—			—			—			14.42		14.26			1.26			0.04			(0.58	)		63,584		133
2009(3)		17.10		(0.01	)		(3.87	)		(3.88	)		—			(0.60	)		(0.60	)		12.62		(21.96	)		1.35			—			(0.07	)		53,443		224
2008(3)		17.46		(0.30	)		(0.06	)		(0.36	)		—			—			—			17.10		(2.06	)		1.26			—			(0.58	)		71,086		186
2007(3)		14.43		(0.10	)		3.13			3.03			—			—			—			17.46		21.00			1.27			0.01			(0.61	)		222,095		169
Small-Cap Value Fund
2012(3)(14)		9.25		0.00			0.87			0.87			—			—			—			10.12		9.41			1.24			0.51			0.01			25,091		26
2011(3)(11)		10.00		(0.01	)		(0.74	)		(0.75	)		—			—			—			9.25		(7.50	)		1.24			0.57			(0.21	)		22,132		21
Small-Cap Growth Fund
2012(3)(14)		17.49		(0.08	)		3.05			2.97			—			(1.11	)		(1.11	)		19.35		17.67			1.43			0.02			(0.92	)		381,282		52
2011(3)		14.03		(0.14	)		3.60			3.46			—			—			—			17.49		24.66			1.44			0.02			(0.90	)		335,200		101
2010(3)		11.92		(0.15	)		2.26			2.11			—			—			—			14.03		17.70			1.47			0.07			(1.18	)		163,225		153
2009(3)		14.19		(0.02	)		(2.25	)		(2.27	)		—			—			—			11.92		(16.00	)		1.60			—			(0.18	)		102,186		233
2008(3)		19.01		(0.22	)		(1.27	)		(1.49	)		—			(3.33	)		(3.33	)		14.19		(10.37	)		1.51			—			(0.92	)		144,938		174
2007(3)		16.44		(0.15	)		4.05			3.90			—			(1.33	)		(1.33	)		19.01		24.73			1.53			0.01			(0.91	)		255,894		176
Pyrford International Stock Fund
2012(3)(12)		10.00		0.02			0.51			0.53			—			—			—			10.53		5.30			1.24			0.31			1.40			36,129		2

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

109

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions			Total from investment operations			Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets(5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																									Net Expenses(2)			Expense waiver(2)			Net investment income (loss)(2)
Lloyd George Emerging Markets Equity Fund
2012(3)(14)	$	15.81	$	0.14	$	(0.59	)	$	(0.45	)	$	(0.40	)	$	(0.92	)	$	(1.32	)	$	14.04		(2.40	)%		1.46	%		0.82	%		0.43	%	$	16,136		84	%
2011(3)		16.17		0.08		0.86			0.94			(0.45	)		(0.85	)		(1.30	)		15.81		5.08			1.50			0.37			0.67			11,753		34
2010(3)		14.45		0.03		2.37			2.40			(0.16	)		(0.52	)		(0.68	)		16.17		16.63			1.50			0.51			0.28			12,856		30
2009(3)(8)		10.00		0.08		4.38			4.46			(0.01	)		—			(0.01	)		14.45		44.61			1.50			1.27			1.52			6,691		58
Pyrford Global Strategic Return Fund
2012(3)(12)		10.00		0.01		0.20			0.21			—			—			—			10.21		2.10			1.24			2.12			0.49			10,985		1
Ultra Short Tax-Free Fund
2012(3)(14)		10.06		0.06		0.01			0.07			(0.06	)		(0.00	)		(0.06	)		10.07		0.73			0.55			0.08			1.26			73,989		80
2011(3)		10.07		0.14		(0.01	)		0.13			(0.14	)		—			(0.14	)		10.06		1.33			0.55			0.10			1.41			55,069		148
2010(3)(9)		10.00		0.11		0.07			0.18			(0.11	)		—			(0.11	)		10.07		1.82			0.55			0.16			1.25			33,189		83
Short-Term Income Fund
2012(3)(14)		9.32		0.10		0.09			0.19			(0.10	)		—			(0.10	)		9.41		2.07			0.60			0.13			2.13			78,782		39
2011(3)		9.30		0.25		(0.00	)		0.25			(0.23	)		—			(0.23	)		9.32		2.59			0.60			0.18			2.65			64,882		114
2010(3)		8.97		0.27		0.32			0.59			(0.26	)		—			(0.26	)		9.30		6.61			0.60			0.20			2.95			52,353		50
2009(3)		8.92		0.36		0.04			0.40			(0.35	)		—			(0.35	)		8.97		4.77			0.60			0.27			4.11			29,403		49
2008(3)		9.02		0.41		(0.11	)		0.30			(0.40	)		—			(0.40	)		8.92		3.38			0.60			0.20			4.48			28,232		47
2007(3)		9.00		0.38		0.04			0.42			(0.40	)		—			(0.40	)		9.02		4.78			0.58			0.52			4.28			75,677		52
Short-Intermediate Bond Fund
2012(3)(14)		10.13		0.10		0.21			0.31			(0.10	)		—			(0.10	)		10.34		3.11			0.80			0.12			1.92			53,368		106
2011(3)		9.90		0.18		0.22			0.40			(0.17	)		—			(0.17	)		10.13		4.07			0.80			0.13			1.78			54,028		445
2010(3)		9.00		0.23		0.86			1.09			(0.19	)		—			(0.19	)		9.90		12.25			0.80			0.14			2.43			65,383		373
2009(3)		8.91		0.46		0.09			0.55			(0.46	)		—			(0.46	)		9.00		7.05			0.80			0.14			5.64			59,653		360
2008(3)		9.16		0.44		(0.26	)		0.18			(0.43	)		—			(0.43	)		8.91		1.91			0.80			0.06			4.69			95,322		293
2007(3)		9.23		0.43		(0.08	)		0.35			(0.42	)		—			(0.42	)		9.16		3.86			0.75			0.26			4.56			359,507		421
Intermediate Tax-Free Fund
2012(3)(14)		10.75		0.18		0.39			0.57			(0.18	)		(0.01	)		(0.19	)		11.13		5.32			0.53			0.20			3.28			558,891		26
2011(3)		10.87		0.36		(0.09	)		0.27			(0.36	)		(0.03	)		(0.39	)		10.75		2.65			0.55			0.33			3.44			385,220		59
2010(3)		10.28		0.38		0.61			0.99			(0.38	)		(0.02	)		(0.40	)		10.87		9.78			0.55			0.53			3.58			422,804		45
2009(3)		10.21		0.41		0.19			0.60			(0.41	)		(0.12	)		(0.53	)		10.28		6.21			0.55			0.58			4.14			141,961		92
2008(3)		9.93		0.39		0.28			0.67			(0.39	)		—			(0.39	)		10.21		6.84			0.55			0.58			3.84			89,772		196
2007(3)		10.03		0.36		(0.10	)		0.26			(0.36	)		—			(0.36	)		9.93		2.59			0.60			0.53			3.56			82,037		48
Government Income Fund
2012(3)(14)		10.04		0.10		0.06			0.16			(0.14	)		(0.40	)		(0.54	)		9.66		1.62			0.80			0.13			2.06			181,106		196
2011(3)		10.09		0.21		0.25			0.46			(0.21	)		(0.30	)		(0.51	)		10.04		4.72			0.80			0.13			2.08			204,664		717
2010(3)		9.49		0.32		0.57			0.89			(0.29	)		—			(0.29	)		10.09		9.49			0.80			0.11			3.24			274,660		383
2009(3)		9.38		0.45		0.36			0.81			(0.44	)		(0.26	)		(0.70	)		9.49		9.26			0.80			0.10			4.96			296,190		360
2008(3)		9.44		0.45		(0.07	)		0.38			(0.44	)		—			(0.44	)		9.38		4.01			0.80			0.06			4.68			367,555		284
2007(3)		9.42		0.42		0.02			0.44			(0.42	)		—			(0.42	)		9.44		4.71			0.89			0.29			4.44			550,614		686
TCH Corporate Income Fund
2012(3)(14)		12.36		0.25		0.49			0.74			(0.26	)		(0.12	)		(0.38	)		12.72		6.08			0.80			0.01			3.92			33,367		44
2011(3)		12.48		0.48		0.19			0.67			(0.51	)		(0.28	)		(0.79	)		12.36		5.60			0.80			0.08			3.95			17,542		48
2010(3)		11.57		0.50		1.00			1.50			(0.52	)		(0.07	)		(0.59	)		12.48		13.28			0.80			0.30			4.01			15,546		80
2009(3)(8)		10.00		0.34		1.57			1.91			(0.34	)		—			(0.34	)		11.57		19.44			0.80			1.04			5.07			5,570		38

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

110

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions			Total from investment operations		Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets(5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																								Net Expenses(2)			Expense waiver(2)			Net investment income (loss)(2)
Aggregate Bond Fund
2012(3)(14)	$	10.98	$	0.12	$	0.23		$	0.35	$	(0.12	)	$	(0.26	)	$	(0.38	)	$	10.95		3.28	%		0.80	%		0.02	%		2.15	%	$	272,151		136	%
2011(3)		11.14		0.21		0.23			0.44		(0.20	)		(0.40	)		(0.60	)		10.98		4.24			0.80			0.04			1.93			229,245		586
2010(3)		10.19		0.29		0.94			1.23		(0.28	)		—			(0.28	)		11.14		12.25			0.80			0.09			2.73			133,878		449
2009(3)		10.01		0.50		0.48			0.98		(0.48	)		(0.32	)		(0.80	)		10.19		11.12			0.80			0.12			5.40			76,892		445
2008(3)		10.10		0.47		(0.04	)		0.43		(0.46	)		(0.06	)		(0.52	)		10.01		4.32			0.80			0.08			4.64			79,471		333
2007(3)(7)		10.00		0.11		0.10			0.21		(0.11	)		—			(0.11	)		10.10		2.11			0.80			0.14			4.38			59,013		129
TCH Core Plus Bond Fund
2012(3)(14)		11.41		0.20		0.30			0.50		(0.22	)		(0.08	)		(0.30	)		11.61		4.47			0.78			—			3.53			83,331		35
2011(3)		11.44		0.46		0.22			0.68		(0.48	)		(0.23	)		(0.71	)		11.41		6.18			0.80			0.04			4.03			62,121		48
2010(3)		10.81		0.40		0.68			1.08		(0.44	)		(0.01	)		(0.45	)		11.44		10.19			0.80			0.17			3.58			39,776		72
2009(3)(8)		10.00		0.25		0.82			1.07		(0.26	)		—			(0.26	)		10.81		10.83			0.80			0.32			4.02			21,057		26
Monegy High Yield Bond Fund
2012(3)(12)		10.00		0.07		0.26			0.33		(0.07	)		—			(0.07	)		10.26		3.34			0.90			0.25			4.79			37,620		2
Government Money Market Fund
2012(14)		1.00		0.00		0.00			0.00		(0.00	)		—			(0.00	)		1.00		0.00	(6)		0.13			0.42			0.01			146,970		—
2011		1.00		0.00		0.00			0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.01			0.21			0.34			0.01			256,327		—
2010		1.00		0.00		—			0.00		(0.00	)		—			(0.00	)		1.00		0.01			0.28			0.26			0.01			353,637		—
2009		1.00		0.01		0.00			0.01		(0.01	)		(0.00	)		(0.01	)		1.00		0.56			0.47	(13)		0.08			0.53			476,685		—
2008		1.00		0.03		0.00			0.03		(0.03	)		(0.00	)		(0.03	)		1.00		3.19			0.45			0.10			2.91			309,487		—
2007		1.00		0.05		—			0.05		(0.05	)		—			(0.05	)		1.00		4.99			0.45			0.13			4.88			199,797		—
Tax-Free Money Market Fund
2012(14)		1.00		0.00		0.00			0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.02			0.44			0.10			0.03			244,767		—
2011		1.00		0.00		0.00			0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.07			0.44			0.10			0.06			243,833		—
2010		1.00		0.00		0.00			0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.30			0.45			0.09			0.29			299,374		—
2009		1.00		0.01		0.00			0.01		(0.01	)		(0.00	)		(0.01	)		1.00		1.42			0.48	(13)		0.08			1.40			389,143		—
2008		1.00		0.03		0.00			0.03		(0.03	)		(0.00	)		(0.03	)		1.00		2.57			0.45			0.09			2.48			424,211		—
2007		1.00		0.03		0.00			0.03		(0.03	)		(0.00	)		(0.03	)		1.00		3.33			0.45			0.13			3.28			308,414		—
Prime Money Market Fund
2012(14)		1.00		0.00		0.00			0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.01			0.36			0.10			0.01			1,381,198		—
2011		1.00		0.00		—			0.00		(0.00	)		—			(0.00	)		1.00		0.01			0.38			0.08			0.01			1,401,557		—
2010		1.00		0.00		—			0.00		(0.00	)		—			(0.00	)		1.00		0.04			0.41			0.05			0.04			1,412,771		—
2009		1.00		0.01		—			0.01		(0.01	)		—			(0.01	)		1.00		1.15			0.49	(13)		0.00	(6)		1.16			2,240,416		—
2008		1.00		0.04		—			0.04		(0.04	)		—			(0.04	)		1.00		3.65			0.45			0.01			3.65			2,524,244		—
2007		1.00		0.05		—			0.05		(0.05	)		—			(0.05	)		1.00		5.06			0.45			0.02			4.95			2,753,457		—

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

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

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

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

(5) Annualized for periods less than one year.

(6) Represents less than 0.005%.

(7) Reflects operations for the period from June 1, 2007 (commencement of operations) to August 31, 2007.

(8) Reflects operations for the period from December 23, 2008 (commencement of operations) to August 31, 2009.

(9) Reflects operations for the period from October 1, 2009 (commencement of operations) to August 31, 2010.

(10) Reflects operations for the period from September 1, 2010 (commencement of operations) to August 31, 2011.

(11) Reflects operations for the period from March 1, 2011 (commencement of operations) to August 31, 2011.

(12) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

(13) Participation fees for the Treasury's Temporary Guarantee Program in the Government Money Market Fund, Tax-Free Money Market Fund and Prime Money Market Fund amounted to 0.03%, 0.03% and 0.04%, respectively.

(14) For the six months ended February 29, 2012 (Unaudited).

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

111

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)			Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions			Total from investment operations			Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																										Net Expenses(2)			Expense waiver(2)			Net investment income (loss) (2)
Large-Cap Value Fund
2012(3)(16)	$	10.65	$	0.08		$	1.20		$	1.28		$	(0.13	)	$	—		$	(0.13	)	$	11.80		12.14	%		0.99	%		0.06	%		1.47	%	$	72,712		90	%
2011(3)		9.28		0.11			1.32			1.43			(0.06	)		—			(0.06	)		10.65		15.47			0.99			0.05			1.03			78,877		55
2010(3)		9.43		0.11			(0.11	)		0.00			(0.15	)		—			(0.15	)		9.28		(0.14	)		1.02			0.06			1.09			88,269		82
2009(3)		12.07		0.19			(2.64	)		(2.45	)		(0.19	)		(0.00	)		(0.19	)		9.43		(20.27	)		1.08			—			2.04			104,984		73
2008(3)(8)		12.99		0.10			(0.95	)		(0.85	)		(0.07	)		—			(0.07	)		12.07		(6.57	)		1.00			—			1.54			152,572		40
Dividend Income Fund
2012(3)(14)		10.00		0.04			0.45			0.49			—			—			—			10.49		4.90			0.65			0.27			2.56			36,165		12
Large-Cap Growth Fund
2012(3)(16)		12.02		0.03			1.65			1.68			—			—			—			13.70		13.98			0.99			0.04			0.37			88,656		122
2011(3)		9.94		0.01			2.11			2.12			(0.04	)		—			(0.04	)		12.02		21.33			0.99			0.05			0.11			103,598		113
2010(3)		9.67		0.02			0.29			0.31			(0.04	)		—			(0.04	)		9.94		3.17			1.03			0.07			0.18			91,433		121
2009(3)		11.84		0.06			(2.21	)		(2.15	)		(0.02	)		—			(0.02	)		9.67		(18.16	)		1.14			—			0.62			100,612		142
2008(3)(8)		11.97		0.01			(0.14	)		(0.13	)		—			—			—			11.84		(1.09	)		1.03			—			0.30			149,952		122
Large-Cap Focus Fund
2012(3)(16)		11.19		0.04			1.50			1.54			(0.06	)		(0.07	)		(0.13	)		12.60		13.85			0.65			0.25			0.57			27,174		16
2011(3)(11)		10.00		0.06			1.14			1.20			(0.01	)		—			(0.01	)		11.19		12.01			0.65			0.32			0.47			30,625		82
Mid-Cap Value Fund
2012(3)(16)		11.93		0.08			1.26			1.34			(0.09	)		—			(0.09	)		13.18		11.29			0.98			0.02			0.87			111,412		19
2011(3)		10.29		0.09			1.63			1.72			(0.08	)		—			(0.08	)		11.93		16.72			0.99			0.02			0.71			108,425		37
2010(3)		9.63		0.06			0.69			0.75			(0.09	)		—			(0.09	)		10.29		7.83			1.02			0.04			0.63			99,329		58
2009(3)		12.17		0.07			(2.01	)		(1.94	)		(0.05	)		(0.55	)		(0.60	)		9.63		(14.59	)		1.12			—			0.90			91,115		63
2008(3)(8)		12.55		0.04			(0.42	)		(0.38	)		—			—			—			12.17		(3.03	)		1.02			—			0.59			99,009		41
Mid-Cap Growth Fund
2012(3)(16)		17.93		(0.03	)		2.78			2.75			—			—			—			20.68		15.34			0.98			0.00	(6)		(0.29	)		153,859		37
2011(3)		14.50		0.02			3.41			3.43			—			—			—			17.93		23.66			0.98			0.00	(6)		0.10			161,539		79
2010(3)		12.68		(0.05	)		1.89			1.84			(0.02	)		—			(0.02	)		14.50		14.49			1.01			0.04			(0.33	)		136,392		133
2009(3)		17.14		0.02			(3.88	)		(3.86	)		—			(0.60	)		(0.60	)		12.68		(21.79	)		1.10			—			0.18			135,858		224
2008(3)(8)		17.09		(0.01	)		0.06			0.05			—			—			—			17.14		0.29			1.01			—			(0.19	)		171,529		186
Small-Cap Value Fund
2012(3)(16)		9.26		0.01			0.87			0.88			—			—			—			10.14		9.50			0.99			0.51			0.20			4,388		26
2011(3)(13)		10.00		0.00			(0.74	)		(0.74	)		—			—			—			9.26		(7.40	)		0.99			0.57			0.04			2,814		21
Small-Cap Growth Fund
2012(3)(16)		17.65		(0.06	)		3.07			3.01			—			(1.11	)		(1.11	)		19.55		17.74			1.18			0.02			(0.67	)		215,493		52
2011(3)		14.12		(0.11	)		3.64			3.53			—			—			—			17.65		25.00			1.19			0.02			(0.56	)		193,655		101
2010(3)		11.97		(0.12	)		2.27			2.15			—			—			—			14.12		17.96			1.22			0.07			(0.93	)		169,036		153
2009(3)		14.22		0.01			(2.26	)		(2.25	)		—			—			—			11.97		(15.82	)		1.35			—			0.05			127,901		233
2008(3)(8)		14.73		(0.03	)		(0.48	)		(0.51	)		—			—			—			14.22		(3.46	)		1.27			—			(0.49	)		134,623		174
Pyrford International Stock Fund
2012(3)(14)		10.00		0.02			0.51			0.53			—			—			—			10.53		5.30			0.99			0.31			1.56			64,779		2
Lloyd George Emerging Markets Equity Fund
2012(3)(16)		15.86		0.13			(0.57	)		(0.44	)		(0.45	)		(0.92	)		(1.37	)		14.05		(2.29	)		1.21			0.84			0.64			43,276		84
2011(3)		16.21		0.09			0.90			0.99			(0.49	)		(0.85	)		(1.34	)		15.86		5.32			1.25			0.36			0.85			37,164		34
2010(3)		14.47		0.09			2.35			2.44			(0.18	)		(0.52	)		(0.70	)		16.21		16.88			1.25			0.51			0.53			46,996		30
2009(3)(9)		10.00		0.09			4.39			4.48			(0.01	)		—			(0.01	)		14.47		44.82			1.25			1.27			1.54			39,054		58
Pyrford Global Strategic Return Fund
2012(3)(14)		10.00		0.01			0.20			0.21			—			—			—			10.21		2.10			0.99			2.60			0.68			9,244		1

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

112

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions			Total from investment operations		Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																								Net Expenses(2)			Expense waiver(2)			Net investment income (loss) (2)
Ultra Short Tax-Free Fund
2012(3)(16)	$	10.06	$	0.08	$	0.01		$	0.09	$	(0.08	)	$	(0.00	)	$	(0.08	)	$	10.07		0.86	%		0.30	%		0.08	%		1.51	%	$	472,022		80	%
2011(3)		10.07		0.17		(0.01	)		0.16		(0.17	)		—			(0.17	)		10.06		1.58			0.30			0.10			1.64			368,540		148
2010(3)(10)		10.00		0.13		0.07			0.20		(0.13	)		—			(0.13	)		10.07		2.05			0.30			0.16			1.52			273,120		83
Short-Term Income Fund
2012(3)(16)		9.32		0.11		0.09			0.20		(0.11	)		—			(0.11	)		9.41		2.19			0.35			0.13			2.38			83,469		39
2011(3)		9.31		0.26		(0.01	)		0.25		(0.24	)		—			(0.24	)		9.32		2.73			0.35			0.17			2.93			86,591		114
2010(3)		8.98		0.29		0.32			0.61		(0.28	)		—			(0.28	)		9.31		6.87			0.35			0.20			3.19			72,686		50
2009(3)		8.93		0.38		0.04			0.42		(0.37	)		—			(0.37	)		8.98		5.03			0.35			0.27			4.47			66,039		49
2008(3)		9.02		0.43		(0.09	)		0.34		(0.43	)		—			(0.43	)		8.93		3.76			0.35			0.20			4.69			72,928		47
2007(3)(7)		9.02		0.11		0.00			0.11		(0.11	)		—			(0.11	)		9.02		1.20			0.35			0.23			4.65			41,186		52
Short-Intermediate Bond Fund
2012(3)(16)		10.12		0.11		0.22			0.33		(0.12	)		—			(0.12	)		10.33		3.24			0.55			0.12			2.18			107,026		106
2011(3)		9.90		0.20		0.21			0.41		(0.19	)		—			(0.19	)		10.12		4.22			0.55			0.13			2.03			102,730		445
2010(3)		8.99		0.26		0.87			1.13		(0.22	)		—			(0.22	)		9.90		12.65			0.55			0.14			2.69			109,776		373
2009(3)		8.90		0.48		0.09			0.57		(0.48	)		—			(0.48	)		8.99		7.32			0.55			0.14			5.89			118,546		360
2008(3)		9.16		0.45		(0.26	)		0.19		(0.45	)		—			(0.45	)		8.90		2.05			0.55			0.06			4.94			200,110		293
2007(3)(7)		9.17		0.11		(0.01	)		0.10		(0.11	)		—			(0.11	)		9.16		1.12			0.55			0.08			4.90			181,534		421
Intermediate Tax-Free Fund
2012(3)(16)		10.75		0.18		0.39			0.57		(0.18	)		(0.01	)		(0.19	)		11.13		5.34			0.48			—			3.33			197,314		26
2011(3)(12)		10.37		0.25		0.38			0.63		(0.25	)		—			(0.25	)		10.75		6.17			0.50			0.06			3.54			166,269		59
Government Income Fund
2012(3)(16)		10.03		0.11		0.06			0.17		(0.15	)		(0.40	)		(0.55	)		9.65		1.74			0.55			0.13			2.32			44,294		196
2011(3)		10.08		0.06		0.24			0.30		(0.05	)		(0.30	)		(0.35	)		10.03		4.99			0.55			0.12			2.33			47,101		717
2010(3)		9.49		0.35		0.55			0.90		(0.31	)		—			(0.31	)		10.08		9.65			0.55			0.11			3.52			113,314		383
2009(3)		9.37		0.48		0.36			0.84		(0.46	)		(0.26	)		(0.72	)		9.49		9.65			0.55			0.10			5.22			159,881		360
2008(3)		9.44		0.46		(0.07	)		0.39		(0.46	)		—			(0.46	)		9.37		4.16			0.55			0.06			4.88			249,127		284
2007(3)(7)		9.41		0.11		0.03			0.14		(0.11	)		—			(0.11	)		9.44		1.54			0.55			0.13			4.87			141,305		686
TCH Corporate Income Fund
2012(3)(16)		12.35		0.26		0.49			0.75		(0.27	)		(0.12	)		(0.39	)		12.71		6.22			0.55			0.01			4.16			81,316		44
2011(3)		12.48		0.53		0.16			0.69		(0.54	)		(0.28	)		(0.82	)		12.35		5.77			0.55			0.06			4.20			76,263		48
2010(3)		11.57		0.53		0.99			1.52		(0.54	)		(0.07	)		(0.61	)		12.48		13.56			0.55			0.30			4.13			52,317		80
2009(3)(9)		10.00		0.35		1.58			1.93		(0.36	)		—			(0.36	)		11.57		19.63			0.55			1.04			4.88			15,927		38
Aggregate Bond Fund
2012(3)(16)		10.97		0.13		0.25			0.38		(0.14	)		(0.26	)		(0.40	)		10.95		3.50			0.55			0.02			2.40			264,009		136
2011(3)		11.13		0.23		0.24			0.47		(0.23	)		(0.40	)		(0.63	)		10.97		4.50			0.55			0.04			2.18			240,147		586
2010(3)		10.19		0.32		0.93			1.25		(0.31	)		—			(0.31	)		11.13		12.43			0.55			0.09			3.03			178,962		449
2009(3)		10.01		0.52		0.48			1.00		(0.50	)		(0.32	)		(0.82	)		10.19		11.40			0.55			0.12			5.66			150,309		445
2008(3)		10.10		0.50		(0.04	)		0.46		(0.49	)		(0.06	)		(0.55	)		10.01		4.58			0.55			0.08			4.87			222,380		333
2007(3)(7)		10.00		0.12		0.10			0.22		(0.12	)		—			(0.12	)		10.10		2.18			0.55			0.14			4.63			143,657		129
TCH Core Plus Bond Fund
2012(3)(16)		11.41		0.22		0.29			0.51		(0.23	)		(0.08	)		(0.31	)		11.61		4.60			0.53			—			3.76			63,762		35
2011(3)		11.44		0.49		0.21			0.70		(0.50	)		(0.23	)		(0.73	)		11.41		6.45			0.55			0.04			4.28			47,398		48
2010(3)		10.81		0.42		0.68			1.10		(0.46	)		(0.01	)		(0.47	)		11.44		10.46			0.55			0.17			3.84			35,851		72
2009(3)(9)		10.00		0.26		0.83			1.09		(0.28	)		—			(0.28	)		10.81		11.04			0.55			0.32			3.73			33,067		26
Monegy High Yield Bond Fund
2012(3)(14)		10.00		0.08		0.26			0.34		(0.08	)		—			(0.08	)		10.26		3.38			0.65			0.25			5.00			32,551		2

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

113

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

Period Ended August 31,	Net asset value, beginning of period		Net investment income (loss)		Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency transactions		Total from investment operations		Distributions to shareholders from net investment income			Distributions to shareholders from net realized gain on investments, options, futures contracts and foreign currency transactions			Total distributions			Net asset value, end of period		Total return(1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)		Portfolio turnover rate(4)
																							Net Expenses(2)			Expense waiver(2)			Net investment income (loss) (2)
Government Money Market Fund
2012(16)	$	1.00	$	0.00	$	0.00	$	0.00	$	(0.00	)	$	—		$	(0.00	)	$	1.00		0.00	%(6)		0.13	%		0.17	%		0.01	%	$	346,145		—	%
2011		1.00		0.00		0.00		0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.04			0.17			0.13			0.04			244,082		—
2010		1.00		0.00		—		0.00		(0.00	)		—			(0.00	)		1.00		0.09			0.20			0.09			0.09			314,001		—
2009		1.00		0.01		0.00		0.01		(0.01	)		(0.00	)		(0.01	)		1.00		0.80			0.23	(15)		0.07			0.75			399,654		—
2008		1.00		0.03		0.00		0.03		(0.03	)		(0.00	)		(0.03	)		1.00		3.45			0.20			0.10			3.33			275,136		—
2007		1.00		0.05		—		0.05		(0.05	)		—			(0.05	)		1.00		5.25			0.20			0.13			5.13			136,910		—
Tax-Free Money Market Fund
2012(16)		1.00		0.00		0.00		0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.14			0.20			0.09			0.27			650,365		—
2011		1.00		0.00		0.00		0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.31			0.20			0.08			0.30			613,935		—
2010		1.00		0.01		0.00		0.01		(0.01	)		(0.00	)		(0.01	)		1.00		0.55			0.20			0.09			0.53			607,761		—
2009		1.00		0.02		0.00		0.02		(0.02	)		(0.00	)		(0.02	)		1.00		1.68			0.23	(15)		0.08			1.62			596,180		—
2008		1.00		0.03		0.00		0.03		(0.03	)		(0.00	)		(0.03	)		1.00		2.83			0.20			0.09			2.67			398,315		—
2007		1.00		0.04		0.00		0.04		(0.04	)		(0.00	)		(0.04	)		1.00		3.59			0.20			0.13			3.53			243,842		—
Prime Money Market Fund
2012(16)		1.00		0.00		0.00		0.00		(0.00	)		(0.00	)		(0.00	)		1.00		0.09			0.20			0.01			0.17			1,998,245		—
2011		1.00		0.00		—		0.00		(0.00	)		—			(0.00	)		1.00		0.19			0.20			0.01			0.19			2,164,483		—
2010		1.00		0.00		—		0.00		(0.00	)		—			(0.00	)		1.00		0.25			0.20			0.01			0.25			2,077,081		—
2009		1.00		0.01		—		0.01		(0.01	)		—			(0.01	)		1.00		1.40			0.24	(15)		0.00	(6)		1.32			3,024,018		—
2008		1.00		0.04		—		0.04		(0.04	)		—			(0.04	)		1.00		3.91			0.20			0.01			3.69			3,101,260		—
2007		1.00		0.05		—		0.05		(0.05	)		—			(0.05	)		1.00		5.33			0.20			0.02			5.20			2,080,429		—

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

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

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

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

(5) Annualized for periods less than one year.

(6) Represents less than 0.005%.

(7) Reflects operations for the period from June 1, 2007 (commencement of operations) to August 31, 2007.

(8) Reflects operations for the period from February 1, 2008 (commencement of operations) to August 31, 2008.

(9) Reflects operations for the period from December 23, 2008 (commencement of operations) to August 31, 2009.

(10) Reflects operations for the period from October 1, 2009 (commencement of operations) to August 31, 2010.

(11) Reflects operations for the period from September 1, 2010 (commencement of operations) to August 31, 2011.

(12) Reflects operations for the period from December 28, 2010 (commencement of operations) to August 31, 2011.

(13) Reflects operations for the period from March 1, 2011 (commencement of operations) to August 31, 2011.

(14) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

(15) Participation fees for the Treasury's Temporary Guarantee Program in the Government Money Market Fund, Tax-Free Money Market Fund and Prime Money Market Fund amounted to 0.03%, 0.03% and 0.04%, respectively.

(16) For the six months ended February 29, 2012 (Unaudited).

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

114

February 29, 2012 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 29, 2012, the Corporation consisted of twenty three diversified portfolios (individually referred to as the “Fund,” or collectively as the “Funds”), each with Investor and Institutional classes of shares.

Portfolio Name	Investment Objective
BMO Large-Cap Value Fund (“Large-Cap Value Fund”)	To provide capital appreciation and above-average dividend income.
BMO Dividend Income Fund (“Dividend Income Fund”)*	To provide capital appreciation and current income.
BMO Large-Cap Growth Fund (“Large-Cap Growth Fund”)	To provide capital appreciation.
BMO Large-Cap Focus Fund (“Large-Cap Focus Fund”)	To provide capital appreciation.
BMO Mid-Cap Value Fund (“Mid-Cap Value Fund”)	To provide capital appreciation.
BMO Mid-Cap Growth Fund (“Mid-Cap Growth Fund”)	To provide capital appreciation.
BMO Small-Cap Value Fund (“Small-Cap Value Fund”)	To provide capital appreciation.
BMO Small-Cap Growth Fund (“Small-Cap Growth Fund”)	To provide capital appreciation.
BMO Pyrford International Stock Fund (“Pyrford International Stock Fund”)*	To provide capital appreciation.
BMO Lloyd George Emerging Markets Equity Fund (“Lloyd George Emerging Markets Equity Fund”)	To provide capital appreciation.
BMO Pyrford Global Strategic Return Fund (“Pyrford Global Strategic Return Fund”)*	To maximize total return.
BMO Ultra Short Tax-Free Fund (“Ultra Short Tax-Free Fund”)	To provide current income exempt from federal income tax consistent with the preservation of capital.
BMO Short-Term Income Fund (“Short-Term Income Fund”)	To maximize total return consistent with current income.
BMO Short-Intermediate Bond Fund (“Short-Intermediate Bond Fund”)	To maximize total return consistent with current income.
BMO Intermediate Tax-Free Fund (“Intermediate Tax-Free Fund”)	To provide a high level of current income that is exempt from federal income tax and is consistent with preservation of capital.
BMO Government Income Fund (“Government Income Fund”)	To provide current income.
BMOTCH Corporate Income Fund (“TCH Corporate Income Fund”)	To maximize total return consistent with current income.
BMO Aggregate Bond Fund (“Aggregate Bond Fund”)	To maximize total return consistent with current income.
BMOTCH Core Plus Bond Fund (“TCH Core Plus Bond Fund”)	To maximize total return consistent with current income.
BMO Monegy High Yield Bond Fund (“Monegy High Yield Bond Fund”)*	To maximize total return consistent with current income.
BMO Government Money Market Fund (“Government Money Market Fund”)	To provide current income consistent with stability of principal.
BMO Tax-Free Money Market Fund (“Tax-Free Money Market Fund”)	To provide current income that is exempt from federal income tax and is consistent with stability of principal.
BMO Prime Money Market Fund (“Prime Money Market Fund”)	To provide current income consistent with stability of principal.

* Commenced operations on December 30, 2011.

M&I Investment Management Corporation (the “Adviser”) serves as the investment advisor to the Funds, and is a wholly-owned subsidiary of BMO Financial Group (“BMO”).

The Marshall International Stock Fund terminated operations and liquidated shares on December 29, 2011. As of December 29, 2011, the Fund’s shareholders retain the right to certain receivables pertaining to fair fund litigation settlements which remain pending. The shareholders of record on the termination date may receive subsequent distributions pertaining to these receivables upon collection.

2. Significant Accounting Policies

The following is a summary of significant accounting policies consistently followed by the Funds in the preparation of their financial statements.

Use of Estimates—The preparation of financial statements in conformity with accounting principles generally accepted in the United States of America (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts

115

Notes to Financial Statements (continued)

of assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.

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

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

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

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

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

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

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

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

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

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

116

BMO Funds

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

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

During the period ended February 29, 2012, the Government Income Fund had an average of 12 short and 22 long treasury futures contracts outstanding. Enclosed in the Statements of Operations, the Intermediate Tax-Free Fund and Government Income Fund had $13,291 and $91,341 in net realized losses on treasury futures contracts, respectively, and $0 and $18,326 change in unrealized depreciation on treasury futures contracts, respectively, for the period ended February 29, 2012. At February 29, 2012, the following Fund had outstanding futures contracts as set forth below:

Fund	Expiration Date	Contracts		Description	Position	Unrealized Appreciation (Depreciation)
Government Income Fund	June 2012		41	U.S. 5 Year Note	Long	$	(10,414)
Government Income Fund	June 2012		25	U.S. 10 Year Note	Long		(7,912)
						$	(18,326)

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

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

During the period ended February 29, 2012, the Large-Cap Value Fund had average written and purchased options outstanding of 67 contracts and 320 contracts, respectively while the Mid-Cap Value Fund had average purchased options outstanding of 400 contracts. Enclosed in the Statements of Operations, the Large-Cap Value Fund had $25,232 in net realized losses and $19,936 in net change on unrealized appreciation on all option contracts, while the Mid-Cap Value Fund had $289,395 in net realized losses on all option contracts for the period ended February 29, 2012.

The following is a summary of written option activity:

	Large-Cap Value Fund
Contracts	Number of Contracts			Premium
Outstanding @ 8/31/2011		200		$	46,599
Options written		16			14,402
Options expired		(200	)		(46,599	)
Options exercised		(16	)		(14,402	)
Options closed		—			—
Outstanding @ 2/29/2012		—		$	—

117

Notes to Financial Statements (continued)

At February 29, 2012, there were no outstanding written options.

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

During the period ended February 29, 2012, the Pyrford International Stock Fund, Pyrford Global Strategic Return Fund and Monegy High Yield Bond Fund entered into 1, 2 and 1 short forward foreign currency exchange contracts, respectively. Enclosed in the Statements of Operations, the Pyrford International Stock Fund, Pyrford Global Strategic Return Fund and Monegy High Yield Bond Fund had $0, $0 and $0 in net realized gains, respectively, and $346,930, $4,167 and $38,976 change in net unrealized depreciation, respectively, on forward foreign currency exchange contacts. At February 29, 2012, the following Funds had outstanding short foreign currency exchange contracts:

Pyrford International Stock Fund
		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
October 15, 2012	Australian Dollar (AUD)	$	8,437,800	AUD	8,400,000	$	8,784,730	$	(346,930	)	State Street Bank London
Pyrford Global Strategic Return Fund
		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
October 15, 2012	Australian Dollar (AUD)	$	105,472	AUD	105,000	$	109,809	$	(4,337	)	State Street Bank London
October 15, 2012	Australian Dollar (AUD)	$	52,460	AUD	50,000	$	52,290	$	170		State Street Bank London
								$	(4,167	)
Monegy High Yield Bond Fund
		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
March 22, 2012	Euro (€)		$1,459,997		€1,125,000	$	1,498,973	$	(38,976	)	Canadian Imperial Bank of Commerce (CIBC)

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

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

Restricted Securities—Restricted securities are securities that may be resold only upon registration under federal securities laws or in transactions exempt from such registration. In some cases, the issuer of restricted securities has agreed to register such securities for resale, at the issuer’s expense either upon demand by the Funds or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Directors. The restricted securities are valued at the price provided by dealers in the secondary market or, if no market prices are available, the fair value as determined in good faith using methods approved by the Directors. The money market funds’ restricted securities are valued at amortized cost in accordance with Rule 2a-7 under the Act.

118

BMO Funds

Additional information on each illiquid restricted security held by the Funds at February 29, 2012 is as follows:

Fund	Security	Acquisition Date		Acquisition Cost		Value
Prime Money Market Fund	Metropolitan Life Insurance Co.(1)		5/3/2004	$	65,000,000	$	65,000,000
Prime Money Market Fund	Metropolitan Life Insurance Co.(1)		2/1/2010		50,000,000		50,000,000

(1) Security represents a quarterly floating rate funding agreement with a 90 day put feature whose maturity is extendable per the discretion of the Adviser.

Redemption Fees—The Funds (other than the Government Money Market Fund, Tax-Free Money Market Fund, Prime Money Market Fund, and effective February 8, 2012, the Ultra Short Tax-Free Fund) impose a 2.00% redemption fee to shareholders who redeem shares held for 30 days or less. All redemption fees are recorded by the Funds as paid-in-capital.

Securities Lending—Certain Funds participate in a securities lending program, providing for the lending of corporate bonds, equity, and government securities to qualified brokers. The Funds receive cash as collateral in return for the securities and record a corresponding payable for collateral due to the respective broker. The amount of cash collateral received is maintained at a minimum level of 100% of the prior day’s market value on securities loaned. Investment transactions, including securities on loan and the related collateral, are recorded on a trade date basis, and therefore the Value of Securities Loaned and Payable on Collateral Due to Brokers in the table below may not accurately reflect the operational nature of the securities lending program. The Funds’ securities on loan were appropriately collateralized at February 29, 2012. Collateral is reinvested in short-term securities including overnight repurchase agreements, commercial paper, master notes, floating rate corporate notes (with at least quarterly reset rates), and money market funds. The valuation of collateral is discussed in “Investment Valuations” in Note 2 of the Notes to the Financial Statements. When a Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. A Fund also is subject to the risks associated with the investments of cash collateral received from the borrower.

Cash collateral received as part of the securities lending program was jointly pooled and invested in the following securities as of February 29, 2012 (1):

Description	Value
ABN AMRO Bank NV, 1.038%, 6/8/2012(2)	$	24,857,275
ANZ National Ltd., 0.326%, 6/29/2012(2)		25,000,000
Bank of Nova Scotia, 0.865%, 10/18/2012(2)		18,372,939
Blackrock Liquidity TempCash Money Market Fund, 0.161%		12,640,187
Blackrock Liquidity TempFund Money Market Fund, 0.112%		4,356,487
Canadian Imperial Bank, 0.560%, 10/22/2012(2)		20,010,980
Caterpillar, Inc., 0.593%, 11/21/2012(2)		15,016,530
Commonwealth Bank Australia, 0.638%, 9/10/2012(2)		25,000,000
Dreyfus Cash Management Plus, Inc., Money Market Fund, 0.100%		5,000,000
Dreyfus Institutional Cash Advantage Money Market Fund, 0.165%		4,288,605
FCAR Owner Trust I, 0.550%, 7/5/2012(3)		24,935,069
Fidelity Institutional Money Market Fund, 0.211%		78,000,000
Fidelity Institutional Prime Money Market Fund, 0.138%		78,000,000
General Electric Corp., 0.702%, 4/10/2012(2)		3,001,521
General Electric Corp., 0.677%, 11/1/2012(2)		25,016,850
Goldman Sachs Money Market Fund, 0.203%	$	78,719
GovCo, Inc., 0.480%, 6/11/2012(3)		29,939,600
Kells Funding, LLC, 0.350%, 4/24/2012 (3)		24,980,313
Metlife Institutional Insurance FA, 0.955%, 12/7/2012(2)		9,998,750
Metlife Insurance FA, 0.727%, 5/29/2012(2)		20,000,000
National Australia Bank, 0.653%, 2/15/2013(2)		25,008,175
National Rural Utilities Co., 0.669%, 1/7/2012(2)		25,004,275
Prudential PLC, 0.650%, 4/11/2012(3)		24,958,924
Reckitt Benckiser, 0.670%, 8/6/2012(3)		24,899,965
Royal Bank of Canada, 0.610%, 11/9/2012(2)		25,024,900
Sanofi-Aventis, 0.624%, 3/28/2012(2)		25,002,850
Skandinaviska Enskilda Bank, 0.600%, 4/16/2012 (3)		24,965,417
Target Corp., 0.610%, 1/11/2013(2)		30,046,140
Western Asset Institutional Cash Reserves Money Market Fund, 0.205%		50,069,589
Western Asset Institutional Liquid Reserves Money Market Fund, 0.195%		72,000,000
Westpac Securities Ltd., 0.353%, 7/20/2012(3)		25,000,000
Total	$	800,474,060

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

(2) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 29, 2012.

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

119

Notes to Financial Statements (continued)

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

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

3. Fair Value Measurements

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

Various inputs are used in determining the value of the Fund’s investments. These inputs are summarized in the three broad levels listed below:

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

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

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

The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. For example, money market holdings are valued using amortized cost under Rule 2a-7 of the Investment Company Act of 1940. Generally, amortized cost approximates the current fair value of the holding, but since the value is not obtained from a quoted price in an active market, such holdings are reflected as Level 2.

Following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determining value:

	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	144,977,699	$	—	$	—	$	144,977,699
Short-Term Investments		—		15,712,119		—		15,712,119
Total	$	144,977,699	$	15,712,119	$	—	$	160,689,818
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	53,342,189	$	—	$	—	$	53,342,189
Short-Term Investments		—		2,043,962		—		2,043,962
Total	$	53,342,189	$	2,043,962	$	—	$	55,386,151
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	175,839,566	$	—	$	—	$	175,839,566
Short-Term Investments		—		26,180,927		—		26,180,927
Total	$	175,839,566	$	26,180,927	$	—	$	202,020,493
	Large-Cap Focus Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	46,646,894	$	—	$	—	$	46,646,894
Short-Term Investments		—		11,894,412		—		11,894,412
Total	$	46,646,894	$	11,894,412	$	—	$	58,541,306

	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	234,522,999	$	—	$	—	$	234,522,999
Short-Term Investments		—		55,290,567		—		55,290,567
Total	$	234,522,999	$	55,290,567	$	—	$	289,813,566
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	244,945,126	$	—	$	—	$	244,945,126
Short-Term Investments		—		72,887,692		—		72,887,692
Total	$	244,945,126	$	72,887,692	$	—	$	317,832,818

	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	28,014,499	$	—	$	—	$	28,014,499
Short-Term Investments		—		9,124,215		—		9,124,215
Total	$	28,014,499	$	9,124,215	$	—	$	37,138,714
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	578,092,782	$	—	$	—	$	578,092,782
Short-Term Investments		—		238,953,484		—		238,953,484
Total	$	578,092,782	$	238,953,484	$	—	$	817,046,266

120

BMO Funds

	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)(2)	$	92,101,671	$	—	$	—		92,101,671
Preferred Stocks(1)(2)		1,169,544		—		—		1,169,544
Total	$	93,271,215	$	—	$	—	$	93,271,215
	Lloyd George Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)(2)	$	53,973,254	$	—	$	—	$	53,973,254
Preferred Stocks(1)(2)		3,518,737		—		—		3,518,737
Short-Term Investments		—		1,341,127		—		1,341,127
Total	$	57,491,991	$	1,341,127	$	—	$	58,833,118
	Pyrford Global Strategic Return Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)(2)	$	4,783,952	$	—	$	—	$	4,783,952
Preferred Stocks(1)(2)		21,890		—		—		21,890
International Bonds		—		14,259,308		—		14,259,308
Total	$	4,805,842	$	14,259,308	$	—	$	19,065,150

	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	501,293,508	$	605,062	$	501,898,570
Short-Term Investments		—		37,733,004		—		37,733,004
Total	$	—	$	539,026,512	$	605,062	$	539,631,574

	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	7,929,713	$	—	$	7,929,713
Collateralized Mortgage Obligations		—		6,407,444		—		6,407,444
Commercial Mortgage Securities		—		16,218,603		—		16,218,603
Corporate Bonds & Notes		—		77,560,636		1,931,850		79,492,486
Municipals		—		9,544,992		—		9,544,992
Mutual Funds		6,609,243		—		—		6,609,243
U.S. Government & U.S. Government Agency Obligations		—		21,877,627		—		21,877,627
U.S. Government Agency-Mortgage Securities		—		5,236,355		—		5,236,355
Short-Term Investments		—		38,763,178		—		38,763,178
Total	$	6,609,243	$	183,538,548	$	1,931,850	$	192,079,641

	Short-Intermediate Bond Fund
	Level 1		Level 2		Level 3		Total
Collateralized Mortgage Obligations	$	—	$	3,476,675	$	—	$	3,476,675
Commercial Mortgage Securities		—		5,367,067		—		5,367,067
Corporate Bonds & Notes		—		100,489,478		3,180,000		103,669,478
U.S. Government & U.S. Government Agency Obligations		—		39,341,916		—		39,341,916
Short-Term Investments		—		67,577,160		—		67,577,160
Total	$	—	$	216,252,296	$	3,180,000	$	219,432,296
	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	712,928,538	$	1,096,027	$	714,024,565
Short-Term Investments		—		57,186,795		—		57,186,795
Total	$	—	$	770,115,333	$	1,096,027	$	771,211,360

	Government Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	2,983,751	$	—	$	2,983,751
Collateralized Mortgage Obligations		—		26,502,784		—		26,502,784
Commercial Mortgage Securities		—		22,835,740		—		22,835,740
Corporate Bonds & Notes		—		—		2,385,000		2,385,000
U.S. Government & U.S. Government Agency Obligations		—		4,958,205		—		4,958,205
U.S. Government Agency-Mortgage Securities		—		212,258,352		—		212,258,352
Short-Term Investments		—		70,974,395		—		70,974,395
Total	$	—	$	340,513,227	$	2,385,000	$	342,898,227
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	11,229,200	$	—	$	11,229,200
Corporate Bonds & Notes		346,470		93,070,468		—		93,416,938
Municipals		—		589,050		—		589,050
Short-Term Investments		—		31,002,186		—		31,002,186
Total	$	346,470	$	135,890,904	$	—	$	136,237,374
	Aggregate Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	5,068,472	$	—	$	5,068,472
Collateralized Mortgage Obligations		—		16,415,223		—		16,415,223
Commercial Mortgage Securities		—		13,515,372		—		13,515,372
Corporate Bonds & Notes		—		259,049,866		—		259,049,866
Municipals		—		5,671,901		—		5,671,901
U.S. Government & U.S. Government Agency Obligations		—		104,351,269		—		104,351,269
U.S. Government Agency-Mortgage Securities		—		143,511,232		—		143,511,232
Short-Term Investments		—		224,783,397		—		224,783,397
Total	$	—	$	772,366,732	$	—	$	772,366,732

	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	19,396,852	$	—	$	19,396,852
Commercial Mortgage Securities		—		1,476,735		—		1,476,735
Corporate Bonds & Notes		808,430		83,179,259		—		83,987,689
Municipals		—		353,430		—		353,430
U.S. Government & U.S. Government Agency Obligations		—		14,545,549		—		14,545,549
U.S. Government Agency-Mortgage Securities		—		20,545,924		—		20,545,924
Short-Term Investments		—		47,169,083		—		47,169,083
Total	$	808,430	$	186,666,832	$	—	$	187,475,262
	Monegy High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	63,579,512	$	—	$	63,579,512
Exchange Traded Funds		4,724,840		—		—		4,724,840
Short-Term Investments		—		1,535,182		—		1,535,182
Total	$	4,724,840	$	65,114,694	$	—	$	69,839,534

121

Notes to Financial Statements (continued)

	Government Money Market Fund
	Level 1			Level 2		Level 3		Total
Municipals	$	—		$	139,865,000	$	—	$	139,865,000
Repurchase Agreements		—			228,255,785		—		228,255,785
U.S. Government & U.S. Government Agency Obligations		—			124,985,605		—		124,985,605
Total	$	—		$	493,106,390	$	—	$	493,106,390
	Tax-Free Money Market Fund
	Level 1			Level 2		Level 3		Total
Municipals	$	—		$	903,803,062	$	—	$	903,803,062
Mutual Funds		—			2,782,098		—		2,782,098
Total	$	—		$	906,585,160	$	—	$	906,585,160
	Prime Money Market Fund
	Level 1			Level 2		Level 3		Total
Certificate of Deposit	$	—		$	347,741,155	$	—	$	347,741,155
Commercial Paper		—			1,193,460,176		—		1,193,460,176
Funding Agreements		—			115,000,000		—		115,000,000
Municipals		—			828,515,000		—		828,515,000
Mutual Funds		—			130,000,000		—		130,000,000
Notes-Variable		—			349,994,313		—		349,994,313
Repurchase Agreements		—			169,191,412		—		169,191,412
Trust Demand Notes		—			143,000,000		—		143,000,000
U.S. Government & U.S. Government Agency Obligations					102,046,272				102,046,272
Total	$	—		$	3,378,948,328	$	—	$	3,378,948,328
	Unrealized Appreciation/(Depreciation) On Other Financial Instruments(3)
Fund	Level 1			Level 2		Level 3		Total
Pyrford International Stock Fund Short Forward Contracts	$	(346,930	)	$	—	$	—	$	(346,930	)
Pyrford Global Strategic Return Fund Short Forward Contracts		(4,167	)		—		—		(4,167	)
Government Income Fund Long Futures Contracts		(18,327	)		—		—		(18,327	)
Monegy High Yield Bond Fund Short Forward Contracts		(38,976	)		—		—		(38,976	)
Total	$	(408,400	)	$	—	$	—	$	(408,400	)

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

(2) As described in Note 2, the values of certain equity securities listed or traded on foreign security exchanges may be valued by an independent fair value pricing service on any day when a significant change in value of U.S. traded securities occurs, as measured by the Russell 1000 Index. As a result, some securities were fair valued by the service and categorized in Level 2 throughout the period ended February 29, 2012. Such securities would represent the only significant transfer between each of the three levels. The Funds recognize transfers between levels of the hierarchy on the date of transfer. As of February 29, 2012, none of the securities required such valuation and all are categorized in Level 1.

(3) Other financial instruments are derivative instruments not reflected in the Schedule of Investments, such as futures, written options, forwards and swap contracts, which are valued at the unrealized appreciation/depreciation on the investment.

Following is a reconciliation of assets in which significant unobservable inputs (Level 3) were used in determing value:

Fund	Beginning balance September 1, 2011		Transfers into Level 3 during the period		Transfers out of Level 3 during the period		Total realized and change in unrealized gain/(loss)			Purchases		(Sales)		Ending balance February 29, 2012		Change in unrealized appreciation/ (depreciation) during the period for Level 3 Investments held at end of period
Ultra Short Tax-Free Fund Municipals	$	—	$	720,562	$	—	$	(115,500	)	$	—	$	—	$	605,062	$	(115,500	)
Short-Term Income Fund Corporate Bonds & Notes		1,805,490		—		—		126,360			—		—		1,931,850		126,360
Short-Intermediate Bond Fund Corporate Bonds & Notes		2,972,000		—		—		208,000			—		—		3,180,000		208,000
Intermediate Tax-Free Fund Municipals		—		1,305,247		—		(209,220	)		—		—		1,096,027		(209,220	)
Government Income Fund Corporate Bonds & Notes		2,229,000		—		—		156,000			—		—		2,385,000		156,000

122

BMO Funds

4. Capital Stock

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

	Large-Cap Value Fund						Dividend Income Fund			Large-Cap Growth  Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(2) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	5,860,316		$	21,885,911		$	19,329,067		$	5,992,286		$	18,196,217
Advisor class of shares(1)		—			90,467			—			—			68,329
Institutional class of shares		1,440,694			8,830,682			34,710,177			421,809			10,553,672
Transfers from termination of Advisor class		—			6,266,135			—			—			6,107,987
Net proceeds from sale of shares	$	7,301,010		$	37,073,195		$	54,039,244		$	6,414,095		$	34,926,205
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares	$	625,063		$	446,024		$	—		$	—		$	51,154
Advisor class of shares(1)		—			13,159			—			—			—
Institutional class of shares		716,242			439,875			—			—			306,694
Net proceeds from shares issued	$	1,341,305		$	899,058		$	—		$	—		$	357,848
Cost of shares redeemed:
Investor class of shares	$	(7,994,137	)	$	(48,066,835	)	$	(295,975	)	$	(8,323,555	)	$	(17,031,637	)
Advisor class of shares(1)		—			(438,281	)		—			—			(185,742	)
Institutional class of shares		(15,882,574	)		(32,972,108	)		(127,700	)		(27,561,386	)		(18,079,305	)
Transfers from termination of Advisor class		—			(6,266,135	)		—			—			(6,107,987	)
Net cost of shares redeemed	$	(23,876,711	)	$	(87,743,359	)	$	(423,675	)	$	(35,884,941	)	$	(41,404,671	)
Redemption fees	$	6,608		$	5,536		$	—		$	5,812		$	3,420
Net change resulting from fund share transactions in dollars	$	(15,227,788	)	$	(49,765,570	)	$	53,615,569		$	(29,465,034	)	$	(6,117,198	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		536,783			2,041,008			1,921,403			480,352			1,483,512
Advisor class of shares(1)		—			8,863			—			—			6,034
Institutional class of shares		134,555			819,494			3,460,428			34,716			844,380
Transfers from termination of Advisor class		—			605,874			—			—			520,724
Net sale of shares		671,338			3,475,239			5,381,831			515,068			2,854,650
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		57,610			42,710			—			—			4,183
Advisor class of shares(1)		—			1,322			—			—			—
Institutional class of shares		66,013			42,269			—			—			25,016
Net shares issued		123,623			86,301			—			—			29,199
Shares redeemed:
Investor class of shares		(735,350	)		(4,240,213	)		(28,814	)		(672,504	)		(1,356,842	)
Advisor class of shares(1)		—			(44,051	)		—			—			(16,376	)
Institutional class of shares		(1,448,426	)		(2,966,919	)		(12,158	)		(2,182,290	)		(1,447,529	)
Transfers from termination of Advisor class		—			(605,874	)		—			—			(520,724	)
Net shares redeemed		(2,183,776	)		(7,857,057	)		(40,972	)		(2,854,794	)		(3,341,471	)
Net change resulting from fund share transactions in shares		(1,388,815	)		(4,295,517	)		5,340,859			(2,339,726	)		(457,622	)

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

123

Notes to Financial Statements (continued)

	Large-Cap Focus Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	2,672,527		$	27,934,301		$	7,213,649		$	31,378,867		$	7,319,478		$	49,546,024
Advisor class of shares(1)		—			—			—			106,895			—			38,627
Institutional class of shares		505,423			37,261,915			4,530,969			19,594,337			5,506,316			26,012,419
Transfers from termination of Advisor class		—			—			—			7,001,452			—			4,232,879
Net proceeds from sale of shares	$	3,177,950		$	65,196,216		$	11,744,618		$	58,081,551		$	12,825,794		$	79,829,949
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares	$	223,397		$	7,068		$	526,309		$	654,276		$	—		$	—
Advisor class of shares(1)		—			—			—			—			—			—
Institutional class of shares		334,317			24,997			592,130			586,121			—			—
Net proceeds from shares issued	$	557,714		$	32,065		$	1,118,439		$	1,240,397		$	—		$	—
Cost of shares redeemed:
Investor class of shares	$	(5,546,800	)	$	(3,674,916	)	$	(15,239,644	)	$	(49,344,442	)	$	(15,681,954	)	$	(35,206,230	)
Advisor class of shares(1)		—			—			—			(232,509	)		—			(118,940	)
Institutional class of shares		(7,438,100	)		(7,834,500	)		(13,025,747	)		(26,612,123	)		(35,024,232	)		(33,400,639	)
Transfers from termination of Advisor class		—			—			—			(7,001,452	)		—			(4,232,879	)
Net cost of shares redeemed	$	(12,984,900	)	$	(11,509,416	)	$	(28,265,391	)	$	(83,190,526	)	$	(50,706,186	)	$	(72,958,688	)
Redemption fees	$	1,686		$	9,868		$	5,233		$	17,089		$	9,988		$	6,420
Net change resulting from fund share transactions in dollars	$	(9,247,550	)	$	53,728,733		$	(15,397,101	)	$	(23,851,489	)	$	(37,870,404	)	$	6,877,681
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		234,166			2,483,424			601,002			2,428,961			395,832			2,527,388
Advisor class of shares(1)		—			—			—			9,106			—			2,341
Institutional class of shares		46,043			3,417,981			388,604			1,527,559			296,825			1,378,264
Transfers from termination of Advisor class		—			—			—			584,014			—			241,578
Net sale of shares		280,209			5,901,405			989,606			4,549,640			692,657			4,149,571
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		19,630			599			44,042			52,722			—			—
Advisor class of shares(1)		—			—			—			—			—			—
Institutional class of shares		29,326			2,115			49,675			47,306			—			—
Net shares issued		48,956			2,714			93,717			100,028			—			—
Shares redeemed:
Investor class of shares		(482,017	)		(309,857	)		(1,281,499	)		(3,843,340	)		(859,151	)		(1,955,444	)
Advisor class of shares(1)		—			—			—			(20,039	)		—			(7,182	)
Institutional class of shares		(656,039	)		(683,122	)		(1,074,727	)		(2,133,001	)		(1,866,808	)		(1,776,827	)
Transfers from termination of Advisor class		—			—			—			(584,014	)		—			(241,578	)
Net shares redeemed		(1,138,056	)		(992,979	)		(2,356,226	)		(6,580,394	)		(2,725,959	)		(3,981,031	)
Net change resulting from fund share transactions in shares		(808,891	)		4,911,140			(1,272,903	)		(1,930,726	)		(2,033,302	)		168,540

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from March 1, 2011 (commencement of operations) to August 31, 2011.

(3) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

124

BMO Funds

Small-Cap Value Fund						Small-Cap Growth Fund						Pyrford International Stock Fund			Lloyd George Emerging Markets Equity Fund						Pyrford Global Strategic Return Fund
Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011(2)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(3) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(3) (Unaudited)
$	2,851,694		$	27,670,070		$	57,770,426		$	281,595,057		$	34,869,342		$	5,691,457		$	5,266,262		$	10,883,685
	—			—			—			1,533,897			—			—			123,165			—
	1,330,839			3,482,547			22,618,200			40,070,319			62,463,360			9,409,065			7,100,026			9,103,272
	—			—			—			9,776,510			—			—			828,355			—
$	4,182,533		$	31,152,617		$	80,388,626		$	332,975,783		$	97,332,702		$	15,100,522		$	13,317,808		$	19,986,957
$	—		$	—		$	19,098,636		$	—		$	—		$	950,384		$	1,100,550		$	—
	—			—			—			—			—			—			—			—
	—			—			11,024,348			—			—			3,098,942			3,795,199			—
$	—		$	—		$	30,122,984		$	—		$	—		$	4,049,326		$	4,895,749		$	—
$	(2,026,012	)	$	(3,706,372	)	$	(67,199,125	)	$	(141,963,455	)	$	(559,852	)	$	(1,476,627	)	$	(7,298,621	)	$	(121,876	)
	—			—			—			(15,542,716	)		—			—			(12,787	)		—
	(143,772	)		(439,100	)		(33,251,185	)		(58,531,183	)		(760,762	)		(3,067,290	)		(19,414,001	)		—
	—			—			—			(9,776,510	)		—			—			(828,355	)		—
$	(2,169,784	)	$	(4,145,472	)	$	(100,450,310	)	$	(225,813,864	)	$	(1,320,614	)	$	(4,543,917	)	$	(27,553,764	)	$	(121,876	)
$	838		$	—		$	85,685		$	75,634		$	798		$	683		$	670		$	10
$	2,013,587		$	27,007,145		$	10,146,985		$	107,237,553		$	96,012,886		$	14,606,614		$	(9,339,537	)	$	19,865,091
	305,744			2,779,743			3,264,279			14,657,766			3,486,592			438,442			297,694			1,088,176
	—			—			—			92,590			—			—			6,722			—
	143,876			351,398			1,283,384			2,148,448			6,223,262			723,557			404,676			905,518
	—			—			—			564,044			—			—			45,688			—
	449,620			3,131,141			4,547,663			17,462,848			9,709,854			1,161,999			754,780			1,993,694
	—			—			1,098,886			—			—			71,619			62,817			—
	—			—			—			—			—			—			—			—
	—			—			628,168			—			—			233,354			216,374			—
	—			—			1,727,054			—			—			304,973			279,191			—
	(217,458	)		(388,005	)		(3,816,259	)		(7,692,006	)		(54,875	)		(104,062	)		(457,602	)		(12,069	)
	—			—			—			(902,733	)		—			—			(690	)		—
	(15,068	)		(47,608	)		(1,861,551	)		(3,142,920	)		(72,341	)		(220,562	)		(1,176,466	)		—
	—			—			—			(564,044	)		—			—			(45,688	)		—
	(232,526	)		(435,613	)		(5,677,810	)		(12,301,703	)		(127,216	)		(324,624	)		(1,680,446	)		(12,069	)
	217,094			2,695,528			596,907			5,161,145			9,582,638			1,142,348			(646,475	)		1,981,625

125

Notes to Financial Statements (continued)

	Ultra Short Tax-Free Fund						Short-Term Income Fund						Short-Intermediate Bond Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	30,268,133		$	52,567,160		$	21,404,748		$	32,437,664		$	4,796,517		$	7,225,687
Advisor class of shares(1)		—			—			—			116,172			—			52,801
Institutional class of shares		187,376,221			307,027,764			7,863,628			48,622,913			8,633,038			13,852,539
Transfers from termination of Advisor class		—			—			—			4,047,584			—			4,713,421
Net proceeds from sale of shares	$	217,644,354		$	359,594,924		$	29,268,376		$	85,224,333		$	13,429,555		$	25,844,448
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares	$	300,931		$	533,751		$	584,270		$	1,072,687		$	497,447		$	910,004
Advisor class of shares(1)		—			—			—			25,939			—			18,377
Institutional class of shares		509,405			874,384			470,834			602,349			791,141			1,346,991
Net proceeds from shares issued	$	810,336		$	1,408,135		$	1,055,104		$	1,700,975		$	1,288,588		$	2,275,372
Cost of shares redeemed:
Investor class of shares	$	(11,749,777	)	$	(31,155,320	)	$	(8,855,810	)	$	(25,083,461	)	$	(7,030,584	)	$	(25,431,645	)
Advisor class of shares(1)		—			—			—			(117,347	)		—			(188,652	)
Institutional class of shares		(84,964,958	)		(212,090,802	)		(12,293,561	)		(35,451,647	)		(7,266,291	)		(24,493,863	)
Transfers from termination of Advisor class		—			—			—			(4,047,584	)		—			(4,713,421	)
Net cost of shares redeemed	$	(96,714,735	)	$	(243,246,122	)	$	(21,149,371	)	$	(64,700,039	)	$	(14,296,875	)	$	(54,827,581	)
Redemption fees	$	49,843		$	77,070		$	29,152		$	30,809		$	3,625		$	15,010
Net change resulting from fund share transactions in dollars	$	121,789,798		$	117,834,007		$	9,203,261		$	22,256,078		$	424,893		$	(26,692,751	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		3,008,808			5,225,298			2,298,435			3,468,384			472,267			725,238
Advisor class of shares(1)		—			—			—			12,428			—			5,284
Institutional class of shares		18,633,390			30,555,680			843,888			5,202,230			849,769			1,397,332
Transfers from termination of Advisor class		—			—			—			432,855			—			473,378
Net sale of shares		21,642,198			35,780,978			3,142,323			9,115,897			1,322,036			2,601,232
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		29,912			53,084			62,673			114,638			48,858			91,432
Advisor class of shares(1)		—			—			—			2,770			—			1,841
Institutional class of shares		50,674			87,034			50,473			64,326			77,774			135,417
Net shares issued		80,586			140,118			113,146			181,734			126,632			228,690
Shares redeemed:
Investor class of shares		(1,167,702	)		(3,099,384	)		(950,865	)		(2,683,220	)		(692,641	)		(2,556,272	)
Advisor class of shares(1)		—			—			—			(12,517	)		—			(18,962	)
Institutional class of shares		(8,451,798	)		(21,126,963	)		(1,317,238	)		(3,789,541	)		(716,165	)		(2,472,693	)
Transfers from termination of Advisor class		—			—			—			(432,855	)		—			(473,378	)
Net shares redeemed		(9,619,500	)		(24,226,347	)		(2,268,103	)		(6,918,133	)		(1,408,806	)		(5,521,305	)
Net change resulting from fund share transactions in shares		12,103,284			11,694,749			987,366			2,379,498			39,862			(2,691,383	)

(1) Reflects operations for the period from September 1, 2010 to November 30, 2010 (termination of Advisor class of shares).

(2) Reflects operations for the period from December 28, 2010 (commencement of operations) to August 31, 2011.

126

BMO Funds

Intermediate Tax-Free Fund						Government Income Fund						TCH Corporate Income Fund						Aggregate Bond Fund
Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
$	200,237,956		$	289,504,406		$	14,452,671		$	27,307,719		$	17,190,748		$	10,831,682		$	46,863,713		$	118,833,970
	—			—			—			90,514			—			21,810			—			211,869
	33,159,376			189,888,994	(2)		3,762,810			6,555,126			5,392,991			22,222,097			35,794,104			90,704,788
	—			—			—			5,626,964			—			1,886,703			—			2,583,857
$	233,397,332		$	479,393,400		$	18,215,481		$	39,580,323		$	22,583,739		$	34,962,292		$	82,657,817		$	212,334,484
$	6,488,311		$	9,856,322		$	9,916,566		$	11,091,003		$	605,877		$	1,114,568		$	8,390,124		$	9,236,406
	—			—			—			27,225			—			17,051			—			9,292
	202,960			102,713	(2)		1,871,991			3,555,040			1,957,671			3,247,158			7,942,037			10,330,446
$	6,691,271		$	9,959,035		$	11,788,557		$	14,673,268		$	2,563,548		$	4,378,777		$	16,332,161		$	19,576,144
$	(49,786,885	)	$	(327,201,622	)	$	(40,026,723	)	$	(111,501,683	)	$	(2,734,017	)	$	(11,580,528	)	$	(12,094,943	)	$	(34,131,508	)
	—			—			—			(202,904	)		—			(29,152	)		—			(30,324	)
	(8,696,128	)		(28,926,204	)(2)		(6,667,834	)		(74,120,911	)		(4,534,591	)		(1,049,598	)		(19,710,559	)		(37,873,098	)
	—			—			—			(5,626,964	)		—			(1,886,703	)		—			(2,583,857	)
$	(58,483,013	)	$	(356,127,826	)	$	(46,694,557	)	$	(191,452,462	)	$	(7,268,608	)	$	(14,545,981	)	$	(31,805,502	)	$	(74,618,787	)
$	37,136		$	67,889		$	9,716		$	19,993		$	7,703		$	16,675		$	30,858		$	5,002
$	181,642,726		$	133,292,498		$	(16,680,803	)	$	(137,178,878	)	$	17,886,382		$	24,811,763		$	67,215,334		$	157,296,843
	18,350,915			27,356,663			1,459,075			2,750,725			1,377,133			876,601			4,294,542			10,946,244
	—			—			—			8,966			—			1,738			—			18,959
	3,038,870			18,226,615	(2)		384,359			655,737			437,443			1,800,511			3,292,772			8,362,069
	—			—			—			554,895			—			151,591			—			232,213
	21,389,785			45,583,278			1,843,434			3,970,323			1,814,576			2,830,441			7,587,314			19,559,485
	593,841			935,310			1,027,211			1,131,100			48,969			91,377			775,366			867,079
	—			—			—			2,691			—			1,359			—			833
	18,675			9,787	(2)		194,655			364,129			158,882			266,010			734,281			970,623
	612,516			945,097			1,221,866			1,497,920			207,851			358,746			1,509,647			1,838,535
	(4,569,715	)		(31,356,358	)		(4,117,938	)		(11,271,146	)		(222,030	)		(946,488	)		(1,104,136	)		(3,179,879	)
	—			—			—			(20,084	)		—			(2,329	)		—			(2,725	)
	(797,621	)		(2,763,660	)(2)		(683,455	)		(7,562,212	)		(371,838	)		(84,925	)		(1,797,424	)		(3,519,185	)
	—			—			—			(554,895	)		—			(151,591	)		—			(232,213	)
	(5,367,336	)		(34,120,018	)		(4,801,393	)		(19,408,337	)		(593,868	)		(1,185,333	)		(2,901,560	)		(6,934,002	)
	16,634,965			12,408,357			(1,736,093	)		(13,940,094	)		1,428,559			2,003,854			6,195,401			14,464,018

127

Notes to Financial Statements (continued)

	TCH Core Plus Bond Fund						Monegy High Yield Bond Fund			Government Money Market Fund
	Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012(1) (Unaudited)			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	21,641,694		$	27,253,240		$	36,870,520		$	833,328,927		$	3,020,822,884
Advisor class of shares		—			—			—			—			—
Institutional class of shares		16,283,898			15,505,172			31,612,830			838,838,358			2,089,889,084
Transfers from termination of Advisor class		—			—			—			—			—
Net proceeds from sale of shares	$	37,925,592		$	42,758,412		$	68,483,350		$	1,672,167,285		$	5,110,711,968
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares	$	1,757,882		$	2,727,467		$	241,705		$	4,992		$	14,618
Advisor class of shares		—			—			—			—			—
Institutional class of shares		1,319,245			2,382,785			198,006			1,920			25,734
Net proceeds from shares issued	$	3,077,127		$	5,110,252		$	439,711		$	6,912		$	40,352
Cost of shares redeemed:
Investor class of shares	$	(3,626,700	)	$	(7,745,575	)	$	(319,469	)	$	(942,691,174	)	$	(3,118,146,997	)
Advisor class of shares		—			—			—			—			—
Institutional class of shares		(2,358,735	)		(6,240,906	)		(34,130	)		(736,777,310	)		(2,159,833,803	)
Transfers from termination of Advisor class		—			—			—			—			—
Net cost of shares redeemed	$	(5,985,435	)	$	(13,986,481	)	$	(353,599	)	$	(1,679,468,484	)	$	(5,277,980,800	)
Redemption fees	$	3,699		$	3,680		$	—		$	—		$	—
Net change resulting from fund share transactions in dollars	$	35,020,983		$	33,885,863		$	68,569,462		$	(7,294,287	)	$	(167,228,480	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,899,862			2,406,773			3,673,804			833,328,927			3,020,822,884
Advisor class of shares		—			—			—			—			—
Institutional class of shares		1,432,646			1,360,832			3,157,755			838,838,358			2,089,889,084
Transfers from termination of Advisor class		—			—			—			—			—
Net sale of shares		3,332,508			3,767,605			6,831,559			1,672,167,285			5,110,711,968
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		154,306			242,788			23,675			4,992			14,618
Advisor class of shares		—			—			—			—			—
Institutional class of shares		115,775			212,230			19,396			1,920			25,734
Net shares issued		270,081			455,018			43,071			6,912			40,352
Shares redeemed:
Investor class of shares		(317,802	)		(682,996	)		(31,557	)		(942,691,174	)		(3,118,146,997	)
Advisor class of shares		—			—			—			—			—
Institutional class of shares		(207,439	)		(553,343	)		(3,359	)		(736,777,310	)		(2,159,833,803	)
Transfers from termination of Advisor class		—			—			—			—			—
Net shares redeemed		(525,241	)		(1,236,339	)		(34,916	)		(1,679,468,484	)		(5,277,980,800	)
Net change resulting from fund share transactions in shares		3,077,348			2,986,284			6,839,714			(7,294,287	)		(167,228,480	)

(1) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

(2) Reflects operations for the period from September 1, 2011 to December 19, 2011 (termination of Advisor class of shares).

128

BMO Funds

Tax-Free Money Market Fund						Prime Money Market Fund
Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011			Six Months Ended February 29, 2012 (Unaudited)			Year Ended August 31, 2011
$	268,992,972		$	568,158,629		$	1,186,236,310		$	2,990,676,176
	—			—			15,001,800	(2)		74,412,772
	1,006,411,294			1,763,183,361			3,666,127,982			9,918,525,106
	—			—			61,537,780			—
$	1,275,404,266		$	2,331,341,990		$	4,928,903,872		$	12,983,614,054
$	20,655		$	84,287		$	23,313		$	29,428
	—			—			1,589	(2)		6,510
	80,029			183,727			212,354			680,371
$	100,684		$	268,014		$	237,256		$	716,309
$	(268,079,312	)	$	(623,783,216	)	$	(1,268,053,229	)	$	(3,001,981,049	)
	—			—			(19,357,491	)(2)		(76,592,282	)
	(970,062,239	)		(1,757,194,199	)		(3,832,466,708	)		(9,831,901,515	)
	—			—			(61,537,780	)		—
$	(1,238,141,551	)	$	(2,380,977,415	)	$	(5,181,415,208	)	$	(12,910,474,846	)
$	—		$	—		$	—		$	—
$	37,363,399		$	(49,367,411	)	$	(252,274,080	)	$	73,855,517
	268,992,971			568,158,339			1,186,236,310			2,990,676,176
	—			—			15,001,800	(2)		74,412,772
	1,006,411,294			1,763,182,498			3,666,127,982			9,918,525,106
	—			—			61,537,780			—
	1,275,404,265			2,331,340,837			4,928,903,872			12,983,614,054
	20,655			84,287			23,313			29,428
	—			—			1,589	(2)		6,510
	80,029			183,727			212,354			680,371
	100,684			268,014			237,256			716,309
	(268,079,312	)		(623,783,216	)		(1,268,053,229	)		(3,001,981,049	)
	—			—			(19,357,491	)(2)		(76,592,282	)
	(970,062,239	)		(1,757,194,199	)		(3,832,466,708	)		(9,831,901,515	)
	—			—			(61,537,780	)		—
	(1,238,141,551	)		(2,380,977,415	)		(5,181,415,208	)		(12,910,474,846	)
	37,363,398			(49,368,564	)		(252,274,080	)		73,855,517

129

Notes to Financial Statements (continued)

5. Investment Adviser Fee and Other Transactions with Affiliates

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

	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Large-Cap Value Fund		0.75	%		0.74	%		0.70	%		0.65	%
Dividend Income Fund(1)		0.50			0.49			0.45			0.40
Large-Cap Growth Fund		0.75			0.74			0.70			0.65
Large-Cap Focus Fund		0.50			0.49			0.45			0.40
Mid-Cap Value Fund		0.75			0.74			0.70			0.65
Mid-Cap Growth Fund		0.75			0.74			0.70			0.65
Small-Cap Value Fund		0.75			0.75			0.75			0.75
Small-Cap Growth Fund		1.00			1.00			1.00			1.00
Pyrford International Stock Fund(1)		0.80			0.79			0.75			0.70
Lloyd George Emerging Markets Equity Fund(2)		0.90			0.89			0.85			0.80
Pyrford Global Strategic Return Fund(1)		0.80			0.79			0.75			0.70
Ultra Short Tax-Free Fund		0.20			0.19			0.10			0.10
Short-Term Income Fund		0.20			0.19			0.10			0.10
Short-Intermediate Bond Fund		0.40			0.39			0.30			0.25
Intermediate Tax-Free Fund		0.30			0.29			0.20			0.15
Government Income Fund		0.40			0.39			0.30			0.25
TCH Corporate Income Fund		0.25			0.24			0.15			0.10
Aggregate Bond Fund		0.40			0.39			0.30			0.25
TCH Core Plus Bond Fund		0.25			0.24			0.15			0.10
Monegy High Yield Bond Fund(1)		0.50			0.50			0.50			0.50

(1) Commenced operations on December 30, 2011.

(2) Effective December 29, 2011. Prior to December 29, 2011, the annual rates were 1.00, 0.99, 0.95 and 0.90, respectively.

	Fund’s ADNA
Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

The Pyrford International Stock Fund and Pyrford Global Strategic Return Fund’s sub-adviser is Pyrford International Ltd., an affiliate of the Adviser. The Lloyd George Emerging Markets Equity Fund’s sub-adviser is Lloyd George Management (Hong Kong) Limited, an affiliate of the Adviser. Prior to December 29, 2011, the Lloyd George Emerging Markets Equity Fund’s sub-adviser was Trilogy Global Advisors, LP. The TCH Corporate Income Fund and TCH Core Plus Bond Fund’s sub-adviser is Taplin, Canida & Habacht, LLC, an affiliate of the Adviser. The Monegy High Yield Bond Fund’s sub-adviser is HIM Monegy, Inc., an affiliate of the Adviser. The Adviser compensates each sub-adviser based on the level of average daily net assets of each respective Fund managed by each sub-adviser.

130

BMO Funds

The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent class specific total annual operating expenses (excluding taxes, interest, brokerage commissions, other investment related costs and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business, and Acquired Fund Fees and Expenses) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to the date of the Funds’ next updated prospectus unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Institutional Class
Large-Cap Value Fund		1.24	%		0.99	%
Dividend Income Fund(1)		0.90			0.65
Large-Cap Growth Fund		1.24			0.99
Large-Cap Focus Fund		0.90			0.65
Mid-Cap Value Fund		1.24			0.99
Mid-Cap Growth Fund		1.24			0.99
Small-Cap Value Fund		1.24			0.99
Small-Cap Growth Fund		1.44			1.19
Pyrford International Stock Fund(1)		1.24			0.99
Lloyd George Emerging Markets Equity Fund(2)		1.40			1.15
Pyrford Global Strategic Return Fund(1)		1.24			0.99
Ultra Short Tax-Free Fund		0.55			0.30
Short-Term Income Fund		0.60			0.35
Short-Intermediate Bond Fund		0.80			0.55
Intermediate Tax-Free Fund		0.55			0.50
Government Income Fund		0.80			0.55
TCH Corporate Income Fund		0.80			0.55
Aggregate Bond Fund		0.80			0.55
TCH Core Plus Bond Fund		0.80			0.55
Monegy High Yield Bond Fund(1)		0.90			0.65
Government Money Market Fund		0.45			0.20
Tax-Free Money Market Fund		0.45			0.20
Prime Money Market Fund(3)		0.45			0.20

(1) Commenced operations on December 30, 2011.

(2) Effective December 29, 2011. Prior to December 29, 2011, the annual rates were 1.50% and 1.25%, respectively.

(3) The Prime Money Market Fund’s Advisor Class terminated on December 19, 2011. Prior to termination date, the Prime Money Market Advisor Class annual rate was 0.75%.

For the period ended February 29, 2012, the Adviser chose to voluntarily waive beyond its contractual expense limitations for the following Funds in the following amounts:

Fund	Additional Fees Waived
Government Money Market Fund	$	435,437
Tax-Free Money Market Fund		15,466
Prime Money Market Fund		680,025

131

Notes to Financial Statements (continued)

Shareholder Services Fee—Under the terms of a Shareholder Services Agreement with BMO Funds U.S. Services (“U.S. Services”), a division of M&I Trust Company, NA (“M&I Trust”), each Fund pays U.S. Services at the annual rate of 0.25% of average daily net assets of the Fund’s Investor and Advisor Class shares for the period. The fee paid to U.S. Services is used to finance certain services for shareholders and to maintain shareholder accounts. U.S. Services may voluntarily choose to waive any portion of its fee. U.S. Services can modify or terminate this voluntary waiver at any time at its sole discretion.

Administrative Fee—M&I Trust, under the Administrative Services Agreement, provides the Funds with administrative personnel and services. The fee paid to M&I Trust is based on each Fund’s average daily net assets with respect to the Equity Funds and Fixed Income Funds and the aggregate average daily net assets of all the Money Market Funds as listed below.

Equity & Fixed Income Funds		Money Market Funds
Annual Rate	ADNA	Annual Rate	ADNA
0.0925%	on the first $250 million	0.0400%	on the first $2 billion
0.0850	on the next $250 million	0.0300	on the next $2 billion
0.0800	on the next $200 million	0.0250	on the next $2 billion
0.0400	on the next $100 million	0.0200	on the next $2 billion
0.0200	on the next $200 million	0.0100	in excess of $8 billion
0.0100	in excess of $1.0 billion

Custodian Fees—M&I Trust is the Funds’ custodian, except for the Pyrford International Stock Fund, Lloyd George Emerging Markets Equity Fund and Pyrford Global Strategic Return Fund, for which State Street Bank and Trust Company maintains custody. M&I Trust receives fees based on the level of each Fund’s average daily net assets consisting of two basis points on the first $250,000,000 and one basis point thereafter for the period.

Distribution Services Fee—The Prime Money Market Fund had previously been subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorized payments by the Fund to finance activities intended to result in the sale of its Advisor Class shares. The Plan provided that the Fund may incur distribution expenses of 0.30% of the average daily net assets of the Fund’s Advisor Class shares. The Prime Money Market Advisor Class terminated as of December 19, 2011.

Securities Lending—The Funds pay a portion of net revenue from securities lending to M&I Trust for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these expenses. The following amounts were paid for the year ended February 29, 2012:

Fund	Fees Paid		Fund	Fees Paid
Large-Cap Value Fund	$	12,412	Short-Term Income Fund	$	9,151
Large-Cap Growth Fund		19,808	Short-Intermediate Bond Fund		25,292
Large-Cap Focus Fund		3,419	Government Income Fund		15,390
Mid-Cap Value Fund		22,414	Corporate Income Fund		6,587
Mid-Cap Growth Fund		33,430	Aggregate Bond Fund		61,597
Small-Cap Value Fund		5,726	Core Plus Bond Fund		7,624
Small-Cap Growth Fund		162,954

132

BMO Funds

Investments in Affiliated Issuers—An affiliated issuer is an entity in which the Fund has ownership of at least 5% of the voting securities or any investment in a BMO Fund. Issuers which are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Transactions during the period with entities which are affiliates as of February 29, 2012 are as follows:

Fund/Security	Value, Beginning of Period		Purchases		Sales Proceeds		Dividends Credited to Income		Value, End of Period
Large-Cap Value Fund Prime Money Market Fund, Class I, 0.210%	$	—	$	18,861,865	$	17,295,431	$	3,646	$	1,566,434
Dividend Income Fund Prime Money Market Fund, Class I, 0.210%		—		45,058,517		43,014,555		1,880		2,043,962
Large-Cap Growth Fund Prime Money Market Fund, Class I, 0.210%		—		55,836,154		53,574,988		5,952		2,261,166
Large-Cap Focus Fund Prime Money Market Fund, Class I, 0.210%		—		16,593,476		11,550,313		3,883		5,043,163
Mid-Cap Value Fund Prime Money Market Fund, Class I, 0.210%		—		41,605,010		27,193,202		6,300		14,411,808
Mid-Cap Growth Fund Prime Money Market Fund, Class I, 0.210%		—		46,427,212		40,034,130		3,607		6,393,082
Small-Cap Value Fund Prime Money Market Fund, Class I, 0.210%		—		7,105,975		4,968,870		1,015		2,137,105
Small-Cap Growth Fund Safeguard Scientifics, Inc.		19,743,636		—		—		—		20,814,519
Prime Money Market Fund, Class I, 0.210%		—		99,611,701		76,151,204		12,355		23,460,497
Ultra Short Tax-Free Fund Tax-Free Money Market Fund, Class I, 0.280%		33,366,087		257,425,960		272,967,407		33,872		17,824,640
Short-Term Income Fund Prime Money Market Fund, Class I, 0.210%		—		50,979,260		43,246,080		9,128		7,733,180
Short-Intermediate Bond Fund Prime Money Market Fund, Class I, 0.210%		—		73,728,277		67,059,862		5,275		6,668,415
Intermediate Tax-Free Fund Tax-Free Money Market Fund, Class I, 0.280%		42,929,058		165,464,139		151,846,272		43,112		56,546,925
Government Income Fund Government Money Market Fund, Class I, 0.010%		—		91,759,749		86,611,964		579		5,147,785
TCH Corporate Income Fund Prime Money Market Fund, Class I, 0.210%		4,018,890		43,690,947		41,983,920		5,278		5,725,917
Aggregate Bond Fund Prime Money Market Fund, Class I, 0.210%		—		229,868,079		218,688,458		24,506		11,179,621
TCH Core Plus Bond Fund Prime Money Market Fund, Class I, 0.210%		6,903,852		50,855,042		50,150,608		5,384		7,608,286
Monegy HighYield Bond Fund Prime Money Market Fund, Class I, 0.210%		—		41,370,194		39,835,012		2,975		1,535,182

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes, although the Money Market Funds cannot participate as borrowers. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of a Money Market Fund and (ii) more favorable than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. The Large-Cap Growth Fund, Mid-Cap Value Fund and TCH Core Plus Bond Fund utilized this program as borrower, and the Prime Money Market Fund as lender for the period ended February 29, 2012. No interfund borrowing or lending balances existed as of February 29, 2012. For the period ended February 29, 2012, the average daily lending balances were $23, $42 and $131,219, and the weighted average interest rates were 0.705%, 0.705%, and 0.752%, respectively.

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

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

133

Notes to Financial Statements (continued)

6. Line of Credit

The Corporation, on behalf of the respective Funds, entered into a $15,000,000 unsecured, committed revolving line of credit (“LOC”) agreement with State Street Bank and Trust Company. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of 1.250% per annum over the greater of the Federal Funds rate or the London Interbank Offered Rate (LIBOR). The LOC includes a commitment fee of 0.125% per annum on the daily unused portion which during the fiscal year was paid by the Adviser. The Tax-Free Money Market Fund utilized the LOC during the period ended February 29, 2012. No borrowings were outstanding under the LOC at February 29, 2012. For the period ended February 29, 2012, the Tax-Free Money Market Fund’s average daily loan balance outstanding was $1,353, and the weighted average interest rate was 1.398%.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations and in-kind contributions, for the period ended February 29, 2012 were as follows:

	Other than U.S. Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Large-Cap Value Fund	$	123,768,891	$	133,595,666	$	—	$	—
Dividend Income Fund (1)		56,511,124		5,339,054		—		—
Large-Cap Growth Fund		209,583,245		234,947,243		—		—
Large-Cap Focus Fund		7,534,862		17,005,929		—		—
Mid-Cap Value Fund		43,209,047		66,158,491		—		—
Mid-Cap Growth Fund		89,561,247		130,581,515		—		—
Small-Cap Value Fund		8,173,372		6,386,103		—		—
Small-Cap Growth Fund		270,095,100		303,088,347		—		—
Pyrford International Stock Fund (1)		89,917,163		1,672,230		—		—
Lloyd George Emerging Markets Equity Fund		49,150,607		38,855,190		—		—
Pyrford Global Strategic Return Fund (1)		4,679,349		125,204		14,140,741		—
Ultra Short Tax-Free Fund		465,944,540		341,681,257		—		—
Short-Term Income Fund		43,071,044		36,198,690		23,087,792		18,403,975
Short-Intermediate Bond Fund		46,861,000		32,268,047		115,770,347		132,031,469
Intermediate Tax-Free Fund		321,334,183		157,613,185		—		—
Government Income Fund		9,807,537		16,988,271		554,158,662		559,637,613
TCH Corporate Income Fund		53,479,140		38,986,064		—		1,160,543
Aggregate Bond Fund		135,871,725		85,051,052		618,234,613		598,150,124
TCH Core Plus Bond Fund		57,685,377		34,254,403		17,260,981		4,581,248
Monegy High Yield Bond Fund (1)		67,831,849		1,122,377		—		—

(1) Reflects operations for the period from December 30, 2011 (commencement of operations) to February 29, 2012.

8. Federal Tax Information

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

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

The Funds complied with the Financial Accounting Standards Board (“FASB”) Accounting for Uncertainty in Income Taxes which provides guidance for how uncertain tax provisions should be recognized, measured, presented and disclosed in the financial statements. Accounting for Uncertainty in Income Taxes requires the affirmative evaluation of tax positions taken or expected to be taken in the course of preparing the Funds’ tax returns to determine whether it is “more-likely-than-not,” (i.e., greater than 50 percent) of being sustained by the applicable tax authority. Tax positions not deemed to meet the more-likely-than-not threshold may result in a tax benefit or expense in the current year.

134

BMO Funds

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds, have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 29, 2012. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

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

	Cost of Investments for Federal Tax Purposes			Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
Large-Cap Value Fund	$	144,577,708		$	17,834,913	$	(1,722,803	)	$	16,112,110
Dividend Income Fund		53,287,507			2,665,132		(566,488	)		2,098,644
Large-Cap Growth Fund		187,550,024			16,244,018		(1,773,549	)		14,470,469
Large-Cap Focus Fund		50,866,812			8,694,650		(1,020,156	)		7,674,494
Mid-Cap Value Fund		246,362,728			50,360,985		(6,910,147	)		43,450,838
Mid-Cap Growth Fund		259,894,980			66,392,052		(8,454,214	)		57,937,838
Small-Cap Value		35,753,801			2,837,639		(1,452,726	)		1,384,913
Small-Cap Growth Fund		721,572,702			111,021,503		(15,547,939	)		95,473,564
Pyrford International Stock Fund		88,173,761			6,155,117		(1,057,663	)		5,097,454
Lloyd George Emerging Markets Equity Fund		50,865,050			8,285,963		(316,152	)		7,969,811
Pyrford Global Strategic Return Fund		18,693,997			413,523		(42,370	)		371,153
Ultra Short Tax Free Fund		538,483,494			1,550,263		(402,183	)		1,148,080
Short-Term Income Fund		191,827,427			2,473,262		(2,221,048	)		252,214
Short-Intermediate Bond Fund		217,344,858			4,635,354		(2,547,916	)		2,087,438
Intermediate Tax-Free Fund		734,379,040			37,493,452		(661,132	)		36,832,320
Government Income Fund		340,533,793			4,792,107		(2,445,999	)		2,346,108
TCH Corporate Income Fund		129,133,920			7,518,083		(414,629	)		7,103,454
Aggregate Bond Fund		759,623,143			13,565,115		(821,526	)		12,743,589
TCH Core Plus Bond Fund		178,446,721			9,413,064		(384,523	)		9,028,541
Monegy High Yield Bond Fund		68,224,182			1,718,326		(148,509	)		1,569,817
Government Money Market Fund		493,106,390	*		—		—			—
Tax-Free Money Market Fund		906,585,160	*		—		—			—
Prime Money Market Fund		3,378,948,328	*		—		—			—

* at amortized cost

135

Notes to Financial Statements (continued)

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2011 and 2010 was as follows:

	2011						2010
Fund	Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains
Large-Cap Value Fund	$	1,064,385	$	—	$	—	$	2,568,413	$	—	$	—
Large-Cap Growth Fund		421,542		—		—		549,573		—		—
Large-Cap Focus Fund		32,091		—		—		—		—		—
Mid-Cap Value Fund		1,472,665		—		—		1,722,756		—		—
Mid-Cap Growth Fund		—		—		—		172,984		—		—
Small-Cap Value Fund		—		—		—		—		—		—
Small-Cap Growth Fund		—		—		—		—		—		—
Lloyd George Emerging Markets Equity Fund		3,154,941		—		1,840,777		2,365,348		—		—
Ultra Short Tax-Free Fund		50,748		5,523,704		—		—		—		—
Short-Term Income Fund		3,082,641		—		—		3,388,668		—		—
Short-Intermediate Bond Fund		3,095,292		—		—		3,870,074		—		—
Intermediate Tax-Free Fund		850,582		15,768,406		373,740		172,214		9,351,586		91,379
Government Income Fund		17,176,935		—		—		12,899,501		—		—
TCH Corporate Income Fund		4,290,267		—		625,190		1,957,183		—		—
Aggregate Bond Fund		20,750,409		—		277,313		7,511,491		—		—
TCH Core Plus Bond		4,389,197		—		919,980		2,817,338		—		—
Government Money Market Fund		149,408		—		—		357,365		—		—
Tax-Free Money Market Fund		59,803		2,161,718		44,892		226,651		4,064,458		3,774
Prime Money Market Fund		4,265,991		—		—		6,812,325		—		—

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

As of August 31, 2011, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Unrealized Appreciation (Depreciation)
Large-Cap Value Fund	$	756,720	$	—	$	—	$	(31,440,695	)	$	24,117,833
Large-Cap Growth Fund		—		—		—		(7,690,340	)		13,236,925
Large-Cap Focus Fund		471,638		—		—		—			685,857
Mid-Cap Value Fund		556,761		—		—		(2,264,893	)		24,500,214
Mid-Cap Growth Fund		—		—		—		(7,270,801	)		37,469,350
Small-Cap Value Fund		—		—		—		(62,383	)		(1,972,847	)
Small-Cap Growth Fund		—		—		30,676,573		—			28,296,094
Lloyd George Emerging Markets Equity Fund		1,035,916		—		2,692,408		—			11,501,769
Ultra Short Tax-Free Fund		3,388		—		2,313		—			544,437
Short-Term Income Fund		132,775		—		—		(4,810,467	)		(804,821	)
Short-Intermediate Bond Fund		170,292		—		—		(31,614,991	)		550,748
Intermediate Tax-Free Fund		157,708		24,784		240,411		—			14,978,231
Government Income Fund		4,146,154		—		5,678,312		—			4,201,915
TCH Corporate Income Fund		116,894		—		412,202		—			4,923,756
Aggregate Bond Fund		4,218,674		—		1,422,393		—			9,947,625
TCH Core Plus Bond Fund		204,656		—		477,290		—			6,831,790
Government Money Market Fund		—		—		—		—			—
Tax-Free Money Market Fund		—		53		—		—			—
Prime Money Market Fund		46,112		—		—		—			—

136

BMO Funds

At August 31, 2011, the Funds had capital loss carryforwards, which reduce the Funds’ taxable income arising from future net realized gains on investments, if any, to the extent permitted by the Code, and thus will reduce the amount of distributions to shareholders which would otherwise be necessary to relieve the Funds of any liability for federal tax. Pursuant to the Code, such capital loss carryforwards will expire as follows:

	Capital Loss Carryforward to Expire In
Fund	2012		2013		2014		2015		2016		2017		2018		2019		Not  Subject to Expiration		Total
Large-Cap Value Fund		—		—		—		—		—		1,657,979		29,782,716		—		—		31,440,695
Large-Cap Growth Fund		—		—		—		—		—		550,690		7,139,650		—		—		7,690,340
Mid-Cap Value Fund		—		—		—		—		—		—		2,264,893		—		—		2,264,893
Mid-Cap Growth Fund		—		—		—		—		—		1,472,796		5,798,005		—		—		7,270,801
Small-Cap Value Fund		—		—		—		—		—		—		—		—		62,383		62,383
Short-Term Income Fund		1,906,315		797,744		906,238		983,288		216,882		—		—		—		—		4,810,467
Short-Intermediate Bond Fund		—		—		5,042,619		4,819,127		—		—		20,798,157		952,005		—		31,611,908

During the fiscal year ended August 31, 2011, the Large-Cap Value, Large-Cap Growth, Mid-Cap Value, Mid-Cap Growth, Small-Cap Growth, Short-Term Income, and Prime Money Market Funds, respectively, utilized $11,646,857, $19,581,147, $19,708,444, $31,497,329, $27,419,429, $405,563, and $157,633 of capital loss carryforwards.

The Short Intermediate Bond and Prime Money Market Funds had losses expiring during the fiscal year ended August 31, 2011, in the amount of $1,234,191 and $157,668, respectively.

As of August 31, 2011, the Short-Intermediate Bond has $3,083 of post-October losses, which are deferred until fiscal year 2012 for tax purposes. Net capital losses incurred after October 31, and within the taxable year are deemed to arise on the first day of the Fund’s next taxable year.

10. Recently Issued Accounting Pronouncements

In April 2011, FASB issued Accounting Standards Update (“ASU”) No. 2011-03, “Reconsideration of Effective Control for Repurchase Agreements”. ASU No. 2011-03 amends FASB Accounting Standards Codification (“ASC”) Topic 860, “Transfers and Servicing”, specifically the criteria required to determine whether a repurchase agreement (repo) and similar agreements should be accounted for as sales of financial assets or secured borrowings with commitments. ASU No. 2011-03 changes the assessment of effective control by focusing on the transferor’s contractual rights and obligations and removing the criterion to assess its ability to exercise those rights or honor those obligations. This could result in changes to the way entities account for certain transactions including repurchase agreements, mortgage dollar rolls and reverse repurchase agreements. The ASU will become effective on a prospective basis for new transfers and modifications to existing transactions as of the beginning of the first interim or annual period beginning on or after December 15, 2011. Management continues to evaluate the application of this pronouncement to the Funds and the significance of its impact, if any, on the Funds’ financial statements.

In May 2011, FASB issued ASU No. 2011-04, “Amendments to Achieve Common Fair Value Measurement and Disclosure Requirements in U.S. GAAP and the International Financial Reporting Standards (“IFRSs”)”. ASU No. 2011-04 amends FASB ASC Topic 820, “Fair Value Measurements and Disclosures”, to establish common requirements for measuring fair value and for disclosing information about fair value measurements in accordance with GAAP and IFRSs. ASU No. 2011-04 is effective for fiscal years beginning after December 15, 2011 and for interim periods within those fiscal years. Management is currently evaluating the effect these amendments may have on the Funds’ financial statements.

In December 2011, FASB issued ASU No. 2011-11 related to disclosures about offsetting assets and liabilities. The amendments in this ASU require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The ASU is effective for annual reporting periods beginning on or after January 1, 2013, and interim periods within those annual periods. The guidance requires retrospective application for all comparative periods presented. Management is currently evaluating the effect ASU No. 2011-11 may have on the Funds’ financial statements.

137

Shareholder Report Disclosure of Directors’ Approval of
Advisory and Sub-Advisory Contracts

Approval of Advisory and Subadvisory Agreements for BMO Dividend Income Fund, BMO Monegy High Yield Bond Fund, BMO Pyrford Global Strategic Return Fund and BMO Pyrford International Stock Fund

On November 2, 2011, the Board of Directors (the “Board”) of Marshall Funds, Inc. (the “Corporation”) (now doing business as the BMO Funds), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), considered the approval of the investment advisory agreement (the “Advisory Agreement”) between the Corporation and M&I Investment Management Corp. (the “Adviser”) on behalf of BMO Dividend Income Fund, BMO Monegy High Yield Fund, BMO Pyrford Global Strategic Return Fund and BMO Pyrford International Stock Fund (each a “New Fund” and collectively the “New Funds”) and the approval of subadvisory agreements (each a “Subadvisory Agreement” and together, the “Subadvisory Agreements”) with HIM Monegy, Inc. (“Monegy”) on behalf of BMO Monegy High Yield Bond Fund and with Pyrford International Ltd. (“Pyrford”) on behalf of BMO Pyrford Global Strategic Return Fund and BMO Pyrford International Stock Fund. Monegy and Pyrford are referred to herein as a “Subadviser” and collectively as the “Subadvisers” to the “New Subadvised Funds.”

On November 2, 2011, the Board met in person with management of the Adviser and with representatives of Monegy and Pyrford. The Independent Directors also met separately in executive session with their independent legal counsel to review and consider the information provided by the Adviser regarding the Advisory Agreement for the New Funds, and the information provided by Monegy and Pyrford regarding the Subadvisory Agreements for the New Subadvised Funds. The Independent Directors considered, among other factors, the Adviser’s long-term relationship with the Corporation, the services the Adviser provides for other funds of the Corporation, and the recent transaction whereby the parent company of the Adviser was acquired by Bank of Montreal (“BMO”). The Independent Directors noted that, in evaluating the Advisory Agreement and the Subadvisory Agreements, they were taking into account their accumulated experience as Independent Directors in working with the Adviser on matters relating to the Corporation’s other funds. Based on their review, the Independent Directors concluded that it was in the best interests of the New Funds to approve the Advisory Agreement, and accordingly, recommended that the Board approve the Advisory Agreement. The material factors and conclusions that formed the basis for the Board’s determinations are discussed below.

Advisory Contract with the Adviser

Nature, Extent and Quality of Services

In evaluating the nature, extent and quality of the services to be provided by the Adviser to the New Funds, the Board reviewed information describing the resources and key personnel of the Adviser, including the personnel who would provide investment management services to the New Funds. The Board also considered the services Marshall & Ilsley Trust Company N.A. (the “Administrator”) would provide for the New Funds. The Board noted that at its May, July and August 2011 meetings, it had reviewed the advisory functions performed by the Adviser, as well as other services performed by the Adviser and Administrator for the Corporation’s other funds. The Board also considered the Adviser’s experience in managing new funds.

As the New Funds are newly created series, the Board did not review performance information for the New Funds. For the BMO Dividend Income Fund, the Board reviewed performance data for various periods ended September 30, 2011 of composite accounts managed by the Adviser using the strategy proposed for the fund.

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

Costs of Services Provided and Profits Realized by the Adviser

The Board reviewed information comparing each New Fund’s management fee and net expense ratio to the average management fee and average net expense ratio of a peer group of funds provided by the Adviser using data obtained from Lipper Inc. (“Lipper”). The Board considered that the Adviser has agreed to contractual expense limitations for the New Funds through December 29, 2012 (the “Expense Limitation”), and that the net expense ratio for the New Funds takes into account the effect of the Expense Limitation. In reviewing the information, the Board noted that the Fund’s management fee and net expense ratio for each New Fund were both below the average management fee and average net expense ratio of the peer group except that the advisory fee of .80% for the BMO Pyrford Global Strategic Return Fund was just above the average management fee of the Lipper Global Balanced category.

The Board also noted that because the New Funds were newly organized and had no assets, the Adviser did not provide profitability information. The Board considered the proposed Expense Limitation Agreement and concluded that profitability was not expected to be unreasonable.

On the basis of the information provided, the Board concluded that each New Fund’s management fee was reasonable, taking into account the nature, quality and extent of services to be provided by the Adviser.

Economies of Scale

The Board considered the extent to which economies of scale would be realized as the New Funds grow and whether the New Funds’ fee levels reflect these economies of scale for the benefit of shareholders. The Board noted that the Advisory Agreement for the BMO Dividend Income Fund, the BMO Pyrford Global Strategic Return Fund and the BMO Pyrford International Stock

138

BMO Funds

Fund each contained breakpoints which would provide additional economies of scale as the funds grow. With respect to the BMO Monegy High Yield Fund, the Board noted that the Adviser was willing to consider breakpoints in the future. The Board considered that the New Funds were not yet operational and had no assets and also considered each New Fund’s net expense ratio giving effect to the Expense Limitation and concluded that the New Funds’ Expense Limitation was a reasonable way to provide the benefits of economies of scale to shareholders at this time.

Other Benefits to the Adviser

The Board considered benefits that accrue to the Adviser and its affiliates, including Monegy and Pyrford, from their contractual relationships with the New Funds, including administration and custody fees and revenues from securities lending. The Board concluded that, taking into account these benefits, the management fee for each New Fund was reasonable.

Subadvisory Agreements with the Subadvisers

Nature, Extent and Quality of Services

Similar to the review of the advisory contract with the Adviser, the Board considered the nature, extent and quality of services to be provided by each of Monegy and Pyrford. The Board reviewed the qualifications and background of each Subadviser, the investment approach and philosophy of each Subadviser, and the experience and skills of the investment personnel responsible for the day-to-day management of each New Subadvised Fund. The Board considered the in-person presentations by representatives of each Subadviser. The Board considered that the services to be provided by each of Monegy and Pyrford under the Subadvisory Agreements, included selecting broker-dealers for execution of portfolio transactions, monitoring adherence to the respective New Subadvised Fund’s investment restrictions, and assisting with portfolio compliance with securities laws, regulations, policies and procedures.

Review of Performance

As the New Subadvised Funds are newly created series and had not commenced operations, the Board did not review performance information for the New Subadvised Funds. The Board reviewed performance data provided by Monegy and Pyrford for various periods ended September 30, 2011 of composite accounts managed by each of Monegy and Pyrford using similar strategies as proposed for each New Subadvised Fund.

Costs of Services Provided and Profits Realized by the Subadvisers

The Board considered that the subadvisory fee to be paid to each of Monegy and Pyrford was within a competitive range of fees charged by the respective Subadviser to other accounts with similar investment strategies. With respect to profitability, the Board considered that the Adviser compensates each Subadviser from its fee and that each Subadviser is an affiliate of the Adviser.

On the basis of the information provided, the Board concluded that the subadvisory management fee to be paid to each of Monegy and Pyrford was reasonable, taking into account the nature, quality and extent of services to be provided by the Subadvisers.

Economies of Scale

Because the Subadvisers are each affiliates of the Adviser and are paid by the Adviser, the Board did not separately review the extent to which economies of scale are realized as each New Subadvised Fund grows. The Board noted that each Subadviser’s compensation would be reduced proportionately along with any advisory fee reductions as a result of advisory fee breakpoints.

Other Benefits to the Subadvisers

The Board noted that no material benefits to the Subadvisers were identified other than the subadvisory fees. The Board noted that each Subadviser was an affiliate of the Adviser.

Conclusion

After full consideration of the above factors as well as other factors that were instructive in evaluating the Advisory Agreement and the Subadvisory Agreements, the Board concluded that the terms of the Advisory Agreement and each Subadvisory Agreement are fair and reasonable and that approval of the Advisory Agreement and each Subadvisory Agreement is in the best interests of each applicable New Fund, taking into consideration the nature, extent and quality of services to be provided, proposed fee and expense levels, economies of scale and other benefits to the Adviser and the Subadvisers.

Approval of New Sub-Advisory Agreement for the Emerging Markets Equity Fund

On November 2, 2011, the Board of Directors of Marshall Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation, as defined in the Investment Company Act of 1940, as amended (the “Independent Directors”), met to consider the approval of a new subadvisory agreement (the “New Subadvisory Agreement”) between the Adviser and Lloyd George Management (Hong Kong) Limited (“LGM(HK)”) on behalf of the BMO Lloyd George Emerging Markets Equity Fund (f/k/a Marshall Emerging Markets Equity Fund) (the “Fund”). The Board considered that the material terms of the New Subadvisory Agreement were substantially similar to those of the then current subadvisory

139

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

agreement with Trilogy Global Advisors, LP (“Trilogy”). The Board also considered the in-person presentation by LGM(HK) and information received at or prior to its November 2, 2011 meeting in response to the request for information by the Independent Directors and their independent legal counsel, including, but not limited to, the organizational structure and investment strategy of LGM(HK), select financial statements, the experience and background of key management personnel, a summary detailing key provisions of its written compliance program, its Code of Ethics and comparative fee information for a private fund managed by LGM(HK) with the same strategy as that proposed for the Fund.

On November 2, 2011, the Board met in person with management of the Adviser and with the portfolio managers of LGM(HK) who would manage the Fund, and the Independent Directors also met separately in executive session with their independent legal counsel. Based on their review, the Independent Directors concluded that it was in the best interest of the Fund to approve the New Subadvisory Agreement and accordingly recommended to the Board the approval of the New Subadvisory Agreement. In deciding to approve the New Subadvisory Agreement for the Fund, the Board did not identify any single factor or group of factors as all-important or controlling and considered all factors together. The material factors and conclusions that formed the basis for the Board’s determination are described below.

Nature, Extent and Quality of Services

The Board considered the nature, extent and quality of services to be provided by LGM(HK) under the New Subadvisory Agreement. The Board also considered the in-person presentation by the portfolio managers of LGM(HK) and reviewed the qualifications and background of LGM(HK), its resources and financial condition, its investment approach and philosophy and the investment personnel who will be responsible for the day-to-day management of the Fund. The Board considered that the firm had been founded by Robert Lloyd George, one of the proposed portfolio managers, and that the firm focused exclusively on Asian, Global Emerging and Frontier equity markets. The Board considered that the services provided by LGM(HK) under the New Subadvisory Agreement would be substantially similar to those provided by Trilogy under the then current subadvisory agreement, including selecting broker-dealers for execution of portfolio transactions, monitoring adherence to the Fund’s investment restrictions, and assisting with the Fund’s compliance with securities laws and regulations and the Fund’s policies and procedures.

Review of Investment Performance

The Board reviewed the Fund’s calendar year total return for 2009, 2010 and year-to-date through September 30, 2011 compared to the performance of the MSCI Emerging Markets Index and the Lipper Emerging Markets Fund Index. The Board noted that the Fund had underperformed the Lipper Emerging Markets Fund Index for each of the periods reviewed and had underperformed the MSCI Emerging Markets Index for the year-to-date period in 2011 and calendar year 2009.

The Board also reviewed the total return information for a private fund managed by LGM(HK) with the same strategy as that proposed for the Fund for various periods since its inception in October 2009, compared to the MSCI Emerging Markets Index, noting that over each of the periods reviewed that the portfolio management team had outperformed the benchmark index.

Costs of Services Provided and Profits Realized by the Subadviser

The Board noted that the subadvisory fee to be charged by LGM(HK) at the current asset levels of the Fund was in line with the fee schedule of its private fund. With respect to profitability, the Independent Directors considered that the Adviser compensates LGM(HK) from its fee and that LGM(HK) is an affiliate of the Adviser. The Independent Directors also considered the Adviser’s agreement to reduce the investment advisory fee from 1.00% to 0.90% and reduce the expense limitation for Class Y shares from 1.50% to 1.40% and for Class I shares from 1.25% to 1.15% through July 6, 2013 because the use of an affiliated sub-adviser would improve the economic opportunity for the Adviser and its affiliates.

Economies of Scale

The Board considered the extent to which economies of scale would be realized as the Fund grows and whether the Fund’s fee levels reflect these economies of scale for the benefit of Fund shareholders. The Board considered the small size of the Fund, the fact that the advisory fee schedule includes breakpoints, and LGM(HK)’s compensation would be reduced proportionately along with any advisory fee reductions as a result of advisory fee breakpoints.

Other Benefits to the Subadviser

The Board noted that no other material benefits to LGM(HK) were identified other than the subadvisory fee. The Board further noted that LGM(HK) was an affiliate of the Adviser. The Board concluded that, taking into account these benefits, the Fund’s advisory fee was reasonable.

Conclusion

Based on all of the information considered and the conclusions reached, the Board determined that the terms of the New Subadvisory Agreement are fair and reasonable and that the approval of the New Subadvisory Agreement is in the best interests of the Fund, taking into consideration the costs of services provided and profit realized, economies of scale and other benefits to LGM(HK).

140

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

Proxy Voting

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

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

Disclosure of Portfolio Holdings

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

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

PRSRT STD

U.S. POSTAGE

PAID

LANCASTER, PA

PERMIT NO. 1377

BMO Funds U.S. Services

P.O. Box 55931

Boston, MA 02205-5931

1-800-236-FUND (3863)

414-287-8555

www.bmofundsus.com

M&I Distributors, LLC, Distributor

M&I Investment Management Corp., Investment Adviser

^© 2012 BMO Financial Group Investments are: Not FDIC Insured No Bank Guarantee May Lose Value

10-328-065 (12/11)

Item 2. Code of Ethics.

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Included as part of the report to shareholders filed under Item 1 of this Form N-CSR.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to open-end management investment companies.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to open-end management investment companies.

Item 10. Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have reviewed the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended, (the “Act”)) as of a date within 90 days of the filing of this report, as required by Rule 30a-3(b) under the Act. Based on their review, such officers have concluded that the disclosure controls and procedures were effective in ensuring that information required to be disclosed in this report was appropriately recorded, processed, summarized and reported and made known to them by others within the Registrant and by the Registrant’s service providers.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Act (17 CFR 270.30a-3(d)) that occurred during the Registrant’s second fiscal quarter of the period covered by this report that materially affected, or were reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a) (1)   Not applicable to semi-annual reports.

(a) (2)   Certifications required pursuant to Section 302 of the Sarbanes-Oxley Act of 2002. Filed herewith.

(a) (3)   Not applicable to open-end management investment companies.

(b)         Certification pursuant to Section 906 of the Sarbanes-Oxley Act of 2002. Filed herewith.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

Marshall Funds, Inc., d/b/a BMO Funds

/s/ John M. Blaser               

By: John M. Blaser

President

April 24, 2012

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.

/s/ John M. Blaser               

By: John M. Blaser

President

(Principal Executive Officer)

April 24, 2012

/s/ Timothy M. Bonin         

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

April 24, 2012