UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT

INVESTMENT COMPANIES

Investment Company Act File Number 811-58433

BMO Funds, Inc.

(Exact name of registrant as specified in charter)

111 East Kilbourn Avenue, Suite 200

            Milwaukee, WI 53202                    

(Address of principal executive offices) (Zip code)

John M. Blaser

BMO Asset Management Corp.

111 East Kilbourn Avenue, Suite 200

                Milwaukee, WI 53202                

(Name and address of agent for service)

Copies to:

Michael P. O’Hare, Esq.

Stradley, Ronon, Stevens & Young, LLP

2005 Market Street, Suite 2600

Philadelphia, PA 19103

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

Date of fiscal year end: August 31

Date of reporting period: February 28, 2018

Item 1. Reports to Stockholders.

BMO Funds February 28, 2018

Semi-Annual

report

Equity Funds

International & Global Funds

Alternative Funds

Fixed Income Funds

Money Market Funds

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
Equity Funds:		Fixed Income Funds:
BMO Low Volatility Equity Fund	5	BMO Ultra Short Tax-Free Fund	41
BMO Dividend Income Fund	7	BMO Short Tax-Free Fund	44
BMO Large-Cap Value Fund	9	BMO Short-Term Income Fund	47
BMO Large-Cap Growth Fund	10	BMO Intermediate Tax-Free Fund	52
BMO Mid-Cap Value Fund	12	BMO Strategic Income Fund	57
BMO Mid-Cap Growth Fund	14	BMO TCH Corporate Income Fund	60
BMO Small-Cap Value Fund	16	BMO TCH Core Plus Bond Fund	64
BMO Small-Cap Core Fund	18	BMO High Yield Bond Fund	68
BMO Small-Cap Growth Fund	21	Money Market Funds:
International and Global Funds:		BMO Government Money Market Fund	70
BMO Global Low Volatility Equity Fund	23	BMO Tax-Free Money Market Fund	73
BMO Disciplined International Equity Fund	26	BMO Prime Money Market Fund	75
BMO Pyrford International Stock Fund	28	BMO Institutional Prime Money Market Fund	78
BMO LGM Emerging Markets Equity Fund	29
Alternative Funds:
BMO Alternative Strategies Fund	30
BMO Global Long/Short Equity Fund	38
Notes to Schedules of Investments			82
Statements of Assets and Liabilities			84
Statements of Operations			91
Statements of Changes in Net Assets			98
Financial Highlights			106
Notes to Financial Statements			119
Shareholder Report Disclosure of Directors’ Approval of Continuation of Contracts			146

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2018

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 28, 2018 (9/1/17-2/28/18).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor									Advisor									Institutional
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
Low Volatility Equity Fund
Actual										$	1,000.00	$	1,050.00		0.90	%	$	4.57	$	1,000.00	$	1,050.40		0.65	%	$	3.30
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
Dividend Income Fund
Actual											1,000.00		1,130.00		0.90			4.76		1,000.00		1,131.70		0.65			3.44
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
Large-Cap Value Fund
Actual											1,000.00		1,104.30		0.97			5.08		1,000.00		1,104.70		0.72			3.78
Hypothetical (5% return before expenses)											1,000.00		1,020.19		0.97			4.86		1,000.00		1,021.43		0.72			3.61
Large-Cap Growth Fund
Actual	$	1,000.00	$	1,127.40		0.97	%	$	5.14		1,000.00		1,127.40		0.97			5.14		1,000.00		1,129.50		0.72			3.82
Hypothetical (5% return before expenses)		1,000.00		1,020.19		0.97			4.86		1,000.00		1,020.19		0.97			4.86		1,000.00		1,021.43		0.72			3.61
Mid-Cap Value Fund
Actual											1,000.00		1,065.00		1.24			6.35		1,000.00		1,066.20		0.99			5.08
Hypothetical (5% return before expenses)											1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96

2

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
Mid-Cap Growth Fund
Actual										$	1,000.00	$	1,156.40		1.24	%	$	6.62	$	1,000.00	$	1,158.10		0.99	%	$	5.29
Hypothetical (5% return before expenses)											1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
Small-Cap Value Fund
Actual											1,000.00		1,065.60		1.24			6.35		1,000.00		1,067.80		0.99			5.07
Hypothetical (5% return before expenses)											1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
Small-Cap Core Fund
Actual											1,000.00		1,077.30		1.15			5.94		1,000.00		1,078.20		0.90			4.65
Hypothetical (5% return before expenses)											1,000.00		1,019.30		1.15			5.76		1,000.00		1,020.54		0.90			4.51
Small-Cap Growth Fund
Actual											1,000.00		1,094.40		1.24			6.44		1,000.00		1,095.50		0.99			5.14
Hypothetical (5% return before expenses)											1,000.00		1,018.85		1.24			6.21		1,000.00		1,020.09		0.99			4.96
Global Low Volatility Equity Fund
Actual											1,000.00		1,064.30		1.10			5.63		1,000.00		1,065.90		0.85			4.36
Hypothetical (5% return before expenses)											1,000.00		1,019.55		1.10			5.51		1,000.00		1,020.79		0.85			4.26
Disciplined International Equity Fund
Actual											1,000.00		1,044.20		1.15			5.81		1,000.00		1,045.20		0.90			4.56
Hypothetical (5% return before expenses)											1,000.00		1,019.30		1.15			5.76		1,000.00		1,020.54		0.90			4.51
Pyrford International Stock Fund
Actual	$	1,000.00	$	1,025.10		1.19	%	$	5.98		1,000.00		1,025.10		1.19			5.98		1,000.00		1,026.50		0.94			4.72
Hypothetical (5% return before expenses)		1,000.00		1,019.10		1.19			5.96		1,000.00		1,019.10		1.19			5.96		1,000.00		1,020.34		0.94			4.71
LGM Emerging Markets Equity Fund
Actual											1,000.00		1,063.40		1.40			7.14		1,000.00		1,064.70		1.15			5.87
Hypothetical (5% return before expenses)											1,000.00		1,018.06		1.40			7.01		1,000.00		1,019.30		1.15			5.76
Alternative Strategies Fund
Actual											1,000.00		985.60		2.30			11.33		1,000.00		986.70		2.05			10.10
Hypothetical (5% return before expenses)											1,000.00		1,013.60		2.30			11.48		1,000.00		1,014.83		2.05			10.24
Global Long/Short Equity Fund
Actual											1,000.00		1,017.80		2.39			11.98		1,000.00		1,019.10		2.14			10.73
Hypothetical (5% return before expenses)											1,000.00		1,013.15		2.39			11.93		1,000.00		1,014.39		2.14			10.69
Ultra Short Tax-Free Fund
Actual											1,000.00		1,003.90		0.55			2.73		1,000.00		1,004.10		0.30			1.49
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 Tax-Free Fund
Actual											1,000.00		997.90		0.55			2.73		1,000.00		999.70		0.40			1.98
Hypothetical (5% return before expenses)											1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.02		0.40			2.01
Short-Term Income Fund
Actual											1,000.00		997.70		0.60			2.97		1,000.00		998.90		0.35			1.74
Hypothetical (5% return before expenses)											1,000.00		1,022.03		0.60			3.01		1,000.00		1,023.26		0.35			1.76
Intermediate Tax-Free Fund
Actual		1,000.00		993.10		0.55			2.72		1,000.00		993.10		0.55			2.72		1,000.00		994.30		0.32			1.57
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,022.27		0.55			2.76		1,000.00		1,023.41		0.32			1.61
Strategic Income Fund
Actual		1,000.00		1,004.80		0.80			3.98		1,000.00		1,004.80		0.80			3.98		1,000.00		1,006.00		0.55			2.74
Hypothetical (5% return before expenses)		1,000.00		1,021.03		0.80			4.01		1,000.00		1,021.03		0.80			4.01		1,000.00		1,022.27		0.55			2.76
TCH Corporate Income Fund
Actual		1,000.00		995.60		0.59			2.92		1,000.00		995.60		0.59			2.92		1,000.00		995.50		0.46			2.26
Hypothetical (5% return before expenses)		1,000.00		1,022.07		0.59			2.96		1,000.00		1,022.07		0.59			2.96		1,000.00		1,022.72		0.46			2.31

3

Expense Example (Unaudited) (continued)

	Investor									Advisor									Institutional
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
TCH Core Plus Bond Fund
Actual	$	1,000.00	$	988.90		0.58	%	$	2.86	$	1,000.00	$	988.90		0.58	%	$	2.86	$	1,000.00	$	991.00		0.33	%	$	1.63
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,022.12		0.58			2.91		1,000.00		1,023.36		0.33			1.66
High Yield Bond Fund
Actual											1,000.00		1,006.60		0.90			4.48		1,000.00		1,007.80		0.65			3.24
Hypothetical (5% return before expenses)											1,000.00		1,020.54		0.90			4.51		1,000.00		1,021.78		0.65			3.26
																			Premier
Government Money Market Fund
Actual		1,000.00		1,003.70		0.45			2.23											1,000.00		1,004.90		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
Tax-Free Money Market Fund
Actual		1,000.00		1,003.20		0.45			2.23											1,000.00		1,004.40		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
Prime Money Market Fund
Actual		1,000.00		1,004.60		0.45			2.23											1,000.00		1,005.90		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
Institutional Prime Money Market Fund
Actual		1,000.00		1,004.70		0.45			2.23											1,000.00		1,006.00		0.20			0.99
Hypothetical (5% return before expenses)		1,000.00		1,022.77		0.45			2.26											1,000.00		1,024.01		0.20			1.00
	Retirement Class R-3									Retirement Class R-6									Retirement Class F-3
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
Large-Cap Value Fund
Actual										$	1,000.00	$	1,106.00		0.57	%	$	3.00
Hypothetical (5% return before expenses)											1,000.00		1,022.17		0.57			2.86
Large-Cap Growth Fund
Actual											1,000.00		1,130.10		0.57			3.03
Hypothetical (5% return before expenses)											1,000.00		1,022.17		0.57			2.86
Mid-Cap Value Fund
Actual	$	1,000.00	$	1,063.40		1.49	%	$	7.62		1,000.00		1,067.30		0.84			4.31
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21
Mid-Cap Growth Fund
Actual											1,000.00		1,158.70		0.84			4.50
Hypothetical (5% return before expenses)											1,000.00		1,020.84		0.84			4.21
Small-Cap Value Fund
Actual		1,000.00		1,065.00		1.49			7.64		1,000.00		1,069.10		0.84			4.31
Hypothetical (5% return before expenses)		1,000.00		1,017.61		1.49			7.45		1,000.00		1,020.84		0.84			4.21
Pyrford International Stock Fund
Actual											1,000.00		1,027.90		0.79			3.95	$	1,000.00	$	1,027.90		0.79	%	$	3.95
Hypothetical (5% return before expenses)											1,000.00		1,021.08		0.79			3.96		1,000.00		1,021.08		0.79			3.96

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2017 through February 28, 2018, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 28, 2018 (Unaudited)

Schedules of Investments BMO Funds

Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.2%
Consumer Discretionary — 9.7%
Apparel Retail — 0.3%
Foot Locker, Inc.		8,297	$	380,915
Apparel, Accessories & Luxury Goods — 0.9%
Carter’s, Inc. (1)		6,666		777,789
Michael Kors Holdings, Ltd. (2)		8,633		543,275
				1,321,064
Cable & Satellite — 1.7%
Comcast Corp., Class A		74,676		2,704,018
Computer & Electronics Retail — 0.3%
Best Buy Co., Inc. (1)		7,393		535,549
Education Services — 0.8%
Bright Horizons Family Solutions, Inc. (1)(2)		13,388		1,279,491
General Merchandise Stores — 0.4%
Target Corp. (1)		8,641		651,618
Movies & Entertainment — 1.9%
Madison Square Garden Co., Class A (2)		1,727		421,733
Walt Disney Co. (1)		24,932		2,571,985
				2,993,718
Publishing — 0.3%
John Wiley & Sons, Inc., Class A (1)		7,227		464,335
Restaurants — 2.4%
Brinker International, Inc. (1)		22,309		768,099
Darden Restaurants, Inc. (1)		13,947		1,285,774
Dunkin’ Brands Group, Inc. (1)		27,287		1,634,218
				3,688,091
Specialized Consumer Services — 0.7%
ServiceMaster Global Holdings, Inc. (2)		19,863		1,020,164
Total Consumer Discretionary				15,038,963
Consumer Staples — 15.3%
Agricultural Products — 0.5%
Bunge, Ltd. (1)		5,007		377,678
Ingredion, Inc.		3,297		430,720
				808,398
Drug Retail — 1.3%
CVS Health Corp. (1)		30,655		2,076,263
Food Distributors — 2.9%
Sysco Corp. (1)		31,405		1,873,308
U.S. Foods Holding Corp. (2)		79,045		2,639,313
				4,512,621
Food Retail — 1.0%
Kroger Co. (1)		59,077		1,602,168
Household Products — 0.8%
Church & Dwight Co., Inc. (1)		9,977		490,769
Spectrum Brands Holdings, Inc. (1)		6,971		688,107
				1,178,876
Hypermarkets & Super Centers — 4.1%
Costco Wholesale Corp. (1)		15,113		2,885,072
Wal-Mart, Inc. (1)		37,569		3,381,585
				6,266,657

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Packaged Foods & Meats — 2.1%
ConAgra Brands, Inc. (1)		39,981	$	1,444,514
J. M. Smucker Co. (1)		3,218		406,433
Kellogg Co. (1)		7,403		490,079
Pinnacle Foods, Inc.		17,944		968,258
				3,309,284
Personal Products — 0.7%
Estee Lauder Cos., Inc., Class A (1)		7,356		1,018,365
Soft Drinks — 1.9%
PepsiCo, Inc.		26,665		2,925,951
Total Consumer Staples				23,698,583
Energy — 4.4%
Integrated Oil & Gas — 2.9%
Chevron Corp. (1)		26,861		3,006,283
Exxon Mobil Corp. (1)		7,066		535,179
Occidental Petroleum Corp.		13,708		899,245
				4,440,707
Oil & Gas-Equipment & Services — 0.6%
Schlumberger, Ltd. (1)		15,527		1,019,192
Oil & Gas-Exploration & Production — 0.4%
Cabot Oil & Gas Corp.		24,243		585,711
Oil & Gas-Refining & Marketing — 0.5%
Valero Energy Corp. (1)		8,689		785,659
Total Energy				6,831,269
Financials — 15.6%
Consumer Finance — 1.7%
American Express Co.		27,636		2,694,786
Financial Exchanges & Data — 0.9%
Morningstar, Inc. (1)		14,251		1,331,756
Insurance Brokers — 0.3%
Brown & Brown, Inc.		7,498		394,695
Life & Health Insurance — 3.0%
Aflac, Inc. (1)		40,026		3,557,511
Unum Group		22,424		1,142,727
				4,700,238
Multi-Line Insurance — 0.6%
Hartford Financial Services Group, Inc. (1)		18,510		978,253
Property & Casualty Insurance — 6.0%
Allstate Corp.		35,638		3,287,962
Aspen Insurance Holdings, Ltd. (1)		9,713		353,553
Axis Capital Holdings, Ltd. (1)		33,084		1,632,365
Progressive Corp. (1)		27,574		1,587,711
Travelers Cos., Inc. (1)		17,503		2,432,917
				9,294,508
Regional Banks — 2.2%
BB&T Corp. (1)		7,160		389,146
PNC Financial Services Group, Inc.		16,458		2,594,768
Regions Financial Corp.		20,410		396,158
				3,380,072
Reinsurance — 0.9%
Everest Re Group, Ltd. (1)		5,920		1,422,221
Total Financials				24,196,529
Healthcare — 17.8%
Biotechnology — 0.8%
AbbVie, Inc.		10,475		1,213,319

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

5

February 28, 2018 (Unaudited)

Schedules of Investments

Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Equipment — 5.4%
Baxter International, Inc. (1)		49,637	$	3,364,892
Becton, Dickinson and Co. (1)		12,597		2,796,786
Hill-Rom Holdings, Inc. (1)		7,335		613,646
Medtronic PLC		11,841		945,978
Varian Medical Systems, Inc. (1)(2)		5,980		713,653
				8,434,955
Healthcare Services — 0.6%
DaVita, Inc. (2)		7,318		527,042
Express Scripts Holding Co. (2)		5,989		451,870
				978,912
Healthcare Supplies — 1.3%
Cooper Cos., Inc. (1)		8,409		1,938,443
Life Sciences Tools & Services — 0.8%
Bio-Rad Laboratories, Inc., Class A (1)(2)		2,481		669,969
Bio-Techne Corp. (1)		4,128		583,452
				1,253,421
Managed Healthcare — 1.4%
Anthem, Inc. (1)		2,169		510,539
Cigna Corp.		8,606		1,685,830
				2,196,369
Pharmaceuticals — 7.5%
Bristol-Myers Squibb Co.		10,417		689,605
Eli Lilly & Co.		33,885		2,609,823
Johnson & Johnson		26,203		3,403,246
Merck & Co., Inc.		33,057		1,792,350
Pfizer, Inc.		86,874		3,154,395
				11,649,419
Total Healthcare				27,664,838
Industrials — 9.4%
Aerospace & Defense — 5.6%
Boeing Co.		2,855		1,034,109
Huntington Ingalls Industries, Inc.		3,065		803,061
Lockheed Martin Corp. (1)		9,877		3,481,050
Northrop Grumman Corp.		5,032		1,761,401
Raytheon Co.		2,529		550,083
Spirit AeroSystems Holdings, Inc., Class A		11,732		1,071,014
				8,700,718
Environmental & Facilities Services — 3.3%
Republic Services, Inc. (1)		24,695		1,659,010
Waste Management, Inc. (1)		39,540		3,413,093
				5,072,103
Industrial Conglomerates — 0.2%
Carlisle Cos., Inc. (1)		3,434		353,393
Trucking — 0.3%
Landstar System, Inc. (1)		3,656		397,773
Total Industrials				14,523,987
Information Technology — 8.3%
Application Software — 0.3%
Cadence Design Systems, Inc. (2)		12,534		485,943
Communications Equipment — 0.4%
Motorola Solutions, Inc. (1)		5,950		631,593

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Consulting & Other Services — 1.6%
Amdocs, Ltd. (1)		36,910	$	2,428,309
Data Processing & Outsourced Services — 1.7%
Genpact, Ltd.		84,330		2,645,432
Electronic Components — 0.5%
Dolby Laboratories, Inc., Class A (1)		12,806		826,627
Internet Software & Services — 1.3%
eBay, Inc. (1)(2)		12,229		524,135
VeriSign, Inc. (1)(2)		13,200		1,531,464
				2,055,599
Technology Hardware, Storage & Peripherals — 2.5%
Apple, Inc. (1)		21,536		3,835,992
Total Information Technology				12,909,495
Materials — 2.1%
Metal & Glass Containers — 0.7%
Berry Global Group, Inc. (1)(2)		20,171		1,097,302
Paper Packaging — 1.4%
Avery Dennison Corp.		6,496		767,503
Graphic Packaging Holding Co. (1)		89,488		1,370,061
				2,137,564
Total Materials				3,234,866
Real Estate — 4.5%
Office REIT’s — 0.4%
Highwoods Properties, Inc.		8,486		364,983
Piedmont Office Realty Trust, Inc., Class A (1)		16,570		297,597
				662,580
Residential REIT’s — 3.3%
Essex Property Trust, Inc. (1)		14,044		3,143,468
UDR, Inc.		61,414		2,064,739
				5,208,207
Specialized REIT’s — 0.8%
Equinix, Inc.		3,070		1,203,747
Total Real Estate				7,074,534
Telecommunication Services — 1.4%
Integrated Telecommunication Services — 1.4%
AT&T, Inc. (1)		62,314		2,261,998
Utilities — 9.7%
Electric Utilities — 6.4%
American Electric Power Co., Inc.		47,029		3,084,162
Entergy Corp.		22,536		1,708,679
Exelon Corp.		84,314		3,122,991
Great Plains Energy, Inc.		49,577		1,445,169
Xcel Energy, Inc. (1)		12,706		549,916
				9,910,917
Multi-Utilities — 3.3%
Ameren Corp.		56,952		3,092,494
Consolidated Edison, Inc. (1)		26,675		1,997,691
				5,090,185
Total Utilities				15,001,102
Total Common Stocks (identified cost $131,103,215)				152,436,164
Short-Term Investments — 45.7%
Collateral Pool Investments for Securities on Loan — 44.1%
Collateral pool allocation (3)				68,394,464

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

6

BMO Funds

Low Volatility Equity Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		2,491,852	$	2,491,852
Total Short-Term Investments (identified cost $70,886,264)				70,886,316
Total Investments — 143.9% (identified cost $201,989,479)				223,322,480
Other Assets and Liabilities — (43.9)%				(68,170,234	)
Total Net Assets — 100.0%			$	155,152,246

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		9.7	%
Consumer Staples		15.3
Energy		4.4
Financials		15.6
Healthcare		17.8
Industrials		9.4
Information Technology		8.3
Materials		2.1
Real Estate		4.5
Telecommunication Services		1.4
Utilities		9.7
Other Assets & Liabilities, Net		1.8
Total		100.0	%

Dividend Income Fund

Description	Shares		Value
Common Stocks — 97.9%
Consumer Discretionary — 7.9%
Automobile Manufacturers — 1.1%
Ford Motor Co. (1)		134,890	$	1,431,183
Department Stores — 2.4%
Kohl’s Corp. (1)		33,237		2,196,633
Nordstrom, Inc. (1)		16,844		864,266
				3,060,899
Hotels, Resorts & Cruise Lines — 2.9%
Carnival Corp. (1)		24,974		1,671,010
Wyndham Worldwide Corp.		17,205		1,991,995
				3,663,005
Restaurants — 1.5%
Darden Restaurants, Inc. (1)		21,600		1,991,304
Total Consumer Discretionary				10,146,391
Consumer Staples — 7.0%
Drug Retail — 1.9%
CVS Health Corp. (1)		35,924		2,433,133
Food Distributors — 1.5%
Sysco Corp. (1)		33,271		1,984,615
Hypermarkets & Super Centers — 2.3%
Wal-Mart, Inc. (1)		32,848		2,956,649
Soft Drinks — 1.3%
PepsiCo, Inc.		14,732		1,616,542
Total Consumer Staples				8,990,939

Description	Shares		Value
Common Stocks (continued)
Energy — 7.4%
Integrated Oil & Gas — 3.6%
Chevron Corp. (1)		28,697	$	3,211,768
Occidental Petroleum Corp.		21,605		1,417,288
				4,629,056
Oil & Gas-Refining & Marketing — 2.6%
Marathon Petroleum Corp.		16,014		1,025,857
Valero Energy Corp. (1)		25,698		2,323,613
				3,349,470
Oil & Gas-Storage & Transportation — 1.2%
Williams Cos., Inc.		55,848		1,550,341
Total Energy				9,528,867
Financials — 13.9%
Asset Management & Custody Banks — 1.1%
Ameriprise Financial, Inc.		8,932		1,397,322
Consumer Finance — 2.9%
Discover Financial Services (1)		25,630		2,020,413
Navient Corp. (1)		125,336		1,624,354
				3,644,767
Diversified Banks — 4.0%
JPMorgan Chase & Co.		14,396		1,662,738
Wells Fargo & Co.		59,376		3,468,152
				5,130,890
Life & Health Insurance — 2.7%
Aflac, Inc. (1)		7,025		624,382
Prudential Financial, Inc.		27,016		2,872,341
				3,496,723
Regional Banks — 3.2%
PNC Financial Services Group, Inc. (1)		6,523		1,028,416
Regions Financial Corp. (1)		78,411		1,521,958
SunTrust Banks, Inc. (1)		22,370		1,562,321
				4,112,695
Total Financials				17,782,397
Healthcare — 10.2%
Biotechnology — 4.6%
AbbVie, Inc.		31,560		3,655,595
Amgen, Inc.		12,375		2,274,153
				5,929,748
Pharmaceuticals — 5.6%
Eli Lilly & Co.		17,528		1,350,007
Johnson & Johnson		9,937		1,290,618
Merck & Co., Inc.		15,107		819,101
Pfizer, Inc.		102,588		3,724,970
				7,184,696
Total Healthcare				13,114,444
Industrials — 9.3%
Aerospace & Defense — 5.1%
Boeing Co.		9,994		3,619,927
Harris Corp.		13,012		2,031,824
Lockheed Martin Corp. (1)		2,405		847,618
				6,499,369
Airlines — 0.6%
Delta Air Lines, Inc.		15,148		816,478
Construction Machinery & Heavy Trucks — 1.4%
Cummins, Inc. (1)		10,511		1,767,635

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

7

February 28, 2018 (Unaudited)

Schedules of Investments

Dividend Income Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Environmental & Facilities Services — 1.0%
Republic Services, Inc.		8,881	$	596,626
Waste Management, Inc. (1)		7,758		669,670
				1,266,296
Industrial Machinery — 0.4%
Ingersoll-Rand PLC		6,479		575,335
Trucking — 0.8%
Ryder System, Inc. (1)		13,868		1,003,627
Total Industrials				11,928,740
Information Technology — 20.5%
Communications Equipment — 3.0%
Cisco Systems, Inc.		86,499		3,873,425
Electronic Equipment & Instruments — 0.6%
FLIR Systems, Inc. (1)		15,174		745,043
Semiconductor Equipment — 3.0%
KLA-Tencor Corp. (1)		24,253		2,748,107
Lam Research Corp.		5,704		1,094,370
				3,842,477
Semiconductors — 5.3%
Broadcom, Ltd. (1)		4,915		1,211,351
Intel Corp. (1)		66,623		3,283,848
Texas Instruments, Inc. (1)		20,959		2,270,907
				6,766,106
Systems Software — 3.7%
Microsoft Corp.		50,378		4,723,945
Technology Hardware, Storage & Peripherals — 4.9%
Apple, Inc. (1)		4,598		818,996
HP, Inc. (1)		78,202		1,829,145
NetApp, Inc. (1)		10,665		645,766
Seagate Technology PLC (1)		15,078		805,165
Western Digital Corp.		19,173		1,668,818
Xerox Corp.		19,210		582,447
				6,350,337
Total Information Technology				26,301,333
Materials — 5.4%
Commodity Chemicals — 0.6%
LyondellBasell Industries NV, Class A		6,608		715,118
Diversified Chemicals — 1.1%
Eastman Chemical Co. (1)		14,001		1,415,221
Fertilizers & Agricultural Chemicals — 1.0%
CF Industries Holdings, Inc. (1)		31,339		1,292,420
Paper Packaging — 2.7%
Avery Dennison Corp.		5,689		672,155
WestRock Co. (1)		42,644		2,804,270
				3,476,425
Total Materials				6,899,184
Real Estate — 5.7%
Hotel & Resort REIT’s — 2.1%
Host Hotels & Resorts, Inc. (1)		142,288		2,640,866
Office REIT’s — 0.8%
Alexandria Real Estate Equities, Inc. (1)		8,849		1,073,472

Description	Shares		Value
Common Stocks (continued)
Real Estate (continued)
Residential REIT’s — 1.7%
Essex Property Trust, Inc. (1)		7,245	$	1,621,648
UDR, Inc. (1)		16,538		556,008
				2,177,656
Retail REIT’s — 0.6%
Kimco Realty Corp. (1)		48,623		727,400
Specialized REIT’s — 0.5%
Crown Castle International Corp. (1)		6,051		665,973
Total Real Estate				7,285,367
Telecommunication Services — 4.2%
Integrated Telecommunication Services — 4.2%
AT&T, Inc. (1)		60,752		2,205,297
Verizon Communications, Inc.		66,216		3,161,152
Total Telecommunication Services				5,366,449
Utilities — 6.4%
Electric Utilities — 3.4%
American Electric Power Co., Inc.		35,471		2,326,188
Exelon Corp. (1)		56,140		2,079,426
				4,405,614
Independent Power Producers & Energy Traders — 1.2%
AES Corp. (1)		138,499		1,505,484
Multi-Utilities — 1.8%
Ameren Corp.		27,954		1,517,902
CenterPoint Energy, Inc. (1)		29,500		797,975
				2,315,877
Total Utilities				8,226,975
Total Common Stocks (identified cost $94,924,960)				125,571,086
Short-Term Investments — 42.3%
Collateral Pool Investments for Securities on Loan — 40.5%
Collateral pool allocation (3)				51,991,590
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		2,349,776		2,349,776
Total Short-Term Investments (identified cost $54,341,251)				54,341,366
Total Investments — 140.2% (identified cost $149,266,211)				179,912,452
Other Assets and Liabilities — (40.2)%				(51,602,731	)
Total Net Assets — 100.0%			$	128,309,721

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		7.9	%
Consumer Staples		7.0
Energy		7.4
Financials		13.9
Healthcare		10.2
Industrials		9.3
Information Technology		20.5
Materials		5.4
Real Estate		5.7
Telecommunication Services		4.2
Utilities		6.4
Other Assets & Liabilities, Net		2.1
Total		100.0	%

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

8

BMO Funds

Large-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.0%
Consumer Discretionary — 8.1%
Apparel Retail — 0.7%
Gap, Inc. (1)		75,222	$	2,375,511
Apparel, Accessories & Luxury Goods — 0.7%
Michael Kors Holdings, Ltd. (1)(2)		42,757		2,690,698
Auto Parts & Equipment — 1.5%
Lear Corp. (1)		29,230		5,453,441
Broadcasting — 0.4%
AMC Networks, Inc., Class A (1)(2)		30,572		1,607,170
Cable & Satellite — 1.6%
Comcast Corp., Class A (1)		156,269		5,658,501
Department Stores — 0.7%
Kohl’s Corp. (1)		38,845		2,567,266
Home Improvement Retail — 1.4%
Lowe’s Cos., Inc.		57,652		5,165,043
Hotels, Resorts & Cruise Lines — 1.1%
Wyndham Worldwide Corp. (1)		35,671		4,129,988
Total Consumer Discretionary				29,647,618
Consumer Staples — 6.0%
Drug Retail — 2.1%
CVS Health Corp. (1)		111,129		7,526,767
Food Distributors — 0.2%
Sysco Corp.		15,286		911,810
Hypermarkets & Super Centers — 2.8%
Wal-Mart, Inc. (1)		113,001		10,171,220
Packaged Foods & Meats — 0.9%
J. M. Smucker Co. (1)		26,604		3,360,085
Total Consumer Staples				21,969,882
Energy — 10.3%
Integrated Oil & Gas — 3.4%
Chevron Corp. (1)		112,915		12,637,447
Oil & Gas-Equipment & Services — 1.6%
Schlumberger, Ltd. (1)		86,766		5,695,320
Oil & Gas-Exploration & Production — 1.6%
ConocoPhillips (1)		105,376		5,722,970
Oil & Gas-Refining & Marketing — 3.7%
Marathon Petroleum Corp.		94,102		6,028,174
Valero Energy Corp. (1)		84,904		7,677,020
				13,705,194
Total Energy				37,760,931
Financials — 25.7%
Asset Management & Custody Banks — 1.5%
Northern Trust Corp. (1)		27,060		2,864,842
State Street Corp.		24,061		2,554,075
				5,418,917
Consumer Finance — 4.3%
American Express Co. (1)		27,050		2,637,646
Capital One Financial Corp. (1)		54,971		5,383,310
Synchrony Financial (1)		212,096		7,718,173
				15,739,129
Diversified Banks — 10.0%
Bank of America Corp. (1)		520,799		16,717,648
Citigroup, Inc. (1)		171,433		12,941,477
Wells Fargo & Co. (1)		122,932		7,180,458
				36,839,583

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Life & Health Insurance — 4.0%
MetLife, Inc.		38,608	$	1,783,304
Prudential Financial, Inc.		62,772		6,673,919
Unum Group (1)		118,349		6,031,065
				14,488,288
Multi-Line Insurance — 1.2%
American International Group, Inc.		78,465		4,499,183
Property & Casualty Insurance — 1.4%
Allstate Corp. (1)		55,193		5,092,106
Regional Banks — 3.3%
Citizens Financial Group, Inc.		25,196		1,095,774
PNC Financial Services Group, Inc. (1)		30,827		4,860,185
Regions Financial Corp. (1)		309,989		6,016,887
				11,972,846
Total Financials				94,050,052
Healthcare — 13.6%
Biotechnology — 2.8%
AbbVie, Inc. (1)		52,672		6,100,998
Amgen, Inc. (1)		18,036		3,314,476
Celgene Corp. (2)		11,638		1,013,902
				10,429,376
Healthcare Equipment — 1.6%
Hill-Rom Holdings, Inc. (1)		40,372		3,377,521
Medtronic PLC		32,294		2,579,968
				5,957,489
Managed Healthcare — 0.5%
Cigna Corp.		8,405		1,646,456
Pharmaceuticals — 8.7%
Bristol-Myers Squibb Co. (1)		73,651		4,875,696
Eli Lilly & Co.		80,995		6,238,235
Johnson & Johnson		59,446		7,720,846
Pfizer, Inc. (1)		356,593		12,947,892
				31,782,669
Total Healthcare				49,815,990
Industrials — 9.8%
Aerospace & Defense — 4.5%
Boeing Co. (1)		16,842		6,100,341
Huntington Ingalls Industries, Inc.		19,022		4,983,954
Spirit AeroSystems Holdings, Inc., Class A (1)		58,649		5,354,067
				16,438,362
Airlines — 1.6%
Southwest Airlines Co. (1)		100,238		5,797,766
Building Products — 2.2%
Masco Corp. (1)		67,898		2,791,966
Owens Corning (1)		66,729		5,425,067
				8,217,033
Construction Machinery & Heavy Trucks — 0.3%
Allison Transmission Holdings, Inc. (1)		24,351		965,030
Trading Companies & Distributors — 1.2%
United Rentals, Inc. (1)(2)		26,129		4,574,927
Total Industrials				35,993,118

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

9

February 28, 2018 (Unaudited)

Schedules of Investments

Large-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology — 6.9%
Communications Equipment — 3.9%
Cisco Systems, Inc.		178,535	$	7,994,797
F5 Networks, Inc. (1)(2)		42,944		6,378,043
				14,372,840
Semiconductor Equipment — 1.6%
Lam Research Corp. (1)		30,988		5,945,358
Semiconductors — 0.9%
ON Semiconductor Corp. (1)(2)		131,000		3,133,520
Technology Hardware, Storage & Peripherals — 0.5%
Western Digital Corp. (1)		23,089		2,009,666
Total Information Technology				25,461,384
Materials — 3.5%
Commodity Chemicals — 0.5%
LyondellBasell Industries NV, Class A		16,525		1,788,336
Diversified Chemicals — 0.7%
Huntsman Corp. (1)		88,254		2,847,957
Metal & Glass Containers — 1.5%
Berry Global Group, Inc. (1)(2)		100,580		5,471,552
Steel — 0.8%
Steel Dynamics, Inc. (1)		62,394		2,885,722
Total Materials				12,993,567
Real Estate — 6.6%
Office REIT’s — 3.2%
Boston Properties, Inc. (1)		48,971		5,821,183
Highwoods Properties, Inc. (1)		68,772		2,957,884
Kilroy Realty Corp. (1)		42,103		2,867,214
				11,646,281
Residential REIT’s — 1.8%
Essex Property Trust, Inc. (1)		30,338		6,790,555
Retail REIT’s — 0.4%
Brixmor Property Group, Inc. (1)		86,206		1,339,641
Specialized REIT’s — 1.2%
Equinix, Inc. (1)		11,250		4,411,125
Total Real Estate				24,187,602
Utilities — 7.5%
Electric Utilities — 5.9%
American Electric Power Co., Inc. (1)		109,745		7,197,077
Entergy Corp. (1)		90,157		6,835,704
Exelon Corp. (1)		207,805		7,697,097
				21,729,878
Multi-Utilities — 1.6%
Ameren Corp.		109,017		5,919,623
Total Utilities				27,649,501
Total Common Stocks (identified cost $294,053,662)				359,529,645
Short-Term Investments — 46.7%
Collateral Pool Investments for Securities on Loan — 44.9%
Collateral pool allocation (3)				164,638,588

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		6,566,944	$	6,566,944
Total Short-Term Investments (identified cost $171,205,372)				171,205,532
Total Investments — 144.7% (identified cost $465,259,034)				530,735,177
Other Assets and Liabilities — (44.7)%				(164,038,282	)
Total Net Assets — 100.0%			$	366,696,895

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		8.1	%
Consumer Staples		6.0
Energy		10.3
Financials		25.7
Healthcare		13.6
Industrials		9.8
Information Technology		6.9
Materials		3.5
Real Estate		6.6
Utilities		7.5
Other Assets & Liabilities, Net		2.0
Total		100.0	%

Large-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.0%
Consumer Discretionary — 15.6%
Apparel Retail — 0.9%
Burlington Stores, Inc. (1)(2)		27,594	$	3,384,128
Apparel, Accessories & Luxury Goods — 0.8%
Michael Kors Holdings, Ltd. (1)(2)		49,761		3,131,460
Auto Parts & Equipment — 0.5%
Lear Corp.		10,739		2,003,575
Cable & Satellite — 3.4%
Comcast Corp., Class A		269,861		9,771,667
Sirius XM Holdings, Inc. (1)		558,529		3,507,562
				13,279,229
Home Improvement Retail — 0.8%
Home Depot, Inc.		18,039		3,287,968
Hotels, Resorts & Cruise Lines — 2.4%
Royal Caribbean Cruises, Ltd. (1)		46,443		5,879,684
Wyndham Worldwide Corp. (1)		30,126		3,487,988
				9,367,672
Internet & Direct Marketing Retail — 5.5%
Amazon.com, Inc. (2)		14,219		21,505,527
Movies & Entertainment — 1.3%
Live Nation Entertainment, Inc. (1)(2)		117,261		5,253,293
Total Consumer Discretionary				61,212,852
Consumer Staples — 4.5%
Hypermarkets & Super Centers — 1.5%
Wal-Mart, Inc. (1)		62,913		5,662,799

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

10

BMO Funds

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Staples (continued)
Personal Products — 2.0%
Estee Lauder Cos., Inc., Class A (1)		55,894	$	7,737,965
Soft Drinks — 1.0%
PepsiCo, Inc. (1)		37,142		4,075,592
Total Consumer Staples				17,476,356
Energy — 0.9%
Integrated Oil & Gas — 0.6%
Occidental Petroleum Corp.		36,682		2,406,339
Oil & Gas-Equipment & Services — 0.3%
Schlumberger, Ltd. (1)		17,891		1,174,365
Total Energy				3,580,704
Financials — 5.4%
Consumer Finance — 1.9%
American Express Co. (1)		73,685		7,185,024
Diversified Banks — 1.3%
U.S. Bancorp (1)		94,042		5,112,123
Financial Exchanges & Data — 0.7%
S&P Global, Inc. (1)		14,470		2,775,346
Property & Casualty Insurance — 1.5%
Allstate Corp.		65,121		6,008,064
Total Financials				21,080,557
Healthcare — 15.4%
Biotechnology — 6.8%
AbbVie, Inc. (1)		109,812		12,719,524
Amgen, Inc. (1)		37,036		6,806,106
Celgene Corp. (2)		81,224		7,076,235
				26,601,865
Healthcare Equipment — 1.8%
Intuitive Surgical, Inc. (1)(2)		9,911		4,226,546
Masimo Corp. (1)(2)		33,889		2,966,304
				7,192,850
Healthcare Supplies — 1.1%
Align Technology, Inc. (1)(2)		15,538		4,079,036
Healthcare Technology — 0.5%
Veeva Systems, Inc., Class A (1)(2)		27,212		1,896,676
Managed Healthcare — 2.5%
Cigna Corp. (1)		33,013		6,466,916
Molina Healthcare, Inc. (1)(2)		21,519		1,555,824
WellCare Health Plans, Inc. (1)(2)		9,647		1,870,650
				9,893,390
Pharmaceuticals — 2.7%
Eli Lilly & Co.		107,852		8,306,761
Johnson & Johnson		17,111		2,222,377
				10,529,138
Total Healthcare				60,192,955
Industrials — 13.0%
Aerospace & Defense — 4.5%
Boeing Co.		36,310		13,151,845
Huntington Ingalls Industries, Inc. (1)		17,764		4,654,346
				17,806,191
Agricultural & Farm Machinery — 0.9%
Toro Co. (1)		57,323		3,644,023

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Airlines — 1.6%
Southwest Airlines Co. (1)		110,066	$	6,366,217
Building Products — 2.3%
Masco Corp. (1)		87,999		3,618,519
Owens Corning		65,439		5,320,191
				8,938,710
Construction Machinery & Heavy Trucks — 2.3%
Caterpillar, Inc. (1)		57,416		8,878,236
Diversified Support Services — 0.5%
KAR Auction Services, Inc. (1)		35,294		1,908,700
Electrical Components & Equipment — 0.4%
Rockwell Automation, Inc. (1)		8,628		1,559,942
Industrial Conglomerates — 0.5%
Carlisle Cos., Inc. (1)		17,493		1,800,205
Total Industrials				50,902,224
Information Technology — 36.4%
Application Software — 3.9%
Adobe Systems, Inc. (2)		45,018		9,414,614
Cadence Design Systems, Inc. (1)(2)		155,900		6,044,243
				15,458,857
Communications Equipment — 1.7%
F5 Networks, Inc. (1)(2)		29,918		4,443,421
Palo Alto Networks, Inc. (1)(2)		12,257		2,124,996
				6,568,417
Data Processing & Outsourced Services — 7.6%
Alliance Data Systems Corp. (1)		25,772		6,210,021
Black Knight, Inc. (2)		46,091		2,196,236
MasterCard, Inc., Class A		69,595		12,232,018
Visa, Inc., Class A (1)		72,548		8,919,051
				29,557,326
Internet Software & Services — 6.9%
Alphabet, Inc., Class A (1)(2)		4,929		5,441,222
Alphabet, Inc., Class C (1)(2)		12,479		13,785,925
Facebook, Inc., Class A (1)(2)		34,109		6,082,317
VeriSign, Inc. (1)(2)		16,095		1,867,342
				27,176,806
Semiconductor Equipment — 2.6%
Applied Materials, Inc. (1)		64,586		3,719,508
Lam Research Corp. (1)		33,073		6,345,386
				10,064,894
Semiconductors — 0.6%
Skyworks Solutions, Inc. (1)		20,806		2,273,056
Systems Software — 8.0%
Fortinet, Inc. (1)(2)		55,673		2,809,816
Microsoft Corp.		207,839		19,489,063
Red Hat, Inc. (1)(2)		62,215		9,170,491
				31,469,370
Technology Hardware, Storage & Peripherals — 5.1%
Apple, Inc. (1)		111,901		19,931,806
Total Information Technology				142,500,532
Materials — 2.5%
Commodity Chemicals — 0.4%
Westlake Chemical Corp. (1)		15,634		1,692,537

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

11

February 28, 2018 (Unaudited)

Schedules of Investments

Large-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Diversified Chemicals — 0.5%
Huntsman Corp. (1)		58,404	$	1,884,697
Metal & Glass Containers — 1.6%
Berry Global Group, Inc. (1)(2)		115,991		6,309,910
Total Materials				9,887,144
Real Estate — 4.3%
Office REIT’s — 2.4%
Douglas Emmett, Inc. (1)		100,897		3,607,068
Alexandria Real Estate Equities, Inc. (1)		48,502		5,883,777
				9,490,845
Residential REIT’s — 0.4%
Essex Property Trust, Inc. (1)		6,662		1,491,155
Specialized REIT’s — 1.5%
Equinix, Inc.		14,826		5,813,275
Total Real Estate				16,795,275
Total Common Stocks (identified cost $274,541,439)				383,628,599
Short-Term Investments — 43.4%
Collateral Pool Investments for Securities on Loan — 41.7%
Collateral pool allocation (3)				162,944,637
Mutual Funds — 1.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		6,756,071		6,756,071
Total Short-Term Investments (identified cost $169,700,527)				169,700,708
Total Investments — 141.4% (identified cost $444,241,966)				553,329,307
Other Assets and Liabilities — (41.4)%				(162,069,714	)
Total Net Assets — 100.0%			$	391,259,593

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		15.6	%
Consumer Staples		4.5
Energy		0.9
Financials		5.4
Healthcare		15.4
Industrials		13.0
Information Technology		36.4
Materials		2.5
Real Estate		4.3
Other Assets & Liabilities, Net		2.0
Total		100.0	%

Mid-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.3%
Consumer Discretionary — 11.8%
Apparel, Accessories & Luxury Goods — 1.7%
PVH Corp. (1)		23,468	$	3,385,963

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Auto Parts & Equipment — 1.5%
Lear Corp.		15,494	$	2,890,716
Broadcasting — 1.0%
AMC Networks, Inc., Class A (1)(2)		36,218		1,903,980
Department Stores — 1.7%
Kohl’s Corp. (1)		50,437		3,333,381
Homefurnishing Retail — 1.2%
Bed Bath & Beyond, Inc. (1)		112,012		2,401,537
Hotels, Resorts & Cruise Lines — 1.2%
Royal Caribbean Cruises, Ltd. (1)		19,331		2,447,305
Leisure Products — 1.2%
Brunswick Corp. (1)		43,309		2,477,275
Specialized Consumer Services — 1.3%
ServiceMaster Global Holdings, Inc. (2)		51,666		2,653,566
Specialty Stores — 1.0%
Sally Beauty Holdings, Inc. (1)(2)		121,566		2,047,171
Total Consumer Discretionary				23,540,894
Consumer Staples — 3.8%
Agricultural Products — 1.0%
Ingredion, Inc. (1)		15,165		1,981,156
Food Distributors — 1.3%
Sysco Corp. (1)		45,327		2,703,756
Packaged Foods & Meats — 1.5%
Tyson Foods, Inc., Class A (1)		39,233		2,918,150
Total Consumer Staples				7,603,062
Energy — 8.2%
Oil & Gas-Exploration & Production — 5.1%
Cabot Oil & Gas Corp. (1)		88,419		2,136,203
Cimarex Energy Co. (1)		25,243		2,425,600
Devon Energy Corp.		72,250		2,215,908
Diamondback Energy, Inc. (1)(2)		16,316		2,033,626
Parsley Energy, Inc., Class A (1)(2)		56,915		1,438,811
				10,250,148
Oil & Gas-Refining & Marketing — 3.1%
Marathon Petroleum Corp.		52,229		3,345,790
Valero Energy Corp. (1)		30,225		2,732,944
				6,078,734
Total Energy				16,328,882
Financials — 19.7%
Asset Management & Custody Banks — 3.0%
Ameriprise Financial, Inc.		20,770		3,249,259
Northern Trust Corp. (1)		26,119		2,765,218
				6,014,477
Consumer Finance — 2.6%
Discover Financial Services (1)		37,932		2,990,180
Synchrony Financial (1)		57,503		2,092,534
				5,082,714
Investment Banking & Brokerage — 1.5%
E*TRADE Financial Corp. (1)(2)		55,773		2,913,024
Life & Health Insurance — 4.2%
Lincoln National Corp. (1)		27,150		2,068,015
Principal Financial Group, Inc.		50,026		3,118,121
Unum Group		62,557		3,187,905
				8,374,041

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

12

BMO Funds

Mid-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Multi-Line Insurance — 1.5%
Hartford Financial Services Group, Inc. (1)		56,712	$	2,997,229
Regional Banks — 6.9%
BankUnited, Inc.		58,724		2,361,879
Comerica, Inc. (1)		23,051		2,241,018
Regions Financial Corp. (1)		154,754		3,003,775
SunTrust Banks, Inc. (1)		41,321		2,885,859
TCF Financial Corp.		149,447		3,332,668
				13,825,199
Total Financials				39,206,684
Healthcare — 6.3%
Biotechnology — 0.7%
United Therapeutics Corp. (1)(2)		12,364		1,432,369
Healthcare Equipment — 2.9%
Hill-Rom Holdings, Inc. (1)		40,788		3,412,324
STERIS PLC (1)		26,025		2,376,082
				5,788,406
Healthcare Services — 1.3%
MEDNAX, Inc. (1)(2)		47,970		2,637,391
Managed Healthcare — 1.4%
Centene Corp. (1)(2)		27,159		2,754,466
Total Healthcare				12,612,632
Industrials — 14.2%
Aerospace & Defense — 1.8%
Spirit AeroSystems Holdings, Inc., Class A (1)		38,621		3,525,711
Airlines — 1.1%
JetBlue Airways Corp. (1)(2)		104,368		2,196,946
Building Products — 1.6%
Owens Corning (1)		40,114		3,261,268
Construction & Engineering — 1.4%
Jacobs Engineering Group, Inc.		45,777		2,795,144
Construction Machinery & Heavy Trucks — 2.0%
Allison Transmission Holdings, Inc. (1)		50,360		1,995,767
Cummins, Inc. (1)		12,080		2,031,493
				4,027,260
Electrical Components & Equipment — 1.1%
Regal Beloit Corp. (1)		29,677		2,145,647
Environmental & Facilities Services — 1.6%
Republic Services, Inc.		45,632		3,065,558
Human Resource & Employment Services — 1.1%
Robert Half International, Inc. (1)		39,082		2,230,410
Trading Companies & Distributors — 1.2%
United Rentals, Inc. (1)(2)		13,889		2,431,825
Trucking — 1.3%
Ryder System, Inc. (1)		34,591		2,503,351
Total Industrials				28,183,120
Information Technology — 6.9%
Communications Equipment — 1.2%
ARRIS Group, Inc. (1)(2)		94,339		2,405,645
Data Processing & Outsourced Services — 0.9%
Alliance Data Systems Corp. (1)		7,230		1,742,141

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Electronic Manufacturing Services — 1.4%
Jabil, Inc. (1)		106,000	$	2,871,540
Semiconductor Equipment — 1.1%
Lam Research Corp.		11,826		2,268,936
Semiconductors — 1.2%
ON Semiconductor Corp. (1)(2)		95,144		2,275,844
Technology Hardware, Storage & Peripherals — 1.1%
Western Digital Corp.		25,076		2,182,615
Total Information Technology				13,746,721
Materials — 5.0%
Commodity Chemicals — 1.2%
Cabot Corp. (1)		40,845		2,458,052
Metal & Glass Containers — 1.2%
Owens-Illinois, Inc. (1)(2)		108,904		2,347,971
Paper Packaging — 2.6%
Avery Dennison Corp. (1)		22,083		2,609,106
WestRock Co. (1)		38,951		2,561,418
				5,170,524
Total Materials				9,976,547
Real Estate — 12.6%
Diversified REIT’s — 1.5%
Liberty Property Trust (1)		78,371		3,076,846
Office REIT’s — 6.1%
Boston Properties, Inc. (1)		25,009		2,972,820
Columbia Property Trust, Inc. (1)		102,002		2,124,702
Digital Realty Trust, Inc. (1)		23,065		2,321,262
Highwoods Properties, Inc.		53,258		2,290,626
Piedmont Office Realty Trust, Inc., Class A (1)		132,729		2,383,813
				12,093,223
Residential REIT’s — 3.2%
Essex Property Trust, Inc. (1)		15,141		3,389,010
UDR, Inc. (1)		86,560		2,910,147
				6,299,157
Retail REIT’s — 0.9%
Brixmor Property Group, Inc.		122,722		1,907,100
Specialized REIT’s — 0.9%
EPR Properties (1)		31,156		1,795,520
Total Real Estate				25,171,846
Utilities — 9.8%
Electric Utilities — 4.4%
Entergy Corp.		39,719		3,011,495
Great Plains Energy, Inc. (1)		100,342		2,924,969
Xcel Energy, Inc. (1)		67,015		2,900,409
				8,836,873
Gas Utilities — 1.1%
UGI Corp. (1)		49,878		2,149,243
Multi-Utilities — 4.3%
Ameren Corp.		55,786		3,029,180
CenterPoint Energy, Inc. (1)		94,898		2,566,991
Public Service Enterprise Group, Inc. (1)		61,414		2,974,280
				8,570,451
Total Utilities				19,556,567
Total Common Stocks (identified cost $164,838,949)				195,926,955

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

13

February 28, 2018 (Unaudited)

Schedules of Investments

Mid-Cap Value Fund (continued)

Description	Shares		Value
Short-Term Investments — 49.1%
Collateral Pool Investments for Securities on Loan — 47.7%
Collateral pool allocation (3)			$	94,881,807
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		2,853,844		2,853,844
Total Short-Term Investments (identified cost $97,735,645)				97,735,651
Total Investments — 147.4% (identified cost $262,574,594)				293,662,606
Other Assets and Liabilities — (47.4)%				(94,475,205	)
Total Net Assets — 100.0%			$	199,187,401

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		11.8	%
Consumer Staples		3.8
Energy		8.2
Financials		19.7
Healthcare		6.3
Industrials		14.2
Information Technology		6.9
Materials		5.0
Real Estate		12.6
Utilities		9.8
Other Assets & Liabilities, Net		1.7
Total		100.0	%

Mid-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.1%
Consumer Discretionary — 17.5%
Apparel Retail — 1.7%
Burlington Stores, Inc. (2)		17,402	$	2,134,181
Auto Parts & Equipment — 1.4%
Lear Corp.		9,592		1,789,579
Casinos & Gaming — 1.4%
Wynn Resorts, Ltd.		10,129		1,696,608
Distributors — 1.4%
LKQ Corp. (1)(2)		43,179		1,704,707
Footwear — 1.7%
Skechers U.S.A., Inc., Class A (2)		49,970		2,044,772
General Merchandise Stores — 1.6%
Dollar Tree, Inc. (2)		19,571		2,008,768
Homebuilding — 1.0%
D.R. Horton, Inc.		28,880		1,210,072
Hotels, Resorts & Cruise Lines — 1.7%
Wyndham Worldwide Corp.		17,632		2,041,433
Internet & Direct Marketing Retail — 1.3%
Expedia, Inc. (1)		14,820		1,558,619
Leisure Products — 1.4%
Brunswick Corp.		29,905		1,710,566

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Movies & Entertainment — 1.4%
Live Nation Entertainment, Inc. (1)(2)		39,920	$	1,788,416
Specialty Stores — 1.5%
Tractor Supply Co. (1)		29,022		1,884,399
Total Consumer Discretionary				21,572,120
Consumer Staples — 3.1%
Food Distributors — 1.3%
U.S. Foods Holding Corp. (2)		49,327		1,647,028
Food Retail — 1.8%
Sprouts Farmers Market, Inc. (1)(2)		83,143		2,141,764
Total Consumer Staples				3,788,792
Energy — 2.5%
Oil & Gas-Exploration & Production — 2.5%
EQT Corp.		30,708		1,544,919
Newfield Exploration Co. (1)(2)		66,445		1,550,162
Total Energy				3,095,081
Financials — 6.3%
Financial Exchanges & Data — 1.6%
MSCI, Inc.		14,177		2,006,329
Investment Banking & Brokerage — 1.8%
LPL Financial Holdings, Inc.		34,843		2,239,360
Property & Casualty Insurance — 1.3%
Progressive Corp.		27,519		1,584,544
Regional Banks — 1.6%
Citizens Financial Group, Inc. (1)		43,953		1,911,516
Total Financials				7,741,749
Healthcare — 12.5%
Biotechnology — 2.2%
Exelixis, Inc. (1)(2)		48,839		1,260,046
Neurocrine Biosciences, Inc. (1)(2)		17,323		1,462,581
				2,722,627
Healthcare Equipment — 3.2%
Hill-Rom Holdings, Inc.		24,574		2,055,861
Masimo Corp. (1)(2)		21,841		1,911,743
				3,967,604
Healthcare Supplies — 1.2%
Align Technology, Inc. (1)(2)		5,930		1,556,744
Healthcare Technology — 1.4%
athenahealth, Inc. (1)(2)		12,026		1,680,513
Life Sciences Tools & Services — 3.2%
Agilent Technologies, Inc.		25,271		1,733,338
Bio-Rad Laboratories, Inc., Class A (1)(2)		8,249		2,227,560
				3,960,898
Managed Healthcare — 1.3%
WellCare Health Plans, Inc. (2)		8,151		1,580,560
Total Healthcare				15,468,946
Industrials — 15.4%
Aerospace & Defense — 1.5%
Huntington Ingalls Industries, Inc.		7,030		1,841,930
Air Freight & Logistics — 1.8%
XPO Logistics, Inc. (1)(2)		22,815		2,245,681
Building Products — 1.5%
Masco Corp.		46,860		1,926,883

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

14

BMO Funds

Mid-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Construction Machinery & Heavy Trucks — 1.2%
WABCO Holdings, Inc. (2)		11,041	$	1,523,327
Diversified Support Services — 1.6%
KAR Auction Services, Inc. (1)		36,354		1,966,024
Industrial Machinery — 2.6%
ITT, Inc.		33,873		1,699,747
Xylem, Inc. (1)		20,092		1,498,462
				3,198,209
Research & Consulting Services — 1.8%
Dun & Bradstreet Corp. (1)		17,547		2,194,077
Trading Companies & Distributors — 1.5%
HD Supply Holdings, Inc. (2)		51,829		1,878,801
Trucking — 1.9%
Landstar System, Inc. (1)		21,388		2,327,014
Total Industrials				19,101,946
Information Technology — 30.1%
Application Software — 2.9%
Synopsys, Inc. (2)		17,191		1,455,562
Workday, Inc., Class A (1)(2)		16,246		2,057,881
				3,513,443
Communications Equipment — 3.2%
F5 Networks, Inc. (1)(2)		14,111		2,095,766
Palo Alto Networks, Inc. (2)		10,495		1,819,518
				3,915,284
Consulting & Other Services — 3.0%
Acxiom Corp. (1)(2)		64,064		1,753,432
DXC Technology Co.		19,128		1,961,385
				3,714,817
Data Processing & Outsourced Services — 5.7%
Euronet Worldwide, Inc. (1)(2)		18,954		1,608,626
FleetCor Technologies, Inc. (2)		8,463		1,692,007
Genpact, Ltd.		59,286		1,859,802
MAXIMUS, Inc. (1)		27,953		1,872,292
				7,032,727
Internet Software & Services — 4.5%
GoDaddy, Inc., Class A (1)(2)		35,970		2,151,366
j2 Global, Inc. (1)		22,248		1,646,797
VeriSign, Inc. (1)(2)		15,554		1,804,575
				5,602,738
Semiconductor Equipment — 3.5%
Lam Research Corp.		10,782		2,068,634
Teradyne, Inc. (1)		50,723		2,302,824
				4,371,458
Semiconductors — 3.3%
Maxim Integrated Products, Inc.		30,617		1,865,800
ON Semiconductor Corp. (1)(2)		93,161		2,228,411
				4,094,211
Systems Software — 4.0%
Fortinet, Inc. (2)		50,412		2,544,294
Red Hat, Inc. (1)(2)		16,318		2,405,273
				4,949,567
Total Information Technology				37,194,245

Description	Shares		Value
Common Stocks (continued)
Materials — 5.2%
Copper — 1.4%
Freeport-McMoRan, Inc. (1)(2)		89,942	$	1,672,921
Diversified Chemicals — 1.3%
Huntsman Corp.		49,245		1,589,136
Metal & Glass Containers — 2.5%
Berry Global Group, Inc. (2)		31,102		1,691,949
Owens-Illinois, Inc. (2)		67,352		1,452,109
				3,144,058
Total Materials				6,406,115
Real Estate — 4.3%
Office REIT’s — 2.5%
Boston Properties, Inc. (1)		15,807		1,878,978
Highwoods Properties, Inc.		26,533		1,141,185
				3,020,163
Residential REIT’s — 0.8%
Essex Property Trust, Inc. (1)		4,570		1,022,903
Specialized REIT’s — 1.0%
Equinix, Inc.		3,149		1,234,723
Total Real Estate				5,277,789
Telecommunication Services — 1.2%
Alternative Carriers — 1.2%
Zayo Group Holdings, Inc. (1)(2)		41,271		1,479,565
Total Common Stocks (identified cost $98,505,526)				121,126,348
Short-Term Investments — 44.6%
Collateral Pool Investments for Securities on Loan — 42.7%
Collateral pool allocation (3)				52,771,643
Mutual Funds — 1.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		2,387,750		2,387,750
Total Short-Term Investments (identified cost $55,159,224)				55,159,393
Total Investments — 142.7% (identified cost $153,664,750)				176,285,741
Other Assets and Liabilities — (42.7)%				(52,777,645	)
Total Net Assets — 100.0%			$	123,508,096

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		17.5	%
Consumer Staples		3.1
Energy		2.5
Financials		6.3
Healthcare		12.5
Industrials		15.4
Information Technology		30.1
Materials		5.2
Real Estate		4.3
Telecommunication Services		1.2
Other Assets & Liabilities, Net		1.9
Total		100.0	%

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

15

February 28, 2018 (Unaudited)

Schedules of Investments

Small-Cap Value Fund

Description	Shares		Value
Common Stocks — 98.4%
Consumer Discretionary — 9.1%
Apparel Retail — 1.4%
DSW, Inc., Class A (1)		13,088	$	256,656
Genesco, Inc. (1)(2)		6,336		249,005
Tailored Brands, Inc. (1)		16,140		377,837
				883,498
Apparel, Accessories & Luxury Goods — 0.3%
Perry Ellis International, Inc. (1)(2)		8,187		218,347
Auto Parts & Equipment — 2.6%
Cooper-Standard Holdings, Inc. (1)(2)		5,600		682,304
Dana, Inc.		23,462		623,385
Stoneridge, Inc. (2)		17,865		388,743
				1,694,432
Broadcasting — 0.7%
Gray Television, Inc. (2)		33,974		468,841
Casinos & Gaming — 0.5%
Penn National Gaming, Inc. (1)(2)		11,776		313,360
Education Services — 0.2%
K12, Inc. (1)(2)		10,748		160,468
Footwear — 1.0%
Deckers Outdoor Corp. (1)(2)		6,947		657,047
Homebuilding — 1.1%
KB Home (1)		24,899		690,947
Leisure Products — 0.4%
Johnson Outdoors, Inc., Class A (1)		3,906		240,766
Specialty Stores — 0.9%
Hibbett Sports, Inc. (1)(2)		22,495		579,246
Total Consumer Discretionary				5,906,952
Consumer Staples — 0.9%
Household Products — 0.5%
Central Garden & Pet Co., Class A (2)		8,968		325,000
Packaged Foods & Meats — 0.4%
Dean Foods Co. (1)		29,706		257,551
Total Consumer Staples				582,551
Energy — 5.9%
Oil & Gas-Drilling — 0.5%
Rowan Cos. PLC (1)(2)		27,498		334,376
Oil & Gas-Equipment & Services — 3.0%
Archrock, Inc. (1)		25,285		240,208
Exterran Corp. (1)(2)		14,842		383,963
Matrix Service Co. (1)(2)		19,348		276,676
Newpark Resources, Inc. (1)(2)		48,024		396,198
TETRA Technologies, Inc. (1)(2)		88,986		323,019
U.S. Silica Holdings, Inc. (1)		12,363		320,078
				1,940,142
Oil & Gas-Exploration & Production — 2.1%
Abraxas Petroleum Corp. (1)(2)		72,703		156,312
Bill Barrett Corp. (1)(2)		77,110		349,308
Callon Petroleum Co. (1)(2)		25,692		271,564
Carrizo Oil & Gas, Inc. (1) (2)		7,445		104,602
RSP Permian, Inc. (1)(2)		5,886		225,493
W&T Offshore, Inc. (1)(2)		69,310		269,616
				1,376,895
Oil & Gas-Refining & Marketing — 0.3%
Pacific Ethanol, Inc. (1)(2)		50,280		206,148
Total Energy				3,857,561

Description	Shares		Value
Common Stocks (continued)
Financials — 28.3%
Consumer Finance — 0.6%
Nelnet, Inc., Class A (1)		6,681	$	369,727
Investment Banking & Brokerage — 0.5%
Stifel Financial Corp. (1)		5,336		340,810
Life & Health Insurance — 2.3%
American Equity Investment Life Holding Co. (1)		23,602		722,457
CNO Financial Group, Inc.		34,382		774,971
				1,497,428
Property & Casualty Insurance — 2.3%
Argo Group International Holdings, Ltd. (1)		9,220		537,065
Employers Holdings, Inc. (1)		9,592		375,527
Safety Insurance Group, Inc.		4,607		328,709
Selective Insurance Group, Inc. (1)		4,274		242,977
				1,484,278
Regional Banks — 18.2%
1st Source Corp. (1)		6,254		308,447
BancFirst Corp. (1)		5,690		302,993
BancorpSouth Bank (1)		22,032		694,008
Bank of Marin Bancorp (1)		2,301		152,211
Banner Corp. (1)		11,826		653,741
Cathay General Bancorp (1)		18,837		773,447
Central Pacific Financial Corp.		17,853		497,563
Customers Bancorp, Inc. (1)(2)		14,956		438,809
Fidelity Southern Corp. (1)		9,224		207,632
Financial Institutions, Inc.		6,193		190,125
Franklin Financial Network, Inc. (1)(2)		6,166		191,454
Great Southern Bancorp, Inc.		2,621		126,856
Great Western Bancorp, Inc.		12,513		511,657
Hanmi Financial Corp.		16,904		516,417
Heartland Financial USA, Inc. (1)		4,414		235,487
Hilltop Holdings, Inc.		28,190		685,299
Independent Bank Corp.		7,294		166,668
International Bancshares Corp. (1)		16,026		619,405
Investors Bancorp, Inc. (1)		38,411		518,549
Peapack Gladstone Financial Corp. (1)		6,694		220,768
Peoples Bancorp, Inc. (1)		4,780		164,862
Preferred Bank (1)		4,336		270,263
S&T Bancorp, Inc.		7,477		295,043
Sandy Spring Bancorp, Inc. (1)		9,684		375,352
TriCo Bancshares (1)		9,961		372,043
Umpqua Holdings Corp. (1)		41,661		887,796
United Community Banks, Inc.		22,192		685,955
Wintrust Financial Corp. (1)		9,585		810,028
				11,872,878
Thrifts & Mortgage Finance — 4.4%
First Defiance Financial Corp.		3,306		175,912
HomeStreet, Inc. (1)(2)		12,423		356,540
NMI Holdings, Inc., Class A (1)(2)		38,121		756,702
TrustCo Bank Corp. (1)		36,583		310,955
Walker & Dunlop, Inc. (1)		11,390		550,479
Washington Federal, Inc. (1)		21,887		759,479
				2,910,067
Total Financials				18,475,188
Healthcare — 9.7%
Biotechnology — 3.0%
Emergent BioSolutions, Inc. (1)(2)		10,478		520,757
Enanta Pharmaceuticals, Inc. (1)(2)		8,549		672,122
Myriad Genetics, Inc. (1)(2)		17,275		560,055
PDL BioPharma, Inc. (1)(2)		85,489		205,174
				1,958,108

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

16

BMO Funds

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Healthcare Equipment — 3.5%
Analogic Corp.		7,130	$	595,355
AngioDynamics, Inc. (1)(2)		11,934		194,405
Integer Holdings Corp. (2)		12,914		659,260
Natus Medical, Inc. (1)(2)		9,096		283,340
Orthofix International NV (1)(2)		10,262		574,775
				2,307,135
Healthcare Supplies — 1.0%
Lantheus Holdings, Inc. (1)(2)		8,912		136,354
Merit Medical Systems, Inc. (2)		10,559		480,434
				616,788
Healthcare Technology — 0.6%
Allscripts Healthcare Solutions, Inc. (1)(2)		30,341		420,830
Managed Healthcare — 0.3%
Triple-S Management Corp., Class B (1)(2)		7,315		177,754
Pharmaceuticals — 1.3%
Innoviva, Inc. (1)(2)		18,583		288,222
Phibro Animal Health Corp., Class A (1)		13,898		534,378
				822,600
Total Healthcare				6,303,215
Industrials — 14.3%
Aerospace & Defense — 1.1%
KLX, Inc. (1)(2)		3,508		237,421
Moog, Inc., Class A (2)		5,791		485,460
				722,881
Airlines — 0.8%
Hawaiian Holdings, Inc. (1)		13,754		495,144
Building Products — 0.6%
Caesarstone, Ltd. (1)		19,342		418,754
Construction & Engineering — 1.0%
EMCOR Group, Inc. (1)		8,357		637,723
Diversified Support Services — 0.7%
UniFirst Corp. (1)		2,803		435,306
Human Resource & Employment Services — 1.5%
Korn/Ferry International		8,906		373,250
TrueBlue, Inc. (2)		23,265		632,808
				1,006,058
Industrial Machinery — 2.0%
Columbus McKinnon Corp. (1)		7,384		262,132
EnPro Industries, Inc. (1)		4,972		360,271
Global Brass & Copper Holdings, Inc.		7,283		206,109
Hyster-Yale Materials Handling, Inc., Class A (1)		3,495		248,809
Watts Water Technologies, Inc., Class A		3,428		258,814
				1,336,135
Office Services & Supplies — 1.9%
ACCO Brands Corp.		39,927		505,077
Herman Miller, Inc.		15,056		540,510
Kimball International, Inc., Class B		12,846		211,060
				1,256,647
Research & Consulting Services — 1.2%
ICF International, Inc. (2)		6,914		394,098
RPX Corp.		40,163		402,835
				796,933

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Trading Companies & Distributors — 1.6%
Aircastle, Ltd. (1)		25,136	$	489,649
Rush Enterprises, Inc., Class A (1)(2)		12,753		542,130
				1,031,779
Trucking — 1.9%
ArcBest Corp. (1)		18,819		622,909
Covenant Transportation Group, Inc., Class A (1) (2)		11,430		295,123
Marten Transport, Ltd. (1)		13,579		293,985
				1,212,017
Total Industrials				9,349,377
Information Technology — 9.5%
Communications Equipment — 0.4%
Comtech Telecommunications Corp.		12,260		270,946
Consulting & Other Services — 0.8%
Perficient, Inc. (2)		13,961		271,821
Virtusa Corp. (1)(2)		4,495		214,501
				486,322
Data Processing & Outsourced Services — 2.3%
Convergys Corp. (1)		8,430		195,660
CSG Systems International, Inc. (1)		7,624		355,888
Sykes Enterprises, Inc. (1)(2)		7,399		215,015
Travelport Worldwide, Ltd.		49,419		704,221
				1,470,784
Electronic Components — 0.8%
Vishay Intertechnology, Inc. (1)		29,619		544,990
Electronic Manufacturing Services — 0.9%
Benchmark Electronics, Inc. (1)(2)		19,107		573,210
Internet Software & Services — 0.3%
XO Group, Inc. (2)		10,040		193,471
Semiconductor Equipment — 1.9%
Cohu, Inc. (1)		12,127		242,904
Entegris, Inc. (1)		18,478		613,470
Rudolph Technologies, Inc. (2)		14,899		395,568
				1,251,942
Semiconductors — 0.8%
Diodes, Inc. (1)(2)		17,884		538,308
Systems Software — 0.9%
Progress Software Corp. (1)		12,850		602,280
Technology Distributors — 0.4%
Tech Data Corp. (1)(2)		2,301		237,785
Total Information Technology				6,170,038
Materials — 6.9%
Aluminum — 0.9%
Kaiser Aluminum Corp. (1)		5,974		599,610
Commodity Chemicals — 1.4%
Koppers Holdings, Inc. (1)(2)		12,098		488,759
Trinseo SA		5,230		416,308
				905,067
Forest Products — 1.9%
Boise Cascade Co. (1)		15,998		644,720
Louisiana-Pacific Corp. (1)		19,604		558,714
				1,203,434
Specialty Chemicals — 2.7%
A Schulman, Inc. (1)		5,464		239,596
Kraton Corp. (1)(2)		13,038		552,942

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

17

February 28, 2018 (Unaudited)

Schedules of Investments

Small-Cap Value Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Specialty Chemicals (continued)
Minerals Technologies, Inc.		6,498	$	446,413
Stepan Co. (1)		6,814		545,801
				1,784,752
Total Materials				4,492,863
Real Estate — 7.3%
Hotel & Resort REIT’s — 2.5%
Hersha Hospitality Trust (1)		33,088		555,878
Sunstone Hotel Investors, Inc. (1)		29,128		420,317
Xenia Hotels & Resorts, Inc.		33,234		653,713
				1,629,908
Industrial REIT’s — 2.4%
DCT Industrial Trust, Inc. (1)		9,019		499,201
First Industrial Realty Trust, Inc. (1)		23,306		653,267
STAG Industrial, Inc. (1)		18,575		422,953
				1,575,421
Office REIT’s — 0.8%
Mack-Cali Realty Corp.		30,536		515,753
Residential REIT’s — 0.7%
Preferred Apartment Communities, Inc., Class A (1)		32,161		448,003
Retail REIT’s — 0.2%
Saul Centers, Inc. (1)		3,320		162,448
Specialized REIT’s — 0.7%
Pebblebrook Hotel Trust (1)		12,810		435,668
Total Real Estate				4,767,201
Telecommunication Services — 0.5%
Alternative Carriers — 0.5%
Iridium Communications, Inc. (1)(2)		26,280		307,476
Utilities — 6.0%
Electric Utilities — 3.7%
El Paso Electric Co.		12,772		620,719
IDACORP, Inc. (1)		3,211		260,252
PNM Resources, Inc. (1)		20,617		725,719
Portland General Electric Co. (1)		19,714		783,237
				2,389,927
Gas Utilities — 1.0%
Southwest Gas Holdings, Inc.		9,850		648,918
Multi-Utilities — 1.3%
Black Hills Corp. (1)		3,355		170,400
NorthWestern Corp.		13,949		712,515
				882,915
Total Utilities				3,921,760
Total Common Stocks (identified cost $57,239,516)				64,134,182
Short-Term Investments — 47.6%
Collateral Pool Investments for Securities on Loan — 46.1%
Collateral pool allocation (3)				30,092,122

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		974,691	$	974,691
Total Short-Term Investments (identified cost $31,066,753)				31,066,813
Total Investments — 146.0% (identified cost $88,306,269)				95,200,995
Other Assets and Liabilities — (46.0)%				(29,992,905	)
Total Net Assets — 100.0%			$	65,208,090

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		9.1	%
Consumer Staples		0.9
Energy		5.9
Financials		28.3
Healthcare		9.7
Industrials		14.3
Information Technology		9.5
Materials		6.9
Real Estate		7.3
Telecommunication Services		0.5
Utilities		6.0
Other Assets & Liabilities, Net		1.6
Total		100.0	%

Small-Cap Core Fund

Description	Shares		Value
Common Stocks — 97.5%
Consumer Discretionary — 11.5%
Apparel Retail — 0.9%
DSW, Inc., Class A (1)		4,504	$	88,324
Francesca’s Holdings Corp. (1)(2)		5,062		26,373
Tailored Brands, Inc. (1)		2,725		63,792
				178,489
Apparel, Accessories & Luxury Goods — 0.5%
Movado Group, Inc. (1)		3,062		94,922
Auto Parts & Equipment — 3.3%
Cooper-Standard Holdings, Inc. (2)		1,446		176,181
Dana, Inc. (1)		6,380		169,517
Stoneridge, Inc. (2)		6,790		147,750
Tenneco, Inc.		3,157		165,900
				659,348
Broadcasting — 0.5%
Gray Television, Inc. (1)(2)		6,631		91,508
Casinos & Gaming — 0.6%
Penn National Gaming, Inc. (1)(2)		4,376		116,445
Education Services — 0.5%
American Public Education, Inc. (2)		3,231		99,353
Footwear — 1.5%
Deckers Outdoor Corp. (1)(2)		2,020		191,051
Steven Madden, Ltd. (1)(2)		2,304		101,146
				292,197
General Merchandise Stores — 1.0%
Big Lots, Inc. (1)		3,417		192,036

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

18

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Consumer Discretionary (continued)
Homebuilding — 0.8%
KB Home (1)		5,491	$	152,375
Internet & Direct Marketing Retail — 0.4%
1-800-Flowers.com, Inc., Class A (1)(2)		6,633		77,275
Leisure Products — 0.9%
Johnson Outdoors, Inc., Class A		1,119		68,975
MCBC Holdings, Inc. (2)		4,314		105,736
				174,711
Restaurants — 0.6%
BJ’s Restaurants, Inc. (1)		2,770		120,495
Total Consumer Discretionary				2,249,154
Consumer Staples — 2.4%
Agricultural Products — 0.4%
Darling Ingredients, Inc. (1)(2)		4,558		82,910
Food Distributors — 1.2%
Chefs’ Warehouse, Inc. (1)(2)		2,429		54,774
Performance Food Group Co. (2)		6,124		187,700
				242,474
Packaged Foods & Meats — 0.8%
Sanderson Farms, Inc. (1)		1,218		149,997
Total Consumer Staples				475,381
Energy — 3.5%
Oil & Gas-Drilling — 0.5%
Rowan Cos. PLC (1)(2)		9,099		110,644
Oil & Gas-Equipment & Services — 0.7%
SEACOR Holdings, Inc. (2)		2,126		88,250
U.S. Silica Holdings, Inc. (1)		1,973		51,081
				139,331
Oil & Gas-Exploration & Production — 1.8%
Abraxas Petroleum Corp. (2)		42,165		90,655
Midstates Petroleum Co., Inc. (2)		3,366		45,374
SRC Energy, Inc. (1)(2)		15,487		137,370
W&T Offshore, Inc. (1)(2)		20,131		78,309
				351,708
Oil & Gas-Refining & Marketing — 0.5%
Par Pacific Holdings, Inc. (2)		5,554		94,529
Total Energy				696,212
Financials — 16.1%
Consumer Finance — 0.5%
Nelnet, Inc., Class A (1)		1,849		102,324
Investment Banking & Brokerage — 1.7%
Evercore, Inc., Class A (1)		2,144		199,499
Stifel Financial Corp.		2,141		136,746
				336,245
Life & Health Insurance — 2.9%
American Equity Investment Life Holding Co. (1)		5,802		177,599
CNO Financial Group, Inc.		7,736		174,369
Primerica, Inc. (1)		2,099		204,653
				556,621
Property & Casualty Insurance — 0.5%
Employers Holdings, Inc.		2,626		102,808

Description	Shares		Value
Common Stocks (continued)
Financials (continued)
Regional Banks — 8.0%
1st Source Corp. (1)		1,862	$	91,834
BancFirst Corp.		1,641		87,383
BancorpSouth Bank (1)		4,758		149,877
Cathay General Bancorp (1)		4,089		167,894
Central Pacific Financial Corp.		5,062		141,078
Customers Bancorp, Inc. (2)		3,194		93,712
First Financial Corp.		1,162		49,850
Great Western Bancorp, Inc. (1)		1,422		58,146
Hanmi Financial Corp.		4,429		135,306
Heartland Financial USA, Inc. (1)		905		48,282
Hilltop Holdings, Inc. (1)		7,218		175,469
Peapack Gladstone Financial Corp.		2,178		71,830
Preferred Bank (1)		1,396		87,013
TriCo Bancshares		3,099		115,748
Umpqua Holdings Corp. (1)		4,105		87,477
				1,560,899
Thrifts & Mortgage Finance — 2.5%
NMI Holdings, Inc., Class A (1)(2)		6,137		121,819
TrustCo Bank Corp. (1)		11,140		94,690
Walker & Dunlop, Inc. (1)		3,925		189,695
Washington Federal, Inc. (1)		2,504		86,889
				493,093
Total Financials				3,151,990
Healthcare — 18.8%
Biotechnology — 4.0%
BioSpecifics Technologies Corp. (2)		1,309		53,015
Emergent BioSolutions, Inc. (2)		3,721		184,934
Genomic Health, Inc. (1)(2)		3,296		105,472
Ligand Pharmaceuticals, Inc., Class B (1)(2)		457		69,414
Myriad Genetics, Inc. (1)(2)		3,925		127,248
Pieris Pharmaceuticals, Inc. (2)		9,439		80,420
Sangamo Therapeutics, Inc. (1)(2)		3,336		79,897
Vanda Pharmaceuticals, Inc. (2)		5,039		94,985
				795,385
Healthcare Equipment — 5.1%
Analogic Corp.		1,218		101,703
Cardiovascular Systems, Inc. (2)		3,424		81,423
Cutera, Inc. (1)(2)		2,303		103,750
Globus Medical, Inc., Class A (1)(2)		3,514		167,407
Inogen, Inc. (1)(2)		1,335		161,295
Integer Holdings Corp. (1)(2)		2,798		142,838
K2M Group Holdings, Inc. (1)(2)		4,747		98,310
LeMaitre Vascular, Inc. (1)		1,654		57,493
Masimo Corp. (2)		951		83,241
				997,460
Healthcare Supplies — 1.5%
Anika Therapeutics, Inc. (1)(2)		1,353		70,424
Lantheus Holdings, Inc. (1)(2)		5,574		85,282
OraSure Technologies, Inc. (1)(2)		8,427		145,450
				301,156
Healthcare Technology — 1.5%
Allscripts Healthcare Solutions, Inc. (1)(2)		6,655		92,305
Cotiviti Holdings, Inc. (1)(2)		2,923		97,949
HealthStream, Inc. (1)(2)		4,175		100,868
				291,122
Life Sciences Tools & Services — 1.3%
Cambrex Corp. (1)(2)		2,004		104,108
PRA Health Sciences, Inc. (2)		1,824		153,216
				257,324

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

19

February 28, 2018 (Unaudited)

Schedules of Investments

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Managed Healthcare — 0.7%
Magellan Health, Inc. (1)(2)		1,318	$	132,986
Pharmaceuticals — 4.7%
Catalent, Inc. (2)		4,067		169,797
Corcept Therapeutics, Inc. (1)(2)		9,586		145,611
Innoviva, Inc. (1)(2)		8,568		132,890
Intersect ENT, Inc. (2)		2,682		98,832
Pacira Pharmaceuticals, Inc. (2)		2,908		91,020
Phibro Animal Health Corp., Class A		3,495		134,383
Supernus Pharmaceuticals, Inc. (1)(2)		3,674		142,919
				915,452
Total Healthcare				3,690,885
Industrials — 16.0%
Airlines — 0.8%
Hawaiian Holdings, Inc. (1)		4,660		167,760
Building Products — 0.9%
American Woodmark Corp. (2)		989		126,987
Builders FirstSource, Inc. (1)(2)		2,966		56,888
				183,875
Construction & Engineering — 1.4%
Comfort Systems USA, Inc.		1,671		68,594
EMCOR Group, Inc.		2,612		199,322
				267,916
Construction Machinery & Heavy Trucks — 0.8%
Greenbrier Cos., Inc. (1)		2,898		150,116
Human Resource & Employment Services — 0.9%
TrueBlue, Inc. (2)		6,433		174,978
Industrial Machinery — 3.4%
Briggs & Stratton Corp. (1)		5,248		117,975
EnPro Industries, Inc. (1)		1,669		120,936
Global Brass & Copper Holdings, Inc.		2,507		70,948
Hyster-Yale Materials Handling, Inc., Class A (1)		1,403		99,880
Lydall, Inc. (2)		1,609		77,473
Watts Water Technologies, Inc., Class A		2,393		180,671
				667,883
Office Services & Supplies — 1.4%
ACCO Brands Corp.		6,948		87,892
Herman Miller, Inc.		5,012		179,931
				267,823
Research & Consulting Services — 1.4%
ICF International, Inc. (2)		2,946		167,922
RPX Corp.		10,620		106,519
				274,441
Security & Alarm Services — 0.7%
Brink’s Co.		1,846		135,681
Trading Companies & Distributors — 2.3%
Beacon Roofing Supply, Inc. (1)(2)		1,832		96,931
H&E Equipment Services, Inc.		4,384		165,233
Rush Enterprises, Inc., Class A (2)		4,394		186,789
				448,953
Trucking — 2.0%
ArcBest Corp. (1)		5,275		174,603
Covenant Transportation Group, Inc., Class A (2)		2,992		77,253

Description	Shares		Value
Common Stocks (continued)
Industrials (continued)
Trucking (continued)
Saia, Inc. (1)(2)		1,969	$	143,048
				394,904
Total Industrials				3,134,330
Information Technology — 17.9%
Application Software — 0.7%
Verint Systems, Inc. (2)		3,402		132,338
Communications Equipment — 2.1%
CalAmp Corp. (1)(2)		6,259		146,461
Ciena Corp. (1)(2)		6,071		140,665
Comtech Telecommunications Corp.		5,937		131,208
				418,334
Consulting & Other Services — 1.1%
EPAM Systems, Inc. (1)(2)		866		97,962
Hackett Group, Inc.		3,778		68,117
Virtusa Corp. (2)		1,104		52,683
				218,762
Data Processing & Outsourced Services — 2.6%
CSG Systems International, Inc.		3,727		173,976
ExlService Holdings, Inc. (2)		1,091		62,209
MAXIMUS, Inc.		1,977		132,419
Sykes Enterprises, Inc. (2)		4,911		142,714
				511,318
Electronic Components — 1.3%
Rogers Corp. (1)(2)		919		126,197
Vishay Intertechnology, Inc. (1)		6,600		121,440
				247,637
Electronic Equipment & Instruments — 0.8%
Itron, Inc. (1)(2)		2,357		164,990
Electronic Manufacturing Services — 1.8%
Benchmark Electronics, Inc. (2)		1,706		51,180
Methode Electronics, Inc. (1)		4,016		158,431
TTM Technologies, Inc. (1)(2)		8,313		134,338
				343,949
Internet Software & Services — 1.4%
Care.com, Inc. (2)		4,766		85,216
SPS Commerce, Inc. (1)(2)		3,085		185,162
				270,378
Semiconductor Equipment — 2.8%
Amkor Technology, Inc. (2)		9,913		99,626
Entegris, Inc. (1)		6,199		205,807
MKS Instruments, Inc. (1)		890		99,101
Rudolph Technologies, Inc. (2)		5,677		150,724
				555,258
Semiconductors — 1.4%
Diodes, Inc. (2)		6,173		185,807
Silicon Laboratories, Inc. (1)(2)		1,053		98,456
				284,263
Systems Software — 1.9%
CommVault Systems, Inc. (2)		1,804		93,898
Imperva, Inc. (2)		1,957		91,294
Progress Software Corp.		3,996		187,293
				372,485
Total Information Technology				3,519,712
Materials — 4.8%
Commodity Chemicals — 1.8%
Koppers Holdings, Inc. (2)		3,907		157,843
Trinseo SA		2,443		194,463
				352,306

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

20

BMO Funds

Small-Cap Core Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Materials (continued)
Forest Products — 1.8%
Boise Cascade Co. (1)		4,152	$	167,326
Louisiana-Pacific Corp. (1)		6,377		181,744
				349,070
Specialty Chemicals — 1.2%
Kraton Corp. (1)(2)		3,810		161,582
OMNOVA Solutions, Inc. (2)		7,030		71,003
				232,585
Total Materials				933,961
Real Estate — 3.2%
Hotel & Resort REIT’s — 1.8%
Chesapeake Lodging Trust		5,989		154,875
Sunstone Hotel Investors, Inc. (1)		2,951		42,583
Xenia Hotels & Resorts, Inc. (1)		8,019		157,734
				355,192
Industrial REIT’s — 0.8%
First Industrial Realty Trust, Inc.		5,572		156,183
Residential REIT’s — 0.6%
Preferred Apartment Communities, Inc., Class A		8,960		124,813
Total Real Estate				636,188
Telecommunication Services — 1.0%
Alternative Carriers — 1.0%
Cogent Communications Holdings, Inc. (1)		3,542		151,775
Vonage Holdings Corp. (1)(2)		4,840		49,126
Total Telecommunication Services				200,901
Utilities — 2.3%
Electric Utilities — 2.3%
El Paso Electric Co. (1)		1,461		71,005
PNM Resources, Inc. (1)		5,524		194,445
Portland General Electric Co. (1)		4,796		190,545
Total Utilities				455,995
Total Common Stocks (identified cost $16,181,035)				19,144,709
Short-Term Investments — 47.1%
Collateral Pool Investments for Securities on Loan — 44.6%
Collateral pool allocation (3)				8,761,118
Mutual Funds — 2.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		484,548		484,548
Total Short-Term Investments (identified cost $9,245,640)				9,245,666
Total Investments — 144.6% (identified cost $25,426,675)				28,390,375
Other Assets and Liabilities — (44.6)%				(8,753,714	)
Total Net Assets — 100.0%			$	19,636,661

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		11.5	%
Consumer Staples		2.4
Energy		3.5
Financials		16.1
Healthcare		18.8
Industrials		16.0
Information Technology		17.9
Materials		4.8
Real Estate		3.2
Telecommunication Services		1.0
Utilities		2.3
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Small-Cap Growth Fund

Description	Shares		Value
Common Stocks — 98.7%
Consumer Discretionary — 11.2%
Apparel, Accessories & Luxury Goods — 2.1%
G-III Apparel Group, Ltd. (1)(2)		35,872	$	1,324,036
Oxford Industries, Inc. (1)		19,123		1,528,310
				2,852,346
Auto Parts & Equipment — 1.6%
Gentherm, Inc. (1)(2)		32,602		1,004,142
Tenneco, Inc. (1)		23,477		1,233,716
				2,237,858
Casinos & Gaming — 0.7%
Golden Entertainment, Inc. (1)(2)		35,604		992,995
Footwear — 0.9%
Steven Madden, Ltd. (1)(2)		28,741		1,261,730
Home Furnishings — 1.0%
La-Z-Boy, Inc. (1)		44,601		1,369,251
Homefurnishing Retail — 1.0%
Sleep Number Corp. (1)(2)		40,343		1,389,413
Leisure Products — 0.9%
Callaway Golf Co. (1)		74,064		1,146,511
Restaurants — 0.9%
Zoe’s Kitchen, Inc. (1)(2)		77,455		1,152,530
Specialized Consumer Services — 0.9%
Sotheby’s (1)(2)		26,882		1,241,411
Specialty Stores — 1.2%
Five Below, Inc. (1)(2)		24,641		1,647,251
Total Consumer Discretionary				15,291,296
Consumer Staples — 1.7%
Agricultural Products — 0.9%
Darling Ingredients, Inc. (1)(2)		68,644		1,248,634
Soft Drinks — 0.8%
Coca-Cola Bottling Co. Consolidated (1)		5,906		1,102,119
Total Consumer Staples				2,350,753
Energy — 2.1%
Oil & Gas-Equipment & Services — 1.4%
Matrix Service Co. (1)(2)		58,077		830,501
SEACOR Holdings, Inc. (2)		25,457		1,056,720
				1,887,221

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

21

February 28, 2018 (Unaudited)

Schedules of Investments

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Energy (continued)
Oil & Gas-Exploration & Production — 0.7%
Bill Barrett Corp. (1)(2)		208,555	$	944,754
Total Energy				2,831,975
Financials — 5.0%
Life & Health Insurance — 0.8%
CNO Financial Group, Inc. (1)		51,328		1,156,933
Property & Casualty Insurance — 0.7%
Employers Holdings, Inc. (1)		24,686		966,457
Regional Banks — 2.8%
Great Western Bancorp, Inc. (1)		32,508		1,329,252
Hilltop Holdings, Inc. (1)		43,686		1,062,007
LegacyTexas Financial Group, Inc. (1)		33,162		1,389,156
				3,780,415
Thrifts & Mortgage Finance — 0.7%
Provident Financial Services, Inc. (1)		39,529		983,482
Total Financials				6,887,287
Healthcare — 23.4%
Biotechnology — 7.7%
Akebia Therapeutics, Inc. (1)(2)		56,490		807,807
CytomX Therapeutics, Inc. (1)(2)		36,064		1,071,461
Emergent BioSolutions, Inc. (1)(2)		34,092		1,694,372
Genomic Health, Inc. (1)(2)		30,790		985,280
Ligand Pharmaceuticals, Inc., Class B (1)(2)		7,887		1,197,956
MiMedx Group, Inc. (1)(2)		67,564		479,029
Repligen Corp. (1)(2)		27,171		931,694
Retrophin, Inc. (1)(2)		46,134		1,154,273
Sangamo Therapeutics, Inc. (1)(2)		43,834		1,049,824
Vanda Pharmaceuticals, Inc. (1)(2)		58,634		1,105,251
				10,476,947
Healthcare Equipment — 6.6%
Analogic Corp. (1)		15,776		1,317,296
AtriCure, Inc. (1)(2)		40,165		709,716
Cardiovascular Systems, Inc. (1)(2)		45,218		1,075,284
Inogen, Inc. (1)(2)		12,666		1,530,306
K2M Group Holdings, Inc. (1)(2)		45,447		941,207
Masimo Corp. (2)		14,751		1,291,155
Nevro Corp. (1)(2)		13,954		1,131,948
NuVasive, Inc. (1)(2)		20,485		990,655
				8,987,567
Healthcare Services — 0.8%
Amedisys, Inc. (1)(2)		19,747		1,169,220
Healthcare Supplies — 0.8%
OraSure Technologies, Inc. (1)(2)		63,902		1,102,949
Healthcare Technology — 1.6%
Medidata Solutions, Inc. (1)(2)		20,294		1,332,504
Vocera Communications, Inc. (2)		33,723		927,383
				2,259,887
Life Sciences Tools & Services — 2.0%
Cambrex Corp. (1)(2)		23,765		1,234,592
PRA Health Sciences, Inc. (1)(2)		17,505		1,470,420
				2,705,012
Managed Healthcare — 1.1%
Magellan Health, Inc. (1)(2)		14,485		1,461,536

Description	Shares		Value
Common Stocks (continued)
Healthcare (continued)
Pharmaceuticals — 2.8%
Corcept Therapeutics, Inc. (1)(2)		52,825	$	802,412
Innoviva, Inc. (1)(2)		78,688		1,220,451
Pacira Pharmaceuticals, Inc. (1)(2)		26,463		828,292
Supernus Pharmaceuticals, Inc. (1)(2)		26,388		1,026,493
				3,877,648
Total Healthcare				32,040,766
Industrials — 18.4%
Air Freight & Logistics — 1.8%
Echo Global Logistics, Inc. (1)(2)		47,664		1,260,713
Hub Group, Inc., Class A (2)		28,706		1,253,017
				2,513,730
Building Products — 3.0%
American Woodmark Corp. (1)(2)		10,654		1,367,974
Builders FirstSource, Inc. (1)(2)		76,529		1,467,826
Simpson Manufacturing Co., Inc. (1)		23,395		1,294,211
				4,130,011
Construction & Engineering — 2.6%
Comfort Systems USA, Inc. (1)		34,648		1,422,300
KBR, Inc. (1)		67,385		1,020,209
Primoris Services Corp.		43,168		1,074,883
				3,517,392
Human Resource & Employment Services — 3.8%
Insperity, Inc.		30,231		1,974,085
Korn/Ferry International		35,486		1,487,218
TriNet Group, Inc. (2)		37,577		1,772,507
				5,233,810
Industrial Machinery — 5.2%
Chart Industries, Inc. (1)(2)		24,959		1,375,490
EnPro Industries, Inc. (1)		15,239		1,104,218
Proto Labs, Inc. (1)(2)		13,627		1,484,662
SPX FLOW, Inc. (1)(2)		33,486		1,632,777
Watts Water Technologies, Inc., Class A		19,440		1,467,720
				7,064,867
Office Services & Supplies — 1.0%
Herman Miller, Inc. (1)		36,153		1,297,893
Research & Consulting Services — 1.0%
ICF International, Inc. (2)		23,802		1,356,714
Total Industrials				25,114,417
Information Technology — 26.6%
Application Software — 3.2%
Callidus Software, Inc. (1)(2)		50,741		1,821,602
HubSpot, Inc. (1)(2)		14,003		1,555,033
Verint Systems, Inc. (1)(2)		27,764		1,080,020
				4,456,655
Communications Equipment — 2.6%
CalAmp Corp. (1)(2)		46,229		1,081,759
Ciena Corp. (1)(2)		53,084		1,229,956
Extreme Networks, Inc. (1)(2)		108,223		1,234,824
				3,546,539
Electronic Components — 0.8%
Rogers Corp. (1)(2)		8,332		1,144,150
Electronic Equipment & Instruments — 1.6%
Fitbit, Inc., Class A (1)(2)		164,618		786,874
Itron, Inc. (1)(2)		19,673		1,377,110
				2,163,984

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

22

BMO Funds

Small-Cap Growth Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Information Technology (continued)
Electronic Manufacturing Services — 0.8%
Methode Electronics, Inc. (1)		26,965	$	1,063,769
Internet Software & Services — 8.0%
Apptio, Inc. (1)(2)		47,113		1,361,566
Carbonite, Inc. (1)(2)		58,088		1,635,177
Cornerstone OnDemand, Inc. (1)(2)		34,406		1,410,646
Hortonworks, Inc. (1)(2)		60,530		1,088,330
New Relic, Inc. (2)		22,890		1,643,044
Quotient Technology, Inc. (1)(2)		86,639		1,139,303
SPS Commerce, Inc. (1)(2)		21,961		1,318,099
Yelp, Inc., Class A (1)(2)		31,443		1,369,657
				10,965,822
Semiconductor Equipment — 3.7%
Entegris, Inc. (1)		51,194		1,699,641
FormFactor, Inc. (1)(2)		81,141		1,062,947
Nanometrics, Inc. (2)		40,665		1,073,149
Rudolph Technologies, Inc. (1)(2)		44,138		1,171,864
				5,007,601
Semiconductors — 2.0%
Rambus, Inc. (1)(2)		103,081		1,310,160
Silicon Laboratories, Inc. (1)(2)		14,911		1,394,178
				2,704,338
Systems Software — 3.9%
CommVault Systems, Inc. (1)(2)		21,938		1,141,873
Imperva, Inc. (2)		19,750		921,338
Qualys, Inc. (1)(2)		23,068		1,708,185
Varonis Systems, Inc. (2)		27,015		1,516,892
				5,288,288
Total Information Technology				36,341,146
Materials — 5.7%
Commodity Chemicals — 1.0%
Trinseo SA (1)		18,156		1,445,218
Forest Products — 2.4%
Boise Cascade Co. (1)		44,812		1,805,923
Louisiana-Pacific Corp. (1)		53,564		1,526,574
				3,332,497
Specialty Chemicals — 1.1%
Kraton Corp. (1)(2)		34,648		1,469,422
Steel — 1.2%
Commercial Metals Co. (1)		66,188		1,608,368
Total Materials				7,855,505
Real Estate — 2.1%
Diversified REIT’s — 0.7%
American Assets Trust, Inc.		31,039		984,557
Hotel & Resort REIT’s — 0.6%
Hersha Hospitality Trust (1)		52,214		877,195
Specialized REIT’s — 0.8%
DiamondRock Hospitality Co. (1)		100,038		1,028,391
Total Real Estate				2,890,143
Telecommunication Services — 0.8%
Alternative Carriers — 0.8%
Cogent Communications Holdings, Inc. (1)		27,064		1,159,692

Description	Shares		Value
Common Stocks (continued)
Utilities — 1.7%
Electric Utilities — 1.0%
Otter Tail Corp.		32,645	$	1,299,271
Gas Utilities — 0.7%
Southwest Gas Holdings, Inc.		15,090		994,129
Total Utilities				2,293,400
Total Common Stocks (identified cost $114,142,169)				135,056,380
Short-Term Investments — 49.8%
Collateral Pool Investments for Securities on Loan — 48.4%
Collateral pool allocation (3)				66,182,392
Mutual Funds — 1.4%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		1,895,175		1,895,175
Total Short-Term Investments (identified cost $68,077,469)				68,077,567
Total Investments — 148.5% (identified cost $182,219,638)				203,133,947
Other Assets and Liabilities — (48.5)%				(66,317,135	)
Total Net Assets — 100.0%			$	136,816,812

Portfolio Sector Allocation*
Sector	Fund
Consumer Discretionary		11.2	%
Consumer Staples		1.7
Energy		2.1
Financials		5.0
Healthcare		23.4
Industrials		18.4
Information Technology		26.6
Materials		5.7
Real Estate		2.1
Telecommunication Services		0.8
Utilities		1.7
Other Assets & Liabilities, Net		1.3
Total		100.0	%

Global Low Volatility Equity Fund

Description	Shares		Value
Common Stocks — 98.0%
Belgium — 0.4%
bpost SA		5,983	$	202,761
Bermuda — 1.3%
Argo Group International Holdings, Ltd.		2,975		173,294
Dairy Farm International Holdings, Ltd.		16,800		141,715
Enstar Group, Ltd. (2)		1,470		291,060
Giordano International, Ltd.		164,000		80,479
				686,548
Canada — 7.7%
Allied Properties Real Estate Investment Trust		11,443		369,721
BCE, Inc.		13,446		586,795
Canadian Imperial Bank of Commerce		1,983		181,115
Detour Gold Corp. (2)		15,674		142,913
Emera, Inc.		4,905		158,289
First Capital Realty, Inc.		7,354		114,448

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

23

February 28, 2018 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Canada (continued)
George Weston, Ltd. (1)		5,920	$	483,999
Granite Real Estate Investment Trust		5,343		205,859
Laurentian Bank of Canada		8,428		333,718
Loblaw Cos., Ltd.		7,094		364,430
Maple Leaf Foods, Inc.		10,440		262,546
Quebecor, Inc., Class B		34,489		645,325
Rogers Communications, Inc., Class B		4,085		184,067
				4,033,225
Cayman Islands — 2.5%
361 Degrees International, Ltd.		292,000		106,411
Dali Foods Group Co., Ltd. (5)		349,000		331,348
Fresh Del Monte Produce, Inc.		2,304		107,551
Melco Resorts & Entertainment, Ltd., ADR		10,171		279,194
Uni-President China Holdings, Ltd.		91,000		77,357
WH Group, Ltd. (5)		347,000		427,104
				1,328,965
China — 3.0%
Agricultural Bank of China, Ltd., Class H		613,000		336,390
China Minsheng Banking Corp., Ltd., Class H		204,000		211,036
China Telecom Corp., Ltd., Class H		172,000		75,021
Industrial & Commercial Bank of China, Ltd., Class H		705,000		601,822
Livzon Pharmaceutical Group, Inc., Class H		19,310		142,737
Tsingtao Brewery Co., Ltd., Class H		32,000		174,583
				1,541,589
Czech Republic — 1.6%
CEZ AS		28,706		692,867
Moneta Money Bank AS (5)		39,302		158,100
				850,967
Denmark — 0.4%
Dfds A/S		3,659		201,072
France — 0.1%
Boiron SA		743		61,951
Germany — 0.7%
RHOEN-KLINIKUM AG		9,827		341,681
Guernsey — 1.9%
Amdocs, Ltd.		15,264		1,004,219
Hong Kong — 8.3%
CLP Holdings, Ltd.		100,500		1,012,837
Dah Sing Financial Holdings, Ltd.		29,600		191,504
Hang Seng Bank, Ltd.		29,900		738,525
HK Electric Investments & HK Electric Investments, Ltd. (1)(5)		800,500		750,094
Hysan Development Co., Ltd.		70,000		404,938
PCCW, Ltd.		805,000		457,232
Vitasoy International Holdings, Ltd.		72,000		187,195
VTech Holdings, Ltd.		21,800		299,691
Yuexiu Real Estate Investment Trust		409,000		271,427
				4,313,443
Hungary — 0.5%
Magyar Telekom Telecommunications PLC		102,609		181,242
Richter Gedeon Nyrt		4,313		95,047
				276,289

Description	Shares		Value
Common Stocks (continued)
Ireland — 0.2%
ICON PLC (2)		1,027	$	116,369
Israel — 1.7%
Bank Leumi Le-Israel BM		67,867		408,652
Bezeq — The Israeli Telecommunication Corp., Ltd.		204,161		311,946
Strauss Group, Ltd.		7,424		167,337
				887,935
Japan — 7.1%
Bridgestone Corp.		2,700		119,900
Daiichi Sankyo Co., Ltd.		5,700		202,415
Duskin Co., Ltd. (1)		13,900		343,788
Hogy Medical Co., Ltd.		1,400		106,726
Kissei Pharmaceutical Co., Ltd. (1)		7,100		193,334
KYORIN Holdings, Inc.		18,300		352,271
Mitsui Sugar Co., Ltd.		5,700		231,944
Morinaga Milk Industry Co., Ltd.		2,800		112,734
Nippon Telegraph & Telephone Corp.		10,100		467,756
Paramount Bed Holdings Co., Ltd.		3,800		196,868
Shimachu Co., Ltd. (1)		10,500		348,466
Suzuken Co., Ltd.		7,900		320,974
Takeda Pharmaceutical Co., Ltd.		5,000		283,816
Towa Pharmaceutical Co., Ltd.		2,400		155,169
Vital KSK Holdings, Inc.		11,900		114,448
Xebio Holdings Co., Ltd.		7,500		151,672
				3,702,281
Malaysia — 5.3%
Malayan Banking Bhd		198,500		527,786
Public Bank Bhd		188,500		1,103,365
Tenaga Nasional Bhd		285,900		1,140,278
				2,771,429
Netherlands — 0.1%
Sligro Food Group NV		1,358		70,487
New Zealand — 3.0%
Argosy Property, Ltd.		199,824		148,821
Chorus, Ltd.		36,168		97,416
Fisher & Paykel Healthcare Corp., Ltd.		35,685		353,095
Infratil, Ltd.		76,744		170,863
Metlifecare, Ltd.		40,331		172,850
Ryman Healthcare, Ltd.		45,465		349,330
Summerset Group Holdings, Ltd.		61,146		280,664
				1,573,039
Philippines — 0.9%
First Philippine Holdings Corp.		60,540		72,291
Manila Electric Co.		64,300		414,752
				487,043
Singapore — 4.9%
Ascott Residence Trust		83,200		73,449
Cache Logistics Trust		174,300		109,636
CDL Hospitality Trusts		133,800		167,277
Frasers Centrepoint Trust		191,700		319,547
Mapletree Industrial Trust		73,300		108,295
Mapletree Logistics Trust		474,200		428,515
RHT Health Trust		210,000		123,914
SATS, Ltd.		128,800		504,664
Sheng Siong Group, Ltd. (1)		174,800		123,068
Singapore Airlines, Ltd.		29,800		248,197
Venture Corp., Ltd.		18,200		375,455
				2,582,017
South Korea — 0.3%
GS Home Shopping, Inc.		824		153,188

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

24

BMO Funds

Global Low Volatility Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Switzerland — 2.4%
Cembra Money Bank AG		4,415	$	413,803
Novartis AG		6,219		520,328
Roche Holding AG		280		64,923
Sonova Holding AG		1,640		257,273
				1,256,327
Taiwan — 2.1%
Far EasTone Telecommunications Co., Ltd.		324,000		816,009
Taichung Commercial Bank Co., Ltd.		503,100		174,144
Taiwan Secom Co., Ltd.		41,075		127,702
				1,117,855
Thailand — 1.0%
Thai Beverage PCL		803,400		505,622
United Kingdom — 0.5%
Halfords Group PLC		48,788		237,473
United States — 40.1%
Abaxis, Inc.		4,934		328,950
Allstate Corp.		10,576		975,742
Ameren Corp.		14,525		788,708
American Electric Power Co., Inc.		9,830		644,651
American Express Co.		1,671		162,939
Atrion Corp.		358		210,826
Boeing Co.		1,564		566,496
Bryn Mawr Bank Corp.		3,579		155,866
Carter’s, Inc.		815		95,094
Chemed Corp.		2,010		521,856
Chevron Corp.		8,306		929,608
Children’s Place, Inc.		1,081		153,826
Consolidated Edison, Inc.		10,993		823,266
CVS Health Corp.		3,360		227,573
Darden Restaurants, Inc.		4,325		398,722
Discover Financial Services		10,942		862,558
Dr. Pepper Snapple Group, Inc.		10,225		1,188,656
Eli Lilly & Co.		2,968		228,595
Essex Property Trust, Inc.		1,966		440,050
Exelon Corp.		4,209		155,901
Fiserv, Inc. (2)		1,999		286,637
Foot Locker, Inc.		1,744		80,067
Forrester Research, Inc.		2,074		83,997
Getty Realty Corp.		6,093		143,795
Harris Corp.		3,502		546,837
Huntington Ingalls Industries, Inc.		1,102		288,735
ICU Medical, Inc. (2)		1,336		308,950
Jack Henry & Associates, Inc.		1,873		219,703
Johnson & Johnson		7,707		1,000,985
Kroger Co.		8,345		226,316
Lockheed Martin Corp.		1,096		386,274
Masimo Corp. (2)		1,851		162,018
Merck & Co., Inc.		14,340		777,515
Meridian Bancorp, Inc.		18,653		373,993
PepsiCo, Inc.		6,404		702,711
Pfizer, Inc.		26,815		973,653
Pinnacle West Capital Corp.		1,145		88,119
Portland General Electric Co.		15,744		625,509
Progressive Corp.		2,610		150,284
Prudential Financial, Inc.		4,670		496,514
Safety Insurance Group, Inc.		3,537		252,365
Spirit AeroSystems Holdings, Inc., Class A		2,977		271,770
Sysco Corp.		11,941		712,281
U.S. Physical Therapy, Inc.		2,082		161,355

Description	Shares or Units		Value
Common Stocks (continued)
United States (continued)
Unum Group		8,711	$	443,913
Valero Energy Corp.		2,915		263,574
Wal-Mart, Inc.		7,370		663,374
WellCare Health Plans, Inc. (2)		932		180,724
Williams Cos., Inc.		7,161		198,789
				20,930,640
Total Common Stocks (identified cost $43,683,878)				51,234,415
Common Stock Units — 0.4%
Mexico — 0.4%
Megacable Holdings SAB de C.V.		40,300		176,993
Total Common Stock Units (identified cost $169,581)				176,993
Short-Term Investments — 4.3%
Collateral Investment for Securities on Loan — 3.1%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320% (3)		1,640,690		1,640,690
Mutual Funds — 1.2%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		626,443		626,443
Total Short-Term Investments (identified cost $2,267,133)				2,267,133
Total Investments — 102.7% (identified cost $46,120,592)				53,678,541
Other Assets and Liabilities — (2.7)%				(1,416,376	)
Total Net Assets — 100.0%			$	52,262,165

Industry Allocation
Industry	Value		% of Total Net Assets
Aerospace/Defense	$	1,771,378		3.4	%
Airlines		248,197		0.5
Apparel		95,094		0.2
Auto Parts & Equipment		119,900		0.2
Banks		5,122,023		9.8
Beverages		2,758,767		5.3
Commercial Services		555,487		1.1
Computers		1,004,219		1.9
Diversified Financial Services		1,439,300		2.8
Electric		7,538,426		14.4
Electronics		375,455		0.7
Engineering & Construction		504,664		1.0
Food		3,717,149		7.1
Healthcare-Products		1,924,705		3.7
Healthcare-Services		2,124,830		4.1
Insurance		2,783,171		5.3
Lodging		279,194		0.5
Media		645,325		1.2
Mining		142,913		0.3
Oil & Gas		1,193,182		2.3
Pharmaceuticals		5,715,735		10.9
Pipelines		198,789		0.4
Real Estate		792,120		1.5
Real Estate Investment Trusts		2,637,571		5.0
Retail		2,496,745		4.8
Savings & Loans		373,993		0.7
Shipbuilding		288,735		0.5
Software		506,340		1.0

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

25

February 28, 2018 (Unaudited)

Schedules of Investments

Global Low Volatility Equity Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Telecommunications	$	3,477,175			6.6	%
Transportation		403,833			0.8
Total Common Stocks		51,234,415			98.0
Common Stock Units		176,993			0.4
Collateral Investment for Securities on Loan		1,640,690			3.1
Mutual Funds		626,443			1.2
Total Investments		53,678,541			102.7
Other Assets and Liabilities		(1,416,376	)		(2.7	)
Total Net Assets	$	52,262,165			100.0	%

Disciplined International Equity Fund

Description	Shares		Value
Common Stocks — 97.3%
Australia — 6.0%
CSL, Ltd.		1,710	$	215,008
Evolution Mining, Ltd.		367,086		811,987
Fortescue Metals Group, Ltd. (1)		403,513		1,568,327
Qantas Airways, Ltd.		225,323		1,023,573
St. Barbara, Ltd.		137,764		438,140
Whitehaven Coal, Ltd.		53,954		181,437
Woodside Petroleum, Ltd.		18,254		409,844
				4,648,316
Belgium — 0.2%
bpost SA		3,932		133,253
Cayman Islands — 3.5%
CK Asset Holdings, Ltd.		188,000		1,614,718
Sands China, Ltd.		157,200		877,371
WH Group, Ltd. (5)		187,500		230,784
				2,722,873
Denmark — 4.0%
Danske Bank A/S		16,005		641,616
Novo Nordisk A/S		37,318		1,923,866
Topdanmark A/S (2)		7,900		387,887
Vestas Wind Systems A/S		2,609		188,747
				3,142,116
Finland — 2.5%
UPM-Kymmene OYJ		57,732		1,972,697
France — 11.5%
Arkema SA		7,714		1,007,941
Bouygues SA		4,142		209,325
Capgemini SE		1,934		241,729
CNP Assurances		19,537		474,891
Credit Agricole SA		46,423		793,740
Eiffage SA		2,660		288,010
Peugeot SA		81,529		1,835,120
Sanofi		15,669		1,235,969
Societe Generale SA		20,839		1,194,795
TOTAL SA		3,315		189,263
Valeo SA		6,845		442,913
Vinci SA		10,813		1,066,317
				8,980,013
Germany — 6.6%
Allianz SE		9,509		2,218,971
Bayer AG		4,411		517,251
Deutsche Lufthansa AG		19,805		665,895

Description	Shares		Value
Common Stocks (continued)
Germany (continued)
Fresenius Medical Care AG & Co. KGaA		1,957	$	207,860
Fresenius SE & Co. KGaA		12,770		1,044,076
Merck KGaA		2,869		287,492
Talanx AG		4,799		212,673
				5,154,218
Hong Kong — 4.1%
BOC Hong Kong Holdings, Ltd.		195,000		979,172
Galaxy Entertainment Group, Ltd.		122,000		1,057,836
Hang Seng Bank, Ltd.		40,000		987,994
Sun Hung Kai Properties, Ltd.		12,000		199,133
				3,224,135
Ireland — 1.9%
Seagate Technology PLC		27,890		1,489,326
Israel — 0.2%
Check Point Software Technologies, Ltd. (1)(2)		1,770		183,885
Italy — 1.2%
ASTM SpA		11,639		280,898
Atlantia SpA		6,953		214,285
Societa Iniziative Autostradali e Servizi SpA		24,189		414,541
				909,724
Japan — 23.8%
Aoyama Trading Co., Ltd.		9,100		378,567
Asahi Glass Co., Ltd.		12,200		504,953
Bridgestone Corp.		5,200		230,919
Chubu Electric Power Co., Inc. (1)		39,800		543,002
Dai Nippon Printing Co., Ltd.		27,899		582,009
Daiwa Securities Group, Inc.		155,000		1,032,576
Foster Electric Co., Ltd.		6,900		192,761
Fujikura, Ltd.		73,900		538,006
Fujitsu, Ltd. (1)		52,000		311,308
Hitachi, Ltd.		229,000		1,737,220
Honda Motor Co., Ltd.		47,000		1,694,214
JVC Kenwood Corp.		55,700		206,837
Kansai Electric Power Co., Inc.		53,900		655,630
Kirin Holdings Co., Ltd.		69,200		1,783,870
Konica Minolta, Inc.		82,800		763,165
Maxwell Holdings, Ltd.		10,400		210,368
Mitsubishi Chemical Holdings Corp.		99,900		1,013,070
Mitsubishi UFJ Financial Group, Inc.		21,200		149,711
Morinaga Milk Industry Co., Ltd.		7,000		281,834
NEC Corp.		6,400		194,357
Nippon Telegraph & Telephone Corp.		39,600		1,833,975
Nishimatsu Construction Co., Ltd.		25,700		644,960
Nisshinbo Holdings, Inc. (1)		42,500		644,378
ORIX Corp.		89,800		1,588,643
Sumitomo Electric Industries, Ltd.		11,000		172,988
Toho Holdings Co., Ltd.		6,300		147,949
Toppan Printing Co., Ltd.		60,000		513,520
				18,550,790
Jersey — 4.0%
Aptiv PLC		15,263		1,393,970
Centamin PLC		97,308		199,298
Delphi Technologies PLC		5,087		242,904
Wizz Air Holdings PLC (2)(5)		25,784		1,277,396
				3,113,568
Luxembourg — 0.6%
Ternium SA		12,919		446,739
Netherlands — 4.2%
ABN AMRO Group NV (5)		51,184		1,594,880
AerCap Holdings NV (2)		9,226		457,702

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

26

BMO Funds

Disciplined International Equity Fund (continued)

Description	Shares		Value
Common Stocks (continued)
Netherlands (continued)
Fiat Chrysler Automobiles NV (2)		48,733	$	1,034,682
Koninklijke Ahold Delhaize NV		8,530		191,857
				3,279,121
New Zealand — 0.2%
Air New Zealand, Ltd.		74,840		176,315
Norway — 0.8%
Marine Harvest ASA (1)		10,034		194,576
Salmar ASA		11,133		394,114
				588,690
Portugal — 0.3%
Mota-Engil SGPS SA		41,368		200,592
Singapore — 2.0%
DBS Group Holdings, Ltd.		24,500		526,615
Mapletree Industrial Trust		143,300		211,715
Oversea-Chinese Banking Corp., Ltd.		24,200		236,351
SATS, Ltd.		79,700		312,280
Singapore Airlines, Ltd.		28,500		237,370
				1,524,331
Spain — 1.5%
Banco Bilbao Vizcaya Argentaria SA		37,251		311,168
Ence Energia y Celulosa SA		84,867		554,117
Repsol SA		16,913		301,365
				1,166,650
Sweden — 0.2%
Skandinaviska Enskilda Banken AB, Class A		15,618		183,566
Switzerland — 6.6%
Lonza Group AG		933		237,306
Novartis AG		6,104		510,706
Roche Holding AG		9,877		2,290,166
Swiss Re AG		3,846		392,638
TE Connectivity, Ltd.		13,023		1,342,541
Zurich Insurance Group AG		1,060		349,708
				5,123,065
United Kingdom — 11.4%
Admiral Group PLC		13,041		330,201
Berkeley Group Holdings PLC		15,033		793,740
GlaxoSmithKline PLC		90,868		1,631,318
Imperial Brands PLC		30,029		1,077,481
Jupiter Fund Management PLC		28,876		202,495
Legal & General Group PLC		460,162		1,653,871
Persimmon PLC		19,995		712,133
QinetiQ Group PLC		99,692		280,375
RELX PLC		9,213		189,274
Rio Tinto PLC		11,306		605,597
Royal Mail PLC		84,256		648,650
Unilever PLC		7,508		383,884
WH Smith PLC		13,393		373,294
				8,882,313
Total Common Stocks (identified cost $64,283,761)				75,796,296
Exchange Traded Funds — 1.7%
United States — 1.7%
iShares Core MSCI EAFE (1)		20,648		1,365,659
Total Exchange Traded Funds (identified cost $1,378,398)				1,365,659

Description	Shares		Value
Short-Term Investments — 7.0%
Collateral Investment for Securities on Loan — 6.2%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320% (3)		4,877,184	$	4,877,184
Mutual Funds — 0.8%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		592,076		592,076
Total Short-Term Investments (identified cost $5,469,251)				5,469,260
Total Investments — 106.0% (identified cost $71,131,410)				82,631,215
Other Assets and Liabilities — (6.0)%				(4,713,748	)
Total Net Assets — 100.0%			$	77,917,467

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	1,077,481			1.4	%
Airlines		3,380,549			4.3
Auto Manufacturers		4,564,015			5.9
Auto Parts & Equipment		2,483,694			3.2
Banks		7,599,607			9.8
Beverages		1,783,871			2.3
Biotechnology		215,008			0.3
Building Materials		504,953			0.6
Chemicals		2,021,011			2.6
Coal		181,437			0.2
Commercial Services		2,932,603			3.8
Computers		2,420,605			3.1
Cosmetics/Personal Care		383,884			0.5
Diversified Financial Services		2,823,715			3.6
Electric		1,198,631			1.5
Electrical Components & Equipment		538,006			0.7
Electronics		1,552,909			2.0
Energy-Alternate Sources		188,747			0.2
Engineering & Construction		2,721,485			3.5
Food		1,293,165			1.7
Forest Products & Paper		2,526,814			3.2
Healthcare-Products		237,306			0.3
Healthcare-Services		1,251,936			1.6
Home Builders		1,505,873			1.9
Home Furnishings		399,598			0.5
Insurance		6,020,840			7.7
Iron/Steel		2,015,066			2.6
Lodging		1,935,207			2.5
Machinery-Construction & Mining		1,737,220			2.2
Mining		2,055,022			2.6
Office/Business Equipment		763,165			1.0
Oil & Gas		900,473			1.2
Pharmaceuticals		8,544,717			11.0
Real Estate		1,813,851			2.3
Real Estate Investment Trusts		211,715			0.3
Retail		751,861			1.0
Telecommunications		2,478,353			3.2
Transportation		781,903			1.0
Total Common Stocks		75,796,296			97.3
Exchange Traded Funds		1,365,659			1.7
Rights		0			0.0
Collateral Investment for Securities on Loan		4,877,184			6.2
Mutual Funds		592,076			0.8
Total Investments		82,631,215			106.0
Other Assets and Liabilities		(4,713,748	)		(6.0	)
Total Net Assets	$	77,917,467			100.0	%

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

27

February 28, 2018 (Unaudited)

Schedules of Investments

Pyrford International Stock Fund

Description	Shares		Value
Common Stocks — 94.1%
Australia — 10.7%
Brambles, Ltd.		2,043,162	$	15,173,444
Computershare, Ltd.		884,204		12,198,773
Newcrest Mining, Ltd.		349,929		5,759,035
QBE Insurance Group, Ltd.		1,213,200		9,548,653
Rio Tinto, Ltd. (1)		113,387		7,093,840
Woodside Petroleum, Ltd.		508,509		11,417,193
Woolworths Group, Ltd. (1)		712,940		15,235,835
				76,426,773
Belgium — 1.2%
Proximus SADP		271,862		8,721,061
Finland — 1.9%
Kone OYJ, Class B (1)		126,766		6,560,772
Sampo OYJ, A Shares		120,284		6,801,761
				13,362,533
France — 8.2%
Air Liquide SA		96,647		12,077,859
Bureau Veritas SA		291,566		7,620,408
Legrand SA		110,951		8,694,208
Rubis SCA		88,590		6,324,312
Sanofi		170,083		13,416,125
TOTAL SA		190,236		10,861,142
				58,994,054
Germany — 5.1%
Brenntag AG		171,535		10,723,706
Deutsche Post AG		189,282		8,684,264
GEA Group AG		149,643		7,107,189
SAP AG		98,368		10,334,946
				36,850,105
Hong Kong — 4.1%
AIA Group, Ltd.		768,400		6,380,362
China Mobile, Ltd.		1,115,500		10,377,666
Power Assets Holdings, Ltd.		754,500		6,396,020
VTech Holdings, Ltd.		429,100		5,898,964
				29,053,012
Israel — 1.4%
Bezeq — The Israeli Telecommunication Corp., Ltd.		6,721,274		10,269,713
Japan — 10.9%
ABC-Mart, Inc. (1)		122,100		7,738,393
Japan Tobacco, Inc.		589,468		16,798,369
KDDI Corp.		560,500		13,768,627
Mitsubishi Electric Corp.		575,000		9,688,044
Nihon Kohden Corp.		441,800		12,496,513
Sumitomo Rubber Industries, Ltd.		592,400		11,338,083
Toyota Tsusho Corp.		162,800		6,039,242
				77,867,271
Malaysia — 2.9%
Axiata Group Bhd		7,771,974		10,637,281
Malayan Banking Bhd		3,938,782		10,472,717
				21,109,998
Netherlands — 4.7%
Koninklijke Vopak NV		248,107		11,692,512
RELX NV		422,080		8,645,359
Unilever NV		252,792		13,171,202
				33,509,073

Description	Shares or Rights		Value
Common Stocks (continued)
Norway — 2.0%
Telenor ASA		628,559	$	14,127,144
Singapore — 5.0%
ComfortDelGro Corp., Ltd.		6,972,100		10,639,480
Sembcorp Industries, Ltd.		2,701,000		6,487,081
Singapore Technologies Engineering, Ltd.		3,496,400		8,947,643
United Overseas Bank, Ltd.		468,702		9,808,431
				35,882,635
Sweden — 5.3%
Assa Abloy AB, Class B		548,121		12,209,764
Atlas Copco AB, A Shares		256,023		10,903,618
Essity AB, Class B (2)		549,610		15,039,643
				38,153,025
Switzerland — 13.2%
Givaudan SA		2,031		4,632,340
Nestle SA		292,985		23,321,650
Novartis AG		239,844		20,067,134
Panalpina Welttransport Holding AG		37,357		5,861,383
Roche Holding AG		89,734		20,806,501
Schindler Holding AG		20,466		4,794,353
SGS SA		1,834		4,666,431
Zurich Insurance Group AG		32,775		10,812,896
				94,962,688
Taiwan — 4.0%
Advantech Co., Ltd.		735,118		5,406,887
Chunghwa Telecom Co., Ltd.		2,740,000		10,209,991
Merida Industry Co., Ltd.		630,000		2,757,969
Taiwan Semiconductor Manufacturing Co., Ltd.		1,249,000		10,257,625
				28,632,472
United Kingdom — 13.5%
BP PLC		811,744		5,265,583
British American Tobacco PLC		185,622		10,902,179
GlaxoSmithKline PLC		578,475		10,385,135
Imperial Brands PLC		180,170		6,464,743
Legal & General Group PLC		2,892,375		10,395,503
National Grid PLC		1,154,904		11,718,563
Royal Dutch Shell PLC, A Shares		321,985		10,198,501
Royal Dutch Shell PLC, B Shares		194,541		6,169,628
SSE PLC		482,557		8,104,724
United Utilities Group PLC		892,058		8,163,124
Vodafone Group PLC		3,290,653		9,213,194
				96,980,877
Total Common Stocks (identified cost $597,879,268)				674,902,434
Preferred Stocks — 1.8%
Germany — 1.8%
Fuchs Petrolub SE		229,876		13,080,191
Total Preferred Stocks (identified cost $9,131,682)				13,080,191
Rights — 0.0%
Australia — 0.0%
Woodside Petroleum, Ltd. (2)		56,501		94,351
Total Rights (identified cost $0)				94,351

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

28

BMO Funds

Pyrford International Stock Fund (continued)

Description	Shares		Value
Short-Term Investments — 8.3%
Collateral Investment for Securities on Loan — 5.0%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320% (3)		35,607,675	$	35,607,675
Mutual Funds — 3.3%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		23,706,960		23,706,960
Total Short-Term Investments (identified cost $59,313,132)				59,314,635
Total Investments — 104.2% (identified cost $666,324,082)				747,391,611
Other Assets and Liabilities — (4.2)%				(30,200,459	)
Total Net Assets — 100.0%			$	717,191,152

Industry Allocation
Industry	Value			% of Total Net Assets
Agriculture	$	34,165,291			4.8	%
Auto Parts & Equipment		11,338,083			1.6
Banks		20,281,148			2.8
Chemicals		27,433,904			3.8
Commercial Services		36,105,642			5.0
Computers		17,605,661			2.5
Cosmetics/Personal Care		28,210,845			3.9
Distribution/Wholesale		6,039,242			0.9
Electric		20,987,825			2.9
Electrical Components & Equipment		8,694,208			1.2
Electronics		12,209,764			1.7
Engineering & Construction		8,947,643			1.3
Food		38,557,484			5.4
Gas		18,042,875			2.5
Hand/Machine Tools		4,794,353			0.7
Healthcare-Products		12,496,513			1.8
Insurance		43,939,175			6.1
Leisure Time		2,757,969			0.4
Machinery-Construction & Mining		20,591,663			2.9
Machinery-Diversified		13,667,961			1.9
Mining		12,852,875			1.8
Oil & Gas		43,912,047			6.1
Pharmaceuticals		64,674,896			9.0
Pipelines		11,692,512			1.6
Retail		7,738,393			1.1
Semiconductors		10,257,625			1.4
Software		10,334,946			1.4
Telecommunications		93,223,641			13.0
Transportation		25,185,126			3.5
Water		8,163,124			1.1
Total Common Stocks		674,902,434			94.1
Preferred Stocks		13,080,191			1.8
Rights		94,351			0.0
Collateral Investment for Securities on Loan		35,607,675			5.0
Mutual Funds		23,706,960			3.3
Total Investments		747,391,611			104.2
Other Assets and Liabilities		(30,200,459	)		(4.2	)
Total Net Assets	$	717,191,152			100.0	%

LGM Emerging Markets Equity Fund

Description	Shares		Value
Common Stocks — 92.4%
Bermuda — 4.5%
Credicorp, Ltd.		13,299	$	2,878,569
Dairy Farm International Holdings, Ltd.		747,471		6,305,253
				9,183,822
Brazil — 0.9%
CCR SA		448,000		1,752,318
Cayman Islands — 5.4%
Sands China, Ltd.		1,792,800		10,006,044
Tingyi Cayman Islands Holding Corp.		554,000		1,154,314
				11,160,358
Chile — 1.6%
Aguas Andinas SA, Class A		4,782,906		3,199,752
China — 2.0%
Foshan Haitian Flavouring & Food Co., Ltd., Class A		464,000		4,011,934
Egypt — 2.8%
Commercial International Bank Egypt SAE GDR		1,277,353		5,792,055
Hong Kong — 2.9%
AIA Group, Ltd.		709,800		5,893,781
India — 19.0%
Colgate-Palmolive India, Ltd.		186,204		2,951,743
Emami, Ltd.		284,024		4,675,835
HDFC Bank, Ltd.		63,362		1,822,276
Housing Development Finance Corp., Ltd.		202,761		5,549,901
ICICI Bank, Ltd.		1,281,438		6,130,574
ITC, Ltd.		1,984,151		8,028,532
Nestle India, Ltd.		24,339		2,877,309
Yes Bank, Ltd.		1,401,864		6,872,951
				38,909,121
Indonesia — 8.6%
Bank Mandiri Persero Tbk PT		16,036,608		9,646,628
Bank Rakyat Indonesia Persero Tbk PT		20,225,200		5,534,896
Kalbe Farma Tbk PT		21,708,900		2,520,779
				17,702,303
Malaysia — 3.5%
British American Tobacco Malaysia Bhd		748,600		5,396,763
Public Bank Bhd		316,600		1,853,184
				7,249,947
Mexico — 7.4%
Bolsa Mexicana de Valores SAB de C.V.		1,855,577		3,444,265
Grupo Financiero Banorte SAB de C.V., Class O		237,579		1,424,291
Grupo Herdez SAB de C.V. (1)		643,261		1,569,025
Wal-Mart de Mexico SAB de C.V.		3,760,410		8,801,250
				15,238,831
Nigeria — 1.0%
Guaranty Trust Bank PLC		15,198,387		2,050,941
Philippines — 3.6%
Universal Robina Corp.		2,597,530		7,423,954

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

29

February 28, 2018 (Unaudited)

Schedules of Investments

LGM Emerging Markets Equity Fund (continued)

Description	Shares or Units		Value
Common Stocks (continued)
Russia — 3.7%
Magnit PJSC, GDR		363,201	$	7,506,630
South Africa — 8.4%
Clicks Group, Ltd.		276,219		3,939,418
Famous Brands, Ltd. (1)(2)		234,914		2,440,040
Mr Price Group, Ltd.		452,793		10,792,916
				17,172,374
Taiwan — 3.0%
President Chain Store Corp.		619,000		6,148,626
Thailand — 1.2%
Kasikornbank PCL		333,469		2,464,632
Turkey — 1.8%
BIM Birlesik Magazalar AS		185,214		3,655,748
United States — 8.7%
PriceSmart, Inc.		33,300		2,622,375
Western Union Co.		211,481		4,191,553
Yum China Holdings, Inc.		253,993		11,002,977
				17,816,905
Vietnam — 2.4%
Vietnam Dairy Products JSC		577,243		4,927,612
Total Common Stocks (identified cost $147,843,128)				189,261,644
Common Stock Units — 2.5%
Mexico — 2.5%
Fomento Economico Mexicano SAB de C.V.		557,300		5,148,565
Total Common Stock Units (identified cost $4,808,402)				5,148,565
Short-Term Investments — 6.6%
Collateral Investment for Securities on Loan — 1.3%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320% (3)		2,753,904		2,753,904
Mutual Funds — 5.3%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		10,821,818		10,821,818
Total Short-Term Investments (identified cost $13,575,621)				13,575,722
Total Investments — 101.5% (identified cost $166,227,151)				207,985,931
Other Assets and Liabilities — (1.5)%				(3,125,907	)
Total Net Assets — 100.0%			$	204,860,024

Industry Allocation
Industry	Value		% of Total Net Assets
Agriculture	$	13,425,295		6.6	%
Banks		46,470,998		22.7
Commercial Services		5,943,871		2.9
Cosmetics/Personal Care		2,951,743		1.4
Diversified Financial Services		8,994,166		4.4
Food		39,431,779		19.2

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Insurance	$	5,893,781			2.9	%
Lodging		10,006,044			4.9
Pharmaceuticals		7,196,613			3.5
Retail		45,747,602			22.3
Water		3,199,752			1.6
Total Common Stocks		189,261,644			92.4
Common Stock Units		5,148,565			2.5
Collateral Investment for Securities on Loan		2,753,904			1.3
Mutual Funds		10,821,818			5.3
Total Investments		207,985,931			101.5
Other Assets and Liabilities		(3,125,907	)		(1.5	)
Total Net Assets	$	204,860,024			100.0	%

Alternative Strategies Fund

Description	Shares or Principal Amount		Value
Bank Loans Purchased Long — 0.0%
United States — 0.0%
SunEdison, Inc., 6.000%, 12/29/2020	$	7,132	$	3,281
Total Bank Loans Purchased Long (identified cost $4,932)				3,281
Common Stocks Purchased Long — 51.9%
Australia — 0.1%
Regis Resources, Ltd.		38,115		126,186
Bermuda — 1.1%
Argo Group International Holdings, Ltd.		2,543		148,130
Essent Group, Ltd. (2)		4,411		198,892
IHS Markit, Ltd. (2)(6)		11,401		536,417
Travelport Worldwide, Ltd.		2,445		34,841
				918,280
Canada — 1.7%
Air Canada (2)		1,438		30,324
Allied Properties Real Estate Investment Trust (6)		8,643		279,254
BlackBerry, Ltd. (2)		24,922		302,553
Canfor Corp. (2)		4,241		100,208
Cascades, Inc.		2,585		32,010
Celestica, Inc. (2)		4,609		50,178
Cogeco, Inc.		557		31,123
Cott Corp.		18,040		262,482
George Weston, Ltd.		2,689		219,843
Just Energy Group, Inc.		5,066		24,438
Transcontinental, Inc., Class A		2,621		49,328
				1,381,741
Cayman Islands — 0.1%
China Dongxiang Group Co., Ltd.		244,000		47,354
China — 0.1%
Agricultural Bank of China, Ltd., Class H		74,000		40,608
China Machinery Engineering Corp., Class H		84,000		50,791
				91,399

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

30

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
Denmark — 0.1%
Novo Nordisk A/S		1,000	$	51,553
France — 0.6%
Boiron SA		608		50,695
IPSOS		1,508		57,721
Peugeot SA		3,338		75,134
Safran SA		2,795		309,098
Sanofi		544		42,911
				535,559
Germany — 0.0%
Hamburger Hafen und Logistik AG		826		20,222
Hungary — 0.1%
Richter Gedeon Nyrt		5,014		110,496
Ireland — 1.8%
Adient PLC		3,734		231,732
Allergan PLC (6)		7,599		1,171,918
Seagate Technology PLC		1,565		83,571
				1,487,221
Italy — 0.2%
Amplifon SpA		5,119		81,066
ASTM SpA		1,365		32,943
Societa Iniziative Autostradali e Servizi SpA		2,959		50,710
				164,719
Japan — 1.7%
Fujibo Holdings, Inc.		1,200		48,021
Heiwado Co., Ltd.		7,300		168,426
Kato Sangyo Co., Ltd.		1,100		37,141
Keihin Corp.		4,900		101,734
Mitsui Sugar Co., Ltd.		1,700		69,176
Nippon Road Co., Ltd.		600		32,234
Nippon Telegraph & Telephone Corp.		5,700		263,981
Nissan Motor Co., Ltd.		10,700		112,270
Okinawa Electric Power Co., Inc.		1,200		32,626
Paramount Bed Holdings Co., Ltd.		3,700		191,687
Press Kogyo Co., Ltd.		9,100		56,207
Shimachu Co., Ltd.		3,400		112,837
Wakita & Co., Ltd.		4,500		54,268
Warabeya Nichiyo Holdings Co., Ltd.		2,300		54,640
Yorozu Corp.		2,000		36,979
				1,372,227
Jersey — 0.1%
Wizz Air Holdings PLC (2)(5)		1,312		64,999
Luxembourg — 0.5%
Orion Engineered Carbons SA		2,345		64,605
Ternium SA		3,682		127,324
Trinseo SA		2,424		192,950
				384,879
Netherlands — 0.8%
BE Semiconductor Industries NV (6)		3,538		348,368
Playa Hotels & Resorts NV (2)(6)		27,780		280,022
				628,390
New Zealand — 0.2%
Air New Zealand, Ltd.		66,299		156,194
Norway — 0.1%
Austevoll Seafood ASA		5,799		51,677

Description	Shares		Value
Common Stocks Purchased Long (continued)
Panama — 0.1%
Copa Holdings SA, Class A		773	$	105,105
Poland — 0.1%
Asseco Poland SA		5,851		80,558
Singapore — 0.8%
Broadcom, Ltd. (6)		2,584		636,853
South Korea — 0.2%
Samsung Electronics Co., Ltd.		94		203,728
Sweden — 0.1%
Mycronic AB		5,637		70,923
Taiwan — 0.1%
HannStar Display Corp.		165,000		55,747
United Kingdom — 0.6%
Debenhams PLC		77,526		30,118
DFS Furniture PLC		7,737		19,650
Greggs PLC		4,359		71,576
Imperial Brands PLC		3,053		109,546
QinetiQ Group PLC		22,710		63,870
Venator Materials PLC (2)		1,404		26,873
WH Smith PLC		6,280		175,038
				496,671
United States — 40.6%
AbbVie, Inc.		881		102,046
Air Products & Chemicals, Inc.		2,305		370,621
Albemarle Corp.		1,852		185,996
Allegheny Technologies, Inc. (2)		10,074		261,017
American International Group, Inc.		6,575		377,010
Amkor Technology, Inc. (2)		6,756		67,898
ArcBest Corp. (6)		9,128		302,137
Armstrong World Industries, Inc. (2)		6,576		396,533
AutoZone, Inc. (2)		609		404,814
Best Buy Co., Inc.		2,296		166,322
Boeing Co.		129		46,725
Boston Properties, Inc.		1,989		236,432
Cabot Corp. (6)		4,177		251,372
Chemours Co.		3,473		165,002
Chipotle Mexican Grill, Inc., Class A (2)		493		156,976
CNO Financial Group, Inc. (6)		12,185		274,650
Cooper-Standard Holdings, Inc. (2)		1,078		131,344
CSX Corp.		5,965		320,440
Cutera, Inc. (2)		2,302		103,705
Danaher Corp.		4,500		440,010
Discover Financial Services		2,296		180,994
Dover Corp.		4,900		490,490
DowDuPont, Inc. (6)		8,780		617,234
Dun & Bradstreet Corp. (6)		4,110		513,914
DXC Technology Co.		4,395		450,663
Eagle Pharmaceuticals, Inc. (2)		2,107		118,287
Edgewell Personal Care Co. (2)		5,965		299,145
EMCOR Group, Inc.		1,998		152,467
Emergent BioSolutions, Inc. (2)(6)		5,810		288,757
Employers Holdings, Inc.		1,981		77,556
Ennis, Inc.		3,596		70,122
EQT Corp.		6,860		345,127
Equinix, Inc.		582		228,202
Evercore, Inc., Class A		5,160		480,138
F5 Networks, Inc. (2)		475		70,547
FedEx Corp. (6)		2,400		591,384
FLIR Systems, Inc.		7,515		368,986
GCP Applied Technologies, Inc. (2)		5,492		168,879
Halozyme Therapeutics, Inc. (2)(6)		19,379		380,991
HCC Insurance Holdings, Inc.		8,333		260,073
HD Supply Holdings, Inc. (2)(6)		10,848		393,240
Highwoods Properties, Inc.		1,998		85,934

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

31

February 28, 2018 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States (continued)
Home Bancorp, Inc.		1,187	$	49,261
HP, Inc.		11,390		266,412
Humana, Inc.		1,220		331,620
Huntington Ingalls Industries, Inc.		956		250,482
Huntsman Corp. (6)		11,662		376,333
Inogen, Inc. (2)		1,119		135,198
Integer Holdings Corp. (2)		2,038		104,040
Intercontinental Exchange, Inc.		3,009		219,898
International Paper Co.		5,867		349,615
Intersect ENT, Inc. (2)		769		28,338
Intrexon Corp. (2)		7,635		99,408
Keycorp (6)		25,355		535,751
KLX, Inc. (2)		5,347		361,885
Kraton Corp. (2)		2,259		95,804
La Quinta Holdings, Inc. (2)(6)		26,955		508,910
Lantheus Holdings, Inc. (2)		3,510		53,703
Lear Corp. (6)		1,775		331,162
LeMaitre Vascular, Inc.		2,338		81,269
Magellan Health, Inc. (2)		1,054		106,349
Marathon Petroleum Corp. (6)		6,413		410,817
Marlin Business Services Corp.		1,249		32,224
Martin Marietta Materials, Inc. (6)		2,973		606,284
Masco Corp. (6)		6,485		266,663
Masimo Corp. (2)		3,026		264,866
MBIA, Inc. (2)		8,498		67,899
Medicines Co. (2)		5,150		157,693
Merit Medical Systems, Inc. (2)		5,468		248,794
MGM Resorts International		3,445		117,922
Microsoft Corp. (6)		7,970		747,347
Mondelez International, Inc.		9,600		421,440
Murphy USA, Inc. (2)		2,337		175,532
Myriad Genetics, Inc. (2)		1,786		57,902
Natus Medical, Inc. (2)		1,707		53,173
Norfolk Southern Corp.		3,530		490,952
Olin Corp.		10,057		326,852
ON Semiconductor Corp. (2)(6)		12,630		302,110
OraSure Technologies, Inc. (2)		6,423		110,861
Owens Corning		4,722		383,899
Owens-Illinois, Inc. (2)		5,714		123,194
PennyMac Financial Services, Inc., Class A (2)		4,030		93,899
PG&E Corp.		3,645		149,773
Philip Morris International, Inc.		3,700		383,135
PNM Resources, Inc.		4,909		172,797
Portland General Electric Co.		5,460		216,926
PVH Corp. (6)		3,745		540,329
Rogers Corp. (2)		881		120,979
Rush Enterprises, Inc., Class A (2)		2,731		116,095
S&P Global, Inc.		1,601		307,072
Sanmina Corp. (2)		840		23,142
SBA Communications Corp., Class A (2)(6)		3,299		518,834
Selective Insurance Group, Inc.		3,625		206,081
Southwest Airlines Co.		972		56,220
Steel Dynamics, Inc.		1,012		46,805
Stifel Financial Corp. (6)		4,467		285,307
SunEdison, Inc.		1,371		692
Supernus Pharmaceuticals, Inc. (2)		2,945		114,560
Sykes Enterprises, Inc. (2)		3,273		95,113
Sysco Corp.		2,243		133,795
T-Mobile US, Inc. (2)		2,029		122,978
TherapeuticsMD, Inc. (2)		13,072		65,360
Tiffany & Co. (6)		9,275		937,146

Description	Shares, Principal Amount, or Units		Value
Common Stocks Purchased Long (continued)
United States (continued)
TriCo Bancshares		4,864	$	181,670
TriNet Group, Inc. (2)		7,020		331,133
Tyson Foods, Inc., Class A		1,248		92,826
United Rentals, Inc. (2)(6)		2,018		353,332
United Technologies Corp. (6)		4,475		602,961
Univar, Inc. (2)(6)		13,431		386,947
Unum Group		4,357		222,033
Vail Resorts, Inc.		1,695		348,950
Versum Materials, Inc.		5,634		208,571
Viacom, Inc., Class B		3,487		116,257
Vishay Intertechnology, Inc.		8,680		159,712
Vishay Precision Group, Inc. (2)		1,163		34,832
Visteon Corp. (2)(6)		3,025		374,616
Wells Fargo & Co.		8,020		468,448
Western Digital Corp. (6)		9,093		791,455
Whirlpool Corp.		138		22,415
Worldpay, Inc., Class A (2)		6,058		492,394
WR Grace & Co.		9,148		605,415
Wyndham Worldwide Corp. (6)		3,910		452,700
Yum China Holdings, Inc.		4,777		206,940
Zayo Group Holdings, Inc. (2)		9,325		334,301
Zimmer Biomet Holdings, Inc. (6)		4,520		525,450
				33,066,438
Total Common Stocks Purchased Long (identified cost $39,068,984)				42,309,119
Limited Partnership Units Purchased Long — 0.7%
United States — 0.7%
CrossAmerica Partners LP		15,488		364,123
DCP Midstream LP, Class A		4,983		178,591
Total Limited Partnership Units Purchased Long (identified cost $569,764)				542,714
Municipals Purchased Long — 0.3%
Puerto Rico — 0.3%
Puerto Rico Sales Tax Financing Corp. Sales Tax Revenue:
5.000%, 8/1/2043 (7)	$	38,000		6,840
5.250%, 8/1/2041 (7)		700,000		126,000
5.500%, 8/1/2042 (7)		55,000		9,900
6.000%, 8/1/2042 (7)		33,000		5,940
6.375%, 8/1/2039 (7)		412,000		74,160
Total Municipals Purchased Long (identified cost $204,457)				222,840
Mutual Funds Purchased Long — 0.4%
United States — 0.4%
Altaba, Inc. (2)		4,684		350,597
Total Mutual Funds Purchased Long (identified cost $202,001)				350,597

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

32

BMO Funds

Alternative Strategies Fund (continued)

Description	Shares or Contracts		Value
Purchased Call Options — 1.5%
United States — 1.5%
Intercontinental Exchange, Inc., Exercise Price: $55.00, Notional: $55,000, 1/18/2019 (2)		10	$	20,050
iShares Silver Trust, Exercise Price: $13.00, Notional: $208,000, 1/18/2019 (2)		160		47,920
MBIA, Inc., Exercise Price: $5.00, Notional: $76,500, 1/18/2019 (2)		153		52,402
S&P 500 Index:
Exercise Price: $2,700.00, Notional: $31,320,000, 3/16/2018 (2)		116		510,400
Exercise Price: $2,610.00, Notional: $5,742,000, 3/16/2018 (2)		22		279,114
Exercise Price: $2,780.00, Notional: $10,842,000, 3/16/2018 (2)		39		28,665
Exercise Price: $2,760.00, Notional: $1,380,000, 3/16/2018 (2)		5		6,400
Exercise Price: $2,740.00, Notional: $1,096,000, 3/16/2018 (2)		4		8,520
Exercise Price: $2,665.00, Notional: $8,261,500, 3/16/2018 (2)		31		213,125
SPDR Gold Shares, Exercise Price: $125.00, Notional: $800,000, 1/18/2019 (2)		64		45,440
Total Purchased Call Options (identified cost $1,266,407)				1,212,036
Purchased Put Options — 1.9%
United States — 1.9%
S&P 500 Index:
Exercise Price: $2,700.00, Notional: $25,380,000, 3/16/2018 (2)		94		244,400
Exercise Price: $2,650.00, Notional: $530,000, 3/16/2018 (2)		2		3,320
Exercise Price: $2,800.00, Notional: $30,520,000, 3/16/2018 (2)		109		985,360
Exercise Price: $2,750.00, Notional: $10,725,000, 3/16/2018 (2)		39		198,198
Exercise Price: $2,670.00, Notional: $12,015,000, 3/16/2018 (2)		45		83,925
Total Purchased Put Options (identified cost $1,238,652)				1,515,203
Short-Term Investments — 43.7%
Mutual Funds — 28.4%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		23,125,826		23,125,826

Description	Shares or Principal Amount			Value
Short-Term Investments (continued)
U.S. Treasury Bills — 15.3%
United States Treasury Bill, 1.280%, 3/22/2018 (8)	$	12,500,000		$	12,490,202
Total Short-Term Investments (identified cost $35,616,592)					35,616,028
Total Investments — 100.4% (identified cost $78,171,789)					81,771,818
Other Assets and Liabilities — 20.7%					16,909,177
Securities Sold Short and Written Options (see summary below) — (21.1)%					(17,150,863	)
Total Net Assets — 100.0%				$	81,530,132
Securities Sold Short & Written Options — (21.1)%
Common Stocks Sold Short — (17.0)%
Australia — 0.0%
Nanosonics, Ltd. (2)		(16,415	)	$	(33,352	)
Canada — (0.8)%
Magna International, Inc.		(5,545	)		(304,809	)
Maxar Technologies, Ltd.		(1,840	)		(86,259	)
National Bank of Canada		(5,940	)		(288,205	)
					(679,273	)
Cayman Islands — 0.0%
Netshoes Cayman, Ltd. (2)		(2,661	)		(21,261	)
Denmark — (0.2)%
Vestas Wind Systems A/S		(1,750	)		(127,192	)
Finland — 0.0%
Caverion OYJ (2)		(3,201	)		(25,151	)
France — (0.3)%
Publicis Groupe SA		(2,880	)		(217,524	)
Germany — (0.2)%
Zalando SE (2)(5)		(2,914	)		(166,356	)
Ireland — (0.3)%
Ingersoll-Rand PLC		(2,525	)		(224,220	)
Japan — (1.6)%
ABC-Mart, Inc.		(600	)		(38,026	)
Acom Co., Ltd. (2)		(8,000	)		(36,057	)
Don Quijote Holdings Co., Ltd.		(1,400	)		(78,223	)
Fuji Seal International, Inc.		(2,500	)		(80,623	)
Hoshizaki Corp.		(1,500	)		(135,028	)
Kose Corp.		(600	)		(112,187	)
Kura Corp.		(800	)		(48,280	)
M3, Inc.		(2,000	)		(77,585	)
MISUMI Group, Inc.		(4,900	)		(140,517	)
Nippon Paint Holdings Co., Ltd.		(3,700	)		(134,241	)
Nitori Holdings Co., Ltd.		(1,000	)		(167,623	)
Prestige International, Inc.		(4,300	)		(54,584	)
SMS Co., Ltd.		(3,900	)		(160,442	)
					(1,263,416	)
Jersey — (0.1)%
WPP PLC		(4,170	)		(79,647	)
Netherlands — (0.5)%
LyondellBasell Industries NV, Class A		(1,815	)		(196,419	)
Philips Lighting NV (5)		(4,600	)		(182,003	)
					(378,422	)
New Zealand — (0.1)%
Xero, Ltd. (2)		(2,450	)		(60,407	)

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

33

February 28, 2018 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Shares			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
Norway — (0.2)%
Schibsted ASA, Class A		(3,349	)	$	(87,842	)
XXL ASA (5)		(3,227	)		(36,716	)
					(124,558	)
Spain — (0.1)%
Cellnex Telecom SA (5)		(3,757	)		(96,385	)
Sweden — (0.1)%
AAK AB		(713	)		(65,231	)
Wallenstam AB, Class B		(5,651	)		(49,303	)
					(114,534	)
Switzerland — (0.4)%
Arbonia AG (2)		(2,603	)		(45,276	)
Roche Holding AG		(1,250	)		(289,836	)
					(335,112	)
United Kingdom — (0.8)%
Balfour Beatty PLC		(14,149	)		(51,519	)
Capital & Counties Properties PLC		(12,171	)		(44,304	)
Cobham PLC (2)		(76,656	)		(118,932	)
Just Eat PLC (2)		(8,605	)		(103,263	)
Nielsen NV		(5,060	)		(165,108	)
Serco Group PLC (2)		(43,337	)		(54,176	)
Sophos Group PLC (5)		(15,388	)		(104,250	)
					(641,552	)
United States — (11.3)%
Acadia Realty Trust		(3,550	)		(85,484	)
Advanced Micro Devices, Inc. (2)		(10,536	)		(127,591	)
Aerovironment, Inc. (2)		(1,842	)		(91,584	)
Allegheny Technologies, Inc. (2)		(3,008	)		(77,937	)
American Woodmark Corp. (2)		(179	)		(22,984	)
Armstrong World Industries, Inc. (2)		(2,170	)		(130,851	)
Bank of the Ozarks		(1,818	)		(90,700	)
Beacon Roofing Supply, Inc. (2)		(1,795	)		(94,973	)
Benefitfocus, Inc. (2)		(2,371	)		(57,378	)
BioScrip, Inc. (2)		(25,453	)		(80,431	)
Boeing Co.		(505	)		(182,916	)
Brown-Forman Corp., Class B		(935	)		(65,254	)
Campbell Soup Co.		(4,775	)		(205,564	)
Cardinal Health, Inc.		(1,940	)		(134,267	)
Chesapeake Energy Corp. (2)		(6,134	)		(17,298	)
Clorox Co.		(975	)		(125,853	)
Dollar General Corp.		(1,815	)		(171,681	)
Domino’s Pizza, Inc.		(825	)		(183,488	)
Duke Realty Corp.		(4,249	)		(105,248	)
Ecolab, Inc.		(2,575	)		(335,909	)
Education Realty Trust, Inc.		(2,305	)		(71,778	)
Financial Engines, Inc.		(1,217	)		(40,769	)
Gap, Inc.		(5,487	)		(173,279	)
General Electric Co.		(14,795	)		(208,757	)
General Mills, Inc.		(5,500	)		(278,025	)
Guidewire Software, Inc. (2)		(550	)		(44,176	)
H&R Block, Inc.		(4,675	)		(118,418	)
Healthcare Services Group, Inc.		(3,620	)		(164,457	)
Hologic, Inc. (2)		(4,080	)		(158,426	)
Home Depot, Inc./The		(1,590	)		(289,809	)
Hormel Foods Corp.		(5,109	)		(165,838	)
Instructure, Inc. (2)		(2,590	)		(112,406	)
Interactive Brokers Group, Inc., Class A		(2,389	)		(165,797	)
Kennametal, Inc.		(3,880	)		(159,856	)
Kopin Corp. (2)		(19,905	)		(60,909	)
L Brands, Inc.		(5,400	)		(266,382	)

Description	Shares or Contracts			Value
Securities Sold Short & Written Options (continued)
Common Stocks Sold Short (continued)
United States (continued)
Legg Mason, Inc.		(7,165	)	$	(285,955	)
Leggett & Platt, Inc.		(3,914	)		(170,102	)
LSB Industries, Inc. (2)		(9,770	)		(72,982	)
Macerich Co.		(1,118	)		(65,895	)
Macquarie Infrastructure Corp.		(1,599	)		(64,759	)
Netflix, Inc. (2)		(450	)		(131,121	)
NOW, Inc. (2)		(6,147	)		(58,335	)
Omnicom Group, Inc.		(2,950	)		(224,879	)
PepsiCo, Inc.		(1,805	)		(198,063	)
PHH Corp. (2)		(8,654	)		(91,559	)
Pinnacle Financial Partners, Inc.		(2,143	)		(138,331	)
PotlatchDeltic Corp.		(952	)		(48,705	)
PROS Holdings, Inc. (2)		(3,422	)		(107,280	)
Qorvo, Inc. (2)		(2,705	)		(218,321	)
Range Resources Corp.		(9,155	)		(121,670	)
Rayonier, Inc.		(3,839	)		(130,488	)
Realty Income Corp.		(2,665	)		(131,065	)
Regal Beloit Corp.		(2,410	)		(174,243	)
Republic First Bancorp, Inc. (2)		(5,744	)		(48,537	)
Robert Half International, Inc.		(4,549	)		(259,611	)
Scotts Miracle-Gro Co.		(1,950	)		(175,188	)
Senior Housing Properties Trust		(2,934	)		(44,421	)
Starbucks Corp.		(4,385	)		(250,384	)
TimkenSteel Corp. (2)		(6,780	)		(110,921	)
Titan International, Inc.		(4,521	)		(58,140	)
Ulta Beauty, Inc. (2)		(989	)		(201,113	)
VF Corp.		(2,350	)		(175,239	)
W.W. Grainger, Inc.		(445	)		(116,390	)
Wabtec Corp.		(1,914	)		(155,685	)
Weyerhaeuser Co.		(1,939	)		(67,923	)
Winnebago Industries, Inc.		(4,330	)		(188,572	)
Zillow Group, Inc., Class C (2)		(1,815	)		(86,521	)
					(9,238,871	)
Total Common Stocks Sold Short (proceeds $(13,657,933))					(13,827,233	)
Exchange Traded Funds Sold Short — (1.3)%
United States — (1.3)%
iShares Russell 1000 Growth		(1,675	)		(234,986	)
iShares Russell Mid-Cap Growth		(2,584	)		(318,814	)
PowerShares QQQ Trust Series 1		(380	)		(63,540	)
SPDR S&P 500 Trust		(592	)		(160,817	)
SPDR S&P Mid-Cap 400 Trust		(722	)		(244,945	)
Total Exchange Traded Funds Sold Short (proceeds $(964,947))					(1,023,102	)
Written Call Options — (1.6)%
United States — (1.6)%
Albemarle Corp.:
Exercise Price: $120.00, Notional: $(12,000), 3/16/2018 (2)		(1	)		(10	)
Exercise Price: $115.00, Notional: $(34,500), 3/16/2018 (2)		(3	)		(87	)
Allegheny Technologies, Inc., Exercise Price: $27.50, Notional: $(41,250), 3/16/2018 (2)		(15	)		(600	)
Altaba, Inc.:
Exercise Price: $75.00, Notional: $(45,000), 3/16/2018 (2)		(6	)		(1,044	)
Exercise Price: $72.50, Notional: $(79,750), 3/16/2018 (2)		(11	)		(3,410	)
Exercise Price: $80.00, Notional: $(32,000), 3/16/2018 (2)		(4	)		(100	)

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

34

BMO Funds

Alternative Strategies Fund (continued)

Description	Contracts			Value
Written Call Options (continued)
United States (continued)
Exercise Price: $75.00, Notional: $(22,500), 4/20/2018 (2)		(3	)	$	(915	)
Exercise Price: $72.50, Notional: $(21,750), 4/20/2018 (2)		(3	)		(1,359	)
Exercise Price: $77.50, Notional: $(31,000), 4/20/2018 (2)		(4	)		(840	)
Exercise Price: $72.50, Notional: $(14,500), 6/15/2018 (2)		(2	)		(1,280	)
Exercise Price: $75.00, Notional: $(75,000), 6/15/2018 (2)		(10	)		(5,000	)
BlackBerry, Ltd.:
Exercise Price: $14.00, Notional: $(19,600), 3/16/2018 (2)		(14	)		(98	)
Exercise Price: $13.00, Notional: $(48,100), 3/16/2018 (2)		(37	)		(518	)
Exercise Price: $12.00, Notional: $(9,600), 3/16/2018 (2)		(8	)		(400	)
Exercise Price: $11.00, Notional: $(23,100), 3/16/2018 (2)		(21	)		(2,583	)
Exercise Price: $12.50, Notional: $(72,500), 6/15/2018 (2)		(58	)		(6,670	)
Chipotle Mexican Grill, Inc., Exercise Price: $310.00, Notional: $(31,000), 3/16/2018 (2)		(1	)		(1,546	)
Eagle Pharmaceuticals, Inc., Exercise Price: $60.00, Notional: $(6,000), 3/16/2018 (2)		(1	)		(65	)
Halozyme Therapeutics, Inc.:
Exercise Price: $20.00, Notional: $(20,000), 3/16/2018 (2)		(10	)		(550	)
Exercise Price: $19.00, Notional: $(11,400), 6/15/2018 (2)		(6	)		(1,470	)
Huntsman Corp., Exercise Price: $35.00, Notional: $(70,000), 5/18/2018 (2)		(20	)		(2,300	)
iShares Russell 1000 ETF, Exercise Price: $145.00, Notional: $(319,000), 3/16/2018 (2)		(22	)		(16,720	)
iShares Russell 1000 Growth ETF, Exercise Price: $130.00, Notional: $(312,000), 3/16/2018 (2)		(24	)		(31,200	)
KLX, Inc.:
Exercise Price: $70.00, Notional: $(119,000), 5/18/2018 (2)		(17	)		(5,780	)
Exercise Price: $70.00, Notional: $(14,000), 11/16/2018 (2)		(2	)		(1,330	)
Marathon Petroleum Corp.:
Exercise Price: $67.50, Notional: $(290,250), 3/16/2018 (2)		(43	)		(3,569	)
Exercise Price: $65.00, Notional: $(26,000), 3/16/2018 (2)		(4	)		(596	)
MBIA, Inc.:
Exercise Price: $10.00, Notional: $(3,000), 5/18/2018 (2)		(3	)		(136	)
Exercise Price: $10.00, Notional: $(7,000), 1/18/2019 (2)		(7	)		(833	)
MGM Resorts International, Exercise Price: $37.00, Notional: $(22,200), 3/16/2018 (2)		(6	)		(36	)
Murphy USA, Inc.:
Exercise Price: $85.00, Notional: $(25,500), 4/20/2018 (2)		(3	)		(90	)
Exercise Price: $80.00, Notional: $(32,000), 4/20/2018 (2)		(4	)		(460	)

Description	Contracts			Value
Written Call Options (continued)
United States (continued)
S&P 500 Index:
Exercise Price: $2,700.00, Notional: $(25,380,000), 3/16/2018 (2)		(94	)	$	(413,600	)
Exercise Price: $2,695.00, Notional: $(19,943,000), 3/16/2018 (2)		(74	)		(344,470	)
Exercise Price: $2,650.00, Notional: $(530,000), 3/16/2018 (2)		(2	)		(16,880	)
Exercise Price: $2,800.00, Notional: $(30,520,000), 3/16/2018 (2)		(109	)		(46,870	)
Exercise Price: $2,750.00, Notional: $(10,725,000), 3/16/2018 (2)		(39	)		(69,030	)
Exercise Price: $2,670.00, Notional: $(12,015,000), 3/16/2018 (2)		(45	)		(305,100	)
SBA Communications Corp.:
Exercise Price: $170.00, Notional: $(68,000), 3/16/2018 (2)		(4	)		(140	)
Exercise Price: $165.00, Notional: $(115,500), 3/16/2018 (2)		(7	)		(700	)
Exercise Price: $160.00, Notional: $(96,000), 3/16/2018 (2)		(6	)		(2,700	)
Exercise Price: $155.00, Notional: $(31,000), 3/16/2018 (2)		(2	)		(1,260	)
SPDR Gold Shares:
Exercise Price: $129.00, Notional: $(103,200), 3/16/2018 (2)		(8	)		(152	)
Exercise Price: $128.00, Notional: $(102,400), 3/16/2018 (2)		(8	)		(224	)
Exercise Price: $133.00, Notional: $(106,400), 5/18/2018 (2)		(8	)		(448	)
Exercise Price: $132.00, Notional: $(105,600), 5/18/2018 (2)		(8	)		(552	)
Versum Materials, Inc., Exercise Price: $37.50, Notional: $(15,000), 3/16/2018 (2)		(4	)		(320	)
Warrior Met Coal, Inc., Exercise Price: $23.79, Notional: $(11,895), 4/20/2018 (2)		(5	)		(3,875	)
Western Digital Corp., Exercise Price: $85.00, Notional: $(34,000), 3/16/2018 (2)		(4	)		(1,580	)
WR Grace & Co.:
Exercise Price: $67.50, Notional: $(20,250), 3/16/2018 (2)		(3	)		(240	)
Exercise Price: $67.50, Notional: $(20,250), 6/15/2018 (2)		(3	)		(863	)
Total Written Call Options (proceeds $(1,693,730))					(1,300,599	)
Written Put Options — (1.2)%
United States — (1.2)%
S&P 500 Index:
Exercise Price: $2,665.00, Notional: $(8,261,500), 3/16/2018 (2)		(31	)		(59,923	)
Exercise Price: $2,700.00, Notional: $(31,320,000), 3/16/2018 (2)		(116	)		(301,600	)
Exercise Price: $2,625.00, Notional: $(66,937,500), 3/16/2018 (2)		(255	)		(303,450	)

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

35

February 28, 2018 (Unaudited)

Schedules of Investments

Alternative Strategies Fund (continued)

Description	Contracts			Value
Written Put Options (continued)
United States (continued)
Exercise Price: $2,610.00, Notional: $(5,742,000), 3/16/2018 (2)		(22	)	$	(25,300	)
Exercise Price: $2,780.00, Notional: $(10,842,000), 3/16/2018 (2)		(39	)		(261,456	)
Exercise Price: $2,760.00, Notional: $(1,380,000), 3/16/2018 (2)		(5	)		(29,740	)
Exercise Price: $2,740.00, Notional: $(1,096,000), 3/16/2018 (2)		(4	)		(18,460	)
Total Written Put Options (proceeds $(1,646,153))					(999,929	)
Total Securities Sold Short & Written Options (proceeds $(17,962,763))				$	(17,150,863	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	57,721		0.1	%
Aerospace/Defense		1,320,670		1.6
Agriculture		492,681		0.6
Airlines		412,843		0.5
Auto Manufacturers		187,405		0.2
Auto Parts & Equipment		1,263,774		1.6
Banks		1,226,478		1.5
Beverages		262,482		0.3
Biotechnology		984,751		1.2
Building Materials		1,653,378		2.0
Chemicals		3,850,504		4.7
Coal		260,073		0.3
Commercial Services		2,342,384		2.9
Computers		2,070,326		2.5
Cosmetics/Personal Care		299,145		0.4
Distribution/Wholesale		447,508		0.6
Diversified Financial Services		1,292,460		1.6
Electric		572,121		0.7
Electronics		884,499		1.1
Energy-Alternate Sources		692		0.0
Engineering & Construction		235,492		0.3
Entertainment		348,950		0.4
Food		1,320,541		1.6
Forest Products & Paper		481,833		0.6
Gas		24,438		0.0
Healthcare-Products		2,341,093		2.9
Healthcare-Services		437,969		0.5
Home Furnishings		22,415		0.0
Insurance		1,572,251		1.9
Internet		70,547		0.1
Iron/Steel		435,146		0.5
Lodging		1,359,555		1.7
Media		147,379		0.2
Mining		126,186		0.2
Miscellaneous Manufacturing		683,440		0.8
Oil & Gas		931,475		1.1
Packaging & Containers		123,194		0.2
Pharmaceuticals		1,908,892		2.3
Real Estate Investment Trusts		1,348,656		1.7

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Retail	$	2,913,618			3.6	%
Savings & Loans		49,261			0.1
Semiconductors		1,558,956			1.9
Shipbuilding		250,482			0.3
Software		1,261,261			1.5
Telecommunications		721,260			0.9
Textiles		48,021			0.1
Transportation		1,704,913			2.1
Total Common Stocks Purchased Long		42,309,119			51.9
Bank Loans Purchased Long		3,281			0.0
Corporate Bonds & Notes Purchased Long Oil & Gas		0			0.0
Limited Partnership Units Purchased Long		542,714			0.7
Municipals Purchased Long		222,840			0.3
Mutual Funds Purchased Long		350,597			0.4
Purchased Call Options		1,212,036			1.5
Purchased Put Options		1,515,203			1.9
Short-Term Investments		35,616,028			43.7
Total Investments		81,771,818			100.4
Other Assets and Liabilities		16,909,177			20.7
Securities Sold Short & Written Options (see below)		(17,150,863	)		(21.1	)
Total Net Assets	$	81,530,132			100.0	%
Common Stocks Sold Short
Advertising	$	(522,049	)		(0.6	)%
Aerospace/Defense		(393,432	)		(0.5	)
Apparel		(175,239	)		(0.2	)
Auto Parts & Equipment		(362,949	)		(0.5	)
Banks		(565,772	)		(0.7	)
Beverages		(263,316	)		(0.3	)
Building Materials		(199,111	)		(0.2	)
Chemicals		(330,661	)		(0.4	)
Commercial Services		(1,187,997	)		(1.5	)
Computers		(158,426	)		(0.2	)
Cosmetics/Personal Care		(112,187	)		(0.1	)
Distribution/Wholesale		(116,390	)		(0.1	)
Diversified Financial Services		(620,138	)		(0.8	)
Electrical Components & Equipment		(182,003	)		(0.2	)
Energy-Alternate Sources		(127,192	)		(0.2	)
Engineering & Construction		(51,519	)		(0.1	)
Food		(714,658	)		(0.9	)
Hand/Machine Tools		(334,099	)		(0.4	)
Healthcare-Products		(191,779	)		(0.2	)
Home Builders		(188,571	)		(0.2	)
Home Furnishings		(305,130	)		(0.4	)
Household Products/Wares		(125,853	)		(0.2	)
Housewares		(175,188	)		(0.2	)
Internet		(580,193	)		(0.7	)
Iron/Steel		(77,937	)		(0.1	)
Machinery-Diversified		(155,685	)		(0.2	)
Media		(87,842	)		(0.1	)
Metal Fabricate/Hardware		(251,438	)		(0.3	)
Miscellaneous Manufacturing		(505,959	)		(0.6	)
Oil & Gas		(138,968	)		(0.2	)
Oil & Gas Services		(58,335	)		(0.1	)
Packaging & Containers		(80,623	)		(0.1	)
Pharmaceuticals		(504,535	)		(0.6	)
Real Estate		(93,607	)		(0.1	)
Real Estate Investment Trusts		(751,006	)		(0.9	)
Retail		(2,166,334	)		(2.7	)
Semiconductors		(406,821	)		(0.5	)

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

36

BMO Funds

Alternative Strategies Fund (continued)

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Software	$	(381,647	)		(0.5	) %
Telecommunications		(182,644	)		(0.2	)
Total Common Stocks Sold Short		(13,827,233	)		(17.0	)
Exchange Traded Funds Sold Short		(1,023,102	)		(1.3	)
Written Call Options		(1,300,599	)		(1.6	)
Written Put Options		(999,929	)		(1.2	)
Total Securities Sold Short & Written Options	$	(17,150,863	)		(21.1	)%

At February 28, 2018, the Alternative Strategies Fund had outstanding futures contracts as set forth below:

Expiration Date	Number of Contracts	Description		Notional Amount	Value at February 28, 2018	Unrealized Appreciation (Depreciation)
Long Futures
Bond Futures
March 2018	136		CME E-Mini S&P 500® Index	$18,716,610	$18,457,920	$	(258,690)
March 2018	20		Russell 2000 Mini Index	1,535,637	1,511,200		(24,437)
March 2018	7		Eurex Euro STOXX 50 Index	307,173	293,605		(13,568)
March 2018	7		LIFFE FTSE 100 Index	715,532	696,362		(19,170)
March 2018	5		CAC 40 10 Euro	315,289	324,459		9,170
March 2018	3		TSE TOPIX Index	505,337	497,118		(8,219)
March 2018	2		Eurex DAX Index	760,187	758,383		(1,804)
March 2018	1		HKG Hang Seng Index	200,117	196,348		(3,769)
Short Futures
Bond Futures
March 2018	17		SFE 10-Year Australian Bond	(1,681,719)	(1,687,363)		(5,644)
March 2018	19		Eurex 10-Year Euro BUND	(3,677,729)	(3,695,820)		(18,091)
June 2018	18		CBOT 10-Year U.S. Treasury Note	(2,163,394)	(2,160,844)		2,550
June 2018	23		MSE 10-Year Canadian Bond	(2,349,235)	(2,360,224)		(10,989)
June 2018	37		CBOT U.S. Long Bond	(5,297,378)	(5,307,188)		(9,810)
Index Futures
March 2018	1		OSE Nikkei 225 Index	(206,470)	(207,132)		(662)
March 2018	2		CME E-Mini NASDAQ 100 Index	(259,009)	(274,600)		(15,591)
March 2018	7		CBOT E-Mini DJIA Index	(856,420)	(876,330)		(19,910)
March 2018	69		CME E-Mini S&P 500® Index	(9,098,612)	(9,364,680)		(266,068)
Interest Rate Futures
June 2018	83		LIFFE 3-Month Euro Euribor	(25,335,782)	(25,340,319)		(4,537)
June 2018	174		LIFFE 90-Day Sterling	(29,590,158)	(29,589,881)		277
June 2018	232		CME 3-Month Eurodollar	(56,698,338)	(56,428,200)		270,138
Total Futures Contracts				$(114,158,362)	$(114,557,186)	$	(398,824)

At February 28, 2018, the Alternative Strategies Fund had outstanding forward foreign currency exchange contracts as set forth below:

		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
March 23, 2018	Australian Dollar	AUD	7,950,000	$	6,296,639	$	6,174,900	$	(121,739	)	Bank of America
March 23, 2018	Australian Dollar	$	4,956,862	AUD	6,394,000		4,966,329		(9,467	)	Bank of America
March 23, 2018	Canadian Dollar	CAD	10,887,000	$	8,673,614		8,487,804		(185,810	)	Bank of America
March 23, 2018	Canadian Dollar	$	11,186,213	CAD	14,211,000		11,079,284		106,929		Bank of America
March 23, 2018	Euro Currency	EUR	5,268,000	$	6,307,257		6,437,181		129,924		Bank of America
March 23, 2018	Euro Currency	$	2,635,204	EUR	2,168,000		2,649,166		(13,962	)	Bank of America
March 23, 2018	Japanese Yen	JPY	1,062,211,000	$	9,639,956		9,970,411		330,455		Bank of America
March 23, 2018	Japanese Yen	$	7,670,809	JPY	850,620,000		7,984,319		(313,510	)	Bank of America
March 23, 2018	Mexican Peso	MXN	10,132,000	$	525,151		535,647		10,496		Bank of America
March 23, 2018	Mexican Peso	$	1,415,132	MXN	27,851,000		1,472,396		(57,264	)	Bank of America
March 23, 2018	New Zealand Dollar	NZD	3,184,000	$	2,317,951		2,295,846		(22,105	)	Bank of America

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

37

February 28, 2018 (Unaudited)

Schedules of Investments

		Contract Amount						Unrealized Appreciation (Depreciation)
Settlement Date	Currency	Buy		Sell		Value					Counterparty
March 23, 2018	New Zealand Dollar	$	1,643,658	NZD	2,338,000	$	1,685,831	$	(42,173	)	Bank of America
March 23, 2018	Pound Sterling	GBP	3,298,000	$	4,465,636		4,544,689		79,053		Bank of America
March 23, 2018	Pound Sterling	$	2,047,620	GBP	1,474,000		2,031,192		16,428		Bank of America
March 23, 2018	Swiss Franc	CHF	3,959,000	$	4,245,273		4,199,937		(45,336	)	Bank of America
March 23, 2018	Swiss Franc	$	2,892,898	CHF	2,803,000		2,973,585		(80,687	)	Bank of America
								$	(218,768	)

Global Long/Short Equity Fund

Description	Shares		Value
Common Stocks Purchased Long — 96.7%
Australia — 0.9%
Regis Resources, Ltd.		35,247	$	116,691
Bermuda — 2.6%
Argo Group International Holdings, Ltd.		2,350		136,887
Essent Group, Ltd. (2)		4,082		184,057
Travelport Worldwide, Ltd.		2,374		33,830
				354,774
Canada — 5.6%
Air Canada (2)		1,396		29,439
Allied Properties Real Estate Investment Trust		8,394		271,209
Canfor Corp. (2)		4,118		97,302
Cascades, Inc.		2,309		28,593
Celestica, Inc. (2)		4,260		46,378
Cogeco, Inc.		540		30,173
George Weston, Ltd. (6)		2,484		203,083
Just Energy Group, Inc.		4,522		21,813
Transcontinental, Inc., Class A		2,422		45,582
				773,572
Cayman Islands — 0.3%
China Dongxiang Group Co., Ltd.		224,000		43,472
China — 0.6%
Agricultural Bank of China, Ltd., Class H		66,000		36,218
China Machinery Engineering Corp., Class H		76,000		45,954
				82,172
Denmark — 0.3%
Novo Nordisk A/S		923		47,584
France — 1.5%
Boiron SA		561		46,776
IPSOS		1,393		53,320
Peugeot SA		3,085		69,439
Sanofi		500		39,440
				208,975
Germany — 0.1%
Hamburger Hafen und Logistik AG		737		18,043
Hungary — 0.7%
Richter Gedeon Nyrt		4,634		102,121
Ireland — 0.6%
Seagate Technology PLC		1,446		77,216
Italy — 1.1%
Amplifon SpA		4,971		78,722
ASTM SpA		1,261		30,433
Societa Iniziative Autostradali e Servizi SpA		2,735		46,871
				156,026

Description	Shares		Value
Common Stocks Purchased Long (continued)
Japan — 8.8%
Fujibo Holdings, Inc.		900	$	36,015
Heiwado Co., Ltd. (1)		6,700		154,583
Kato Sangyo Co., Ltd.		800		27,012
Keihin Corp.		4,300		89,277
Mitsui Sugar Co., Ltd.		1,400		56,969
Nippon Road Co., Ltd.		400		21,489
Nippon Telegraph & Telephone Corp. (6)		5,400		250,088
Nissan Motor Co., Ltd.		9,700		101,778
Okinawa Electric Power Co., Inc. (1)		880		23,926
Paramount Bed Holdings Co., Ltd. (6)		3,300		170,964
Press Kogyo Co., Ltd.		8,200		50,648
Shimachu Co., Ltd.		2,900		96,243
Wakita & Co., Ltd.		4,100		49,444
Warabeya Nichiyo Holdings Co., Ltd.		1,900		45,137
Yorozu Corp.		1,700		31,432
				1,205,005
Jersey — 0.4%
Wizz Air Holdings PLC (2)(5)		1,211		59,996
Luxembourg — 2.6%
Orion Engineered Carbons SA		2,168		59,728
Ternium SA		3,403		117,676
Trinseo SA		2,240		178,304
				355,708
Netherlands — 2.5%
BE Semiconductor Industries NV (6)		3,453		339,998
New Zealand — 1.1%
Air New Zealand, Ltd.		61,311		144,442
Norway — 0.4%
Austevoll Seafood ASA		5,362		47,783
Panama — 0.7%
Copa Holdings SA, Class A		714		97,083
Poland — 0.5%
Asseco Poland SA		5,416		74,569
South Korea — 1.4%
Samsung Electronics Co., Ltd.		87		188,557
Sweden — 0.5%
Mycronic AB (1)		5,211		65,564
Taiwan — 0.4%
HannStar Display Corp.		151,000		51,017
United Kingdom — 3.2%
Debenhams PLC (1)		75,302		29,254
DFS Furniture PLC		6,907		17,542
Greggs PLC		4,031		66,190
Imperial Brands PLC		2,822		101,257
QinetiQ Group PLC		21,000		59,061
WH Smith PLC (6)		5,806		161,827
				435,131

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

38

BMO Funds

Global Long/Short Equity Fund (continued)

Description	Shares		Value
Common Stocks Purchased Long (continued)
United States — 59.9%
AbbVie, Inc. (6)		855	$	99,035
Amkor Technology, Inc. (2)		6,246		62,772
ArcBest Corp. (6)		8,911		294,954
Best Buy Co., Inc. (6)		2,121		153,645
Boeing Co.		124		44,914
Boston Properties, Inc. (6)		1,941		230,727
Cabot Corp. (6)		4,078		245,414
CNO Financial Group, Inc. (6)		11,897		268,158
Cooper-Standard Holdings, Inc. (2)(6)		996		121,353
Cutera, Inc. (2)(6)		2,127		95,821
Discover Financial Services (6)		2,121		167,198
EMCOR Group, Inc. (6)		1,940		148,041
Emergent BioSolutions, Inc. (2)(6)		5,671		281,849
Employers Holdings, Inc.		1,830		71,644
Ennis, Inc.		3,325		64,838
Equinix, Inc. (6)		567		222,321
F5 Networks, Inc. (2)		436		64,755
Highwoods Properties, Inc.		1,846		79,396
Home Bancorp, Inc.		1,004		41,666
Huntington Ingalls Industries, Inc. (6)		884		231,617
Inogen, Inc. (2)(6)		1,033		124,807
Integer Holdings Corp. (2)		1,884		96,178
Intersect ENT, Inc. (2)		746		27,490
Kraton Corp. (2)		2,193		93,005
Lantheus Holdings, Inc. (2)		3,408		52,142
Lear Corp. (6)		1,732		323,139
LeMaitre Vascular, Inc.		2,159		75,047
Magellan Health, Inc. (2)(6)		1,023		103,221
Marlin Business Services Corp.		1,212		31,270
Masco Corp. (6)		6,297		258,933
Masimo Corp. (2)(6)		2,953		258,476
Merit Medical Systems, Inc. (2)(6)		5,343		243,106
Myriad Genetics, Inc. (2)		1,733		56,184
Natus Medical, Inc. (2)		1,576		49,092
ON Semiconductor Corp. (2)		12,267		293,427
OraSure Technologies, Inc. (2)		5,937		102,473
Owens Corning (6)		2,436		198,047
Owens-Illinois, Inc. (2)(6)		5,289		114,031
PennyMac Financial Services, Inc., Class A (2)		3,913		91,173
PG&E Corp. (6)		3,370		138,473
PNM Resources, Inc. (6)		4,539		159,773
Portland General Electric Co. (6)		5,330		211,761
Rogers Corp. (2)(6)		813		111,641
Rush Enterprises, Inc., Class A (2)		2,524		107,295
Sanmina Corp. (2)		814		22,426
Selective Insurance Group, Inc. (6)		3,350		190,447
Southwest Airlines Co.		943		54,543
Steel Dynamics, Inc.		934		43,198
Stifel Financial Corp. (6)		4,338		277,068
Supernus Pharmaceuticals, Inc. (2)		2,722		105,886
Sykes Enterprises, Inc. (2)		3,026		87,936
Sysco Corp.		2,072		123,595
TriCo Bancshares (6)		4,501		168,112
Tyson Foods, Inc., Class A		1,153		85,760
United Rentals, Inc. (2)(6)		1,969		344,752
Unum Group (6)		4,253		216,733
Vishay Intertechnology, Inc. (1)(6)		8,035		147,844
Vishay Precision Group, Inc. (2)		1,127		33,754
				8,212,356
Total Common Stocks Purchased Long (identified cost $11,838,852)				13,257,855

Description	Shares			Value
Short-Term Investments — 37.3%
Collateral Investment for Securities on Loan — 1.4%
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320% (3)		186,411		$	186,411
Mutual Funds — 35.9%
State Street Institutional Liquid Reserves Fund — Premier Class, 1.540%		4,918,172			4,918,172
Total Short-Term Investments (identified cost $5,104,580)					5,104,583
Total Investments — 134.0% (identified cost $16,943,432)					18,362,438
Other Assets and Liabilities — (0.8)%					(110,570	)
Securities Sold Short (see below) — (33.2)%					(4,545,466	)
Total Net Assets — 100.0%				$	13,706,402
Securities Sold Short — (33.2)%
Common Stocks Sold Short — (33.2)%
Australia — (0.2)%
Nanosonics, Ltd. (2)		(13,722	)	$	(27,881	)
Cayman Islands — (0.2)%
Netshoes Cayman, Ltd. (2)		(2,583	)		(20,638	)
Finland — (0.2)%
Caverion OYJ (2)		(2,857	)		(22,448	)
Germany — (1.1)%
Zalando SE (2)(5)		(2,522	)		(143,977	)
Japan — (7.7)%
ABC-Mart, Inc.		(400	)		(25,351	)
Acom Co., Ltd. (2)		(7,000	)		(31,550	)
Don Quijote Holdings Co., Ltd.		(1,000	)		(55,874	)
Fuji Seal International, Inc.		(2,300	)		(74,173	)
Hoshizaki Corp.		(1,300	)		(117,024	)
Kose Corp.		(400	)		(74,791	)
Kura Corp.		(600	)		(36,210	)
M3, Inc.		(1,700	)		(65,947	)
MISUMI Group, Inc.		(4,300	)		(123,311	)
Nippon Paint Holdings Co., Ltd.		(3,400	)		(123,357	)
Nitori Holdings Co., Ltd.		(800	)		(134,098	)
Prestige International, Inc.		(3,800	)		(48,237	)
SMS Co., Ltd.		(3,700	)		(152,214	)
					(1,062,137	)
New Zealand — (0.3)%
Xero, Ltd. (2)		(1,848	)		(45,565	)
Norway — (0.8)%
Schibsted ASA, Class A		(3,096	)		(81,206	)
XXL ASA (5)		(2,879	)		(32,757	)
					(113,963	)
Spain — (0.7)%
Cellnex Telecom SA (5)		(3,472	)		(89,073	)
Sweden — (0.8)%
AAK AB		(659	)		(60,291	)
Wallenstam AB, Class B		(5,225	)		(45,586	)
					(105,877	)
Switzerland — (0.3)%
Arbonia AG (2)		(2,406	)		(41,850	)
United Kingdom — (3.2)%
Balfour Beatty PLC		(13,083	)		(47,638	)
Capital & Counties Properties PLC		(11,252	)		(40,959	)
Cobham PLC (2)		(70,889	)		(109,984	)

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

39

February 28, 2018 (Unaudited)

Schedules of Investments

Global Long/Short Equity Fund (continued)

Description	Shares			Value
Securities Sold Short (continued)
Common Stocks Sold Short (continued)
United Kingdom (continued)
Just Eat PLC (2)		(8,357	)	$	(100,287	)
Serco Group PLC (2)		(40,077	)		(50,100	)
Sophos Group PLC (5)		(14,229	)		(96,398	)
					(445,366	)
United States — (17.7)%
Advanced Micro Devices, Inc. (2)		(9,741	)		(117,963	)
Aerovironment, Inc. (2)		(1,703	)		(84,673	)
Allegheny Technologies, Inc. (2)		(2,784	)		(72,133	)
Bank of the Ozarks		(1,681	)		(83,865	)
Benefitfocus, Inc. (2)		(2,190	)		(52,998	)
BioScrip, Inc. (2)		(23,536	)		(74,374	)
Brown-Forman Corp., Class B		(864	)		(60,299	)
Chesapeake Energy Corp. (2)		(4,980	)		(14,044	)
Duke Realty Corp.		(3,926	)		(97,247	)
Education Realty Trust, Inc.		(2,129	)		(66,297	)
Financial Engines, Inc.		(1,086	)		(36,381	)
Guidewire Software, Inc. (2)		(533	)		(42,811	)
Instructure, Inc. (2)		(2,392	)		(103,813	)
Interactive Brokers Group, Inc., Class A		(2,320	)		(161,008	)
Kopin Corp. (2)		(19,334	)		(59,162	)
LSB Industries, Inc. (2)		(9,056	)		(67,648	)
Macerich Co.		(1,032	)		(60,826	)
Macquarie Infrastructure Corp.		(1,477	)		(59,818	)
Netflix, Inc. (2)		(415	)		(120,923	)
NOW, Inc. (2)		(5,969	)		(56,646	)
PHH Corp. (2)		(8,020	)		(84,852	)
Pinnacle Financial Partners, Inc.		(1,982	)		(127,938	)
PotlatchDeltic Corp.		(923	)		(47,232	)
PROS Holdings, Inc. (2)		(3,163	)		(99,160	)
Rayonier, Inc.		(3,548	)		(120,596	)
Republic First Bancorp, Inc. (2)		(5,316	)		(44,920	)
Senior Housing Properties Trust		(2,712	)		(41,060	)
TimkenSteel Corp. (2)		(6,584	)		(107,714	)
Titan International, Inc.		(4,179	)		(53,742	)
Wabtec Corp.		(1,768	)		(143,809	)
Weyerhaeuser Co.		(1,791	)		(62,739	)
					(2,426,691	)
Total Securities Sold Short (proceeds $(4,035,919))				$	(4,545,466	)

Industry Allocation
Industry	Value		% of Total Net Assets
Common Stocks Purchased Long
Advertising	$	53,320		0.4	%
Aerospace/Defense		44,914		0.3
Agriculture		101,257		0.7
Airlines		385,502		2.8
Auto Manufacturers		171,218		1.2
Auto Parts & Equipment		615,849		4.5
Banks		204,331		1.5
Biotechnology		338,033		2.5
Building Materials		456,979		3.3
Chemicals		398,148		2.9
Commercial Services		643,409		4.7
Computers		239,721		1.7
Distribution/Wholesale		49,444		0.4
Diversified Financial Services		566,709		4.1
Electric		533,932		3.9

Industry Allocation (continued)
Industry	Value			% of Total Net Assets
Electronics	$	478,623			3.5	%
Engineering & Construction		215,485			1.6
Food		810,112			5.9
Forest Products & Paper		125,894			0.9
Gas		21,814			0.2
Healthcare-Products		1,295,598			9.5
Healthcare-Services		103,221			0.8
Insurance		1,067,928			7.8
Internet		64,755			0.5
Iron/Steel		160,873			1.2
Media		30,173			0.2
Mining		116,691			0.8
Miscellaneous Manufacturing		178,304			1.3
Packaging & Containers		114,031			0.8
Pharmaceuticals		519,563			3.8
Real Estate Investment Trusts		803,653			5.9
Retail		609,278			4.4
Savings & Loans		41,666			0.3
Semiconductors		884,754			6.5
Shipbuilding		231,617			1.7
Telecommunications		250,087			1.8
Textiles		36,015			0.3
Transportation		294,954			2.1
Total Common Stocks Purchased Long		13,257,855			96.7
Collateral Investment for Securities on Loan		186,411			1.4
Mutual Funds		4,918,172			35.9
Total Investments		18,362,438			134.0
Other Assets and Liabilities		(110,570	)		(0.8	)
Securities Sold Short (see below)		(4,545,466	)		(33.2	)
Total Net Assets	$	13,706,402			100.0	%
Securities Sold Short
Aerospace/Defense	$	(194,657	)		(1.4	)%
Auto Parts & Equipment		(53,742	)		(0.4	)
Banks		(256,723	)		(1.9	)
Beverages		(60,299	)		(0.4	)
Building Materials		(41,849	)		(0.3	)
Chemicals		(123,357	)		(0.9	)
Commercial Services		(130,504	)		(1.0	)
Computers		(146,498	)		(1.1	)
Cosmetics/Personal Care		(74,791	)		(0.5	)
Diversified Financial Services		(313,791	)		(2.3	)
Engineering & Construction		(47,638	)		(0.4	)
Food		(60,291	)		(0.4	)
Healthcare-Products		(27,881	)		(0.2	)
Home Furnishings		(117,024	)		(0.9	)
Internet		(460,009	)		(3.4	)
Iron/Steel		(72,133	)		(0.5	)
Machinery-Diversified		(143,809	)		(1.1	)
Media		(81,206	)		(0.6	)
Metal Fabricate/Hardware		(231,025	)		(1.7	)
Miscellaneous Manufacturing		(67,648	)		(0.5	)
Oil & Gas		(14,044	)		(0.1	)
Oil & Gas Services		(56,646	)		(0.4	)
Packaging & Containers		(74,173	)		(0.5	)
Pharmaceuticals		(74,374	)		(0.5	)
Real Estate		(86,545	)		(0.6	)
Real Estate Investment Trusts		(495,997	)		(3.6	)
Retail		(428,267	)		(3.1	)
Semiconductors		(177,126	)		(1.3	)
Software		(344,346	)		(2.5	)
Telecommunications		(89,073	)		(0.7	)
Total Securities Sold Short	$	(4,545,466	)		(33.2	)%

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

40

BMO Funds

Ultra Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 91.1%
Alabama — 4.1%
Health Care Authority for Baptist Health, 1.900%, 11/1/2042 (9)	$	14,125,000	$	14,125,000
Mobile Industrial Development Board, 1.290%, 6/1/2034, Call 3/1/2018 (9)		4,350,000		4,350,000
Other securities				9,889,177
				28,364,177
Arizona — 0.8%
Other securities				5,364,102
Arkansas — 2.0%
Arkansas Development Finance Authority:
1.900%, 9/1/2044, Call 3/1/2018 (9)		7,000,000		7,000,000
2.190% (SIFMA Municipal Swap Index Yield+110 basis points), 9/1/2019, Call 3/1/2019 (10)		3,000,000		3,003,960
Other securities				3,335,196
				13,339,156
California — 7.6%
Golden State Tobacco Securitization Corp., 4.000%, 6/1/2018		5,000,000		5,032,500
Northern California Gas Authority No. 1, 1.765% (LIBOR 3 Month+63 basis points), 7/1/2019 (10)		7,500,000		7,507,125
Rib Floater Trust Various States, 1.250%, 8/15/2051 (5)(9)		3,000,000		3,000,000
State of California, FSA, 1.350%, 8/1/2027 (5)(9)		5,490,000		5,490,000
Tender Option Bond Trust Receipts/Certificates:
1.190%, 5/1/2022 (5)(9)		3,000,000		3,000,000
1.190%, 11/1/2023 (5)(9)		8,000,000		8,000,000
1.240%, 8/1/2024 (5)(9)		4,760,000		4,760,000
Other securities				15,564,000
				52,353,625
Colorado — 2.3%
Colorado Educational & Cultural Facilities Authority, 1.120%, 7/1/2033, Call 3/1/2018 (9)		7,000,000		7,000,000
Colorado Health Facilities Authority, 1.730%, 7/1/2034, Call 7/1/2019 (5)(9)		4,300,000		4,300,000
Other securities				4,444,853
				15,744,853
Connecticut — 0.3%
Other securities				2,197,360
District of Columbia — 0.5%
Other securities				3,066,883
Florida — 4.1%
School Board of Miami-Dade County, FGIC, 1.320%, 3/1/2018 (5)(9)		8,000,000		8,000,000
Other securities				20,274,995
				28,274,995

Description	Principal Amount		Value
Municipals (continued)
Georgia — 3.5%
Municipal Electric Authority of Georgia, 1.080%, 3/1/2020, Call 3/1/2018 (9)	$	7,000,000	$	7,000,000
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.220%, 8/15/2049, Call 2/1/2025 (5)(9)		3,000,000		3,000,000
Other securities				13,994,251
				23,994,251
Guam — 0.0%
Other securities				255,685
Hawaii — 0.4%
Other securities				2,801,008
Idaho — 1.4%
American Falls Reservoir District, 1.140%, 2/1/2025, Call 3/1/2018 (9)		4,885,000		4,885,000
Idaho Housing & Finance Association, 1.290%, 1/1/2038, Call 3/1/2018 (9)		4,400,000		4,400,000
				9,285,000
Illinois — 4.9%
State of Illinois, 5.000%, 11/1/2022		10,000,000		10,538,600
Tender Option Bond Trust Receipts/Certificates, 1.240%, 6/15/2032, Call 6/15/2026 (5)(9)		4,655,000		4,655,000
Other securities				18,568,498
				33,762,098
Indiana — 2.1%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.350%, 7/1/2047, Call 3/1/2018 (9)		6,000,000		6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.440%, 4/15/2019 (5)(9)		8,500,000		8,500,000
				14,500,000
Iowa — 1.1%
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 4/2/2018		3,000,000	$	2,988,450
2.000%, 12/1/2018, Call 6/1/2018		3,500,000		3,501,820
Other securities				848,960
				7,339,230
Kentucky — 1.3%
Other securities				8,621,475
Louisiana — 2.6%
East Baton Rouge Sewerage Commission, 1.602% (LIBOR 1 Month+50 basis points), 8/1/2018, Call 4/16/2018 (10)		5,950,000		5,950,000
Parish of St. Charles, 1.170%, 10/1/2022, Call 3/1/2018 (9)		5,200,000		5,200,000
Parish of St. James, 1.400%, 11/1/2040, Call 3/1/2018 (9)		5,000,000		5,000,000
Other securities				1,802,200
				17,952,200

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

41

February 28, 2018 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Maine — 0.0%
Other securities			$	313,259
Maryland — 0.9%
Maryland Industrial Development Financing Authority, 1.400%, 3/1/2030, Call 3/1/2018 (9)	$	5,000,000		5,000,000
Other securities				1,038,949
				6,038,949
Massachusetts — 1.0%
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 1.110%, 1/1/2039, Call 3/1/2018 (9)		5,040,000		5,040,000
Other securities				1,778,268
				6,818,268
Michigan — 0.8%
Other securities				5,123,813
Minnesota — 0.4%
Other securities				2,761,766
Mississippi — 1.9%
Mississippi Business Finance Corp., 1.150%, 5/1/2037, Call 5/1/2018 (9)		6,662,000		6,658,669
Mississippi Development Bank:
2.500%, 1/1/2020		4,600,000		4,665,182
5.000%, 4/1/2018		300,000		300,912
Other securities				1,600,200
				13,224,963
Missouri — 0.8%
Other securities				5,418,793
Nebraska — 0.3%
Other securities				2,016,840
Nevada — 0.1%
Other securities				360,556
New Hampshire — 0.5%
Other securities				3,200,000
New Jersey — 4.9%
New Jersey Economic Development Authority:
1.370%, 11/1/2031, Call 3/1/2018 (9)		4,995,000		4,995,000
1.380%, 11/1/2040, Call 3/1/2018 (9)		5,665,000		5,665,000
1.380%, 11/1/2040, Call 3/1/2018 (9)		4,600,000		4,600,000
New Jersey Transportation Trust Fund Authority:
2.090% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (10)		5,000,000		4,999,550
5.000%, 6/15/2019		1,500,000		1,554,090
Tender Option Bond Trust Receipts/Certificates:
1.210%, 7/1/2042, Call 7/1/2027 (5)(9)		2,500,000		2,500,000
1.220%, 7/1/2025 (5)(9)		2,000,000		2,000,000
Other securities				7,499,990
				33,813,630

Description	Principal Amount		Value
Municipals (continued)
New Mexico — 1.2%
New Mexico Municipal Energy Acquisition Authority, 1.805% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (10)	$	5,500,000	$	5,502,640
Other securities				2,868,215
				8,370,855
New York — 11.2%
Metropolitan Transportation Authority:
1.540% (SIFMA Municipal Swap Index Yield+45 basis points), 11/15/2022 (10)		3,000,000		2,996,370
1.605% (LIBOR 1 Month+55 basis points), 11/1/2022 (10)		3,000,000		2,973,870
1.755% (LIBOR 1 Month+70 basis points), 2/1/2020 (10)		3,500,000		3,516,205
Metropolitan Transportation Authority, AGM, 1.686% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 4/2/2018 (10)		4,650,000		4,650,651
New York City Transitional Finance Authority:
1.270%, 8/1/2022, Call 3/1/2018 (9)		4,320,000		4,320,000
1.270%, 8/1/2023, Call 3/1/2018 (9)		6,550,000		6,550,000
New York City Water & Sewer System, 1.100%, 6/15/2039, Call 3/1/2018 (9)		5,950,000		5,950,000
New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9)(11)		7,350,000		7,350,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.390%, 5/1/2047, Call 3/1/2018 (5)(9)		5,000,000		5,000,000
State of New York Mortgage Agency, 1.100%, 4/1/2047, Call 3/1/2018 (9)		8,000,000		8,000,000
Triborough Bridge & Tunnel Authority:
1.140%, 11/1/2032, Call 3/1/2018 (9)		5,650,000		5,650,000
1.755% (LIBOR 1 Month+70 basis points), 2/1/2021 (10)		4,935,000		4,964,215
Other securities				14,605,145
				76,526,456
North Carolina — 1.4%
Other securities				9,575,000
North Dakota — 0.3%
Other securities				2,271,195
Ohio — 6.9%
Lancaster Port Authority, 1.775% (LIBOR 1 Month+72 basis points), 8/1/2019, Call 2/1/2019 (10)		5,000,000		5,005,050
Ohio Higher Educational Facility Commission, 1.100%, 1/1/2039, Call 3/1/2018 (9)		5,000,000		5,000,000
Rib Floater Trust Various States, 1.340%, 11/15/2048, Call 4/2/2018 (5)(9)		4,000,000		4,000,000

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

42

BMO Funds

Ultra Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
State of Ohio:
1.250%, 3/1/2018 (9)	$	4,500,000	$	4,500,000
1.340%, 1/15/2045, Call 3/1/2018 (9)		5,500,000		5,500,000
1.350%, 1/15/2045, Call 3/1/2018 (9)		5,000,000		5,000,000
Other securities				18,180,407
				47,185,457
Oklahoma — 0.2%
Other securities				1,653,596
Oregon — 0.8%
Other securities				5,709,190
Pennsylvania — 3.5%
Pennsylvania Turnpike Commission:
1.770% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (10)		6,000,000		6,008,640
2.240% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (10)		2,225,000		2,249,408
Other securities				15,943,917
				24,201,965
Rhode Island — 0.5%
Other securities				3,555,960
South Carolina — 0.9%
Other securities				5,912,110
Tennessee — 0.9%
Tender Option Bond Trust Receipts/Certificates, 1.240%, 7/1/2046, Call 7/1/2026 (5)(9)		3,400,000		3,400,000
Other securities				3,067,032
				6,467,032
Texas — 6.7%
Northside Independent School District, PSF:
2.000%, 8/1/2019 (9)		4,000,000		4,020,040
2.125%, 8/1/2020, Call 8/1/2018 (9)		1,900,000		1,903,762
Pasadena Independent School District, AGM, 1.090%, 2/1/2035, Call 3/1/2018 (9)		4,550,000		4,550,000
Tender Option Bond Trust Receipts/Certificates, 1.290%, 7/1/2021 (5)(9)		11,950,000		11,950,000
Other securities				23,307,251
				45,731,053
Utah — 0.6%
Tender Option Bond Trust Receipts/Certificates, 1.290%, 1/1/2025 (5)(9)		2,500,000		2,500,000
Other securities				1,400,000
				3,900,000
Virginia — 1.2%
Other securities				7,969,565
Washington — 2.4%
Tender Option Bond Trust Receipts/Certificates:
1.240%, 6/15/2033, Call 6/1/2019 (5)(9)		5,050,000		5,050,000

Description	Principal Amount		Value
Municipals (continued)
Washington (continued)
1.260%, 1/1/2035 (5)(9)	$	5,000,000	$	5,000,000
Washington Higher Education Facilities Authority, 1.120%, 10/1/2029, Call 3/1/2018 (9)		5,000,000		5,000,000
Other securities				1,456,288
				16,506,288
Wisconsin — 1.1%
Other securities				7,700,849
Wyoming — 0.7%
County of Converse, 1.130%, 12/1/2020, Call 3/1/2018 (9)		5,000,000		5,000,000
Total Municipals (identified cost $624,572,956)				624,543,506
Short-Term Investments — 6.7%
Mutual Funds — 0.3%
Other securities (4)				1,884,271
Short-Term Municipals — 6.4%
California — 0.1%
Other securities				601,692
Colorado — 0.1%
Other securities				503,885
Connecticut — 0.4%
Other securities				2,905,626
Florida — 0.3%
Other securities				2,000,020
Georgia — 0.1%
Other securities				1,009,180
Illinois — 0.2%
Other securities				1,039,126
Indiana — 0.4%
Other securities				2,918,357
Massachusetts — 0.3%
Other securities				2,284,750
Minnesota — 0.1%
Other securities				651,404
Nevada — 0.1%
Other securities				467,001
New Jersey — 0.3%
Other securities				2,002,080
New York — 0.1%
Other securities				504,430
Ohio — 1.2%
Other securities				8,561,254
Oregon — 0.3%
Other securities				2,041,920
South Carolina — 0.1%
Other securities				511,505
Texas — 2.1%
State of Texas, 4.000%, 8/30/2018		10,000,000		10,135,200
Other securities				4,201,192
				14,336,392
Wisconsin — 0.2%
Other securities				1,471,103
Total Short-Term Municipals				43,809,725

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

43

February 28, 2018 (Unaudited)

Schedules of Investments

Ultra Short Tax-Free Fund** (continued)

Description	Value
Short-Term Investments (continued)
Short-Term Municipals (continued)
Total Short-Term Investments (identified cost $45,727,013)	$	45,693,996
Total Investments — 97.8% (identified cost $670,299,969)		670,237,502
Other Assets and Liabilities — 2.2%		15,149,137
Total Net Assets — 100.0%	$	685,386,639

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—15.7%
School District		6.7	%
State or Local		9.0
Revenue Bonds—81.8%
Appropriation		16.3
Education		8.4
General Revenue		0.1
Healthcare		19.7
Housing		6.2
Industrial Revenue		6.1
Power		3.9
Special Tax		2.8
Tobacco		1.2
Transportation		10.1
Water & Sewer		7.0
Other Assets & Liabilities, Net		2.5
Total		100.0	%

Short Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 96.6%
Alabama — 3.2%
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (9)	$	1,000,000	$	1,057,050
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,105,890
Other securities				3,903,811
				6,066,751
Alaska — 0.8%
Other securities				1,556,310
Arizona — 2.2%
Other securities				4,218,053
Arkansas — 0.7%
Other securities				1,243,563
California — 9.0%
California Municipal Finance Authority, 5.000%, 2/1/2022		1,000,000		1,104,830
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022		1,000,000		1,109,480
Northern California Gas Authority No. 1, 1.765% (LIBOR 3 Month+63 basis points), 7/1/2019 (10)		1,040,000		1,040,988

Description	Principal Amount		Value
Municipals (continued)
California (continued)
Rib Floater Trust Various States, 1.250%, 3/1/2042, Call 4/2/2018 (5)(9)	$	2,000,000	$	2,000,000
Tender Option Bond Trust, 1.240%, 8/1/2022 (5)(9)		2,000,000		2,000,000
Other securities				9,862,939
				17,118,237
Colorado — 4.4%
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (5)		590,000		592,148
5.000%, 10/1/2021		1,000,000		1,098,420
Colorado Health Facilities Authority:
1.730%, 7/1/2034, Call 7/1/2019 (5)(9)		1,000,000		1,000,000
3.125%, 5/15/2027, Call 5/15/2020		1,000,000		989,310
4.000%, 12/1/2018		250,000		254,360
4.500%, 2/1/2019		250,000		255,513
5.000%, 5/15/2021		325,000		350,054
5.000%, 6/1/2021		250,000		270,098
5.000%, 5/15/2022		250,000		273,522
5.000%, 6/1/2022		250,000		275,027
Other securities				2,922,840
				8,281,292
Connecticut — 0.7%
State of Connecticut:
1.970% (SIFMA Municipal Swap Index Yield+88 basis points), 8/15/2018 (10)		250,000		250,468
2.010% (SIFMA Municipal Swap Index Yield+92 basis points), 5/15/2018 (10)		150,000		150,135
2.010% (SIFMA Municipal Swap Index Yield+92 basis points), 9/15/2019 (10)		115,000		115,800
5.000%, 3/15/2021		500,000		540,740
Other securities				250,055
				1,307,198
Delaware — 0.0%
Other securities				90,735
Florida — 6.6%
Columbia County School Board:
5.000%, 7/1/2019		920,000		959,882
5.000%, 7/1/2021		400,000		438,196
County of Martin, 1.150%, 7/15/2022, Call 3/1/2018 (9)		1,100,000		1,100,000
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018		300,000		301,809
5.000%, 5/1/2019		225,000		233,887
Miami-Dade County School Board Foundation, Inc., AMBAC, 5.000%, 8/1/2023, Call 8/1/2018		100,000		101,496
School Board of Miami-Dade County, 1.320%, 3/1/2018 (5)(9)		1,650,000		1,650,000
School District of Broward County, 5.000%, 7/1/2019		1,000,000		1,046,050
Other securities				6,729,076
				12,560,396

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

44

BMO Funds

Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Georgia — 4.4%
Gainesville & Hall County Hospital Authority:
2.040% (SIFMA Municipal Swap Index Yield+95 basis points), 2/18/2020, Call 8/22/2019 (10)	$	350,000	$	351,291
5.000%, 2/15/2021		700,000		761,201
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021		1,250,000		1,370,600
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019		1,000,000		1,034,270
5.250%, 9/15/2018		100,000		101,935
RBC Municipal Products, Inc. Trust, 1.150%, 10/1/2021, Call 3/1/2018 (5)(9)		2,000,000		2,000,000
Other securities				2,736,258
				8,355,555
Guam — 0.3%
Other securities				555,275
Idaho — 0.1%
Other securities				233,347
Illinois — 11.9%
City of Chicago:
5.000%, 1/1/2021		840,000		900,824
5.000%, 11/1/2021		1,000,000		1,090,270
5.000%, 1/1/2022		500,000		545,950
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019		1,000,000		1,057,970
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019		250,000		262,400
5.000%, 11/15/2021		720,000		791,561
Illinois Finance Authority:
2.452% (LIBOR 1 Month+135 basis points), 5/1/2021, Call 11/1/2020 (10)		1,000,000		1,007,840
2.500%, 5/15/2018		150,000		150,138
4.000%, 10/1/2018		275,000		277,965
5.000%, 1/1/2021		200,000		214,096
5.000%, 11/15/2021		400,000		440,656
5.000%, 1/1/2022		150,000		163,146
5.000%, 7/15/2022		750,000		844,005
5.000%, 11/15/2022		555,000		618,531
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023		1,000,000		1,119,340
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2018		40,000		40,335
5.000%, 6/1/2023		1,000,000		1,120,620
State of Illinois:
5.000%, 4/1/2020		100,000		103,327
5.000%, 2/1/2021		240,000		250,154
5.000%, 11/1/2023		3,000,000		3,153,660
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019		1,110,000		1,140,936
Other securities				7,318,057
				22,611,781

Description	Principal Amount		Value
Municipals (continued)
Indiana — 2.1%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.350%, 7/1/2047, Call 3/1/2018 (9)	$	2,000,000	$	2,000,000
Other securities				1,917,030
				3,917,030
Iowa — 1.0%
Other securities				1,995,280
Kansas — 0.4%
Other securities				759,684
Kentucky — 1.0%
Other securities				1,950,301
Louisiana — 1.6%
Parish of St. James, 1.130%, 12/1/2040, Call 3/1/2018 (9)		2,000,000		2,000,000
Other securities				1,053,100
				3,053,100
Maine — 0.1%
Other securities				248,827
Maryland — 1.3%
Other securities				2,454,508
Massachusetts — 1.1%
Other securities				2,072,823
Michigan — 1.9%
Other securities				3,639,756
Minnesota — 0.3%
Other securities				554,745
Mississippi — 0.8%
Other securities				1,462,516
Missouri — 2.5%
Other securities				4,767,250
Nebraska — 1.1%
Tender Option Bond Trust, 1.160%, 11/1/2048, Call 11/1/2025 (5)(9)		2,000,000		2,000,000
Nevada — 0.3%
Other securities				556,010
New Jersey — 2.1%
Other securities				4,046,316
New Mexico — 0.9%
Other securities				1,666,268
New York — 10.7%
City of New York, 1.200%, 8/1/2044, Call 3/1/2018 (9)		2,200,000		2,200,000
New York City Transitional Finance Authority, 1.110%, 11/1/2029, Call 3/1/2018 (9)		1,200,000		1,200,000
New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9)(11)		1,150,000		1,150,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.390%, 5/1/2047, Call 3/1/2018 (5)(9)		1,500,000		1,500,000

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

45

February 28, 2018 (Unaudited)

Schedules of Investments

Short Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
New York (continued)
TSASC, Inc., 5.000%, 6/1/2021	$	1,000,000	$	1,092,520
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020		1,155,000		1,240,516
Other securities				11,875,556
				20,258,592
North Carolina — 0.5%
Other securities				961,553
North Dakota — 0.2%
Other securities				362,712
Ohio — 3.6%
Rib Floater Trust Various States, 1.340%, 11/15/2048, Call 4/2/2018 (5)(9)		1,000,000		1,000,000
Other securities				5,758,987
				6,758,987
Oklahoma — 0.1%
Other securities				115,025
Oregon — 0.5%
Other securities				1,000,000
Pennsylvania — 4.1%
Commonwealth Financing Authority, 5.000%, 6/1/2022		1,000,000		1,097,990
Other securities				6,626,926
				7,724,916
Rhode Island — 0.1%
Other securities				277,423
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019		1,000,000		1,057,080
Tennessee — 0.8%
Tennessee Energy Acquisition Corp.:
4.000%, 5/1/2023, Call 2/1/2023 (9)		1,000,000		1,066,720
5.250%, 9/1/2020		10,000		10,803
5.250%, 9/1/2021		55,000		60,754
Other securities				403,907
				1,542,184
Texas — 5.0%
Lower Colorado River Authority, 5.000%, 5/15/2019		1,000,000		1,041,540
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2021		500,000		532,030
5.000%, 11/15/2022		1,000,000		1,125,370
Other securities				6,715,290
				9,414,230
Utah — 0.4%
Other securities				800,000
Vermont — 0.2%
Other securities				357,015
Virginia — 1.3%
FHLMC Multifamily Variable Rate Certificates, 1.390% (SIFMA Municipal Swap Index Yield+30 basis points), 9/15/2033 (10)		1,345,000		1,345,000

Description	Principal Amount		Value
Municipals (continued)
Virginia (continued)
Henrico County Economic Development Authority, AGM, 2.912%, 8/23/2027, Call 3/1/2018 (9)(11)	$	1,200,000	$	1,123,416
				2,468,416
Washington — 1.9%
State of Washington, 5.000%, 2/1/2022		1,000,000		1,116,780
Washington Higher Education Facilities Authority, 1.120%, 10/1/2029, Call 3/1/2018 (9)		1,600,000		1,600,000
Other securities				797,626
				3,514,406
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018		1,250,000		1,272,850
Wisconsin — 3.1%
Public Finance Authority:
5.000%, 11/15/2021		610,000		674,983
5.000%, 11/15/2022		500,000		562,685
Wisconsin Health & Educational Facilities Authority:
3.250%, 5/1/2018		200,000		199,922
4.000%, 8/15/2018		300,000		303,780
5.000%, 3/1/2020		200,000		209,802
5.000%, 8/15/2022		200,000		225,074
5.000%, 8/15/2023		205,000		233,889
Other securities				3,491,727
				5,901,862
Total Municipals (identified cost $183,106,141)				183,130,158
Mutual Funds — 0.5%
Other securities (4)				869,605
Total Mutual Funds (identified cost $872,150)				869,605
Short-Term Investments — 0.5%
Mutual Funds — 0.1%
Other securities (4)				204,034
Short-Term Municipals — 0.4%
Connecticut — 0.4%
Other securities				701,358
Total Short-Term Investments (identified cost $905,685)				905,392
Total Investments — 97.6% (identified cost $184,883,976)				184,905,155
Other Assets and Liabilities — 2.4%				4,625,068
Total Net Assets — 100.0%			$	189,530,223

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—16.7%
School District		4.8	%
State or Local		11.9
Revenue Bonds—80.3%
Appropriation		13.3
Education		12.1
General Revenue		0.8

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

46

BMO Funds

Short Tax-Free Fund** (continued)

Municipal Issuance/Industry Type* (continued)
Issuance/Industry	Fund
Healthcare		24.7	%
Housing		3.9
Industrial Revenue		2.9
Power		3.5
Special Tax		4.3
Student Loan		0.2
Tobacco		3.0
Transportation		6.7
Water & Sewer		4.9
Other Assets & Liabilities, Net		3.0
Total		100.0	%

Short-Term Income Fund

Description	Principal Amount		Value
Asset-Backed Securities — 21.8%
Automobiles — 8.4%
CarMax Auto Owner Trust, Class A3, (Series 2016-2), 1.520%, 2/16/2021	$	407,866	$	404,800
Flagship Credit Auto Trust, Class A, (Series 2016-1), 2.770%, 12/15/2020 (5)		562,040		563,321
GM Financial Automobile Leasing Trust:
Class A3, (Series 2017-1), 2.060%, 5/20/2020		1,264,000		1,257,024
Class A3, (Series 2017-2), 2.020%, 9/21/2020		1,000,000		992,249
Class A4, (Series 2017-3), 2.120%, 9/20/2021		955,000		945,447
GM Financial Consumer Automobile, Class C, (Series 2017-1A), 2.450%, 7/17/2023 (5)		1,000,000		981,548
Hertz Vehicle Financing LLC, Class A, (Series 2016-3A), 2.270%, 7/25/2020 (5)		2,500,000		2,481,385
Mercedes-Benz Auto Lease Trust, Class A3, (Series 2017-A), 1.790%, 4/15/2020		2,400,000		2,384,086
Nissan Auto Receivables Owner Trust, Class A3, (Series 2017-B), 1.750%, 10/15/2021		2,000,000		1,971,798
Santander Drive Auto Receivables Trust:
Class C, (Series 2015-2), 2.440%, 4/15/2021		1,300,039		1,301,117
Class D, (Series 2014-1), 2.910%, 4/15/2020		1,420,003		1,422,776
Class D, (Series 2015-2), 3.020%, 4/15/2021		960,000		965,061
Santander Retail Auto Lease Trust, Class C, (Series 2017-A), 2.960%, 11/21/2022 (5)		1,500,000		1,483,863
Tesla Auto Lease Trust, Class C, (Series 2018-A), 2.970%, 4/20/2020 (5)		500,000		499,475
Toyota Auto Receivables, Class A3, (Series 2016-C), 1.140%, 8/17/2020		880,000		872,208

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Automobiles (continued)
World Omni Auto Receivables Trust:
Class A3, (Series 2015-B), 1.490%, 12/15/2020	$	1,212,816	$	1,208,254
Class A3, (Series 2017-B), 1.950%, 2/15/2023		450,000		442,030
				20,176,442
Credit Cards — 5.3%
Cabela’s Credit Card Master Trust:
Class A, (Series 2014-2), 2.038% (LIBOR 1 Month+45 basis points), 7/15/2022 (10)		1,000,000		1,003,684
Class A1, (Series 2015-1A), 2.260%, 3/15/2023		1,010,000		1,001,898
Class A1, (Series 2015-2), 2.250%, 7/17/2023		2,208,000		2,183,531
Chase Issuance Trust, Class A4, (Series 2016-A4), 1.490%, 7/15/2022		2,500,000		2,430,150
Discover Card Execution Note Trust, Class A1, (Series 2016-A1), 1.640%, 7/15/2021		1,725,000		1,715,395
Synchrony Credit Card Master Trust, Class B, (Series 2012-7), 2.210%, 9/15/2022		1,285,000		1,274,624
World Financial Network Credit Card Master Trust:
Class A, (Series 2015-B), 2.550%, 6/17/2024		365,000		362,660
Class A, (Series 2016-A), 2.030%, 4/15/2025		2,000,000		1,936,186
Class A, (Series 2017-C), 2.310%, 8/15/2024		1,000,000		983,644
				12,891,772
Other Financial — 7.6%
Consumers Securitization Funding LLC, Class A1, (Series 2014-A), 1.334%, 11/1/2020		1,238,897		1,227,308
Dell Equipment Finance Trust, Class A3, (Series 2017-1), 2.140%, 4/22/2022 (5)		1,300,000		1,292,723
Ford Credit Floorplan Master Owner Trust:
Class A1, (Series 2016-3), 1.550%, 7/15/2021		2,000,000		1,973,384
Class A1, (Series 2017-2), 2.160%, 9/15/2022		1,730,000		1,703,756
GMF Floorplan Owner Revolving Trust, Class A1, (Series 2015-1), 1.650%, 5/15/2020 (5)		1,000,000		999,229
Hilton Grand Vacations Trust, Class A, (Series 2014-AA), 1.770%, 11/25/2026 (5)		597,770		587,439
Sierra Receivables Funding Co. LLC, Class B, (Series 2017-1A), 3.200%, 3/20/2034 (5)		1,450,490		1,428,823
SLM Student Loan Trust, Class A5, (Series 2004-5A), 2.345% (LIBOR 3 Month+60 basis points), 10/25/2023 (5)(10)		111,686		111,780

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

47

February 28, 2018 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Asset-Backed Securities (continued)
Other Financial (continued)
Trafigura Securitisation Finance PLC, Class A1, (Series 2017-1A), 2.438% (LIBOR 1 Month+85 basis points), 12/15/2020 (5)(10)	$	3,000,000	$	3,020,697
Verizon Owner Trust, Class A, (Series 2016-1A), 1.420%, 1/20/2021 (5)		1,250,000		1,239,881
Volvo Financial Equipment LLC, Class A4, (Series 2017-1A), 2.210%, 11/15/2021 (5)		500,000		493,307
Wells Fargo Dealer Floorplan Master Trust, Class A, (Series 2015-2), 2.244% (LIBOR 1 Month+65 basis points), 1/20/2022 (10)		1,000,000		1,006,603
Westgate Resorts LLC:
Class A, (Series 2015-2A), 3.200%, 7/20/2028 (5)		2,278,619		2,276,292
Class B, (Series 2014-1A), 3.250%, 12/20/2026 (5)		959,946		957,617
				18,318,839
Private Sponsor — 0.5%
JP Morgan Mortgage Trust, Class 1A5, (Series 2017-3), 3.500%, 8/25/2047 (5)(9)		1,263,027		1,267,419
Total Asset-Backed Securities (identified cost $53,108,453)				52,654,472
Certificates of Deposit — 2.7%
U.S. Domestic — 2.7%
Bank of Nova Scotia/Houston, 1.890% (U.S. Federal Funds Effective Rate (continuous series)+47 basis points), 12/12/2019 (10)		350,000		350,336
Canadian Imperial Bank of Commerce:
1.967% (LIBOR 3 Month+18 basis points), 11/5/2018 (10)		1,250,000		1,249,785
2.112% (LIBOR 3 Month+39 basis points), 7/13/2018 (10)		1,250,000		1,250,837
2.151% (LIBOR 3 Month+36 basis points), 8/8/2018 (10)		1,350,000		1,350,902
Sumitomo Mitsui Banking Corp.:
2.158% (LIBOR 3 Month+38 basis points), 8/2/2019 (10)		1,000,000		1,001,180
2.299% (LIBOR 3 Month+46 basis points), 5/15/2019 (10)		1,300,000		1,301,769
Total Certificates of Deposit (identified cost $6,493,838)				6,504,809
Collateralized Mortgage Obligations — 3.8%
Federal National Mortgage Association — 1.4%
3.000%, 6/25/2033, (Series 2014-20)		1,965,093		1,954,109
3.000%, 8/25/2040, (Series 2015-15)		1,517,705		1,503,012
				3,457,121

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Federal Home Loan Mortgage Corporation — 1.7%
2.000%, 1/15/2024, (Series 4295)	$	673,122	$	657,621
3.000%, 2/15/2031, (Series 4013)		1,284,592		1,318,472
3.000%, 9/15/2032, (Series 4236)		1,982,109		2,002,616
				3,978,709
Private Sponsor — 0.7%
Banc of America Funding Trust:
Class 1A3, (Series 2007-C), 3.694%, 5/20/2036 (9)		185,308		179,110
Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		244,733		259,286
Chase Mortgage Finance Trust:
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		182,690		189,426
Class A3, (Series 2006-S4), 6.000%, 12/25/2036		220,076		186,695
JP Morgan Mortgage Trust:
Class 2A2, (Series 2005-S3), 5.500%, 1/25/2021		107,150		105,657
Class 3A1, (Series 2007-A2), 3.334%, 4/25/2037 (9)		16,669		15,510
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.488%, 11/25/2034 (9)		324,447		330,625
Wells Fargo Mortgage Backed Securities Trust:
Class 2A4, (Series 2006-AR7), 3.357%, 5/25/2036 (9)		140,716		143,617
Class 2A4, (Series 2006-AR8), 3.589%, 4/25/2036 (9)		43,442		44,083
Class A1, (Series 2006-AR19), 3.701%, 12/25/2036 (9)		279,802		262,435
				1,716,444
Total Collateralized Mortgage Obligations (identified cost $9,320,943)				9,152,274
Commercial Mortgage Securities — 9.1%
Federal Home Loan Mortgage Corporation — 2.1%
3.163%, 4/25/2046, (Series 2013-K713) (5)(9)		1,065,000		1,069,294
3.362%, 5/25/2045, (Series 2013-K712) (5)(9)		2,000,000		2,014,934
3.812%, 6/25/2047, (Series 2012-K710) (5)(9)		475,000		480,816
4.159%, 9/25/2044, (Series 2012-K705) (5)(9)		217,211		218,547
4.884%, 7/25/2044, (Series 2011-K703) (5)(9)		1,200,000		1,202,686
				4,986,277
Government National Mortgage Association — 1.7%
1.800%, 7/16/2037, (Series 2013-179)		974,076		950,608
2.100%, 4/16/2050, (Series 2016-92)		1,423,903		1,374,117
2.205%, 1/16/2044, (Series 2014-61)		780,795		775,151
2.650%, 2/16/2045, (Series 2015-33)		1,111,256		1,105,996
				4,205,872

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

48

BMO Funds

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Commercial Mortgage Securities (continued)
Private Sponsor — 5.3%
Assurant Commercial Mortgage Trust, Class A1, (Series 2016-1A), 1.362%, 5/15/2049 (5)	$	1,309,042	$	1,295,280
BANK, Class A1, (Series 2017-BNK9), 2.322%, 11/15/2054		2,345,390		2,314,256
Citigroup Commercial Mortgage Trust, Class A1, (Series 2017-P7), 2.008%, 4/14/2050		892,422		880,202
Great Wolf Trust, Class B, (Series 2017-WOLF), 2.788% (LIBOR 1 Month+110 basis points), 9/15/2034 (5)(10)		2,000,000		2,007,800
GS Mortgage Securities Trust, Class A1, (Series 2014-GC22), 1.290%, 6/10/2047		366,970		364,835
JPMBB Commercial Mortgage Securities Trust, Class A2, (Series 2013-C14), 3.019%, 8/15/2046		1,089,761		1,093,614
Morgan Stanley BAML Trust, Class A1, (Series 2016-C30), 1.389%, 9/15/2049		1,637,435		1,597,583
RAIT Trust, Class A, (Series 2017-FL7), 2.538% (LIBOR 1 Month+95 basis points), 6/15/2037 (5)(10)		1,499,723		1,501,522
UBS Commercial Mortgage Trust, Class A1, (Series 2017-C3), 1.935%, 8/15/2050		1,698,959		1,666,913
				12,722,005
Total Commercial Mortgage Securities (identified cost $22,223,128)				21,914,154
Corporate Bonds & Notes — 45.2%
Auto Manufacturers — 5.0%
American Honda Finance Corp.:
2.049% (LIBOR 3 Month+21 basis points), 2/12/2021 (10)		1,000,000		1,000,788
2.173% (LIBOR 3 Month+34 basis points), 2/14/2020 (10)		900,000		903,611
2.650%, 2/12/2021		1,000,000		996,003
Ford Motor Credit Co. LLC:
2.021%, 5/3/2019		500,000		495,545
2.551%, 10/5/2018		500,000		499,864
2.943%, 1/8/2019 (1)		1,500,000		1,503,705
2.956% (LIBOR 3 Month+127 basis points), 3/28/2022 (10)		1,000,000		1,016,526
General Motors Financial Co., Inc.:
2.400%, 5/9/2019 (1)		1,000,000		995,832
2.967% (LIBOR 3 Month+127 basis points), 10/4/2019 (10)		1,500,000		1,518,574
3.100%, 1/15/2019 (1)		2,000,000		2,005,752
Toyota Motor Credit Corp., 2.395% (LIBOR 3 Month+69 basis points), 1/11/2022 (10)		1,000,000		1,015,703
				11,951,903
Banks — 23.2%
Bank of America Corp.:
2.250%, 4/21/2020		1,000,000		988,142
2.625%, 10/19/2020 (1)		1,000,000		991,040

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
2.741% (LIBOR 3 Month+100 basis points), 4/24/2023 (10)	$	2,000,000	$	2,033,252
Bank of the Ozarks, Inc., 5.500%, 7/1/2026 (9)		1,225,000		1,287,471
Branch Banking & Trust Co., 2.100%, 1/15/2020		1,200,000		1,185,388
Canadian Imperial Bank of Commerce, 2.700%, 2/2/2021		750,000		743,278
Capital One Financial Corp.:
2.500%, 5/12/2020 (1)		900,000		889,756
2.917% (LIBOR 3 Month+115 basis points), 1/30/2023 (10)		1,000,000		1,013,891
3.050%, 3/9/2022 (1)		1,000,000		984,578
Citigroup, Inc.:
2.350%, 8/2/2021 (1)		520,000		506,579
2.705% (LIBOR 3 Month+96 basis points), 4/25/2022 (1)(10)		1,500,000		1,522,050
Customers Bancorp, Inc., 3.950%, 6/30/2022		2,000,000		2,002,646
Discover Bank, 2.600%, 11/13/2018		1,000,000		1,000,797
Eagle Bancorp, Inc., 5.000%, 8/1/2026 (9)		1,900,000		1,924,607
Goldman Sachs Group, Inc.:
2.550%, 10/23/2019		1,500,000		1,493,980
2.967% (LIBOR 3 Month+120 basis points), 4/30/2018 (10)		1,650,000		1,652,539
Hanmi Financial Corp., 5.450%, 3/30/2027 (9)		2,000,000		2,059,370
Home BancShares, Inc., 5.625%, 4/15/2027 (9)		2,000,000		2,087,668
Huntington Bancshares, Inc.:
2.300%, 1/14/2022 (1)		700,000		674,393
3.150%, 3/14/2021		1,000,000		1,003,655
Independent Bank Group, Inc., 5.875%, 8/1/2024		1,745,000		1,795,615
KeyCorp, 2.900%, 9/15/2020 (1)		1,000,000		998,686
MB Financial Bank NA, 4.000%, 12/1/2027 (9)		2,000,000		1,987,626
Mizuho Bank, Ltd., 2.175% (LIBOR 3 Month+50 basis points), 9/24/2018 (10)		875,000		875,703
Morgan Stanley:
2.591% (LIBOR 3 Month+85 basis points), 1/24/2019 (10)		500,000		502,847
2.625%, 11/17/2021		750,000		734,597
2.925% (LIBOR 3 Month+118 basis points), 1/20/2022 (10)		645,000		656,691
National Australia Bank, Ltd., 2.500%, 1/12/2021		1,400,000		1,381,541
Peapack Gladstone Financial Corp., 6.000%, 6/30/2026 (9)		1,525,000		1,601,985
PNC Bank NA, 1.995% (LIBOR 3 Month+25 basis points), 1/22/2021 (10)		750,000		751,314
PNC Financial Services Group, Inc., 2.044% (LIBOR 3 Month+25 basis points), 8/7/2018 (10)		1,350,000		1,351,061
Regions Bank, 2.133% (LIBOR 3 Month+38 basis points), 4/1/2021 (10)		1,000,000		1,002,631
Renasant Corp., 5.000%, 9/1/2026 (9)		1,125,000		1,156,655
Royal Bank of Canada, 2.125%, 3/2/2020		1,400,000		1,382,681

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

49

February 28, 2018 (Unaudited)

Schedules of Investments

Short-Term Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Sumitomo Mitsui Banking Corp., 2.485% (LIBOR 3 Month+74 basis points), 7/23/2018 (10)	$	1,000,000	$	1,002,297
SunTrust Bank, 2.250%, 1/31/2020		1,000,000		989,857
Toronto-Dominion Bank, 2.125%, 4/7/2021		1,500,000		1,464,842
Towne Bank, 4.500%, 7/30/2027 (9)		2,000,000		2,031,536
U.S. Bank NA:
1.800% (U.S. Federal Funds Effective Rate (continuous series)+38 basis points), 1/30/2020 (10)		1,000,000		1,002,557
2.050%, 10/23/2020 (1)		1,450,000		1,422,770
2.094% (LIBOR 3 Month+15 basis points), 5/24/2019 (10)		750,000		750,460
United Community Bank, 4.500%, 1/30/2028 (9)		1,000,000		1,023,674
Wells Fargo & Co., 2.851% (LIBOR 3 Month+111 basis points), 1/24/2023 (1)(10)		1,000,000		1,017,495
Wells Fargo Bank NA, 1.750%, 5/24/2019		700,000		692,777
Westpac Banking Corp.:
2.085% (LIBOR 3 Month+34 basis points), 1/25/2021 (10)		750,000		751,546
2.500%, 6/28/2022 (1)		500,000		486,215
2.800%, 1/11/2022 (1)		1,000,000		987,826
				55,848,565
Beverages — 0.6%
Anheuser-Busch InBev Finance, Inc., 1.900%, 2/1/2019 (1)		1,405,000		1,396,605
Biotechnology — 1.0%
Amgen, Inc., 2.200%, 5/22/2019		1,450,000		1,443,346
Gilead Sciences, Inc., 1.796% (LIBOR 3 Month+17 basis points), 9/20/2018 (10)		1,000,000		1,000,361
				2,443,707
Computers — 0.4%
Dell International LLC, 4.420%, 6/15/2021 (5)		1,000,000		1,021,757
Cosmetics/Personal Care — 0.8%
Colgate-Palmolive Co., 2.250%, 11/15/2022		1,300,000		1,263,066
Procter & Gamble Co., 2.150%, 8/11/2022		775,000		751,320
				2,014,386
Diversified Financial Services — 1.6%
American Express Credit Corp.:
2.375%, 5/26/2020 (1)		1,000,000		989,512
2.700%, 3/3/2022 (1)		1,500,000		1,471,677
National Rural Utilities Cooperative Finance Corp., 1.500%, 11/1/2019 (1)		1,285,000		1,261,076
				3,722,265
Electric — 1.1%
American Electric Power Co., Inc., 2.150%, 11/13/2020		750,000		736,276

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Electric (continued)
Duke Energy Corp., 2.100%, 6/15/2018 (1)	$	1,500,000	$	1,498,957
NextEra Energy Capital Holdings, Inc., 2.300%, 4/1/2019		500,000		498,445
				2,733,678
Healthcare-Services — 0.3%
Anthem, Inc., 2.500%, 11/21/2020		600,000		593,693
Machinery-Construction & Mining — 0.8%
Caterpillar Financial Services Corp.:
1.700%, 6/16/2018 (1)		1,000,000		998,573
2.218% (LIBOR 3 Month+51 basis points), 1/10/2020 (10)		1,000,000		1,006,731
				2,005,304
Machinery-Diversified — 0.7%
John Deere Capital Corp., 1.250%, 10/9/2019		775,000		758,898
Roper Technologies, Inc., 2.050%, 10/1/2018		1,000,000		997,631
				1,756,529
Media — 1.0%
Discovery Communications LLC, 2.200%, 9/20/2019		2,000,000		1,980,172
Walt Disney Co., 1.950%, 3/4/2020		500,000		494,169
				2,474,341
Miscellaneous Manufacturing — 0.4%
Ingersoll-Rand Global Holding Co., Ltd., 2.875%, 1/15/2019		1,000,000		1,004,047
Oil & Gas — 2.5%
BP Capital Markets PLC, 2.315%, 2/13/2020		610,000		604,985
Chevron Corp., 1.961%, 3/3/2020 (1)		1,000,000		987,193
Exxon Mobil Corp.:
1.708%, 3/1/2019		1,000,000		994,066
1.912%, 3/6/2020 (1)		1,200,000		1,187,235
Phillips 66, 2.606% (LIBOR 3 Month+60 basis points), 2/26/2021 (10)(12)		1,200,000		1,201,200
Shell International Finance BV, 1.625%, 11/10/2018		1,039,000		1,033,431
				6,008,110
Pharmaceuticals — 1.0%
Cardinal Health, Inc., 1.950%, 6/15/2018 (1)		400,000		399,666
Express Scripts Holding Co., 2.250%, 6/15/2019		1,000,000		992,733
Novartis Capital Corp., 1.800%, 2/14/2020		1,000,000		985,627
				2,378,026
Real Estate Investment Trusts — 0.4%
Welltower, Inc., 2.250%, 3/15/2018		1,000,000		1,000,006
Retail — 0.5%
Wal-Mart Stores, Inc., 1.900%, 12/15/2020		1,255,000		1,230,664
Savings & Loans — 0.4%
Flagstar Bancorp, Inc., 6.125%, 7/15/2021		1,000,000		1,055,543

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

50

BMO Funds

Short-Term Income Fund (continued)

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Semiconductors — 0.7%
Intel Corp., 2.450%, 7/29/2020 (1)	$	1,000,000	$	997,660
QUALCOMM, Inc., 2.100%, 5/20/2020		600,000		588,367
				1,586,027
Software — 0.4%
Microsoft Corp., 1.850%, 2/6/2020		1,000,000		989,566
Telecommunications — 2.4%
AT&T, Inc.:
2.372% (LIBOR 3 Month+65 basis points), 1/15/2020 (10)		1,500,000		1,508,313
2.450%, 6/30/2020 (1)		500,000		494,903
Cisco Systems, Inc.:
1.400%, 9/20/2019		500,000		491,823
2.125%, 3/1/2019		1,500,000		1,495,675
Verizon Communications, Inc.:
2.600% (LIBOR 3 Month+100 basis points), 3/16/2022 (1)(10)		750,000		766,730
2.625%, 2/21/2020		500,000		499,115
3.450%, 3/15/2021 (1)		500,000		507,765
				5,764,324
Total Corporate Bonds & Notes (identified cost $109,054,626)				108,979,046
Mutual Funds — 2.0%
Eaton Vance Institutional Senior Loan Fund, Open-end Cayman Islands Exempted Co. (14)		110,732		1,006,557
Fidelity Floating Rate High Income Fund		390,223		3,765,651
Total Mutual Funds (identified cost $4,589,036)				4,772,208
U.S. Government & U.S. Government Agency Obligations — 11.8%
Federal Home Loan Mortgage Corporation — 0.8%
1.750%, 5/30/2019 (1)	$	2,000,000		1,989,792
Federal National Mortgage Association — 1.9%
1.000%, 2/26/2019		2,000,000		1,978,546
1.500%, 6/22/2020 (1)		1,000,000		982,146
1.750%, 11/26/2019 (1)		1,750,000		1,735,160
				4,695,852
U.S. Treasury Bonds & Notes — 9.1%
0.875%, 7/31/2019 (1)		1,000,000		981,934
1.000%, 8/31/2019 (1)		1,500,000		1,473,662
1.000%, 9/30/2019		1,500,000		1,472,285
1.250%, 11/15/2018 (1)		1,500,000		1,492,236
1.250%, 11/30/2018 (1)		1,500,000		1,491,621
1.250%, 1/31/2019 (1)		1,000,000		992,598
1.250%, 1/31/2020 (1)		1,000,000		981,211
1.250%, 3/31/2021		1,500,000		1,446,738
1.375%, 1/31/2020 (1)		1,000,000		983,594
1.375%, 10/31/2020 (1)		2,000,000		1,948,320
1.500%, 2/28/2019 (1)		1,500,000		1,491,298
1.500%, 4/15/2020 (1)		2,000,000		1,966,876
1.625%, 8/31/2019 (1)		1,750,000		1,735,235
1.750%, 9/30/2019		1,500,000		1,489,336
1.750%, 12/31/2020 (1)		1,000,000		982,148

Description	Shares or Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
2.000%, 8/31/2021 (1)	$	1,000,000	$	982,695
				21,911,787
Total U.S. Government & U.S. Government Agency Obligations (identified cost $28,987,244)				28,597,431
U.S. Government Agency-Mortgage Securities — 1.3%
Federal National Mortgage Association — 1.3%
2.606%, 11/1/2020		1,993,573		1,990,459
3.500%, 4/1/2026		107,722		109,640
4.000%, 11/1/2031		436,680		453,377
5.500%, 11/1/2033		124,343		136,682
5.500%, 2/1/2034		93,906		103,247
5.500%, 8/1/2037		211,003		232,022
9.500%, 12/1/2024		794		797
9.500%, 1/1/2025		3,520		3,545
10.000%, 7/1/2020		8,137		8,267
				3,038,036
Government National Mortgage Association — 0.0%
7.500%, 8/15/2037		13,106		13,416
9.000%, 12/15/2019		2,653		2,733
				16,149
Total U.S. Government Agency-Mortgage Securities
(identified cost $3,059,840)				3,054,185
Short-Term Investments — 15.8%
Collateral Pool Investments for Securities on Loan — 13.2%
Collateral pool allocation (3)				31,940,954
Commercial Paper — 0.5%
WPP CP LLC, 2.150%, 3/13/2018 (8)		1,300,000		1,299,160
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		3,757,592		3,757,592
Short-Term Corporate Bonds & Notes — 0.5%
Pacific Gas & Electric Co., 2.214% (LIBOR 3 Month+23 basis points), 11/28/2018 (5)(10)	$	1,250,000		1,248,114
Total Short-Term Investments (identified cost $38,247,448)				38,245,820
Total Investments — 113.5% (identified cost $275,084,556)				273,874,399
Other Assets and Liabilities — (13.5)%				(32,610,532	)
Total Net Assets — 100.0%			$	241,263,867

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		21.8	%
Certificates of Deposit		0.1
Collateralized Mortgage Obligations		3.8
Commercial Mortgage Securities		9.1
Corporate Bonds & Notes		47.7
Mutual Funds		2.0
U.S. Government & U.S. Government Agency Obligations		11.9
U.S. Government Agency — Mortgage Securities		1.3
Other Assets & Liabilities, Net		2.3
Total		100.0	%

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

51

February 28, 2018 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund**

Description	Principal Amount		Value
Municipals — 98.2%
Alabama — 2.0%
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027	$	2,340,000	$	2,686,741
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,325,669
5.000%, 9/1/2041, Call 3/1/2027		1,020,000		1,163,412
Wilsonville Industrial Development Board, 1.170%, 1/1/2024, Call 3/1/2018 (9)		6,220,000		6,220,000
Other securities				21,075,122
				33,470,944
Alaska — 0.6%
Other securities				9,175,806
Arizona — 2.7%
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020		1,000,000		1,064,830
5.250%, 10/1/2024, Call 10/1/2019		5,000,000		5,271,550
Other securities				38,403,746
				44,740,126
Arkansas — 1.4%
Other securities				22,478,090
California — 6.6%
Other securities				108,484,368
Colorado — 2.6%
Colorado Educational & Cultural Facilities Authority:
1.120%, 7/1/2033, Call 3/1/2018 (9)		6,000,000		6,000,000
4.000%, 12/15/2025 (5)		535,000		553,714
5.000%, 9/1/2020 (13)		1,060,000		1,141,927
5.000%, 9/1/2021 (13)		865,000		951,612
5.000%, 10/1/2030, Call 10/1/2025		1,250,000		1,394,125
Colorado Health Facilities Authority:
1.730%, 7/1/2034, Call 7/1/2019 (5)(9)		3,325,000		3,325,000
4.500%, 2/1/2020		455,000		474,151
5.000%, 9/1/2018		530,000		539,233
5.000%, 9/1/2019		560,000		586,947
5.000%, 2/1/2021		475,000		509,827
5.000%, 9/1/2022		750,000		838,088
5.000%, 12/1/2023		215,000		242,864
5.000%, 2/1/2024		420,000		471,244
5.250%, 1/1/2025, Call 1/1/2020		460,000		487,752
Other securities				24,892,675
				42,409,159
Connecticut — 1.2%
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026		2,000,000		2,229,300
5.000%, 1/15/2033, Call 1/15/2027		4,000,000		4,463,640
Other securities				13,426,470
				20,119,410

Description	Principal Amount		Value
Municipals (continued)
Delaware — 0.5%
Other securities			$	8,498,091
District of Columbia — 0.4%
Other securities				7,068,231
Florida — 5.8%
City of Gainesville, 1.120%, 10/1/2026, Call 3/1/2018 (9)	$	8,010,000		8,010,000
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022		5,810,000		6,429,114
Other securities				79,918,343
				94,357,457
Georgia — 3.2%
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024		1,000,000		1,138,310
5.000%, 1/1/2032, Call 1/1/2024		2,500,000		2,841,425
5.000%, 1/1/2033, Call 1/1/2024		1,000,000		1,135,400
5.000%, 1/1/2034, Call 1/1/2024		1,000,000		1,134,240
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027		1,500,000		1,670,685
5.000%, 2/15/2037, Call 2/15/2027		2,000,000		2,222,700
5.000%, 2/15/2042, Call 2/15/2027		3,000,000		3,311,700
Other securities				38,751,481
				52,205,941
Guam — 0.1%
Other securities				2,212,590
Hawaii — 0.1%
Other securities				1,142,145
Idaho — 0.3%
Other securities				5,232,471
Illinois — 15.5%
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022		1,060,000		1,175,021
5.000%, 1/1/2025, Call 7/1/2020		230,000		243,791
5.000%, 1/1/2026, Call 1/1/2021		730,000		778,516
5.000%, 1/1/2028, Call 1/1/2024		2,500,000		2,755,825
5.000%, 11/15/2029, Call 11/15/2018		130,000		133,398
5.000%, 1/1/2031, Call 1/1/2026		1,790,000		1,981,476
5.000%, 1/1/2040, Call 1/1/2026		1,000,000		1,081,270
City of Chicago:
5.000%, 11/1/2025		2,000,000		2,282,260
5.000%, 11/1/2027, Call 11/1/2026		2,500,000		2,827,950
5.000%, 11/1/2027, Call 11/1/2026		1,000,000		1,131,180
5.000%, 11/1/2028, Call 11/1/2026		1,000,000		1,127,960

(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)
5.000%, 11/1/2029, Call 11/1/2026	$	1,000,000	$	1,123,150
5.000%, 1/1/2031, Call 1/1/2025		3,715,000		4,057,857
5.000%, 1/1/2032, Call 1/1/2027		2,000,000		2,205,340
5.000%, 1/1/2033, Call 1/1/2027		3,000,000		3,288,990
5.000%, 1/1/2039, Call 1/1/2025		500,000		537,330
6.000%, 1/1/2038, Call 1/1/2027		10,000,000		11,355,500
City of Chicago, AGM:
5.000%, 11/1/2027, Call 11/1/2018		140,000		143,363
5.000%, 11/1/2027, Call 11/1/2018		60,000		61,393
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023		1,000,000		1,182,720
6.000%, 12/1/2031, Call 12/1/2023		2,035,000		2,405,635
6.000%, 12/1/2032, Call 12/1/2023		2,160,000		2,569,925
6.000%, 6/1/2033, Call 12/1/2023		2,235,000		2,651,246
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026		3,270,000		3,708,572
5.000%, 11/15/2031, Call 11/15/2026		2,000,000		2,252,060
5.250%, 11/15/2023, Call 11/15/2020		350,000		377,755
County of Cook, BAM, 5.000%, 11/15/2023		1,000,000		1,127,530
Illinois Finance Authority:
2.500%, 5/15/2018		170,000		170,156
5.000%, 11/15/2023, Call 11/15/2022		215,000		239,914
5.000%, 8/15/2024		250,000		278,665
5.000%, 5/15/2025		1,000,000		1,090,730
5.000%, 11/15/2026, Call 11/15/2025		1,000,000		1,135,460
5.000%, 11/15/2027, Call 11/15/2025		500,000		563,740
5.000%, 11/1/2029, Call 11/1/2026		2,000,000		2,251,100
5.000%, 5/15/2030, Call 5/15/2025		1,000,000		1,051,120
5.000%, 11/1/2030, Call 11/1/2026		1,200,000		1,344,900
5.000%, 1/1/2036, Call 1/1/2027		2,000,000		2,163,380
5.000%, 8/1/2042, Call 8/1/2027		580,000		620,409
5.000%, 8/1/2046, Call 8/1/2027		515,000		549,222
5.000%, 8/1/2047, Call 8/1/2027		750,000		799,237
6.000%, 8/15/2041, Call 8/15/2021		2,665,000		2,962,521

Description	Principal Amount		Value
Municipals (continued)
Illinois (continued)
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	$	1,000,000	$	1,122,740
5.000%, 1/1/2029, Call 1/1/2023		1,000,000		1,119,830
5.000%, 1/1/2030, Call 1/1/2026		1,000,000		1,152,180
5.000%, 12/1/2032, Call 1/1/2026		7,790,000		8,904,827
5.000%, 1/1/2042, Call 1/1/2028		2,000,000		2,254,720
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023		1,000,000		1,119,340
5.000%, 1/1/2024		1,000,000		1,133,660
5.000%, 1/1/2026, Call 1/1/2025		4,000,000		4,578,280
5.250%, 1/1/2033, Call 1/1/2023		900,000		1,010,619
State of Illinois:
5.000%, 3/1/2020		500,000		516,005
5.000%, 4/1/2024, Call 4/1/2023		500,000		523,705
5.000%, 11/1/2025		7,000,000		7,358,680
5.000%, 11/1/2026		10,000,000		10,493,900
5.000%, 2/1/2027		1,000,000		1,045,310
5.000%, 11/1/2028, Call 11/1/2027		2,000,000		2,082,320
5.000%, 2/1/2029, Call 2/1/2027		1,000,000		1,034,860
5.000%, 11/1/2033, Call 11/1/2026		8,000,000		8,197,280
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023		3,205,000		3,470,342
Other securities				126,485,580
				253,391,745
Indiana — 2.3%
Indiana Finance Authority:
3.000%, 7/1/2019		250,000		254,155
5.000%, 8/15/2020		700,000		736,274
5.000%, 10/1/2022		300,000		331,170
5.000%, 10/1/2023		400,000		445,600
5.000%, 10/1/2024, Call 10/1/2023		275,000		305,899
5.000%, 5/1/2029, Call 5/1/2022		85,000		95,282
5.000%, 5/1/2029, Call 5/1/2022		3,985,000		4,327,830
5.500%, 5/1/2024, Call 5/1/2019		820,000		856,515
5.500%, 5/1/2024, Call 5/1/2019		180,000		187,695
Other securities				29,966,213
				37,506,633
Iowa — 0.4%
Other securities				6,011,515
Kansas — 0.2%
Other securities				3,493,092
Kentucky — 1.1%
Other securities				17,678,847

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

53

February 28, 2018 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
Louisiana — 1.8%
Parish of St. Bernard:
4.000%, 3/1/2020	$	3,470,000	$	3,599,674
4.000%, 3/1/2021		3,585,000		3,760,522
Other securities				22,612,261
				29,972,457
Maine — 0.6%
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021		7,500,000		7,671,300
Other securities				2,004,828
				9,676,128
Maryland — 1.1%
Other securities				18,113,926
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
2.161%, 12/1/2030, Call 3/5/2018 (9)(11)		1,450,000		1,450,000
2.206%, 12/1/2030, Call 3/1/2018 (9)(11)		7,375,000		7,375,000
Other securities				11,213,546
				20,038,546
Michigan — 3.8%
Michigan Finance Authority:
5.000%, 7/1/2026, Call 7/1/2025		175,000		196,891
5.000%, 7/1/2027, Call 7/1/2025		600,000		670,464
5.000%, 7/1/2029, Call 7/1/2025		950,000		1,066,850
5.000%, 7/1/2032, Call 7/1/2025		1,500,000		1,668,900
5.000%, 7/1/2034, Call 7/1/2025		500,000		547,085
5.000%, 12/1/2037, Call 12/1/2027		1,000,000		1,134,420
5.000%, 11/15/2041, Call 11/15/2026		1,000,000		1,101,400
Other securities				56,108,414
				62,494,424
Minnesota — 0.3%
Other securities				5,373,434
Mississippi — 0.3%
Other securities				4,593,837
Missouri — 1.8%
Other securities				29,261,904
Nebraska — 0.5%
Other securities				9,031,622
Nevada — 1.2%
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024		1,200,000		1,356,588
5.000%, 7/1/2030, Call 7/1/2024		1,000,000		1,128,630
5.000%, 7/1/2040, Call 7/1/2027		4,000,000		4,524,960
Other securities				13,041,386
				20,051,564

Description	Principal Amount		Value
Municipals (continued)
New Hampshire — 0.1%
Other securities			$	924,684
New Jersey — 3.4%
New Jersey Economic Development Authority:
5.000%, 11/1/2021	$	4,600,000		4,968,230
5.500%, 6/15/2030, Call 12/15/2026		2,500,000		2,840,800
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019		6,050,000		6,267,134
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022		3,440,000		3,887,338
5.000%, 1/1/2035, Call 1/1/2022		1,685,000		1,881,690
New Jersey Transportation Trust Fund Authority:
2.090% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (10)		5,000,000		4,999,550
5.000%, 6/15/2022		500,000		543,065
5.000%, 6/15/2032, Call 12/15/2024		5,000,000		5,315,700
5.250%, 12/15/2023		240,000		266,995
5.250%, 12/15/2023, Call 12/15/2018		1,355,000		1,389,241
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022		5,000,000		5,338,950
5.000%, 6/15/2033, Call 6/15/2022		3,000,000		3,176,280
5.250%, 6/15/2033, Call 6/15/2023		5,635,000		6,104,001
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024		440,000		364,096
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025		500,000		565,285
Other securities				8,069,455
				55,977,810
New Mexico — 1.3%
New Mexico Municipal Energy Acquisition Authority, 1.805% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (10)		10,000,000		10,004,800
Other securities				10,652,249
				20,657,049
New York — 5.8%
City of New York:
1.200%, 8/1/2044, Call 3/1/2018 (9)		1,300,000		1,300,000
5.000%, 8/1/2032, Call 2/1/2028		1,000,000		1,172,260
5.250%, 3/1/2034, Call 3/1/2028 (12)		3,000,000		3,577,740
5.250%, 3/1/2035, Call 3/1/2028 (12)		2,500,000		2,971,975

(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)
New York (continued)
New York City Transitional Finance Authority:
1.100%, 11/1/2036 (9)	$	1,700,000	$	1,700,000
5.000%, 11/1/2024, Call 11/1/2022		5,715,000		6,477,438
5.000%, 11/1/2026, Call 5/1/2025		1,000,000		1,165,870
5.000%, 11/1/2026, Call 5/1/2025		2,000,000		2,331,740
5.000%, 2/1/2038, Call 2/1/2027		4,000,000		4,554,440
5.000%, 2/1/2039, Call 2/1/2027		4,000,000		4,547,800
New York State Dormitory Authority, 5.000%, 3/15/2027, Call 3/15/2022		7,555,000		8,392,396
New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9)(11)		6,450,000		6,450,000
Other securities				50,677,857
				95,319,516
North Carolina — 0.7%
Other securities				11,644,047
North Dakota — 1.6%
North Dakota Public Finance Authority:
4.000%, 6/1/2023		2,440,000		2,632,589
4.000%, 6/1/2024, Call 6/1/2023		2,190,000		2,357,250
4.000%, 6/1/2025, Call 6/1/2023		1,145,000		1,224,864
Williston Parks & Recreation District:
4.500%, 3/1/2020		1,205,000		1,216,688
4.500%, 3/1/2025, Call 3/1/2021		2,525,000		2,480,434
4.625%, 3/1/2026, Call 3/1/2021		2,620,000		2,566,002
Other securities				13,967,143
				26,444,970
Ohio — 3.7%
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021		2,320,000		2,512,537
5.000%, 1/1/2031, Call 1/1/2022		1,270,000		1,384,757
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022		3,900,000		4,255,407
5.000%, 1/1/2031, Call 1/1/2022		1,000,000		1,090,360
Other securities				50,919,431
				60,162,492
Oklahoma — 0.8%
Other securities				12,952,340
Oregon — 0.8%
Other securities				12,582,601

Description	Principal Amount		Value
Municipals (continued)
Pennsylvania — 2.8%
Pennsylvania Turnpike Commission:
2.070% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (10)	$	5,000,000	$	5,092,750
5.000%, 12/1/2030, Call 12/1/2020 (13)		215,000		233,535
5.000%, 12/1/2030, Call 12/1/2020 (13)		120,000		130,345
5.000%, 12/1/2030, Call 12/1/2020 (13)		250,000		271,553
5.500%, 12/1/2042, Call 12/1/2026		3,000,000		3,441,270
6.000%, 12/1/2034, Call 12/1/2020 (13)		55,000		61,210
6.000%, 12/1/2034, Call 12/1/2020 (13)		70,000		77,904
6.000%, 12/1/2034, Call 12/1/2020 (13)		270,000		301,255
Other securities				36,903,374
				46,513,196
Rhode Island — 0.7%
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (15)		300,000		300,027
4.000%, 12/1/2022, Call 12/1/2021 (15)		2,885,000		3,000,977
4.200%, 12/1/2018, Call 4/2/2018		600,000		601,140
4.250%, 12/1/2020, Call 4/2/2018		500,000		501,355
4.250%, 12/1/2025, Call 12/1/2021 (15)		2,205,000		2,264,844
4.500%, 12/1/2021, Call 4/2/2018		1,000,000		1,002,540
4.750%, 12/1/2028, Call 12/1/2021 (15)		1,000,000		1,034,250
Other securities				2,127,523
				10,832,656
South Carolina — 1.0%
Other securities				16,239,662
South Dakota — 0.9%
South Dakota Health & Educational Facilities Authority:
4.250%, 9/1/2023		740,000		816,930
4.500%, 9/1/2018		500,000		508,910
4.500%, 9/1/2020		900,000		969,849
4.500%, 9/1/2021, Call 9/1/2020		1,080,000		1,156,367
4.500%, 9/1/2022, Call 9/1/2020		1,005,000		1,072,496
5.000%, 9/1/2019		200,000		209,930
5.000%, 11/1/2022		715,000		805,626
5.000%, 8/1/2023		375,000		425,032
5.000%, 11/1/2023		625,000		713,400
5.000%, 8/1/2024		195,000		223,595
5.000%, 11/1/2024		650,000		751,751
5.000%, 11/1/2024, Call 11/1/2019		1,000,000		1,049,230
5.000%, 11/1/2025, Call 11/1/2024		600,000		690,738
5.000%, 9/1/2027, Call 9/1/2024		720,000		813,046

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

55

February 28, 2018 (Unaudited)

Schedules of Investments

Intermediate Tax-Free Fund** (continued)

Description	Principal Amount		Value
Municipals (continued)
South Dakota (continued)
Other securities			$	3,959,214
				14,166,114
Tennessee — 1.2%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	$	5,815,000		6,365,971
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023		5,310,000		5,907,163
5.250%, 9/1/2021		3,810,000		4,208,564
5.250%, 9/1/2022		250,000		279,975
Other securities				3,529,089
				20,290,762
Texas — 6.4%
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022		1,000,000		1,125,330
5.000%, 11/1/2032, Call 11/1/2020		5,000,000		5,385,750
5.000%, 11/1/2033, Call 11/1/2023		2,000,000		2,240,020
5.250%, 11/1/2033, Call 11/1/2023		1,200,000		1,366,428
Harris County Health Facilities Development Corp., 1.140%, 12/1/2041, Call 3/1/2018 (9)		8,000,000		8,000,000
Tarrant County Cultural Education Facilities Finance Corp.:
5.000%, 5/15/2037, Call 5/15/2024		5,145,000		5,373,335
5.000%, 11/15/2037, Call 11/15/2027		2,175,000		2,433,738
Other securities				79,531,602
				105,456,203
Utah — 1.1%
Other securities				18,317,420
Vermont — 0.1%
Other securities				1,304,496
Virgin Islands — 0.2%
Other securities				3,506,783
Virginia — 0.6%
Other securities				9,742,586
Washington — 1.3%
Other securities				21,439,583
West Virginia — 0.2%
Other securities				2,588,575
Wisconsin — 3.8%
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026		2,200,000		1,184,634
0.000%, 12/15/2034, Call 6/15/2026		6,665,000		3,411,347
Wisconsin Center District, AGM:
5.250%, 12/15/2023		520,000		579,717
5.250%, 12/15/2027		1,930,000		2,211,741

Description	Principal Amount		Value
Municipals (continued)
Wisconsin (continued)
Wisconsin Health & Educational Facilities Authority:
4.750%, 10/15/2029, Call 10/15/2021	$	605,000	$	641,717
5.000%, 8/15/2018		1,000,000		1,015,950
5.000%, 6/1/2019		205,000		209,973
5.000%, 8/15/2019		250,000		261,898
5.000%, 8/15/2019		955,000		1,001,155
5.000%, 8/15/2020		1,060,000		1,143,676
5.000%, 8/15/2021		1,160,000		1,280,849
5.000%, 10/1/2022		750,000		841,012
5.000%, 6/1/2026, Call 6/1/2020		135,000		144,964
5.000%, 8/15/2027, Call 8/15/2022		500,000		563,140
5.000%, 8/15/2029, Call 8/15/2022		1,700,000		1,922,428
5.000%, 4/1/2032, Call 10/1/2022		4,560,000		4,945,457
5.000%, 6/1/2032, Call 6/1/2022		1,000,000		1,069,490
5.000%, 8/15/2032, Call 8/15/2022		5,000,000		5,654,200
5.250%, 6/1/2034, Call 6/1/2020		300,000		319,671
5.375%, 8/15/2024, Call 2/15/2020		1,625,000		1,744,421
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021		3,655,000		3,936,874
Other securities				28,397,178
				62,481,492
Wyoming — 0.1%
Other securities				1,081,850
Total Municipals (identified cost $1,570,491,886)				1,608,911,390
Mutual Funds — 1.0%
Other securities (4)				15,640,885
Total Mutual Funds (identified cost $15,746,056)				15,640,885
Short-Term Investments — 0.0%
Mutual Funds — 0.0%
Other securities (4)				504,436
Total Short-Term Investments (identified cost $504,436)				504,436
Total Investments — 99.2% (identified cost $1,586,742,378)				1,625,056,711
Other Assets and Liabilities — 0.8%				13,481,195
Total Net Assets — 100.0%			$	1,638,537,906

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

56

BMO Funds

Intermediate Tax-Free Fund** (continued)

Municipal Issuance/Industry Type*
Issuance/Industry	Fund
General Obligation—21.7%
School District		11.8	%
State or Local		9.9
Revenue Bonds—76.5%
Appropriation		17.8
Education		8.5
General Revenue		0.9
Healthcare		19.6
Housing		4.0
Industrial Revenue		0.5
Power		3.0
Special Tax		1.4
Student Loan		0.7
Tobacco		1.1
Transportation		11.3
Water & Sewer		7.7
Other Assets & Liabilities, Net		1.8
Total		100.0	%

Strategic Income Fund

Description	Principal Amount		Value
Asset-Backed Security — 0.2%
Federal Home Loan Mortgage Corporation — 0.2%
1.881% (LIBOR 1 Month+26 basis points), 8/25/2031, (Series T-32) (10)	$	235,046	$	234,378
Total Asset-Backed Securities (identified cost $235,046)				234,378
Collateralized Mortgage Obligations — 10.6%
Federal National Mortgage Association — 0.5%
2.021% (LIBOR 1 Month+40 basis points), 4/25/2034, (Series 2004-25) (10)		182,096		183,266
4.000%, 3/25/2041, (Series 2012-21)		291,457		297,596
				480,862
Private Sponsor — 10.1%
Alternative Loan Trust, Class 1A1, (Series 2004-24CB), 6.000%, 11/25/2034		785,743		793,941
Banc of America Funding Trust, Class 2A1, (Series 2005-5), 5.500%, 9/25/2035		244,733		259,285
Chase Mortgage Finance Trust:
Class 7A1, (Series 2007-A2), 3.142%, 7/25/2037 (9)		452,215		416,530
Class A1, (Series 2005-S2), 5.500%, 10/25/2035		548,070		568,278
ChaseFlex Trust, Class 4A3, (Series 2005-2), 6.000%, 5/25/2020		93,478		80,738
GSR Mortgage Loan Trust, Class 2A4, (Series 2007-1F), 5.500%, 1/25/2037		136,733		143,663
Morgan Stanley Mortgage Loan Trust, Class 2A2, (Series 2004-10AR), 3.488%, 11/25/2034 (9)		598,598		609,995

Description	Principal Amount		Value
Collateralized Mortgage Obligations (continued)
Private Sponsor (continued)
Residential Asset Securitization Trust, Class A4, (Series 2005-A8CB), 5.500%, 7/25/2035	$	729,809	$	668,626
RFMSI Series Trust, Class A2, (Series 2006-S4), 6.000%, 4/25/2036		580,494		564,509
Structured Adjustable Rate Mortgage Loan Trust, Class 1A2, (Series 2004-18), 3.424%, 12/25/2034 (9)		586,987		569,327
Wells Fargo Mortgage Backed Securities Trust:
Class 1A2, (Series 2006-6), 5.750%, 5/25/2036		338,710		340,338
Class 1A9, (Series 2007-8), 6.000%, 7/25/2037		2,882,142		2,883,289
Class A1, (Series 2006-AR19), 3.701%, 12/25/2036 (9)		739,797		693,879
Class A1, (Series 2007-15), 6.000%, 11/25/2037		574,911		572,880
Class A6, (Series 2007-7), 6.000%, 6/25/2037		369,574		368,369
Class A8, (Series 2007-11), 6.000%, 8/25/2037		438,023		430,474
				9,964,121
Total Collateralized Mortgage Obligations (identified cost $10,375,719)				10,444,983
Commercial Mortgage Securities — 6.1%
Private Sponsor — 6.1%
Citigroup Commercial Mortgage Trust, Class B, (Series 2014-GC23), 4.175%, 7/10/2047 (9)		1,000,000		999,550
JP Morgan Chase Commercial Mortgage Securities Trust, Class B, (Series 2014-C20), 4.399%, 7/15/2047 (9)		2,000,000		2,027,096
Morgan Stanley BAML Trust, Class C, (Series 2016-C32), 4.296%, 12/15/2049 (9)		1,000,000		994,163
UBS-Barclays Commercial Mortgage Trust, Class B, (Series 2013-C6), 3.875%, 4/10/2046 (5)(9)		2,000,000		1,995,194
Total Commercial Mortgage Securities (identified cost $6,090,277)				6,016,003
Corporate Bonds & Notes — 68.5%
Auto Parts & Equipment — 1.8%
Allison Transmission, Inc., 4.750%, 10/1/2027 (1)(5)		1,000,000		982,500
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022 (1)		750,000		776,250
				1,758,750
Banks — 3.4%
Australia & New Zealand Banking Group, Ltd., 4.500%, 3/19/2024 (1)(5)		500,000		512,884
Banco Nacional de Costa Rica, 6.250%, 11/1/2023 (5)		1,000,000		1,036,250
Capital One Financial Corp., 4.200%, 10/29/2025		750,000		744,894

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

57

February 28, 2018 (Unaudited)

Schedules of Investments

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Goldman Sachs Group, Inc., 2.863% (LIBOR 3 Month+111 basis points), 4/26/2022 (10)	$	1,000,000	$	1,013,796
				3,307,824
Chemicals — 2.5%
Braskem Netherlands Finance BV, 4.500%, 1/10/2028 (5)		1,000,000		974,750
CF Industries, Inc., 3.450%, 6/1/2023 (1)		600,000		583,500
Mexichem SAB de C.V., 5.500%, 1/15/2048 (1)(5)		1,000,000		954,000
				2,512,250
Commercial Services — 3.5%
ADT Corp., 4.875%, 7/15/2032 (5)		1,000,000		915,000
Avis Budget Car Rental LLC, 5.125%, 6/1/2022 (1)(5)		750,000		750,937
Hertz Corp., 5.875%, 10/15/2020 (1)		500,000		500,625
United Rentals North America, Inc., 5.500%, 5/15/2027 (1)		750,000		769,500
Weight Watchers International, Inc., 8.625%, 12/1/2025 (5)		500,000		543,125
				3,479,187
Computers — 1.5%
Dell International LLC, 5.450%, 6/15/2023 (1)(5)		750,000		790,997
Seagate HDD Cayman, 4.875%, 6/1/2027		750,000		718,127
				1,509,124
Diversified Financial Services — 2.9%
Ally Financial, Inc., 5.750%, 11/20/2025		1,250,000		1,307,812
Fly Leasing, Ltd., 6.375%, 10/15/2021 (1)		750,000		781,875
Jefferies Finance LLC, 7.500%, 4/15/2021 (5)		750,000		774,375
				2,864,062
Electric — 0.8%
Dynegy, Inc., 7.375%, 11/1/2022 (1)		750,000		792,188
Electrical Components & Equipment — 0.5%
Belden, Inc., 5.250%, 7/15/2024 (5)		500,000		508,750
Electronics — 0.8%
Ingram Micro, Inc., 5.450%, 12/15/2024 (1)		750,000		743,996
Entertainment — 0.7%
AMC Entertainment Holdings, Inc., 5.750%, 6/15/2025 (1)		750,000		732,188
Food — 2.0%
Minerva Luxembourg SA, 6.500%, 9/20/2026 (1)(5)		750,000		747,187
Mondelez International Holdings Netherlands BV, 2.370% (LIBOR 3 Month+61 basis points), 10/28/2019 (5)(10)		750,000		753,034

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Food (continued)
Post Holdings, Inc., 5.000%, 8/15/2026 (1)(5)	$	500,000	$	476,250
				1,976,471
Forest Products & Paper — 0.9%
Suzano Austria GmbH, 7.000%, 3/16/2047 (1)(5)		750,000		869,625
Healthcare-Products — 1.4%
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		750,000		624,375
Zimmer Biomet Holdings, Inc., 3.550%, 4/1/2025 (1)		750,000		728,476
				1,352,851
Healthcare-Services — 1.3%
Centene Corp., 6.125%, 2/15/2024		750,000		789,375
HCA, Inc., 5.000%, 3/15/2024		500,000		510,625
				1,300,000
Home Builders — 1.7%
Beazer Homes USA, Inc., 5.875%, 10/15/2027		1,000,000		952,500
Lennar Corp., 5.000%, 6/15/2027 (5)		750,000		751,950
				1,704,450
Household Products/Wares — 0.5%
ACCO Brands Corp., 5.250%, 12/15/2024 (1)(5)		500,000		503,750
Internet — 1.0%
Netflix, Inc., 4.875%, 4/15/2028 (5)		1,000,000		983,750
Investment Companies — 0.5%
Leucadia National Corp., 5.500%, 10/18/2023		500,000		526,157
Iron/Steel — 0.6%
Vale SA, 5.625%, 9/11/2042		500,000		540,500
Media — 4.2%
Altice Finco SA, 7.625%, 2/15/2025 (1)(5)		800,000		791,000
Cablevision Systems Corp., 5.875%, 9/15/2022 (1)		750,000		751,875
SFR Group SA, 6.000%, 5/15/2022 (5)		500,000		486,250
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (1)(5)		750,000		761,250
Time Warner Cable LLC, 4.500%, 9/15/2042		1,000,000		906,555
Viacom, Inc., 4.375%, 3/15/2043		500,000		449,979
				4,146,909
Mining — 3.0%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		500,000		518,919
HudBay Minerals, Inc., 7.250%, 1/15/2023 (1)(5)		750,000		800,625
Kinross Gold Corp.:
4.500%, 7/15/2027 (5)		825,000		802,312
6.875%, 9/1/2041		750,000		868,125
				2,989,981
Miscellaneous Manufacturing — 1.3%
Trinity Industries, Inc., 4.550%, 10/1/2024		1,300,000		1,296,162

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

58

BMO Funds

Strategic Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas — 7.4%
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025 (1)	$	500,000	$	509,375
Ecopetrol SA, 5.875%, 5/28/2045 (1)		500,000		503,375
Ensco PLC:
4.500%, 10/1/2024 (1)		1,000,000		820,000
5.200%, 3/15/2025 (1)		750,000		626,250
PBF Holding Co. LLC, 7.250%, 6/15/2025 (1)		750,000		778,125
Petrobras Global Finance BV, 5.999%, 1/27/2028 (1)(5)		1,075,000		1,060,219
Petroleos Mexicanos:
5.350%, 2/12/2028 (5)		1,000,000		988,000
5.500%, 6/27/2044		1,000,000		898,510
Rowan Cos., Inc.:
4.875%, 6/1/2022 (1)		250,000		236,250
4.750%, 1/15/2024		1,000,000		875,000
				7,295,104
Pharmaceuticals — 2.1%
Endo Finance LLC, 5.750%, 1/15/2022 (5)		500,000		411,250
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		1,300,000		962,728
Valeant Pharmaceuticals International, 6.750%, 8/15/2021 (5)		750,000		734,063
				2,108,041
Pipelines — 1.3%
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027 (1)		750,000		761,250
Sunoco Logistics Partners Operations LP, 5.400%, 10/1/2047		500,000		490,070
				1,251,320
Real Estate Investment Trusts — 3.1%
EPR Properties:
5.250%, 7/15/2023 (1)		750,000		792,061
4.500%, 6/1/2027 (1)		750,000		736,968
GEO Group, Inc., 5.125%, 4/1/2023 (1)		1,000,000		1,000,000
SBA Communications Corp., 4.875%, 9/1/2024		500,000		495,000
				3,024,029
Retail — 4.2%
Beacon Escrow Corp., 4.875%, 11/1/2025 (5)		750,000		735,225
JC Penney Corp., Inc., 5.650%, 6/1/2020 (1)		750,000		749,062
L Brands, Inc.:
6.950%, 3/1/2033		1,000,000		975,000
7.600%, 7/15/2037		500,000		510,000
New Red Finance, Inc., 4.250%, 5/15/2024 (1)(5)		650,000		622,375
Party City Holdings, Inc., 6.125%, 8/15/2023 (1)(5)		500,000		513,125
				4,104,787

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Software — 0.7%
VMware, Inc., 3.900%, 8/21/2027 (1)	$	750,000	$	715,810
Sovereign — 5.0%
Argentine Republic Government International Bond, 5.875%, 1/11/2028		500,000		468,187
Costa Rica Government International Bond, 5.625%, 4/30/2043 (5)		800,000		726,336
Ecuador Government International Bond, 7.875%, 1/23/2028 (5)		750,000		750,750
Export Credit Bank of Turkey, 5.000%, 9/23/2021 (5)		750,000		753,743
Ivory Coast Government International Bond, 6.125%, 6/15/2033 (5)		750,000		726,919
Oman Sovereign Sukuk SAOC, 4.397%, 6/1/2024 (5)		500,000		485,197
Sri Lanka Government International Bond, 6.000%, 1/14/2019 (5)		1,000,000		1,016,085
				4,927,217
Telecommunications — 4.8%
Batelco International Finance No. 1, Ltd., 4.250%, 5/1/2020		800,000		794,064
CenturyLink, Inc., 5.625%, 4/1/2025 (1)		750,000		682,500
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022 (5)		1,000,000		1,017,760
CommScope, Inc., 5.500%, 6/15/2024 (5)		1,000,000		1,022,500
Sprint Communications, Inc., 6.000%, 11/15/2022 (1)		500,000		495,000
Turk Telekomunikasyon AS, 4.875%, 6/19/2024 (5)		750,000		749,187
				4,761,011
Toys/Games/Hobbies — 2.0%
Mattel, Inc.:
2.350%, 5/6/2019		1,300,000		1,288,625
2.350%, 8/15/2021		750,000		687,975
				1,976,600
Transportation — 0.3%
Asciano Finance, Ltd., 4.625%, 9/23/2020 (5)		250,000		256,969
Venture Capital — 0.8%
Icahn Enterprises LP, 5.875%, 2/1/2022		750,000		752,813
Total Corporate Bonds & Notes (identified cost $67,788,246)				67,572,626
U.S. Government Agency-Mortgage Securities — 12.9%
Federal Home Loan Mortgage Corporation — 3.6%
3.500%, 4/1/2042		77,617		77,978
4.000%, 12/1/2040		369,531		382,033
4.500%, 9/1/2031		368,668		388,496
4.500%, 7/1/2040		27,515		29,105
4.500%, 11/1/2040		795,308		841,548
4.500%, 2/1/2041		1,133,132		1,197,324
5.000%, 12/1/2022		93,688		97,914
5.000%, 1/1/2040		226,458		245,687
5.500%, 11/1/2018		7,986		8,006

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

59

February 28, 2018 (Unaudited)

Schedules of Investments

Strategic Income Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
5.500%, 10/1/2021	$	92,088	$	95,217
5.500%, 7/1/2035		48,238		53,121
6.000%, 12/1/2036		24,620		27,613
6.000%, 12/1/2037		10,215		11,345
7.500%, 4/1/2024		26,614		28,844
7.500%, 4/1/2027		16,914		19,050
8.000%, 8/1/2030		18,063		20,827
8.500%, 9/1/2024		16,667		18,312
9.000%, 6/1/2019		403		405
9.500%, 2/1/2025		4,371		4,414
				3,547,239
Federal National Mortgage Association — 9.0%
3.000%, 8/1/2032		207,668		207,194
3.500%, 7/1/2032		400,856		408,257
4.000%, 11/1/2031		727,800		755,628
4.000%, 3/1/2041		264,870		273,479
4.000%, 9/1/2043		1,038,143		1,071,756
4.500%, 4/1/2041		2,113,429		2,232,379
4.500%, 6/1/2042		902,657		955,888
5.000%, 5/1/2018		4,978		5,039
5.500%, 1/1/2023		111,532		121,148
5.500%, 2/1/2036		152,416		167,516
5.500%, 7/1/2036		313,543		345,231
5.500%, 8/1/2037		563,116		619,212
6.000%, 9/1/2021		139,402		144,024
6.000%, 5/1/2039		546,384		614,631
6.500%, 8/1/2030		335,703		374,459
6.500%, 12/1/2031		18,829		21,003
6.500%, 11/1/2037		46,468		51,248
7.000%, 3/1/2029		42,382		47,908
7.000%, 7/1/2029		131,351		147,570
7.000%, 2/1/2030		84,534		93,500
7.500%, 10/1/2030		19,216		21,307
8.000%, 10/1/2028		159,601		175,973
8.000%, 4/1/2030		33,160		38,236
				8,892,586
Government National Mortgage Association — 0.3%
5.000%, 4/15/2034		246,352		265,356
7.000%, 8/15/2031		37,260		42,555
9.500%, 10/15/2024		3,460		3,474
				311,385
Total U.S. Government Agency-Mortgage Securities
(identified cost $12,611,113)				12,751,210
Short-Term Investments — 25.6%
Collateral Pool Investments for Securities on Loan — 25.1%
Collateral pool allocation (3)				24,802,849
Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		480,466		480,466
Total Short-Term Investments (identified cost $25,283,314)				25,283,315
Total Investments — 123.9% (identified cost $122,383,715)				122,302,515
Other Assets and Liabilities — (23.9)%				(23,630,361	)
Total Net Assets — 100.0%			$	98,672,154

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		0.2	%
Collateralized Mortgage Obligations		10.6
Commercial Mortgage Securities		6.1
Corporate Bonds & Notes		68.5
U.S. Government Agency – Mortgage Securities		12.9
Other Assets & Liabilities, Net		1.7
Total		100.0	%

TCH Corporate Income Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 95.2%
Aerospace/Defense — 1.0%
Lockheed Martin Corp., 2.500%, 11/23/2020	$	2,500,000	$	2,477,933
Agriculture — 2.0%
Bunge, Ltd. Finance Corp., 3.000%, 9/25/2022		2,000,000		1,954,116
Philip Morris International, Inc.:
2.000%, 2/21/2020 (1)		2,000,000		1,970,866
2.900%, 11/15/2021 (1)		1,000,000		994,710
				4,919,692
Apparel — 0.8%
Ralph Lauren Corp., 2.125%, 9/26/2018		2,000,000		1,999,020
Auto Manufacturers — 2.9%
Daimler Finance North America LLC, 2.000%, 7/6/2021 (1)(5)		2,500,000		2,410,485
Ford Motor Co., 5.291%, 12/8/2046 (1)		2,000,000		1,974,386
Ford Motor Credit Co. LLC, 2.717% (LIBOR 3 Month+93 basis points), 11/4/2019 (10)		1,500,000		1,513,469
General Motors Financial Co., Inc.:
4.000%, 1/15/2025		1,000,000		992,714
4.350%, 1/17/2027 (1)		500,000		499,518
				7,390,572
Banks — 10.5%
Banco Santander SA, 3.265% (LIBOR 3 Month+156 basis points), 4/11/2022 (10)		2,000,000		2,065,960
Bank of America Corp.:
2.565% (LIBOR 3 Month+87 basis points), 4/1/2019 (10)		1,000,000		1,007,753
2.762% (LIBOR 3 Month+104 basis points), 1/15/2019 (10)		2,000,000		2,014,920
Canadian Imperial Bank of Commerce, 2.029% (LIBOR 3 Month+52 basis points), 9/6/2019 (10)		2,000,000		2,010,676
Capital One Financial Corp., 3.300%, 10/30/2024		1,250,000		1,214,901
Citigroup, Inc., 2.911% (LIBOR 3 Month+143 basis points), 9/1/2023 (10)		2,000,000		2,064,626
Fifth Third Bank, 2.200%, 10/30/2020		2,000,000		1,960,356
Goldman Sachs Group, Inc.:
2.863% (LIBOR 3 Month+111 basis points), 4/26/2022 (10)		1,000,000		1,013,796
2.939% (LIBOR 3 Month+110 basis points), 11/15/2018 (10)		1,000,000		1,006,134

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

60

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
HSBC Holdings PLC, 3.604% (LIBOR 3 Month+166 basis points), 5/25/2021 (10)	$	1,500,000	$	1,558,752
JPMorgan Chase & Co., 2.498% (LIBOR 3 Month+84 basis points), 3/22/2019 (10)		2,000,000		2,015,550
Mizuho Financial Group, Inc., 2.953%, 2/28/2022		1,500,000		1,474,385
Morgan Stanley, 2.485% (LIBOR 3 Month+74 basis points), 7/23/2019 (10)		1,500,000		1,508,557
Toronto-Dominion Bank, 2.704% (LIBOR 3 Month+100 basis points), 4/7/2021 (10)		2,000,000		2,042,008
U.S. Bank NA, 2.061% (LIBOR 3 Month+32 basis points), 1/24/2020 (1)(10)		1,500,000		1,502,139
Wells Fargo Bank NA, 2.544% (LIBOR 3 Month+60 basis points), 5/24/2019 (10)		1,000,000		1,005,036
Westpac Banking Corp., 2.445% (LIBOR 3 Month+56 basis points), 8/19/2019 (10)		1,000,000		1,004,591
				26,470,140
Beverages — 2.5%
Anheuser-Busch InBev Finance, Inc.:
2.650%, 2/1/2021 (1)		1,500,000		1,486,951
3.033% (LIBOR 3 Month+126 basis points), 2/1/2021 (10)		1,250,000		1,289,779
Fomento Economico Mexicano SAB de C.V., 2.875%, 5/10/2023 (1)		2,000,000		1,953,720
Molson Coors Brewing Co., 2.250%, 3/15/2020		1,500,000		1,481,526
				6,211,976
Biotechnology — 0.5%
Amgen, Inc., 2.200%, 5/22/2019		1,300,000		1,294,034
Chemicals — 3.6%
Braskem Netherlands Finance BV, 3.500%, 1/10/2023 (5)		1,000,000		970,000
CF Industries, Inc., 5.375%, 3/15/2044 (1)		2,000,000		1,882,500
EI du Pont de Nemours & Co., 2.303% (LIBOR 3 Month+53 basis points), 5/1/2020 (10)		1,500,000		1,511,976
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (5)		500,000		501,875
6.750%, 9/19/2042 (5)		1,500,000		1,704,375
Mosaic Co., 4.050%, 11/15/2027		2,500,000		2,442,662
				9,013,388
Commercial Services — 0.3%
ADT Corp.:
4.125%, 6/15/2023		500,000		487,500
4.875%, 7/15/2032 (5)		250,000		228,750
				716,250
Computers — 3.6%
Apple, Inc., 2.250%, 2/23/2021 (1)		2,000,000		1,971,194

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Computers (continued)
Dell International LLC, 8.350%, 7/15/2046 (1)(5)	$	2,000,000	$	2,541,658
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		1,000,000		1,038,175
International Business Machines Corp., 1.990% (LIBOR 3 Month+23 basis points), 1/27/2020 (10)		2,500,000		2,508,860
Seagate HDD Cayman, 5.750%, 12/1/2034 (1)		1,000,000		948,602
				9,008,489
Diversified Financial Services — 5.1%
AerCap Ireland Capital DAC, 3.500%, 1/15/2025		2,000,000		1,924,678
American Express Credit Corp., 2.150% (LIBOR 3 Month+55 basis points), 3/18/2019 (10)		1,500,000		1,505,603
Capital One Bank USA NA, 2.250%, 2/13/2019 (1)		1,200,000		1,194,517
Discover Financial Services, 4.100%, 2/9/2027 (1)		2,000,000		1,981,674
E*TRADE Financial Corp., 3.800%, 8/24/2027 (1)		1,000,000		973,403
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 (1)		1,500,000		1,471,902
Jefferies Group LLC, 6.500%, 1/20/2043		500,000		566,033
Legg Mason, Inc., 4.750%, 3/15/2026		500,000		524,348
Mastercard, Inc., 2.000%, 11/21/2021		1,000,000		973,357
Synchrony Financial, 3.950%, 12/1/2027		1,750,000		1,685,129
				12,800,644
Electric — 0.8%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (5)		2,000,000		2,030,000
Food — 3.0%
Kraft Heinz Foods Co.:
2.800%, 7/2/2020 (1)		1,500,000		1,492,181
3.000%, 6/1/2026 (1)		2,000,000		1,839,644
Kroger Co., 4.450%, 2/1/2047 (1)		2,250,000		2,125,316
Mondelez International, Inc., 2.293% (LIBOR 3 Month+52 basis points), 2/1/2019 (10)		2,000,000		2,004,244
				7,461,385
Forest Products & Paper — 0.7%
International Paper Co., 3.000%, 2/15/2027 (1)		2,000,000		1,871,052
Healthcare-Products — 5.1%
Abbott Laboratories:
4.750%, 11/30/2036 (1)		1,500,000		1,608,994
4.900%, 11/30/2046 (1)		2,000,000		2,159,228
Becton, Dickinson and Co.:
2.675%, 12/15/2019		1,500,000		1,495,119
4.685%, 12/15/2044		2,000,000		2,011,798
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		1,400,000		1,165,500
Medtronic, Inc., 2.389% (LIBOR 3 Month+80 basis points), 3/15/2020 (10)		2,000,000		2,026,114

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

61

February 28, 2018 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Products (continued)
Thermo Fisher Scientific, Inc., 3.000%, 4/15/2023 (1)	$	1,000,000	$	982,081
Zimmer Biomet Holdings, Inc., 2.700%, 4/1/2020		1,500,000		1,488,792
				12,937,626
Healthcare-Services — 1.7%
Centene Corp., 6.125%, 2/15/2024		1,300,000		1,368,250
HCA, Inc., 5.000%, 3/15/2024		1,000,000		1,021,250
Laboratory Corp. of America Holdings, 3.250%, 9/1/2024		2,000,000		1,950,712
				4,340,212
Home Builders — 0.6%
DR Horton, Inc., 2.550%, 12/1/2020		1,500,000		1,481,829
Insurance — 3.6%
Berkshire Hathaway Finance Corp.:
1.955% (LIBOR 3 Month+25 basis points), 1/11/2019 (10)		1,000,000		1,002,044
2.065% (LIBOR 3 Month+55 basis points), 3/7/2018 (10)		2,000,000		2,000,166
Lincoln National Corp., 3.625%, 12/12/2026 (1)		2,000,000		1,984,064
Metropolitan Life Global Funding I, 2.043% (LIBOR 3 Month+43 basis points), 12/19/2018 (5)(10)		2,000,000		2,005,516
Unum Group, 4.000%, 3/15/2024		2,000,000		2,032,570
				9,024,360
Internet — 4.5%
Alibaba Group Holding, Ltd., 2.800%, 6/6/2023 (1)		2,000,000		1,945,978
Amazon.com, Inc.:
2.500%, 11/29/2022 (1)		2,500,000		2,443,650
2.800%, 8/22/2024 (1)(5)		1,500,000		1,454,190
4.050%, 8/22/2047 (1)(5)		1,500,000		1,496,934
eBay, Inc.:
2.637% (LIBOR 3 Month+87 basis points), 1/30/2023 (10)		2,500,000		2,513,472
4.000%, 7/15/2042 (1)		1,500,000		1,329,243
				11,183,467
Investment Companies — 0.2%
Leucadia National Corp., 6.625%, 10/23/2043 (1)		500,000		545,312
Iron/Steel — 1.0%
GTL Trade Finance, Inc., 7.250%, 4/16/2044 (1)(5)		1,000,000		1,130,000
Vale Overseas, Ltd., 8.250%, 1/17/2034 (1)		1,000,000		1,305,000
				2,435,000
Lodging — 1.2%
Hyatt Hotels Corp., 5.375%, 8/15/2021		1,000,000		1,067,099
Wyndham Worldwide Corp., 4.500%, 4/1/2027		2,000,000		1,990,650
				3,057,749

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media — 2.5%
Charter Communications Operating LLC, 6.484%, 10/23/2045 (1)	$	2,500,000	$	2,825,805
Cox Communications, Inc., 4.600%, 8/15/2047 (5)		1,500,000		1,458,517
Scripps Networks Interactive, Inc., 2.750%, 11/15/2019		1,000,000		996,148
Viacom, Inc., 4.375%, 3/15/2043		1,050,000		944,956
				6,225,426
Mining — 0.4%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		1,000,000		1,037,837
Miscellaneous Manufacturing — 0.4%
Siemens Financieringsmaatschappij NV, 1.940% (LIBOR 3 Month+34 basis points), 3/16/2020 (5)(10)		1,000,000		1,004,931
Oil & Gas — 4.5%
BP Capital Markets PLC, 2.470% (LIBOR 3 Month+87 basis points), 9/16/2021 (10)		2,000,000		2,041,140
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,058,500
7.375%, 9/18/2043		1,500,000		1,790,175
Ensco PLC:
4.500%, 10/1/2024 (1)		1,000,000		820,000
5.200%, 3/15/2025 (1)		1,000,000		835,000
Petroleos Mexicanos, 5.625%, 1/23/2046		2,000,000		1,795,800
Phillips 66, 2.372% (LIBOR 3 Month+65 basis points), 4/15/2019 (5)(10)		2,000,000		2,000,970
Shell International Finance BV, 3.750%, 9/12/2046		1,000,000		953,841
				11,295,426
Pharmaceuticals — 8.6%
Allergan Funding SCS:
4.550%, 3/15/2035		500,000		500,377
4.850%, 6/15/2044		1,500,000		1,515,999
Bristol-Myers Squibb Co., 2.000%, 8/1/2022		2,500,000		2,394,102
CVS Health Corp., 2.125%, 6/1/2021 (1)		2,000,000		1,930,552
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		1,500,000		1,504,344
Johnson & Johnson, 1.751% (LIBOR 3 Month+27 basis points), 3/1/2019 (10)		2,000,000		2,005,172
Merck & Co., Inc., 2.350%, 2/10/2022 (1)		2,500,000		2,453,205
Novartis Capital Corp., 2.400%, 5/17/2022 (1)		1,000,000		979,888
Perrigo Finance Unlimited Co., 3.500%, 3/15/2021		1,500,000		1,502,439
Shire Acquisitions Investments Ireland DAC:
2.400%, 9/23/2021		1,000,000		966,345
2.875%, 9/23/2023		2,000,000		1,917,144
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		2,500,000		1,851,400

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

62

BMO Funds

TCH Corporate Income Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pharmaceuticals (continued)
Valeant Pharmaceuticals International, 6.750%, 8/15/2021 (5)	$	1,000,000	$	978,750
Zoetis, Inc., 3.250%, 2/1/2023		1,000,000		993,252
				21,492,969
Pipelines — 2.8%
Energy Transfer LP, 6.500%, 2/1/2042		1,500,000		1,665,003
Enterprise Products Operating LLC, 4.250%, 2/15/2048		2,000,000		1,925,826
Kinder Morgan Energy Partners LP, 7.500%, 11/15/2040 (1)		250,000		317,507
Kinder Morgan, Inc., 5.300%, 12/1/2034		3,000,000		3,101,703
				7,010,039
Real Estate Investment Trusts — 3.1%
EPR Properties:
4.500%, 6/1/2027 (1)		1,500,000		1,473,936
5.250%, 7/15/2023 (1)		1,000,000		1,056,081
Hospitality Properties Trust:
4.500%, 6/15/2023		500,000		513,329
4.500%, 3/15/2025		1,500,000		1,522,609
Kimco Realty Corp., 3.300%, 2/1/2025		1,250,000		1,205,433
Senior Housing Properties Trust, 3.250%, 5/1/2019		2,000,000		2,005,398
				7,776,786
Retail — 4.3%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044 (1)		1,000,000		844,786
L Brands, Inc.:
6.950%, 3/1/2033 (1)		600,000		585,000
7.600%, 7/15/2037		500,000		510,000
McDonald’s Corp.:
2.100%, 12/7/2018		750,000		748,492
2.750%, 12/9/2020		1,500,000		1,498,853
O’Reilly Automotive, Inc., 3.600%, 9/1/2027 (1)		2,000,000		1,947,380
Tapestry Inc., 4.125%, 7/15/2027		2,500,000		2,449,395
Target Corp., 3.625%, 4/15/2046		2,500,000		2,290,467
				10,874,373
Semiconductors — 1.0%
QUALCOMM, Inc., 2.245% (LIBOR 3 Month+36 basis points), 5/20/2019 (10)		2,500,000		2,506,405
Software — 4.6%
Activision Blizzard, Inc., 4.500%, 6/15/2047 (1)		2,000,000		1,982,626
CA, Inc., 4.700%, 3/15/2027		2,500,000		2,551,613
Microsoft Corp.:
2.000%, 8/8/2023		1,750,000		1,655,932
2.875%, 2/6/2024		500,000		492,427
Oracle Corp.:
2.214% (LIBOR 3 Month+51 basis points), 10/8/2019 (10)		2,000,000		2,014,280
2.400%, 9/15/2023 (1)		1,000,000		955,242
VMware, Inc., 3.900%, 8/21/2027 (1)		2,000,000		1,908,826
				11,560,946

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Sovereign — 1.4%
Costa Rica Government International Bond, 7.158%, 3/12/2045 (5)	$	2,000,000	$	2,102,500
Export-Import Bank of Korea, 3.000%, 11/1/2022		1,500,000		1,474,692
				3,577,192
Telecommunications — 4.5%
AT&T, Inc.:
2.866% (LIBOR 3 Month+91 basis points), 11/27/2018 (10)		1,235,000		1,241,642
4.350%, 6/15/2045		1,000,000		898,821
5.150%, 3/15/2042 (1)		2,000,000		2,028,682
CenturyLink, Inc.:
7.600%, 9/15/2039		550,000		482,625
7.650%, 3/15/2042 (1)		1,000,000		875,000
Colombia Telecomunicaciones SA ESP, 5.375%, 9/27/2022		800,000		814,208
Motorola Solutions, Inc., 5.500%, 9/1/2044		1,000,000		1,000,435
Telecom Italia Capital SA, 7.200%, 7/18/2036 (1)		1,500,000		1,762,500
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)		2,000,000		2,110,194
				11,214,107
Toys/Games/Hobbies — 0.9%
Mattel, Inc., 2.350%, 8/15/2021		2,500,000		2,293,250
Transportation — 0.2%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (1)(5)		500,000		565,126
Trucking & Leasing — 0.8%
Penske Truck Leasing Co. Lp, 3.300%, 4/1/2021 (5)		2,000,000		2,007,684
Total Corporate Bonds & Notes (identified cost $238,005,253)				239,112,627
Municipals — 0.2%
California — 0.2%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020		500,000		547,145
Total Municipals (identified cost $500,000)				547,145
U.S. Government & U.S. Government Agency Obligations — 2.1%
U.S. Treasury Bonds & Notes — 2.1%
2.000%, 11/30/2022 (1)		3,000,000		2,914,863
2.000%, 8/15/2025 (1)		2,500,000		2,361,768
Total U.S. Government & U.S. Government Agency Obligations (identified cost $5,560,699)				5,276,631
Short-Term Investments — 29.5%
Collateral Pool Investments for Securities on Loan — 27.7%
Collateral pool allocation (3)				69,591,405

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

63

February 28, 2018 (Unaudited)

Schedules of Investments

TCH Corporate Income Fund (continued)

Description	Shares		Value
Short-Term Investments (continued)
Mutual Funds — 1.8%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		4,312,494	$	4,312,494
Total Short-Term Investments (identified cost $73,903,857)				73,903,899
Total Investments — 127.0% (identified cost $317,969,809)				318,840,302
Other Assets and Liabilities — (27.0)%				(67,743,024	)
Total Net Assets — 100.0%			$	251,097,278

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		95.2	%
Municipals		0.2
U.S. Government & U.S. Government Agency Obligations		2.1
Other Assets & Liabilities, Net		2.5
Total		100.0	%

TCH Core Plus Bond Fund

Description	Principal Amount		Value
Asset-Backed Securities — 2.1%
Automobiles — 2.1%
Honda Auto Receivables Owner Trust, Class A4, (Series 2015-2), 1.470%, 8/23/2021	$	5,000,000	$	4,986,040
Toyota Auto Receivables Owner Trust, Class A2A, (Series 2017-D), 1.740%, 8/17/2020		17,500,000		17,417,155
Total Asset-Backed Securities (identified cost $22,493,885)				22,403,195
Commercial Mortgage Securities — 3.5%
Private Sponsor — 3.5%
BANK, Class A5, (Series 2017-BNK7), 3.435%, 9/15/2060		10,000,000		9,958,590
GS Mortgage Securities Corp. II, Class A4, (Series 2017-GS8), 3.469%, 11/10/2050		10,000,000		9,958,850
UBS-Barclays Commercial Mortgage Trust, Class A5, (Series 2012-C4), 2.850%, 12/10/2045		9,888,381		9,737,257
Wells Fargo Commercial Mortgage Trust, Class A4, (Series 2017-C41), 3.472%, 11/15/2050		7,000,000		6,973,841
Total Commercial Mortgage Securities (identified cost $37,704,324)				36,628,538
Corporate Bonds & Notes — 43.2%
Agriculture — 0.4%
Bunge, Ltd. Finance Corp., 3.750%, 9/25/2027		4,000,000		3,862,116

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Apparel — 0.4%
Ralph Lauren Corp., 2.125%, 9/26/2018	$	4,000,000	$	3,998,040
Auto Manufacturers — 1.9%
Daimler Finance North America LLC, 2.334% (LIBOR 3 Month+63 basis points), 1/6/2020 (5)(10)		10,000,000		10,059,550
Ford Motor Co., 5.291%, 12/8/2046 (1)		1,500,000		1,480,790
Ford Motor Credit Co. LLC, 2.717% (LIBOR 3 Month+93 basis points), 11/4/2019 (10)		4,000,000		4,035,916
General Motors Financial Co., Inc., 4.000%, 1/15/2025 (1)		5,000,000		4,963,570
				20,539,826
Banks — 7.5%
Banco Santander SA, 3.265% (LIBOR 3 Month+156 basis points), 4/11/2022 (10)		4,000,000		4,131,920
BB&T Corp.:
2.159% (LIBOR 3 Month+57 basis points), 6/15/2020 (10)		3,000,000		3,018,924
2.625%, 6/29/2020		2,500,000		2,484,017
Canadian Imperial Bank of Commerce, 2.029% (LIBOR 3 Month+52 basis points), 9/6/2019 (10)		5,000,000		5,026,690
Capital One Financial Corp., 2.486% (LIBOR 3 Month+95 basis points), 3/9/2022 (10)		1,500,000		1,515,483
Citigroup, Inc.:
2.445% (LIBOR 3 Month+93 basis points), 6/7/2019 (10)		4,500,000		4,537,719
2.593% (LIBOR 3 Month+107 basis points), 12/8/2021 (10)		1,250,000		1,272,818
2.911% (LIBOR 3 Month+143 basis points), 9/1/2023 (10)		5,000,000		5,161,565
Goldman Sachs Group, Inc.:
2.863% (LIBOR 3 Month+111 basis points), 4/26/2022 (10)		5,000,000		5,068,980
2.905% (LIBOR 3 Month+116 basis points), 4/23/2020 (10)		8,000,000		8,127,968
2.939% (LIBOR 3 Month+110 basis points), 11/15/2018 (10)		5,000,000		5,030,670
HSBC Holdings PLC, 3.604% (LIBOR 3 Month+166 basis points), 5/25/2021 (10)		5,000,000		5,195,840
JPMorgan Chase & Co.:
2.498% (LIBOR 3 Month+84 basis points), 3/22/2019 (10)		3,500,000		3,527,212
2.615% (LIBOR 3 Month+110 basis points), 6/7/2021 (10)		5,000,000		5,118,215
2.965% (LIBOR 3 Month+121 basis points), 10/29/2020 (10)		4,000,000		4,090,920
Toronto-Dominion Bank, 2.704% (LIBOR 3 Month+100 basis points), 4/7/2021 (10)		4,500,000		4,594,518
U.S. Bank NA, 2.061% (LIBOR 3 Month+32 basis points), 1/24/2020 (10)		4,000,000		4,005,704
Wells Fargo Bank NA, 2.544% (LIBOR 3 Month+60 basis points), 5/24/2019 (10)		3,000,000		3,015,108

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

64

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Banks (continued)
Westpac Banking Corp., 2.445% (LIBOR 3 Month+56 basis points), 8/19/2019 (10)	$	4,000,000	$	4,018,364
				78,942,635
Beverages — 0.3%
Anheuser-Busch InBev Finance, Inc., 3.033% (LIBOR 3 Month+126 basis points), 2/1/2021 (10)		3,000,000		3,095,469
Chemicals — 1.5%
CF Industries, Inc., 5.150%, 3/15/2034 (1)		6,500,000		6,394,375
Mexichem SAB de C.V.:
5.875%, 9/17/2044 (5)		2,000,000		2,007,500
6.750%, 9/19/2042 (5)		6,400,000		7,272,000
				15,673,875
Computers — 1.5%
Apple, Inc., 2.250%, 2/23/2021		1,500,000		1,478,396
Dell International LLC, 8.350%, 7/15/2046 (1)(5)		5,500,000		6,989,559
Hewlett Packard Enterprise Co., 4.900%, 10/15/2025 (1)		2,000,000		2,076,350
Seagate HDD Cayman:
4.875%, 6/1/2027 (1)		2,000,000		1,915,004
5.750%, 12/1/2034 (1)		3,500,000		3,320,107
				15,779,416
Diversified Financial Services — 3.5%
AerCap Ireland Capital DAC, 3.500%, 1/15/2025 (1)		7,750,000		7,458,127
American Express Credit Corp.:
2.382% (LIBOR 3 Month+61 basis points), 7/31/2018 (10)		3,000,000		3,004,191
2.567% (LIBOR 3 Month+78 basis points), 11/5/2018 (10)		5,000,000		5,017,935
Discover Financial Services, 4.100%, 2/9/2027 (1)		5,000,000		4,954,185
GE Capital International Funding Co. Unlimited Co., 4.418%, 11/15/2035 (1)		5,000,000		4,906,340
Jefferies Group LLC:
4.150%, 1/23/2030		5,000,000		4,756,485
6.500%, 1/20/2043 (1)		1,000,000		1,132,066
Legg Mason, Inc., 4.750%, 3/15/2026		1,950,000		2,044,957
Synchrony Financial, 3.950%, 12/1/2027		4,000,000		3,851,724
				37,126,010
Electric — 0.4%
Comision Federal de Electricidad, 4.750%, 2/23/2027 (5)		4,000,000		4,060,000
Food — 1.1%
Kraft Heinz Foods Co., 3.000%, 6/1/2026 (1)		8,000,000		7,358,576
Kroger Co., 4.450%, 2/1/2047 (1)		5,000,000		4,722,925
				12,081,501
Gas — 0.7%
Sempra Energy, 2.209% (LIBOR 3 Month+50 basis points), 1/15/2021 (10)		7,000,000		7,008,344

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Products — 2.5%
Abbott Laboratories, 4.750%, 11/30/2036	$	6,500,000	$	6,972,310
Becton, Dickinson and Co., 4.685%, 12/15/2044		7,000,000		7,041,293
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		6,000,000		4,995,000
Medtronic, Inc., 2.389% (LIBOR 3 Month+80 basis points), 3/15/2020 (10)		7,000,000		7,091,399
				26,100,002
Healthcare-Services — 0.9%
Centene Corp., 6.125%, 2/15/2024		4,500,000		4,736,250
HCA, Inc., 5.000%, 3/15/2024		4,750,000		4,850,938
				9,587,188
Home Builders — 0.3%
DR Horton, Inc., 2.550%, 12/1/2020		3,500,000		3,457,601
Insurance — 1.1%
Berkshire Hathaway, Inc., 3.125%, 3/15/2026 (1)		2,000,000		1,948,372
Lincoln National Corp., 3.625%, 12/12/2026 (1)		4,500,000		4,464,144
Metropolitan Life Global Funding I, 2.043% (LIBOR 3 Month+43 basis points), 12/19/2018 (5)(10)		5,000,000		5,013,790
				11,426,306
Internet — 1.1%
eBay, Inc.:
2.637% (LIBOR 3 Month+87 basis points), 1/30/2023 (1)(10)		7,500,000		7,540,418
4.000%, 7/15/2042		4,000,000		3,544,648
				11,085,066
Investment Companies — 0.1%
Leucadia National Corp., 6.625%, 10/23/2043		500,000		545,312
Iron/Steel — 0.5%
Vale Overseas, Ltd.:
6.875%, 11/21/2036 (1)		3,000,000		3,622,500
8.250%, 1/17/2034		1,500,000		1,957,500
				5,580,000
Lodging — 0.3%
Wyndham Worldwide Corp., 4.150%, 4/1/2024		3,000,000		3,009,693
Media — 1.3%
Charter Communications Operating LLC, 4.464%, 7/23/2022		1,000,000		1,024,113
Cox Communications, Inc., 4.600%, 8/15/2047 (5)		5,650,000		5,493,749
Viacom, Inc., 4.375%, 3/15/2043		6,500,000		5,849,727
Walt Disney Co., 2.294% (LIBOR 3 Month+31 basis points), 5/30/2019 (10)		1,000,000		1,003,279
				13,370,868
Mining — 0.1%
Glencore Funding LLC, 4.625%, 4/29/2024 (5)		1,000,000		1,037,837

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

65

February 28, 2018 (Unaudited)

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Oil & Gas — 3.1%
Andeavor, 4.500%, 4/1/2048	$	1,250,000	$	1,143,000
BP Capital Markets PLC, 2.470% (LIBOR 3 Month+87 basis points), 9/16/2021 (10)		7,000,000		7,143,990
Ecopetrol SA:
5.375%, 6/26/2026 (1)		1,000,000		1,058,500
7.375%, 9/18/2043 (1)		6,000,000		7,160,700
Ensco PLC:
5.200%, 3/15/2025 (1)		4,500,000		3,757,500
5.750%, 10/1/2044		2,168,000		1,509,470
Petroleos Mexicanos:
5.625%, 1/23/2046		3,000,000		2,693,700
6.375%, 1/23/2045		2,500,000		2,431,250
Phillips 66, 2.372% (LIBOR 3 Month+65 basis points), 4/15/2019 (5)(10)		2,000,000		2,000,970
Shell International Finance BV, 3.750%, 9/12/2046 (1)		4,500,000		4,292,284
				33,191,364
Oil & Gas Services — 0.2%
Baker Hughes a GE Co. LLC, 3.337%, 12/15/2027		2,500,000		2,387,570
Pharmaceuticals — 2.7%
Allergan Funding SCS:
4.550%, 3/15/2035		1,500,000		1,501,129
4.850%, 6/15/2044		1,500,000		1,515,999
Bristol-Myers Squibb Co., 2.000%, 8/1/2022 (1)		2,500,000		2,394,102
CVS Health Corp., 2.250%, 12/5/2018		1,500,000		1,496,192
Express Scripts Holding Co., 4.800%, 7/15/2046 (1)		5,000,000		5,014,480
Shire Acquisitions Investments Ireland DAC, 2.875%, 9/23/2023		7,000,000		6,710,004
Teva Pharmaceutical Finance Netherlands III BV, 4.100%, 10/1/2046 (1)		5,000,000		3,702,800
Valeant Pharmaceuticals International, 6.750%, 8/15/2021 (5)		3,500,000		3,425,625
Zoetis, Inc., 3.250%, 2/1/2023		2,500,000		2,483,130
				28,243,461
Pipelines — 0.9%
Energy Transfer LP:
5.150%, 3/15/2045		4,000,000		3,784,268
6.500%, 2/1/2042		1,000,000		1,110,002
Kinder Morgan Energy Partners LP, 5.000%, 3/1/2043		5,000,000		4,895,400
				9,789,670
Real Estate Investment Trusts — 1.6%
EPR Properties:
4.500%, 6/1/2027		1,000,000		982,624
5.250%, 7/15/2023 (1)		5,000,000		5,280,405
Hospitality Properties Trust:
4.500%, 6/15/2023 (1)		1,000,000		1,026,657
4.500%, 3/15/2025		2,500,000		2,537,683
Kimco Realty Corp., 4.450%, 9/1/2047		5,000,000		4,835,245

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Real Estate Investment Trusts (continued)
Wellltower, Inc., 4.500%, 1/15/2024	$	2,500,000	$	2,603,895
				17,266,509
Retail — 2.5%
Bed Bath & Beyond, Inc., 5.165%, 8/1/2044 (1)		4,900,000		4,139,451
L Brands, Inc.:
6.950%, 3/1/2033		2,500,000		2,437,500
7.600%, 7/15/2037		1,500,000		1,530,000
McDonald’s Corp., 2.100%, 12/7/2018 (1)		2,000,000		1,995,978
O’Reilly Automotive, Inc., 3.600%, 9/1/2027 (1)		5,000,000		4,868,450
Tapestry Inc., 4.125%, 7/15/2027		7,500,000		7,348,185
Target Corp., 3.625%, 4/15/2046		5,000,000		4,580,935
				26,900,499
Semiconductors — 0.9%
NVIDIA Corp., 2.200%, 9/16/2021 (1)		5,000,000		4,869,510
QUALCOMM, Inc., 2.335% (LIBOR 3 Month+45 basis points), 5/20/2020 (10)		5,000,000		5,004,935
				9,874,445
Software — 1.1%
CA, Inc., 4.700%, 3/15/2027		4,000,000		4,082,580
Oracle Corp.:
2.214% (LIBOR 3 Month+51 basis points), 10/8/2019 (1)(10)		3,600,000		3,625,704
2.400%, 9/15/2023 (1)		4,000,000		3,820,968
				11,529,252
Sovereign — 0.6%
Costa Rica Government International Bond:
5.625%, 4/30/2043 (5)		5,000,000		4,539,600
7.000%, 4/4/2044 (5)		2,000,000		2,082,720
				6,622,320
Telecommunications — 2.1%
AT&T, Inc.:
4.350%, 6/15/2045 (1)		2,500,000		2,247,053
5.150%, 3/15/2042 (1)		4,000,000		4,057,364
CenturyLink, Inc.:
7.600%, 9/15/2039		4,000,000		3,510,000
7.650%, 3/15/2042		4,800,000		4,200,000
Motorola Solutions, Inc., 5.500%, 9/1/2044		3,000,000		3,001,305
Telefonica Emisiones SAU, 5.213%, 3/8/2047 (1)		5,000,000		5,275,485
				22,291,207
Transportation — 0.1%
Kazakhstan Temir Zholy Finance BV, 6.950%, 7/10/2042 (5)		500,000		565,126
Total Corporate Bonds & Notes (identified cost $450,192,419)				456,028,528

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

66

BMO Funds

TCH Core Plus Bond Fund (continued)

Description	Principal Amount		Value
Municipals — 0.0%
California — 0.0%
Metropolitan Water District of Southern California, 6.947%, 7/1/2040, Call 7/1/2020	$	300,000	$	328,287
Total Municipals (identified cost $300,000)				328,287
U.S. Government & U.S. Government Agency Obligations — 11.4%
U.S. Treasury Bonds & Notes — 11.4%
1.375%, 7/15/2018 (1)		2,858,100		2,899,391
1.875%, 7/15/2019 (1)		5,773,050		5,948,874
2.000%, 7/31/2020 (1)		15,000,000		14,876,655
2.000%, 9/30/2020 (1)		5,000,000		4,954,100
2.000%, 11/30/2020 (1)		5,000,000		4,948,045
2.000%, 11/15/2021 (1)		10,000,000		9,814,060
2.000%, 2/15/2023 (1)		15,000,000		14,547,660
2.000%, 2/15/2025 (1)		5,000,000		4,744,435
2.000%, 8/15/2025 (1)		5,000,000		4,723,535
2.125%, 1/15/2019 (1)		5,167,125		5,277,867
2.125%, 8/15/2021 (1)		12,500,000		12,341,550
2.250%, 7/31/2018 (1)		10,000,000		10,017,380
2.375%, 5/31/2018 (1)		7,500,000		7,513,357
2.500%, 5/15/2024 (1)		5,000,000		4,927,440
2.750%, 2/15/2019 (1)		12,500,000		12,576,900
Total U.S. Government & U.S. Government Agency Obligations (identified cost $122,017,788)				120,111,249
U.S. Government Agency-Mortgage Securities — 33.2%
Federal Home Loan Mortgage Corporation — 14.1%
3.000%, 11/1/2042		1,205,097		1,177,572
3.000%, 4/1/2043		4,967,008		4,853,567
3.000%, 4/1/2043		1,442,508		1,409,658
3.000%, 4/1/2043		2,200,841		2,150,666
3.000%, 5/1/2043		2,531,588		2,473,111
3.000%, 7/1/2043		9,960,876		9,725,640
3.000%, 9/1/2043		10,029,785		9,790,334
3.000%, 4/1/2045		8,981,223		8,743,355
3.000%, 5/1/2045		4,942,212		4,809,978
3.000%, 9/1/2045		15,668,010		15,231,765
3.000%, 1/1/2046		16,262,408		15,787,513
3.000%, 4/1/2046		16,625,057		16,139,556
3.500%, 12/1/2040		818,833		822,641
3.500%, 12/1/2041		804,774		808,517
3.500%, 3/1/2042		291,577		292,934
3.500%, 12/1/2042		661,575		664,654
3.500%, 7/1/2043		4,414,016		4,434,545
3.500%, 9/1/2043		8,575,017		8,614,908
3.500%, 11/1/2043		6,731,730		6,763,052
3.500%, 1/1/2044		6,920,845		6,953,047
3.500%, 2/1/2044		7,280,470		7,314,332
3.500%, 11/1/2044		5,216,424		5,227,055
4.000%, 4/1/2026		389,941		405,837
4.000%, 12/1/2039		562,513		581,467
4.000%, 12/1/2040		243,927		252,179
4.000%, 12/1/2040		3,038,253		3,140,913
4.000%, 3/1/2041		255,640		264,275
4.000%, 4/1/2041		6,137,689		6,345,278
4.000%, 8/1/2041		164,633		170,205
4.000%, 11/1/2041		632,410		653,812
4.500%, 9/1/2031		289,668		305,247
4.500%, 3/1/2039		121,827		128,428

Description	Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Federal Home Loan Mortgage Corporation (continued)
4.500%, 5/1/2039	$	469,062	$	494,833
4.500%, 2/1/2040		124,654		131,705
4.500%, 11/1/2040		477,185		504,929
4.500%, 2/1/2041		991,491		1,047,659
5.000%, 12/1/2035		59,683		64,338
5.000%, 1/1/2038		32,346		34,900
5.000%, 3/1/2038		108,075		116,717
5.000%, 3/1/2038		34,388		37,185
5.000%, 2/1/2039		166,100		177,790
5.000%, 1/1/2040		162,459		176,253
6.000%, 6/1/2037		75,394		84,515
6.000%, 1/1/2038		81,641		90,981
				149,397,846
Federal National Mortgage Association — 18.9%
3.000%, 3/1/2043		2,868,213		2,802,978
3.000%, 7/1/2043		6,614,335		6,457,053
3.000%, 7/1/2043		13,103,514		12,805,199
3.000%, 8/1/2043		10,221,725		9,978,662
3.000%, 9/1/2044		8,496,042		8,276,478
3.000%, 1/1/2045		8,780,080		8,553,141
3.000%, 2/1/2045		12,952,420		12,612,937
3.000%, 6/1/2045		7,565,153		7,358,662
3.000%, 3/1/2046		15,259,241		14,799,740
3.000%, 7/1/2046		17,622,694		17,092,022
3.000%, 10/1/2046		18,200,005		17,651,948
3.000%, 12/1/2046		23,335,254		22,632,559
3.000%, 1/1/2047		31,337,190		30,393,533
3.500%, 7/1/2032		400,856		408,257
3.500%, 5/1/2042		1,127,467		1,135,723
3.500%, 10/1/2042		817,403		821,303
3.500%, 10/1/2042		882,849		886,840
3.500%, 10/1/2042		1,135,969		1,141,748
3.500%, 11/1/2042		529,040		532,107
3.500%, 12/1/2042		1,029,429		1,034,027
3.500%, 1/1/2043		3,286,699		3,307,254
3.500%, 5/1/2043		10,952,283		10,995,402
4.000%, 11/1/2040		325,720		336,311
4.000%, 1/1/2041		474,771		490,203
4.000%, 2/1/2041		436,569		450,729
4.000%, 2/1/2041		2,383,371		2,462,163
4.000%, 3/1/2041		183,093		189,044
4.000%, 11/1/2041		399,098		413,568
4.500%, 6/1/2039		700,806		742,039
4.500%, 8/1/2041		440,379		468,225
5.000%, 7/1/2022		200,694		209,129
5.000%, 3/1/2035		247,680		267,677
5.000%, 5/1/2042		650,871		704,065
5.500%, 2/1/2034		43,007		47,285
5.500%, 7/1/2036		225,886		248,715
5.500%, 8/1/2037		430,618		473,515
5.500%, 6/1/2038		59,381		65,249
6.000%, 12/1/2038		25,071		27,867
6.000%, 5/1/2039		174,502		196,298
6.500%, 10/1/2037		45,232		50,457
6.500%, 11/1/2037		23,234		25,624
				199,545,736
Government National Mortgage Association — 0.2%
4.000%, 10/15/2040		430,165		444,435
4.000%, 12/15/2040		523,758		541,257
4.000%, 4/15/2041		533,448		551,379
5.500%, 8/20/2038		80,876		83,157
5.500%, 2/15/2039		45,780		49,921
6.000%, 12/15/2038		57,142		63,550

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

67

February 28, 2018 (Unaudited)

Schedules of Investments

TCH Core Plus Bond Fund (continued)

Description	Shares or Principal Amount		Value
U.S. Government Agency-Mortgage Securities (continued)
Government National Mortgage Association (continued)
6.000%, 1/15/2039	$	29,256	$	32,537
				1,766,236
Total U.S. Government Agency-Mortgage Securities
(identified cost $359,939,758)				350,709,818
Short-Term Investments — 26.5%
Collateral Pool Investments for Securities on Loan — 20.6%
Collateral pool allocation (3)				217,285,887
Mutual Funds — 5.9%
BMO Institutional Prime Money Market Fund—Premier Class, 1.430% (4)		62,776,931		62,776,931
Total Short-Term Investments (identified cost $280,062,185)				280,062,818
Total Investments — 119.9% (identified cost $1,272,710,359)				1,266,272,433
Other Assets and Liabilities — (19.9)%				(210,183,328	)
Total Net Assets — 100.0%			$	1,056,089,105

Portfolio Sector Allocation*
Sector	Fund
Asset-Backed Securities		2.1	%
Commercial Mortgage Securities		3.5
Corporate Bonds & Notes		43.2
U.S. Government & U.S. Government Agency Obligations		11.4
U.S. Government Agency — Mortgage Securities		33.2
Other Assets & Liabilities, Net		6.6
Total		100.0	%

High Yield Bond Fund

Description	Principal Amount		Value
Corporate Bonds & Notes — 95.1%
Aerospace/Defense — 1.4%
KLX, Inc., 5.875%, 12/1/2022 (5)	$	52,000	$	53,755
TransDigm, Inc., 6.500%, 7/15/2024		115,000		118,881
				172,636
Agriculture — 1.6%
Vector Group, Ltd., 6.125%, 2/1/2025 (5)		188,000		192,465
Auto Parts & Equipment — 4.0%
Allison Transmission, Inc., 4.750%, 10/1/2027 (5)		100,000		98,250
American Axle & Manufacturing, Inc., 6.625%, 10/15/2022		100,000		103,500
Goodyear Tire & Rubber Co., 5.000%, 5/31/2026		150,000		150,563
Tenneco, Inc., 5.000%, 7/15/2026		150,000		147,750
				500,063
Banks — 0.9%
CIT Group, Inc., 5.000%, 8/15/2022		103,000		106,476

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Building Materials — 2.5%
Builders FirstSource, Inc., 5.625%, 9/1/2024 (5)	$	150,000	$	153,188
Norbord, Inc., 6.250%, 4/15/2023 (5)		45,000		48,332
U.S. Concrete, Inc., 6.375%, 6/1/2024		100,000		106,750
				308,270
Chemicals — 1.4%
CF Industries, Inc., 5.150%, 3/15/2034		75,000		73,781
Trinseo Materials Finance, Inc., 5.375%, 9/1/2025 (5)		50,000		50,687
Valvoline, Inc., 4.375%, 8/15/2025		50,000		48,938
				173,406
Commercial Services — 4.7%
Avis Budget Finance, Inc., 5.250%, 3/15/2025 (5)		150,000		145,312
Herc Rentals, Inc., 7.500%, 6/1/2022 (5)		149,000		160,175
Hertz Corp., 5.875%, 10/15/2020		100,000		100,125
Prime Security Services Borrower LLC, 9.250%, 5/15/2023 (5)		80,000		87,300
Weight Watchers International, Inc., 8.625%, 12/1/2025 (5)		75,000		81,469
				574,381
Computers — 2.0%
Dell, Inc., 6.500%, 4/15/2038		125,000		127,188
Seagate HDD Cayman:
4.750%, 1/1/2025		25,000		24,264
4.875%, 6/1/2027		50,000		47,875
Western Digital Corp., 4.750%, 2/15/2026		50,000		50,469
				249,796
Cosmetics/Personal Care — 0.6%
Revlon Consumer Products Corp., 6.250%, 8/1/2024		100,000		69,250
Electric — 2.5%
Dynegy, Inc., 7.375%, 11/1/2022		100,000		105,625
NextEra Energy Operating Partners LP, 4.250%, 9/15/2024 (5)		100,000		98,875
NRG Energy, Inc., 5.750%, 1/15/2028 (5)		100,000		98,980
				303,480
Electrical Components & Equipment — 0.8%
Belden, Inc., 5.250%, 7/15/2024 (5)		100,000		101,750
Entertainment — 1.1%
Cinemark USA, Inc., 4.875%, 6/1/2023		60,000		59,925
Scientific Games International, Inc., 5.000%, 10/15/2025 (5)		75,000		74,344
				134,269
Food — 2.0%
Dean Foods Co., 6.500%, 3/15/2023 (5)		75,000		73,500
Minerva Luxembourg SA, 6.500%, 9/20/2026 (5)		75,000		74,719
Post Holdings, Inc., 5.000%, 8/15/2026 (5)		100,000		95,250
				243,469
Forest Products & Paper — 1.1%
Mercer International, Inc., 6.500%, 2/1/2024		125,000		131,250

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

68

BMO Funds

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Healthcare-Products — 1.3%
Hologic, Inc., 4.625%, 2/1/2028 (5)	$	100,000	$	97,000
Mallinckrodt International Finance SA, 5.625%, 10/15/2023 (5)		75,000		62,438
				159,438
Healthcare-Services — 6.6%
Centene Corp., 6.125%, 2/15/2024		75,000		78,938
Encompass Health Corp., 5.750%, 11/1/2024		75,000		76,031
Envision Healthcare Corp., 5.625%, 7/15/2022		150,000		153,187
HCA, Inc., 5.875%, 5/1/2023		90,000		94,860
LifePoint Health, Inc., 5.375%, 5/1/2024		159,000		156,019
Select Medical Corp., 6.375%, 6/1/2021		150,000		153,547
Tenet Healthcare Corp., 8.125%, 4/1/2022		100,000		105,875
				818,457
Home Builders — 4.8%
Beazer Homes USA, Inc., 5.875%, 10/15/2027		125,000		119,062
Lennar Corp., 5.000%, 6/15/2027 (5)		100,000		100,260
TRI Pointe Group, Inc., 5.875%, 6/15/2024		176,000		182,160
William Lyon Homes, Inc., 5.875%, 1/31/2025		188,000		188,000
				589,482
Home Furnishings — 1.2%
Tempur Sealy International, Inc., 5.625%, 10/15/2023		150,000		152,250
Household Products/Wares — 0.6%
ACCO Brands Corp., 5.250%, 12/15/2024 (5)		75,000		75,563
Insurance — 0.4%
CNO Financial Group, Inc., 5.250%, 5/30/2025		50,000		51,000
Internet — 1.2%
Netflix, Inc., 4.875%, 4/15/2028 (5)		150,000		147,563
Iron/Steel — 0.4%
United States Steel Corp., 6.875%, 8/15/2025		50,000		52,750
Lodging — 1.8%
MGM Resorts International, 4.625%, 9/1/2026		175,000		171,936
Wynn Las Vegas Capital Corp., 5.250%, 5/15/2027 (5)		50,000		49,187
				221,123
Media — 8.5%
Altice Finco SA, 7.625%, 2/15/2025 (5)		200,000		197,750
AMC Networks, Inc., 5.000%, 4/1/2024		100,000		100,500
CCO Holdings LLC, 5.500%, 5/1/2026 (5)		200,000		200,500
Clear Channel Worldwide Holdings, Inc., 7.625%, 3/15/2020		75,000		75,187
Nexstar Broadcasting, Inc., 6.125%, 2/15/2022 (5)		75,000		77,625

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Media (continued)
SFR Group SA, 7.375%, 5/1/2026 (5)	$	100,000	$	96,905
Sirius XM Radio, Inc., 5.375%, 7/15/2026 (5)		100,000		101,500
UPCB Finance IV, Ltd., 5.375%, 1/15/2025 (5)		200,000		198,750
				1,048,717
Mining — 4.4%
Aleris International, Inc., 9.500%, 4/1/2021 (5)		75,000		79,031
Freeport-McMoRan, Inc., 3.550%, 3/1/2022		150,000		146,295
HudBay Minerals, Inc., 7.250%, 1/15/2023 (5)		75,000		80,062
Kaiser Aluminum Corp., 5.875%, 5/15/2024		100,000		105,030
Kinross Gold Corp.:
4.500%, 7/15/2027 (5)		75,000		72,938
6.875%, 9/1/2041		50,000		57,875
				541,231
Miscellaneous Manufacturing — 0.4%
Trinity Industries, Inc., 4.550%, 10/1/2024		50,000		49,852
Oil & Gas — 8.7%
Diamond Offshore Drilling, Inc., 7.875%, 8/15/2025		75,000		76,406
Ensco PLC:
4.500%, 10/1/2024		100,000		82,000
7.750%, 2/1/2026		100,000		94,750
Gulfport Energy Corp., 6.625%, 5/1/2023		100,000		103,250
MEG Energy Corp., 7.000%, 3/31/2024 (5)		100,000		85,750
Noble Holding International, Ltd., 7.750%, 1/15/2024		75,000		68,906
Oasis Petroleum, Inc., 6.875%, 3/15/2022		75,000		77,016
PBF Holding Co. LLC, 7.250%, 6/15/2025		100,000		103,750
QEP Resources, Inc., 5.250%, 5/1/2023		150,000		149,625
Rowan Cos., Inc., 7.375%, 6/15/2025		124,000		123,070
Whiting Petroleum Corp., 5.750%, 3/15/2021		100,000		102,500
				1,067,023
Oil & Gas Services — 1.0%
Weatherford International, Ltd., 7.750%, 6/15/2021		128,000		128,000
Packaging & Containers — 0.6%
Ardagh Holdings USA, Inc., 4.625%, 5/15/2023 (5)		75,000		75,188
Pharmaceuticals — 1.6%
Endo Finance LLC, 5.750%, 1/15/2022 (5)		75,000		61,688
Teva Pharmaceutical Finance Netherlands III BV, 2.800%, 7/21/2023		75,000		65,716
Valeant Pharmaceuticals International, 6.750%, 8/15/2021 (5)		75,000		73,406
				200,810

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

69

February 28, 2018 (Unaudited)

Schedules of Investments

High Yield Bond Fund (continued)

Description	Principal Amount		Value
Corporate Bonds & Notes (continued)
Pipelines — 3.7%
Antero Midstream Partners LP, 5.375%, 9/15/2024	$	100,000	$	102,750
Cheniere Corpus Christi Holdings LLC, 5.125%, 6/30/2027		150,000		152,250
Genesis Energy LP, 6.750%, 8/1/2022		150,000		154,875
Targa Resources Partners LP, 5.000%, 1/15/2028 (5)		50,000		48,750
				458,625
Real Estate Investment Trusts — 3.6%
ESH Hospitality, Inc., 5.250%, 5/1/2025 (5)		100,000		100,000
GEO Group, Inc., 5.875%, 10/15/2024		138,000		140,070
Iron Mountain, Inc., 5.750%, 8/15/2024		100,000		100,000
SBA Communications Corp., 4.875%, 9/1/2024		50,000		49,500
Starwood Property Trust, Inc., 3.625%, 2/1/2021 (5)		50,000		49,750
				439,320
Retail — 4.4%
Asbury Automotive Group, Inc., 6.000%, 12/15/2024		100,000		104,250
Beacon Escrow Corp., 4.875%, 11/1/2025 (5)		100,000		98,030
JC Penney Corp., Inc., 5.650%, 6/1/2020		75,000		74,906
L Brands, Inc., 5.625%, 10/15/2023		117,000		123,435
New Red Finance, Inc., 4.250%, 5/15/2024 (5)		150,000		143,625
				544,246
Semiconductors — 0.8%
Amkor Technology, Inc., 6.375%, 10/1/2022		100,000		103,250
Software — 1.7%
Donnelley Financial Solutions, Inc., 8.250%, 10/15/2024		74,000		78,070
Rackspace Hosting, Inc., 8.625%, 11/15/2024 (5)		122,000		127,357
				205,427
Telecommunications — 8.9%
Cincinnati Bell, Inc., 7.000%, 7/15/2024 (5)		150,000		142,875
CommScope, Inc., 5.500%, 6/15/2024 (5)		158,000		161,555
GCI, Inc., 6.750%, 6/1/2021		79,000		80,284
Hughes Satellite Systems Corp., 7.625%, 6/15/2021		100,000		108,000
Inmarsat Finance PLC, 4.875%, 5/15/2022 (5)		150,000		149,295
Sprint Communications, Inc., 6.000%, 11/15/2022		75,000		74,250
Sprint Corp.:
7.125%, 6/15/2024		110,000		109,516
7.625%, 3/1/2026		50,000		49,943
T-Mobile USA, Inc., 4.500%, 2/1/2026		50,000		49,125
Telecom Italia Capital SA, 6.000%, 9/30/2034		75,000		78,937

Description	Shares or Principal Amount		Value
Corporate Bonds & Notes (continued)
Telecommunications (continued)
Telesat Canada, 8.875%, 11/15/2024 (5)	$	82,000	$	90,200
				1,093,980
Toys/Games/Hobbies — 0.4%
Mattel, Inc., 2.350%, 8/15/2021		50,000		45,865
Transportation — 1.5%
XPO Logistics, Inc., 6.500%, 6/15/2022 (5)		175,000		182,438
Total Corporate Bonds & Notes (identified cost $11,586,293)				11,712,559
Short-Term Investments — 3.5%
Mutual Funds — 3.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (4)		436,676		436,676
Total Short-Term Investments (identified cost $436,667)				436,676
Total Investments — 98.6% (identified cost $12,022,960)				12,149,235
Other Assets and Liabilities — 1.4%				167,002
Total Net Assets — 100.0%			$	12,316,237

Portfolio Sector Allocation*
Sector	Fund
Corporate Bonds & Notes		95.1	%
Other Assets & Liabilities, Net		4.9
Total		100.0	%

Government Money Market Fund

Description	Shares or Principal Amount		Value
Mutual Funds — 7.1%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.290%		85,000,000	$	85,000,000
Invesco Government & Agency Portfolio — Institutional Class, 1.300%		150,000,000		150,000,000
Total Mutual Funds				235,000,000
Repurchase Agreements — 31.8%
Agreement with Fixed Income Clearing Corp., 0.650%, dated 2/28/2018, to be repurchased at $6,222,206 on 3/1/2018, collateralized by a U.S. Government Treasury Obligation with a maturity of 12/31/2018, with a market value of $6,347,195		$6,222,094		6,222,094

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

70

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Fixed Income Clearing Corp., 1.360%, dated 2/28/2018, to be repurchased at $200,007,556 on 3/1/2018, collateralized by a U.S. Government Treasury Obligation with a maturity of 8/15/2026, with a market value of $204,004,229	$	200,000,000	$	200,000,000
Agreement with Goldman Sachs Group, Inc., 1.380%, dated 2/28/2018, to be repurchased at $590,022,617 on 3/1/2018, collateralized by U.S. Government Agency Obligations with various maturities to 8/1/2056, with a market value of $600,178,082		590,000,000		590,000,000
Agreement with Merrill Lynch, Pierce, Fenner & Smith, Inc., 1.390%, dated 2/28/2018, to be repurchased at $100,003,861 on 3/1/2018, collateralized by U.S. Government Agency Obligations with various maturities to 1/15/2053, with a market value of $101,711,170		100,000,000		100,000,000
Agreement with Toronto Dominion Bank, 1.350%, dated 2/28/2018, to be repurchased at $150,005,625 on 3/1/2018, collateralized by U.S. Government Agency Obligations with various maturities to 9/1/2047, with a market value of $152,561,332		150,000,000		150,000,000
Total Repurchase Agreements				1,046,222,094
U.S. Government & U.S. Government Agency Obligations — 61.3%
Federal Farm Credit Bank — 18.0%
1.320%, 3/1/2018 (8)		24,999,000		24,999,000
1.395% (FCPR DLY-311 basis points), 4/10/2019 (10)		14,000,000		13,999,207
1.395% (U.S. Federal Funds Effective Rate (continuous series)-3 basis points), 4/25/2019 (10)		18,000,000		17,998,945
1.400%, 3/23/2018 (8)		10,000,000		9,991,444

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
1.420% (U.S. Federal Funds Effective Rate (continuous series)+0 basis points), 4/15/2019 (10)	$	16,000,000	$	15,998,167
1.420% (FCPR DLY-308 basis points), 6/27/2019 (10)		25,000,000		24,999,660
1.420% (FCPR DLY-308 basis points), 9/13/2019 (10)		12,000,000		11,999,692
1.420% (FCPR DLY-308 basis points), 10/10/2019 (10)		15,000,000		14,997,913
1.425% (FCPR DLY-308 basis points), 9/25/2019 (10)		11,900,000		11,900,176
1.426% (LIBOR 3 Month-26 basis points), 9/28/2018 (10)		18,000,000		18,000,943
1.430% (U.S. Federal Funds Effective Rate (continuous series)+1 basis points), 4/24/2019 (10)		15,000,000		14,998,271
1.430% (FCPR DLY-307 basis points), 11/4/2019 (10)		23,000,000		22,997,371
1.430% (FCPR DLY-307 basis points), 12/18/2019 (10)		10,000,000		9,999,550
1.435% (FCPR DLY-307 basis points), 12/26/2019 (10)		15,000,000		14,998,632
1.440% (FCPR DLY-306 basis points), 4/25/2019 (10)		14,000,000		14,000,206
1.450% (FCPR DLY-305 basis points), 1/9/2020 (10)		15,000,000		14,998,610
1.457% (LIBOR 3 Month-3 basis points), 3/2/2018 (10)		25,950,000		25,950,158
1.464% (LIBOR 3 Month-23 basis points), 4/3/2019 (10)		10,000,000		9,992,296
1.479% (LIBOR 1 Month-10 basis points), 8/8/2018 (10)		15,000,000		15,000,000
1.485% (LIBOR 1 Month-10 basis points), 12/3/2018 (10)		15,000,000		15,000,000
1.499% (LIBOR 1 Month-8 basis points), 11/9/2018 (10)		10,000,000		9,999,660
1.514% (LIBOR 3 Month-20 basis points), 7/12/2019 (10)		15,000,000		14,998,975
1.529% (LIBOR 1 Month-7 basis points), 7/20/2018 (10)		18,000,000		18,005,441
1.539% (LIBOR 1 Month-6 basis points), 12/20/2018 (10)		15,500,000		15,499,667
1.540% (FCPR DLY-296 basis points), 5/11/2018 (10)		2,000,000		2,000,724
1.553% (LIBOR 1 Month-5 basis points), 1/23/2019 (10)		10,000,000		10,000,512
1.610% (LIBOR 1 Month+2 basis points), 5/17/2018 (10)		19,200,000		19,206,653
1.624% (LIBOR 1 Month+5 basis points), 4/9/2018 (10)		27,350,000		27,352,225
1.626% (LIBOR 1 Month+3 basis points), 3/22/2018 (10)		2,945,000		2,945,275
1.630% (FCPR DLY-287 basis points), 6/27/2018 (10)		20,000,000		20,018,621
1.638% (LIBOR 1 Month+5 basis points), 4/16/2018 (10)		23,875,000		23,877,631
1.646% (LIBOR 1 Month+5 basis points), 2/21/2020 (10)		8,500,000		8,517,654
1.661% (LIBOR 1 Month+7 basis points), 10/22/2018 (10)		5,000,000		5,005,710
1.675% (LIBOR 1 Month+10 basis points), 10/3/2018 (10)		15,050,000		15,052,607

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

71

February 28, 2018 (Unaudited)

Schedules of Investments

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Farm Credit Bank (continued)
1.702% (U.S. Treasury 3 Month Bill Money Market Yield+5 basis points), 12/5/2018 (10)	$	11,000,000	$	10,999,568
1.711% (LIBOR 1 Month+9 basis points), 5/25/2018 (10)		7,060,000		7,064,098
1.714% (LIBOR 1 Month+12 basis points), 6/20/2018 (10)		3,000,000		3,002,363
1.720% (LIBOR 1 Month+13 basis points), 7/19/2018 (10)		10,000,000		10,010,530
1.766% (LIBOR 1 Month+17 basis points), 1/22/2019 (10)		4,210,000		4,221,674
1.778% (LIBOR 1 Month+19 basis points), 5/16/2019 (10)		5,530,000		5,548,836
1.781% (LIBOR 1 Month+16 basis points), 3/26/2018 (10)		7,540,000		7,541,157
1.796% (LIBOR 1 Month+18 basis points), 2/25/2019 (10)		10,000,000		10,025,379
1.891% (LIBOR 1 Month+27 basis points), 2/25/2019 (10)		16,200,000		16,254,765
				589,969,966
Federal Home Loan Bank — 28.8%
0.875%, 3/19/2018		8,035,000		8,033,803
1.220%, 3/19/2018 (8)		3,000,000		2,998,170
1.285%, 3/2/2018 (8)		53,650,000		53,648,085
1.318% (LIBOR 3 Month-16 basis points), 3/1/2018 (10)		10,000,000		10,000,000
1.340%, 3/5/2018 (8)		20,000,000		19,997,022
1.345%, 3/9/2018 (8)		39,000,000		38,988,342
1.346%, 3/22/2018 (8)		60,000,000		59,952,881
1.350%, 3/7/2018 (8)		22,260,000		22,254,991
1.350%, 3/16/2018 (8)		10,000,000		9,994,375
1.350%, 3/20/2018 (8)		9,915,000		9,907,936
1.370%, 3/8/2018 (8)		27,500,000		27,492,674
1.375%, 3/21/2018 (8)		30,700,000		30,676,541
1.375%, 3/28/2018 (8)		10,300,000		10,289,378
1.390%, 4/6/2018 (8)		12,000,000		11,983,320
1.405% (LIBOR 1 Month-19 basis points), 3/19/2018 (10)		25,000,000		25,000,000
1.415% (LIBOR 1 Month-16 basis points), 8/1/2018 (10)		8,500,000		8,500,000
1.420% (LIBOR 1 Month-16 basis points), 8/2/2018 (10)		13,500,000		13,500,000
1.430% (LIBOR 1 Month-16 basis points), 5/18/2018 (10)		15,000,000		15,000,000
1.433% (LIBOR 3 Month-18 basis points), 3/19/2018 (10)		25,000,000		25,001,040
1.439% (LIBOR 1 Month-14 basis points), 10/5/2018 (10)		17,000,000		17,000,000
1.440% (LIBOR 1 Month-14 basis points), 4/6/2018 (10)		15,000,000		15,000,000

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
1.441% (LIBOR 1 Month-14 basis points), 6/12/2018 (10)	$	18,000,000	$	18,000,000
1.448% (LIBOR 1 Month-14 basis points), 5/18/2018 (10)		20,000,000		20,000,000
1.448% (LIBOR 1 Month-14 basis points), 10/16/2018 (10)		10,000,000		10,000,000
1.450% (LIBOR 1 Month-14 basis points), 8/20/2018 (10)		15,000,000		15,000,000
1.453% (LIBOR 1 Month-14 basis points), 10/16/2018 (10)		13,500,000		13,500,000
1.455% (LIBOR 3 Month-22 basis points), 3/26/2018 (10)		18,500,000		18,500,000
1.455% (LIBOR 1 Month-13 basis points), 6/7/2018 (10)		15,000,000		15,000,000
1.460%, 4/2/2018 (8)		10,700,000		10,686,114
1.465% (LIBOR 1 Month-13 basis points), 9/17/2018 (10)		10,000,000		10,000,000
1.466% (LIBOR 1 Month-12 basis points), 9/11/2018 (10)		15,000,000		15,000,000
1.476% (LIBOR 1 Month-15 basis points), 4/25/2018 (10)		13,500,000		13,499,893
1.476% (LIBOR 1 Month-15 basis points), 4/26/2018 (10)		15,000,000		14,999,898
1.476% (LIBOR 1 Month-15 basis points), 5/24/2018 (10)		11,500,000		11,499,629
1.478% (LIBOR 1 Month-13 basis points), 11/23/2018 (10)		15,000,000		15,000,000
1.488% (LIBOR 1 Month-12 basis points), 8/23/2018 (10)		15,000,000		15,000,000
1.489% (LIBOR 1 Month-9 basis points), 11/8/2018 (10)		15,000,000		15,000,000
1.491% (LIBOR 1 Month-13 basis points), 7/25/2018 (10)		15,000,000		15,000,000
1.491% (LIBOR 1 Month-9 basis points), 1/11/2019 (10)		13,500,000		13,500,000
1.491% (LIBOR 1 Month-9 basis points), 8/12/2019 (10)		10,150,000		10,150,000
1.494% (LIBOR 1 Month-10 basis points), 12/21/2018 (10)		17,500,000		17,500,000
1.494% (LIBOR 3 Month-21 basis points), 4/9/2019 (10)		14,500,000		14,500,000
1.499% (LIBOR 1 Month-8 basis points), 2/4/2019 (10)		10,000,000		10,000,000
1.501% (LIBOR 1 Month-12 basis points), 9/26/2018 (10)		18,000,000		18,000,000
1.506% (LIBOR 1 Month-9 basis points), 1/22/2019 (10)		15,000,000		15,000,000
1.508% (LIBOR 1 Month-8 basis points), 3/14/2019 (10)		14,000,000		14,000,000
1.516% (LIBOR 1 Month-11 basis points), 1/24/2019 (10)		15,000,000		15,000,000
1.516% (LIBOR 1 Month-8 basis points), 8/22/2019 (10)		13,000,000		13,000,000
1.520% (LIBOR 1 Month-7 basis points), 7/19/2019 (10)		15,000,000		15,000,110
1.523% (LIBOR 1 Month-8 basis points), 7/23/2018 (10)		10,000,000		10,000,000
1.523% (LIBOR 1 Month-8 basis points), 11/23/2018 (10)		14,500,000		14,500,000

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

72

BMO Funds

Government Money Market Fund (continued)

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
Federal Home Loan Bank (continued)
1.530% (LIBOR 1 Month-5 basis points), 2/1/2019 (10)	$	10,000,000	$	10,000,034
1.531% (LIBOR 1 Month-9 basis points), 7/26/2019 (10)		12,850,000		12,850,000
1.534% (LIBOR 3 Month-20 basis points), 1/18/2019 (10)		2,950,000		2,949,395
1.538% (LIBOR 1 Month-7 basis points), 1/23/2020 (10)		10,000,000		10,000,018
1.584% (LIBOR 3 Month-15 basis points), 1/17/2020 (10)		8,500,000		8,500,000
1.588% (LIBOR 1 Month-6 basis points), 8/28/2019 (10)		10,000,000		10,000,000
1.615% (LIBOR 1 Month+3 basis points), 5/17/2018 (10)		5,000,000		5,001,324
1.623% (LIBOR 1 Month+2 basis points), 3/23/2018 (10)		25,000,000		25,000,010
1.650% (FCPR DLY-285 basis points), 11/7/2018 (10)		2,000,000		2,003,738
				947,358,721
Federal Home Loan Mortgage Corporation — 5.6%
1.243%, 3/1/2018 (8)		88,061,000		88,061,000
1.330%, 3/14/2018 (8)		12,255,000		12,249,114
1.440%, 4/27/2018 (8)		15,000,000		14,965,800
1.446% (LIBOR 1 Month-15 basis points), 8/22/2018 (10)		15,000,000		15,000,000
1.458% (LIBOR 3 Month-25 basis points), 10/10/2018 (10)		20,000,000		20,000,000
1.495% (LIBOR 3 Month-25 basis points), 7/25/2018 (10)		10,000,000		10,000,000
1.506% (LIBOR 1 Month-13 basis points), 11/27/2018 (10)		10,000,000		10,000,000
1.531% (LIBOR 3 Month-28 basis points), 8/10/2018 (10)		15,000,000		15,000,000
				185,275,914
Federal National Mortgage Association — 4.8%
1.290%, 3/7/2018 (8)		47,995,000		47,984,684
1.310%, 3/5/2018 (8)		20,000,000		19,997,089
1.310%, 3/22/2018 (8)		15,000,000		14,988,538
1.360%, 3/14/2018 (8)		25,000,000		24,987,722
1.360%, 3/28/2018 (8)		10,167,000		10,156,630
1.386%, 3/21/2018 (8)		40,000,000		39,969,194
				158,083,857
U.S. Treasury Bonds & Notes — 4.1%
1.290%, 3/8/2018 (8)		50,000,000		49,987,458
1.309%, 3/22/2018 (8)		50,000,000		49,961,830

Description	Principal Amount		Value
U.S. Government & U.S. Government Agency Obligations (continued)
U.S. Treasury Bonds & Notes (continued)
1.321%, 3/15/2018 (8)	$	35,000,000	$	34,982,027
				134,931,315
Total U.S. Government & U.S. Government Agency Obligations				2,015,619,773
Total Investments — 100.2% (at amortized cost)				3,296,841,867
Other Assets and Liabilities — (0.2)%				(7,642,094	)
Total Net Assets — 100.0%			$	3,289,199,773

Portfolio Sector Allocation*
Sector	Fund
Mutual Funds		7.1	%
Repurchase Agreements		31.8
U.S. Government & U.S. Government Agency Obligations		61.3
Other Assets & Liabilities, Net		(0.2)
Total		100.0	%

Tax-Free Money Market Fund

Description	Principal Amount		Value
Municipals — 98.0%
Alabama — 8.7%
Chatom Industrial Development Board, 1.550%, 8/1/2037 (9)	$	5,500,000	$	5,500,000
City of Oxford, 1.200%, 9/1/2041 (9)		12,745,000		12,745,000
Eutaw Industrial Development Board, 1.280%, 6/1/2028 (9)		3,700,000		3,700,000
Mobile Industrial Development Board, 1.180%, 6/1/2034 (9)		10,000,000		10,000,000
				31,945,000
Alaska — 1.4%
State of Alaska International Airports System, 1.120%, 10/1/2030 (9)		5,035,000		5,035,000
California — 2.4%
Tender Option Bond Trust Receipts/Certificates, 1.240%, 9/1/2042 (5)(9)		8,945,000		8,945,000
Colorado — 2.6%
Colorado Health Facilities Authority, 1.170%, 1/1/2035 (9)		9,500,000		9,500,000
Connecticut — 3.4%
State of Connecticut, 1.220%, 5/15/2034 (9)		12,700,000		12,700,000
Delaware — 0.9%
Delaware State Health Facilities Authority, 1.100%, 10/1/2040 (9)		3,360,000		3,360,000
Florida — 9.2%
Alachua County Housing Finance Authority, 1.090%, 4/15/2041 (9)		4,020,000		4,020,000
City of Gainesville, 1.070%, 10/1/2036 (9)		11,200,000		11,200,000

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

73

February 28, 2018 (Unaudited)

Schedules of Investments

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Florida (continued)
County of Brevard, 1.270%, 10/1/2019 (9)	$	500,000	$	500,000
County of St. Lucie, 1.170%, 9/1/2028 (9)		2,000,000		2,000,000
Florida Keys Aqueduct Authority, 1.100%, 9/1/2035 (9)		3,900,000		3,900,000
Jacksonville Pollution Control, 1.220%, 3/8/2018		12,300,000		12,300,000
				33,920,000
Georgia — 1.5%
Columbia County Development Authority, 1.220%, 8/1/2018 (9)		400,000		400,000
RBC Municipal Products, Inc. Trust, 1.150%, 10/1/2021 (5)(9)		5,000,000		5,000,000
				5,400,000
Illinois — 6.0%
Illinois Housing Development Authority, 1.070%, 1/1/2041 (9)		10,000,000		10,000,000
Illinois State Toll Highway Authority, AGM, 1.080%, 1/1/2031 (9)		1,485,000		1,485,000
Jackson-Union Counties Regional Port District, 1.140%, 4/1/2024 (9)		2,400,000		2,400,000
Phoenix Realty Special Account-U LP, 1.090%, 4/1/2020 (9)		8,075,000		8,075,000
				21,960,000
Indiana — 3.7%
Indiana Health Facility Financing Authority, 1.150%, 11/15/2039 (9)		5,930,000		5,930,000
Tender Option Bond Trust Receipts/Certificates, 1.240%, 5/14/2026 (5)(9)		7,770,000		7,770,000
				13,700,000
Iowa — 3.8%
Iowa Finance Authority:
1.120%, 6/1/2039 (9)		9,800,000		9,800,000
1.130%, 9/1/2036 (9)		3,200,000		3,200,000
1.140%, 3/1/2022 (9)		1,175,000		1,175,000
				14,175,000
Maryland — 2.4%
County of Montgomery:
1.140%, 6/1/2018 (9)		4,715,000		4,715,000
1.250%, 3/15/2018		4,000,000		4,000,000
				8,715,000
Michigan — 0.3%
Michigan Strategic Fund, 1.150%, 6/1/2039 (9)		1,040,000		1,040,000
Minnesota — 3.4%
City of Ramsey, 1.290%, 12/1/2023 (9)		1,860,000		1,860,000

Description	Principal Amount		Value
Municipals (continued)
Minnesota (continued)
Minnesota Higher Education Facilities Authority:
1.110%, 4/1/2035 (9)	$	5,420,000	$	5,420,000
1.160%, 3/1/2024 (9)		2,000,000		2,000,000
1.160%, 3/1/2033 (9)		3,215,000		3,215,000
				12,495,000
Mississippi — 4.0%
Mississippi Business Finance Corp.:
1.110%, 12/1/2030 (9)		1,200,000		1,200,000
1.110%, 12/1/2030 (9)		9,000,000		9,000,000
1.110%, 11/1/2035 (9)		1,770,000		1,770,000
1.150%, 5/1/2037 (9)		2,823,000		2,823,000
				14,793,000
Missouri — 2.0%
Greene County Industrial Development Authority, 1.170%, 5/1/2039 (9)		965,000		965,000
Missouri Development Finance Board, 1.100%, 12/1/2037 (9)		6,500,000		6,500,000
				7,465,000
Nebraska — 0.2%
Nebraska Investment Finance Authority, 1.500%, 9/1/2031 (9)		600,000		600,000
New Jersey — 1.4%
RBC Municipal Products, Inc. Trust, 1.120%, 6/28/2018 (5)(9)		5,000,000		5,000,000
New York — 8.8%
City of New York:
1.120%, 8/1/2035 (9)		7,000,000		7,000,000
1.200%, 8/1/2044 (9)		3,500,000		3,500,000
County of Nassau, 3.000%, 9/18/2018		1,800,000		1,813,891
Metropolitan Transportation Authority, 1.070%, 11/1/2032 (9)		10,000,000		10,000,000
New York City Water & Sewer System, 1.140%, 6/15/2044 (9)		4,500,000		4,500,000
State of New York Mortgage Agency, 1.100%, 4/1/2047 (9)		2,000,000		2,000,000
Tender Option Bond Trust Receipts/Certificates, 1.130%, 1/1/2024 (5)(9)		2,000,000		2,000,000
Triborough Bridge & Tunnel Authority, 1.170%, 1/1/2032 (9)		1,650,000		1,650,000
				32,463,891
North Carolina — 1.3%
North Carolina Medical Care Commission, 1.130%, 11/15/2028 (9)		4,740,000		4,740,000
Ohio — 2.5%
County of Franklin, 1.100%, 5/1/2018 (9)		4,250,000		4,250,000
County of Licking, 2.000%, 5/23/2018		1,200,000		1,202,156

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

74

BMO Funds

Tax-Free Money Market Fund (continued)

Description	Principal Amount		Value
Municipals (continued)
Ohio (continued)
Port of Greater Cincinnati Development Authority:
1.460%, 11/1/2023 (9)	$	1,455,000	$	1,455,000
1.460%, 11/1/2025 (9)		280,000		280,000
Village of Cuyahoga Heights, 1.625%, 6/20/2018		2,000,000		2,003,156
				9,190,312
Pennsylvania — 1.9%
RBC Municipal Products, Inc. Trust, 1.140%, 4/1/2022 (5)(9)		7,000,000		7,000,000
South Carolina — 0.8%
South Carolina Educational Facilities Authority, 1.120%, 10/1/2039 (9)		3,000,000		3,000,000
South Dakota — 3.5%
South Dakota Housing Development Authority:
1.250%, 5/1/2048 (9)		6,635,000		6,635,000
1.250%, 11/1/2048 (9)		6,220,000		6,220,000
				12,855,000
Tennessee — 2.0%
Shelby County Health Educational & Housing Facilities Board, AGM, 1.100%, 6/1/2042 (9)		7,500,000		7,500,000
Texas — 8.3%
City of Austin, 1.140%, 11/15/2029 (9)		1,360,000		1,360,000
County of Fort Bend, 5.250%, 3/1/2018		265,000		265,000
County of Harris:
1.150%, 3/1/2018		1,300,000		1,300,000
1.150%, 3/1/2018		550,000		550,000
Harris County Industrial Development Corp., 1.140%, 3/1/2024 (9)		6,500,000		6,500,000
Mission Economic Development Corp., 1.200%, 4/1/2022 (9)		11,000,000		11,000,000
Tarrant County Cultural Education Facilities Finance Corp.:
1.170%, 11/15/2033 (9)		2,315,000		2,315,000
1.170%, 11/15/2047 (9)		5,550,000		5,550,000
Texas A&M University, 1.330%, 4/4/2018		1,810,000		1,809,961
				30,649,961
Utah — 3.6%
City of Murray, 1.070%, 5/15/2036 (9)		8,000,000		8,000,000
County of Weber, 1.110%, 2/15/2035 (9)		5,400,000		5,400,000
				13,400,000
Washington — 4.1%
Seattle Housing Authority, 1.270%, 6/1/2040 (9)		1,000,000		1,000,000
Tender Option Bond Trust Receipts/Certificates, 1.240%, 6/15/2029 (5)(9)		11,320,000		11,320,000

Description	Shares or Principal Amount		Value
Municipals (continued)
Washington (continued)
Washington State Housing Finance Commission, 1.220%, 7/1/2028 (9)	$	2,720,000	$	2,720,000
				15,040,000
Wisconsin — 3.9%
Tender Option Bond Trust Receipts/Certificates, 1.130%, 7/1/2047 (5)(9)		2,385,000		2,385,000
Wisconsin Health & Educational Facilities Authority:
1.070%, 2/15/2029 (9)		10,000,000		10,000,000
1.140%, 5/1/2030 (9)		1,805,000		1,805,000
				14,190,000
Total Municipals				360,777,164
Mutual Funds — 2.9%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.290%		100,478		100,478
Federated Institutional Tax-Free Cash Trust — Institutional Class, 0.970%		10,528,198		10,528,198
Total Mutual Funds				10,628,676
Total Investments — 100.9% (at amortized cost)				371,405,840
Other Assets and Liabilities — (0.9)%				(3,199,925	)
Total Net Assets — 100.0%			$	368,205,915

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

Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 29.3%
Banks — 22.3%
Bank of Nova Scotia/Houston:
1.774% (LIBOR 1 Month+18 basis points), 5/18/2018 (10)	$	2,000,000	$	2,000,000
1.824% (LIBOR 1 Month+23 basis points), 9/17/2018 (10)		2,500,000		2,500,134
Credit Suisse AG/New York:
1.821% (LIBOR 1 Month+24 basis points), 9/10/2018 (10)		3,000,000		3,000,000
1.854% (LIBOR 1 Month+26 basis points), 7/18/2018 (10)		2,500,000		2,500,287

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

75

February 28, 2018 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
1.854% (LIBOR 1 Month+26 basis points), 8/17/2018 (10)	$	2,500,000	$	2,500,414
1.854% (LIBOR 1 Month+26 basis points), 8/20/2018 (10)		3,000,000		3,000,000
1.856% (LIBOR 1 Month+26 basis points), 10/22/2018 (10)		2,500,000		2,500,000
HSBC Bank USA NA:
1.804% (LIBOR 1 Month+21 basis points), 11/20/2018 (10)		2,500,000		2,500,000
1.924% (LIBOR 1 Month+33 basis points), 3/20/2018 (10)		2,500,000		2,500,000
Mitsubishi UFJ Trust & Banking Corp.:
1.769% (LIBOR 1 Month+19 basis points), 3/8/2018 (10)		2,500,000		2,499,998
1.798% (LIBOR 1 Month+21 basis points), 7/16/2018 (10)		2,500,000		2,500,000
1.818% (LIBOR 1 Month+23 basis points), 8/16/2018 (10)		3,000,000		2,999,916
1.829% (LIBOR 1 Month+25 basis points), 8/9/2018 (10)		3,000,000		3,000,000
1.868% (LIBOR 1 Month+22 basis points), 6/29/2018 (10)		2,000,000		2,000,000
Mizuho Bank, Ltd.:
1.778% (LIBOR 1 Month+19 basis points), 3/15/2018 (10)		2,500,000		2,500,000
1.781% (LIBOR 1 Month+20 basis points), 4/10/2018 (10)		2,500,000		2,500,000
1.793% (LIBOR 1 Month+19 basis points), 3/23/2018 (10)		2,400,000		2,400,015
1.794% (LIBOR 1 Month+20 basis points), 4/19/2018 (10)		2,500,000		2,500,000
1.799% (LIBOR 1 Month+22 basis points), 5/8/2018 (10)		2,500,000		2,500,000
1.824% (LIBOR 1 Month+23 basis points), 6/18/2018 (10)		2,500,000		2,500,000
Norinchukin Bank/New York, 1.776% (LIBOR 1 Month+18 basis points), 5/21/2018 (10)		2,500,000		2,500,000
Sumitomo Mitsui Banking Corp./New York:
1.794% (LIBOR 1 Month+20 basis points), 4/19/2018 (10)		2,500,000		2,500,000
1.814% (LIBOR 1 Month+22 basis points), 5/18/2018 (10)		2,500,000		2,500,000
1.814% (LIBOR 1 Month+22 basis points), 6/18/2018 (10)		2,250,000		2,250,000
1.871% (LIBOR 1 Month+25 basis points), 10/24/2018 (10)		2,500,000		2,500,000
2.114% (LIBOR 3 Month+17 basis points), 8/24/2018 (10)		2,500,000		2,500,000
Swedbank (New York), 1.420%, 3/7/2018		17,000,000		17,000,000
Toronto Dominion Bank:
1.781% (LIBOR 1 Month+20 basis points), 8/10/2018 (10)		2,375,000		2,375,000
1.923% (LIBOR 1 Month+34 basis points), 3/13/2018 (10)		2,500,000		2,500,000

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
Wells Fargo Bank NA:
1.764% (LIBOR 1 Month+17 basis points), 4/20/2018 (10)	$	2,500,000	$	2,500,000
1.800% (LIBOR 1 Month+22 basis points), 10/5/2018 (10)		2,000,000		2,000,000
1.821% (LIBOR 1 Month+24 basis points), 11/9/2018 (10)		2,500,000		2,500,000
1.848% (LIBOR 1 Month+20 basis points), 8/30/2018 (10)		2,500,000		2,500,000
Westpac Banking Corp.:
1.834% (LIBOR 3 Month+13 basis points), 1/9/2019 (10)		3,000,000		3,000,000
1.870% (U.S. Federal Funds Effective Rate (continuous series)+45 basis points), 2/15/2019 (10)		2,500,000		2,500,000
				102,525,764
European Time Deposit — 7.0%
DNB Bank ASA Cayman, 1.330%, 3/1/2018		15,000,000		15,000,000
Svenska Handelsbanken, Inc., 1.330%, 3/1/2018		17,000,000		17,000,000
				32,000,000
Total Certificates of Deposit				134,525,764
Commercial Paper — 55.4%
Asset-Backed Securities — 21.3%
Atlantic Asset Securitization LLC:
1.500%, 3/2/2018 (5)(8)		5,000,000		4,999,792
1.590%, 3/16/2018 (5)(8)		3,500,000		3,497,681
1.680%, 4/2/2018 (5)(8)		3,000,000		2,995,467
1.720%, 4/6/2018 (5)(8)		3,000,000		2,994,840
Bedford Row Funding Corp.:
1.715% (LIBOR 1 Month+14 basis points), 3/1/2018 (5)(10)		2,500,000		2,500,000
1.801% (LIBOR 1 Month+15 basis points), 5/11/2018 (5)(10)		2,500,000		2,500,000
1.801% (LIBOR 1 Month+22 basis points), 6/11/2018 (5)(10)		3,000,000		3,000,000
1.810% (LIBOR 1 Month+22 basis points), 8/17/2018 (5)(10)		2,000,000		2,000,000
1.813% (LIBOR 1 Month+23 basis points), 12/13/2018 (5)(10)		2,500,000		2,500,000
1.953% (LIBOR 1 Month+35 basis points), 2/15/2019 (5)(10)		3,000,000		3,000,000
Chesham Finance Ltd., 1.430%, 3/1/2018 (5)(8)		18,000,000		18,000,000
LMA Americas LLC:
1.570%, 3/1/2018 (5)(8)		3,500,000		3,500,000
1.570%, 3/6/2018 (5)(8)		4,000,000		3,999,128
1.700%, 4/3/2018 (5)(8)		3,500,000		3,494,546
Manhattan Asset Funding Co.:
1.700%, 4/3/2018 (5)(8)		3,500,000		3,494,546
1.790% (LIBOR 1 Month+21 basis points), 5/4/2018 (5)(10)		2,500,000		2,500,000

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

76

BMO Funds

Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Asset-Backed Securities (continued)
Old Line Funding LLC:
1.730% (LIBOR 1 Month+15 basis points), 6/5/2018 (5)(10)	$	3,000,000	$	3,000,000
1.836% (LIBOR 1 Month+24 basis points), 8/22/2018 (5)(10)		3,000,000		3,000,000
Regency Markets No. 1 LLC:
1.450%, 3/1/2018 (5)(8)		7,500,000		7,500,000
1.550%, 3/8/2018 (5)(8)		4,000,000		3,998,794
1.580%, 3/14/2018 (5)(8)		2,500,000		2,498,573
Starbird Funding Corp., 1.600%, 3/6/2018 (5)(8)		5,000,000		4,998,889
Thunder Bay Funding LLC:
1.750% (LIBOR 1 Month+17 basis points), 7/2/2018 (5)(10)		2,500,000		2,500,000
1.781% (LIBOR 1 Month+20 basis points), 9/11/2018 (5)(10)		2,500,000		2,500,000
1.826% (LIBOR 1 Month+23 basis points), 6/22/2018 (5)(10)		2,500,000		2,500,000
				97,472,256
Automobiles — 2.5%
Toyota Motor Credit Corp., 1.770% (LIBOR 1 Month+18 basis points), 6/15/2018 (10)		2,000,000		2,000,000
Toyota Motor Credit Corp.:
1.760% (LIBOR 1 Month+18 basis points), 4/27/2018 (10)		3,000,000		3,000,000
1.766% (LIBOR 1 Month+17 basis points), 3/12/2018 (10)		4,000,000		4,000,000
1.778% (LIBOR 1 Month+19 basis points), 5/10/2018 (10)		2,500,000		2,500,000
				11,500,000
Diversified Financial Services — 2.4%
Collateralized Commercial Paper Co. LLC:
1.560%, 4/17/2018 (8)		3,000,000		2,993,890
1.794% (LIBOR 1 Month+20 basis points), 7/20/2018 (10)		3,000,000		3,000,000
JP Morgan Securities LLC:
1.780% (LIBOR 1 Month+20 basis points), 4/6/2018 (10)		2,500,000		2,500,000
1.794% (LIBOR 1 Month+23 basis points), 7/2/2018 (10)		2,500,000		2,500,000
				10,993,890
Foreign Banks — 7.7%
Commonwealth Bank of Australia:
1.721% (LIBOR 1 Month+16 basis points), 7/23/2018 (5)(10)		1,500,000		1,499,885
1.781% (LIBOR 1 Month+20 basis points), 5/11/2018 (5)(10)		2,500,000		2,500,000
1.781% (LIBOR 1 Month+20 basis points), 10/11/2018 (5)(10)		2,500,000		2,500,000

Description	Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
1.858% (LIBOR 1 Month+21 basis points), 11/30/2018 (5)(10)	$	2,500,000	$	2,499,824
National Australia Bank, Ltd.:
1.848% (LIBOR 1 Month+20 basis points), 10/29/2018 (5)(10)		2,500,000		2,500,000
1.930% (LIBOR 1 Month+35 basis points), 3/6/2018 (5)(10)		2,000,000		2,000,000
Natixis, NY Branch, 1.350%, 3/1/2018 (8)		7,500,000		7,500,000
Suncorp Metway, Ltd.:
1.520%, 3/21/2018 (5)(8)		2,500,000		2,497,889
1.950%, 7/9/2018 (5)(8)		2,500,000		2,482,396
Toronto Dominion Bank:
1.770% (LIBOR 1 Month+19 basis points), 10/3/2018 (5)(10)		2,000,000		2,000,000
1.846% (LIBOR 1 Month+25 basis points), 12/21/2018 (5)(10)		2,500,000		2,500,000
1.853% (LIBOR 1 Month+27 basis points), 2/8/2019 (5)(10)		2,500,000		2,500,000
Westpac Banking Corp., 1.771% (LIBOR 1 Month+19 basis points), 9/10/2018 (5)(10)		2,500,000		2,500,000
				35,479,994
Integrated Oil — 1.9%
Exxon Mobil Corp.:
1.208%, 3/5/2018 (8)		6,000,000		5,999,033
1.305%, 3/6/2018 (8)		2,500,000		2,499,940
				8,498,973
Life Insurance — 2.9%
MetLife Short Term Funding LLC:
1.550%, 3/6/2018 (5)(8)		5,000,000		4,998,924
1.550%, 3/8/2018 (5)(8)		5,000,000		4,998,493
1.560%, 3/22/2018 (5)(8)		3,500,000		3,496,815
				13,494,232
Machinery Manufacturing — 2.5%
Caterpillar Financial Service Corp.:
1.660%, 3/2/2018 (8)		5,000,000		4,999,769
1.660%, 3/5/2018 (8)		6,300,000		6,298,838
				11,298,607
Managed Care — 3.7%
UnitedHealth Group, Inc.:
1.650%, 3/1/2018 (5)(8)		9,000,000		9,000,000
1.690%, 3/2/2018 (5)(8)		3,000,000		2,999,859
1.690%, 3/6/2018 (5)(8)		5,000,000		4,998,826
				16,998,685
Pharmaceuticals — 3.5%
Novartis Finance Corp.:
1.500%, 3/6/2018 (5)(8)		4,000,000		3,999,167
1.500%, 3/7/2018 (5)(8)		12,000,000		11,997,000
				15,996,167

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

77

February 28, 2018 (Unaudited)

Schedules of Investments

Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Retail — 5.1%
Home Depot, Inc.:
1.370%, 3/1/2018 (5)(8)	$	10,000,000	$	10,000,000
1.450%, 3/2/2018 (5)(8)		5,000,000		4,999,799
Wal-mart Stores, Inc.:
1.440%, 3/5/2018 (5)(8)		5,000,000		4,999,200
1.520%, 3/21/2018 (5)(8)		3,500,000		3,497,044
				23,496,043
Utilities — 1.4%
Florida Power & Light Co.:
1.550%, 3/2/2018 (8)		3,000,000		2,999,871
1.800%, 3/14/2018 (8)		3,500,000		3,497,725
				6,497,596
Winding Up Agencies — 0.5%
Erste Abwicklungsanstalt, 1.685% (LIBOR 1 Month+11 basis points), 6/1/2018 (5)(10)		2,500,000		2,499,910
Total Commercial Paper				254,226,353
Municipals — 3.4%
Colorado — 1.0%
Colorado Housing & Finance Authority, 1.480%, 10/1/2036 (9)		4,500,000		4,500,000
Tennessee — 2.4%
Johnson City Health & Educational Facilities Board, 1.620%, 8/15/2043 (9)		11,075,000		11,075,000
Total Municipals				15,575,000
Mutual Funds — 3.5%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.290%		1,000,000		1,000,000
Invesco Government & Agency Portfolio — Institutional Class, 1.300%		15,000,000		15,000,000
Total Mutual Funds				16,000,000
Repurchase Agreements — 8.4%
Agreement with Fixed Income Clearing Corp., 0.650%, dated 2/28/2018, to be repurchased at $10,846,348 on 3/1/2018, collateralized by U.S. Government Treasury Obligations with various maturities to 3/31/2019, with a market value of $10,980,548	$	10,846,153		10,846,153

Description	Principal Amount		Value
Repurchase Agreements (continued)
Agreement with Goldman Sachs Group, Inc., 1.380%, dated 2/28/2018, to be repurchased at $27,501,054 on 3/1/2018, collateralized by U.S. Government Agency Obligations with various maturities to 5/1/2047, with a market value of $27,977,301	$	27,500,000	$	27,500,000
Total Repurchase Agreements				38,346,153
Total Investments — 100.0% (at amortized cost)				458,673,270
Other Assets and Liabilities — 0.0%				(210,810	)
Total Net Assets — 100.0%			$	458,462,460

Portfolio Sector Allocation*
Sector	Fund
Certificates of Deposit		29.3	%
Commercial Paper		55.4
Municipals		3.4
Mutual Funds		3.5
Repurchase Agreements		8.4
Total		100.0	%

Institutional Prime Money Market Fund

Description	Principal Amount		Value
Certificates of Deposit — 25.4%
Banks — 25.4%
Bank of Nova Scotia/Houston:
1.774% (LIBOR 1 Month+18 basis points), 5/18/2018 (10)	$	2,000,000	$	2,000,721
1.824% (LIBOR 1 Month+23 basis points), 9/17/2018 (10)		2,500,000		2,499,877
Commonwealth Bank of Australia/New York, 1.758% (LIBOR 1 Month+17 basis points), 8/15/2018 (10)		2,500,000		2,499,739
Credit Suisse AG/New York:
1.821% (LIBOR 1 Month+24 basis points), 9/10/2018 (10)		3,000,000		3,000,249
1.854% (LIBOR 1 Month+26 basis points), 7/18/2018 (10)		2,500,000		2,500,887
1.854% (LIBOR 1 Month+26 basis points), 8/17/2018 (10)		2,500,000		2,500,633
1.854% (LIBOR 1 Month+26 basis points), 8/20/2018 (10)		3,000,000		3,000,765
1.856% (LIBOR 1 Month+26 basis points), 10/22/2018 (10)		2,500,000		2,500,310
HSBC Bank USA NA:
1.804% (LIBOR 1 Month+21 basis points), 11/20/2018 (10)		2,500,000		2,499,766
1.924% (LIBOR 1 Month+33 basis points), 3/20/2018 (10)		2,500,000		2,500,630
Mitsubishi UFJ Trust & Banking Corp.:
1.765% (LIBOR 1 Month+19 basis points), 3/1/2018 (10)		1,300,000		1,300,013

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

78

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
1.769% (LIBOR 1 Month+19 basis points), 3/8/2018 (10)	$	3,000,000	$	2,999,981
1.798% (LIBOR 1 Month+21 basis points), 7/16/2018 (10)		2,500,000		2,500,510
1.818% (LIBOR 1 Month+23 basis points), 8/16/2018 (10)		3,000,000		3,000,325
1.829% (LIBOR 1 Month+25 basis points), 8/9/2018 (10)		2,750,000		2,750,762
1.868% (LIBOR 1 Month+22 basis points), 6/29/2018 (10)		2,500,000		2,500,615
Mizuho Bank, Ltd.:
1.778% (LIBOR 1 Month+19 basis points), 3/15/2018 (10)		3,000,000		3,000,406
1.781% (LIBOR 1 Month+20 basis points), 4/10/2018 (10)		3,000,000		3,001,054
1.793% (LIBOR 1 Month+19 basis points), 3/23/2018 (10)		2,000,000		2,000,336
1.794% (LIBOR 1 Month+20 basis points), 4/19/2018 (10)		2,500,000		2,500,937
1.799% (LIBOR 1 Month+22 basis points), 5/8/2018 (10)		3,000,000		3,001,413
1.824% (LIBOR 1 Month+23 basis points), 6/18/2018 (10)		2,500,000		2,500,676
Norinchukin Bank/New York, 1.776% (LIBOR 1 Month+18 basis points), 5/21/2018 (10)		2,500,000		2,500,874
Sumitomo Mitsui Banking Corp./New York:
1.794% (LIBOR 1 Month+20 basis points), 4/19/2018 (10)		3,000,000		3,001,125
1.814% (LIBOR 1 Month+22 basis points), 5/18/2018 (10)		2,500,000		2,501,114
1.814% (LIBOR 1 Month+22 basis points), 6/18/2018 (10)		2,250,000		2,250,629
1.871% (LIBOR 1 Month+25 basis points), 10/24/2018 (10)		2,500,000		2,499,525
2.114% (LIBOR 3 Month+17 basis points), 8/24/2018 (10)		2,500,000		2,502,473
Swedbank (New York), 1.420%, 3/7/2018		16,000,000		16,000,050
Toronto Dominion Bank:
1.781% (LIBOR 1 Month+20 basis points), 8/10/2018 (10)		2,375,000		2,375,240
1.923% (LIBOR 1 Month+34 basis points), 3/13/2018 (10)		2,500,000		2,500,430
Wells Fargo Bank NA:
1.764% (LIBOR 1 Month+17 basis points), 4/20/2018 (10)		2,500,000		2,500,735
1.800% (LIBOR 1 Month+22 basis points), 10/5/2018 (10)		3,000,000		2,999,803
1.821% (LIBOR 1 Month+24 basis points), 11/9/2018 (10)		2,500,000		2,500,009
1.848% (LIBOR 1 Month+20 basis points), 8/30/2018 (10)		2,500,000		2,499,820
Westpac Banking Corp.:
1.834% (LIBOR 3 Month+13 basis points), 1/9/2019 (10)		3,000,000		2,998,876

Description	Principal Amount		Value
Certificates of Deposit (continued)
Banks (continued)
1.870% (U.S. Federal Funds Effective Rate (continuous series)+45 basis points), 2/15/2019 (10)	$	2,500,000	$	2,500,115
Total Certificates of Deposit (identified cost $108,675,654)				108,691,423
Commercial Paper — 61.1%
Asset-Backed Securities — 20.0%
Atlantic Asset Securitization LLC:
1.570%, 4/4/2018 (5)(8)		2,500,000		2,495,727
1.590%, 3/16/2018 (5)(8)		3,500,000		3,497,583
1.680%, 4/2/2018 (5)(8)		3,000,000		2,995,190
1.720%, 4/6/2018 (5)(8)		3,000,000		2,994,549
Bedford Row Funding Corp.:
1.715% (LIBOR 1 Month+14 basis points), 3/1/2018 (5)(10)		2,500,000		2,500,022
1.801% (LIBOR 1 Month+15 basis points), 5/11/2018 (5)(10)		2,500,000		2,500,774
1.801% (LIBOR 1 Month+22 basis points), 6/11/2018 (5)(10)		3,000,000		3,001,004
1.810% (LIBOR 1 Month+22 basis points), 8/17/2018 (5)(10)		2,500,000		2,500,164
1.813% (LIBOR 1 Month+23 basis points), 12/13/2018 (5)(10)		2,500,000		2,499,255
1.953% (LIBOR 1 Month+35 basis points), 2/15/2019 (5)(10)		3,000,000		3,001,485
Chesham Finance Ltd., 1.430%, 3/1/2018 (5)(8)		17,000,000		16,999,296
Liberty Street Funding LLC, 1.500%, 3/6/2018 (5)(8)		3,000,000		2,999,245
LMA Americas LLC:
1.570%, 3/1/2018 (5)(8)		3,500,000		3,499,867
1.820%, 4/30/2018 (5)(8)		1,800,000		1,794,254
Manhattan Asset Funding Co., 1.790% (LIBOR 1 Month+21 basis points), 5/4/2018 (5)(10)		3,000,000		3,001,261
Old Line Funding LLC:
1.730% (LIBOR 1 Month+15 basis points), 6/5/2018 (5)(10)		3,500,000		3,500,004
1.836% (LIBOR 1 Month+24 basis points), 8/22/2018 (5)(10)		3,000,000		3,000,734
Regency Markets No. 1 LLC:
1.450%, 3/1/2018 (5)(8)		7,500,000		7,499,689
1.550%, 3/8/2018 (5)(8)		4,000,000		3,998,650
1.580%, 3/14/2018 (5)(8)		3,500,000		3,497,902
Thunder Bay Funding LLC:
1.750% (LIBOR 1 Month+17 basis points), 7/2/2018 (5)(10)		3,000,000		3,000,129
1.781% (LIBOR 1 Month+20 basis points), 9/11/2018 (5)(10)		2,500,000		2,499,797
1.826% (LIBOR 1 Month+23 basis points), 6/22/2018 (5)(10)		2,500,000		2,500,206
				85,776,787

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

79

February 28, 2018 (Unaudited)

Schedules of Investments

Institutional Prime Money Market Fund (continued)

Description	Principal Amount		Value
Commercial Paper (continued)
Automobiles — 3.5%
Toyota Motor Credit Corp., 1.770% (LIBOR 1 Month+18 basis points), 6/15/2018 (10)	$	3,000,000	$	3,000,670
Toyota Motor Credit Corp.:
1.760% (LIBOR 1 Month+18 basis points), 4/27/2018 (10)		3,000,000		3,001,187
1.766% (LIBOR 1 Month+17 basis points), 3/12/2018 (10)		4,000,000		4,000,431
1.770% (LIBOR 1 Month+19 basis points), 6/4/2018 (10)		2,500,000		2,500,842
1.778% (LIBOR 1 Month+19 basis points), 5/10/2018 (10)		2,500,000		2,500,991
				15,004,121
Diversified Financial Services — 2.8%
Collateralized Commercial Paper Co. LLC:
1.560%, 4/17/2018 (8)		3,500,000		3,491,688
1.794% (LIBOR 1 Month+20 basis points), 7/20/2018 (10)		3,500,000		3,500,539
JP Morgan Securities LLC:
1.780% (LIBOR 1 Month+20 basis points), 4/6/2018 (10)		2,500,000		2,500,847
1.810% (LIBOR 1 Month+23 basis points), 7/2/2018 (10)		2,500,000		2,500,777
				11,993,851
Foreign Banks — 12.4%
Commonwealth Bank of Australia:
1.721% (LIBOR 1 Month+16 basis points), 7/23/2018 (5)(10)		2,000,000		1,999,978
1.781% (LIBOR 1 Month+20 basis points), 5/11/2018 (5)(10)		2,500,000		2,501,063
1.781% (LIBOR 1 Month+20 basis points), 10/11/2018 (5)(10)		3,000,000		2,999,533
1.858% (LIBOR 1 Month+21 basis points), 11/30/2018 (5)(10)		2,500,000		2,499,250
DNB Bank ASA, 1.430%, 3/6/2018 (5)(8)		15,000,000		14,996,475
National Australia Bank, Ltd.:
1.848% (LIBOR 1 Month+20 basis points), 10/29/2018 (5)(10)		3,000,000		2,999,352
1.930% (LIBOR 1 Month+35 basis points), 3/6/2018 (5)(10)		2,000,000		2,000,169
Natixis, NY Branch, 1.350%, 3/1/2018 (8)		7,500,000		7,499,713
Suncorp Metway, Ltd.:
1.520%, 3/21/2018 (5)(8)		2,500,000		2,497,458
1.950%, 7/9/2018 (5)(8)		2,500,000		2,480,641
Toronto Dominion Bank:
1.770% (LIBOR 1 Month+19 basis points), 10/3/2018 (5)(10)		2,500,000		2,500,222
1.846% (LIBOR 1 Month+25 basis points), 12/21/2018 (5)(10)		2,500,000		2,499,770

Description	Shares or Principal Amount		Value
Commercial Paper (continued)
Foreign Banks (continued)
1.853% (LIBOR 1 Month+27 basis points), 2/8/2019 (5)(10)	$	2,500,000	$	2,499,808
Westpac Banking Corp., 1.771% (LIBOR 1 Month+19 basis points), 9/10/2018 (5)(10)		3,000,000		3,000,022
				52,973,454
Integrated Oil — 1.9%
Exxon Mobil Corp.:
1.208%, 3/5/2018 (8)		6,000,000		5,998,821
1.305%, 3/6/2018 (8)		2,000,000		1,999,663
				7,998,484
Life Insurance — 3.5%
MetLife Short Term Funding LLC:
1.470%, 3/1/2018 (5)(8)		6,000,000		5,999,758
1.550%, 3/6/2018 (5)(8)		4,000,000		3,999,019
1.550%, 3/8/2018 (5)(8)		5,000,000		4,998,356
Machinery Manufacturing — 2.6%
Caterpillar Financial Service Corp.:
1.660%, 3/2/2018 (8)		5,000,000		4,999,542
1.660%, 3/5/2018 (8)		6,357,000		6,355,530
				11,355,072
Managed Care — 3.7%
UnitedHealth Group, Inc.:
1.650%, 3/1/2018 (5)(8)		8,000,000		7,999,619
1.690%, 3/2/2018 (5)(8)		3,000,000		2,999,713
1.690%, 3/6/2018 (5)(8)		5,000,000		4,998,550
				15,997,882
Pharmaceuticals — 3.7%
Novartis Finance Corp.:
1.500%, 3/6/2018 (5)(8)		4,000,000		3,999,033
1.500%, 3/7/2018 (5)(8)		12,000,000		11,996,605
				15,995,638
Retail — 4.7%
Home Depot, Inc.:
1.370%, 3/1/2018 (5)(8)		10,000,000		9,999,599
1.450%, 3/2/2018 (5)(8)		5,000,000		4,999,597
Wal-mart Stores, Inc., 1.440%, 3/5/2018 (5)(8)		5,000,000		4,998,998
				19,998,194
Utilities — 1.7%
Florida Power & Light Co.:
1.550%, 3/2/2018 (8)		3,801,000		3,800,637
1.800%, 3/14/2018 (8)		3,500,000		3,497,577
				7,298,214
Winding Up Agencies — 0.6%
Erste Abwicklungsanstalt, 1.685% (LIBOR 1 Month+11 basis points), 6/1/2018 (5)(10)		2,500,000		2,500,413
Total Commercial Paper (identified cost $261,889,375)				261,889,243
Mutual Funds — 6.0%
BlackRock Liquidity Funds T-Fund Portfolio — Institutional Class, 1.290%		10,616,398		10,616,398

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

80

BMO Funds

Institutional Prime Money Market Fund (continued)

Description	Shares or Principal Amount		Value
Mutual Funds (continued)
Invesco Government & Agency Portfolio — Institutional Class, 1.300%		15,000,000	$	15,000,000
Total Mutual Funds (identified cost $25,616,398)				25,616,398
Repurchase Agreement — 7.6%
Agreement with Goldman Sachs Group, Inc., 1.380%, dated 2/28/2018, to be repurchased at $32,501,246 on 3/1/2018, collateralized by U.S. Government Agency Obligations with various maturities to 8/1/2045, with a market value of $33,121,456	$	32,500,000		32,500,000
Total Repurchase Agreements (identified cost $32,500,000)				32,500,000
Total Investments — 100.1% (identified cost $428,681,427)				428,697,064
Other Assets and Liabilities — (0.1)%				(383,133	)
Total Net Assets — 100.0%			$	428,313,931

Portfolio Sector Allocation*
Sector	Fund
Certificates of Deposit		25.4	%
Commercial Paper		61.1
Mutual Funds		6.0
Repurchase Agreements		7.6
Other Assets & Liabilities, Net		(0.1	)
Total		100.0	%

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

81

Notes to Schedules of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for each Fund as of February 28, 2018. Call dates contained within the Schedules of Investments represent the next possible date the security can be redeemed, at the option of the issuer, determined as of February 28, 2018. Maturity dates contained within the Schedules of Investments represent the stated legal maturity date or mandatory put date. Certain securities may be subject to demand features which allow the security to be redeemed prior to final maturity date. In accordance with Rule 2a-7, securities held in the money market funds provide for the return of principal and interest within 397 days due to a scheduled final maturity date or through specific demand features. Demand features entitle a Fund to receive the principal amount of the instrument from the issuer or a third party (1) on no more than 30 calendar days’ notice or (2) at specified intervals not exceeding 397 calendar days.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on February 28, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement processes.

** A Summary Schedule of Investments is presented for this portfolio. A complete Schedule of Investments is available by accessing the SEC’s website, www.sec.gov. For all items listed as “Other securities” in this summary Schedule of Investments, this represents issues not identified as top-fifty unaffiliated holdings in terms of value and issues or issuers not exceeding one percent individually or in aggregate, respectively, as of February 28, 2018. In certain instances, securities for which footnotes listed below may otherwise apply are included in the “Other securities” caption.

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

(2) Non-income producing.

(3) Please refer to Note 2, subsection Securities Lending, in the Notes to Financial Statements.

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2018 these securities amounted to:

Fund	Amount		% of Total Net Assets
Global Low Volatility Equity Fund	$	1,666,646		3.19	%
Disciplined International Equity Fund		3,103,060		3.98
Alternative Strategies Fund
Long		64,999		0.08
Short		585,710		0.72
Global Long/Short Equity Fund
Long		59,996		0.44
Short		362,205		2.64
Ultra Short Tax-Free Fund		100,101,360		14.61
Short Tax-Free Fund		19,759,115		10.43

Fund	Amount		% of Total Net Assets
Short-Term Income Fund	$	31,745,549		13.16	%
Intermediate Tax-Free Fund		57,763,974		3.53
Strategic Income Fund		33,178,742		33.63
TCH Corporate Income Fund		28,795,598		11.47
TCH Core Plus Bond Fund		59,543,026		5.64
High Yield Bond Fund		4,915,330		39.91
Tax-Free Money Market Fund		49,420,000		13.42
Prime Money Market Fund		197,937,287		43.17
Institutional Prime Money Market Fund		200,739,788		46.87

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

(7) Issue is in default or bankruptcy.

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

(9) Denotes a variable rate security.

(10) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2018.

(11) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

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

(13) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

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

(15) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represent 1.97%, as calculated based upon total portfolio market value.

82

Notes to Schedules of Investments (Unaudited) (continued)

The following acronyms may be referenced throughout this report:

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

83

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Assets:
Investments in unaffiliated issuers, at value	$	220,830,628	(1)	$	177,562,676	(1)	$	524,168,233	(1)	$	546,573,236	(1)	$	290,808,762	(1)
Cash sweep investments in affiliated issuers, at value		2,491,852			2,349,776			6,566,944			6,756,071			2,853,844
Dividends and interest receivable		352,397			398,501			1,027,711			424,570			375,656
Receivable for investments sold		—			—			20,247,566			—			—
Receivable for capital stock sold		20,904			178,742			1,228,979			760,272			1,824,988
Prepaid expenses and other receivables		19,092			21,349			33,826			41,502			29,652
Total assets		223,714,873			180,511,044			553,273,259			554,555,651			295,892,902
Liabilities:
Payable for return of securities lending collateral		68,394,464			51,991,590			164,638,588			162,944,637			94,881,807
Payable for investments purchased		—			—			20,920,088			—			—
Payable for capital stock redeemed		71,920			121,058			808,103			122,238			1,616,435
Payable to affiliates, net (Note 6)		67,983			49,682			143,944			160,657			131,665
Other liabilities		28,260			38,993			65,641			68,526			75,594
Total liabilities		68,562,627			52,201,323			186,576,364			163,296,058			96,705,501
Total net assets	$	155,152,246		$	128,309,721		$	366,696,895		$	391,259,593		$	199,187,401
Net assets consist of:
Paid-in capital	$	129,618,626		$	93,963,864		$	286,033,740		$	263,246,695		$	159,054,389
Net unrealized appreciation on investments		21,333,001			30,646,241			65,476,143			109,087,341			31,088,012
Accumulated net realized gain on investments		3,815,987			3,177,313			14,129,599			18,294,914			8,698,783
Undistributed net investment income		384,632			522,303			1,057,413			630,643			346,217
Total net assets	$	155,152,246		$	128,309,721		$	366,696,895		$	391,259,593		$	199,187,401
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	$	—		$	—		$	—		$	18.63		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		14.59			14.48			15.96			18.63			12.14
Offering price per share(2)		15.36			15.24			16.80			19.61			12.78
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		14.64			14.44			15.97			18.80			12.06
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			—			—			12.04
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			—			15.98			18.82			12.07
Net assets:
Investor class of shares	$	—		$	—		$	—		$	77,399,950		$	—
Advisor class of shares		27,861,209			2,979,054			25,555,141			669,577			59,720,398
Institutional class of shares		127,291,037			125,330,667			259,349,471			253,279,825			108,756,772
Retirement class R-3 of shares		—			—			—			—			25,071
Retirement class R-6 of shares		—			—			81,792,283			59,910,241			30,685,160
Total net assets	$	155,152,246		$	128,309,721		$	366,696,895		$	391,259,593		$	199,187,401
Shares outstanding:
Investor class of shares		—			—			—			4,153,752			—
Advisor class of shares		1,910,116			205,692			1,601,552			35,935			4,920,281
Institutional class of shares		8,694,820			8,680,079			16,235,153			13,473,058			9,017,595
Retirement class R-3 of shares		—			—			—			—			2,083
Retirement class R-6 of shares		—			—			5,117,933			3,183,510			2,542,976
Total shares outstanding		10,604,936			8,885,771			22,954,638			20,846,255			16,482,935
Investments, at cost:
Investments in unaffiliated issuers	$	199,497,679		$	146,916,550		$	458,692,250		$	437,486,076		$	259,720,756
Cash sweep investments in affiliated issuers		2,491,800			2,349,661			6,566,784			6,755,890			2,853,838
Total investments, at cost	$	201,989,479		$	149,266,211		$	465,259,034		$	444,241,966		$	262,574,594

(1) Including $66,467,658, $50,526,886, $160,000,397, $158,354,168 and $92,208,801, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

84

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	173,897,991	(1)	$	94,226,304	(1)	$	27,905,827	(1)	$	201,238,772	(1)	$	53,678,541	(1)
Cash sweep investments in affiliated issuers, at value		2,387,750			974,691			484,548			1,895,175			—
Cash denominated in foreign currencies		—			—			—			—			158,018	(2)
Dividends and interest receivable		104,516			52,552			9,932			31,366			111,851
Receivable for capital stock sold		107,709			125,241			—			60,871			—
Prepaid expenses and other receivables		30,171			26,306			20,003			31,429			19,152
Total assets		176,528,137			95,405,094			28,420,310			203,257,613			53,967,562
Liabilities:
Payable for return of securities lending collateral		52,771,643			30,092,122			8,761,118			66,182,392			1,640,690
Payable for capital stock redeemed		113,587			16,237			538			97,905			—
Payable for foreign tax expense		—			—			—			—			3,206
Payable to affiliates, net (Note 6)		73,281			32,442			4,580			87,899			17,953
Other liabilities		61,530			56,203			17,413			72,605			43,548
Total liabilities		53,020,041			30,197,004			8,783,649			66,440,801			1,705,397
Total net assets	$	123,508,096		$	65,208,090		$	19,636,661		$	136,816,812		$	52,262,165
Net assets consist of:
Paid-in capital	$	91,317,716		$	56,533,765		$	15,992,771		$	110,732,447		$	43,702,612
Net unrealized appreciation on investments and foreign currency translation		22,620,991			6,894,726			2,963,700			20,914,309			7,558,985
Accumulated net realized gain on investments and foreign currency transactions		9,691,203			1,636,199			697,435			5,996,580			1,393,342
Undistributed net investment income (distributions in excess of net investment income)		(121,814	)		143,400			(17,245	)		(826,524	)		(392,774	)
Total net assets	$	123,508,096		$	65,208,090		$	19,636,661		$	136,816,812		$	52,262,165
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Advisor class of shares:
Net asset value and redemption proceeds per share	$	16.05		$	13.09		$	13.43		$	17.97		$	13.52
Offering price per share(3)		16.89			13.78			14.14			18.92			14.23
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		16.77			13.30			13.52			18.68			13.56
Retirement class R-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.05			—			—			—
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		16.86			13.38			—			—			—
Net assets:
Advisor class of shares	$	18,373,456		$	4,523,438		$	2,633,374		$	54,365,077		$	1,131,579
Institutional class of shares		82,042,881			50,709,244			17,003,287			82,451,735			51,130,586
Retirement class R-3 of shares		—			77,926			—			—			—
Retirement class R-6 of shares		23,091,759			9,897,482			—			—			—
Total net assets	$	123,508,096		$	65,208,090		$	19,636,661		$	136,816,812		$	52,262,165
Shares outstanding:
Advisor class of shares		1,145,002			345,482			196,069			3,025,284			83,675
Institutional class of shares		4,893,325			3,812,834			1,257,322			4,413,022			3,770,520
Retirement class R-3 of shares		—			5,971			—			—			—
Retirement class R-6 of shares		1,369,496			739,799			—			—			—
Total shares outstanding		7,407,823			4,904,086			1,453,391			7,438,306			3,854,195
Investments, at cost:
Investments in unaffiliated issuers	$	151,277,169		$	87,331,638		$	24,942,153		$	180,324,561		$	46,120,592
Cash sweep investments in affiliated issuers		2,387,581			974,631			484,522			1,895,077			—
Total investments, at cost	$	153,664,750		$	88,306,269		$	25,426,675		$	182,219,638		$	46,120,592

(1) Including $51,284,963, $29,244,368, $8,514,301, $64,317,904 and $1,554,067, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies is $158,071.

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

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

85

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund			Global Long/Short Equity Fund
Assets:
Investments in unaffiliated issuers, at value	$	82,631,215	(1)	$	747,391,611	(1)	$	207,985,931	(1)	$	79,044,579		$	18,362,438	(1)
Purchased options, at value		—			—			—			2,727,239			—
Deposit held at broker for:
Securities sold short		—			—			—			14,044,324			—
Options		—			—			—			820,833			—
Futures contracts		—			—			—			2,694,099			—
Forward foreign currency contracts		—			—			—			240,700			—
Cash denominated in foreign currencies		112,238	(2)		65,735	(2)		291,827	(2)		15,080	(2)		1,396	(2)
Dividends and interest receivable		262,613			3,496,415			238,773			73,271			26,250
Receivable for investments sold		6,490			1,765,115			—			453,221			—
Receivable for capital stock sold		—			2,817,647			490,917			5,612			48,210
Receivable for daily variation margin on futures contracts		—			—			—			282,135			—
Receivable for forward foreign currency contracts		—			—			—			673,285			—
Receivable from affiliates, net (Note 6)		—			—			—			—			107
Prepaid expenses and other receivables		30,384			68,939			22,927			55,505			29,445
Total assets		83,042,940			755,605,462			209,030,375			101,129,883			18,467,846
Liabilities:
Securities sold short, at value (proceeds $14,622,880 & $4,035,919, respectively)		—			—			—			14,850,335			4,545,466
Options written, at value (proceeds $3,339,883)		—			—			—			2,300,528			—
Payable for dividends and interest on securities sold short		—			—			—			18,469			3,269
Payable for return of securities lending collateral		4,877,184			35,607,675			2,753,904			—			186,411
Payable for investments purchased		80,105			1,945,346			797,569			473,843			—
Payable for capital stock redeemed		84,132			90,156			157,869			74,409			—
Payable for daily variation margin on futures contracts		—			—			—			680,959			—
Payable for forward foreign currency contracts		—			—			—			892,053			—
Payable for foreign tax expense		4,436			123,562			240,331			1,256			982
Payable to affiliates, net (Note 6)		34,631			461,464			144,911			47,863			—
Payable to custodian		—			—			—			103,494			—
Other liabilities		44,985			186,107			75,767			156,542			25,316
Total liabilities		5,125,473			38,414,310			4,170,351			19,599,751			4,761,444
Total net assets	$	77,917,467		$	717,191,152		$	204,860,024		$	81,530,132		$	13,706,402
Net assets consist of:
Paid-in capital	$	69,155,963		$	674,823,289		$	161,458,516		$	81,688,649		$	12,858,746
Net unrealized appreciation on investments, options, futures contracts and foreign currency translation		11,508,044			81,135,703			41,736,639			3,791,169			909,330
Accumulated net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		(2,426,533	)		(39,374,825	)		1,583,948			(3,433,779	)		(21,732	)
Undistributed net investment income (distributions in excess of net investment income)		(320,007	)		606,985			80,921			(515,907	)		(39,942	)
Total net assets	$	77,917,467		$	717,191,152		$	204,860,024		$	81,530,132		$	13,706,402
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	—		$	13.49		$	—		$	—		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		11.44			13.49			16.94			9.94			12.02
Offering price per share(3)		12.04			14.20			17.83			10.46			12.65
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		11.45			13.22			16.87			10.01			12.04
Retirement class R-6 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.23			—			—			—
Class F-3 of shares:
Net asset value, offering price and redemption proceeds per share		—			13.23			—			—			—
Net assets:
Investor class of shares	$	—		$	5,738,362		$	—		$	—		$	—
Advisor class of shares		183,120			689,687			5,313,854			116,679			811,189
Institutional class of shares		77,734,347			550,946,697			199,546,170			81,413,453			12,895,213
Retirement class R-6 of shares		—			151,670,268			—			—			—
Class F-3 of shares		—			8,146,138			—			—			—
Total net assets	$	77,917,467		$	717,191,152		$	204,860,024		$	81,530,132		$	13,706,402

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

86

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Disciplined International Equity Fund		Pyrford International Stock Fund		LGM Emerging Markets Equity Fund		Alternative Strategies Fund		Global Long/Short Equity Fund
Shares outstanding:
Investor class of shares		—		425,455		—		—		—
Advisor class of shares		16,010		51,136		313,688		11,743		67,495
Institutional class of shares		6,789,039		41,680,661		11,826,077		8,131,382		1,070,784
Retirement class R-6 of shares		—		11,466,133		—		—		—
Class F-3 of shares		—		615,842		—		—		—
Total shares outstanding		6,805,049		54,239,227		12,139,765		8,143,125		1,138,279
Investments, at cost:
Investments in unaffiliated issuers	$	71,131,410	$	666,324,082	$	166,227,151	$	75,666,730	$	16,943,432
Purchased options		—		—		—		2,505,059		—
Total investments, at cost	$	71,131,410	$	666,324,082	$	166,227,151	$	78,171,789	$	16,943,432

(1) Including $4,615,345, $33,555,551, $2,615,474, and $173,787, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

(2) Identified cost of cash denominated in foreign currencies are $112,767, $64,742, $314,500, $18,236 and $1,431, respectively.

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

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

87

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Assets:
Investments in unaffiliated issuers, at value	$	668,353,231		$	183,831,516		$	270,116,807	(1)	$	1,619,423,299		$	121,822,049	(1)
Cash sweep investments in affiliated issuers, at value		1,884,271			204,034			3,757,592			504,436			480,466
Investments in other affiliated issuers, at value		—			869,605			—			5,128,976			—
Cash		1,000			1,000			—			1,000			—
Deposit held at broker		—			—			—			—			100,269
Dividends and interest receivable		2,717,977			1,499,127			946,833			16,347,187			1,101,094
Receivable for investments sold		7,551,725			1,256,564			—			5,753,939			845,822
Receivable for capital stock sold		15,205,267			2,184,937			323,112			3,477,245			8,155
Prepaid expenses and other receivables		32,377			19,942			20,863			64,995			24,416
Total assets		695,745,848			189,866,725			275,165,207			1,650,701,077			124,382,271
Liabilities:
Payable for return of securities lending collateral		—			—			31,940,954			—			24,802,849
Payable for investments purchased		9,566,640			—			1,200,000			8,279,595			782,520
Payable for capital stock redeemed		262,081			70,423			492,546			2,565,105			24,895
Payable to affiliates, net (Note 6)		126,640			51,388			47,540			503,931			25,839
Payable for income distribution		345,663			172,258			169,141			694,076			23,944
Other liabilities		58,185			42,433			51,159			120,464			50,070
Total liabilities		10,359,209			336,502			33,901,340			12,163,171			25,710,117
Total net assets	$	685,386,639		$	189,530,223		$	241,263,867		$	1,638,537,906		$	98,672,154
Net assets consist of:
Paid-in capital	$	685,458,738		$	189,700,259		$	244,338,036		$	1,611,994,488		$	102,071,469
Net unrealized appreciation (depreciation) on investments		(62,467	)		21,179			(1,210,157	)		38,314,333			(81,200	)
Accumulated net realized gain (loss) on investments		6,004			(190,301	)		(1,826,031	)		(11,984,036	)		(3,160,216	)
Undistributed net investment income (distributions in excess of net investment income)		(15,636	)		(914	)		(37,981	)		213,121			(157,899	)
Total net assets	$	685,386,639		$	189,530,223		$	241,263,867		$	1,638,537,906		$	98,672,154
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	$	—		$	—		$	—		$	11.14		$	9.30
Advisor class of shares:
Net asset value and redemption proceeds per share		10.07			10.13			9.29			11.14			9.30
Offering price per share		10.28	(2)		10.34	(2)		9.48	(2)		11.54	(3)		9.64	(3)
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		10.06			10.14			9.30			11.14			9.29
Net assets:
Investor class of shares	$	—		$	—		$	—		$	900,743,158		$	67,437,274
Advisor class of shares		34,250,361			6,438,779			32,067,795			12,648,728			16,810,954
Institutional class of shares		651,136,278			183,091,444			209,196,072			725,146,020			14,423,926
Total net assets	$	685,386,639		$	189,530,223		$	241,263,867		$	1,638,537,906		$	98,672,154
Shares outstanding:
Investor class of shares		—			—			—			80,857,778			7,250,892
Advisor class of shares		3,401,579			635,353			3,453,592			1,135,445			1,807,518
Institutional class of shares		64,710,138			18,055,427			22,487,216			65,111,859			1,551,963
Total shares outstanding		68,111,717			18,690,780			25,940,808			147,105,082			10,610,373
Investments, at cost:
Investments in unaffiliated issuers	$	668,415,698		$	183,807,792		$	271,327,130		$	1,581,093,944		$	121,903,250
Cash sweep investments in affiliated issuers		1,884,271			204,034			3,757,426			504,436			480,465
Investments in other affiliated issuers		—			872,150			—			5,143,998			—
Total investments, at cost	$	670,299,969		$	184,883,976		$	275,084,556		$	1,586,742,378		$	122,383,715

(1) Including $31,041,114 and $24,104,104, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

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

88

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Assets:
Investments in unaffiliated issuers, at value	$	314,527,808	(1)	$	1,203,495,502	(1)	$	11,712,559
Cash sweep investments in affiliated issuers, at value		4,312,494			62,776,931			436,676
Deposit held at broker		250,673			250,672			—
Dividends and interest receivable		2,190,782			6,355,929			184,457
Receivable for capital stock sold		212,432			2,041,367			14,109
Receivable from affiliates, net (Note 6)		—			—			3,476
Prepaid expenses and other receivables		34,922			57,723			19,354
Total assets		321,529,111			1,274,978,124			12,370,631
Liabilities:
Payable for return of securities lending collateral		69,591,405			217,285,887			—
Payable for capital stock redeemed		474,217			1,040,118			1,625
Payable to affiliates, net (Note 6)		79,079			242,250			—
Payable for income distribution		247,337			245,433			7,693
Other liabilities		39,795			75,331			45,076
Total liabilities		70,431,833			218,889,019			54,394
Total net assets	$	251,097,278		$	1,056,089,105		$	12,316,237
Net assets consist of:
Paid-in capital	$	249,801,178		$	1,063,999,260		$	15,323,352
Net unrealized appreciation (depreciation) on investments		870,493			(6,437,926	)		126,275
Accumulated net realized gain (loss) on investments		428,305			(1,249,924	)		(3,124,003	)
Distributions in excess of net investment income		(2,698	)		(222,305	)		(9,387	)
Total net assets	$	251,097,278		$	1,056,089,105		$	12,316,237
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	12.94		$	11.50		$	—
Advisor class of shares:
Net asset value and redemption proceeds per share		12.94			11.50			9.40
Offering price per share(2)		13.41			11.92			9.74
Institutional class of shares:
Net asset value, offering price and redemption proceeds per share		12.92			11.50			9.39
Net assets:
Investor class of shares	$	115,627,104		$	70,133,956		$	—
Advisor class of shares		984,856			3,551,261			924,317
Institutional class of shares		134,485,318			982,403,888			11,391,920
Total net assets	$	251,097,278		$	1,056,089,105		$	12,316,237
Shares outstanding:
Investor class of shares		8,938,503			6,098,124			—
Advisor class of shares		76,134			308,782			98,378
Institutional class of shares		10,408,118			85,442,760			1,213,638
Total shares outstanding		19,422,755			91,849,666			1,312,016
Investments, at cost:
Investments in unaffiliated issuers	$	313,657,357		$	1,209,934,061		$	11,586,293
Cash sweep investments in affiliated issuers		4,312,452			62,776,298			436,667
Total investments, at cost	$	317,969,809		$	1,272,710,359		$	12,022,960

(1) Including $67,630,879 and $211,164,518, respectively, of securities on loan. A security on loan value represents both market value and accrued interest.

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

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

89

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Assets:
Investments in unaffiliated issuers, at value	$	2,250,619,773		$	371,405,840		$	420,327,117		$	396,197,064
Investments in repurchase agreements		1,046,222,094			—			38,346,153			32,500,000
Cash		—			1,000			—			—
Dividends and interest receivable		1,631,632			616,355			187,611			162,281
Receivable for capital stock sold		1,113			—			—			—
Prepaid expenses and other receivables		63,048			31,194			42,269			14,728
Total assets		3,298,537,660			372,054,389			458,903,150			428,874,073
Liabilities:
Payable for investments purchased		6,305,507			3,565,000			—			—
Payable to affiliates, net (Note 6)		609,064			52,091			83,546			29,084
Payable for income distribution		2,361,452			196,529			279,022			446,601
Other liabilities		61,864			34,854			78,122			84,457
Total liabilities		9,337,887			3,848,474			440,690			560,142
Total net assets	$	3,289,199,773		$	368,205,915		$	458,462,460		$	428,313,931
Net assets consist of:
Paid-in capital	$	3,289,199,914		$	368,205,861		$	458,486,435		$	428,281,807
Net unrealized appreciation on investments		—			—			—			15,637
Accumulated net realized gain on investments		1,100			24,255			111			35
Undistributed net investment income (distributions in excess of net investment income)		(1,241	)		(24,201	)		(24,086	)		16,452
Total net assets	$	3,289,199,773		$	368,205,915		$	458,462,460		$	428,313,931
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares:
Net asset value, offering price and redemption proceeds per share	$	1.00		$	1.00		$	1.00		$	1.0000
Premier class of shares:
Net asset value, offering price and redemption proceeds per share		1.00			1.00			1.00			1.0000
Net assets:
Investor class of shares	$	802,690,703		$	90,879,137		$	204,843,717		$	1,435,699
Premier class of shares		2,486,509,070			277,326,778			253,618,743			426,878,232
Total net assets	$	3,289,199,773		$	368,205,915		$	458,462,460		$	428,313,931
Shares outstanding:
Investor class of shares		802,692,102			90,876,752			204,905,701			1,435,677
Premier class of shares		2,486,507,812			277,356,777			253,580,785			426,871,926
Total shares outstanding		3,289,199,914			368,233,529			458,486,486			428,307,603
Investments, at cost:
Investments in unaffiliated issuers	$	3,296,841,867		$	371,405,840		$	458,673,270		$	428,681,427
Total investments, at cost	$	3,296,841,867		$	371,405,840		$	458,673,270		$	428,681,427

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

90

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Low Volatility Equity Fund			Dividend Income Fund			Large-Cap Value Fund			Large-Cap Growth Fund			Mid-Cap Value Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,609,343	(1)	$	1,695,077	(1)	$	3,670,535		$	1,980,899		$	2,060,006
Affiliated issuers		14,481			13,246			32,997			31,989			17,495
Net securities lending income (Note 6)		20,564			20,610			43,892			86,271			27,806
Total income		1,644,388			1,728,933			3,747,424			2,099,159			2,105,307
Expenses:
Investment advisory fees (Note 6)		393,388			307,626			856,882			899,720			716,501
Shareholder servicing fees (Note 6)		—			—			—			95,926			—
Administration fees (Note 6)		118,016			92,288			264,658			276,997			146,728
Portfolio accounting fees		36,785			31,301			67,984			74,771			53,991
Recordkeeping fees		14,762			11,420			42,476			45,986			58,990
Custodian fees (Note 6)		3,691			2,885			8,334			8,753			4,907
Registration fees		19,044			17,030			30,053			32,393			31,265
Professional fees		11,607			11,607			11,795			11,795			11,795
Printing and postage		9,589			18,911			21,420			20,100			24,645
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 6):
Advisor class		37,480			3,711			32,503			780			78,815
Retirement class R-3		—			—			—			—			63
Miscellaneous		3,416			2,797			6,149			5,654			6,518
Total expenses		655,389			507,187			1,349,865			1,480,486			1,141,829
Deduct:
Expense waivers (Note 6)		(106,497	)		(102,774	)		(30,774	)		(33,790	)		(36,241	)
Net expenses		548,892			404,413			1,319,091			1,446,696			1,105,588
Net investment income		1,095,496			1,324,520			2,428,333			652,463			999,719
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		4,771,368			5,874,530			20,542,343			22,329,957			8,941,603
Investments in affiliated issuers		(386	)		(91	)		(506	)		(545	)		(25	)
Total net realized gain		4,770,982			5,874,439			20,541,837			22,329,412			8,941,578
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		1,968,454			7,805,719			11,728,188			22,435,890			4,019,262
Investments in affiliated issuers		52			83			134			131			6
Total net change in unrealized appreciation		1,968,506			7,805,802			11,728,322			22,436,021			4,019,268
Net realized and unrealized gain on investments		6,739,488			13,680,241			32,270,159			44,765,433			12,960,846
Change in net assets resulting from operations	$	7,834,984		$	15,004,761		$	34,698,492		$	45,417,896		$	13,960,565

(1) Net of foreign taxes withheld of $2,249 and $471, respectively.

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

91

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Mid-Cap Growth Fund			Small-Cap Value Fund			Small-Cap Core Fund			Small-Cap Growth Fund			Global Low Volatility Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	460,956		$	436,586	(1)	$	85,088		$	373,443		$	513,220	(1)
Affiliated issuers		11,071			5,533			2,283			12,516			—
Net securities lending income (Note 6)		15,270			13,339			3,512			44,672			2,531
Total income		487,297			455,458			90,883			430,631			515,751
Expenses:
Investment advisory fees (Note 6)		406,343			232,543			67,432			482,506			165,690
Administration fees (Note 6)		88,313			48,749			15,562			105,658			38,236
Portfolio accounting fees		38,265			34,376			17,802			34,819			15,111
Recordkeeping fees		43,183			21,474			9,151			51,548			8,768
Custodian fees (Note 6)		2,782			1,592			487			3,304			42,383
Registration fees		30,649			27,352			15,704			19,319			15,197
Professional fees		11,795			11,607			11,607			11,795			11,757
Printing and postage		21,677			23,572			3,216			28,055			3,126
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 6):
Advisor class		22,478			6,131			3,499			72,502			1,377
Retirement class R-3		29			220			—			—			—
Miscellaneous		3,991			2,811			1,788			4,683			6,738
Total expenses		677,116			418,038			153,859			821,800			315,994
Deduct:
Expense waivers (Note 6)		(68,005	)		(77,756	)		(56,672	)		(51,721	)		(97,946	)
Net expenses		609,111			340,282			97,187			770,079			218,048
Net investment income (loss)		(121,814	)		115,176			(6,304	)		(339,448	)		297,703
Net realized and unrealized gain (loss) on investments and foreign currency:
Net realized gain on transactions from:
Investments in unaffiliated issuers		12,384,075			2,750,397			1,179,511			7,331,868			1,918,744
Investments in affiliated issuers		(184	)		(130	)		(51	)		353			—
Foreign currency transactions		—			—			—			—			9,631
Total net realized gain		12,383,891			2,750,267			1,179,460			7,332,221			1,928,375
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		5,108,443			1,583,407			415,876			5,975,055			1,036,699
Investments in affiliated issuers		169			60			26			98			—
Foreign currency translations		—			—			—			—			(8,854	)
Total net change in unrealized appreciation		5,108,612			1,583,467			415,902			5,975,153			1,027,845
Net realized and unrealized gain on investments and foreign currency		17,492,503			4,333,734			1,595,362			13,307,374			2,956,220
Change in net assets resulting from operations	$	17,370,689		$	4,448,910		$	1,589,058		$	12,967,926		$	3,253,923

(1) Net of foreign taxes withheld of $1,402 and $25,448, respectively.

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

92

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Disciplined International Equity Fund			Pyrford International Stock Fund			LGM Emerging Markets Equity Fund			Alternative Strategies Fund			Global Long/Short Equity Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	579,551	(1)	$	5,752,637	(1)	$	1,108,367	(1)	$	486,383	(1)	$	105,652	(1)
Interest income		—			—			—			96,520			—
Net securities lending income (Note 6)		3,941			71,840			5,232			—			400
Total income		583,492			5,824,477			1,113,599			582,903			106,052
Expenses:
Investment advisory fees (Note 6)		225,340			2,490,758			802,706			655,010			57,347
Shareholder servicing fees (Note 6)		—			7,494			—			—			—
Administration fees (Note 6)		56,335			456,293			133,784			65,501			8,602
Portfolio accounting fees		30,157			46,795			26,022			101,526			20,251
Recordkeeping fees		8,205			13,131			12,971			8,542			8,017
Custodian fees (Note 6)		40,911			155,031			157,150			251,194			13,567
Registration fees		26,507			44,262			17,884			16,729			26,401
Professional fees		11,532			11,992			14,881			30,045			12,794
Printing and postage		3,200			20,734			20,019			3,227			3,082
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Interest expense and dividends on securities sold short		—			—			—			131,171			45,893
Distribution services fees (Note 6):
Advisor class		210			1,061			6,679			170			957
Retirement class R-3		—			34			—			—			—
Miscellaneous		7,632			14,265			8,730			5,785			6,002
Total expenses		417,640			3,269,461			1,208,437			1,276,511			210,524
Deduct:
Expense waivers (Note 6)		(79,421	)		(107,415	)		(176,078	)		(380,878	)		(86,256	)
Net expenses		338,219			3,162,046			1,032,359			895,633			124,268
Net investment income (loss)		245,273			2,662,431			81,240			(312,730	)		(18,216	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		2,492,068			(504,339	)		8,366,913	(2)		3,104,540			317,017
Foreign currency transactions		13,702			(62,714	)		(42,189	)		132,331			792
Forward contracts		—			—			—			(310,397	)		—
Futures contracts		—			—			—			(14,058	)		—
Purchased options		—			—			—			302,469			—
Written options		—			—			—			(1,814,258	)		—
Short sales		—			—			—			(2,161,581	)		(178,504	)
Total net realized gain (loss)		2,505,770			(567,053	)		8,324,724			(760,954	)		139,305
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		603,881			14,511,246			2,547,243			16,863			191,309
Foreign currency translations		1,742			32,933			(1,334	)		(3,668	)		(91	)
Forward contracts		—			—			—			(419,165	)		—
Futures contracts		—			—			—			(627,678	)		—
Purchased options		—			—			—			809,088			—
Written options		—			—			—			354,806			—
Short sales		—			—			—			8,195			(226,502	)
Total net change in unrealized appreciation (depreciation)		605,623			14,544,179			2,545,909			138,441			(35,284	)
Net realized and unrealized gain (loss) on investments, options, futures contracts and foreign currency		3,111,393			13,977,126			10,870,633			(622,513	)		104,021
Change in net assets resulting from operations	$	3,356,666		$	16,639,557		$	10,951,873		$	(935,243	)	$	85,805

(1) Net of foreign taxes withheld of $28,357, $423,221, $101,511, $4,823 and $3,944, respectively.

(2) Net of foreign taxes withheld of $364,403, $192,749 of which is related to appreciated investments held at period end.

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

93

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Ultra Short Tax-Free Fund			Short Tax-Free Fund			Short-Term Income Fund			Intermediate Tax-Free Fund			Strategic Income Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	—		$	—		$	100,677		$	285,599		$	—
Affiliated issuers		3,900			5,888			52,200			31,379			12,228
Interest income		4,451,528			1,797,324			2,698,970			25,784,047			2,467,891
Net securities lending income (Note 6)		—			—			21,175			—			42,447
Total income		4,455,428			1,803,212			2,873,022			26,101,025			2,522,566
Expenses:
Investment advisory fees (Note 6)		514,887			184,069			246,062			945,427			131,874
Shareholder servicing fees (Note 6)		—			—			—			1,174,851			88,415
Administration fees (Note 6)		467,358			141,403			191,015			1,202,429			80,338
Portfolio accounting fees		125,309			73,983			65,204			227,872			43,656
Recordkeeping fees		17,496			15,906			39,545			19,930			53,203
Custodian fees (Note 6)		14,618			4,422			5,973			37,608			2,513
Registration fees		28,218			19,201			21,872			39,129			26,622
Professional fees		13,942			13,941			13,942			13,941			15,013
Printing and postage		5,289			4,646			6,672			31,818			7,714
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 6):
Advisor class		42,634			8,507			40,508			14,599			22,051
Miscellaneous		10,231			4,054			4,790			24,971			2,580
Total expenses		1,247,593			477,743			643,194			3,740,186			481,590
Deduct:
Expense waivers (Note 6)		(269,929	)		(95,380	)		(156,983	)		(85,525	)		(76,538	)
Net expenses		977,664			382,363			486,211			3,654,661			405,052
Net investment income		3,477,764			1,420,849			2,386,811			22,446,364			2,117,514
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		116,198			49,321			(168,379	)		1,059,483			852,775
Investments in affiliated issuers		—			—			(361	)		—			(451	)
Net realized gain on capital gains distributions from:
Investments in affiliated issuers		—			448			—			2,644			—
Total net realized gain (loss)		116,198			49,769			(168,740	)		1,062,127			852,324
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(670,490	)		(1,584,615	)		(2,523,817	)		(34,392,946	)		(2,272,292	)
Investments in affiliated issuers		—			(1,722	)		78			(10,161	)		1
Total net change in unrealized depreciation		(670,490	)		(1,586,337	)		(2,523,739	)		(34,403,107	)		(2,272,291	)
Net realized and unrealized loss on investments		(554,292	)		(1,536,568	)		(2,692,479	)		(33,340,980	)		(1,419,967	)
Change in net assets resulting from operations	$	2,923,472		$	(115,719	)	$	(305,668	)	$	(10,894,616	)	$	697,547

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

94

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	TCH Corporate Income Fund			TCH Core Plus Bond Fund			High Yield Bond Fund
Investment income:
Dividend income from:
Affiliated issuers	$	32,557		$	249,785		$	2,085
Interest income		4,370,278			16,028,590			398,515
Net securities lending income (Note 6)		45,855			124,272			—
Total income		4,448,690			16,402,647			400,600
Expenses:
Investment advisory fees (Note 6)		246,515			668,243			33,064
Shareholder servicing fees (Note 6)		149,408			84,314			—
Administration fees (Note 6)		191,968			786,651			9,919
Portfolio accounting fees		62,112			138,794			16,340
Recordkeeping fees		14,116			16,948			9,255
Custodian fees (Note 6)		6,004			24,603			310
Registration fees		28,707			39,360			18,597
Professional fees		15,013			15,013			14,731
Printing and postage		7,160			22,145			17,827
Directors’ fees		7,611			7,611			7,611
Distribution services fees (Note 6):
Advisor class		1,272			4,323			1,187
Miscellaneous		4,423			14,954			1,505
Total expenses		734,309			1,822,959			130,346
Deduct:
Expense waivers (Note 6)		(69,918	)		—			(86,176	)
Net expenses		664,391			1,822,959			44,170
Net investment income		3,784,299			14,579,688			356,430
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		454,024			1,311,951			111,473
Investments in affiliated issuers		(428	)		(3,575	)		(43	)
Total net realized gain		453,596			1,308,376			111,430
Net change in unrealized depreciation on:
Investments in unaffiliated issuers		(5,349,129	)		(26,161,105	)		(372,310	)
Investments in affiliated issuers		42			(259	)		9
Total net change in unrealized depreciation		(5,349,087	)		(26,161,364	)		(372,301	)
Net realized and unrealized loss on investments		(4,895,491	)		(24,852,988	)		(260,871	)
Change in net assets resulting from operations	$	(1,111,192	)	$	(10,273,300	)	$	95,559

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

95

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Government Money Market Fund			Tax-Free Money Market Fund			Prime Money Market Fund			Institutional Prime Money Market Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	1,017,431		$	35,544		$	109,548		$	100,578
Interest income		18,648,013			1,840,832			2,751,531			2,766,722
Total income		19,665,444			1,876,376			2,861,079			2,867,300
Expenses:
Investment advisory fees (Note 6)		3,206,909			342,345			307,596			302,124
Shareholder servicing fees (Note 6)		990,624			118,716			258,739			1,765
Administration fees (Note 6)		560,246			58,021			69,491			68,278
Portfolio accounting fees		178,726			49,277			51,350			69,094
Recordkeeping fees		13,129			13,909			39,252			107,114
Custodian fees (Note 6)		77,531			8,027			9,615			9,447
Registration fees		32,193			34,028			33,089			16,545
Professional fees		13,406			15,543			15,545			15,543
Printing and postage		16,614			12,065			35,543			9,233
Directors’ fees		7,611			7,611			7,611			7,611
Miscellaneous		45,551			6,901			12,722			6,480
Total expenses		5,142,540			666,443			840,553			613,234
Deduct:
Expense waivers (Note 6)		(845,817	)		(205,382	)		(171,686	)		(208,637	)
Net expenses		4,296,723			461,061			668,867			404,597
Net investment income		15,368,721			1,415,315			2,192,212			2,462,703
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		2,303			—			737			728
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		200			—			24			2
Total net realized gain		2,503			—			761			730
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		—			—			—			(25,765	)
Net realized and unrealized gain (loss) on investments		2,503			—			761			(25,035	)
Change in net assets resulting from operations	$	15,371,224		$	1,415,315		$	2,192,973		$	2,437,668

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

96

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Statements of Changes in Net Assets

	Low Volatility Equity Fund						Dividend Income Fund						Large-Cap Value Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	1,095,496		$	2,642,377		$	1,324,520		$	2,567,548		$	2,428,333		$	4,132,223
Net realized gain on investments		4,770,982			3,958,004			5,874,439			11,550,017			20,541,837			26,066,853
Net change in unrealized appreciation (depreciation) on investments		1,968,506			4,847,208			7,805,802			2,280,372			11,728,322			14,277,386
Change in net assets resulting from operations		7,834,984			11,447,589			15,004,761			16,397,937			34,698,492			44,476,462
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			(1,604,050	)(1)
Advisor class of shares		(198,034	)		(369,362	)		(29,171	)		(1,243,935	)		(130,143	)		(525,994	)
Institutional class of shares		(973,043	)		(2,199,344	)		(1,296,382	)		(1,256,597	)		(2,131,604	)		(2,082,733	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(11,471	)		(6,226	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			—			—			(1,409,302	)(1)
Advisor class of shares		(784,143	)		(242,749	)		(319,896	)		(664,793	)		(2,211,660	)		(310	)
Institutional class of shares		(3,322,161	)		(1,697,222	)		(13,039,040	)		(294,696	)		(27,238,612	)		(1,185,002	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			(135,548	)		(429	)
Change in net assets resulting from distributions to shareholders		(5,277,381	)		(4,508,677	)		(14,684,489	)		(3,460,021	)		(31,859,038	)		(6,814,046	)
Capital stock transactions:
Proceeds from sale of shares		8,200,104			54,505,942			10,354,841			94,718,963			117,955,216	(2)		425,435,120
Net asset value of shares issued to shareholders in payment of distributions declared		5,093,111			4,155,724			14,470,614			3,335,815			31,635,439			6,683,858
Cost of shares redeemed		(20,159,740	)		(56,616,611	)		(12,417,714	)		(112,660,977	)		(119,428,906	)		(443,263,199	)
Change in net assets resulting from capital stock transactions		(6,866,525	)		2,045,055			12,407,741			(14,606,199	)		30,161,749			(11,144,221	)
Change in net assets		(4,308,922	)		8,983,967			12,728,013			(1,668,283	)		33,001,203			26,518,195
Net assets:
Beginning of period		159,461,168			150,477,201			115,581,708			117,249,991			333,695,692			307,177,497
End of period	$	155,152,246		$	159,461,168		$	128,309,721		$	115,581,708		$	366,696,895		$	333,695,692
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	384,632		$	460,213		$	522,303		$	523,336		$	1,057,413		$	902,298

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Includes $4,159,630 of paid-in-capital received from an in-kind subscription merger of an unaffiliated equity fund effective as of the close of business on December 15, 2017. The total value received of $4,159,630 from this non-taxable event represented $2,408,685 in securities cost, $1,730,375 in net unrealized appreciation, $3,388 in accrued dividends, $17,172 in cash, and $10 in accrued interest in exchange for 258,754 Institutional Class of shares at time of merger.

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

98

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	652,463		$	1,470,450		$	999,719		$	1,681,428		$	(121,814	)	$	(243,501	)	$	115,176		$	181,976
	22,329,412			18,480,996			8,941,578			46,314,670			12,383,891			30,467,892			2,750,267			9,972,670
	22,436,021			39,702,491			4,019,268			(20,600,805	)		5,108,612			(11,980,712	)		1,583,467			(2,759,597	)
	45,417,896			59,653,937			13,960,565			27,395,293			17,370,689			18,243,679			4,448,910			7,395,049
	—			(850,301	)		—			(620,800	)(1)		—			(154,340	)(1)		—			—
	—			(3,292	)		(253,519	)		(141	)		—			(48	)		—			(127,825	)
	(360,864	)		(962,258	)		(1,253,472	)		(406,171	)		—			(120,879	)		—			(140,161	)
	—			—			(112	)		(40	)		—			—			—			(288	)
	(6,422	)		(9,663	)		(165,183	)		(86,426	)		—			(115	)		—			(7,836	)
	(4,147,456	)		(9,731,477	)		—			(37,656,722	)(1)		—			(18,668,185	)(1)		—			—
	(31,961	)		(23,105	)		(2,517,317	)		(10,206	)		(1,110,456	)		(6,793	)		(380,301	)		(4,014,102	)
	(15,549,809	)		(5,612,118	)		(5,309,557	)		(19,251,433	)		(5,920,705	)		(7,922,531	)		(4,628,962	)		(2,247,077	)
	—			—			(1,026	)		(7,265	)		—			(5,167	)		(6,314	)		(8,082	)
	(181,357	)		(3,064	)		(651,050	)		(3,042,303	)		(37,756	)		(5,155	)		(215,890	)		(90,268	)
	(20,277,869	)		(17,195,278	)		(10,151,236	)		(61,081,507	)		(7,068,917	)		(26,883,213	)		(5,231,467	)		(6,635,639	)
	91,930,295			260,299,527			35,580,772			235,382,599			28,787,414			172,115,168			11,066,849			51,649,898
	18,701,648			16,862,068			10,039,734			60,113,519			7,050,843			26,605,786			5,184,079			6,551,653
	(100,967,805	)		(222,772,588	)		(56,746,402	)		(286,548,985	)		(35,654,450	)		(203,548,530	)		(14,545,813	)		(63,822,053	)
	9,664,138			54,389,007			(11,125,896	)		8,947,133			183,807			(4,827,576	)		1,705,115			(5,620,502	)
	34,804,165			96,847,666			(7,316,567	)		(24,739,081	)		10,485,579			(13,467,110	)		922,558			(4,861,092	)
	356,455,428			259,607,762			206,503,968			231,243,049			113,022,517			126,489,627			64,285,532			69,146,624
$	391,259,593		$	356,455,428		$	199,187,401		$	206,503,968		$	123,508,096		$	113,022,517		$	65,208,090		$	64,285,532
$	630,643		$	345,466		$	346,217		$	1,018,784		$	(121,814	)	$	—		$	143,400		$	28,224

99

Statements of Changes in Net Assets

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(6,304	)	$	19,874		$	(339,448	)	$	(1,032,393	)	$	297,703		$	998,054
Net realized gain (loss) on investments, options, futures contracts and foreign currency transactions		1,179,460			952,376			7,332,221			81,425,451			1,928,375			283,500
Net change in unrealized appreciation (depreciation) on investments, options, futures contracts and foreign currency translation		415,902			1,428,444			5,975,153			(53,783,096	)		1,027,845			2,428,227
Change in net assets resulting from operations		1,589,058			2,400,694			12,967,926			26,609,962			3,253,923			3,709,781
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		—			(558	)		—			—			(29,505	)		(3,979	)
Institutional class of shares		(11,539	)		(45,376	)		—			—			(1,337,341	)		(903,509	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Distributions to shareholders from net realized gain on investments:
Advisor class of shares		(170,343	)		(10,911	)		(6,213,359	)		—			(11,386	)		(1,779	)
Institutional class of shares		(1,094,513	)		(235,448	)		(8,546,401	)		—			(484,311	)		(358,652	)
Change in net assets resulting from distributions to shareholders		(1,276,395	)		(292,293	)		(14,759,760	)		—			(1,862,543	)		(1,267,919	)
Capital stock transactions:
Proceeds from sale of shares		2,417,651			9,920,241			7,434,524			164,623,919			293,580			25,974,881
Net asset value of shares issued to shareholders in payment of distributions declared		1,176,708			233,520			14,542,121			—			1,464,201			1,088,741
Cost of shares redeemed		(3,931,339	)		(4,028,666	)		(22,363,829	)		(388,067,585	)		(105,179	)		(19,462,032	)
Redemption fees		—			—			—			—			—			50
Change in net assets resulting from capital stock transactions		(336,980	)		6,125,095			(387,184	)		(223,443,666	)		1,652,602			7,601,640
Change in net assets		(24,317	)		8,233,496			(2,179,018	)		(196,833,704	)		3,043,982			10,043,502
Net assets:
Beginning of period		19,660,978			11,427,482			138,995,830			335,829,534			49,218,183			39,174,681
End of period	$	19,636,661		$	19,660,978		$	136,816,812		$	138,995,830		$	52,262,165		$	49,218,183
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(17,245	)	$	598		$	(826,524	)	$	(487,076	)	$	(392,774	)	$	676,369

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

100

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						Alternative Strategies Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	245,273		$	1,379,999		$	2,662,431		$	16,304,285		$	81,240		$	1,469,715		$	(312,730	)	$	(706,130	)
	2,505,770			(949,832	)		(567,053	)		(10,023,582	)		8,324,724			1,695,929			(760,954	)		5,519,292
	605,623			10,642,466			14,544,179			59,354,740			2,545,909			17,569,337			138,441			(95,123	)
	3,356,666			11,072,633			16,639,557			65,635,443			10,951,873			20,734,981			(935,243	)		4,718,039
	—			—			—			(2,021,310	)		—			—			—			—
	(3,470	)		(3,317	)		—			(2,390	)		—			(239,982	)		—			—
	(1,530,654	)		(1,673,168	)		(15,185,511	)		(11,624,253	)		(1,245,393	)		(717,841	)		—			—
	—			—			—			(421	)		—			—			—			—
	—			—			(1,405,577	)		(652,041	)		—			—			—			—
	—			—			(219,446	)		—			—			—			—			—
	—			—			—			—			—			—			(7,611	)		—
	—			—			—			—			—			—			(5,178,310	)		—
	(1,534,124	)		(1,676,485	)		(16,810,534	)		(14,300,415	)		(1,245,393	)		(957,823	)		(5,185,921	)		—
	7,530,116			22,343,033			161,161,183			396,261,133			49,878,341			109,773,573			10,036,211			21,309,308
	1,511,021			1,670,654			13,489,759			9,352,958			1,128,190			866,512			5,109,457			—
	(5,334,254	)		(28,580,607	)		(107,028,816	)		(409,127,462	)		(18,210,157	)		(98,790,975	)		(23,234,553	)		(39,701,160	)
	—			—			418			3,133			359			680			—			—
	3,706,883			(4,566,920	)		67,622,544			(3,510,238	)		32,796,733			11,849,790			(8,088,885	)		(18,391,852	)
	5,529,425			4,829,228			67,451,567			47,824,790			42,503,213			31,626,948			(14,210,049	)		(13,673,813	)
	72,388,042			67,558,814			649,739,585			601,914,795			162,356,811			130,729,863			95,740,181			109,413,994
$	77,917,467		$	72,388,042		$	717,191,152		$	649,739,585		$	204,860,024		$	162,356,811		$	81,530,132		$	95,740,181
$	(320,007	)	$	968,844		$	606,985		$	14,755,088		$	80,921		$	1,245,074		$	(515,907	)	$	(203,177	)

101

Statements of Changes in Net Assets

	Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income (loss)	$	(18,216	)	$	18,214		$	3,477,764		$	5,642,492		$	1,420,849		$	2,522,885
Net realized gain (loss) on investments and foreign currency transactions		139,305			248,976			116,198			727,984			49,769			(225,946	)
Net change in unrealized appreciation (depreciation) on investments and foreign currency translation		(35,284	)		712,754			(670,490	)		208,911			(1,586,337	)		(180,383	)
Change in net assets resulting from operations		85,805			979,944			2,923,472			6,579,387			(115,719	)		2,116,556
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		—			—			—			(241,956	)(1)		—			(167,597	)(1)
Advisor class of shares		(442	)		(1,759	)		(149,859	)		(69,829	)		(46,246	)		(52,821	)
Institutional class of shares		(28,606	)		(23,821	)		(3,327,905	)		(5,330,707	)		(1,375,052	)		(2,303,362	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		—			—			—			(49,470	)(1)		—			(5,100	)(1)
Advisor class of shares		(26,157	)		(3,694	)		(17,732	)		(91	)		—			(377	)
Institutional class of shares		(359,245	)		(31,174	)		(296,800	)		(590,147	)		—			(51,518	)
Change in net assets resulting from distributions to shareholders		(414,450	)		(60,448	)		(3,792,296	)		(6,282,200	)		(1,421,298	)		(2,580,775	)
Capital stock transactions:
Proceeds from sale of shares		4,362,980			4,825,632			243,930,968			524,112,502			32,075,405			122,858,814
Net asset value of shares issued to shareholders in payment of distributions declared		319,024			27,773			1,507,466			2,303,408			481,928			852,087
Cost of shares redeemed		(345,379	)		(303,296	)		(219,570,261	)		(468,304,972	)		(24,110,509	)		(125,930,060	)
Redemption fees		1,352			—			—			—			—			—
Change in net assets resulting from capital stock transactions		4,337,977			4,550,109			25,868,173			58,110,938			8,446,824			(2,219,159	)
Change in net assets		4,009,332			5,469,605			24,999,349			58,408,125			6,909,807			(2,683,378	)
Net assets:
Beginning of period		9,697,070			4,227,465			660,387,290			601,979,165			182,620,416			185,303,794
End of period	$	13,706,402		$	9,697,070		$	685,386,639		$	660,387,290		$	189,530,223		$	182,620,416
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(39,942	)	$	7,322		$	(15,636	)	$	(15,636	)	$	(914	)	$	(465	)

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Includes paid-in-capital received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017.

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

102

BMO Funds

Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund						TCH Corporate Income Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	2,386,811		$	4,317,011		$	22,446,364		$	43,778,125		$	2,117,514		$	2,457,886		$	3,784,299		$	6,357,759
	(168,740	)		237,100			1,062,127			(11,054,527	)		852,324			2,392,636			453,596			1,720,876
	(2,523,739	)		(716,399	)		(34,403,107	)		(26,171,948	)		(2,272,291	)		(1,889,424	)		(5,349,087	)		1,352,901
	(305,668	)		3,837,712			(10,894,616	)		6,551,650			697,547			2,961,098			(1,111,192	)		9,431,536
	—			(632,772	)(1)		(12,696,971	)		(27,728,210	)		(1,479,918	)		(2,360,082	)		(1,724,335	)		(2,785,140	)
	(273,414	)		(155,425	)		(158,293	)		(83,767	)		(369,114	)		(121,105	)		(14,646	)		(14,625	)
	(2,152,738	)		(3,644,261	)		(9,593,744	)		(15,971,429	)		(411,455	)		(551,185	)		(2,045,318	)		(3,557,995	)
	—			—			(109,132	)		(3,552,901	)		—			—			(142,642	)		(669,458	)
	—			—			(1,409	)		(5,750	)		—			—			(1,102	)		(392	)
	—			—			(75,420	)		(1,761,746	)		—			—			(162,178	)		(1,035,668	)
	(2,426,152	)		(4,432,458	)		(22,634,969	)		(49,103,803	)		(2,260,487	)		(3,032,372	)		(4,090,221	)		(8,063,278	)
	90,040,321			204,775,746			243,511,395			512,577,117			2,288,123			39,469,441	(2)		20,898,794			117,056,559
	1,328,969			2,472,081			18,533,677			40,385,928			2,098,005			2,752,071			2,563,370			5,060,623
	(89,962,711	)		(257,682,881	)		(208,141,336	)		(737,200,006	)		(17,543,521	)		(36,107,475	)		(23,585,702	)		(79,201,504	)
	—			—			—			—			—			—			—			—
	1,406,579			(50,435,054	)		53,903,736			(184,236,961	)		(13,157,393	)		6,114,037			(123,538	)		42,915,678
	(1,325,241	)		(51,029,800	)		20,374,151			(226,789,114	)		(14,720,333	)		6,042,763			(5,324,951	)		44,283,936
	242,589,108			293,618,908			1,618,163,755			1,844,952,869			113,392,487			107,349,724			256,422,229			212,138,293
$	241,263,867		$	242,589,108		$	1,638,537,906		$	1,618,163,755		$	98,672,154		$	113,392,487		$	251,097,278		$	256,422,229
$	(37,981	)	$	1,360		$	213,121		$	215,765		$	(157,899	)	$	(14,926	)	$	(2,698	)	$	(2,698	)

103

Statements of Changes in Net Assets

	TCH Core Plus Bond Fund						High Yield Bond Fund						Government Money Market Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	14,579,688		$	24,622,439		$	356,430		$	2,221,025		$	15,368,721		$	13,190,436
Net realized gain on investments		1,308,376			3,199,087			111,430			2,637,071			2,503			4,140
Net change in unrealized appreciation (depreciation) on investments		(26,161,364	)		(7,556,515	)		(372,301	)		(2,865,438	)		—			—
Change in net assets resulting from operations		(10,273,300	)		20,265,011			95,559			1,992,658			15,371,224			13,194,576
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(872,904	)		(10,958,410	)		—			—			(2,914,366	)		(2,102,345	)
Advisor class of shares		(44,767	)		(52,010	)		(24,489	)		(1,179,592	)		—			—
Institutional/Premier class of shares		(13,871,217	)		(14,084,186	)		(331,941	)		(1,041,433	)		(12,454,555	)		(11,088,991	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(61,171	)		(1,604,981	)		—			—			(569	)		(873	)
Advisor class of shares		(3,223	)		(5,068	)		—			—			—			—
Institutional/Premier class of shares		(897,387	)		(1,455,998	)		—			—			(1,734	)		(2,367	)
Change in net assets resulting from distributions to shareholders		(15,750,669	)		(28,160,653	)		(356,430	)		(2,221,025	)		(15,371,224	)		(13,194,576	)
Capital stock transactions:
Proceeds from sale of shares		131,911,398			781,831,952			614,492			4,246,536			9,238,504,024			14,334,494,569
Net asset value of shares issued to shareholders in payment of distributions declared		14,237,261			25,943,203			306,977			2,021,657			2,099,501			1,300,125
Cost of shares redeemed		(111,369,873	)		(721,237,192	)		(1,657,710	)		(99,081,869	)		(9,035,007,126	)		(13,488,067,651	)
Change in net assets resulting from capital stock transactions		34,778,786			86,537,963			(736,241	)		(92,813,676	)		205,596,399			847,727,043
Change in net assets		8,754,817			78,642,321			(997,112	)		(93,042,043	)		205,596,399			847,727,043
Net assets:
Beginning of period		1,047,334,288			968,691,967			13,313,349			106,355,392			3,083,603,374			2,235,876,331
End of period	$	1,056,089,105		$	1,047,334,288		$	12,316,237		$	13,313,349		$	3,289,199,773		$	3,083,603,374
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(222,305	)	$	(13,105	)	$	(9,387	)	$	(9,387	)	$	(1,241	)	$	(1,041	)

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

104

BMO Funds

Tax-Free Money Market Fund						Prime Money Market Fund						Institutional Prime Money Market Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	1,415,315		$	1,896,315		$	2,192,212		$	2,440,138		$	2,462,703		$	3,082,655
	—			68,798			761			265,930			730			1,934
	—			—			—			—			(25,765	)		41,402
	1,415,315			1,965,113			2,192,973			2,706,068			2,437,668			3,125,991
	(305,873	)		(273,064	)		(968,685	)		(908,840	)		(6,834	)		(6,848	)
	—			—			—			—			—			—
	(1,109,442	)		(1,656,960	)		(1,223,551	)		(1,531,386	)		(2,455,869	)		(3,075,841	)
	—			(20,917	)		(378	)		(603	)		(2	)		(6	)
	—			—			—			—			—			—
	—			(76,487	)		(359	)		(685	)		(726	)		(1,894	)
	(1,415,315	)		(2,027,428	)		(2,192,973	)		(2,441,514	)		(2,463,431	)		(3,084,589	)
	360,294,850			705,359,534			397,192,002			783,415,206			303,512,233			914,326,979
	232,794			275,718			799,256			780,900			15,280			8,930
	(307,123,142	)		(794,823,978	)		(308,117,565	)		(1,988,344,911	)		(276,811,779	)		(928,963,735	)
	53,404,502			(89,188,726	)		89,873,693			(1,204,148,805	)		26,715,734			(14,627,826	)
	53,404,502			(89,251,041	)		89,873,693			(1,203,884,251	)		26,689,971			(14,586,424	)
	314,801,413			404,052,454			368,588,767			1,572,473,018			401,623,960			416,210,384
$	368,205,915		$	314,801,413		$	458,462,460		$	368,588,767		$	428,313,931		$	401,623,960
$	(24,201	)	$	(24,201	)	$	(24,086	)	$	(24,062	)	$	16,452		$	16,452

105

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Growth Fund
2018(9)		$	17.46		$	0.01			$	2.16			$	2.17			$	—			$	(1.00	)		$	(1.00	)		$	18.63		12.74	%		0.99	%		0.97	%		0.14	%		$	77,400		25	%
2017			15.34			0.06				3.03				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.34				74,359		75
2016			16.26			0.03				1.44				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.23				163,712		70
2015			17.94			(0.01	)			0.93				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				161,918		94
2014			15.08			0.01				4.34				4.35				(0.04	)			(1.45	)			(1.49	)			17.94		30.33			1.24			1.24			0.03				97,738		67
2013(3)			14.16			0.06				1.93				1.99				(0.03	)			(1.04	)			(1.07	)			15.08		15.07			1.25			1.24			0.37				92,037		100
Pyrford International Stock Fund
2018(3)(7)(9)			13.16			0.04				0.29				0.33				—				—				—				13.49		2.51			1.22			1.19			0.52				5,738		6
2017(3)(7)			12.18			0.28				0.95				1.23				(0.25	)			—				(0.25	)			13.16		10.38			1.30			1.21			2.28				6,162		33
2016(3)			11.74			0.24				0.44				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			2.20				99,916		12
2015(3)			13.11			0.23				(1.52	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.02				91,700		9
2014(3)			12.07			0.36				1.27				1.63				(0.56	)			(0.03	)			(0.59	)			13.11		13.69			1.27			1.24			3.12				81,352		6
2013(3)			10.76			0.24				1.35				1.59				(0.23	)			(0.05	)			(0.28	)			12.07		14.98			1.34			1.24			2.23				51,265		15
Intermediate Tax-Free Fund
2018(9)			11.37			0.15				(0.23	)			(0.08	)			(0.15	)			(0.00	)			(0.15	)			11.14		(0.69	)		0.57			0.55			2.70				900,743		18
2017			11.61			0.29				(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.78			0.57			0.55			2.55				975,664		44
2016			11.26			0.25				0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.19				1,241,387		42
2015			11.25			0.26				0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.23				1,250,815		26
2014			10.66			0.28				0.59				0.87				(0.28	)			(0.00	)			(0.28	)			11.25		8.29			0.61			0.55			2.58				1,003,132		35
2013(3)			11.30			0.28				(0.57	)			(0.29	)			(0.28	)			(0.07	)			(0.35	)			10.66		(2.67	)		0.61			0.55			2.51				844,129		39
Strategic Income Fund
2018(9)			9.45			0.18				(0.13	)			0.05				(0.20	)			—				(0.20	)			9.30		0.48			0.94			0.80			3.92				67,437		17
2017			9.43			0.23				0.08				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			2.46				73,488		65
2016			9.31			0.21				0.17				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.28				85,665		13
2015			9.36			0.22				(0.00	)			0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				94,380		44
2014			9.17			0.20				0.24				0.44				(0.25	)			—				(0.25	)			9.36		4.87			0.92			0.80			2.21				105,888		129
2013(3)			9.77			0.11				(0.38	)			(0.27	)			(0.22	)			(0.11	)			(0.33	)			9.17		(2.81	)		0.88			0.80			1.33				138,914		307
TCH Corporate Income Fund
2018(9)			13.20			0.19				(0.25	)			(0.06	)			(0.19	)			(0.01	)			(0.20	)			12.94		(0.44	)		0.71			0.59			2.89				115,627		11
2017			13.17			0.35				0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.70				120,745		44
2016			12.33			0.45				0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.65				82,643		62
2015			13.09			0.36				(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				137,987		26
2014			12.39			0.44				0.91				1.35				(0.44	)			(0.21	)			(0.65	)			13.09		11.20			0.74			0.59			3.32				78,347		25
2013(3)			13.05			0.41				(0.34	)			0.07				(0.43	)			(0.30	)			(0.73	)			12.39		0.40			0.75			0.65			3.20				35,860		123
TCH Core Plus Bond Fund
2018(9)			11.79			0.15				(0.28	)			(0.13	)			(0.15	)			(0.01	)			(0.16	)			11.50		(1.11	)		0.58			0.58			2.55				70,134		12
2017			11.89			0.24				(0.02	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.37				68,946		34
2016			11.42			0.34				0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			3.00				508,030		39
2015			11.95			0.32				(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.69				602,588		25
2014			11.32			0.31				0.66				0.97				(0.32	)			(0.02	)			(0.34	)			11.95		8.68			0.62			0.59			2.66				517,753		44
2013(3)			11.90			0.30				(0.30	)			0.00				(0.30	)			(0.28	)			(0.58	)			11.32		(0.18	)		0.68			0.61			2.26				463,851		101

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

106

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Government Money Market Fund
2018(9)		$	1.00		$	0.00		$	0.00			$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.37	%		0.50	%		0.45	%		0.73	%		$	802,691		—	%
2017			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.24			0.50			0.42			0.24				814,242		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.29			0.01				268,417		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.53			0.08			0.01				101,593		—
2014			1.00			0.00			—				0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.54			0.07			0.01				105,267		—
2013			1.00			0.00			—				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.55			0.13			0.01				133,255		—
Tax-Free Money Market Fund
2018(9)			1.00			0.00			—				0.00			(0.00	)			—				(0.00	)			1.00		0.32			0.57			0.45			0.64				90,879		—
2017			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.37			0.57			0.45			0.33				76,029		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.06			0.53			0.26			0.03				90,098		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.16			0.01				142,052		—
2014			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.20			0.01				131,175		—
2013			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.53			0.30			0.01				121,613		—
Prime Money Market Fund
2018(9)			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.46			0.53			0.45			0.93				204,843		—
2017			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.42			0.53			0.45			0.36				202,251		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.45			0.38			0.03				903,864		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.19			0.01				1,296,633		—
2014			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.45			0.18			0.01				1,356,875		—
2013			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.46			0.27			0.01				1,423,007		—
Institutional Prime Money Market Fund
2018(9)			1.0001			0.0048			(0.0001	)			0.0047			(0.0048	)			(0.0000	)			(0.0048	)			1.0000		0.47			0.55			0.45			0.97				1,436		—
2017(8)			1.00			0.0049			0.0001				0.0050			(0.0049	)			(0.0000	)			(0.0049	)			1.0001		0.50			0.55			0.45			0.50				1,421		—
2016(6)			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.54			0.45			0.14				992		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

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

(5) Annualized for periods less than one year.

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

(7) Calculated using the average shares method.

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

(9) For the six months ended February 28, 2018 (Unaudited).

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

107

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2018(12)		$	14.36		$	0.09			$	0.62			$	0.71			$	(0.09	)		$	(0.39	)		$	(0.48	)		$	14.59		5.00	%		1.04	%		0.90	%		1.18	%		$	27,861		21	%
2017			13.79			0.20				0.74				0.94				(0.20	)			(0.17	)			(0.37	)			14.36		6.94			1.03			0.90			1.47				31,624		56
2016			12.81			0.16				1.35				1.51				(0.17	)			(0.36	)			(0.53	)			13.79		12.13			1.05			0.90			1.40				15,064		40
2015			13.20			0.14				0.55				0.69				(0.18	)			(0.90	)			(1.08	)			12.81		5.22			1.12			0.90			1.12				1,162		47
2014(6)			12.74			0.04				0.47				0.51				(0.05	)			—				(0.05	)			13.20		4.03			1.02			0.90			1.17				26		47
Dividend Income Fund
2018(12)			14.51			0.15				1.67				1.82				(0.15	)			(1.70	)			(1.85	)			14.48		13.00			1.07			0.90			1.89				2,979		18
2017(11)			12.94			0.28				1.61				1.89				(0.21	)			(0.11	)			(0.32	)			14.51		14.80			1.08			0.90			2.06				3,205		43
2016			12.59			0.30				1.11				1.41				(0.30	)			(0.76	)			(1.06	)			12.94		11.89			1.08			0.90			2.44				78,531		51
2015			14.29			0.31				(0.76	)			(0.45	)			(0.33	)			(0.92	)			(1.25	)			12.59		(3.63	)		1.05			0.90			2.16				74,254		46
2014(6)			13.57			0.08				0.71				0.79				(0.07	)			—				(0.07	)			14.29		5.84			1.08			0.90			2.09				26		45
Large-Cap Value Fund
2018(12)			15.85			0.09				1.55				1.64				(0.08	)			(1.45	)			(1.53	)			15.96		10.43			0.99			0.97			1.12				25,555		29
2017(11)			14.14			0.08				1.93				2.01				(0.18	)			(0.12	)			(0.30	)			15.85		14.33			1.02			1.00			0.49				25,061		62
2016			15.23			0.21				0.53				0.74				(0.22	)			(1.61	)			(1.83	)			14.14		5.31			1.10			1.07			1.61				37		60
2015			17.04			0.13				(0.22	)			(0.09	)			(0.10	)			(1.62	)			(1.72	)			15.23		(0.70	)		1.22			1.21			0.80				28		72
2014(6)			16.23			0.04				0.82				0.86				(0.05	)			—				(0.05	)			17.04		5.32			1.23			1.23			0.83				27		68
Large-Cap Growth Fund
2018(11)(12)			17.46			0.01				2.16				2.17				—				(1.00	)			(1.00	)			18.63		12.74			0.99			0.97			0.13				670		25
2017			15.34			0.03				3.06				3.09				(0.07	)			(0.90	)			(0.97	)			17.46		21.30			1.03			1.00			0.39				808		75
2016			16.26			0.02				1.45				1.47				(0.02	)			(2.37	)			(2.39	)			15.34		9.68			1.13			1.07			0.29				405		70
2015			17.94			0.00				0.92				0.92				(0.01	)			(2.59	)			(2.60	)			16.26		5.58			1.23			1.21			0.03				37		94
2014(6)			16.81			0.01				1.12				1.13				—				—				—				17.94		6.72			1.24			1.24			0.17				26		67
Mid-Cap Value Fund
2018(12)			11.91			0.05				0.73				0.78				(0.05	)			(0.50	)			(0.55	)			12.14		6.50			1.28			1.24			0.77				59,720		30
2017			14.40			0.05				1.28				1.33				(0.05	)			(3.77	)			(3.82	)			11.91		12.88			1.26			1.24			0.74				64,462		139
2016			15.02			0.11				0.86				0.97				(0.12	)			(1.47	)			(1.59	)			14.40		7.27			1.23			1.23			0.90				39		24
2015			17.66			0.03				(0.59	)			(0.56	)			(0.02	)			(2.06	)			(2.08	)			15.02		(3.55	)		1.22			1.22			0.19				26		27
2014(6)			16.61			0.01				1.04				1.05				—				—				—				17.66		6.32			1.20			1.20			0.31				27		30
Mid-Cap Growth Fund
2018(12)			14.79			(0.03	)			2.28				2.25				—				(0.99	)			(0.99	)			16.05		15.64			1.35			1.24			(0.42	)			18,373		33
2017			16.26			(0.02	)			2.11				2.09				(0.02	)			(3.54	)			(3.56	)			14.79		16.73			1.37			1.24			(0.47	)			17,945		157
2016			20.02			0.03				(0.91	)			(0.88	)			—				(2.88	)			(2.88	)			16.26		(4.23	)		1.29			1.24			0.09				31		59
2015			23.93			(0.11	)			(0.57	)			(0.68	)			—				(3.23	)			(3.23	)			20.02		(2.89	)		1.25			1.24			(0.52	)			28		53
2014(6)			22.89			(0.04	)			1.08				1.04				—				—				—				23.93		4.54			1.24			1.24			(0.63	)			26		57
Small-Cap Value Fund
2018(12)			13.30			0.01				0.90				0.91				—				(1.12	)			(1.12	)			13.09		6.56			1.47			1.24			0.10				4,523		28
2017(11)			13.21			0.03				1.36				1.39				(0.04	)			(1.26	)			(1.30	)			13.30		11.58			1.49			1.24			0.22				4,931		148
2016			12.72			0.03				0.98				1.01				—				(0.52	)			(0.52	)			13.21		8.23			1.39			1.24			0.17				42,615		39
2015			14.40			(0.02	)			(0.85	)			(0.87	)			—				(0.81	)			(0.81	)			12.72		(6.18	)		1.46			1.24			(0.46	)			72,822		53
2014(6)			13.99			(0.01	)			0.42				0.41				—				—				—				14.40		2.93			1.46			1.24			(0.14	)			26		43
Small-Cap Core Fund
2018(12)			13.22			(0.02	)			1.06				1.04				—				(0.83	)			(0.83	)			13.43		7.73			1.70			1.15			(0.27	)			2,634		42
2017			11.57			(0.02	)			1.88				1.86				(0.01	)			(0.20	)			(0.21	)			13.22		16.09			1.83			1.15			(0.18	)			2,612		90
2016			10.41			0.02				1.22				1.24				—				(0.08	)			(0.08	)			11.57		11.97			2.54			1.15			0.19				647		70
2015			10.38			(0.01	)			0.04				0.03				—				—				—				10.41		0.29			5.02			1.15			(0.28	)			629		64
2014(6)			10.08			(0.01	)			0.31				0.30				—				—				—				10.38		2.98			4.82			1.15			(0.30	)			26		43

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

108

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Small-Cap Growth Fund
2018(12)		$	18.37		$	(0.06	)		$	1.74			$	1.68			$	—			$	(2.08	)		$	(2.08	)		$	17.97		9.44	%		1.31	%		1.24	%		(0.63	)%		$	54,365		32	%
2017(9)			17.79			(0.06	)			0.64				0.58				—				—				—				18.37		3.26			1.24			1.24			(0.97	)			57,737		197
Global Low Volatility Equity Fund
2018(3)(12)			13.16			0.04				0.80				0.84				(0.35	)			(0.13	)			(0.48	)			13.52		6.43			1.49			1.10			0.93				1,131		17
2017(3)			12.61			0.14				0.66				0.80				(0.17	)			(0.08	)			(0.25	)			13.16		6.59			1.52			1.10			1.96				997		74
2016(3)			11.31			0.11				1.25				1.36				(0.06	)			(0.00	)			(0.06	)			12.61		12.11			1.63			1.10			2.04				266		36
2015(3)			11.47			0.14				(0.17	)			(0.03	)			(0.08	)			(0.05	)			(0.13	)			11.31		(0.28	)		5.76			1.10			2.38				142		31
2014(3)(6)			11.12			0.05				0.30				0.35				—				—				—				11.47		3.15			11.55			1.10			1.53				26		29
Disciplined International Equity Fund
2018(3)(12)			11.17			(0.01	)			0.50				0.49				(0.22	)			—				(0.22	)			11.44		4.42			1.36			1.15			0.37				183		32
2017(3)			9.56			0.20				1.66				1.86				(0.25	)			—				(0.25	)			11.17		19.97			1.39			1.15			1.98				149		77
2016(3)(8)			10.00			0.23				(0.67	)			(0.44	)			—				—				—				9.56		(4.40	)		1.45			1.15			2.53				125		64
Pyrford International Stock Fund
2018(3)(11)(12)			13.16			0.03				0.30				0.33				—				—				—				13.49		2.51			1.22			1.19			0.50				690		6
2017(3)(11)			12.18			0.40				0.83				1.23				(0.25	)			—				(0.25	)			13.16		10.38			1.30			1.21			3.11				891		33
2016(3)			11.74			0.33				0.35				0.68				(0.24	)			—				(0.24	)			12.18		5.96			1.31			1.24			0.92				88		12
2015(3)			13.11			0.05				(1.34	)			(1.29	)			(0.08	)			—				(0.08	)			11.74		(9.86	)		1.28			1.24			2.79				817		9
2014(3)(6)			13.13			0.07				(0.09	)			(0.02	)			—				—				—				13.11		(0.15	)		1.28			1.24			1.95				25		6
LGM Emerging Markets Equity Fund
2018(3)(12)			15.93			(0.02	)			1.03				1.01				—				—				—				16.94		6.34			1.59			1.40			(0.16	)			5,314		14
2017(3)(11)			14.04			0.13				1.82				1.95				(0.06	)			—				(0.06	)			15.93		14.03			1.63			1.40			0.96				4,776		40
2016(3)			12.12			0.16				1.86				2.02				(0.10	)			—				(0.10	)			14.04		16.88			1.64			1.40			0.92				51,879		24
2015(3)			14.30			0.08				(2.09	)			(2.01	)			(0.17	)			—				(0.17	)			12.12		(14.18	)		1.59			1.40			2.01				63,966		25
2014(3)(6)			13.69			0.08				0.53				0.61				—				—				—				14.30		4.46			1.66			1.40			2.05				26		38
Alternative Strategies Fund
2018(3) (12)			10.74			(0.06	)			(0.07	)			(0.13	)			—				(0.67	)			(0.67	)			9.94		(1.44	)		3.17	(10)		2.30	(10)		(0.97	)			117		54
2017(3)			10.30			(0.18	)			0.62				0.44				—				—				—				10.74		4.27			3.65	(10)		2.95	(10)		(0.93	)			157		251
2016(3)			10.40			(0.23	)			0.23				0.00				—				(0.10	)			(0.10	)			10.30		(0.02	)		3.88	(10)		3.07	(10)		1.11				286		279
2015(3)(7)			10.00			(0.06	)			0.46				0.40				—				—				—				10.40		4.00			4.94	(10)		2.72	(10)		(1.07	)			1,011		119
Global Long/Short Equity Fund
2018(3) (12)			12.22			(0.03	)			0.26				0.23				(0.01	)			(0.42	)			(0.43	)			12.02		1.78			3.89	(10)		2.39	(10)		(0.53	)			811		20
2017(3)			10.68			0.01				1.66				1.67				(0.04	)			(0.09	)			(0.13	)			12.22		15.77			5.05	(10)		2.42	(10)		0.03				730		42
2016(3)(8)			10.00			0.03				0.65				0.68				—				—				—				10.68		6.80			9.46	(10)		2.36	(10)		0.46				510		45
Ultra Short Tax-Free Fund
2018(12)			10.08			0.04				(0.00	)			0.04				(0.04	)			(0.01	)			(0.05	)			10.07		0.39			0.64			0.55			0.88				34,251		75
2017			10.08			0.07				0.01				0.08				(0.07	)			(0.01	)			(0.08	)			10.08		0.80			0.64			0.55			0.74				34,696		126
2016			10.08			0.04				0.01				0.05				(0.04	)			(0.01	)			(0.05	)			10.08		0.50			0.64			0.55			0.39				25		56
2015			10.09			0.04				(0.01	)			0.03				(0.04	)			—				(0.04	)			10.08		0.25			0.60			0.55			0.34				25		57
2014(6)			10.09			0.01				0.00				0.01				(0.01	)			—				(0.01	)			10.09		0.13			0.59			0.55			0.50				25		86
Short Tax-Free Fund
2018(12)			10.22			0.07				(0.09	)			(0.02	)			(0.07	)			—				(0.07	)			10.13		(0.21	)		0.75			0.55			1.36				6,439		46
2017			10.24			0.13				(0.02	)			0.11				(0.13	)			(0.00	)			(0.13	)			10.22		1.08			0.76			0.55			1.27				7,166		93
2016			10.20			0.11				0.06				0.17				(0.11	)			(0.02	)			(0.13	)			10.24		1.69			0.77			0.55			1.04				1,151		39
2015			10.20			0.12				(0.00	)			0.12				(0.12	)			—				(0.12	)			10.20		1.21			0.83			0.55			1.15				453		50
2014(6)			10.17			0.03				0.03				0.06				(0.03	)			—				(0.03	)			10.20		0.64			0.83			0.55			1.29				25		69
Short-Term Income Fund
2018(12)			9.39			0.08				(0.10	)			(0.02	)			(0.08	)			—				(0.08	)			9.29		(0.23	)		0.72			0.60			1.66				32,068		22
2017			9.40			0.15				(0.01	)			0.14				(0.15	)			—				(0.15	)			9.39		1.46			0.72			0.60			1.61				33,311		53
2016			9.33			0.10				0.07				0.17				(0.10	)			—				(0.10	)			9.40		1.87			0.70			0.60			0.98				157		64
2015			9.40			0.09				(0.05	)			0.04				(0.11	)			—				(0.11	)			9.33		0.43			0.69			0.60			1.02				25		29
2014(6)			9.42			0.02				(0.01	)			0.01				(0.03	)			—				(0.03	)			9.40		0.10			0.71			0.60			1.10				25		43

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

109

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Intermediate Tax-Free Fund
2018(12)		$	11.37		$	0.15		$	(0.23	)		$	(0.08	)		$	(0.15	)		$	(0.00	)		$	(0.15	)		$	11.14		(0.69	)%		0.57	%		0.55	%		2.71	%		$	12,649		18	%
2017			11.61			0.29			(0.21	)			0.08				(0.29	)			(0.03	)			(0.32	)			11.37		0.79			0.57			0.55			2.57				10,842		44
2016			11.26			0.25			0.37				0.62				(0.25	)			(0.02	)			(0.27	)			11.61		5.56			0.57			0.55			2.18				1,693		42
2015			11.25			0.26			0.01				0.27				(0.26	)			—				(0.26	)			11.26		2.36			0.57			0.55			2.24				2,095		26
2014(6)			11.16			0.07			0.09				0.16				(0.07	)			—				(0.07	)			11.25		1.46			0.60			0.55			2.41				2,044		35
Strategic Income Fund
2018(12)			9.45			0.18			(0.13	)			0.05				(0.20	)			—				(0.20	)			9.30		0.48			0.94			0.80			3.92				16,811		17
2017			9.43			0.28			0.03				0.31				(0.29	)			—				(0.29	)			9.45		3.32			0.90			0.80			3.14				18,354		65
2016			9.31			0.22			0.16				0.38				(0.26	)			—				(0.26	)			9.43		4.17			0.86			0.80			2.27				32		13
2015			9.36			0.22			0.00				0.22				(0.27	)			—				(0.27	)			9.31		2.34			0.93			0.80			2.36				26		44
2014(6)			9.35			0.03			0.05				0.08				(0.07	)			—				(0.07	)			9.36		0.86			0.94			0.80			2.38				25		129
TCH Corporate Income Fund
2018(12)			13.20			0.19			(0.25	)			(0.06	)			(0.19	)			(0.01	)			(0.20	)			12.94		(0.44	)		0.71			0.59			2.88				985		11
2017			13.17			0.35			0.14				0.49				(0.35	)			(0.11	)			(0.46	)			13.20		3.86			0.71			0.59			2.63				1,384		44
2016			12.33			0.45			0.89				1.34				(0.45	)			(0.05	)			(0.50	)			13.17		11.23			0.72			0.59			3.77				66		62
2015			13.09			0.36			(0.71	)			(0.35	)			(0.36	)			(0.05	)			(0.41	)			12.33		(2.73	)		0.70			0.59			2.83				25		26
2014(6)			12.93			0.09			0.17				0.26				(0.10	)			—				(0.10	)			13.09		2.02			0.72			0.59			2.92				25		25
TCH Core Plus Bond Fund
2018(12)			11.79			0.15			(0.28	)			(0.13	)			(0.15	)			(0.01	)			(0.16	)			11.50		(1.11	)		0.58			0.58			2.55				3,551		12
2017			11.89			0.28			(0.06	)			0.22				(0.28	)			(0.04	)			(0.32	)			11.79		1.91			0.59			0.59			2.36				3,337		34
2016			11.42			0.34			0.48				0.82				(0.35	)			(0.00	)			(0.35	)			11.89		7.36			0.59			0.59			2.99				1,434		39
2015			11.95			0.32			(0.47	)			(0.15	)			(0.32	)			(0.06	)			(0.38	)			11.42		(1.28	)		0.58			0.58			2.71				312		25
2014(6)			11.82			0.08			0.14				0.22				(0.09	)			—				(0.09	)			11.95		1.85			0.60			0.59			2.74				25		44
High Yield Bond Fund
2018(12)			9.58			0.24			(0.18	)			0.06				(0.24	)			—				(0.24	)			9.40		0.66			2.20			0.90			5.16				924		19
2017			9.49			0.44			0.15				0.59				(0.50	)			—				(0.50	)			9.58		6.37			1.42			0.90			5.26				1,010		47
2016			9.41			0.48			0.08				0.56				(0.48	)			—				(0.48	)			9.49		6.22			1.21			0.90			5.15				72,010		51
2015			10.44			0.51			(0.79	)			(0.28	)			(0.51	)			(0.24	)			(0.75	)			9.41		(2.70	)		1.21			0.90			5.13				42,843		46
2014(6)			10.52			0.14			(0.08	)			0.06				(0.14	)			—				(0.14	)			10.44		0.58			1.17			0.90			5.09				25		42

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

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

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

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

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

Alternative Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2018	2.87%	2.00%	2018	3.10%	1.60%
2017	2.85	2.15	2017	4.23	1.60
2016	3.05	2.20	2016	8.70	1.60
2015	4.42	2.20

(11) Calculated using the average shares method.

(12) For the six months ended February 28, 2018 (Unaudited).

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

110

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Low Volatility Equity Fund
2018(14)		$	14.42		$	0.11			$	0.61			$	0.72			$	(0.11	)		$	(0.39	)		$	(0.50	)		$	14.64		5.04	%		0.79	%		0.65	%		1.44	%		$	127,291		21	%
2017			13.84			0.24				0.74				0.98				(0.23	)			(0.17	)			(0.40	)			14.42		7.24			0.78			0.65			1.69				127,837		56
2016			12.84			0.20				1.35				1.55				(0.19	)			(0.36	)			(0.55	)			13.84		12.47			0.80			0.65			1.62				135,413		40
2015			13.22			0.20				0.53				0.73				(0.21	)			(0.90	)			(1.11	)			12.84		5.56			0.87			0.65			1.52				76,792		47
2014			11.28			0.18				2.05				2.23				(0.18	)			(0.11	)			(0.29	)			13.22		19.97			0.89			0.65			1.49				57,421		47
2013(3)(6)			10.00			0.10				1.25				1.35				(0.07	)			—				(0.07	)			11.28		13.47			1.28			0.65			1.79				41,009		101
Dividend Income Fund
2018(14)			14.47			0.16				1.68				1.84				(0.17	)			(1.70	)			(1.87	)			14.44		13.17			0.82			0.65			2.16				125,331		18
2017(13)			12.96			0.33				1.60				1.93				(0.31	)			(0.11	)			(0.42	)			14.47		15.15			0.83			0.65			2.37				112,377		43
2016			12.62			0.35				1.08				1.43				(0.33	)			(0.76	)			(1.09	)			12.96		12.07			0.83			0.65			2.68				38,719		51
2015			14.32			0.35				(0.77	)			(0.42	)			(0.36	)			(0.92	)			(1.28	)			12.62		(3.38	)		0.80			0.65			2.50				45,554		46
2014			12.27			0.32				2.51				2.83				(0.31	)			(0.47	)			(0.78	)			14.32		23.87			0.80			0.65			2.43				55,387		45
2013(3)			10.80			0.33				1.46				1.79				(0.32	)			—				(0.32	)			12.27		16.78			0.81			0.65			2.79				50,393		25
Large-Cap Value Fund
2018(13)(14)			15.88			0.11				1.54				1.65				(0.11	)			(1.45	)			(1.56	)			15.97		10.47			0.74			0.72			1.38				259,350		29
2017(13)			14.16			0.22				1.83				2.05				(0.21	)			(0.12	)			(0.33	)			15.88		14.66			0.77			0.75			1.47				307,156		62
2016			15.26			0.24				0.53				0.77				(0.26	)			(1.61	)			(1.87	)			14.16		5.57			0.85			0.82			1.83				136,813		60
2015			17.06			0.18				(0.23	)			(0.05	)			(0.13	)			(1.62	)			(1.75	)			15.26		(0.45	)		0.97			0.96			1.04				94,439		72
2014			14.56			0.16				3.56				3.72				(0.16	)			(1.06	)			(1.22	)			17.06		26.74			0.98			0.98			0.95				119,263		68
2013(3)			12.24			0.17				2.37				2.54				(0.22	)			—				(0.22	)			14.56		20.95			1.02			0.99			1.24				101,834		71
Large-Cap Growth Fund
2018(14)			17.60			0.04				2.18				2.22				(0.02	)			(1.00	)			(1.02	)			18.80		12.95			0.74			0.72			0.40				253,280		25
2017			15.47			0.10				3.06				3.16				(0.13	)			(0.90	)			(1.03	)			17.60		21.63			0.78			0.75			0.65				278,436		75
2016			16.39			0.07				1.44				1.51				(0.06	)			(2.37	)			(2.43	)			15.47		9.88			0.88			0.82			0.50				95,438		70
2015			18.06			0.07				0.90				0.97				(0.04	)			(2.60	)			(2.64	)			16.39		5.85			0.98			0.96			0.29				72,958		94
2014			15.18			0.06				4.36				4.42				(0.09	)			(1.45	)			(1.54	)			18.06		30.63			0.99			0.99			0.28				130,948		67
2013(3)			14.24			0.08				1.96				2.04				(0.06	)			(1.04	)			(1.10	)			15.18		15.46			1.00			0.99			0.58				122,689		100
Mid-Cap Value Fund
2018(14)			11.89			0.06				0.73				0.79				(0.12	)			(0.50	)			(0.62	)			12.06		6.62			1.03			0.99			1.00				108,757		30
2017			14.38			0.08				1.27				1.35				(0.07	)			(3.77	)			(3.84	)			11.89		13.10			1.01			0.99			0.91				127,304		139
2016			15.01			0.16				0.85				1.01				(0.17	)			(1.47	)			(1.64	)			14.38		7.55			0.98			0.98			1.09				75,608		24
2015			17.63			0.08				(0.60	)			(0.52	)			(0.04	)			(2.06	)			(2.10	)			15.01		(3.29	)		0.97			0.97			0.43				99,160		27
2014			16.23			0.08				3.64				3.72				(0.12	)			(2.20	)			(2.32	)			17.63		24.96			0.95			0.95			0.49				145,606		30
2013(3)			13.23			0.12				3.61				3.73				(0.11	)			(0.62	)			(0.73	)			16.23		29.58			0.97			0.97			0.77				122,818		48
Mid-Cap Growth Fund
2018(14)			15.39			(0.02	)			2.39				2.37				—				(0.99	)			(0.99	)			16.77		15.81			1.10			0.99			(0.17	)			82,043		33
2017			16.76			0.03				2.19				2.22				(0.05	)			(3.54	)			(3.59	)			15.39		17.07			1.12			0.99			(0.07	)			94,464		157
2016			20.51			0.04				(0.91	)			(0.87	)			—				(2.88	)			(2.88	)			16.76		(4.06	)		1.04			0.99			0.33				39,569		59
2015			24.37			(0.08	)			(0.55	)			(0.63	)			—				(3.23	)			(3.23	)			20.51		(2.61	)		1.00			0.99			(0.26	)			82,768		53
2014			23.26			(0.09	)			4.26				4.17				—				(3.06	)			(3.06	)			24.37		19.43			0.97			0.97			(0.36	)			144,807		57
2013(3)			20.32			(0.05	)			4.26				4.21				—				(1.27	)			(1.27	)			23.26		21.74			0.97			0.97			(0.24	)			142,302		58
Small-Cap Value Fund
2018(14)			13.47			0.03				0.92				0.95				—				(1.12	)			(1.12	)			13.30		6.78			1.22			0.99			0.34				50,709		28
2017(13)			13.37			0.04				1.41				1.45				(0.09	)			(1.26	)			(1.35	)			13.47		11.87			1.24			0.99			0.33				56,585		148
2016			12.84			0.05				1.00				1.05				—				(0.52	)			(0.52	)			13.37		8.47			1.14			0.99			0.40				25,522		39
2015			14.50			(0.01	)			(0.84	)			(0.85	)			—				(0.81	)			(0.81	)			12.84		(5.99	)		1.21			0.99			(0.14	)			19,186		53
2014			13.62			0.01				2.25				2.26				—				(1.38	)			(1.38	)			14.50		17.68			1.15			0.99			0.04				16,369		43
2013(3)			10.51			0.09				3.35				3.44				(0.09	)			(0.24	)			(0.33	)			13.62		33.49			1.26			0.99			0.48				13,404		74

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

111

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Small-Cap Core Fund
2018(14)		$	13.30		$	(0.00	)		$	1.06			$	1.06			$	(0.01	)		$	(0.83	)		$	(0.84	)		$	13.52		7.82	%		1.45	%		0.90	%		(0.03	)%		$	17,003		42	%
2017			11.64			0.01				1.89				1.90				(0.04	)			(0.20	)			(0.24	)			13.30		16.33			1.58			0.90			0.14				17,049		90
2016			10.45			0.03				1.25				1.28				(0.01	)			(0.08	)			(0.09	)			11.64		12.37			2.29			0.90			0.44				10,780		70
2015			10.40			0.02				0.03				0.05				—				—				—				10.45		0.48			4.77			0.90			0.17				3,632		64
2014(9)			10.00			0.00				0.40				0.40				—				—				—				10.40		4.00			6.75			0.90			(0.03	)			3,030		43
Small-Cap Growth Fund
2018(14)			19.00			(0.03	)			1.79				1.76				—				(2.08	)			(2.08	)			18.68		9.55			1.06			0.99			(0.38	)			82,452		32
2017			16.62			(0.14	)			2.52				2.38				—				—				—				19.00		14.32			1.02			1.02			(0.37	)			81,259		197
2016			18.60			(0.10	)			(0.64	)			(0.74	)			—				(1.24	)			(1.24	)			16.62		(3.72	)		1.18			1.18			(0.21	)			179,726		63
2015			22.75			(0.07	)			(0.29	)			(0.36	)			—				(3.79	)			(3.79	)			18.60		(1.27	)		1.15			1.15			(0.35	)			339,016		59
2014			22.55			(0.02	)			3.16				3.14				—				(2.94	)			(2.94	)			22.75		14.69			1.15			1.15			(0.09	)			363,988		82
2013(3)			18.33			(0.12	)			5.67				5.55				—				(1.33	)			(1.33	)			22.55		32.26			1.16			1.16			(0.62	)			297,065		76
Global Low Volatility Equity Fund
2018(3)(14)			13.20			0.08				0.78				0.86				(0.37	)			(0.13	)			(0.50	)			13.56		6.59			1.24			0.85			1.17				51,131		17
2017(3)			12.65			0.19				0.64				0.83				(0.20	)			(0.08	)			(0.28	)			13.20		6.76			1.27			0.85			1.98				48,221		74
2016(3)			11.34			0.07				1.33				1.40				(0.09	)			(0.00	)			(0.09	)			12.65		12.44			1.38			0.85			2.26				38,909		36
2015(3)			11.50			0.25				(0.26	)			(0.01	)			(0.10	)			(0.05	)			(0.15	)			11.34		(0.08	)		5.51			0.85			2.16				4,144		31
2014(3)(8)			10.00			0.07				1.43				1.50				—				—				—				11.50		15.00			13.27			0.85			1.76				3,947		29
Disciplined International Equity Fund
2018(3)(14)			11.19			0.04				0.46				0.50				(0.24	)			—				(0.24	)			11.45		4.52			1.11			0.90			0.65				77,734		32
2017(3)			9.58			0.25				1.64				1.89				(0.28	)			—				(0.28	)			11.19		20.30			1.14			0.90			2.13				72,239		77
2016(3)(11)			10.00			0.23				(0.65	)			(0.42	)			—				—				—				9.58		(4.20	)		1.20			0.90			2.51				67,434		64
Pyrford International Stock Fund
2018(3)(14)			13.21			0.05				0.30				0.35				(0.34	)			—				(0.34	)			13.22		2.65			0.97			0.94			0.77				550,947		6
2017(3)(13)			12.22			0.32				0.94				1.26				(0.27	)			—				(0.27	)			13.21		10.68			1.05			0.96			2.59				593,746		33
2016(3)			11.78			0.35				0.36				0.71				(0.27	)			—				(0.27	)			12.22		6.21			1.06			0.99			2.44				485,787		12
2015(3)			13.14			0.22				(1.48	)			(1.26	)			(0.10	)			—				(0.10	)			11.78		(9.63	)		1.03			0.99			2.52				626,232		9
2014(3)			12.10			0.39				1.27				1.66				(0.59	)			(0.03	)			(0.62	)			13.14		14.00			1.02			0.99			3.32				272,486		6
2013(3)			10.78			0.22				1.40				1.62				(0.25	)			(0.05	)			(0.30	)			12.10		15.29			1.09			0.99			2.63				159,985		15
LGM Emerging Markets Equity Fund
2018(3)(14)			15.97			0.01				1.02				1.03				(0.13	)			—				(0.13	)			16.87		6.47			1.34			1.15			0.10				199,546		14
2017(3)(13)			14.08			0.15				1.84				1.99				(0.10	)			—				(0.10	)			15.97		14.36			1.38			1.15			1.04				157,581		40
2016(3)			12.16			0.15				1.90				2.05				(0.13	)			—				(0.13	)			14.08		17.12			1.39			1.15			1.07				78,851		24
2015(3)			14.33			0.16				(2.13	)			(1.97	)			(0.20	)			—				(0.20	)			12.16		(13.88	)		1.34			1.15			1.15				85,034		25
2014(3)			12.61			0.23				1.71				1.94				(0.22	)			—				(0.22	)			14.33		15.57			1.30			1.15			1.89				111,807		38
2013(3)			13.69			0.26				(0.34	)			(0.08	)			(0.20	)			(0.80	)			(1.00	)			12.61		(1.00	)		1.40			1.15			2.41				84,760		29
Alternative Strategies Fund
2018(13)(14)			10.81			(0.04	)			(0.09	)			(0.13	)			—				(0.67	)			(0.67	)			10.01		(1.33	)		2.92	(12)		2.05	(12)		(0.72	)			81,413		54
2017(3)			10.33			(0.09	)			0.57				0.48				—				—				—				10.81		4.65			3.40	(12)		2.70	(12)		(0.67	)			95,583		251
2016(3)			10.42			(0.05	)			0.07				0.02				(0.01	)			(0.10	)			(0.11	)			10.33		0.16			3.63	(12)		2.82	(12)		(0.75	)			109,128		279
2015(3)(10)			10.00			(0.08	)			0.50				0.42				—				—				—				10.42		4.20			4.69	(12)		2.47	(12)		(1.11	)			34,261		119
Global Long/Short Equity Fund
2018(3)(14)			12.25			(0.01	)			0.25				0.24				(0.03	)			(0.42	)			(0.45	)			12.04		1.91			3.64	(12)		2.14	(12)		(0.30	)			12,895		20
2017(3)			10.70			0.05				1.66				1.71				(0.07	)			(0.09	)			(0.16	)			12.25		16.10			4.80	(12)		2.17	(12)		0.27				8,967		42
2016(3)(11)			10.00			0.04				0.66				0.70				—				—				—				10.70		7.00			9.21	(12)		2.11	(12)		0.50				3,717		45

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

112

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Ultra Short Tax-Free Fund
2018(14)		$	10.08		$	0.06		$	(0.02	)		$	0.04			$	(0.05	)		$	(0.01	)		$	(0.06	)		$	10.06		0.41	%		0.39	%		0.30	%		1.13	%		$	651,136		75	%
2017			10.07			0.10			0.02				0.12				(0.10	)			(0.01	)			(0.11	)			10.08		1.15			0.39			0.30			0.94				625,691		126
2016			10.08			0.07			0.00				0.07				(0.07	)			(0.01	)			(0.08	)			10.07		0.65			0.39			0.30			0.65				548,641		56
2015			10.09			0.06			(0.01	)			0.05				(0.06	)			—				(0.06	)			10.08		0.50			0.35			0.30			0.59				702,324		57
2014			10.04			0.09			0.05				0.14				(0.09	)			(0.00	)			(0.09	)			10.09		1.35			0.34			0.30			0.82				663,538		86
2013			10.09			0.10			(0.05	)			0.05				(0.10	)			(0.00	)			(0.10	)			10.04		0.51			0.32			0.30			0.97				739,246		71
Short Tax-Free Fund
2018(14)			10.22			0.08			(0.08	)			(0.00	)			(0.08	)			—				(0.08	)			10.14		(0.03	)		0.50			0.40			1.51				183,091		46
2017			10.25			0.14			(0.03	)			0.11				(0.14	)			(0.00	)			(0.14	)			10.22		1.14			0.51			0.40			1.39				175,454		93
2016			10.20			0.13			0.07				0.20				(0.13	)			(0.02	)			(0.15	)			10.25		1.94			0.52			0.40			1.18				168,592		39
2015			10.21			0.14			(0.01	)			0.13				(0.14	)			—				(0.14	)			10.20		1.26			0.58			0.40			1.32				105,734		50
2014			9.95			0.15			0.26				0.41				(0.15	)			—				(0.15	)			10.21		4.12			0.62			0.40			1.45				78,050		69
2013(3)(7)			10.00			0.10			(0.05	)			0.05				(0.10	)			—				(0.10	)			9.95		0.45			0.81			0.40			1.33				34,138		74
Short-Term Income Fund
2018(14)			9.40			0.09			(0.10	)			(0.01	)			(0.09	)			—				(0.09	)			9.30		(0.11	)		0.47			0.35			1.91				209,196		22
2017			9.42			0.17			(0.02	)			0.15				(0.17	)			—				(0.17	)			9.40		1.60			0.47			0.35			1.76				209,278		53
2016			9.35			0.11			0.09				0.20				(0.13	)			—				(0.13	)			9.42		2.12			0.45			0.35			1.16				234,507		64
2015			9.42			0.12			(0.06	)			0.06				(0.13	)			—				(0.13	)			9.35		0.69			0.44			0.35			1.24				263,894		29
2014			9.39			0.13			0.04				0.17				(0.14	)			—				(0.14	)			9.42		1.80			0.43			0.35			1.35				142,526		43
2013(3)			9.48			0.16			(0.07	)			0.09				(0.18	)			—				(0.18	)			9.39		0.91			0.43			0.35			1.70				117,378		51
Intermediate Tax-Free Fund
2018(14)			11.37			0.17			(0.23	)			(0.06	)			(0.17	)			(0.00	)			(0.17	)			11.14		(0.57	)		0.32			0.32			2.94				725,146		18
2017			11.60			0.31			(0.20	)			0.11				(0.31	)			(0.03	)			(0.34	)			11.37		1.11			0.32			0.32			2.79				631,658		44
2016			11.26			0.28			0.36				0.64				(0.28	)			(0.02	)			(0.30	)			11.60		5.71			0.32			0.32			2.43				601,873		42
2015			11.25			0.28			0.01				0.29				(0.28	)			—				(0.28	)			11.26		2.60			0.32			0.32			2.46				559,937		26
2014			10.66			0.31			0.59				0.90				(0.31	)			(0.00	)			(0.31	)			11.25		8.50			0.36			0.36			2.77				396,291		35
2013(3)			11.29			0.30			(0.56	)			(0.26	)			(0.30	)			(0.07	)			(0.37	)			10.66		(2.40	)		0.36			0.36			2.70				352,883		39
Strategic Income Fund
2018(14)			9.44			0.19			(0.13	)			0.06				(0.21	)			—				(0.21	)			9.29		0.60			0.69			0.55			4.15				14,424		17
2017			9.42			0.27			0.06				0.33				(0.31	)			—				(0.31	)			9.44		3.58			0.65			0.55			2.68				21,550		65
2016			9.31			0.23			0.17				0.40				(0.29	)			—				(0.29	)			9.42		4.32			0.61			0.55			2.53				21,663		13
2015			9.35			0.24			0.01				0.25				(0.29	)			—				(0.29	)			9.31		2.70			0.68			0.55			2.61				22,981		44
2014			9.16			0.23			0.23				0.46				(0.27	)			—				(0.27	)			9.35		5.13			0.67			0.55			2.45				28,473		129
2013(3)			9.76			0.15			(0.39	)			(0.24	)			(0.25	)			(0.11	)			(0.36	)			9.16		(2.57	)		0.63			0.55			1.57				35,880		307
TCH Corporate Income Fund
2018(14)			13.19			0.20			(0.26	)			(0.06	)			(0.20	)			(0.01	)			(0.21	)			12.92		(0.45	)		0.46			0.46			3.02				134,485		11
2017			13.15			0.37			0.15				0.52				(0.37	)			(0.11	)			(0.48	)			13.19		4.07			0.46			0.46			2.84				134,293		44
2016			12.32			0.46			0.88				1.34				(0.46	)			(0.05	)			(0.51	)			13.15		11.28			0.47			0.47			3.77				129,429		62
2015			13.07			0.38			(0.70	)			(0.32	)			(0.38	)			(0.05	)			(0.43	)			12.32		(2.53	)		0.45			0.45			2.97				162,107		26
2014			12.37			0.45			0.91				1.36				(0.45	)			(0.21	)			(0.66	)			13.07		11.32			0.49			0.49			3.50				121,773		25
2013(3)			13.03			0.44			(0.35	)			0.09				(0.45	)			(0.30	)			(0.75	)			12.37		0.54			0.50			0.50			3.36				93,490		123
TCH Core Plus Bond Fund
2018(14)			11.78			0.16			(0.26	)			(0.10	)			(0.17	)			(0.01	)			(0.18	)			11.50		(0.90	)		0.33			0.33			2.80				982,404		12
2017			11.89			0.31			(0.07	)			0.24				(0.31	)			(0.04	)			(0.35	)			11.78		2.08			0.34			0.34			2.62				975,051		34
2016			11.42			0.37			0.48				0.85				(0.38	)			(0.00	)			(0.38	)			11.89		7.63			0.34			0.34			3.25				459,228		39
2015			11.94			0.34			(0.45	)			(0.11	)			(0.35	)			(0.06	)			(0.41	)			11.42		(0.96	)		0.33			0.33			2.94				472,576		25
2014			11.32			0.33			0.65				0.98				(0.34	)			(0.02	)			(0.36	)			11.94		8.82			0.37			0.37			2.89				422,941		44
2013(3)			11.90			0.32			(0.29	)			0.03				(0.33	)			(0.28	)			(0.61	)			11.32		0.09			0.43			0.43			2.44				321,051		101

(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			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																	Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
High Yield Bond Fund
2018(14)		$	9.57		$	0.26		$	(0.18	)		$	0.08			$	(0.26	)		$	—			$	(0.26	)		$	9.39		0.78	%		1.95	%		0.65	%		5.41	%		$	11,392		19	%
2017			9.49			0.52			0.08				0.60				(0.52	)			—				(0.52	)			9.57		6.53			1.17			0.65			5.50				12,303		47
2016			9.41			0.50			0.08				0.58				(0.50	)			—				(0.50	)			9.49		6.47			0.96			0.65			5.43				34,345		51
2015			10.44			0.54			(0.79	)			(0.25	)			(0.54	)			(0.24	)			(0.78	)			9.41		(2.46	)		0.96			0.65			5.46				30,173		46
2014			10.32			0.58			0.26				0.84				(0.58	)			(0.14	)			(0.72	)			10.44		8.32			0.85			0.65			5.53				37,307		42
2013(3)			10.32			0.59			0.00				0.59				(0.59	)			(0.00	)			(0.59	)			10.32		5.80			0.83			0.65			5.61				49,722		34

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

(3) Redemption fees consisted of per share amounts less than $0.01. Effective June 14, 2013, the remaining domestic Funds discontinued their redemption fee policy.

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from September 28, 2012 (inception date) to August 31, 2013.

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

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

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

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

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

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

Alternative Strategies Fund			Global Long/Short Equity Fund
	Gross	Net		Gross	Net
2018	2.62%	1.75%	2018	2.85%	1.35%
2017	2.60	1.90	2017	3.98	1.35
2016	2.76	1.95	2016	8.45	1.35
2015	4.17	1.95

(13) Calculated using the average shares method.

(14) For the six months ended February 28, 2018 (Unaudited).

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

114

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Government Money Market Fund
2018(7)		$	1.00		$	0.00		$	0.00			$	0.00		$	(0.00	)		$	(0.00	)		$	(0.00	)		$	1.00		0.49	%		0.25	%		0.20	%		0.99	%		$	2,486,509		—	%
2017			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.45			0.25			0.20			0.45				2,269,361		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.11			0.28			0.18			0.12				1,967,459		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.28			0.08			0.01				467,294		—
2014			1.00			0.00			—				0.00			(0.00	)			—				(0.00	)			1.00		0.01			0.29			0.07			0.01				427,913		—
2013			1.00			0.00			—				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.30			0.13			0.01				431,677		—
Tax-Free Money Market Fund
2018(7)			1.00			0.00			—				0.00			(0.00	)			—				(0.00	)			1.00		0.44			0.32			0.20			0.89				277,327		—
2017			1.00			0.01			0.00				0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.62			0.32			0.20			0.57				238,772		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.17			0.28			0.16			0.13				313,954		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.28			0.16			0.01				515,005		—
2014			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.03			0.28			0.19			0.02				453,901		—
2013			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.13			0.28			0.20			0.11				696,785		—
Prime Money Market Fund
2018(7)			1.00			0.01			0.00				0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.59			0.28			0.20			1.20				253,619		—
2017			1.00			0.01			0.00				0.01			(0.01	)			(0.00	)			(0.01	)			1.00		0.67			0.28			0.20			0.61				166,338		—
2016			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.22			0.20			0.20			0.21				668,609		—
2015			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.02			0.20			0.18			0.01				2,576,245		—
2014			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.01			0.20			0.18			0.01				1,968,436		—
2013			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.08			0.21			0.20			0.08				2,590,312		—
Institutional Prime Money Market Fund
2018(7)			1.0001			0.0060			(0.0001	)			0.0059			(0.0060	)			(0.0000	)			(0.0060	)			1.0000		0.60			0.30			0.20			1.22				426,878		—
2017(6)			1.00			0.0074			0.0001				0.0075			(0.0074	)			(0.0000	)			(0.0074	)			1.0001		0.75			0.30			0.20			0.74				400,203		—
2016(5)			1.00			0.00			0.00				0.00			(0.00	)			(0.00	)			(0.00	)			1.00		0.00			0.29			0.20			0.37				415,218		—

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

(4) Annualized for periods less than one year.

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

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

(7) For the six months ended February 28, 2018 (Unaudited).

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

115

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Mid-Cap Value Fund
2018(7)		$	11.84		$	0.03			$	0.73			$	0.76			$	(0.06	)		$	(0.50	)		$	(0.56	)		$	12.04		6.34	%		1.54	%		1.49	%		0.52	%		$	25		30	%
2017			14.34			0.04				1.25				1.29				(0.02	)			(3.77	)			(3.79	)			11.84		12.60			1.51			1.49			0.40				24		139
2016			14.96			0.07				0.86				0.93				(0.08	)			(1.47	)			(1.55	)			14.34		6.95			1.48			1.48			0.56				28		24
2015			17.62			(0.01	)			(0.59	)			(0.60	)			—				(2.06	)			(2.06	)			14.96		(3.80	)		1.47			1.47			(0.06	)			25		27
2014(5)			16.58			0.00				1.04				1.04				—				—				—				17.62		6.27			1.45			1.45			0.07				26		30
Small-Cap Value Fund
2018(7)			13.27			(0.01	)			0.91				0.90				—				(1.12	)			(1.12	)			13.05		6.50			1.72			1.49			(0.14	)			78		28
2017(6)			13.21			(0.02	)			1.38				1.36				(0.04	)			(1.26	)			(1.30	)			13.27		11.32			1.74			1.49			(0.15	)			117		148
2016			12.76			0.00				0.97				0.97				—				(0.52	)			(0.52	)			13.21		7.88			1.64			1.49			(0.07	)			84		39
2015			14.48			(0.08	)			(0.83	)			(0.91	)			—				(0.81	)			(0.81	)			12.76		(6.43	)		1.71			1.49			(0.62	)			24		53
2014(5)			14.07			(0.01	)			0.42				0.41				—				—				—				14.48		2.91			1.71			1.49			(0.39	)			26		43

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

(4) Annualized for periods less than one year.

(5) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

(6) Calculated using the average shares method.

(7) For the six months ended February 28, 2018 (Unaudited).

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

116

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Large-Cap Value Fund
2018(8)(9)		$	15.88		$	0.11			$	1.56			$	1.67			$	(0.12	)		$	(1.45	)		$	(1.57	)		$	15.98		10.60	%		0.59	%		0.57	%		1.34	%		$	81,792		29	%
2017(8)			14.17			0.26				1.81				2.07				(0.24	)			(0.12	)			(0.36	)			15.88		14.75			0.62			0.60			1.64				1,479		62
2016(7)			13.81			0.21				0.30				0.51				(0.15	)			—				(0.15	)			14.17		3.77			0.63			0.60			2.27				52		60
Large-Cap Growth Fund
2018(8)(9)			17.62			0.05				2.19				2.24				(0.04	)			(1.00	)			(1.04	)			18.82		13.01			0.59			0.57			0.59				59,910		25
2017			15.49			0.09				3.10				3.19				(0.16	)			(0.90	)			(1.06	)			17.62		21.83			0.63			0.60			0.75				2,852		75
2016(7)			14.75			0.07				0.67				0.74				—				—				—				15.49		5.02			0.66			0.60			0.72				53		70
Mid-Cap Value Fund
2018(9)			11.90			0.07				0.73				0.80				(0.13	)			(0.50	)			(0.63	)			12.07		6.73			0.88			0.84			1.35				30,685		30
2017			14.38			0.11				1.26				1.37				(0.08	)			(3.77	)			(3.85	)			11.90		13.31			0.86			0.84			1.05				14,714		139
2016			15.03			0.18				0.84				1.02				(0.20	)			(1.47	)			(1.67	)			14.38		7.65			0.83			0.83			1.28				11,332		24
2015			17.65			0.11				(0.62	)			(0.51	)			(0.05	)			(2.06	)			(2.11	)			15.03		(3.19	)		0.82			0.82			0.64				8,776		27
2014(6)			16.58			0.03				1.04				1.07				—				—				—				17.65		6.45			0.80			0.80			0.71				27		30
Mid-Cap Growth Fund
2018(9)			15.46			0.00				2.39				2.39				—				(0.99	)			(0.99	)			16.86		15.87			0.95			0.84			0.36				23,092		33
2017			16.83			0.07				2.18				2.25				(0.08	)			(3.54	)			(3.62	)			15.46		17.22			0.97			0.84			(0.13	)			592		157
2016			20.55			0.09				(0.93	)			(0.84	)			—				(2.88	)			(2.88	)			16.83		(3.89	)		0.89			0.84			0.49				25		59
2015			24.38			(0.03	)			(0.57	)			(0.60	)			—				(3.23	)			(3.23	)			20.55		(2.47	)		0.85			0.84			(0.12	)			26		53
2014(6)			23.30			(0.02	)			1.10				1.08				—				—				—				24.38		4.64			0.84			0.84			(0.24	)			26		57
Small-Cap Value Fund
2018(8)(9)			13.53			0.05				0.92				0.97				—				(1.12	)			(1.12	)			13.38		6.91			1.07			0.84			0.69				9,898		28
2017(8)			13.42			0.05				1.42				1.47				(0.10	)			(1.26	)			(1.36	)			13.53		12.05			1.09			0.84			0.37				2,653		148
2016			12.87			0.07				1.00				1.07				—				(0.52	)			(0.52	)			13.42		8.61			0.99			0.84			0.60				926		39
2015			14.50			(0.00	)			(0.82	)			(0.82	)			—				(0.81	)			(0.81	)			12.87		(5.78	)		1.06			0.84			0.01				134		53
2014(6)			14.07			0.01				0.42				0.43				—				—				—				14.50		3.06			1.06			0.84			0.25				26		43
Pyrford International Stock Fund
2018(3)(9)			13.22			0.06				0.31				0.37				(0.36	)			—				(0.36	)			13.23		2.79			0.82			0.79			0.90				151,670		6
2017(3)(8)			12.23			0.40				0.88				1.28				(0.29	)			—				(0.29	)			13.22		10.85			0.90			0.81			3.21				48,889		33
2016(3)			11.79			0.20				0.53				0.73				(0.29	)			—				(0.29	)			12.23		6.35			0.91			0.84			2.85				16,100		12
2015(3)			13.15			0.20				(1.45	)			(1.25	)			(0.11	)			—				(0.11	)			11.79		(9.56	)		0.88			0.84			3.42				6,560		9
2014(3)(6)			13.15			0.08				(0.08	)			0.00				—				—				—				13.15		0.00			0.88			0.84			2.36				25		6

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

(6) Reflects operations for the period from May 27, 2014 (inception date) to August 31, 2014.

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

(8) Calculated using the average shares method.

(9) For the six months ended February 28, 2018 (Unaudited).

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

117

Financial Highlights—Class F-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized loss				Total from investment operations			Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain			Total distributions				Net asset value, end of period			Total return (1)(4)			Ratios to Average Net Assets (5)									Net assets, end of period (000 omitted)			Portfolio turnover rate (4)
																															Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
Pyrford International Stock Fund
2017(3)(7)(8)		$	13.22		$	0.06		$	0.31			$	0.37		$	(0.36	)		$	—		$	(0.36	)		$	13.23		2.79	%		0.82	%		0.79	%		0.86	%		$	8,146		6	%
2017(3)(6)(7)			13.21			0.12			(0.11	)			0.01			—				—			—				13.22		0.08			0.88			0.79			3.52				26		33

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

(2) The contractual and voluntary expense waivers pursuant to Note 6 of the financial statements are reflected in both the net expense and net investment income (loss) ratios.

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

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

(5) Annualized for periods less than one year.

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

(7) Calculated using the average shares method.

(8) For the six months ended February 28, 2018 (Unaudited).

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

118

February 28, 2018 (Unaudited)

Notes to Financial Statements

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 28, 2018, the Corporation consisted of 42 portfolios, including 27 diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”) each with differing share class offerings, as well as 10 target retirement and 5 target risk portfolios whose semi-annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Low Volatility Equity Fund	September 28, 2012	To provide capital appreciation.
Dividend Income Fund	December 29, 2011	To provide capital appreciation and current income.
Large-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Large-Cap Growth Fund	November 20, 1992	To provide capital appreciation.
Mid-Cap Value Fund	September 30, 1993	To provide capital appreciation.
Mid-Cap Growth Fund	September 30, 1993	To provide capital appreciation.
Small-Cap Value Fund	February 28, 2011	To provide capital appreciation.
Small-Cap Core Fund	December 27, 2013	To provide capital appreciation.
Small-Cap Growth Fund	October 31, 1995	To provide capital appreciation.
Global Low Volatility Equity Fund(1)	September 30, 2013	To provide capital appreciation.
Disciplined International Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Pyrford International Stock Fund(1)	December 29, 2011	To provide capital appreciation.
LGM Emerging Markets Equity Fund(1)	December 22, 2008	To provide capital appreciation.
Alternative Strategies Fund(1)	December 16, 2014	To provide capital appreciation with an emphasis on absolute returns.
Global Long/Short Equity Fund(1)	September 17, 2015	To provide capital appreciation.
Ultra Short Tax-Free Fund	September 30, 2009	To provide current income exempt from federal income tax consistent with preservation of capital.
Short Tax-Free Fund	November 29, 2012	To provide current income exempt from federal income tax consistent with preservation of capital.
Short-Term Income Fund	November 1, 1992	To maximize total return consistent with current income.
Intermediate Tax-Free Fund	February 1, 1994	To provide a high level of current income exempt from federal income tax consistent with preservation of capital.
Strategic Income Fund	December 13, 1992	To maximize total return consistent with current income.
TCH Corporate Income Fund	December 22, 2008	To maximize total return consistent with current income.
TCH Core Plus Bond Fund	December 22, 2008	To maximize total return consistent with current income.
High Yield Bond Fund	December 29, 2011	To maximize total return consistent with current income.
Government Money Market Fund	May 17, 2004	To provide current income consistent with stability of principal.
Tax-Free Money Market Fund	September 22, 2004	To provide current income that is exempt from federal income tax and is consistent with stability of principal.
Prime Money Market Fund	November 23, 1992	To provide current income consistent with stability of principal.
Institutional Prime Money Market Fund	June 3, 2016	To provide current income consistent with preservation of capital.

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

2. Significant Accounting Policies

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

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

Investment Valuations—Listed equity securities are valued each trading day at the last sale price or official closing price reported on a national securities exchange. Securities listed on a foreign exchange are valued each trading day at the last

closing price on the principal exchange on which they are traded immediately prior to the time for determination of Net Asset Value (“NAV”) or at fair value as discussed below. Equity securities without a reported trade, U.S. government securities, listed corporate bonds, other fixed income and asset-backed securities with maturities of 60 days or more, unlisted securities, and private placement securities are generally valued at the mean of the latest bid and asked price as furnished by an independent pricing service. Fixed income securities that are not exchange traded are valued by an

119

BMO Funds

independent pricing service, taking into consideration yield, liquidity, risk, credit quality, coupon, maturity, type of issue, and any other factors or market data the pricing service deems relevant. Fixed income securities with remaining maturities of 60 days or less at the time of purchase, and of sufficient credit quality, are valued at amortized cost, which approximates fair value. Investments in other open-end registered investment companies are valued at net asset value. The money market funds use the amortized cost method to value portfolio securities in accordance with Rule 2a-7 under the Act.

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

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

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

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

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

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

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

Expenses attributable to a particular class of shares, such as shareholder servicing fees, are allocated directly to that class.

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

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and distribution to shareholders each year substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends and unrealized appreciation on investments have been provided for in accordance with the applicable country’s tax rules and rates.

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

Short Sales—Certain Funds may sell a security they do not own in anticipation that the price of the security will decline. To complete such a transaction, the Fund must borrow the security to make delivery to the buyer. The Fund closes the short sale by purchasing the security at the market price at the time of closure. The price at such time may be more or less than the

120

Notes to Financial Statements (continued)

price at which the security was sold by the Fund. Until the transaction is closed, the Fund is required to pay the lender amounts equal to dividend or interest that accrue during the period of the loan which is recorded as an expense. To borrow the security, the Fund also may be required to pay a premium or an interest fee, which are recorded as interest expense. The proceeds of the short sale will be retained by the broker, to the extent necessary to meet margin requirements, until the short position is closed out. A gain, limited to the price at which the Fund sells the security short, or a loss, potentially unlimited in size, will be recognized upon the closing of a short sale. The Fund may not always be able to borrow a security or to close out a short position at a particular time or at an acceptable price. If the price of the borrowed security increases between the date of the short sale and the date on which the Fund closes the short sale, the Fund will experience a loss. The Fund’s loss on a short sale is the maximum attainable price of the security (which could be limitless) less the price the Fund paid for the security at the time it was borrowed.

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

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

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

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

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

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

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

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such securities for resale at the issuer’s expense either upon demand by the Funds or in connection with another registered offering of the securities. Many restricted securities may be resold in the secondary market in transactions exempt from registration. Such restricted securities may be determined to be liquid under criteria established by the Directors.

Redemption Fees—The International Funds impose a 2% redemption fee to shareholders who redeem shares held for 30 days or less. All redemption fees are recorded by the International Funds as paid-in-capital.

Securities Lending—Certain Funds participate in one of two securities lending programs, providing for the lending of corporate bonds, equity, and government securities to qualified brokers, in exchange for the opportunity to earn additional income for participating. State Street Bank & Trust Company and BMO Harris Bank N.A. serve as the securities lending agents for the International Funds and non-International Funds participating in the programs, respectively. The Funds receive cash as collateral in return for the securities and record a corresponding payable for collateral due to the respective broker. The amount of cash collateral received is maintained at a minimum level of 100% of the prior day’s market value on securities and accrued interest loaned. Collateral is reinvested in short-term securities including overnight repurchase agreements, commercial paper, master notes, floating rate corporate notes (with at least quarterly reset rates), and money market funds. The valuation of these collateral securities is discussed in “Investment Valuations” above. When a Fund lends its portfolio securities, it is subject to the risk that it may not be able to get the portfolio securities back from the borrower on a timely basis, in which case the Fund may lose certain investment opportunities. A Fund also is subject to the risks associated with the investments of cash collateral received from the borrower.

Cash collateral received as part of the International Funds securities lending program was invested in the following security as of February 28, 2018:

Description	Value
State Street Navigator Securities Lending Government Money Market Portfolio, 1.320%	$	45,065,864

Cash collateral received as part of the non-International Funds securities lending program was jointly pooled and invested in the following securities as of February 28, 2018 (1):

Description	Value
Atlantic Asset Securitization LLC, 1.572%, 4/4/2018(3)	$	6,240,733
Atlantic Asset Securitization LLC, 1.601%, 3/16/2018(3)		7,495,000
Atlantic Asset Securitization LLC, 1.723%, 4/6/2018(3)		4,991,400
Bank of Nova Scotia, 1.774% (LIBOR 1 Month+18 basis points), 5/18/2018(2)		5,001,745
Bank of Nova Scotia, 1.814% (LIBOR 1 Month+23 basis points), 9/17/2018(2)		4,999,615
Bedford Row Funding Corp., 1.715% (LIBOR 1 Month+14 basis points), 3/1/2018(2)		7,850,000
Bedford Row Funding Corp., 1.731% (LIBOR 1 Month+15 basis points), 5/11/2018(2)		5,000,000
Bedford Row Funding Corp., 1.801% (LIBOR 1 Month+22 basis points), 6/11/2018(2)		7,500,000
Bedford Row Funding Corp., 1.814% (LIBOR 1 Month+22 basis points), 8/17/2018(2)		6,500,000
Bedford Row Funding Corp., 1.953% (LIBOR 1 Month+35 basis points), 2/15/2019(2)		7,500,000
BlackRock Liquidity Funds FedFund Portfolio, 1.392%		7,305,221
BMO Government Money Market Fund, 1.190%(4)		20,000,000
BMO Institutional Prime Money Market Fund, 1.430%(4)		310,000,000
Cargill Inc., 1.420%, 3/1/2018(3)		11,500,000
Citibank NA, 1.741% (LIBOR 1 Month+16 basis points), 7/11/2018(2)		5,500,000
Colgate Palmolive Co., 1.501%, 3/14/2018(3)		9,994,583
Collateralized Commercial Paper Co. LLC, 1.563%, 4/17/2018(3)		4,989,817
Collateralized Commercial Paper Co. LLC, 1.794% (LIBOR 1 Month+20 basis points), 7/20/2018(2)		7,500,000
Collateralized Commercial Paper Co. LLC, 1.806%, 5/1/2018(3)		4,984,750
Commonwealth Bank of Australia, 1.767% (LIBOR 1 Month+17 basis points), 8/15/2018(2)		4,999,365
Commonwealth Bank of Australia, 1.781% (LIBOR 1 Month+20 basis points), 10/11/2018(2)		5,500,000
Commonwealth Bank of Australia, 1.781% (LIBOR 1 Month+20 basis points), 5/11/2018(2)		6,000,000
Commonwealth Bank of Australia, 1.782% (LIBOR 1 Month+16 basis points), 7/23/2018(2)		3,200,000

Description	Value
Commonwealth Bank of Australia, 1.867% (LIBOR 1 Month+21 basis points), 11/30/2018(2)	$	7,497,465
Credit Suisse New York, 1.818% (LIBOR 1 Month+26 basis points), 8/17/2018(2)		5,401,242
Credit Suisse New York, 1.821% (LIBOR 1 Month+24 basis points), 9/10/2018(2)		7,850,440
Credit Suisse New York, 1.824% (LIBOR 1 Month+26 basis points), 7/18/2018(2)		5,501,843
Credit Suisse New York, 1.854% (LIBOR 1 Month+26 basis points), 8/20/2018(2)		7,001,617
Credit Suisse New York, 1.856% (LIBOR 1 Month+26 basis points), 10/22/2018(2)		5,000,455
DNB Bank ASA, 1.430%, 3/6/2018(3)		11,497,716
Erste Abwicklungsanstalt, 1.652%, 3/27/2018(3)		7,491,063
Erste Abwicklungsanstalt, 1.699% (LIBOR 1 Month+11 basis points), 6/1/2018(2)		7,500,000
Erste Abwicklungsanstalt, 1.776%, 5/4/2018(3)		7,476,400
Exxon Mobil Corp., 1.450%, 3/5/2018(3)		15,997,422
Home Depot Inc., 1.450%, 3/2/2018(3)		9,999,597
HSBC Bank USA NA, 1.804% (LIBOR 1 Month+21 basis points), 11/20/2018(2)		7,499,025
HSBC Bank USA NA, 1.924% (LIBOR 1 Month+33 basis points), 3/20/2018(2)		5,001,245
JP Morgan Securities LLC, 1.780% (LIBOR 1 Month+20 basis points), 4/6/2018(2)		7,500,000
JP Morgan Securities LLC, 1.810% (LIBOR 1 Month+23 basis points), 7/2/2018(2)		5,000,000
Lexington Parker Capital Co. LLC, 1.500%, 3/6/2018(3)		14,996,875
LMA Americas LLC, 1.480%, 3/1/2018(3)		13,000,000
LMA Americas LLC, 1.703%, 4/3/2018(3)		7,488,313
Macquarie Bank Ltd., 2.070%, 5/21/2018(3)		7,465,238
Manhattan Asset Funding Co., 1.789% (LIBOR 1 Month+21 basis points), 5/4/2018(2)		5,000,000
Metlife Short Term Funding LLC, 1.581%, 3/21/2018(3)		7,593,329
Mitsubishi UFJ Trust & Banking Corp., 1.773% (LIBOR 1 Month+19 basis points), 3/8/2018(2)		7,499,933
Mitsubishi UFJ Trust & Banking Corp., 1.798% (LIBOR 1 Month+21 basis points), 7/16/2018(2)		5,000,925
Mitsubishi UFJ Trust & Banking Corp., 1.824% (LIBOR 1 Month+23 basis points), 8/16/2018(2)		7,500,638

122

Notes to Financial Statements (continued)

Description	Value
Mitsubishi UFJ Trust & Banking Corp., 1.829% (LIBOR 1 Month+25 basis points), 8/9/2018(2)	$	5,001,275
Mitsubishi UFJ Trust & Banking Corp., 1.868% (LIBOR 1 Month+22 basis points), 6/29/2018(2)		7,501,718
Mizuho Bank Ltd, 1.778% (LIBOR 1 Month+19 basis points), 3/15/2018(2)		7,500,998
Mizuho Bank Ltd, 1.781% (LIBOR 1 Month+20 basis points), 4/10/2018(2)		6,302,180
Mizuho Bank Ltd, 1.794% (LIBOR 1 Month+20 basis points), 4/19/2018(2)		5,001,840
Mizuho Bank Ltd, 1.799% (LIBOR 1 Month+22 basis points), 5/8/2018(2)		7,503,465
Mizuho Bank Ltd, 1.824% (LIBOR 1 Month+23 basis points), 6/18/2018(2)		7,476,906
National Australia Bank Ltd., 1.848% (LIBOR 1 Month+20 basis points), 10/29/2018(2)		10,000,000
National Australia Bank Ltd., 1.930% (LIBOR 1 Month+35 basis points), 3/6/2018(2)		5,000,000
National Rural Utilities Co., 1.551%, 3/14/2018(3)		7,995,522
Norinchukin Bank (New York), 1.776% (LIBOR 1 Month+18 basis points), 5/21/2018(2)		7,502,535
Novartis Finance Corp., 1.500%, 3/6/2018(3)		6,998,542
Novartis Finance Corp., 1.500%, 3/7/2018(3)		19,995,000
Novartis Finance Corp., 1.551%, 3/19/2018(3)		7,494,188
Old Line Funding LLC, 1.729% (LIBOR 1 Month+15 basis points), 6/5/2018(2)		7,500,000
Old Line Funding LLC, 1.836% (LIBOR 1 Month+24 basis points), 8/22/2018(2)		7,500,000
Regency Markets No.1 LLC, 1.450%, 3/1/2018(3)		9,000,000
Regency Markets No.1 LLC, 1.530%, 3/7/2018(3)		7,498,088
Regency Markets No.1 LLC, 1.550%, 3/8/2018(3)		7,497,740
Regency Markets No.1 LLC, 1.581%, 3/14/2018(3)		9,994,294
Starbird Funding Corp., 1.420%, 3/1/2018(3)		11,500,000
Sumitomo Mitsui Banking Corp., 1.794% (LIBOR 1 Month+20 basis points), 4/19/2018(2)		5,902,171
Sumitomo Mitsui Banking Corp., 1.814% (LIBOR 1 Month+22 basis points), 5/18/2018(2)		7,503,263
Sumitomo Mitsui Banking Corp., 1.814% (LIBOR 1 Month+22 basis points), 6/18/2018(2)		5,001,320
Sumitomo Mitsui Banking Corp., 1.871% (LIBOR 1 Month+25 basis points), 10/24/2018(2)		7,498,328
Sumitomo Mitsui Banking Corp., 2.114% (LIBOR 3 Month+17 basis points), 8/24/2018(2)		6,556,321
Suncorp Metway, Ltd., 1.521%, 3/21/2018(3)		4,995,778
Suncorp Metway, Ltd., 1.964%, 7/9/2018(3)		6,454,229
Swedbank, 1.420%, 3/7/2018		10,000,000

Description	Value
Thunder Bay Funding LLC, 1.750% (LIBOR 1 Month+17 basis points), 7/2/2018(2)	$	7,500,000
Thunder Bay Funding LLC, 1.781% (LIBOR 1 Month+20 basis points), 9/11/2018(2)		6,750,000
Thunder Bay Funding LLC, 1.826% (LIBOR 1 Month+23 basis points), 6/22/2018(2)		5,000,000
Toronto Dominion Bank, 1.730% (LIBOR 1 Month+15 basis points), 6/6/2018(2)		6,500,000
Toronto Dominion Bank, 1.769% (LIBOR 1 Month+19 basis points), 10/3/2018(2)		5,000,000
Toronto Dominion Bank, 1.781% (LIBOR 1 Month+20 basis points), 8/10/2018(2)		5,000,395
Toronto Dominion Bank, 1.853%, 2/8/2019		7,500,000
Toronto Dominion Bank, 1.928% (LIBOR 1 Month+34 basis points), 3/13/2018(2)		5,500,935
Toyota Motor Credit Corp., 1.759% (LIBOR 1 Month+18 basis points), 4/27/2018(2)		7,450,000
Toyota Motor Credit Corp., 1.766% (LIBOR 1 Month+17 basis points), 3/12/2018(2)		5,000,000
Toyota Motor Credit Corp., 1.770% (LIBOR 1 Month+19 basis points), 6/4/2018(2)		6,500,000
Toyota Motor Credit Corp., 1.774% (LIBOR 1 Month+18 basis points), 6/15/2018(2)		5,000,000
Toyota Motor Credit Corp., 1.778% (LIBOR 1 Month+19 basis points), 5/10/2018(2)		7,500,000
Wal-Mart Stores, Inc., 1.440%, 3/5/2018(3)		7,498,800
Wal-Mart Stores, Inc., 1.541%, 3/12/2018(3)		7,496,471
Wal-Mart Stores, Inc., 1.561%, 3/19/2018(3)		9,992,200
Wells Fargo Bank NA, 1.764% (LIBOR 1 Month+17 basis points), 4/20/2018(2)		5,001,435
Wells Fargo Bank NA, 1.800% (LIBOR 1 Month+22 basis points), 10/5/2018(2)		6,499,376
Wells Fargo Bank NA, 1.821% (LIBOR 1 Month+24 basis points), 11/9/2018(2)		7,249,775
Wells Fargo Bank NA, 1.852% (LIBOR 1 Month+20 basis points), 8/30/2018(2)		4,999,515
Westpac Banking Corp., 1.530%, 8/10/2018(3)		7,001,778
Westpac Banking Corp., 1.771% (LIBOR 1 Month+19 basis points), 9/10/2018(2)		7,500,000
Westpac Banking Corp., 1.834% (LIBOR 3 Month+13 basis points), 1/9/2019(2)		5,497,245
Westpac Banking Corp., 1.870% (U.S. Federal Funds Effective Rate+45 basis points), 2/15/2019(2)		6,699,357
Other		(346,537	)
Total	$	1,044,279,456

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

(2) Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2018.

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

(4) Denotes an investment in an affiliated entity.

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

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

3. Fair Value Measurement

Fair Valuation Measurement defines fair value, establishes a framework for measuring fair value in accordance with GAAP, and requires disclosure about fair value measurements. It establishes a fair value hierarchy that distinguishes between (1) market participant assumptions developed based on market data obtained from sources independent of the reporting issuer (observable inputs), and (2) the reporting issuer’s own assumptions about market participant assumptions developed

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based on the best information available in the circumstances (unobservable inputs). It also provides guidance on determining when there has been a significant decrease in the volume and level of activity for an asset or liability, when a transaction is not orderly, and how that information must be incorporated into fair value measurement.

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

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

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

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

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. The Funds did not hold any Level 3 securities as of February 28, 2018.

The following is a summary of the inputs used, as of February 28, 2018, in valuing the Funds’ assets:

	Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	152,436,164	$	—	$	—	$	152,436,164
Short-Term Investments		2,491,852		68,394,464		—		70,886,316
Total	$	154,928,016	$	68,394,464	$	—	$	223,322,480
	Dividend Income Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	125,571,086	$	—	$	—	$	125,571,086
Short-Term Investments		2,349,776		51,991,590		—		54,341,366
Total	$	127,920,862	$	51,991,590	$	—	$	179,912,452
	Large-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	359,529,645	$	—	$	—	$	359,529,645
Short-Term Investments		6,566,944		164,638,588		—		171,205,532
Total	$	366,096,589	$	164,638,588	$	—	$	530,735,177
	Large-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	383,628,599	$	—	$	—	$	383,628,599
Short-Term Investments		6,756,071		162,944,637		—		169,700,708
Total	$	390,384,670	$	162,944,637	$	—	$	553,329,307
	Mid-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	195,926,955	$	—	$	—	$	195,926,955
Short-Term Investments		2,853,844		94,881,807		—		97,735,651
Total	$	198,780,799	$	94,881,807	$	—	$	293,662,606
	Mid-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	121,126,348	$	—	$	—	$	121,126,348
Short-Term Investments		2,387,750		52,771,643		—		55,159,393
Total	$	123,514,098	$	52,771,643	$	—	$	176,285,741
	Small-Cap Value Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	64,134,182	$	—	$	—	$	64,134,182
Short-Term Investments		974,691		30,092,122		—		31,066,813
Total	$	65,108,873	$	30,092,122	$	—	$	95,200,995

	Small-Cap Core Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	19,144,709	$	—	$	—	$	19,144,709
Short-Term Investments		484,548		8,761,118		—		9,245,666
Total	$	19,629,257	$	8,761,118	$	—	$	28,390,375
	Small-Cap Growth Fund
	Level 1		Level 2		Level 3		Total
Common Stocks(1)	$	135,056,380	$	—	$	—	$	135,056,380
Short-Term Investments		1,895,175		66,182,392		—		68,077,567
Total	$	136,951,555	$	66,182,392	$	—	$	203,133,947
	Global Low Volatility Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Belgium	$	—	$	202,761	$	—	$	202,761
Bermuda		464,354		222,194		—		686,548
Canada		4,033,225		—		—		4,033,225
Cayman Islands		386,745		942,220		—		1,328,965
China		—		1,541,589		—		1,541,589
Czech Republic		—		850,967		—		850,967
Denmark		—		201,072		—		201,072
France		—		61,951		—		61,951
Germany		—		341,681		—		341,681
Guernsey		1,004,219		—		—		1,004,219
Hong Kong		—		4,313,443		—		4,313,443
Hungary		—		276,289		—		276,289
Ireland		116,369		—		—		116,369
Israel		—		887,935		—		887,935
Japan		—		3,702,281		—		3,702,281
Malaysia		—		2,771,429		—		2,771,429
Netherlands		—		70,487		—		70,487
New Zealand		—		1,573,039		—		1,573,039
Philippines		—		487,043		—		487,043
Singapore		—		2,582,017		—		2,582,017
South Korea		—		153,188		—		153,188
Switzerland		—		1,256,327		—		1,256,327
Taiwan		—		1,117,855		—		1,117,855
Thailand		—		505,622		—		505,622
United Kingdom		—		237,473		—		237,473
United States		20,930,640		—		—		20,930,640
Common Stock Units		176,993		—		—		176,993
Short-Term Investments		2,267,133		—		—		2,267,133
Total	$	29,379,678	$	24,298,863	$	—	$	53,678,541

124

Notes to Financial Statements (continued)

	Disciplined International Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Australia	$	—	$	4,648,316	$	—	$	4,648,316
Belgium		—		133,253		—		133,253
Cayman Islands		—		2,722,873		—		2,722,873
Denmark		—		3,142,116		—		3,142,116
Finland		—		1,972,697		—		1,972,697
France		—		8,980,013		—		8,980,013
Germany		—		5,154,218		—		5,154,218
Hong Kong		—		3,224,135		—		3,224,135
Ireland		1,489,326		—		—		1,489,326
Israel		183,885		—		—		183,885
Italy		—		909,724		—		909,724
Japan		—		18,550,790		—		18,550,790
Jersey		1,636,874		1,476,694		—		3,113,568
Luxembourg		446,739		—		—		446,739
Netherlands		457,702		2,821,419		—		3,279,121
New Zealand		—		176,315		—		176,315
Norway		—		588,690		—		588,690
Portugal		—		200,592		—		200,592
Singapore		—		1,524,331		—		1,524,331
Spain		—		1,166,650		—		1,166,650
Sweden		—		183,566		—		183,566
Switzerland		1,342,541		3,780,524		—		5,123,065
United Kingdom		—		8,882,313		—		8,882,313
United States		1,365,659		—		—		1,365,659
Short-Term Investments		5,469,260		—		—		5,469,260
Total	$	12,391,986	$	70,239,229	$	—	$	82,631,215
	Pyrford International Stock Fund
	Level 1		Level 2		Level 3		Total
Common Stocks (1)	$	—	$	674,902,434	$	—	$	674,902,434
Preferred Stocks (1)		—		13,080,191		—		13,080,191
Rights		94,351		—		—		94,351
Short-Term Investments		59,314,635		—		—		59,314,635
Total	$	59,408,986	$	687,982,625	$	—	$	747,391,611
	LGM Emerging Markets Equity Fund
	Level 1		Level 2		Level 3		Total
Common Stocks
Bermuda	$	2,878,569	$	6,305,253	$	—	$	9,183,822
Brazil		1,752,318		—		—		1,752,318
Cayman Islands		—		11,160,358		—		11,160,358
Chile		3,199,752		—		—		3,199,752
China		—		4,011,934		—		4,011,934
Egypt		—		5,792,055		—		5,792,055
Hong Kong		—		5,893,781		—		5,893,781
India		—		38,909,121		—		38,909,121
Indonesia		—		17,702,303		—		17,702,303
Malaysia		—		7,249,947		—		7,249,947
Mexico		15,238,831		—		—		15,238,831
Nigeria		—		2,050,941		—		2,050,941
Philippines		—		7,423,954		—		7,423,954
Russia		—		7,506,630		—		7,506,630
South Africa		—		17,172,374		—		17,172,374
Taiwan		—		6,148,626		—		6,148,626
Thailand		2,464,632		—		—		2,464,632
Turkey		—		3,655,748		—		3,655,748
United States		17,816,905		—		—		17,816,905
Vietnam		—		4,927,612		—		4,927,612
Common Stock Units		5,148,565		—		—		5,148,565
Short-Term Investments		13,575,722		—		—		13,575,722
Total	$	62,075,294	$	145,910,637	$	—	$	207,985,931

	Alternative Strategies Fund (2)
	Level 1		Level 2		Level 3		Total
Assets-Long
Bank Loans	$	—	$	3,281	$	—	$	3,281
Common Stocks
Australia		—		126,186		—		126,186
Bermuda		918,280		—		—		918,280
Canada		1,381,741		—		—		1,381,741
Cayman Islands		—		47,354		—		47,354
China		—		91,399		—		91,399
Denmark		—		51,553		—		51,553
France		—		535,559		—		535,559
Germany		—		20,222		—		20,222
Hungary		—		110,496		—		110,496
Ireland		1,487,221		—		—		1,487,221
Italy		—		164,719		—		164,719
Japan		—		1,372,227		—		1,372,227
Jersey		—		64,999		—		64,999
Luxembourg		384,879		—		—		384,879
Netherlands		280,022		348,368		—		628,390
New Zealand		—		156,194		—		156,194
Norway		—		51,677		—		51,677
Panama		105,105		—		—		105,105
Poland		—		80,558		—		80,558
Singapore		636,853		—		—		636,853
South Korea		—		203,728		—		203,728
Sweden		—		70,923		—		70,923
Taiwan		—		55,747		—		55,747
United Kingdom		26,873		469,798		—		496,671
United States		33,066,438		—		—		33,066,438
Corporate Bonds & Notes		—		—		—		—
Limited Partnership Units		542,714		—		—		542,714
Municipals		—		222,840		—		222,840
Mutual Funds		350,597		—		—		350,597
Purchased Options		2,727,239		—		—		2,727,239
Short-Term Investments		23,125,826		12,490,202		—		35,616,028
Total	$	65,033,788	$	16,738,030	$	—	$	81,771,818
Liabilities-Short
Common Stocks
Australia	$	—	$	33,352	$	—	$	33,352
Canada		679,273		—		—		679,273
Cayman Islands		21,261		—		—		21,261
Denmark		127,192		—		—		127,192
Finland		—		25,151		—		25,151
France		—		217,524		—		217,524
Germany		—		166,356		—		166,356
Ireland		224,220		—		—		224,220
Japan		—		1,263,416		—		1,263,416
Jersey		—		79,647		—		79,647
Netherlands		196,419		182,003		—		378,422
New Zealand		—		60,407		—		60,407
Norway		—		124,558		—		124,558
Spain		—		96,385		—		96,385
Sweden		—		114,534		—		114,534
Switzerland		—		335,112		—		335,112
United Kingdom		—		641,552		—		641,552
United States		9,238,871		—		—		9,238,871
Exchange Traded Funds		1,023,102		—		—		1,023,102
Written Options		2,300,528		—		—		2,300,528
Total	$	13,810,866	$	3,339,997	$	—	$	17,150,863

125

BMO Funds

	Global Long/Short Equity Fund
	Level 1		Level 2		Level 3		Total
Assets-Long
Common Stocks
Australia	$	—	$	116,691	$	—	$	116,691
Bermuda		354,774		—		—		354,774
Canada		773,572		—		—		773,572
Cayman Islands		—		43,472		—		43,472
China		—		82,172		—		82,172
Denmark		—		47,584		—		47,584
France		—		208,975		—		208,975
Germany		—		18,043		—		18,043
Hungary		—		102,121		—		102,121
Ireland		77,216		—		—		77,216
Italy		—		156,026		—		156,026
Japan		—		1,205,005		—		1,205,005
Jersey		—		59,996		—		59,996
Luxembourg		355,708		—		—		355,708
Netherlands		—		339,998		—		339,998
New Zealand		—		144,442		—		144,442
Norway		—		47,783		—		47,783
Panama		97,083		—		—		97,083
Poland		—		74,569		—		74,569
South Korea		—		188,557		—		188,557
Sweden		—		65,564		—		65,564
Taiwan		—		51,017		—		51,017
United Kingdom		—		435,131		—		435,131
United States		8,212,356		—		—		8,212,356
Short-Term Investments		5,104,583		—		—		5,104,583
Total	$	14,975,292	$	3,387,146	$	—	$	18,362,438
Liabilities-Short
Common Stocks
Australia	$	—	$	27,881	$	—	$	27,881
Cayman Islands		20,638		—		—		20,638
Finland		—		22,448		—		22,448
Germany		—		143,977		—		143,977
Japan		—		1,062,137		—		1,062,137
New Zealand		—		45,565		—		45,565
Norway		—		113,963		—		113,963
Spain		—		89,073		—		89,073
Sweden		—		105,877		—		105,877
Switzerland		—		41,850		—		41,850
United Kingdom		—		445,366		—		445,366
United States		2,426,691		—		—		2,426,691
Total	$	2,447,329	$	2,098,137	$	—	$	4,545,466
	Ultra Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	624,543,506	$	—	$	624,543,506
Short-Term Investments		1,884,271		43,809,725		—		45,693,996
Total	$	1,884,271	$	668,353,231	$	—	$	670,237,502
	Short Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	183,130,158	$	—	$	183,130,158
Mutual Funds		869,605		—		—		869,605
Short-Term Investments		204,034		701,358		—		905,392
Total	$	1,073,639	$	183,831,516	$	—	$	184,905,155

	Short-Term Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	52,654,472	$	—	$	52,654,472
Certificates of Deposit		—		6,504,809		—		6,504,809
Collateralized Mortgage Obligations		—		9,152,274		—		9,152,274
Commercial Mortgage Securities		—		21,914,154		—		21,914,154
Corporate Bonds & Notes		—		108,979,046		—		108,979,046
Mutual Funds		3,765,651		—		—		4,772,208	*
U.S. Government & U.S. Government Agency Obligations		—		28,597,431		—		28,597,431
U.S. Government Agency-Mortgage Securities		—		3,054,185		—		3,054,185
Short-Term Investments		3,757,592		34,488,228		—		38,245,820
Total	$	7,523,243	$	265,344,599	$	—	$	273,874,399

* Total includes a $1,006,557 private placement senior loan fund holding valued using practical expedient.

	Intermediate Tax-Free Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	1,608,911,390	$	—	$	1,608,911,390
Mutual Funds		15,640,885		—		—		15,640,885
Short-Term Investments		504,436		—		—		504,436
Total	$	16,145,321	$	1,608,911,390	$	—	$	1,625,056,711

	Strategic Income Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	234,378	$	—	$	234,378
Collateralized Mortgage Obligations		—		10,444,983		—		10,444,983
Commercial Mortgage Securities		—		6,016,003		—		6,016,003
Corporate Bonds & Notes		—		67,572,626		—		67,572,626
U.S. Government Agency-Mortgage Securities		—		12,751,210		—		12,751,210
Short-Term Investments		480,466		24,802,849		—		25,283,315
Total	$	480,466	$	121,822,049	$	—	$	122,302,515
	TCH Corporate Income Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	239,112,627	$	—	$	239,112,627
Municipals		—		547,145		—		547,145
U.S. Government & U.S. Government Agency Obligations		—		5,276,631		—		5,276,631
Short-Term Investments		4,312,494		69,591,405		—		73,903,899
Total	$	4,312,494	$	314,527,808	$	—	$	318,840,302

126

Notes to Financial Statements (continued)

	TCH Core Plus Bond Fund
	Level 1		Level 2		Level 3		Total
Asset-Backed Securities	$	—	$	22,403,195	$	—	$	22,403,195
Commercial Mortgage Securities		—		36,628,538		—		36,628,538
Corporate Bonds & Notes		—		456,028,528		—		456,028,528
Municipals		—		328,287		—		328,287
U.S. Government & U.S. Government Agency Obligations		—		120,111,249		—		120,111,249
U.S. Government Agency-Mortgage Securities		—		350,709,818		—		350,709,818
Short-Term Investments		62,776,931		217,285,887		—		280,062,818
Total	$	62,776,931	$	1,203,495,502	$	—	$	1,266,272,433
	High Yield Bond Fund
	Level 1		Level 2		Level 3		Total
Corporate Bonds & Notes	$	—	$	11,712,559	$	—	$	11,712,559
Short-Term Investments		436,676		—		—		436,676
Total	$	436,676	$	11,712,559	$	—	$	12,149,235
	Government Money Market Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	235,000,000	$	—	$	—	$	235,000,000
Repurchase Agreements		—		1,046,222,094		—		1,046,222,094
U.S. Government & U.S. Government Agency Obligations		—		2,015,619,773		—		2,015,619,773
Total	$	235,000,000	$	3,061,841,867	$	—	$	3,296,841,867
	Tax-Free Money Market Fund
	Level 1		Level 2		Level 3		Total
Municipals	$	—	$	360,777,164	$	—	$	360,777,164
Mutual Funds		10,628,676		—		—		10,628,676
Total	$	10,628,676	$	360,777,164	$	—	$	371,405,840

	Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	134,525,764	$	—	$	134,525,764
Commercial Paper		—		254,226,353		—		254,226,353
Municipals		—		15,575,000		—		15,575,000
Mutual Funds		16,000,000		—		—		16,000,000
Repurchase Agreements		—		38,346,153		—		38,346,153
Total	$	16,000,000	$	442,673,270	$	—	$	458,673,270
	Institutional Prime Money Market Fund
	Level 1		Level 2		Level 3		Total
Certificates of Deposit	$	—	$	108,691,423	$	—	$	108,691,423
Commercial Paper		—		261,889,243		—		261,889,243
Mutual Funds		25,616,398		—		—		25,616,398
Repurchase Agreements		—		32,500,000		—		32,500,000
Total	$	25,616,398	$	403,080,666	$	—	$	428,697,064

(1) All sub-categories within Common Stocks and Preferred Stocks represent either entire Level 1 or Level 2 evaluation status.

(2) The following is a summary of other financial instruments that are derivative instruments not reflected in the Schedules of Investments, such as futures and forward contracts. Amounts below are the unrealized appreciation/(depreciation) on the investment.

	Unrealized Appreciation/(Depreciation) On Other Financial Instruments
Fund	Level 1			Level 2			Level 3		Total
Alternative Strategies Fund
Long Futures Contracts	$	(320,487	)	$	—		$	—	$	(320,487	)
Short Futures Contracts		(78,337	)		—			—		(78,337	)
Total Futures	$	(398,824	)	$	—		$	—	$	(398,824	)
Long Forward Contracts	$	—		$	174,938		$	—	$	174,938
Short Forward Contracts		—			(393,706	)		—		(393,706	)
Total Forwards	$	—		$	(218,768	)	$	—	$	(218,768	)

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

4. Derivative Holdings and Activity Detail

Derivatives and Hedging Disclosures—Derivatives and hedging require enhanced disclosures about the Funds’ derivative and hedging activities, including how such activities are accounted for and their effects on the Funds’ financial positions, performance and cash flows. For the period ended February 28, 2018, the Alternative Strategies Fund utilized all derivatives for the purposes of generating and enhancing total return.

During the period ended February 28, 2018, the Alternative Strategies Fund had average quarterly contracts or notional values outstanding:

Average Quarterly Contracts								Average Quarterly Notional Values
Long Futures		Short Futures		Purchased Options		Written Options		Long Forwards		Short Forwards
	512		316		808		1,244	$	37,697,290	$	29,785,258

127

BMO Funds

The effects of these derivative instruments on the Fund’s financial positions and financial performance are reflected in the Statements of Assets and Liabilities and Statements of Operations, and are presented in the table below. The values of derivative instruments as of February 28, 2018 by risk category are as follows:

	Statement of Asset and Liabilities			Statement of Operations
Fund/Financial Instrument Type	Amount			Realized Gain/(Loss)			Net Change in Unrealized Appreciation/ (Depreciation)
Alternative Strategies Fund
Interest rate futures contracts:
Receivables for daily variation margin	$	282,135
Payables for daily variation margin		(378,728	)
Net		(96,593	)	$	(375,807	)	$	(163,853	)
Equity futures contracts:
Receivables for daily variation margin		—
Payables for daily variation margin		(302,231	)
Net		(302,231	)		361,749			(463,825	)
Total receivables for interest rate and equity futures contracts		282,135
Total payables for interest rate and equity futures contracts		(680,959	)
Net	$	(398,824	)	$	(14,058	)	$	(627,678	)
Forward foreign exchange contracts:
Receivables for forward foreign exchange contracts	$	673,285
Payables for forward foreign exchange contracts		(892,053	)
Net	$	(218,768	)	$	(310,397	)	$	(419,165	)
Equity option contracts:
Purchased options	$	2,727,239		$	302,469		$	809,088
Written options	$	(2,300,528	)	$	(1,814,258	)	$	354,806

Offsetting of Assets and Liabilities—Disclosures about offsetting assets and liabilities require an entity to disclose information about offsetting and related arrangements to enable users of its financial statements to understand the effect of those arrangements on its financial position. The guidance requires retrospective application for all comparative periods presented. As of February 28, 2018, no master netting arrangements exist related to the Funds. The Funds’ Statements of Assets and Liabilities (“SAL”) presents derivative instruments on a gross basis, therefore, no net amounts and no offset amounts exist within the SAL to present below. Gross amounts of the derivative instruments, amounts related to financial instruments/cash collateral not offset in the SAL and net amounts are presented below:

	Derivative Assets				Derivative Liabilities									Net Derivative Assets (Liabilities)			Collateral Pledged (Received) (1)
Fund/Counterparty	Forward Currency Contracts		Futures Contracts		Forward Currency Contracts			Futures Contracts			Written Options						Financial Instruments		Cash		Net Amount
Alternative Strategies Fund
Bank Of America Merrill Lynch (Over the Counter)	$	673,285	$	—	$	(892,053	)	$	—		$	—		$	(218,768	)	$	—	$	218,768	$	—
Exchange Traded Futures Contracts		—		282,135		—			(680,959	)		—			(398,824	)		—		398,824		—
Exchange Traded Options Contracts		—		—		—			—			(2,300,528	)		(2,300,528	)		1,479,695		820,833		—

(1) Collateral pledged exceeds amount of liability balance.

At period end, certain Funds covered in this report had investments in repurchase agreements. The gross value and related collateral received for these investments are presented in each applicable Fund’s Schedule of Investments and the value of these investments is also presented in the Statements of Assets and Liabilities. The value of the related collateral received exceeded the value of the repurchase agreements as of February 28, 2018.

128

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Notes to Financial Statements (continued)

5. Capital Stock

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

	Low Volatility Equity Fund				Dividend Income Fund				Large-Cap Value Fund
	Six Months Ended February 28, 2018 (Unaudited)		Year Ended August 31, 2017		Six Months Ended February 28, 2018 (Unaudited)		Year Ended August 31, 2017		Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—	$	—	$	—	$	—	$	—		$	25,782,143	(1)
Advisor class of shares		1,775,981		30,709,923		219,677		9,963,731		705,002			2,132,939
Institutional class of shares		6,424,123		23,796,019		10,135,164		84,755,232		35,694,139	(2)		209,105,302
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		81,556,075			1,523,544
Advisor class transfers from termination of Investor class		—		—		—		—		—			186,891,192
Net proceeds from sale of shares		8,200,104		54,505,942		10,354,841		94,718,963		117,955,216			425,435,120
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—		—		—		—		—			3,003,799	(1)
Advisor class of shares		969,557		600,108		323,789		1,904,772		2,283,848			523,217
Institutional class of shares		4,123,554		3,555,616		14,146,825		1,431,043		29,210,285			3,151,481
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		141,306			5,361
Net proceeds from shares issued		5,093,111		4,155,724		14,470,614		3,335,815		31,635,439			6,683,858
Cost of shares redeemed:
Investor class of shares		—		—		—		—		—			(29,944,864)	(1)
Advisor class of shares		(7,010,095)		(16,253,010)		(782,827)		(95,290,255)		(2,727,993)			(163,849,415)
Institutional class of shares		(13,149,645)		(40,363,601)		(11,634,887)		(17,370,722)		(116,659,844)			(62,434,365)
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		(41,069)			(143,363)
Advisor class transfers from termination of Investor class		—		—		—		—		—			(186,891,192)
Net cost of shares redeemed		(20,159,740)		(56,616,611)		(12,417,714)		(112,660,977)		(119,428,906)			(443,263,199)
Net change resulting from fund share transactions in dollars	$	(6,866,525)	$	2,045,055	$	12,407,741	$	(14,606,199)	$	30,161,749		$	(11,144,221)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—		—		—		—		—			1,721,277	(1)
Advisor class of shares		121,164		2,223,381		14,909		734,704		42,934			136,008
Institutional class of shares		438,986		1,717,254		689,087		5,932,931		2,187,455	(2)		13,571,425
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		5,018,467			98,226
Advisor class transfers from termination of Investor class		—		—		—		—		—			11,959,735
Net sale of shares		560,150		3,940,635		703,996		6,667,635		7,248,856			27,486,671
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—		—		—		—		—			202,894	(1)
Advisor class of shares		66,801		43,466		23,069		142,063		144,014			33,497
Institutional class of shares		283,307		258,635		1,011,373		104,269		1,841,370			210,885
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		8,902			343
Net shares issued		350,108		302,101		1,034,442		246,332		1,994,286			447,619
Shares redeemed:
Investor class of shares		—		—		—		—		—			(2,003,359)	(1)
Advisor class of shares		(479,313)		(1,157,535)		(53,062)		(6,726,795)		(166,359)			(10,550,915)
Institutional class of shares		(895,382)		(2,894,759)		(784,603)		(1,260,014)		(7,141,311)			(4,093,910)
Retirement class R-3 of shares		—		—		—		—		—			—
Retirement class R-6 of shares		—		—		—		—		(2,529)			(9,119)
Advisor class transfers from termination of Investor class		—		—		—		—		—			(11,959,735)
Net shares redeemed		(1,374,695)		(4,052,294)		(837,665)		(7,986,809)		(7,310,199)			(28,617,038)
Net change resulting from fund share transactions in shares		(464,437)		190,442		900,773		(1,072,842)		1,932,943			(682,748)

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Includes $4,159,630 of paid-in-capital received from an in-kind subscription merger of an unaffiliated equity fund effective as of the close of business on December 15, 2017. The total value received of $4,159,630 from this non-taxable event represented $2,408,685 in securities cost, $1,730,375 in net unrealized appreciation, $3,388 in accrued dividends, $17,172 in cash, and $10 in accrued interest in exchange for 258,754 Institutional Class of shares at time of merger.

(3) Reflects operations for the period from September 1, 2017, to December 3, 2017 (termination of Retirement class R-3 of shares).

130

BMO Funds

Large-Cap Growth Fund						Mid-Cap Value Fund						Mid-Cap Growth Fund						Small-Cap Value Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	6,572,545		$	47,552,629		$	—		$	12,630,560	(1)	$	—		$	8,328,558	(1)	$	—		$	—
	101,299			989,079			1,183,121			3,288,541			587,849			3,531,002			84,739			4,344,594
	27,731,046			208,981,585			8,427,257			80,906,095			5,499,944			73,932,023			3,248,820			45,025,931
	—			—			655			1,057			—			—			7,993			30,591
	57,525,405			2,776,234			25,969,739			3,976,868			22,699,621			563,173			7,725,297			2,248,782
	—			—			—			134,579,478			—			85,760,412			—			—
	91,930,295			260,299,527			35,580,772			235,382,599			28,787,414			172,115,168			11,066,849			51,649,898
	4,067,641			10,511,010			—			37,960,691	(1)		—			18,801,115	(1)		—			—
	28,989			23,490			2,703,899			3,053			1,100,667			1,518			374,648			4,111,818
	14,420,748			6,318,459			6,519,523			19,028,243			5,913,858			7,803,153			4,591,637			2,338,598
	—			—			79			76			—			—			4,108			5,814
	184,270			9,109			816,233			3,121,456			36,318			—			213,686			95,423
	18,701,648			16,862,068			10,039,734			60,113,519			7,050,843			26,605,786			5,184,079			6,551,653
	(12,824,745	)		(167,909,613	)		—			(37,912,274	)(1)		—			(21,939,370	)(1)		—			—
	(308,339	)		(684,033	)		(9,995,083	)		(74,055,945	)		(2,768,487	)		(71,617,531	)		(827,095	)		(47,396,459	)
	(87,698,385	)		(54,111,950	)		(35,693,623	)		(37,859,484	)		(32,860,205	)		(24,230,419	)		(13,210,315	)		(15,809,625	)
	—			—			(8	)		(9	)		(24,268	)(3)		—			(52,453	)		(4,887	)
	(136,336	)		(66,992	)		(11,057,688	)		(2,141,795	)		(1,490	)		(798	)		(455,950	)		(611,082	)
	—			—			—			(134,579,478	)		—			(85,760,412	)		—			—
	(100,967,805	)		(222,772,588	)		(56,746,402	)		(286,548,985	)		(35,654,450	)		(203,548,530	)		(14,545,813	)		(63,822,053	)
$	9,664,138		$	54,389,007		$	(11,125,896	)	$	8,947,133		$	183,807		$	(4,827,576	)	$	1,705,115		$	(5,620,502	)
	360,186			2,983,477			—			1,079,783	(1)		—			603,003	(1)		—			—
	5,578			60,502			95,533			277,019			37,243			245,836			5,935			327,444
	1,502,489			12,557,523			681,512			6,898,100			336,903			4,865,381			228,880			3,311,166
	—			—			54			92			—			(1	)		566			2,331
	3,018,685			161,842			2,118,593			337,095			1,329,024			36,858			560,498			165,453
	—			—			—			11,426,538			—			5,852,195			—			—
	4,886,938			15,763,344			2,895,692			20,018,627			1,703,170			11,603,272			795,879			3,806,394
	230,331			704,400			—			3,609,940	(1)		—			1,480,172	(1)		—			—
	1,642			1,564			220,359			290			73,182			120			27,629			340,483
	809,699			419,303			536,253			1,812,569			376,679			591,039			333,452			190,485
	—			—			7			7			—			—			304			481
	10,341			531			67,103			296,837			2,300			—			15,440			7,719
	1,052,013			1,125,798			823,722			5,719,643			452,161			2,071,331			376,825			539,168
	(696,683	)		(10,102,414	)		—			(3,280,928	)(1)		—			(1,572,244	)(1)		—			—
	(17,603	)		(42,166	)		(807,445	)		(6,294,719	)		(179,020	)		(4,886,470	)		(58,925	)		(3,524,240	)
	(4,657,340	)		(3,325,891	)		(2,904,417	)		(3,265,545	)		(1,958,354	)		(1,678,679	)		(949,417	)		(1,210,294	)
	—			—			(1	)		(1	)		(1,460	)(3)		—			(3,700	)		(367	)
	(7,393	)		(3,886	)		(878,693	)		(185,873	)		(91	)		(52	)		(32,189	)		(46,103	)
	—			—			—			(11,426,538	)		—			(5,852,195	)		—			—
	(5,379,019	)		(13,474,357	)		(4,590,556	)		(24,453,604	)		(2,138,925	)		(13,989,640	)		(1,044,231	)		(4,781,004	)
	559,932			3,414,785			(871,142	)		1,284,666			16,406			(315,037	)		128,473			(435,442	)

131

Notes to Financial Statements (continued)

	Small-Cap Core Fund						Small-Cap Growth Fund						Global Low Volatility Equity Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	8,270,106	(1)	$	—		$	—
Advisor class of shares		649,239			2,075,979			2,783,291			8,904,983	(2)		172,217			795,975
Institutional class of shares		1,768,412			7,844,262			4,651,233			54,817,727			121,363			25,178,906
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			92,631,103			—			—
Net proceeds from sale of shares		2,417,651			9,920,241			7,434,524			164,623,919			293,580			25,974,881
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		126,053			627			6,081,288			—			35,577			2,983
Institutional class of shares		1,050,655			232,893			8,460,833			—			1,428,624			1,085,758
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Net proceeds from shares issued		1,176,708			233,520			14,542,121			—			1,464,201			1,088,741
Cost of shares redeemed:
Investor class of shares		—			—			—			(85,059,894	)(1)		—			—
Advisor class of shares		(794,195	)		(211,102	)		(11,384,891	)		(45,090,880	)(2)		(105,159	)		(115,806	)
Institutional class of shares		(3,137,144	)		(3,817,564	)		(10,978,938	)		(165,285,708	)		(20	)		(19,346,226	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			(92,631,103	)		—			—
Net cost of shares redeemed		(3,931,339	)		(4,028,666	)		(22,363,829	)		(388,067,585	)		(105,179	)		(19,462,032	)
Redemption fees		—			—			—			—			—			50
Net change resulting from fund share transactions in dollars	$	(336,980	)	$	6,125,095		$	(387,184	)	$	(223,443,666	)	$	1,652,602		$	7,601,640
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			494,669	(1)		—			—
Advisor class of shares		46,401			157,501			145,433			498,846	(2)		12,766			63,712
Institutional class of shares		124,713			629,056			241,545			2,932,428			8,902			2,042,381
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			5,076,122			—			—
Net sale of shares		171,114			786,557			386,978			9,002,065			21,668			2,106,093
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			—			—			—
Advisor class of shares		9,228			49			347,701			—			2,693			251
Institutional class of shares		76,411			18,110			465,392			—			107,902			91,317
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Net shares issued		85,639			18,159			813,093			—			110,595			91,568
Shares redeemed:
Investor class of shares		—			—			—			(5,106,058	)(1)		—			—
Advisor class of shares		(57,072	)		(15,970	)		(610,418	)		(2,432,400	)(2)		(7,583	)		(9,239	)
Institutional class of shares		(225,419	)		(291,933	)		(570,392	)		(9,469,711	)		(2	)		(1,556,987	)
Retirement class R-3 of shares		—			—			—			—			—			—
Retirement class R-6 of shares		—			—			—			—			—			—
Class F-3 of shares		—			—			—			—			—			—
Advisor class transfers from termination of Investor class		—			—			—			(5,076,122	)		—			—
Net shares redeemed		(282,491	)		(307,903	)		(1,180,810	)		(22,084,291	)		(7,585	)		(1,566,226	)
Net change resulting from fund share transactions in shares		(25,738	)		496,813			19,261			(13,082,226	)		124,678			631,435

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

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

(3) Reflects operations for the period from September 1, 2017, to December 3, 2017 (termination of Retirement class R-3 of shares).

132

BMO Funds

Disciplined International Equity Fund						Pyrford International Stock Fund						LGM Emerging Markets Equity Fund						Alternative Strategies Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	—		$	—		$	75,421		$	13,163,350		$	—		$	—		$	—		$	—
	30,743			2,000			97,668			822,444			1,624,358			8,777,557			382			27,169
	7,499,373			22,341,033			47,653,831			350,747,663			48,253,983			100,996,016			10,035,829			21,282,139
	—			—			105,187,454			31,501,915			—			—			—			—
	—			—			8,146,809			25,761	(2)		—			—			—			—
	—			—			—			—			—			—			—			—
	7,530,116			22,343,033			161,161,183			396,261,133			49,878,341			109,773,573			10,036,211			21,309,308
	—			—			—			1,999,666			—			—			—			—
	1,309			787			—			1,905			—			235,064			3,248			—
	1,509,712			1,669,867			12,082,424			6,699,345			1,128,190			631,448			5,106,209			—
	—			—			1,405,577			652,042			—			—			—			—
	—			—			1,758			—			—			—			—			—
	1,511,021			1,670,654			13,489,759			9,352,958			1,128,190			866,512			5,109,457			—
	—			—			(662,929	)		(115,429,633	)		—			—			—			—
	(2,155	)		—			(333,712	)		(43,970	)		(1,462,966	)		(61,462,014	)		(34,805	)		(165,974	)
	(5,332,099	)		(28,580,607	)		(103,963,506	)		(290,612,247	)		(16,747,191	)		(37,328,961	)		(23,199,748	)		(39,535,186	)
	—			—			(26,363	)(3)		—			—			—			—			—
	—			—			(2,034,721	)		(3,041,612	)		—			—			—			—
	—			—			(7,585	)		—			—			—			—			—
	—			—			—			—			—			—			—			—
	(5,334,254	)		(28,580,607	)		(107,028,816	)		(409,127,462	)		(18,210,157	)		(98,790,975	)		(23,234,553	)		(39,701,160	)
	—			—			418			3,133			359			680			—			—
$	3,706,883		$	(4,566,920	)	$	67,622,544		$	(3,510,238	)	$	32,796,733		$	11,849,790		$	(8,088,885	)	$	(18,391,852	)
	—			—			5,570			1,073,748			—			—			—			—
	2,701			180			7,198			63,670			100,622			629,812			36			2,572
	658,002			2,090,763			3,537,612			27,977,151			2,902,052			6,844,430			952,548			2,009,145
	—			—			7,812,592			2,563,451			—			—			—			—
	—			—			614,326	)		1,950	(2)		—			—			—			—
	—			—			—			—			—			—			—			—
	660,703			2,090,943			11,977,298			31,679,970			3,002,674			7,474,242			952,584			2,011,717
	—			—			—			174,491			—			—			—			—
	118			84			—			166			—			18,509			322			—
	136,256			176,893			915,335			583,567			70,030			49,681			502,086			—
	—			—			106,483			56,798			—			—			—			—
	—			—			133			—			—			—			—			—
	136,374			176,977			1,021,951			815,022			70,030			68,190			502,408			—
	—			—			(48,505	)		(8,986,498	)		—			—			—			—
	(184	)		—			(23,748	)		(3,359	)		(86,741	)		(4,044,334	)		(3,216	)		(15,772	)
	(460,957	)		(2,848,966	)		(7,721,225	)		(23,381,161	)		(1,013,663	)		(2,627,477	)		(2,168,561	)		(3,732,936	)
	—			—			(1,946	)(3)		—			—			—			—			—
	—			—			(149,818	)		(239,843	)		—			—			—			—
	—			—			(567	)		—			—			—			—			—
	—			—			—			—			—			—			—			—
	(461,141	)		(2,848,966	)		(7,945,809	)		(32,610,861	)		(1,100,404	)		(6,671,811	)		(2,171,777	)		(3,748,708	)
	335,936			(581,046	)		5,053,440			(115,869	)		1,972,300			870,621			(716,785	)		(1,736,991	)

133

Notes to Financial Statements (continued)

	Global Long/Short Equity Fund						Ultra Short Tax-Free Fund						Short Tax-Free Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	—		$	—		$	—		$	6,104,616	(1)	$	—		$	10,895,505	(1)
Advisor class of shares		100,209			269,383			2,872,758			6,200,069			1,454,068			1,819,564
Institutional class of shares		4,262,771			4,556,249			241,058,210			466,456,337			30,621,337			88,094,396
Advisor class transfers from termination of Investor class		—			—			—			45,351,480			—			22,049,349
Net proceeds from sale of shares		4,362,980			4,825,632			243,930,968			524,112,502			32,075,405			122,858,814
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			286,536	(1)		—			169,287	(1)
Advisor class of shares		22,321			4,145			160,366			71,269			39,288			46,057
Institutional class of shares		296,703			23,628			1,347,100			1,945,603			442,640			636,743
Net proceeds from shares issued		319,024			27,773			1,507,466			2,303,408			481,928			852,087
Cost of shares redeemed:
Investor class of shares		—			—			—			(14,358,125	)(1)		—			(4,549,287	)(1)
Advisor class of shares		(26,262	)		(128,015	)		(3,429,539	)		(16,963,463	)		(2,164,109	)		(17,897,661	)
Institutional class of shares		(319,117	)		(175,281	)		(216,140,722	)		(391,631,904	)		(21,946,400	)		(81,433,763	)
Advisor class transfers from termination of Investor class		—			—			—			(45,351,480	)		—			(22,049,349	)
Net cost of shares redeemed		(345,379	)		(303,296	)		(219,570,261	)		(468,304,972	)		(24,110,509	)		(125,930,060	)
Redemption fees		1,352			—			—			—			—			—
Net change resulting from fund share transactions in dollars	$	4,337,977		$	4,550,109		$	25,868,173		$	58,110,938		$	8,446,824		$	(2,219,159	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		—			—			—			606,227	(1)		—			1,076,290	(1)
Advisor class of shares		8,112			22,951			285,199			615,178			142,792			179,645
Institutional class of shares		340,516			397,699			23,947,856			46,336,954			3,007,168			8,670,982
Advisor class transfers from termination of Investor class		—			—			—			4,499,110			—			2,162,888
Net sale of shares		348,628			420,650			24,233,055			52,057,469			3,149,960			12,089,805
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		—			—			—			28,463	(1)		—			16,686	(1)
Advisor class of shares		1,812			374			15,924			7,071			3,866			4,523
Institutional class of shares		24,063			2,129			133,840			193,296			43,535			62,642
Net shares issued		25,875			2,503			149,764			228,830			47,401			83,851
Shares redeemed:
Investor class of shares		—			—			—			(1,426,090	)(1)		—			(449,187	)(1)
Advisor class of shares		(2,159	)		(11,422	)		(340,515	)		(1,682,885	)		(212,737	)		(1,757,934	)
Institutional class of shares		(25,789	)		(15,094	)		(21,461,627	)		(38,912,011	)		(2,158,596	)		(8,016,682	)
Advisor class transfers from termination of Investor class		—			—			—			(4,499,110	)		—			(2,162,888	)
Net shares redeemed		(27,948	)		(26,516	)		(21,802,142	)		(46,520,096	)		(2,371,333	)		(12,386,691	)
Net change resulting from fund share transactions in shares		346,555			396,637			2,580,677			5,766,203			826,028			(213,035	)

(1) Reflects operations for the period from September 1, 2016, to June 2, 2017 (termination of Investor class of shares).

(2) Includes paid-in-capital and shares received from a non-taxable in-kind subscription merger of the BMO TCH Intermediate Income Fund effective as of the close of business on June 29, 2017.

134

BMO Funds

Short-Term Income Fund						Intermediate Tax-Free Fund						Strategic Income Fund						TCH Corporate Income Fund
Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
$	—		$	11,653,364	(1)	$	58,810,088		$	213,547,673		$	1,358,782		$	2,074,321		$	8,190,943		$	85,092,119
	2,513,837			10,184,761			4,027,556			9,967,233			360,840			18,617,076	(2)		153,911			1,376,817
	87,526,484			132,998,094			180,673,751			289,062,211			568,501			18,778,044	(2)		12,553,940			30,587,623
	—			49,939,527			—			—			—			—			—			—
	90,040,321			204,775,746			243,511,395			512,577,117			2,288,123			39,469,441			20,898,794			117,056,559
	—			618,739	(1)		12,637,468			30,885,014			1,456,216			2,325,868			1,860,015			3,445,037
	242,464			143,243			157,069			83,901			359,378			148,215			15,327			13,619
	1,086,505			1,710,099			5,739,140			9,417,013			282,411			277,988			688,028			1,601,967
	1,328,969			2,472,081			18,533,677			40,385,928			2,098,005			2,752,071			2,563,370			5,060,623
	—			(21,089,307	)(1)		(126,838,224	)		(480,822,580	)		(7,787,560	)		(16,498,767	)		(12,745,120	)		(51,507,090	)
	(3,651,783	)		(27,139,404	)		(2,123,408	)		(930,368	)		(1,994,968	)		(531,749	)		(549,404	)		(94,009	)
	(86,310,928	)		(159,514,643	)		(79,179,704	)		(255,447,058	)		(7,760,993	)		(19,076,959	)		(10,291,178	)		(27,600,405	)
	—			(49,939,527	)		—			—			—			—			—			—
	(89,962,711	)		(257,682,881	)		(208,141,336	)		(737,200,006	)		(17,543,521	)		(36,107,475	)		(23,585,702	)		(79,201,504	)
	—			—			—			—			—			—			—			—
$	1,406,579		$	(50,435,054	)	$	53,903,736		$	(184,236,961	)	$	(13,157,393	)	$	6,114,037		$	(123,538	)	$	42,915,678
	—			1,243,973	(1)		5,215,402			19,005,661			143,659			221,723			621,385			6,571,426
	269,300			1,087,006			356,838			883,384			38,120			1,979,944	(2)		11,719			105,997
	9,345,344			14,175,534			16,078,539			25,701,510			60,357			2,000,814	(2)		956,593			2,352,481
	—			5,326,826			—			—			—			—			—			—
	9,614,644			21,833,339			21,650,779			45,590,555			242,136			4,202,481			1,589,697			9,029,904
	—			66,052	(1)		1,122,946			2,750,131			154,545			249,197			141,533			265,827
	25,976			15,277			13,962			7,446			38,140			15,702			1,166			1,039
	116,215			182,198			510,354			838,538			29,979			29,730			52,403			124,238
	142,191			263,527			1,647,262			3,596,115			222,664			294,629			195,102			391,104
	—			(2,253,283	)(1)		(11,262,416	)		(42,913,006	)		(825,454	)		(1,775,161	)		(969,719	)		(3,968,342	)
	(391,099	)		(2,896,344	)		(188,572	)		(83,471	)		(211,354	)		(56,447	)		(41,597	)		(7,234	)
	(9,230,970	)		(16,993,915	)		(7,027,483	)		(22,853,490	)		(820,917	)		(2,046,850	)		(783,898	)		(2,134,030	)
	—			(5,326,826	)		—			—			—			—			—			—
	(9,622,069	)		(27,470,368	)		(18,478,471	)		(65,849,967	)		(1,857,725	)		(3,878,458	)		(1,795,214	)		(6,109,606	)
	134,766			(5,373,502	)		4,819,570			(16,663,297	)		(1,392,925	)		618,652			(10,415	)		3,311,402

135

Notes to Financial Statements (continued)

	TCH Core Plus Bond Fund						High Yield Bond Fund						Government Money Market Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	17,117,419		$	114,719,160		$	—		$	—		$	1,343,040,404		$	4,367,701,056
Advisor class of shares		588,709			1,956,570			23,774			2,426,855			—			—
Institutional class of shares		114,205,270			665,156,222			590,718			1,819,681			7,895,463,620			9,966,793,513
Net proceeds from sale of shares		131,911,398			781,831,952			614,492			4,246,536			9,238,504,024			14,334,494,569
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		926,164			12,537,390			—			—			570,150			329,721
Advisor class of shares		47,499			55,571			22,817			1,174,457			—			—
Institutional class of shares		13,263,598			13,350,242			284,160			847,200			1,529,351			970,404
Net proceeds from shares issued		14,237,261			25,943,203			306,977			2,021,657			2,099,501			1,300,125
Cost of shares redeemed:
Investor class of shares		(15,163,548	)		(559,991,083	)		—			—			(1,355,161,939	)		(3,822,205,017	)
Advisor class of shares		(335,481	)		(118,015	)		(114,837	)		(74,352,589	)		—			—
Institutional class of shares		(95,870,844	)		(161,128,094	)		(1,542,873	)		(24,729,280	)		(7,679,845,187	)		(9,665,862,634	)
Net cost of shares redeemed		(111,369,873	)		(721,237,192	)		(1,657,710	)		(99,081,869	)		(9,035,007,126	)		(13,488,067,651	)
Net change resulting from fund share transactions in dollars	$	34,778,786		$	86,537,963		$	(736,241	)	$	(92,813,676	)	$	205,596,399		$	847,727,043
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		1,464,450			9,850,492			—			—			1,343,040,404			4,367,701,056
Advisor class of shares		50,227			167,833			2,487			256,453			—			—
Institutional class of shares		9,767,600			56,847,089			61,850			191,620			7,895,463,620			9,966,793,513
Net sale of shares		11,282,277			66,865,414			64,337			448,073			9,238,504,024			14,334,494,569
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		79,289			1,076,725			—			—			570,150			329,721
Advisor class of shares		4,066			4,763			2,387			123,996			—			—
Institutional class of shares		1,135,381			1,144,537			29,764			89,193			1,529,351			970,404
Net shares issued		1,218,736			2,226,025			32,151			213,189			2,099,501			1,300,125
Shares redeemed:
Investor class of shares		(1,294,968	)		(47,799,589	)		—			—			(1,355,161,939	)		(3,822,205,017	)
Advisor class of shares		(28,606	)		(10,119	)		(11,988	)		(7,860,812	)		—			—
Institutional class of shares		(8,205,770	)		(13,875,014	)		(163,845	)		(2,615,394	)		(7,679,845,187	)		(9,665,862,634	)
Net shares redeemed		(9,529,344	)		(61,684,722	)		(175,833	)		(10,476,206	)		(9,035,007,126	)		(13,488,067,651	)
Net change resulting from fund share transactions in shares		2,971,669			7,406,717			(79,345	)		(9,814,944	)		205,596,399			847,727,043

136

BMO Funds

Tax-Free Money Market Fund				Prime Money Market Fund				Institutional Prime Money Market Fund
Six Months Ended February 28, 2018 (Unaudited)		Year Ended August 31, 2017		Six Months Ended February 28, 2018 (Unaudited)		Year Ended August 31, 2017		Six Months Ended February 28, 2018 (Unaudited)		Year Ended August 31, 2017
$	64,418,199	$	89,068,383	$	153,907,390	$	382,077,941	$	13,138	$	440,297
	—		—		—		—		—		—
	295,876,651		616,291,151		243,284,612		401,337,265		303,499,095		913,886,682
	360,294,850		705,359,534		397,192,002		783,415,206		303,512,233		914,326,979
	231,963		274,041		696,625		644,425		6,594		6,606
	—		—		—		—		—		—
	831		1,677		102,631		136,475		8,686		2,324
	232,794		275,718		799,256		780,900		15,280		8,930
	(49,800,336)		(103,397,551)		(152,011,552)		(1,084,487,321)		(5,336)		(17,918)
	—		—		—		—		—		—
	(257,322,806)		(691,426,427)		(156,106,013)		(903,857,590)		(276,806,443)		(928,945,817)
	(307,123,142)		(794,823,978)		(308,117,565)		(1,988,344,911)		(276,811,779)		(928,963,735)
$	53,404,502	$	(89,188,726)	$	89,873,693	$	(1,204,148,805)	$	26,715,734	$	(14,627,826)
	64,418,199		89,068,383		153,907,390		382,077,940		13,138		440,281
	—		—		—		—		—		—
	295,876,651		616,291,151		243,284,612		401,337,265		303,495,535		913,743,656
	360,294,850		705,359,534		397,192,002		783,415,205		303,508,673		914,183,937
	231,963		274,041		696,625		644,425		6,594		6,605
	—		—		—		—		—		—
	831		1,677		102,631		136,475		8,686		2,324
	232,794		275,718		799,256		780,900		15,280		8,929
	(49,800,336)		(103,397,551)		(152,011,552)		(1,084,487,321)		(5,336)		(17,916)
	—		—		—		—		—		—
	(257,322,806)		(691,426,427)		(156,106,013)		(903,857,590)		(276,799,845)		(928,796,503)
	(307,123,142)		(794,823,978)		(308,117,565)		(1,988,344,911)		(276,805,181)		(928,814,419)
	53,404,502		(89,188,726)		89,873,693		(1,204,148,806)		26,718,772		(14,621,553)

137

Notes to Financial Statements (continued)

6. Investment Adviser Fee and Other Transactions with Affiliates

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

	Fund’s ADNA
Fund	on the first $500 million			on the next $200 million			on the next $100 million			in excess of $800 million
Low Volatility Equity Fund		0.500	%		0.490	%		0.450	%		0.400	%
Dividend Income Fund		0.500			0.490			0.450			0.400
Mid-Cap Value Fund		0.685			0.670			0.570			0.510
Mid-Cap Growth Fund		0.685			0.670			0.570			0.510
Small-Cap Value Fund		0.685			0.680			0.620			0.610
Small-Cap Growth Fund		0.685			0.680			0.620			0.610
Global Low Volatility Equity Fund		0.650			0.640			0.600			0.550
Pyrford International Stock Fund		0.735			0.720			0.620			0.560
LGM Emerging Markets Equity Fund		0.900			0.890			0.850			0.800
	Fund’s ADNA
Fund	on the first $100 million			on the next $150 million			on the next $250 million			in excess of $500 million
Ultra Short Tax-Free Fund		0.200	%		0.190	%		0.170	%		0.100	%
Short Tax-Free Fund		0.200			0.190			0.170			0.150
Short-Term Income Fund		0.200			0.190			0.170			0.100
Intermediate Tax-Free Fund		0.250			0.160			0.120			0.100
Strategic Income Fund		0.250			0.200			0.200			0.200
TCH Corporate Income Fund		0.200			0.190			0.150			0.100
TCH Core Plus Bond Fund		0.250			0.160			0.120			0.100
High Yield Bond Fund		0.500			0.500			0.500			0.500
	Fund’s ADNA
Fund	on the first $1 billion			on the next $1 billion			in excess of $2 billion
Large-Cap Value Fund(1)		0.350	%		0.325	%		0.300	%
Large-Cap Growth Fund(1)		0.350			0.325			0.300
Small-Cap Core Fund		0.650			0.625			0.600
Disciplined International Equity Fund		0.600			0.575			0.550
Alternative Strategies Fund		1.500			1.475			1.450
Global Long/Short Equity Fund		1.000			0.975			0.950
	Fund’s ADNA
Fund	on the first $2 billion			on the next $2 billion			on the next $2 billion			on the next $2 billion			in excess of $8 billion
Government Money Market Fund		0.200	%		0.185	%		0.170	%		0.155	%		0.140	%
Tax-Free Money Market Fund		0.200			0.185			0.170			0.155			0.140
Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090
Institutional Prime Money Market Fund		0.150			0.135			0.120			0.105			0.090

(1) Effective February 8, 2018 the investment adviser fees and breakpoint tiers were reduced for this BMO Fund. Prior to February 8, 2018, the fees charged based on the Funds’ ADNA were as follows: 0.500% on the first $1 billion, 0.475% on the next $1 billion, and 0.450% in excess of $2 billion.

The Pyrford International Stock Fund’s sub-adviser is Pyrford International Ltd., an affiliate of the Adviser. The LGM Emerging Markets Equity Fund’s sub-adviser is LGM Investments Limited, an affiliate of the Adviser. The TCH Corporate Income Fund and TCH Core Plus Bond Fund’s sub-adviser is Taplin, Canida & Habacht, LLC, an affiliate of the Adviser. One of the sub-advisers of the Alternative Strategies Fund is CTC myCFO, LLC, an affiliate of the Adviser. The Adviser compensates each sub-adviser based on the level of average daily net assets of each respective Fund managed by each sub-adviser.

138

BMO Funds

Contractual Expense Limitation—The Adviser has agreed to waive or reduce its investment advisory fee or reimburse expenses to the extent necessary to prevent class specific total annual operating expenses (excluding taxes, dividend and interest expense, brokerage commissions, other investment related costs, Acquired Fund Fees and Expenses and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the amounts for the periods set forth below. The Adviser may not terminate this arrangement prior to December 31, 2018, without the consent of the Directors, unless the investment advisory agreement is terminated. The Adviser may voluntarily choose to waive any portion of its fee beyond its contractual agreement. The Adviser can modify or terminate this voluntary waiver at any time at its sole discretion. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation
Fund	Investor Class			Advisor Class			Institutional Class			Premier Class			Retirement Class R-3			Retirement Class R-6			Class F-3
Low Volatility Equity Fund					0.90	%		0.65	%
Dividend Income Fund					0.90			0.65
Large-Cap Value Fund					0.79	(1)		0.54	(1)								0.39	%(1)
Large-Cap Growth Fund		0.79	%(2)		0.79	(2)		0.54	(2)								0.39	(2)
Mid-Cap Value Fund					1.24			0.99						1.49	%		0.84
Mid-Cap Growth Fund					1.24			0.99						1.49	(3)		0.84
Small-Cap Value Fund					1.24			0.99						1.49			0.84
Small-Cap Core Fund					1.15			0.90
Small-Cap Growth Fund					1.24			0.99
Global Low Volatility Equity Fund					1.10			0.85
Disciplined International Equity Fund					1.15			0.90
Pyrford International Stock Fund		1.19			1.19			0.94						1.44	(3)		0.79			0.79	%
LGM Emerging Markets Equity Fund					1.40			1.15
Alternative Strategies Fund					2.00			1.75
Global Long/Short Equity Fund					1.60			1.35
Ultra Short Tax-Free Fund					0.55			0.30
Short Tax-Free Fund					0.55			0.40
Short-Term Income Fund					0.60			0.35
Intermediate Tax-Free Fund		0.55			0.55			0.50
Strategic Income Fund		0.80			0.80			0.55
TCH Corporate Income Fund		0.59			0.59			0.55
TCH Core Plus Bond Fund		0.59			0.59			0.55
High Yield Bond Fund					0.90			0.65
Government Money Market Fund		0.45									0.20	%
Tax-Free Money Market Fund		0.45									0.20
Prime Money Market Fund		0.45									0.20
Institutional Prime Money Market Fund		0.45									0.20

(1) Effective February 8, 2018. Prior to February 8, 2018, the annual rates were 1.00%, 0.75%, and 0.60%, respectively.

(2) Effective February 8, 2018. Prior to February 8, 2018, the annual rates were 1.00%, 1.00%, 0.75%, and 0.60%, respectively.

(3) Effective through December 3, 2017 (termination of R-3 class of shares).

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

Distribution Services Fees—Certain Funds are subject to a Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the Act. The Plan authorizes payments by the Fund to finance activities intended to result in the sale of its Advisor Class and Retirement Class R-3 shares. The Plan provides that the Fund may incur distribution expenses of 0.25% and 0.50% of the average daily net assets of the Fund’s Advisor Class and Retirement Class R-3 shares, respectively.

139

Notes to Financial Statements (continued)

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

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

(1) For the period ended February 28, 2018, the Funds with class-specific Administration Fees were as follows:

Fund	Investor Class		Advisor Class		Institutional Class		Retirement Class R-3			Retirement Class R-6(a)		Retirement Class F-3(a)
Large-Cap Value Fund	$	—	$	19,502	$	245,156	$	—		$	—	$	—
Large-Cap Growth Fund		57,556		468		218,973		—			—		—
Mid-Cap Value Fund		—		47,289		99,420		19			—		—
Mid-Cap Growth Fund		—		13,487		74,817		9	(b)		—		—
Small-Cap Value Fund		—		3,678		45,005		66			—		—
Pyrford International Stock Fund		4,496		637		451,150		10	(b)		—		—

(a) Retirement Class R-6 and F-3 do not pay an Administrative Fee.

(b) Reflects operations for the period from September 1, 2017 to December 3, 2017 (termination of Class R-3 Shares).

Custodian Fees—BMO Harris is the Funds’ custodian, except for the International Funds, for which State Street Bank & Trust Company maintains custody. BMO Harris receives fees consisting of 0.005% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

Securities Lending—The Funds pay a fee to BMO Harris for its services as the securities lending agent. The securities lending income as shown in the Statements of Operations is net of these fees. The following amounts were paid for the period ended February 28, 2018:

Fund	Fees Paid
Low Volatility Equity Fund	$	5,713
Dividend Income Fund		5,706
Large-Cap Value Fund		12,165
Large-Cap Growth Fund		23,724
Mid-Cap Value Fund		7,720
Mid-Cap Growth Fund		4,248
Small-Cap Value Fund		3,709

Fund	Fees Paid
Small-Cap Core Fund	$	975
Small-Cap Growth Fund		12,449
Short-Term Income Fund		5,841
Strategic Income Fund		11,725
TCH Corporate Income Fund		12,785
TCH Core Plus Bond Fund		34,545

140

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 that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior periods may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 28, 2018 and may include acquisitions of new investments, prior period holdings that became affiliated during the period and prior period affiliated holdings that are no longer affiliated as of period-end.

Security/Fund Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain (Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Cash Sweep Investments in BMO Government Money Market Fund, Premier Class, 1.190%
Ultra Short Tax-Free Fund	$	80,322	$	78,195,504	$	76,391,555	$	—		$	—		$	1,884,271	$	3,900	$	—
Short Tax-Free Fund		115,488		11,526,081		11,437,535		—			—			204,034		1,023		—
Intermediate Tax-Free Fund		79,783		57,252,825		56,828,172		—			—			504,436		2,687		—
Cash Sweep Investments in BMO Institutional Prime Money Market Fund, Premier Class, 1.430%
Low Volatility Equity Fund		2,833,143		16,022,999		16,363,956		52			(386	)		2,491,852		14,481		—
Dividend Income Fund		2,075,405		8,606,027		8,331,648		83			(91	)		2,349,776		13,246		—
Large-Cap Value Fund		4,411,207		27,733,326		25,577,217		134			(506	)		6,566,944		32,997		—
Large-Cap Growth Fund		4,542,780		26,819,782		24,606,077		131			(545	)		6,756,071		31,989		—
Mid-Cap Value Fund		1,880,791		18,291,112		17,318,040		6			(25	)		2,853,844		17,495		—
Mid-Cap Growth Fund		1,947,313		8,527,175		8,086,723		169			(184	)		2,387,750		11,071		—
Small-Cap Value Fund		588,562		5,554,312		5,168,113		60			(130	)		974,691		5,533		—
Small-Cap Core Fund		369,001		3,097,753		2,982,181		26			(51	)		484,548		2,283		—
Small-Cap Growth Fund		1,560,493		19,023,795		18,689,564		98			353			1,895,175		12,516		—
Short-Term Income Fund		4,464,102		108,372,569		109,078,796		78			(361	)		3,757,592		52,200		—
Strategic Income Fund		938,029		23,155,593		23,612,706		1			(451	)		480,466		12,228		—
TCH Corporate Income Fund		4,410,836		35,560,523		35,658,479		42			(428	)		4,312,494		32,557		—
TCH Core Plus Bond Fund		46,560,055		177,085,212		160,864,502		(259	)		(3,575	)		62,776,931		249,785		—
High Yield Bond Fund		360,045		2,505,388		2,428,723		9			(43	)		436,676		2,085		—
Investments in Other Affiliates
Fund/Security Description
Short Tax-Free Fund
Ultra Short Tax-Free Fund		866,132		5,195		—		(1,722	)		—			869,605		4,865		448
Intermediate Tax-Free Fund
Ultra Short Tax-Free Fund		5,108,497		30,640		—		(10,161	)		—			5,128,976		28,692		2,644

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes, although the Money Market Funds cannot participate as borrowers. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of a Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of February 28, 2018.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the period ended February 28, 2018, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
Low Volatility Equity Fund	$	1,270		1.248	%
Mid-Cap Growth Fund		87		1.381
Small-Cap Value Fund		919		1.747
Small-Cap Core Fund		43,644		1.374
Small-Cap Growth Fund		11,135		1.383
Ultra Short Tax-Free Fund		49,966		1.247
Short Tax-Free Fund		29,512		1.246
Intermediate Tax-Free		81,968		1.396

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

141

Notes to Financial Statements (continued)

7. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 28, 2018. The Funds did not utilize the LOC during the period ended February 28, 2018.

8. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 28, 2018 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
Low Volatility Equity Fund	$	33,736,591	$	44,376,444	$	—	$	—
Dividend Income Fund		22,238,796		23,756,087		—		—
Large-Cap Value Fund		102,823,829		108,168,759		—		—
Large-Cap Growth Fund		95,202,155		107,960,163		—		—
Mid-Cap Value Fund		64,020,138		85,450,309		—		—
Mid-Cap Growth Fund		39,990,893		47,477,976		—		—
Small-Cap Value Fund		18,754,043		22,677,529		—		—
Small-Cap Core Fund		8,747,628		10,470,664		—		—
Small-Cap Growth Fund		45,973,308		61,292,621		—		—
Global Low Volatility Equity Fund		8,943,012		8,737,771		—		—
Disciplined International Equity Fund		26,587,754		23,988,122		—		—
Pyrford International Stock Fund		116,786,298		38,755,201		—		—
LGM Emerging Markets Equity Fund		52,681,008		24,858,878		—		—
Alternative Strategies Fund		27,647,633		34,642,633		—		—
Global Long/Short Equity Fund		5,420,801		2,254,941		—		—
Ultra Short Tax-Free Fund		467,911,310		479,571,225		3,500,000		—
Short Tax-Free Fund		96,825,742		84,703,372		1,345,000		—
Short-Term Income Fund		49,789,398		30,511,915		19,469,314		22,658,339
Intermediate Tax-Free Fund		341,839,314		289,813,125		3,500,000		—
Strategic Income Fund		17,928,990		24,792,103		—		6,039,942
TCH Corporate Income Fund		31,339,583		27,701,145		—		3,020,742
TCH Core Plus Bond Fund		128,061,506		87,206,915		20,579,072		43,029,982
High Yield Bond Fund		2,522,575		3,335,455		—		—

9. Federal Tax Information

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

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

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

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 28, 2018. 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.

142

BMO Funds

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

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation (Depreciation) for Federal Tax Purposes
Low Volatility Equity Fund	$	202,516,434	$	24,609,652	$	(3,803,606	)	$	20,806,046
Dividend Income Fund		149,561,820		32,628,332		(2,277,700	)		30,350,632
Large-Cap Value Fund		465,871,185		71,164,957		(6,300,965	)		64,863,992
Large-Cap Growth Fund		444,477,190		114,572,096		(5,719,979	)		108,852,117
Mid-Cap Value Fund		262,670,055		36,539,359		(5,546,808	)		30,992,551
Mid-Cap Growth Fund		153,786,174		25,229,570		(2,730,003	)		22,499,567
Small-Cap Value Fund		88,449,710		9,674,526		(2,923,241	)		6,751,285
Small-Cap Core Fund		25,498,576		3,463,148		(571,348	)		2,891,800
Small-Cap Growth Fund		182,920,475		24,647,807		(4,434,335	)		20,213,472
Global Low Volatility Equity Fund		46,649,652		7,840,331		(811,442	)		7,028,889
Disciplined International Equity Fund		71,591,922		12,593,610		(1,554,317	)		11,039,293
Pyrford International Stock Fund		680,560,561		104,005,162		(37,174,112	)		66,831,050
LGM Emerging Markets Equity Fund		166,704,378		46,622,167		(5,340,615	)		41,281,552
Alternative Strategies Fund		61,459,131		7,072,005		(3,910,181	)		3,161,824
Global Long/Short Equity Fund		12,932,893		2,046,383		(1,162,304	)		884,079
Ultra Short Tax-Free Fund		670,299,969		699,930		(762,397	)		(62,467	)
Short Tax-Free Fund		184,888,924		686,924		(670,693	)		16,231
Short-Term Income Fund		275,107,285		972,052		(2,204,938	)		(1,232,886	)
Intermediate Tax-Free Fund		1,588,030,629		43,910,252		(6,884,170	)		37,026,082
Strategic Income Fund		122,385,221		1,419,407		(1,502,113	)		(82,706	)
TCH Corporate Income Fund		317,969,809		4,899,819		(4,029,326	)		870,493
TCH Core Plus Bond Fund		1,272,713,628		13,623,038		(20,064,233	)		(6,441,195	)
High Yield Bond Fund		12,024,896		302,146		(177,807	)		124,339
Government Money Market Fund*		3,296,841,867		—		—			—
Tax-Free Money Market Fund*		371,405,840		—		—			—
Prime Money Market Fund*		458,673,270		—		—			—
Institutional Prime Money Markey Fund		428,681,427		32,583		(16,946	)		15,637

* at amortized cost

143

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, 2017 and August 31, 2016, were as follows:     

	2017						2016
Fund	Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains		Ordinary Income(1)		Tax-Exempt Income		Long-Term Capital Gains
Low Volatility Equity Fund	$	2,603,123	$	—	$	1,905,554	$	1,746,043	$	—	$	2,243,100
Dividend Income Fund		2,500,532		—		959,489		2,805,501		—		6,868,977
Large-Cap Value Fund		4,510,036		—		2,304,010		9,598,945		—		24,138,585
Large-Cap Growth Fund		1,825,514		—		15,369,764		6,033,858		—		26,944,126
Mid-Cap Value Fund		4,684,525		—		56,396,982		2,621,289		—		27,098,506
Mid-Cap Growth Fund		5,370,941		—		21,512,271		—		—		29,057,778
Small-Cap Value Fund		3,050,561		—		3,585,078		261,828		—		3,593,261
Small-Cap Core Fund		168,167		—		124,126		8,676		—		49,672
Small-Cap Growth Fund		—		—		—		—		—		40,427,824
Global Low Volatility Equity Fund		1,170,206		—		97,713		277,838		—		1,139
Disciplined International Equity Fund		1,676,485		—		—		—		—		—
Pyrford International Stock Fund		14,300,415		—		—		15,648,329		—		—
LGM Emerging Markets Equity Fund		957,823		—		—		1,456,762		—		—
Alternative Strategies Fund		—		—		—		1,041,789		—		—
Global Long/Short Equity Fund		56,198		—		4,250		—		—		608,075
Ultra Short Tax-Free Fund		2,011		5,640,480		639,708		—		—		—
Short Tax-Free Fund		11,645		2,531,009		38,121		187,219		1,978,212		149,029
Short-Term Income Fund		4,432,458		—		—		4,248,538		—		—
Intermediate Tax-Free Fund		2,084,903		43,607,907		3,410,963		32,028		40,541,321		2,820,294
Strategic Income Fund		3,032,372		—		—		3,249,887		—		—
TCH Corporate Income Fund		7,493,830		—		569,448		8,488,508		—		991,224
TCH Core Plus Bond Fund		28,160,653		—		—		31,505,501		—		353,732
High Yield Bond Fund		2,221,025		—		—		3,905,456		—		—
Government Money Market Fund		13,191,339		—		3,237		733,949		—		—
Tax-Free Money Market Fund		20,120		1,920,845		86,463		50,489		708,010		186,054
Prime Money Market Fund		2,441,514		—		—		5,070,691		—		—
Institutional Prime Money Market Fund		3,084,589		—		—		386,189		—		—

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

As of August 31, 2017, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Tax-Exempt Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Foreign Currency, Futures, Dividend Payable, and Other Adjustments			Unrealized Appreciation
Low Volatility Equity Fund	$	1,376,718	$	—	$	2,943,120	$	—		$	—		$	18,656,179
Dividend Income Fund		2,144,038		—		9,387,284		—			(1	)		22,494,264
Large-Cap Value Fund		6,866,525		—		17,916,622		—			—			51,310,179
Large-Cap Growth Fund		4,266,980		—		12,230,417		—			—			86,375,474
Mid-Cap Value Fund		4,503,438		—		4,840,555		—			—			26,979,690
Mid-Cap Growth Fund		2,763,042		—		1,738,920		—			—			17,386,646
Small-Cap Value Fund		2,621,737		—		1,725,333		—			—			5,109,812
Small-Cap Core Fund		413,700		—		478,174		—			(1	)		2,439,354
Small-Cap Growth Fund		—		—		14,124,958		(487,076	)		—			14,238,317
Global Low Volatility Equity Fund		1,177,231		—		325,785		(235,933	)		9,890			5,891,200
Disciplined International Equity Fund		1,077,069		—		—		(4,419,714	)		6,497			10,275,110
Pyrford International Stock Fund		14,755,088		—		—		(26,002,664	)		35,241			53,751,175
LGM Emerging Markets Equity Fund		1,245,074		—		—		(5,540,201	)		(20,806	)		38,010,961
Alternative Strategies Fund		40,915		—		4,034,633		—			236,540			1,650,559
Global Long/Short Equity Fund		100,157		—		157,226		—			(38	)		918,956
Ultra Short Tax-Free Fund		94,095		323,121		110,243		—			(338,757	)		608,023
Short Tax-Free Fund		—		140,553		—		(235,122	)		(141,018	)		1,602,568
Short-Term Income Fund		169,236		—		—		(1,656,976	)		(148,910	)		1,294,301
Intermediate Tax-Free Fund		831,679		—		—		(11,528,180	)		(658,172	)		71,427,676
Strategic Income Fund		13,353		—		—		(4,009,823	)		(28,279	)		2,188,374
TCH Corporate Income Fund		526,739		—		—		(23,654	)		(225,152	)		6,219,580
TCH Core Plus Bond Fund		1,180,703		—		—		(2,554,919	)		(232,139	)		19,720,169
High Yield Bond Fund		894		—		—		(3,226,820	)		(10,281	)		489,963
Government Money Market Fund		1,937,003		—		900		—			(1,938,044	)		—
Tax-Free Money Market Fund		24,255		111,545		—		—			(135,746	)		—
Prime Money Market Fund		157,283		—		87		—			(181,345	)		—
Institutional Prime Money Markey Fund		376,617		—		33		—			(360,165	)		41,402

144

BMO Funds

At August 31, 2017, 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:

							Not Subject to Expiration
Fund	Utilized in 2017		Expired in 2017		Expiring in 2018		ST		LT		Total
Disciplined International Equity Fund	$	—	$	—	$	—	$	3,616,441	$	803,273	$	4,419,714
Pyrford International Stock Fund		—		—		—		3,097,943		19,555,037		22,652,980
LGM Emerging Markets Equity Fund		—		—		—		—		5,540,201		5,540,201
Short Tax-Free Fund		—		—		—		235,122		—		235,122
Short-Term Income Fund		—		—		—		444,399		1,212,577		1,656,976
Intermediate Tax-Free Fund		—		—		—		766,136		145,585		911,721
Strategic Income Fund		1,632,086		19,777,257		796,694		—		3,213,129		4,009,823
High Yield Bond Fund		—		—		—		1,098,121		2,128,699		3,226,820

As of August 31 2017, the following funds had post-October losses, which are deferred until fiscal year 2018 for tax purposes, of:

	Post-October Losses
Fund	Short-term		Long-term
Global Low Volatility Equity Fund	$	235,933	$	—
Pyrford International Stock Fund		—		3,349,684
Intermediate Tax-Free Fund		9,467,942		1,148,517
TCH Corporate Income Fund		—		23,654
TCH Core Plus Bond Fund		—		2,554,919

Net capital losses incurred after October 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

As of August 31, 2017, the Small-Cap Growth Fund had qualified late-year ordinary losses of $487,076, which are deferred until fiscal year 2018 for tax purposes. Net late-year losses incurred after December 31, and within the taxable year, are deemed to arise on the first day of the Fund’s next taxable year.

10. Recently Issued Accounting Pronouncement

In October 2016, the Securities and Exchange Commission released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules introduce new regulatory reporting forms for investment companies; Form N-PORT and Form N-CEN. The compliance date for Form N-PORT and Form N-CEN is June 1, 2018 and compliance should be based on the reporting period-end date.

11. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

145

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

Approval of Amendments to the Fee Schedule of the Advisory Agreement for the BMO Large-Cap Value Fund and the BMO Large-Cap Growth Fund

At a meeting held on February 7-8, 2018, the Board of Directors (the “Board”) of BMO Funds, Inc. (the “Corporation”), including the Directors who are not “interested persons” of the Corporation as defined in the Investment Company Act of 1940, as amended, considered an amendment to the investment advisory agreement between the Corporation and BMO Asset Management Corp. (the “Adviser”) on behalf of the BMO Large-Cap Value Fund and the BMO Large-Cap Growth Fund series of the Corporation (each a “Fund”) to reflect an amended fee schedule. The contractual fee schedule for each Fund was proposed to be amended to reflect a reduced advisory fee for each Fund. In approving the amended fee schedules, the Board took into consideration that the contractual fee to be paid to the Adviser by each Fund under the amended fee schedule would not be less advantageous to the Fund and its shareholders. In addition, the Board considered that the Adviser represented that the nature and quality of services the Adviser provides to each Fund would not be affected by the change in fee schedule.

146

NOTES

147

NOTES

148

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

Proxy Voting

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

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

Disclosure of Portfolio Holdings

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

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

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

© 2018 BMO Financial Corp. (3/18)

BMO Funds February 28, 2018

Semi-Annual

report

Target Retirement Funds

Target Risk Funds

Table of Contents

Financial Information
Expense Example			2
Schedules of Investments:
BMO In-Retirement Fund	5	BMO Target Retirement 2050 Fund	11
BMO Target Retirement 2015 Fund	5	BMO Target Retirement 2055 Fund	12
BMO Target Retirement 2020 Fund	6	BMO Conservative Allocation Fund	13
BMO Target Retirement 2025 Fund	7	BMO Moderate Allocation Fund	14
BMO Target Retirement 2030 Fund	8	BMO Balanced Allocation Fund	14
BMO Target Retirement 2035 Fund	9	BMO Growth Allocation Fund	15
BMO Target Retirement 2040 Fund	9	BMO Aggressive Allocation Fund	16
BMO Target Retirement 2045 Fund	10
Notes to Schedules of Investments			17
Statements of Assets and Liabilities			18
Statements of Operations			21
Statements of Changes in Net Assets			24
Financial Highlights			29
Notes to Financial Statements			36

Not FDIC Insured No Bank Guarantee May Lose Value

Expense Example (Unaudited)

For the Six Months Ended February 28, 2018

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

The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire six month period ended February 28, 2018 (9/1/17-2/28/18).

Actual Expenses

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

Hypothetical Example for Comparison Purposes

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

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

	Investor
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,020.50		0.33	%	$	1.65
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66
2015 Fund
Actual		1,000.00		1,028.30		0.33			1.67
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66
2020 Fund
Actual		1,000.00		1,045.40		0.33			1.67
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66
2025 Fund
Actual		1,000.00		1,055.70		0.33			1.68
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66
2030 Fund
Actual		1,000.00		1,064.00		0.37			1.89
Hypothetical (5% return before expenses)		1,000.00		1,023.17		0.37			1.86
2035 Fund
Actual		1,000.00		1,070.30		0.37			1.90
Hypothetical (5% return before expenses)		1,000.00		1,023.17		0.37			1.86
2040 Fund
Actual		1,000.00		1,074.10		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.22		0.36			1.81
2045 Fund
Actual		1,000.00		1,074.50		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.22		0.36			1.81
2050 Fund
Actual		1,000.00		1,074.60		0.36			1.85
Hypothetical (5% return before expenses)		1,000.00		1,023.22		0.36			1.81
2055 Fund
Actual		1,000.00		1,075.10		0.36			1.86
Hypothetical (5% return before expenses)		1,000.00		1,023.22		0.36			1.81

2

Expense Example (Unaudited) (continued)

	Investor									Institutional
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
Conservative Allocation Fund
Actual	$	1,000.00	$	1,005.00		0.33	%	$	1.64	$	1,000.00	$	1,006.30		0.08	%	$	0.42
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66		1,000.00		1,024.60		0.08			0.40
Moderate Allocation Fund
Actual		1,000.00		1,026.10		0.30			1.50		1,000.00		1,027.90		0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.51		0.30			1.51		1,000.00		1,024.75		0.05			0.25
Balanced Allocation Fund
Actual		1,000.00		1,048.40		0.33			1.67		1,000.00		1,049.40		0.08			0.41
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66		1,000.00		1,024.60		0.08			0.40
Growth Allocation Fund
Actual		1,000.00		1,069.50		0.30			1.54		1,000.00		1,071.60		0.05			0.26
Hypothetical (5% return before expenses)		1,000.00		1,023.51		0.30			1.51		1,000.00		1,024.75		0.05			0.25
Aggressive Allocation Fund
Actual		1,000.00		1,087.80		0.33			1.70		1,000.00		1,090.10		0.08			0.41
Hypothetical (5% return before expenses)		1,000.00		1,023.36		0.33			1.66		1,000.00		1,024.60		0.08			0.40

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2017 through February 28, 2018, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
In-Retirement Fund
Actual	$	1,000.00	$	1,018.20		0.58	%	$	2.89	$	1,000.00	$	1,021.40		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2015 Fund
Actual		1,000.00		1,026.50		0.58			2.92		1,000.00		1,030.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2020 Fund
Actual		1,000.00		1,043.30		0.58			2.94		1,000.00		1,046.70		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2025 Fund
Actual		1,000.00		1,053.80		0.58			2.96		1,000.00		1,057.60		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
2030 Fund
Actual		1,000.00		1,061.80		0.62			3.17		1,000.00		1,065.90		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.62			3.11		1,000.00		1,025.00		0.00			0.00
2035 Fund
Actual		1,000.00		1,069.60		0.62			3.19		1,000.00		1,073.00		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.93		0.62			3.11		1,000.00		1,025.00		0.00			0.00
2040 Fund
Actual		1,000.00		1,073.40		0.61			3.13		1,000.00		1,076.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.98		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2045 Fund
Actual		1,000.00		1,073.20		0.61			3.14		1,000.00		1,077.20		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.98		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2050 Fund
Actual		1,000.00		1,073.70		0.61			3.13		1,000.00		1,077.40		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.98		0.61			3.06		1,000.00		1,025.00		0.00			0.00
2055 Fund
Actual		1,000.00		1,073.00		0.61			3.14		1,000.00		1,077.60		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,021.98		0.61			3.06		1,000.00		1,025.00		0.00			0.00
Conservative Allocation Fund
Actual		1,000.00		1,003.20		0.58			2.90		1,000.00		1,007.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
Moderate Allocation Fund
Actual		1,000.00		1,024.30		0.55			2.76		1,000.00		1,027.80		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,025.00		0.00			0.00
Balanced Allocation Fund
Actual		1,000.00		1,046.80		0.58			2.94		1,000.00		1,050.50		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00
Growth Allocation Fund
Actual		1,000.00		1,068.00		0.55			2.82		1,000.00		1,072.30		0.00			0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.27		0.55			2.76		1,000.00		1,025.00		0.00			0.00

3

Expense Example (Unaudited) (continued)

	Retirement Class R-3									Retirement Class R-6
Fund	Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)		Beginning account value 9/1/17		Ending account value 2/28/18		Annualized Expense Ratio(1)			Expenses paid during period 9/1/17- 2/28/18(1)
Aggressive Allocation Fund
Actual	$	1,000.00	$	1,086.90		0.58	%	$	2.99	$	1,000.00	$	1,090.20		0.00	%	$	0.00
Hypothetical (5% return before expenses)		1,000.00		1,022.12		0.58			2.91		1,000.00		1,025.00		0.00			0.00

(1) Expenses are equal to the Funds’ annualized expense ratios for the period September 1, 2017 through February 28, 2018, multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). These expenses and ratios are exclusive of acquired fund fees and expenses.

4

February 28, 2018 (Unaudited)

Schedules of Investments BMO Funds

In-Retirement Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 17.8%
BMO Dividend Income Fund — Institutional Class (1)		19,937	$	287,897
BMO Large-Cap Growth Fund — Class R6 (1)		9,748		183,454
BMO Large-Cap Value Fund — Class R6 (1)		26,459		422,811
BMO Low Volatility Equity Fund — Institutional Class (1)		27,949		409,180
Harbor Capital Appreciation Fund — Retirement Class		2,427		181,690
T Rowe Price Growth Stock Fund — Institutional Class		2,714		182,546
Vanguard Equity Income Fund — Admiral Class		4,492		346,720
Vanguard Institutional Index Fund — Institutional Class		2,867		710,632
Total Large-Cap Funds				2,724,930
Mid-Cap Funds — 3.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		4,508		75,999
BMO Mid-Cap Value Fund — Class R6 (1)		15,076		181,969
Vanguard Mid-Cap Index Fund — Institutional Class		5,006		212,107
Total Mid-Cap Funds				470,075
Small-Cap Funds — 1.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		2,421		45,217
Goldman Sachs Small Cap Value Fund — Institutional Class		2,305		135,219
Total Small-Cap Funds				180,436
International Funds — 11.4%
BMO Disciplined International Equity Fund — Institutional Class (1)		26,476		303,145
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		14,357		242,201
BMO Pyrford International Stock Fund — Class R6 (1)		30,902		408,829
DFA International Small Company Portfolio — Institutional Class		2,133		45,509
Dodge & Cox International Stock Fund — Retail Class		4,520		210,788
Harbor International Fund — Retirement Class		3,151		211,420
MFS International Value Fund — Class R6		7,457		318,335
Total International Funds				1,740,227
Fixed Income Funds — 58.3%
BMO High Yield Bond Fund — Institutional Class (1)		29,310		275,224
BMO TCH Core Plus Bond Fund — Institutional Class (1)		247,732		2,848,914
Federated Institutional High-Yield Bond Fund — Class R6		44,926		442,968
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		47,584		458,706
Metropolitan West Total Return Bond Fund — Plan Class		337,695		3,309,415
TCW Emerging Markets Income Fund — Institutional Class		54,478		455,984

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds (continued)
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		33,199	$	810,380
Vanguard Short-Term Investment Grade Fund — Admiral Class		29,069		305,804
Total Fixed Income Funds				8,907,395
Alternative Funds — 6.9%
BMO Alternative Strategies Fund — Institutional Class (1)		105,868		1,059,740
Total Mutual Funds (identified cost $13,034,964)				15,082,803
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		155,178		155,178
Total Short-Term Investments (identified cost $155,178)				155,178
Total Investments — 99.7% (identified cost $13,190,142)				15,237,981
Other Assets and Liabilities — 0.3%				38,918
Total Net Assets — 100.0%			$	15,276,899

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		17.8	%
Mid-Cap Funds		3.1
Small-Cap Funds		1.2
International Funds		11.4
Fixed Income Funds		58.3
Alternative Funds		6.9
Other Assets & Liabilities, Net		1.3
Total		100.0	%

2015 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 20.6%
BMO Dividend Income Fund — Institutional Class (1)		4,170	$	60,210
BMO Large-Cap Growth Fund — Class R6 (1)		3,373		63,472
BMO Large-Cap Value Fund — Class R6 (1)		7,487		119,641
BMO Low Volatility Equity Fund — Institutional Class (1)		7,775		113,827
Harbor Capital Appreciation Fund — Retirement Class		843		63,094
T Rowe Price Growth Stock Fund — Institutional Class		942		63,392
Vanguard Equity Income Fund — Admiral Class		1,103		85,104
Vanguard Institutional Index Fund — Institutional Class		802		198,920
Total Large-Cap Funds				767,660

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

5

February 28, 2018 (Unaudited)

Schedules of Investments

2015 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Mid-Cap Funds — 4.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		1,311	$	22,096
BMO Mid-Cap Value Fund — Class R6 (1)		4,992		60,255
Vanguard Mid-Cap Index Fund — Institutional Class		1,646		69,744
Total Mid-Cap Funds				152,095
Small-Cap Funds — 1.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		1,016		18,988
Goldman Sachs Small Cap Value Fund — Institutional Class		695		40,766
Total Small-Cap Funds				59,754
International Funds — 13.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		7,473		85,564
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		4,500		75,913
BMO Pyrford International Stock Fund — Class R6 (1)		8,374		110,789
DFA International Small Company Portfolio — Institutional Class		689		14,701
Dodge & Cox International Stock Fund — Retail Class		1,416		66,026
Harbor International Fund — Retirement Class		1,129		75,740
MFS International Value Fund — Class R6		1,850		78,965
Total International Funds				507,698
Fixed Income Funds — 50.8%
BMO High Yield Bond Fund — Institutional Class (1)		5,918		55,567
BMO TCH Core Plus Bond Fund — Institutional Class (1)		53,986		620,834
Federated Institutional High-Yield Bond Fund — Class R6		9,759		96,219
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		10,337		99,650
Metropolitan West Total Return Bond Fund — Plan Class		75,263		737,577
TCW Emerging Markets Income Fund — Institutional Class		12,363		103,477
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		7,163		174,851
Total Fixed Income Funds				1,888,175
Alternative Funds — 7.4%
BMO Alternative Strategies Fund — Institutional Class (1)		27,554		275,817
Total Mutual Funds (identified cost $3,393,803)				3,651,199
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		39,515		39,515
Total Short-Term Investments (identified cost $39,515)				39,515
Total Investments — 99.2% (identified cost $3,433,318)				3,690,714
Other Assets and Liabilities — 0.8%				27,987
Total Net Assets — 100.0%			$	3,718,701

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		20.6	%
Mid-Cap Funds		4.1
Small-Cap Funds		1.6
International Funds		13.7
Fixed Income Funds		50.8
Alternative Funds		7.4
Other Assets & Liabilities, Net		1.8
Total		100.0	%

2020 Fund

Description	Shares		Value
Mutual Funds — 99.2%
Large-Cap Funds — 30.0%
BMO Dividend Income Fund — Institutional Class (1)		101,298	$	1,462,738
BMO Large-Cap Growth Fund — Class R6 (1)		112,881		2,124,422
BMO Large-Cap Value Fund — Class R6 (1)		222,988		3,563,352
BMO Low Volatility Equity Fund — Institutional Class (1)		233,166		3,413,556
Harbor Capital Appreciation Fund — Retirement Class		28,197		2,111,097
T Rowe Price Growth Stock Fund — Institutional Class		31,535		2,121,073
Vanguard Equity Income Fund — Admiral Class		29,327		2,263,727
Vanguard Institutional Index Fund — Institutional Class		29,439		7,297,849
Total Large-Cap Funds				24,357,814
Mid-Cap Funds — 6.9%
BMO Mid-Cap Growth Fund — Class R6 (1)		87,024		1,467,228
BMO Mid-Cap Value Fund — Class R6 (1)		161,707		1,951,797
Vanguard Mid-Cap Index Fund — Institutional Class		51,777		2,193,777
Total Mid-Cap Funds				5,612,802
Small-Cap Funds — 2.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		43,268		808,244
Goldman Sachs Small Cap Value Fund — Institutional Class		21,972		1,289,098
Total Small-Cap Funds				2,097,342
International Funds — 20.2%
BMO Disciplined International Equity Fund — Institutional Class (1)		227,172		2,601,120
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		163,598		2,759,905
BMO Pyrford International Stock Fund — Class R6 (1)		276,196		3,654,070
DFA International Small Company Portfolio — Institutional Class		19,061		406,758
Dodge & Cox International Stock Fund — Retail Class		46,753		2,180,070
Harbor International Fund — Retirement Class		35,003		2,348,690
MFS International Value Fund — Class R6		59,034		2,520,166
Total International Funds				16,470,779

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

6

BMO Funds

2020 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 33.2%
BMO High Yield Bond Fund — Institutional Class (1)		78,592	$	737,978
BMO TCH Core Plus Bond Fund — Institutional Class (1)		764,259		8,788,980
Federated Institutional High-Yield Bond Fund — Class R6		141,232		1,392,551
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		153,108		1,475,957
Metropolitan West Total Return Bond Fund — Plan Class		1,115,090		10,927,887
TCW Emerging Markets Income Fund — Institutional Class		146,075		1,222,651
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		100,775		2,459,928
Total Fixed Income Funds				27,005,932
Alternative Funds — 6.3%
BMO Alternative Strategies Fund — Institutional Class (1)		510,956		5,114,667
Total Mutual Funds (identified cost $61,475,877)				80,659,336
Short-Term Investments — 0.9%
Mutual Funds — 0.9%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		734,335		734,335
Total Short-Term Investments (identified cost $734,314)				734,335
Total Investments — 100.1% (identified cost $62,210,191)				81,393,671
Other Assets and Liabilities — (0.1)%				(96,822	)
Total Net Assets — 100.0%			$	81,296,849

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		30.0	%
Mid-Cap Funds		6.9
Small-Cap Funds		2.6
International Funds		20.2
Fixed Income Funds		33.2
Alternative Funds		6.3
Other Assets & Liabilities, Net		0.8
Total		100.0	%

2025 Fund

Description	Shares		Value
Mutual Funds — 98.7%
Large-Cap Funds — 32.4%
BMO Dividend Income Fund — Institutional Class (1)		22,103	$	319,172
BMO Large-Cap Growth Fund — Class R6 (1)		34,111		641,979

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Large-Cap Value Fund — Class R6 (1)		73,494	$	1,174,442
BMO Low Volatility Equity Fund — Institutional Class (1)		51,996		761,221
Harbor Capital Appreciation Fund — Retirement Class		13,435		1,005,852
T Rowe Price Growth Stock Fund — Institutional Class		15,025		1,010,578
Vanguard Equity Income Fund — Admiral Class		5,696		439,672
Vanguard Institutional Index Fund — Institutional Class		10,673		2,645,893
Total Large-Cap Funds				7,998,809
Mid-Cap Funds — 9.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		40,901		689,586
BMO Mid-Cap Value Fund — Class R6 (1)		59,034		712,543
Vanguard Mid-Cap Index Fund — Institutional Class		19,699		834,651
Total Mid-Cap Funds				2,236,780
Small-Cap Funds — 3.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		23,534		439,612
Goldman Sachs Small Cap Value Fund — Institutional Class		8,299		486,899
Total Small-Cap Funds				926,511
International Funds — 23.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		57,913		663,107
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		63,973		1,079,226
BMO Pyrford International Stock Fund — Class R6 (1)		89,015		1,177,662
DFA International Small Company Portfolio — Institutional Class		8,063		172,057
Dodge & Cox International Stock Fund — Retail Class		19,881		927,067
Harbor International Fund — Retirement Class		15,316		1,027,713
MFS International Value Fund — Class R6		16,685		712,297
Total International Funds				5,759,129
Fixed Income Funds — 24.5%
BMO High Yield Bond Fund — Institutional Class (1)		18,468		173,419
BMO TCH Core Plus Bond Fund — Institutional Class (1)		166,166		1,910,911
Federated Institutional High-Yield Bond Fund — Class R6		32,631		321,740
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		35,979		346,838
Metropolitan West Total Return Bond Fund — Plan Class		255,844		2,507,274
TCW Emerging Markets Income Fund — Institutional Class		32,366		270,904
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		21,313		520,258
Total Fixed Income Funds				6,051,344
Alternative Funds — 5.6%
BMO Alternative Strategies Fund — Institutional Class (1)		137,233		1,373,698
Total Mutual Funds (identified cost $21,803,605)				24,346,271

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

7

February 28, 2018 (Unaudited)

Schedules of Investments

2025 Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.1%
Mutual Funds — 1.1%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		261,868	$	261,868
Total Short-Term Investments (identified cost $261,865)				261,868
Total Investments — 99.8% (identified cost $22,065,470)				24,608,139
Other Assets and Liabilities — 0.2%				54,771
Total Net Assets — 100.0%			$	24,662,910

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		32.4	%
Mid-Cap Funds		9.1
Small-Cap Funds		3.8
International Funds		23.3
Fixed Income Funds		24.5
Alternative Funds		5.6
Other Assets & Liabilities, Net		1.3
Total		100.0	%

2030 Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 36.3%
BMO Dividend Income Fund — Institutional Class (1)		95,238	$	1,375,243
BMO Large-Cap Growth Fund — Class R6 (1)		140,557		2,645,280
BMO Large-Cap Value Fund — Class R6 (1)		336,947		5,384,410
BMO Low Volatility Equity Fund — Institutional Class (1)		234,878		3,438,611
Harbor Capital Appreciation Fund — Retirement Class		60,304		4,514,946
T Rowe Price Growth Stock Fund — Institutional Class		67,441		4,536,109
Vanguard Equity Income Fund — Admiral Class		26,589		2,052,394
Vanguard Institutional Index Fund — Institutional Class		47,448		11,762,467
Total Large-Cap Funds				35,709,460
Mid-Cap Funds — 10.2%
BMO Mid-Cap Growth Fund — Class R6 (1)		187,010		3,152,981
BMO Mid-Cap Value Fund — Class R6 (1)		260,628		3,145,777
Vanguard Mid-Cap Index Fund — Institutional Class		88,087		3,732,244
Total Mid-Cap Funds				10,031,002
Small-Cap Funds — 4.2%
BMO Small-Cap Growth Fund — Institutional Class (1)		109,841		2,051,824

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds (continued)
Goldman Sachs Small Cap Value Fund — Institutional Class		34,862	$	2,045,378
Total Small-Cap Funds				4,097,202
International Funds — 26.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		248,862		2,849,474
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		285,008		4,808,088
BMO Pyrford International Stock Fund — Class R6 (1)		400,644		5,300,517
DFA International Small Company Portfolio — Institutional Class		41,473		885,038
Dodge & Cox International Stock Fund — Retail Class		90,010		4,197,162
Harbor International Fund — Retirement Class		68,576		4,601,452
MFS International Value Fund — Class R6		71,361		3,046,385
Total International Funds				25,688,116
Fixed Income Funds — 17.0%
BMO High Yield Bond Fund — Institutional Class (1)		52,775		495,560
BMO TCH Core Plus Bond Fund — Institutional Class (1)		440,298		5,063,423
Federated Institutional High-Yield Bond Fund — Class R6		80,335		792,102
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		102,813		991,121
Metropolitan West Total Return Bond Fund — Plan Class		749,909		7,349,106
TCW Emerging Markets Income Fund — Institutional Class		82,401		689,693
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		52,784		1,288,457
Total Fixed Income Funds				16,669,462
Alternative Funds — 5.2%
BMO Alternative Strategies Fund — Institutional Class (1)		509,808		5,103,179
Total Mutual Funds (identified cost $69,789,615)				97,298,421
Short-Term Investments — 1.6%
Mutual Funds — 1.6%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		1,557,798		1,557,798
Total Short-Term Investments (identified cost $1,557,798)				1,557,798
Total Investments — 100.6% (identified cost $71,347,413)				98,856,219
Other Assets and Liabilities — (0.6)%				(584,358	)
Total Net Assets — 100.0%			$	98,271,861

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

8

BMO Funds

2030 Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		36.3	%
Mid-Cap Funds		10.2
Small-Cap Funds		4.2
International Funds		26.1
Fixed Income Funds		17.0
Alternative Funds		5.2
Other Assets & Liabilities, Net		1.0
Total		100.0	%

2035 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 39.4%
BMO Dividend Income Fund — Institutional Class (1)		13,712	$	198,002
BMO Large-Cap Growth Fund — Class R6 (1)		20,358		383,131
BMO Large-Cap Value Fund — Class R6 (1)		48,570		776,156
BMO Low Volatility Equity Fund — Institutional Class (1)		34,268		501,678
Harbor Capital Appreciation Fund — Retirement Class		8,984		672,653
T Rowe Price Growth Stock Fund — Institutional Class		10,048		675,817
Vanguard Equity Income Fund — Admiral Class		3,913		302,057
Vanguard Institutional Index Fund — Institutional Class		6,960		1,725,489
Total Large-Cap Funds				5,234,983
Mid-Cap Funds — 11.0%
BMO Mid-Cap Growth Fund — Class R6 (1)		27,486		463,416
BMO Mid-Cap Value Fund — Class R6 (1)		39,400		475,564
Vanguard Mid-Cap Index Fund — Institutional Class		12,460		527,926
Total Mid-Cap Funds				1,466,906
Small-Cap Funds — 4.5%
BMO Small-Cap Growth Fund — Institutional Class (1)		16,166		301,972
Goldman Sachs Small Cap Value Fund — Institutional Class		5,131		301,021
Total Small-Cap Funds				602,993
International Funds — 28.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		35,748		409,314
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		42,207		712,027
BMO Pyrford International Stock Fund — Class R6 (1)		58,822		778,220
DFA International Small Company Portfolio — Institutional Class		6,192		132,144
Dodge & Cox International Stock Fund — Retail Class		13,220		616,456
Harbor International Fund — Retirement Class		10,195		684,105

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
MFS International Value Fund — Class R6		10,208	$	435,778
Total International Funds				3,768,044
Fixed Income Funds — 10.4%
BMO High Yield Bond Fund — Institutional Class (1)		4,255		39,957
BMO TCH Core Plus Bond Fund — Institutional Class (1)		35,965		413,599
Federated Institutional High-Yield Bond Fund — Class R6		5,398		53,222
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		6,908		66,594
Metropolitan West Total Return Bond Fund — Plan Class		68,091		667,293
TCW Emerging Markets Income Fund — Institutional Class		6,327		52,960
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		3,819		93,232
Total Fixed Income Funds				1,386,857
Alternative Funds — 4.6%
BMO Alternative Strategies Fund — Institutional Class (1)		60,602		606,626
Total Mutual Funds (identified cost $10,993,968)				13,066,409
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		158,064		158,064
Total Short-Term Investments (identified cost $158,060)				158,064
Total Investments — 99.4% (identified cost $11,152,028)				13,224,473
Other Assets and Liabilities — 0.6%				80,822
Total Net Assets — 100.0%			$	13,305,295

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		39.4	%
Mid-Cap Funds		11.0
Small-Cap Funds		4.5
International Funds		28.3
Fixed Income Funds		10.4
Alternative Funds		4.6
Other Assets & Liabilities, Net		1.8
Total		100.0	%

2040 Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 41.6%
BMO Dividend Income Fund — Institutional Class (1)		55,642	$	803,468
BMO Large-Cap Growth Fund — Class R6 (1)		94,466		1,777,856

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

9

February 28, 2018 (Unaudited)

Schedules of Investments

2040 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Large-Cap Value Fund — Class R6 (1)		221,910	$	3,546,120
BMO Low Volatility Equity Fund — Institutional Class (1)		156,828		2,295,959
Harbor Capital Appreciation Fund — Retirement Class		41,359		3,096,548
T Rowe Price Growth Stock Fund — Institutional Class		46,255		3,111,089
Vanguard Equity Income Fund — Admiral Class		17,753		1,370,370
Vanguard Institutional Index Fund — Institutional Class		31,879		7,902,854
Total Large-Cap Funds				23,904,264
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		119,502		2,014,799
BMO Mid-Cap Value Fund — Class R6 (1)		171,302		2,067,620
Vanguard Mid-Cap Index Fund — Institutional Class		60,944		2,582,191
Total Mid-Cap Funds				6,664,610
Small-Cap Funds — 4.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		73,340		1,369,988
Goldman Sachs Small Cap Value Fund — Institutional Class		23,277		1,365,677
Total Small-Cap Funds				2,735,665
International Funds — 29.8%
BMO Disciplined International Equity Fund — Institutional Class (1)		160,436		1,836,990
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		193,698		3,267,688
BMO Pyrford International Stock Fund — Class R6 (1)		264,413		3,498,190
DFA International Small Company Portfolio — Institutional Class		29,615		631,980
Dodge & Cox International Stock Fund — Retail Class		59,924		2,794,263
Harbor International Fund — Retirement Class		46,884		3,145,912
MFS International Value Fund — Class R6		45,726		1,952,055
Total International Funds				17,127,078
Fixed Income Funds — 6.9%
BMO High Yield Bond Fund — Institutional Class (1)		12,334		115,812
BMO TCH Core Plus Bond Fund — Institutional Class (1)		85,748		986,101
Federated Institutional High-Yield Bond Fund — Class R6		23,468		231,392
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		24,027		231,624
Metropolitan West Total Return Bond Fund — Plan Class		201,305		1,972,788
TCW Emerging Markets Income Fund — Institutional Class		20,632		172,692
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		9,489		231,624
Total Fixed Income Funds				3,942,033

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 4.2%
BMO Alternative Strategies Fund — Institutional Class (1)		240,570	$	2,408,108
Total Mutual Funds (identified cost $38,665,571)				56,781,758
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		757,962		757,962
Total Short-Term Investments (identified cost $757,946)				757,962
Total Investments — 100.2% (identified cost $39,423,517)				57,539,720
Other Assets and Liabilities — (0.2)%				(96,959	)
Total Net Assets — 100.0%			$	57,442,761

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.6	%
Mid-Cap Funds		11.6
Small-Cap Funds		4.8
International Funds		29.8
Fixed Income Funds		6.9
Alternative Funds		4.2
Other Assets & Liabilities, Net		1.1
Total		100.0	%

2045 Fund

Description	Shares		Value
Mutual Funds — 98.2%
Large-Cap Funds — 41.8%
BMO Dividend Income Fund — Institutional Class (1)		8,085	$	116,752
BMO Large-Cap Growth Fund — Class R6 (1)		13,730		258,407
BMO Large-Cap Value Fund — Class R6 (1)		32,766		523,596
BMO Low Volatility Equity Fund — Institutional Class (1)		22,789		333,625
Harbor Capital Appreciation Fund — Retirement Class		6,121		458,291
T Rowe Price Growth Stock Fund — Institutional Class		6,846		460,444
Vanguard Equity Income Fund — Admiral Class		2,580		199,128
Vanguard Institutional Index Fund — Institutional Class		4,666		1,156,682
Total Large-Cap Funds				3,506,925
Mid-Cap Funds — 11.6%
BMO Mid-Cap Growth Fund — Class R6 (1)		17,861		301,135
BMO Mid-Cap Value Fund — Class R6 (1)		24,892		300,445
Vanguard Mid-Cap Index Fund — Institutional Class		8,856		375,217
Total Mid-Cap Funds				976,797

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

10

BMO Funds

2045 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		11,101	$	207,367
Goldman Sachs Small Cap Value Fund — Institutional Class		3,523		206,714
Total Small-Cap Funds				414,081
International Funds — 29.9%
BMO Disciplined International Equity Fund — Institutional Class (1)		23,313		266,932
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		29,134		491,487
BMO Pyrford International Stock Fund — Class R6 (1)		39,052		516,654
DFA International Small Company Portfolio — Institutional Class		4,695		100,181
Dodge & Cox International Stock Fund — Retail Class		8,885		414,319
Harbor International Fund — Retirement Class		6,813		457,131
MFS International Value Fund — Class R6		6,254		266,967
Total International Funds				2,513,671
Fixed Income Funds — 6.5%
BMO High Yield Bond Fund — Institutional Class (1)		1,792		16,829
BMO TCH Core Plus Bond Fund — Institutional Class (1)		13,193		151,719
Federated Institutional High-Yield Bond Fund — Class R6		2,558		25,218
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		2,619		25,243
Metropolitan West Total Return Bond Fund — Plan Class		28,391		278,235
TCW Emerging Markets Income Fund — Institutional Class		1,999		16,729
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,379		33,657
Total Fixed Income Funds				547,630
Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)		29,131		291,601
Total Mutual Funds (identified cost $6,981,347)				8,250,705
Short-Term Investments — 1.3%
Mutual Funds — 1.3%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		107,994		107,994
Total Short-Term Investments (identified cost $107,990)				107,994
Total Investments — 99.5% (identified cost $7,089,337)				8,358,699
Other Assets and Liabilities — 0.5%				44,572
Total Net Assets — 100.0%			$	8,403,271

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.8	%
Mid-Cap Funds		11.6
Small-Cap Funds		4.9
International Funds		29.9
Fixed Income Funds		6.5
Alternative Funds		3.5
Other Assets & Liabilities, Net		1.8
Total		100.0	%

2050 Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 42.0%
BMO Dividend Income Fund — Institutional Class (1)		41,678	$	601,829
BMO Large-Cap Growth Fund — Class R6 (1)		70,639		1,329,425
BMO Large-Cap Value Fund — Class R6 (1)		168,901		2,699,038
BMO Low Volatility Equity Fund — Institutional Class (1)		117,470		1,719,763
Harbor Capital Appreciation Fund — Retirement Class		31,553		2,362,390
T Rowe Price Growth Stock Fund — Institutional Class		35,288		2,373,465
Vanguard Equity Income Fund — Admiral Class		13,298		1,026,469
Vanguard Institutional Index Fund — Institutional Class		24,052		5,962,462
Total Large-Cap Funds				18,074,841
Mid-Cap Funds — 11.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		92,068		1,552,273
BMO Mid-Cap Value Fund — Class R6 (1)		128,312		1,548,725
Vanguard Mid-Cap Index Fund — Institutional Class		45,649		1,934,162
Total Mid-Cap Funds				5,035,160
Small-Cap Funds — 5.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		57,224		1,068,941
Goldman Sachs Small Cap Value Fund — Institutional Class		18,162		1,065,571
Total Small-Cap Funds				2,134,512
International Funds — 30.1%
BMO Disciplined International Equity Fund — Institutional Class (1)		120,173		1,375,976
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		150,178		2,533,509
BMO Pyrford International Stock Fund — Class R6 (1)		201,303		2,663,238
DFA International Small Company Portfolio — Institutional Class		24,199		516,411
Dodge & Cox International Stock Fund — Retail Class		45,802		2,135,748
Harbor International Fund — Retirement Class		35,118		2,356,421
MFS International Value Fund — Class R6		32,236		1,376,154
Total International Funds				12,957,457

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

11

February 28, 2018 (Unaudited)

Schedules of Investments

2050 Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Fixed Income Funds — 6.6%
BMO High Yield Bond Fund — Institutional Class (1)		9,238	$	86,746
BMO TCH Core Plus Bond Fund — Institutional Class (1)		68,005		782,063
Federated Institutional High-Yield Bond Fund — Class R6		13,183		129,989
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		13,498		130,120
Metropolitan West Total Return Bond Fund — Plan Class		146,348		1,434,207
TCW Emerging Markets Income Fund — Institutional Class		10,303		86,235
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		7,107		173,493
Total Fixed Income Funds				2,822,853
Alternative Funds — 3.5%
BMO Alternative Strategies Fund — Institutional Class (1)		150,164		1,503,141
Total Mutual Funds (identified cost $30,127,274)				42,527,964
Short-Term Investments — 1.5%
Mutual Funds — 1.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		636,480		636,480
Total Short-Term Investments (identified cost $636,472)				636,480
Total Investments — 100.4% (identified cost $30,763,746)				43,164,444
Other Assets and Liabilities — (0.4)%				(161,678	)
Total Net Assets — 100.0%			$	43,002,766

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		42.0	%
Mid-Cap Funds		11.7
Small-Cap Funds		5.0
International Funds		30.1
Fixed Income Funds		6.6
Alternative Funds		3.5
Other Assets & Liabilities, Net		1.1
Total		100.0	%

2055 Fund

Description	Shares		Value
Mutual Funds — 97.4%
Large-Cap Funds — 41.4%
BMO Dividend Income Fund — Institutional Class (1)		8,623	$	124,510
BMO Large-Cap Growth Fund — Class R6 (1)		14,614		275,027
BMO Large-Cap Value Fund — Class R6 (1)		34,943		558,393

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Low Volatility Equity Fund — Institutional Class (1)		24,303	$	355,802
Harbor Capital Appreciation Fund — Retirement Class		6,528		488,745
T Rowe Price Growth Stock Fund — Institutional Class		7,301		491,036
Vanguard Equity Income Fund — Admiral Class		2,751		212,362
Vanguard Institutional Index Fund — Institutional Class		4,976		1,233,559
Total Large-Cap Funds				3,739,434
Mid-Cap Funds — 11.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		19,048		321,144
BMO Mid-Cap Value Fund — Class R6 (1)		26,546		320,409
Vanguard Mid-Cap Index Fund — Institutional Class		9,444		400,162
Total Mid-Cap Funds				1,041,715
Small-Cap Funds — 4.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		11,839		221,149
Goldman Sachs Small Cap Value Fund — Institutional Class		3,757		220,450
Total Small-Cap Funds				441,599
International Funds — 29.7%
BMO Disciplined International Equity Fund — Institutional Class (1)		24,862		284,670
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		31,070		524,147
BMO Pyrford International Stock Fund — Class R6 (1)		41,647		550,986
DFA International Small Company Portfolio — Institutional Class		5,007		106,844
Dodge & Cox International Stock Fund — Retail Class		9,476		441,850
Harbor International Fund — Retirement Class		7,265		487,515
MFS International Value Fund — Class R6		6,669		284,720
Total International Funds				2,680,732
Fixed Income Funds — 6.5%
BMO High Yield Bond Fund — Institutional Class (1)		1,911		17,946
BMO TCH Core Plus Bond Fund — Institutional Class (1)		14,071		161,812
Federated Institutional High-Yield Bond Fund — Class R6		2,727		26,893
Fidelity Advisor Floating Rate High Income Fund — Institutional Class		2,793		26,920
Metropolitan West Total Return Bond Fund — Plan Class		30,280		296,748
TCW Emerging Markets Income Fund — Institutional Class		2,132		17,841
Vanguard Short-Term Inflation-Protected Securities Index Fund — Institutional Class		1,470		35,893
Total Fixed Income Funds				584,053
Alternative Funds — 3.4%
BMO Alternative Strategies Fund — Institutional Class (1)		31,063		310,940
Total Mutual Funds (identified cost $7,568,883)				8,798,473

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

12

BMO Funds

2055 Fund (continued)

Description	Shares		Value
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		93,759	$	93,759
Total Short-Term Investments (identified cost $93,756)				93,759
Total Investments — 98.4% (identified cost $7,662,639)				8,892,232
Other Assets and Liabilities — 1.6%				145,758
Total Net Assets — 100.0%			$	9,037,990

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		41.4	%
Mid-Cap Funds		11.5
Small-Cap Funds		4.9
International Funds		29.7
Fixed Income Funds		6.5
Alternative Funds		3.4
Other Assets & Liabilities, Net		2.6
Total		100.0	%

Conservative Allocation Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 12.4%
BMO Dividend Income Fund — Institutional Class (1)		21,157	$	305,511
BMO Large-Cap Growth Fund — Class R6 (1)		42,576		801,276
BMO Large-Cap Value Fund — Class R6 (1)		62,981		1,006,437
BMO Low Volatility Equity Fund — Institutional Class (1)		38,344		561,353
Dodge & Cox Stock Fund — Retail Class		1,867		386,144
Harbor Capital Appreciation Fund — Retirement Class		5,232		391,714
T Rowe Price Growth Stock Fund — Institutional Class		4,703		316,296
Vanguard Institutional Index Fund — Institutional Class		6,244		1,547,884
Total Large-Cap Funds				5,316,615
Mid-Cap Funds — 1.8%
BMO Mid-Cap Growth Fund — Class R6 (1)		12,527		211,200
BMO Mid-Cap Value Fund — Class R6 (1)		17,378		209,756
Vanguard Mid-Cap Index Fund — Institutional Class		8,576		363,384
Total Mid-Cap Funds				784,340
Small-Cap Funds — 1.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		11,568		216,100
BMO Small-Cap Value Fund — Class R6 (1)		9,162		122,591
Goldman Sachs Small Cap Value Fund — Institutional Class		1,801		105,692
Total Small-Cap Funds				444,383

Description	Shares		Value
Mutual Funds (continued)
International Funds — 7.2%
BMO Disciplined International Equity Fund — Institutional Class (1)		49,770	$	569,872
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		24,675		416,268
BMO Pyrford International Stock Fund — Class R6 (1)		39,380		521,002
Dodge & Cox International Stock Fund — Retail Class		8,552		398,802
Harbor International Fund — Retirement Class		5,938		398,432
MFS International Value Fund — Class R6		10,860		463,619
T Rowe Price International Discovery Fund — Institutional Class		4,236		311,694
Total International Funds				3,079,689
Fixed Income Funds — 66.0%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		903,483		10,390,055
Metropolitan West Total Return Bond Fund — Plan Class (3)		1,252,258		12,272,125
TCW Emerging Markets Income Fund — Institutional Class		123,662		1,035,051
Vanguard Total Bond Market Index Fund — Institutional Class		441,320		4,625,031
Total Fixed Income Funds				28,322,262
Alternative Funds — 10.4%
BMO Alternative Strategies Fund — Institutional Class (1)		446,510		4,469,563
Total Mutual Funds (identified cost $37,060,903)				42,416,852
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		427,731		427,731
Total Short-Term Investments (identified cost $427,731)				427,731
Total Investments — 99.8% (identified cost $37,488,634)				42,844,583
Other Assets and Liabilities — 0.2%				95,907
Total Net Assets — 100.0%			$	42,940,490

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		12.4	%
Mid-Cap Funds		1.8
Small-Cap Funds		1.0
International Funds		7.2
Fixed Income Funds		66.0
Alternative Funds		10.4
Other Assets & Liabilities, Net		1.2
Total		100.0	%

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

13

February 28, 2018 (Unaudited)

Schedules of Investments

Moderate Allocation Fund

Description	Shares		Value
Mutual Funds — 98.8%
Large-Cap Funds — 23.2%
BMO Dividend Income Fund — Institutional Class (1)		98,480	$	1,422,050
BMO Large-Cap Growth Fund — Class R6 (1)		199,494		3,754,482
BMO Large-Cap Value Fund — Class R6 (1)		295,176		4,716,909
BMO Low Volatility Equity Fund — Institutional Class (1)		179,073		2,621,627
Dodge & Cox Stock Fund — Retail Class		8,676		1,794,358
Harbor Capital Appreciation Fund — Retirement Class		24,218		1,813,206
T Rowe Price Growth Stock Fund — Institutional Class		21,699		1,459,485
Vanguard Institutional Index Fund — Institutional Class		29,175		7,232,517
Total Large-Cap Funds				24,814,634
Mid-Cap Funds — 3.5%
BMO Mid-Cap Growth Fund — Class R6 (1)		58,717		989,973
BMO Mid-Cap Value Fund — Class R6 (1)		81,830		987,694
Vanguard Mid-Cap Index Fund — Institutional Class		40,319		1,708,326
Total Mid-Cap Funds				3,685,993
Small-Cap Funds — 2.0%
BMO Small-Cap Growth Fund — Institutional Class (1)		54,244		1,013,285
BMO Small-Cap Value Fund — Class R6 (1)		43,342		579,913
Goldman Sachs Small Cap Value Fund — Institutional Class		8,429		494,518
Total Small-Cap Funds				2,087,716
International Funds — 13.5%
BMO Disciplined International Equity Fund — Institutional Class (1)		234,553		2,685,635
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		116,877		1,971,718
BMO Pyrford International Stock Fund — Class R6 (1)		184,352		2,438,982
Dodge & Cox International Stock Fund — Retail Class		40,251		1,876,912
Harbor International Fund — Retirement Class		28,057		1,882,627
MFS International Value Fund — Class R6		50,484		2,155,159
T Rowe Price International Discovery Fund — Institutional Class		19,790		1,456,311
Total International Funds				14,467,344
Fixed Income Funds — 48.3%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		1,645,392		18,922,012
Metropolitan West Total Return Bond Fund — Plan Class		2,281,761		22,361,257
TCW Emerging Markets Income Fund — Institutional Class		223,828		1,873,438
Vanguard Total Bond Market Index Fund — Institutional Class		803,877		8,424,636
Total Fixed Income Funds				51,581,343

Description	Shares		Value
Mutual Funds (continued)
Alternative Funds — 8.3%
BMO Alternative Strategies Fund — Institutional Class (1)		889,689	$	8,905,791
Total Mutual Funds (identified cost $87,732,148)				105,542,821
Short-Term Investments — 1.0%
Mutual Funds — 1.0%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		1,126,240		1,126,240
Total Short-Term Investments (identified cost $1,126,193)				1,126,240
Total Investments — 99.8% (identified cost $88,858,341)				106,669,061
Other Assets and Liabilities — 0.2%				161,185
Total Net Assets — 100.0%			$	106,830,246

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		23.2	%
Mid-Cap Funds		3.5
Small-Cap Funds		2.0
International Funds		13.5
Fixed Income Funds		48.3
Alternative Funds		8.3
Other Assets & Liabilities, Net		1.2
Total		100.0	%

Balanced Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 34.0%
BMO Dividend Income Fund — Institutional Class (1)		484,978	$	7,003,085
BMO Large-Cap Growth Fund — Class R6 (1)		986,331		18,562,744
BMO Large-Cap Value Fund — Class R6 (1)		1,455,795		23,263,602
BMO Low Volatility Equity Fund — Institutional Class (1)		883,243		12,930,671
Dodge & Cox Stock Fund — Retail Class		42,829		8,858,308
Harbor Capital Appreciation Fund — Retirement Class		119,819		8,970,876
T Rowe Price Growth Stock Fund — Institutional Class		107,206		7,210,686
Vanguard Institutional Index Fund — Institutional Class		143,977		35,691,968
Total Large-Cap Funds				122,491,940
Mid-Cap Funds — 5.0%
BMO Mid-Cap Growth Fund — Class R6 (1)		288,446		4,863,203
BMO Mid-Cap Value Fund — Class R6 (1)		401,986		4,851,976
Vanguard Mid-Cap Index Fund — Institutional Class		199,158		8,438,343
Total Mid-Cap Funds				18,153,522

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

14

BMO Funds

Balanced Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
Small-Cap Funds — 2.9%
BMO Small-Cap Growth Fund — Institutional Class (1)		267,701	$	5,000,657
BMO Small-Cap Value Fund — Class R6 (1)		213,340		2,854,488
Goldman Sachs Small Cap Value Fund — Institutional Class		41,268		2,421,186
Total Small-Cap Funds				10,276,331
International Funds — 19.9%
BMO Disciplined International Equity Fund — Institutional Class (1)		1,157,690		13,255,554
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		576,275		9,721,755
BMO Pyrford International Stock Fund — Class R6 (1)		908,677		12,021,796
Dodge & Cox International Stock Fund — Retail Class		198,962		9,277,589
Harbor International Fund — Retirement Class		138,687		9,305,905
MFS International Value Fund — Class R6		252,478		10,778,287
T Rowe Price International Discovery Fund — Institutional Class		97,767		7,194,657
Total International Funds				71,555,543
Fixed Income Funds — 30.2%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		3,472,321		39,931,689
Metropolitan West Total Return Bond Fund — Plan Class		4,816,953		47,206,136
TCW Emerging Markets Income Fund — Institutional Class		473,415		3,962,483
Vanguard Total Bond Market Index Fund — Institutional Class		1,695,972		17,773,791
Total Fixed Income Funds				108,874,099
Alternative Funds — 7.0%
BMO Alternative Strategies Fund — Institutional Class (1)		2,509,001		25,115,103
Total Mutual Funds (identified cost $265,197,260)				356,466,538
Short-Term Investments — 0.7%
Mutual Funds — 0.7%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		2,454,922		2,454,922
Total Short-Term Investments (identified cost $2,454,882)				2,454,922
Total Investments — 99.7% (identified cost $267,652,142)				358,921,460
Other Assets and Liabilities — 0.3%				959,591
Total Net Assets — 100.0%			$	359,881,051

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		34.0	%
Mid-Cap Funds		5.0
Small-Cap Funds		2.9
International Funds		19.9
Fixed Income Funds		30.2
Alternative Funds		7.0
Other Assets & Liabilities, Net		1.0
Total		100.0	%

Growth Allocation Fund

Description	Shares		Value
Mutual Funds — 99.0%
Large-Cap Funds — 45.1%
BMO Dividend Income Fund — Institutional Class (1)		236,207	$	3,410,834
BMO Large-Cap Growth Fund — Class R6 (1)		480,178		9,036,950
BMO Large-Cap Value Fund — Class R6 (1)		709,039		11,330,449
BMO Low Volatility Equity Fund — Institutional Class (1)		429,903		6,293,784
Dodge & Cox Stock Fund — Retail Class		20,852		4,312,784
Harbor Capital Appreciation Fund — Retirement Class		58,398		4,372,291
T Rowe Price Growth Stock Fund — Institutional Class		52,291		3,517,060
Vanguard Institutional Index Fund — Institutional Class		70,082		17,373,309
Total Large-Cap Funds				59,647,461
Mid-Cap Funds — 6.7%
BMO Mid-Cap Growth Fund — Class R6 (1)		140,790		2,373,716
BMO Mid-Cap Value Fund —Class R6 (1)		196,208		2,368,232
Vanguard Mid-Cap Index Fund —Institutional Class		97,024		4,110,891
Total Mid-Cap Funds				8,852,839
Small-Cap Funds — 3.8%
BMO Small-Cap Growth Fund — Institutional Class (1)		130,221		2,432,520
BMO Small-Cap Value Fund — Class R6 (1)		104,057		1,392,288
Goldman Sachs Small Cap Value Fund — Institutional Class		20,106		1,179,631
Total Small-Cap Funds				5,004,439
International Funds — 26.3%
BMO Disciplined International Equity Fund — Institutional Class (1)		563,602		6,453,240
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		280,239		4,727,638
BMO Pyrford International Stock Fund — Class R6 (1)		442,338		5,852,138
Dodge & Cox International Stock Fund — Retail Class		96,340		4,492,341
Harbor International Fund — Retirement Class		67,547		4,532,410
MFS International Value Fund — Class R6		122,993		5,250,558

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

15

February 28, 2018 (Unaudited)

Schedules of Investments

Growth Allocation Fund (continued)

Description	Shares		Value
Mutual Funds (continued)
International Funds (continued)
T Rowe Price International Discovery Fund — Institutional Class		47,686	$	3,509,238
Total International Funds				34,817,563
Fixed Income Funds — 11.5%
BMO TCH Core Plus Bond Fund — Institutional Class (1)		485,727		5,585,863
Metropolitan West Total Return Bond Fund — Plan Class		673,822		6,603,452
TCW Emerging Markets Income Fund — Institutional Class		66,540		556,944
Vanguard Total Bond Market Index Fund — Institutional Class		236,987		2,483,623
Total Fixed Income Funds				15,229,882
Alternative Funds — 5.6%
BMO Alternative Strategies Fund — Institutional Class (1)		738,886		7,396,244
Total Mutual Funds (identified cost $90,405,586)				130,948,428
Short-Term Investments — 0.5%
Mutual Funds — 0.5%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		651,103		651,103
Total Short-Term Investments (identified cost $651,038)				651,103
Total Investments — 99.5% (identified cost $91,056,624)				131,599,531
Other Assets and Liabilities — 0.5%				629,414
Total Net Assets — 100.0%			$	132,228,945

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		45.1	%
Mid-Cap Funds		6.7
Small-Cap Funds		3.8
International Funds		26.3
Fixed Income Funds		11.5
Alternative Funds		5.6
Other Assets & Liabilities, Net		1.0
Total		100.0	%

Aggressive Allocation Fund

Description	Shares		Value
Mutual Funds — 98.9%
Large-Cap Funds — 54.2%
BMO Dividend Income Fund — Institutional Class (1)		389,066	$	5,618,116
BMO Large-Cap Growth Fund — Class R6 (1)		764,105		14,380,455
BMO Large-Cap Value Fund — Class R6 (1)		1,139,548		18,209,976

Description	Shares		Value
Mutual Funds (continued)
Large-Cap Funds (continued)
BMO Low Volatility Equity Fund — Institutional Class (1)		708,761	$	10,376,263
Dodge & Cox Stock Fund — Retail Class		34,355		7,105,658
Harbor Capital Appreciation Fund — Retirement Class		96,062		7,192,158
T Rowe Price Growth Stock Fund — Institutional Class		85,999		5,784,261
Vanguard Institutional Index Fund — Institutional Class		115,456		28,621,567
Total Large-Cap Funds				97,288,454
Mid-Cap Funds — 8.1%
BMO Mid-Cap Growth Fund — Class R6 (1)		231,735		3,907,046
BMO Mid-Cap Value Fund — Class R6 (1)		322,945		3,897,944
Vanguard Mid-Cap Index Fund — Institutional Class		159,689		6,766,006
Total Mid-Cap Funds				14,570,996
Small-Cap Funds — 4.6%
BMO Small-Cap Growth Fund — Institutional Class (1)		215,067		4,017,450
BMO Small-Cap Value Fund — Class R6 (1)		170,630		2,283,034
Goldman Sachs Small Cap Value Fund — Institutional Class		33,067		1,940,051
Total Small-Cap Funds				8,240,535
International Funds — 31.5%
BMO Disciplined International Equity Fund — Institutional Class (1)		848,347		9,713,573
BMO LGM Emerging Markets Equity Fund — Institutional Class (1)		462,378		7,800,321
BMO Pyrford International Stock Fund — Class R6 (1)		729,400		9,649,966
Dodge & Cox International Stock Fund — Retail Class		159,504		7,437,674
Harbor International Fund — Retirement Class		111,175		7,459,826
MFS International Value Fund — Class R6		202,323		8,637,166
T Rowe Price International Discovery Fund — Institutional Class		78,430		5,771,629
Total International Funds				56,470,155
Alternative Funds — 0.5%
BMO Alternative Strategies Fund — Institutional Class (1)		89,578		896,680
Total Mutual Funds (identified cost $108,587,379)				177,466,820
Short-Term Investments — 1.2%
Mutual Funds — 1.2%
BMO Institutional Prime Money Market Fund — Premier Class, 1.430% (1)		2,157,851		2,157,851
Total Short-Term Investments (identified cost $2,157,760)				2,157,851
Total Investments — 100.1% (identified cost $110,745,139)				179,624,671
Other Assets and Liabilities — (0.1)%				(255,764	)
Total Net Assets — 100.0%			$	179,368,907

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

16

BMO Funds

Aggressive Allocation Fund (continued)

Portfolio Sector Allocation*
Sector	Fund
Large-Cap Funds		54.2	%
Mid-Cap Funds		8.1
Small-Cap Funds		4.6
International Funds		31.5
Alternative Funds		0.5
Other Assets & Liabilities, Net		1.1
Total		100.0	%

Notes to Schedules of Investments (Unaudited)

The categories of investments are shown as a percentage of total net assets for each Fund as of February 28, 2018.

* Portfolio composition will change due to ongoing management of the Fund. The percentages are based on net assets at the close of business on February 28, 2018 and may not necessarily reflect adjustments that are routinely made when presenting net assets for formal financial statement purposes.

(1) Denotes an investment in an affiliated entity. Please refer to Note 5, subsection Investments in Affiliated Issuers, in the Notes to Financial Statements.

(2) Holding is greater than 25% of portfolio value. Additional information regarding the underlying Fund’s holdings and financial statements may be found at https://www.sec.gov.

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

17

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	In-Retirement Fund		2015 Fund			2020 Fund			2025 Fund			2030 Fund
Assets:
Investments in unaffiliated issuers, at value	$	8,338,223	$	1,968,226		$	42,211,279		$	13,229,693		$	52,484,054
Cash sweep investments in affiliated issuers, at value		155,178		39,515			734,335			261,868			1,557,798
Investments in other affiliated issuers, at value		6,744,580		1,682,973			38,448,057			11,116,578			44,814,367
Dividends and interest receivable		20,080		4,305			61,439			13,268			38,608
Receivable for investments sold		28,584		5,761			203,617			55,332			44,363
Receivable for capital stock sold		9,369		4,001			49,342			37,026			61,659
Receivable from affiliates, net (Note 5)		9,706		11,181			8,658			12,356			6,195
Prepaid expenses and other receivables		23,779		31,212			24,064			31,580			24,348
Total assets		15,329,499		3,747,174			81,740,791			24,757,701			99,031,392
Liabilities:
Payable for investments purchased		32,335		8,626			131,901			73,788			606,994
Payable for capital stock redeemed		—		—			288,464			—			127,820
Other liabilities		20,265		19,847			23,577			21,003			24,717
Total liabilities		52,600		28,473			443,942			94,791			759,531
Total net assets	$	15,276,899	$	3,718,701		$	81,296,849		$	24,662,910		$	98,271,861
Net assets consist of:
Paid-in capital	$	13,123,669	$	3,480,986		$	60,596,064		$	22,150,688		$	69,078,782
Net unrealized appreciation on investments		2,047,839		257,396			19,183,480			2,542,669			27,508,806
Accumulated net realized gain (loss) on investments		93,222		(15,432	)		1,647,893			14,361			1,941,521
Undistributed net investment income (distributions in excess of net investment income)		12,169		(4,249	)		(130,588	)		(44,808	)		(257,248	)
Total net assets	$	15,276,899	$	3,718,701		$	81,296,849		$	24,662,910		$	98,271,861
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.83	$	11.43		$	10.29		$	11.91		$	11.69
Retirement class R-3 of shares		8.87		11.37			10.32			12.05			11.71
Retirement class R-6 of shares		8.81		11.43			10.28			11.96			11.68
Net assets:
Investor class of shares	$	3,269,032	$	311,080		$	17,014,626		$	1,084,072		$	18,238,406
Retirement class R-3 of shares		772,987		114,964			5,253,918			90,417			5,567,125
Retirement class R-6 of shares		11,234,880		3,292,657			59,028,305			23,488,421			74,466,330
Total net assets	$	15,276,899	$	3,718,701		$	81,296,849		$	24,662,910		$	98,271,861
Shares outstanding:
Investor class of shares		370,344		27,214			1,654,107			91,046			1,560,774
Retirement class R-3 of shares		87,161		10,108			508,983			7,503			475,410
Retirement class R-6 of shares		1,275,284		288,068			5,740,106			1,964,224			6,378,226
Total shares outstanding		1,732,789		325,390			7,903,196			2,062,773			8,414,410
Investments, at cost:
Investments in unaffiliated issuers	$	6,964,907	$	1,811,607		$	28,697,332		$	11,533,549		$	31,897,849
Cash sweep investments in affiliated issuers		155,178		39,515			734,314			261,865			1,557,798
Investments in other affiliated issuers		6,070,057		1,582,196			32,778,545			10,270,056			37,891,766
Total investments, at cost	$	13,190,142	$	3,433,318		$	62,210,191		$	22,065,470		$	71,347,413

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

18

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Assets:
Investments in unaffiliated issuers, at value	$	7,006,747		$	30,793,059		$	4,474,156		$	23,063,297		$	4,771,538
Cash sweep investments in affiliated issuers, at value		158,064			757,962			107,994			636,480			93,759
Investments in other affiliated issuers, at value		6,059,662			25,988,699			3,776,549			19,464,667			4,026,935
Dividends and interest receivable		3,196			9,583			1,312			6,726			1,394
Receivable for investments sold		20,691			62,010			9,958			25,719			20,722
Receivable for capital stock sold		80,362			63,392			44,440			33,312			123,463
Receivable from affiliates, net (Note 5)		11,317			9,054			11,354			8,866			11,388
Prepaid expenses and other receivables		31,544			23,920			31,116			23,845			31,227
Total assets		13,371,583			57,707,679			8,456,879			43,262,912			9,080,426
Liabilities:
Payable for investments purchased		45,887			241,624			33,352			226,740			22,440
Payable for capital stock redeemed		—			—			—			10,777			—
Other liabilities		20,401			23,294			20,256			22,629			19,996
Total liabilities		66,288			264,918			53,608			260,146			42,436
Total net assets	$	13,305,295		$	57,442,761		$	8,403,271		$	43,002,766		$	9,037,990
Net assets consist of:
Paid-in capital	$	11,263,010		$	38,055,808		$	7,202,645		$	30,070,536		$	7,832,496
Net unrealized appreciation on investments		2,072,445			18,116,203			1,269,362			12,400,698			1,229,593
Accumulated net realized gain (loss) on investments		18,449			1,509,904			(40,322	)		730,159			11,747
Distributions in excess of net investment income		(48,609	)		(239,154	)		(28,414	)		(198,627	)		(35,846	)
Total net assets	$	13,305,295		$	57,442,761		$	8,403,271		$	43,002,766		$	9,037,990
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	11.73		$	11.31		$	12.06		$	12.33		$	12.45
Retirement class R-3 of shares		11.82			11.36			12.19			12.34			12.33
Retirement class R-6 of shares		11.78			11.30			12.11			12.32			12.46
Net assets:
Investor class of shares	$	719,051		$	10,503,579		$	824,550		$	7,969,515		$	345,357
Retirement class R-3 of shares		92,862			2,482,423			55,724			2,895,375			91,513
Retirement class R-6 of shares		12,493,382			44,456,759			7,522,997			32,137,876			8,601,120
Total net assets	$	13,305,295		$	57,442,761		$	8,403,271		$	43,002,766		$	9,037,990
Shares outstanding:
Investor class of shares		61,286			928,699			68,344			646,148			27,737
Retirement class R-3 of shares		7,856			218,503			4,571			234,652			7,419
Retirement class R-6 of shares		1,060,564			3,934,203			621,122			2,608,626			690,420
Total shares outstanding		1,129,706			5,081,405			694,037			3,489,426			725,576
Investments, at cost:
Investments in unaffiliated issuers	$	5,716,323		$	17,327,020		$	3,657,239		$	13,851,049		$	3,977,601
Cash sweep investments in affiliated issuers		158,060			757,946			107,990			636,472			93,756
Investments in other affiliated issuers		5,277,645			21,338,551			3,324,108			16,276,225			3,591,282
Total investments, at cost	$	11,152,028		$	39,423,517		$	7,089,337		$	30,763,746		$	7,662,639

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

19

February 28, 2018 (Unaudited)

Statements of Assets and Liabilities BMO Funds

	Conservative Allocation Fund		Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Assets:
Investments in unaffiliated issuers, at value	$	22,615,868	$	54,532,750		$	177,090,215		$	62,294,532		$	86,715,996
Cash sweep investments in affiliated issuers, at value		427,731		1,126,240			2,454,922			651,103			2,157,851
Investments in other affiliated issuers, at value		19,800,984		51,010,071			179,376,323			68,653,896			90,750,824
Dividends and interest receivable		62,632		113,610			241,234			34,581			1,872
Receivable for investments sold		—		171,456			1,249,036			641,138			224,297
Receivable for capital stock sold		25,352		124,340			42,045			66,697			150,633
Receivable from affiliates, net (Note 5)		11,740		14,213			—			11,920			5,649
Prepaid expenses and other receivables		21,150		21,080			22,759			21,150			21,469
Total assets		42,965,457		107,113,760			360,476,534			132,375,017			180,028,591
Liabilities:
Payable for investments purchased		—		249,976			239,869			41,817			607,679
Payable for capital stock redeemed		1,239		5,566			309,228			75,347			19,170
Payable to affiliates, net (Note 5)		—		—			4,238			—			—
Other liabilities		23,728		27,972			42,148			28,908			32,835
Total liabilities		24,967		283,514			595,483			146,072			659,684
Total net assets	$	42,940,490	$	106,830,246		$	359,881,051		$	132,228,945		$	179,368,907
Net assets consist of:
Paid-in capital	$	33,702,442	$	86,550,069		$	254,700,865		$	87,762,741		$	100,983,311
Net unrealized appreciation on investments		5,355,949		17,810,720			91,269,318			40,542,907			68,879,532
Accumulated net realized gain on investments		3,820,429		2,515,674			14,789,786			4,527,076			10,544,976
Undistributed net investment income (distributions in excess of net investment income)		61,670		(46,217	)		(878,918	)		(603,779	)		(1,038,912	)
Total net assets	$	42,940,490	$	106,830,246		$	359,881,051		$	132,228,945		$	179,368,907
Net asset value, offering price and redemption proceeds per share (unlimited shares authorized, no par value)
Investor class of shares	$	8.56	$	9.70		$	9.13		$	10.18		$	9.56
Institutional class of shares		8.84		9.70			9.13			10.17			9.55
Retirement class R-3 of shares		8.73		9.70			9.14			10.18			9.55
Retirement class R-6 of shares		8.55		9.68			9.12			10.17			9.54
Net assets:
Investor class of shares	$	14,205,539	$	8,284,157		$	101,026,584		$	16,279,715		$	39,494,943
Institutional class of shares		1,323,364		5,742,758			46,384,868			8,638,825			13,947,722
Retirement class R-3 of shares		978,404		13,852,394			19,129,005			18,309,440			17,088,019
Retirement class R-6 of shares		26,433,183		78,950,937			193,340,594			89,000,965			108,838,223
Total net assets	$	42,940,490	$	106,830,246		$	359,881,051		$	132,228,945		$	179,368,907
Shares outstanding:
Investor class of shares		1,659,781		853,673			11,068,925			1,599,420			4,131,706
Institutional class of shares		149,750		591,880			5,081,554			849,594			1,461,104
Retirement class R-3 of shares		112,031		1,427,404			2,093,024			1,797,774			1,789,747
Retirement class R-6 of shares		3,092,526		8,152,236			21,195,933			8,755,292			11,406,632
Total shares outstanding		5,014,088		11,025,193			39,439,436			13,002,080			18,789,189
Investments, at cost:
Investments in unaffiliated issuers	$	20,172,983	$	43,778,115		$	119,772,589		$	34,714,061		$	40,699,732
Cash sweep investments in affiliated issuers		427,731		1,126,193			2,454,882			651,038			2,157,760
Investments in other affiliated issuers		16,887,920		43,954,033			145,424,671			55,691,525			67,887,647
Total investments, at cost	$	37,488,634	$	88,858,341		$	267,652,142		$	91,056,624		$	110,745,139

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

20

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	In-Retirement Fund			2015 Fund			2020 Fund			2025 Fund			2030 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	102,776		$	24,867		$	505,125		$	135,867		$	570,961
Affiliated issuers		99,202			24,504			464,178			110,666			454,038
Excess expense reimbursement from investment adviser (Note 5)		3,813			1,157			20,220			7,423			10,675
Total income		205,791			50,528			989,523			253,956			1,035,674
Expenses:
Shareholder servicing fees (Note 5)		4,201			441			22,126			1,228			23,487
Administration fees (Note 5)		3,049			351			18,120			832			18,596
Portfolio accounting fees		18,839			17,150			28,879			19,948			31,039
Recordkeeping fees		14,765			16,643			15,522			16,376			15,008
Custodian fees (Note 5)		352			90			1,921			524			2,258
Registration fees		20,903			21,014			20,764			21,187			21,003
Professional fees		9,219			9,219			9,219			9,219			9,219
Printing and postage		4,717			4,110			5,133			4,234			5,047
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 5)		1,761			288			16,151			317			15,013
Miscellaneous		1,560			1,442			2,464			1,920			2,872
Total expenses		86,977			78,359			147,910			83,396			151,153
Deduct:
Expense waivers (Note 5)		(79,382	)		(77,442	)		(99,960	)		(81,407	)		(97,755	)
Net expenses		7,595			917			47,950			1,989			53,398
Net investment income		198,196			49,611			941,573			251,967			982,276
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		144,311			36,083			863,925			53,521			467,099
Investments in affiliated issuers		41,562			19,685			244,333			(16,290	)		41,278
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		72,590			24,609			772,509			297,543			1,450,545
Investments in affiliated issuers		169,404			48,057			1,229,075			345,242			1,629,512
Total net realized gain		427,867			128,434			3,109,842			680,016			3,588,434
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(146,378	)		(19,906	)		(42,669	)		232,205			1,100,022
Investments in affiliated issuers		(153,731	)		(38,106	)		(251,220	)		48,507			317,439
Total net change in unrealized appreciation (depreciation)		(300,109	)		(58,012	)		(293,889	)		280,712			1,417,461
Net realized and unrealized gain on investments		127,758			70,422			2,815,953			960,728			5,005,895
Change in net assets resulting from operations	$	325,954		$	120,033		$	3,757,526		$	1,212,695		$	5,988,171

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

21

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	2035 Fund			2040 Fund			2045 Fund			2050 Fund			2055 Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	75,793		$	317,280		$	45,519		$	236,020		$	46,699
Affiliated issuers		59,396			233,784			34,297			173,945			34,434
Excess expense reimbursement from investment adviser (Note 5)		1,748			8,236			1,374			5,910			1,460
Total income		136,937			559,300			81,190			415,875			82,593
Expenses:
Shareholder servicing fees (Note 5)		881			13,420			1,072			10,318			559
Administration fees (Note 5)		607			9,928			685			8,402			494
Portfolio accounting fees		18,542			24,775			17,792			22,721			17,800
Recordkeeping fees		16,235			16,577			16,733			16,635			16,529
Custodian fees (Note 5)		305			1,279			186			958			189
Registration fees		21,187			20,746			21,132			20,746			21,014
Professional fees		9,219			9,219			9,219			9,219			9,219
Printing and postage		4,241			5,140			4,268			5,126			4,235
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 5)		260			6,253			138			7,370			528
Miscellaneous		1,972			2,266			1,667			2,062			1,562
Total expenses		81,060			117,214			80,503			111,168			79,740
Deduct:
Expense waivers (Note 5)		(79,427	)		(90,250	)		(78,786	)		(87,311	)		(78,289	)
Net expenses		1,633			26,964			1,717			23,857			1,451
Net investment income		135,304			532,336			79,473			392,018			81,142
Net realized and unrealized gain (loss) on investments:
Net realized gain (loss) on transactions from:
Investments in unaffiliated issuers		100,398			498,461			37,095			366,717			(3,270	)
Investments in affiliated issuers		36,386			134,956			13,775			126,094			(4,450	)
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		219,855			959,233			138,702			723,398			145,631
Investments in affiliated issuers		230,973			947,102			135,828			690,577			138,698
Total net realized gain		587,612			2,539,752			325,400			1,906,786			276,609
Net change in unrealized appreciation on:
Investments in unaffiliated issuers		144,140			610,499			118,022			475,968			154,726
Investments in affiliated issuers		42,653			252,163			40,772			204,806			57,553
Total net change in unrealized appreciation		186,793			862,662			158,794			680,774			212,279
Net realized and unrealized gain on investments		774,405			3,402,414			484,194			2,587,560			488,888
Change in net assets resulting from operations	$	909,709		$	3,934,750		$	563,667		$	2,979,578		$	570,030

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

22

Six Months Ended February 28, 2018 (Unaudited)

Statements of Operations BMO Funds

	Conservative Allocation Fund			Moderate Allocation Fund			Balanced Allocation Fund			Growth Allocation Fund			Aggressive Allocation Fund
Investment income:
Dividend income from:
Unaffiliated issuers	$	323,712		$	598,878		$	1,925,298		$	659,493		$	910,188
Affiliated issuers		308,707			582,933			1,848,842			616,261			836,107
Excess expense reimbursement from investment adviser (Note 5)		9,875			40,475			69,399			44,610			38,706
Total income		642,294			1,222,286			3,843,539			1,320,364			1,785,001
Expenses:
Shareholder servicing fees (Note 5)		18,710			10,002			126,806			20,790			47,978
Administration fees (Note 5)		23,269			21,664			128,616			32,910			52,389
Portfolio accounting fees		30,159			37,741			73,302			41,235			48,257
Recordkeeping fees		17,664			17,816			18,524			18,358			18,817
Custodian fees (Note 5)		1,392			2,576			8,672			3,121			4,232
Registration fees		27,282			27,282			27,779			27,282			27,285
Professional fees		9,219			9,219			9,219			9,219			9,219
Printing and postage		5,307			6,142			8,563			5,846			7,039
Directors’ fees		7,611			7,611			7,611			7,611			7,611
Distribution services fees (Note 5)		4,385			33,908			53,354			46,031			42,573
Miscellaneous		3,647			3,319			7,268			3,476			4,360
Total expenses		148,645			177,280			469,714			215,879			269,760
Deduct:
Expense waivers (Note 5)		(112,990	)		(126,125	)		(220,937	)		(138,079	)		(151,263	)
Net expenses		35,655			51,155			248,777			77,800			118,497
Net investment income		606,639			1,171,131			3,594,762			1,242,564			1,666,504
Net realized and unrealized gain (loss) on investments:
Net realized gain on transactions from:
Investments in unaffiliated issuers		1,913,816			1,084,913			7,867,501			1,414,036			4,104,163
Investments in affiliated issuers		1,748,702			302,164			1,967,963			337,571			1,136,902
Net realized gain on capital gains distributions from:
Investments in unaffiliated issuers		126,869			586,454			2,950,570			1,442,641			2,338,910
Investments in affiliated issuers		541,727			1,643,971			7,081,601			3,087,174			4,460,586
Total net realized gain		4,331,114			3,617,502			19,867,635			6,281,422			12,040,561
Net change in unrealized appreciation (depreciation) on:
Investments in unaffiliated issuers		(2,144,523	)		(833,466	)		(3,595,382	)		1,200,111			799,333
Investments in affiliated issuers		(2,106,253	)		(882,397	)		(1,753,637	)		361,654			1,173,026
Total net change in unrealized appreciation (depreciation)		(4,250,776	)		(1,715,863	)		(5,349,019	)		1,561,765			1,972,359
Net realized and unrealized gain on investments		80,338			1,901,639			14,518,616			7,843,187			14,012,920
Change in net assets resulting from operations	$	686,977		$	3,072,770		$	18,113,378		$	9,085,751		$	15,679,424

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

23

Statements of Changes in Net Assets BMO Funds

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	198,196		$	342,529		$	49,611		$	78,725		$	941,573		$	1,420,235
Net realized gain on investments		427,867			1,042,764			128,434			45,513			3,109,842			4,372,487
Net change in unrealized appreciation (depreciation) on investments		(300,109	)		(309,281	)		(58,012	)		219,677			(293,889	)		2,671,547
Change in net assets resulting from operations		325,954			1,076,012			120,033			343,915			3,757,526			8,464,269
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(68,163	)		(72,794	)		(5,300	)		(9,699	)		(320,460	)		(297,735	)
Retirement class R-3 of shares		(13,242	)		(21,844	)		(2,159	)		(2,517	)		(94,130	)		(163,083	)
Retirement class R-6 of shares		(273,528	)		(403,463	)		(83,495	)		(92,325	)		(1,295,271	)		(1,330,828	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(193,387	)		(156,448	)		(472	)		—			(818,613	)		(782,933	)
Retirement class R-3 of shares		(44,555	)		(56,331	)		(175	)		—			(303,004	)		(498,648	)
Retirement class R-6 of shares		(650,050	)		(725,970	)		(4,971	)		—			(2,707,665	)		(2,797,230	)
Change in net assets resulting from distributions to shareholders		(1,242,925	)		(1,436,850	)		(96,572	)		(104,541	)		(5,539,143	)		(5,870,457	)
Capital stock transactions:
Proceeds from sale of shares		1,482,629			3,042,445			300,491			2,210,195			8,182,876			12,088,658
Net asset value of shares issued to shareholders in payment of distributions declared		1,242,925			1,436,850			92,093			100,435			5,539,143			5,870,457
Cost of shares redeemed		(1,511,487	)		(10,733,974	)		(612,037	)		(3,204,289	)		(11,290,937	)		(33,161,526	)
Change in net assets resulting from capital stock transactions		1,214,067			(6,254,679	)		(219,453	)		(893,659	)		2,431,082			(15,202,411	)
Change in net assets		297,096			(6,615,517	)		(195,992	)		(654,285	)		649,465			(12,608,599	)
Net assets:
Beginning of period		14,979,803			21,595,320			3,914,693			4,568,978			80,647,384			93,255,983
End of period	$	15,276,899		$	14,979,803		$	3,718,701		$	3,914,693		$	81,296,849		$	80,647,384
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	12,169		$	168,906		$	(4,249	)	$	37,094		$	(130,588	)	$	637,700

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

24

Statements of Changes in Net Assets BMO Funds

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	251,967		$	464,642		$	982,276		$	1,367,853		$	135,304		$	391,676
Net realized gain on investments		680,016			490,321			3,588,434			4,690,998			587,612			990,389
Net change in unrealized appreciation (depreciation) on investments		280,712			2,185,232			1,417,461			6,065,890			186,793			1,832,288
Change in net assets resulting from operations		1,212,695			3,140,195			5,988,171			12,124,741			909,709			3,214,353
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(17,298	)		(10,858	)		(261,657	)		(243,224	)		(13,075	)		(9,873	)
Retirement class R-3 of shares		—			(15,122	)		(63,635	)		(101,706	)		(457	)		(5,872	)
Retirement class R-6 of shares		(458,277	)		(591,903	)		(1,434,361	)		(1,339,900	)		(276,293	)		(518,267	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(10,616	)		(12,985	)		(598,423	)		(668,223	)		(31,243	)		(22,302	)
Retirement class R-3 of shares		(964	)		(19,978	)		(193,799	)		(340,715	)		(4,137	)		(15,697	)
Retirement class R-6 of shares		(232,053	)		(543,487	)		(2,545,545	)		(2,785,759	)		(530,766	)		(903,500	)
Change in net assets resulting from distributions to shareholders		(719,208	)		(1,194,333	)		(5,097,420	)		(5,479,527	)		(855,971	)		(1,475,511	)
Capital stock transactions:
Proceeds from sale of shares		5,396,328			5,604,471			12,265,554			16,918,635			1,324,011			3,951,792
Net asset value of shares issued to shareholders in payment of distributions declared		719,208			1,194,333			5,097,420			5,479,527			855,971			1,475,511
Cost of shares redeemed		(3,501,781	)		(17,820,626	)		(12,791,246	)		(39,617,757	)		(1,998,833	)		(25,378,614	)
Change in net assets resulting from capital stock transactions		2,613,755			(11,021,822	)		4,571,728			(17,219,595	)		181,149			(19,951,311	)
Change in net assets		3,107,242			(9,075,960	)		5,462,479			(10,574,381	)		234,887			(18,212,469	)
Net assets:
Beginning of period		21,555,668			30,631,628			92,809,382			103,383,763			13,070,408			31,282,877
End of period	$	24,662,910		$	21,555,668		$	98,271,861		$	92,809,382		$	13,305,295		$	13,070,408
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(44,808	)	$	178,800		$	(257,248	)	$	520,129		$	(48,609	)	$	105,912

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

25

Statements of Changes in Net Assets BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	532,336		$	818,310		$	79,473		$	208,991		$	392,018		$	550,199
Net realized gain on investments		2,539,752			4,903,883			325,400			571,381			1,906,786			1,562,211
Net change in unrealized appreciation (depreciation) on investments		862,662			2,576,931			158,794			1,033,847			680,774			3,639,189
Change in net assets resulting from operations		3,934,750			8,299,124			563,667			1,814,219			2,979,578			5,751,599
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(154,503	)		(138,602	)		(13,400	)		(10,889	)		(124,235	)		(80,320	)
Retirement class R-3 of shares		(27,713	)		(36,355	)		—			(4,652	)		(35,520	)		(37,443	)
Retirement class R-6 of shares		(845,531	)		(798,006	)		(146,697	)		(255,018	)		(614,075	)		(520,286	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(748,680	)		(490,108	)		(35,138	)		(31,552	)		(214,045	)		(299,678	)
Retirement class R-3 of shares		(179,564	)		(177,916	)		(2,323	)		(15,798	)		(76,962	)		(165,597	)
Retirement class R-6 of shares		(3,182,971	)		(2,068,921	)		(302,655	)		(549,139	)		(837,856	)		(1,315,743	)
Change in net assets resulting from distributions to shareholders		(5,138,962	)		(3,709,908	)		(500,213	)		(867,048	)		(1,902,693	)		(2,419,067	)
Capital stock transactions:
Proceeds from sale of shares		6,658,237			10,171,530			1,410,334			2,830,751			5,917,487			10,184,433
Net asset value of shares issued to shareholders in payment of distributions declared		5,138,962			3,709,908			500,213			867,048			1,902,693			2,419,067
Cost of shares redeemed		(5,747,712	)		(32,453,631	)		(1,498,691	)		(13,887,877	)		(5,582,510	)		(21,461,622	)
Change in net assets resulting from capital stock transactions		6,049,487			(18,572,193	)		411,856			(10,190,078	)		2,237,670			(8,858,122	)
Change in net assets		4,845,275			(13,982,977	)		475,310			(9,242,907	)		3,314,555			(5,525,590	)
Net assets:
Beginning of period		52,597,486			66,580,463			7,927,961			17,170,868			39,688,211			45,213,801
End of period	$	57,442,761		$	52,597,486		$	8,403,271		$	7,927,961		$	43,002,766		$	39,688,211
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(239,154	)	$	256,257		$	(28,414	)	$	52,210		$	(198,627	)	$	183,185

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

26

Statements of Changes in Net Assets BMO Funds

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	81,142		$	112,386		$	606,639		$	2,399,251		$	1,171,131		$	2,148,214
Net realized gain on investments		276,609			186,917			4,331,114			5,967,792			3,617,502			5,316,154
Net change in unrealized appreciation (depreciation) on investments		212,279			797,022			(4,250,776	)		(2,480,117	)		(1,715,863	)		1,771,140
Change in net assets resulting from operations		570,030			1,096,325			686,977			5,886,926			3,072,770			9,235,508
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(3,581	)		(5,113	)		(582,115	)		(392,079	)		(148,319	)		(261,497	)
Institutional class of shares		—			—			(16,401	)		(813,572	)		(102,870	)		(289,008	)
Retirement class R-3 of shares		(4,147	)		(5,867	)		(19,493	)		(152,724	)		(227,674	)		(256,521	)
Retirement class R-6 of shares		(146,093	)		(110,946	)		(1,264,591	)		(2,551,270	)		(1,874,292	)		(2,444,589	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(4,746	)		(15,407	)		(1,644,092	)		(3,300	)		(359,664	)		(162,234	)
Institutional class of shares		—			—			(144,665	)		(6,026	)		(227,710	)		(157,323	)
Retirement class R-3 of shares		(4,805	)		(18,291	)		(109,917	)		(1,394	)		(608,239	)		(175,521	)
Retirement class R-6 of shares		(117,638	)		(231,583	)		(3,217,945	)		(17,954	)		(3,619,513	)		(1,241,608	)
Change in net assets resulting from distributions to shareholders		(281,010	)		(387,207	)		(6,999,219	)		(3,938,319	)		(7,168,281	)		(4,988,301	)
Capital stock transactions:
Proceeds from sale of shares		2,301,091			3,302,459			6,201,724			16,844,101			8,373,617			21,818,957
Net asset value of shares issued to shareholders in payment of distributions declared		279,158			384,898			6,999,219			3,938,319			7,168,281			4,988,301
Cost of shares redeemed		(1,037,358	)		(4,943,591	)		(37,882,600	)		(91,814,964	)		(15,776,257	)		(59,025,227	)
Change in net assets resulting from capital stock transactions		1,542,891			(1,256,234	)		(24,681,657	)		(71,032,544	)		(234,359	)		(32,217,969	)
Change in net assets		1,831,911			(547,116	)		(30,993,899	)		(69,083,937	)		(4,329,870	)		(27,970,762	)
Net assets:
Beginning of period		7,206,079			7,753,195			73,934,389			143,018,326			111,160,116			139,130,878
End of period	$	9,037,990		$	7,206,079		$	42,940,490		$	73,934,389		$	106,830,246		$	111,160,116
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(35,846	)	$	36,833		$	61,670		$	1,337,631		$	(46,217	)	$	1,135,807

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

27

Statements of Changes in Net Assets BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Change in net assets resulting from:
Operations:
Net investment income	$	3,594,762		$	6,172,823		$	1,242,564		$	1,771,157		$	1,666,504		$	2,527,808
Net realized gain on investments		19,867,635			32,055,528			6,281,422			8,216,993			12,040,561			22,285,028
Net change in unrealized appreciation (depreciation) on investments		(5,349,019	)		3,277,801			1,561,765			7,336,431			1,972,359			4,477,343
Change in net assets resulting from operations		18,113,378			41,506,152			9,085,751			17,324,581			15,679,424			29,290,179
Distributions to shareholders:
Distributions to shareholders from net investment income:
Investor class of shares		(1,792,384	)		(1,887,442	)		(276,000	)		(293,423	)		(671,533	)		(444,228	)
Institutional class of shares		(860,496	)		(1,543,662	)		(173,710	)		(170,199	)		(266,766	)		(306,784	)
Retirement class R-3 of shares		(304,632	)		(417,940	)		(266,254	)		(160,972	)		(248,785	)		(181,480	)
Retirement class R-6 of shares		(4,398,480	)		(4,927,720	)		(1,905,407	)		(1,340,617	)		(2,439,933	)		(1,802,775	)
Distributions to shareholders from net realized gain on investments:
Investor class of shares		(8,122,524	)		(5,403,978	)		(888,274	)		(1,064,644	)		(4,087,028	)		(3,575,428	)
Institutional class of shares		(3,511,520	)		(3,791,371	)		(477,185	)		(491,722	)		(1,455,884	)		(1,848,747	)
Retirement class R-3 of shares		(1,717,675	)		(1,439,192	)		(993,635	)		(844,909	)		(1,803,375	)		(1,664,710	)
Retirement class R-6 of shares		(16,250,442	)		(11,266,539	)		(4,829,986	)		(3,505,544	)		(12,027,361	)		(9,629,541	)
Change in net assets resulting from distributions to shareholders		(36,958,153	)		(30,677,844	)		(9,810,451	)		(7,872,030	)		(23,000,665	)		(19,453,693	)
Capital stock transactions:
Proceeds from sale of shares		24,036,014			65,025,586			12,276,208			30,658,746			12,428,722			35,561,036
Net asset value of shares issued to shareholders in payment of distributions declared		36,944,164			30,301,890			9,810,451			7,872,030			23,000,665			19,453,693
Cost of shares redeemed		(53,931,224	)		(201,885,039	)		(18,122,677	)		(59,108,452	)		(24,133,172	)		(108,341,684	)
Change in net assets resulting from capital stock transactions		7,048,954			(106,557,563	)		3,963,982			(20,577,676	)		11,296,215			(53,326,955	)
Change in net assets		(11,795,821	)		(95,729,255	)		3,239,282			(11,125,125	)		3,974,974			(43,490,469	)
Net assets:
Beginning of period		371,676,872			467,406,127			128,989,663			140,114,788			175,393,933			218,884,402
End of period	$	359,881,051		$	371,676,872		$	132,228,945		$	128,989,663		$	179,368,907		$	175,393,933
Undistributed net investment income (distributions in excess of net investment income) included in net assets at end of period	$	(878,918	)	$	2,882,312		$	(603,779	)	$	775,028		$	(1,038,912	)	$	921,601

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

28

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (2)
In-Retirement Fund
2018(8)		$	9.39		$	0.12			$	0.08			$	0.20			$	(0.20	)		$	(0.56	)		$	(0.76	)		$	8.83		2.05	%		1.44	%		0.33	%		2.32	%		$	3,269		20	%
2017			9.54			0.18				0.39				0.57				(0.23	)			(0.49	)			(0.72	)			9.39		6.52			1.42			0.33			1.65				3,461		26
2016			10.02			0.22				0.27				0.49				(0.24	)			(0.73	)			(0.97	)			9.54		5.45			1.25			0.33			2.02				3,469		44
2015			11.05			0.24				(0.44	)			(0.20	)			(0.29	)			(0.54	)			(0.83	)			10.02		(1.94	)		1.03			0.33			1.96				4,804		53
2014			10.00			0.20				0.99				1.19				(0.12	)			(0.02	)			(0.14	)			11.05		12.03			1.08			0.33			1.92				7,120		45
2015 Fund
2018(7)(8)			11.32			0.12				0.20				0.32				(0.19	)			(0.02	)			(0.21	)			11.43		2.83			4.45			0.33			2.14				311		28
2017			10.66			0.34				0.53				0.87				(0.21	)			—				(0.21	)			11.32		8.33			4.29			0.33			1.47				411		72
2016			10.44			0.19				0.39				0.58				(0.25	)			(0.11	)			(0.36	)			10.66		5.76			4.07			0.33			1.80				689		49
2015			10.74			0.11				(0.35	)			(0.24	)			(0.06	)			—				(0.06	)			10.44		(2.27	)		4.21			0.33			1.54				632		83
2014(5)			10.00			0.02				0.72				0.74				—				—				—				10.74		7.40			73.54			0.33			1.23				229		29
2020 Fund
2018(8)			10.52			0.11				0.37				0.48				(0.20	)			(0.51	)			(0.71	)			10.29		4.54			0.62			0.33			1.98				17,015		21
2017			10.21			0.17				0.81				0.98				(0.19	)			(0.48	)			(0.67	)			10.52		10.17			0.63			0.33			1.45				17,810		23
2016			10.49			0.17				0.41				0.58				(0.22	)			(0.64	)			(0.86	)			10.21		5.96			0.63			0.33			1.67				18,913		39
2015			11.34			0.18				(0.46	)			(0.28	)			(0.25	)			(0.32	)			(0.57	)			10.49		(2.58	)		0.59			0.33			1.64				21,331		37
2014			10.00			0.18				1.35				1.53				(0.15	)			(0.04	)			(0.19	)			11.34		15.43			0.63			0.33			1.72				32,064		35
2025 Fund
2018(8)			11.61			0.10				0.55				0.65				(0.22	)			(0.13	)			(0.35	)			11.91		5.57			1.12			0.33			1.61				1,084		24
2017			10.74			0.12				1.10				1.22				(0.16	)			(0.19	)			(0.35	)			11.61		11.76			1.04			0.33			1.12				933		31
2016			10.42			0.15				0.44				0.59				(0.18	)			(0.09	)			(0.27	)			10.74		5.78			1.01			0.33			1.78				674		33
2015			10.78			0.06				(0.37	)			(0.31	)			(0.05	)			—				(0.05	)			10.42		(2.89	)		1.26			0.33			1.04				1,676		53
2014(5)			10.00			0.01				0.77				0.78				—				—				—				10.78		7.80			24.60			0.33			0.56				289		22
2030 Fund
2018(8)			11.55			0.12				0.62				0.74				(0.18	)			(0.42	)			(0.60	)			11.69		6.40			0.59			0.37			1.66				18,239		18
2017			10.79			0.15				1.18				1.33				(0.15	)			(0.42	)			(0.57	)			11.55		12.89			0.61			0.37			1.25				19,498		25
2016			10.84			0.14				0.45				0.59				(0.18	)			(0.46	)			(0.64	)			10.79		5.75			0.61			0.37			1.37				19,681		33
2015			11.61			0.15				(0.49	)			(0.34	)			(0.18	)			(0.25	)			(0.43	)			10.84		(3.07	)		0.59			0.37			1.30				23,332		45
2014			10.00			0.15				1.66				1.81				(0.18	)			(0.02	)			(0.20	)			11.61		18.26			0.66			0.37			1.40				33,059		29
2035 Fund
2018(8)			11.70			0.11				0.70				0.81				(0.23	)			(0.55	)			(0.78	)			11.73		7.03			1.62			0.37			1.54				719		23
2017			10.73			0.10				1.33				1.43				(0.14	)			(0.32	)			(0.46	)			11.70		13.85			1.13			0.37			0.91				734		32
2016			10.33			0.10				0.49				0.59				(0.15	)			(0.04	)			(0.19	)			10.73		5.84			1.02			0.37			1.35				659		29
2015			10.71			0.01				(0.38	)			(0.37	)			(0.01	)			—				(0.01	)			10.33		(3.43	)		1.29			0.37			0.26				870		96
2014(5)			10.00			0.00				0.71				0.71				—				—				—				10.71		7.10			23.63			0.37			0.16				348		29
2040 Fund
2018(8)			11.56			0.11				0.74				0.85				(0.19	)			(0.91	)			(1.10	)			11.31		7.41			0.72			0.36			1.55				10,504		16
2017			10.68			0.16				1.32				1.48				(0.13	)			(0.47	)			(0.60	)			11.56		14.59			0.73			0.36			1.30				11,098		24
2016			10.92			0.12				0.47				0.59				(0.16	)			(0.67	)			(0.83	)			10.68		5.74			0.71			0.36			1.18				13,370		31
2015			11.75			0.12				(0.51	)			(0.39	)			(0.20	)			(0.24	)			(0.44	)			10.92		(3.46	)		0.67			0.36			1.14				12,852		36
2014			10.00			0.14				1.82				1.96				(0.19	)			(0.02	)			(0.21	)			11.75		19.81			0.76			0.36			1.45				18,090		22
2045 Fund
2018(8)			11.93			0.12				0.77				0.89				(0.21	)			(0.55	)			(0.76	)			12.06		7.45			2.38			0.36			1.60				824		26
2017(7)			10.92			0.11				1.41				1.52				(0.13	)			(0.38	)			(0.51	)			11.93		14.58			1.72			0.36			1.03				911		31
2016			10.48			0.09				0.53				0.62				(0.15	)			(0.03	)			(0.18	)			10.92		6.02			1.53			0.36			1.33				868		32
2015			10.84			(0.01	)			(0.34	)			(0.35	)			(0.01	)			—				(0.01	)			10.48		(3.27	)		2.14			0.36			0.26				1,142		95
2014(5)			10.00			0.00				0.84				0.84				—				—				—				10.84		8.40			33.37			0.36			0.04				154		35

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

29

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
2050 Fund
2018(8)		$	11.99		$	0.11		$	0.78			$	0.89			$	(0.20	)		$	(0.35	)		$	(0.55	)		$	12.33		7.46	%		0.82	%		0.36	%		1.53	%		$	7,970		16	%
2017			11.05			0.21			1.34				1.55				(0.13	)			(0.48	)			(0.61	)			11.99		14.67			0.85			0.36			1.55				8,400		27
2016			10.96			0.13			0.50				0.63				(0.16	)			(0.38	)			(0.54	)			11.05		5.98			0.86			0.36			1.15				10,382		29
2015			11.76			0.12			(0.50	)			(0.38	)			(0.19	)			(0.23	)			(0.42	)			10.96		(3.37	)		0.84			0.36			1.06				10,275		39
2014			10.00			0.14			1.81				1.95				(0.17	)			(0.02	)			(0.19	)			11.76		19.69			1.08			0.36			1.36				11,231		28
2055 Fund
2018(7)(8)			11.90			0.08			0.81				0.89				(0.15	)			(0.19	)			(0.34	)			12.45		7.51			2.34			0.36			1.27				345		18
2017			10.85			0.11			1.40				1.51				(0.12	)			(0.34	)			(0.46	)			11.90		14.39			2.56			0.36			0.91				551		56
2016			10.41			0.09			0.54				0.63				(0.13	)			(0.06	)			(0.19	)			10.85		6.15			3.32			0.36			1.46				410		38
2015			10.85			0.06			(0.42	)			(0.36	)			(0.06	)			(0.02	)			(0.08	)			10.41		(3.33	)		6.91			0.36			0.57				1,049		61
2014(5)			10.00			0.00			0.85				0.85				—				—				—				10.85		8.50			50.05			0.36			0.07				143		123
Conservative Allocation Fund
2018(7)(8)			10.02			0.09			(0.02	)			0.07				(0.40	)			(1.13	)			(1.53	)			8.56		0.50			0.75			0.33			1.95				14,206		18
2017			9.80			0.18			0.28				0.46				(0.24	)			(0.00	)			(0.24	)			10.02		4.83			0.58			0.33			1.55				15,531		40
2016			9.76			0.25			0.21				0.46				(0.23	)			(0.19	)			(0.42	)			9.80		4.98			0.56			0.33			2.23				17,919		31
2015			10.14			0.20			(0.34	)			(0.14	)			(0.16	)			(0.08	)			(0.24	)			9.76		(1.37	)		0.57			0.33			1.97				23,598		39
2014(6)			10.00			0.03			0.11				0.14				—				—				—				10.14		1.40			0.60			0.33			1.17				25,931		10
Moderate Allocation Fund
2018(8)			10.08			0.09			0.18				0.27				(0.19	)			(0.46	)			(0.65	)			9.70		2.61			0.60			0.30			1.86				8,284		19
2017			9.72			0.17			0.55				0.72				(0.22	)			(0.14	)			(0.36	)			10.08		7.59			0.58			0.30			1.43				7,777		39
2016			9.78			0.24			0.23				0.47				(0.20	)			(0.33	)			(0.53	)			9.72		5.13			0.56			0.30			1.92				13,119		38
2015			10.20			0.17			(0.36	)			(0.19	)			(0.17	)			(0.06	)			(0.23	)			9.78		(1.89	)		0.57			0.30			1.72				22,595		30
2014(6)			10.00			0.04			0.16				0.20				—				—				—				10.20		2.00			0.60			0.30			1.60				24,928		8
Balanced Allocation Fund
2018(8)			9.65			0.09			0.38				0.47				(0.18	)			(0.81	)			(0.99	)			9.13		4.84			0.49			0.33			1.68				101,026		17
2017			9.42			0.13			0.79				0.92				(0.18	)			(0.51	)			(0.69	)			9.65		10.33			0.48			0.33			1.19				101,517		35
2016			9.78			0.15			0.32				0.47				(0.17	)			(0.66	)			(0.83	)			9.42		5.23			0.47			0.33			1.54				110,814		33
2015			10.26			0.15			(0.39	)			(0.24	)			(0.17	)			(0.07	)			(0.24	)			9.78		(2.41	)		0.47			0.33			1.38				157,207		29
2014(6)			10.00			0.03			0.23				0.26				—				—				—				10.26		2.60			0.47			0.33			1.14				184,860		6
Growth Allocation Fund
2018(8)			10.23			0.09			0.62				0.71				(0.18	)			(0.58	)			(0.76	)			10.18		6.95			0.57			0.30			1.59				16,280		19
2017			9.57			0.10			1.11				1.21				(0.12	)			(0.43	)			(0.55	)			10.23		13.27			0.57			0.30			1.10				16,758		42
2016			9.82			0.12			0.37				0.49				(0.16	)			(0.58	)			(0.74	)			9.57		5.28			0.56			0.30			1.22				24,691		38
2015			10.31			0.11			(0.41	)			(0.30	)			(0.16	)			(0.03	)			(0.19	)			9.82		(2.95	)		0.57			0.30			1.10				43,023		20
2014(6)			10.00			0.02			0.29				0.31				—				—				—				10.31		3.10			0.60			0.30			0.73				46,520		6
Aggressive Allocation Fund
2018(8)			10.01			0.10			0.77				0.87				(0.19	)			(1.13	)			(1.32	)			9.56		8.78			0.54			0.33			1.61				39,495		17
2017			9.56			0.11			1.27				1.38				(0.10	)			(0.83	)			(0.93	)			10.01		15.60			0.53			0.33			1.03				37,632		33
2016			9.85			0.10			0.38				0.48				(0.13	)			(0.64	)			(0.77	)			9.56		5.14			0.52			0.33			1.04				52,260		33
2015			10.36			0.12			(0.41	)			(0.29	)			(0.18	)			(0.04	)			(0.22	)			9.85		(2.79	)		0.53			0.34			0.73				83,064		44
2014(6)			10.00			0.01			0.35				0.36				—				—				—				10.36		3.60			0.58			0.36			0.42				63,049		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Calculated using the average shares method.

(8) For the six months ended February 28, 2018 (Unaudited).

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

30

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

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)			Net investment income (2)
Conservative Allocation Fund
2018(6)(7)		$	10.02		$	0.08		$	0.00			$	0.08			$	(0.13	)		$	(1.13	)		$	(1.26	)		$	8.84		0.63	%		0.50	%		0.08	%		1.68	%		$	1,323		18	%
2017			9.81			0.18			0.30				0.48				(0.27	)			(0.00	)			(0.27	)			10.02		5.07			0.33			0.08			1.78				26,464		40
2016			9.77			0.24			0.25				0.49				(0.26	)			(0.19	)			(0.45	)			9.81		5.29			0.31			0.08			2.46				29,479		31
2015			10.15			0.23			(0.35	)			(0.12	)			(0.17	)			(0.09	)			(0.26	)			9.77		(1.22	)		0.32			0.08			2.23				29,104		39
2014(5)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.35			0.08			1.41				29,082		10
Moderate Allocation Fund
2018(6)(7)			10.08			0.10			0.18				0.28				(0.20	)			(0.46	)			(0.66	)			9.70		2.79			0.35			0.05			1.92				5,743		19
2017			9.73			0.17			0.57				0.74				(0.25	)			(0.14	)			(0.39	)			10.08		7.82			0.33			0.05			1.66				9,375		39
2016			9.79			0.23			0.28				0.51				(0.24	)			(0.33	)			(0.57	)			9.73		5.50			0.31			0.05			2.15				11,990		38
2015			10.21			0.21			(0.38	)			(0.17	)			(0.18	)			(0.07	)			(0.25	)			9.79		(1.75	)		0.32			0.05			1.95				16,112		30
2014(5)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.35			0.05			1.82				17,704		8
Balanced Allocation Fund
2018(6)(7)			9.66			0.10			0.38				0.48				(0.20	)			(0.81	)			(1.01	)			9.13		4.94			0.24			0.08			2.06				46,385		17
2017			9.43			0.13			0.81				0.94				(0.20	)			(0.51	)			(0.71	)			9.66		10.67			0.23			0.08			1.42				52,821		35
2016			9.79			0.17			0.33				0.50				(0.20	)			(0.66	)			(0.86	)			9.43		5.54			0.22			0.08			1.73				74,515		33
2015			10.26			0.17			(0.39	)			(0.22	)			(0.19	)			(0.06	)			(0.25	)			9.79		(2.17	)		0.22			0.08			1.59				81,475		29
2014(5)			10.00			0.04			0.22				0.26				—				—				—				10.26		2.60			0.22			0.08			1.39				79,584		6
Growth Allocation Fund
2018(6)			10.23			0.11			0.62				0.73				(0.21	)			(0.58	)			(0.79	)			10.17		7.16			0.32			0.05			1.87				8,639		19
2017			9.58			0.09			1.14				1.23				(0.15	)			(0.43	)			(0.58	)			10.23		13.51			0.32			0.05			1.15				8,969		42
2016			9.84			0.14			0.37				0.51				(0.19	)			(0.58	)			(0.77	)			9.58		5.50			0.31			0.05			1.48				9,696		38
2015			10.32			0.15			(0.42	)			(0.27	)			(0.18	)			(0.03	)			(0.21	)			9.84		(2.72	)		0.32			0.05			1.32				15,252		20
2014(5)			10.00			0.02			0.30				0.32				—				—				—				10.32		3.20			0.35			0.05			0.96				18,598		6
Aggressive Allocation Fund
2018(6)			10.00			0.11			0.78				0.89				(0.21	)			(1.13	)			(1.34	)			9.55		9.01			0.29			0.08			1.76				13,948		17
2017			9.57			0.14			1.25				1.39				(0.13	)			(0.83	)			(0.96	)			10.00		15.79			0.28			0.08			1.29				14,685		33
2016			9.87			0.11			0.39				0.50				(0.16	)			(0.64	)			(0.80	)			9.57		5.41			0.27			0.08			1.31				24,026		33
2015			10.37			0.14			(0.40	)			(0.26	)			(0.19	)			(0.05	)			(0.24	)			9.87		(2.55	)		0.28			0.09			1.06				31,770		44
2014(5)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.33			0.11			0.66				27,401		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

(5) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(6) For the six months ended February 28, 2018 (Unaudited).

(7) Calculated using the average shares method.

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

31

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
In-Retirement Fund
2018(8)		$	9.42		$	0.08			$	0.10			$	0.18			$	(0.17	)		$	(0.56	)		$	(0.73	)		$	8.87		1.82	%		1.69	%		0.58	%		2.16	%		$	773		20	%
2017			9.54			0.32				0.25				0.57				(0.20	)			(0.49	)			(0.69	)			9.42		6.39			1.67			0.58			1.57				634		26
2016			10.01			0.19				0.28				0.47				(0.21	)			(0.73	)			(0.94	)			9.54		5.19			1.50			0.58			1.77				1,720		44
2015			11.03			0.19				(0.42	)			(0.23	)			(0.26	)			(0.53	)			(0.79	)			10.01		(2.24	)		1.28			0.58			1.76				2,149		53
2014			10.00			0.19				0.98				1.17				(0.12	)			(0.02	)			(0.14	)			11.03		11.74			1.33			0.58			1.64				4,283		45
2015 Fund
2018(8)			11.30			0.11				0.19				0.30				(0.21	)			(0.02	)			(0.23	)			11.37		2.65			4.70			0.58			2.01				115		28
2017			10.65			0.14				0.70				0.84				(0.19	)			—				(0.19	)			11.30		8.07			4.54			0.58			1.31				114		72
2016			10.41			0.26				0.30				0.56				(0.21	)			(0.11	)			(0.32	)			10.65		5.57			4.32			0.58			1.75				136		49
2015			10.72			0.09				(0.36	)			(0.27	)			(0.04	)			—				(0.04	)			10.41		(2.50	)		4.46			0.58			1.33				221		83
2014(5)			10.00			0.03				0.69				0.72				—				—				—				10.72		7.20			73.79			0.58			1.18				105		29
2020 Fund
2018(7)(8)			10.53			0.10				0.36				0.46				(0.16	)			(0.51	)			(0.67	)			10.32		4.33			0.87			0.58			1.87				5,254		21
2017			10.22			0.16				0.79				0.95				(0.16	)			(0.48	)			(0.64	)			10.53		9.87			0.88			0.58			1.32				6,813		23
2016			10.48			0.17				0.39				0.56				(0.18	)			(0.64	)			(0.82	)			10.22		5.74			0.88			0.58			1.44				11,985		39
2015			11.33			0.17				(0.48	)			(0.31	)			(0.22	)			(0.32	)			(0.54	)			10.48		(2.88	)		0.84			0.58			1.39				15,177		37
2014			10.00			0.15				1.36				1.51				(0.14	)			(0.04	)			(0.18	)			11.33		15.23			0.88			0.58			1.28				23,025		35
2025 Fund
2018(7)(8)			11.56			0.12				0.50				0.62				—				(0.13	)			(0.13	)			12.05		5.38			1.37			0.58			2.05				90		24
2017			10.69			0.24				0.97				1.21				(0.15	)			(0.19	)			(0.34	)			11.56		11.66			1.29			0.58			1.17				150		31
2016			10.38			0.14				0.42				0.56				(0.16	)			(0.09	)			(0.25	)			10.69		5.49			1.26			0.58			1.30				1,053		33
2015			10.76			0.03				(0.36	)			(0.33	)			(0.05	)			—				(0.05	)			10.38		(3.06	)		1.51			0.58			0.74				1,388		53
2014(5)			10.00			0.04				0.72				0.76				—				—				—				10.76		7.60			24.85			0.58			0.59				2		22
2030 Fund
2018(8)			11.55			0.11				0.60				0.71				(0.13	)			(0.42	)			(0.55	)			11.71		6.18			0.84			0.62			1.58				5,567		18
2017			10.78			0.14				1.17				1.31				(0.12	)			(0.42	)			(0.54	)			11.55		12.70			0.86			0.62			1.13				6,316		25
2016			10.82			0.12				0.45				0.57				(0.15	)			(0.46	)			(0.61	)			10.78		5.53			0.86			0.62			1.15				9,875		33
2015			11.59			0.13				(0.51	)			(0.38	)			(0.14	)			(0.25	)			(0.39	)			10.82		(3.39	)		0.84			0.62			1.09				12,812		45
2014			10.00			0.13				1.65				1.78				(0.17	)			(0.02	)			(0.19	)			11.59		17.98			0.91			0.62			1.21				20,329		29
2035 Fund
2018(7)(8)			11.63			0.07				0.73				0.80				(0.06	)			(0.55	)			(0.61	)			11.82		6.96			1.87			0.62			1.25				93		23
2017			10.67			0.11				1.29				1.40				(0.12	)			(0.32	)			(0.44	)			11.63		13.59			1.38			0.62			0.99				120		32
2016			10.27			0.12				0.44				0.56				(0.12	)			(0.04	)			(0.16	)			10.67		5.55			1.27			0.62			1.06				492		29
2015			10.68			(0.03	)			(0.36	)			(0.39	)			(0.02	)			—				(0.02	)			10.27		(3.65	)		1.54			0.62			(0.13	)			734		96
2014 (5)			10.00			0.01				0.67				0.68				—				—				—				10.68		6.80			23.88			0.62			0.19				3		29
2040 Fund
2018(8)			11.57			0.09				0.75				0.84				(0.14	)			(0.91	)			(1.05	)			11.36		7.34			0.97			0.61			1.40				2,482		16
2017			10.69			0.19				1.26				1.45				(0.10	)			(0.47	)			(0.57	)			11.57		14.17			0.98			0.61			1.22				2,555		24
2016			10.91			0.12				0.44				0.56				(0.11	)			(0.67	)			(0.78	)			10.69		5.48			0.96			0.61			1.06				4,991		31
2015			11.72			0.10				(0.50	)			(0.40	)			(0.17	)			(0.24	)			(0.41	)			10.91		(3.57	)		0.92			0.61			0.92				7,748		36
2014			10.00			0.11				1.82				1.93				(0.19	)			(0.02	)			(0.21	)			11.72		19.42			1.01			0.61			0.97				11,429		22
2045 Fund
2018(8)			11.87			0.09				0.78				0.87				—				(0.55	)			(0.55	)			12.19		7.32			2.63			0.61			1.48				56		26
2017(7)			10.87			0.09				1.41				1.50				(0.12	)			(0.38	)			(0.50	)			11.87		14.35			1.97			0.61			0.80				53		31
2016			10.42			0.13				0.46				0.59				(0.11	)			(0.03	)			(0.14	)			10.87		5.74			1.78			0.61			1.02				426		32
2015			10.82			(0.07	)			(0.31	)			(0.38	)			(0.02	)			—				(0.02	)			10.42		(3.53	)		2.39			0.61			(0.90	)			746		95
2014(5)			10.00			0.00				0.82				0.82				—				—				—				10.82		8.20			33.62			0.61			0.01				3		35

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

32

Financial Highlights—Retirement Class R-3 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income (loss)				Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																		Gross Expenses			Net Expenses (2)			Net investment income (loss) (2)
2050 Fund
2018(8)		$	11.97		$	0.10			$	0.78			$	0.88			$	(0.16	)		$	(0.35	)		$	(0.51	)		$	12.34		7.37	%		1.07	%		0.61	%		1.38	%		$	2,895		16	%
2017			11.04			0.14				1.38				1.52				(0.11	)			(0.48	)			(0.59	)			11.97		14.38			1.10			0.61			1.07				3,115		27
2016			10.95			0.10				0.50				0.60				(0.13	)			(0.38	)			(0.51	)			11.04		5.66			1.11			0.61			0.98				4,515		29
2015			11.74			0.09				(0.50	)			(0.41	)			(0.15	)			(0.23	)			(0.38	)			10.95		(3.57	)		1.09			0.61			0.81				5,072		39
2014			10.00			0.11				1.82				1.93				(0.17	)			(0.02	)			(0.19	)			11.74		19.40			1.33			0.61			0.87				6,826		28
2055 Fund
2018(8)			11.83			(0.11	)			0.97				0.86				(0.17	)			(0.19	)			(0.36	)			12.33		7.30			2.59			0.61			1.95				92		18
2017			10.80			0.07				1.41				1.48				(0.11	)			(0.34	)			(0.45	)			11.83		14.22			2.81			0.61			1.09				94		56
2016			10.38			0.09				0.50				0.59				(0.11	)			(0.06	)			(0.17	)			10.80		5.73			3.57			0.61			0.82				477		38
2015			10.84			0.03				(0.41	)			(0.38	)			(0.06	)			(0.02	)			(0.08	)			10.38		(3.55	)		7.16			0.61			0.14				395		61
2014(5)			10.00			0.01				0.83				0.84				—				—				—				10.84		8.40			50.30			0.61			0.44				54		123
Conservative Allocation Fund
2018(7)(8)			10.01			0.08				(0.03	)			0.05				(0.20	)			(1.13	)			(1.33	)			8.73		0.32			1.00			0.58			1.68				978		18
2017			9.80			0.13				0.30				0.43				(0.22	)			(0.00	)			(0.22	)			10.01		4.52			0.83			0.58			1.34				3,012		40
2016			9.74			0.21				0.24				0.45				(0.20	)			(0.19	)			(0.39	)			9.80		4.82			0.81			0.58			1.97				6,802		31
2015			10.14			0.20				(0.37	)			(0.17	)			(0.15	)			(0.08	)			(0.23	)			9.74		(1.72	)		0.82			0.58			1.74				7,624		39
2014(6)			10.00			0.02				0.12				0.14				—				—				—				10.14		1.40			0.85			0.58			0.91				11,583		10
Moderate Allocation Fund
2018(8)			10.08			0.08				0.17				0.25				(0.17	)			(0.46	)			(0.63	)			9.70		2.43			0.85			0.55			1.61				13,852		19
2017			9.72			0.11				0.58				0.69				(0.19	)			(0.14	)			(0.33	)			10.08		7.37			0.83			0.55			1.10				13,725		39
2016			9.76			0.26				0.19				0.45				(0.16	)			(0.33	)			(0.49	)			9.72		4.90			0.81			0.55			1.65				12,695		38
2015			10.20			0.15				(0.37	)			(0.22	)			(0.16	)			(0.06	)			(0.22	)			9.76		(2.23	)		0.82			0.55			1.45				22,279		30
2014 (6)			10.00			0.03				0.17				0.20				—				—				—				10.20		2.00			0.85			0.55			1.33				19,949		8
Balanced Allocation Fund
2018(8)			9.64			0.08				0.37				0.45				(0.14	)			(0.81	)			(0.95	)			9.14		4.68			0.74			0.58			1.44				19,129		17
2017			9.40			0.09				0.80				0.89				(0.14	)			(0.51	)			(0.65	)			9.64		10.11			0.73			0.58			0.92				23,649		35
2016			9.76			0.13				0.31				0.44				(0.14	)			(0.66	)			(0.80	)			9.40		4.94			0.72			0.58			1.28				29,095		33
2015			10.25			0.12				(0.38	)			(0.26	)			(0.16	)			(0.07	)			(0.23	)			9.76		(2.64	)		0.72			0.58			1.15				38,677		29
2014(6)			10.00			0.02				0.23				0.25				—				—				—				10.25		2.50			0.72			0.58			0.89				44,647		6
Growth Allocation Fund
2018 (8)			10.22			0.08				0.61				0.69				(0.15	)			(0.58	)			(0.73	)			10.18		6.80			0.82			0.55			1.36				18,309		19
2017			9.55			0.10				1.08				1.18				(0.08	)			(0.43	)			(0.51	)			10.22		12.96			0.82			0.55			0.85				18,846		42
2016			9.81			0.09				0.37				0.46				(0.14	)			(0.58	)			(0.72	)			9.55		4.95			0.81			0.55			0.91				25,876		38
2015			10.30			0.09				(0.40	)			(0.31	)			(0.15	)			(0.03	)			(0.18	)			9.81		(3.10	)		0.82			0.55			0.83				28,903		20
2014(6)			10.00			0.01				0.29				0.30				—				—				—				10.30		3.00			0.85			0.55			0.46				31,065		6
Aggressive Allocation Fund
2018(8)			9.98			0.08				0.78				0.86				(0.16	)			(1.13	)			(1.29	)			9.55		8.69			0.79			0.58			1.38				17,088		17
2017			9.55			0.06				1.29				1.35				(0.09	)			(0.83	)			(0.92	)			9.98		15.24			0.78			0.58			0.63				17,152		33
2016			9.84			0.07				0.38				0.45				(0.10	)			(0.64	)			(0.74	)			9.55		4.87			0.77			0.58			0.77				19,395		33
2015			10.35			0.10				(0.40	)			(0.30	)			(0.17	)			(0.04	)			(0.21	)			9.84		(2.94	)		0.78			0.59			0.48				22,578		44
2014(6)			10.00			0.00				0.35				0.35				—				—				—				10.35		3.50			0.83			0.61			0.16				16,200		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Calculated using the average shares method.

(8) For the six months ended February 28, 2018 (Unaudited).

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

33

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
In-Retirement Fund
2018(9)		$	9.40		$	0.13		$	0.07			$	0.20			$	(0.23	)		$	(0.56	)		$	(0.79	)		$	8.81		2.14	%		1.04	%		0.00	%		2.76	%		$	11,235		20	%
2017			9.55			0.22			0.40				0.62				(0.28	)			(0.49	)			(0.77	)			9.40		7.04			1.02			0.00			2.11				10,885		26
2016			10.05			0.26			0.27				0.53				(0.30	)			(0.73	)			(1.03	)			9.55		5.85			0.85			0.00			2.37				16,406		44
2015			11.08			0.29			(0.45	)			(0.16	)			(0.34	)			(0.53	)			(0.87	)			10.05		(1.54	)		0.63			0.00			2.35				16,611		53
2014			10.00			0.25			0.99				1.24				(0.14	)			(0.02	)			(0.16	)			11.08		12.47			0.68			0.00			2.31				20,128		45
2015 Fund
2018(9)			11.39			0.16			0.19				0.35				(0.29	)			(0.02	)			(0.31	)			11.43		3.05			4.05			0.00			2.67				3,293		28
2017			10.73			0.19			0.73				0.92				(0.26	)			—				(0.26	)			11.39		8.80			3.89			0.00			1.97				3,390		72
2016			10.50			0.25			0.38				0.63				(0.29	)			(0.11	)			(0.40	)			10.73		6.22			3.67			0.00			2.21				3,744		49
2015			10.78			0.13			(0.34	)			(0.21	)			(0.07	)			—				(0.07	)			10.50		(1.92	)		3.81			0.00			1.94				4,234		83
2014(5)			10.00			0.08			0.70				0.78				—				—				—				10.78		7.80			73.14			0.00			1.75				174		29
2020 Fund
2018(9)			10.54			0.13			0.36				0.49				(0.24	)			(0.51	)			(0.75	)			10.28		4.67			0.22			0.00			2.44				59,028		21
2017			10.23			0.19			0.83				1.02				(0.23	)			(0.48	)			(0.71	)			10.54		10.66			0.23			0.00			1.76				56,024		23
2016			10.52			0.21			0.41				0.62				(0.27	)			(0.64	)			(0.91	)			10.23		6.39			0.23			0.00			2.01				62,358		39
2015			11.38			0.25			(0.50	)			(0.25	)			(0.29	)			(0.32	)			(0.61	)			10.52		(2.28	)		0.19			0.00			1.98				53,085		37
2014			10.00			0.22			1.36				1.58				(0.16	)			(0.04	)			(0.20	)			11.38		15.98			0.23			0.00			1.97				59,502		35
2025 Fund
2018(9)			11.68			0.14			0.53				0.67				(0.26	)			(0.13	)			(0.39	)			11.96		5.76			0.72			0.00			2.28				23,489		24
2017			10.81			0.17			1.11				1.28				(0.22	)			(0.19	)			(0.41	)			11.68		12.20			0.64			0.00			1.75				20,473		31
2016			10.48			0.19			0.44				0.63				(0.21	)			(0.09	)			(0.30	)			10.81		6.15			0.61			0.00			1.83				28,905		33
2015			10.81			0.09			(0.35	)			(0.26	)			(0.07	)			—				(0.07	)			10.48		(2.45	)		0.86			0.00			1.48				26,042		53
2014(5)			10.00			0.05			0.76				0.81				—				—				—				10.81		8.10			24.20			0.00			1.39				1,363		22
2030 Fund
2018(9)			11.57			0.13			0.63				0.76				(0.23	)			(0.42	)			(0.65	)			11.68		6.59			0.19			0.00			2.17				74,466		18
2017			10.81			0.16			1.22				1.38				(0.20	)			(0.42	)			(0.62	)			11.57		13.38			0.21			0.00			1.48				66,995		25
2016			10.87			0.19			0.45				0.64				(0.24	)			(0.46	)			(0.70	)			10.81		6.21			0.21			0.00			1.66				73,828		33
2015			11.64			0.16			(0.46	)			(0.30	)			(0.22	)			(0.25	)			(0.47	)			10.87		(2.70	)		0.19			0.00			1.57				60,302		45
2014			10.00			0.19			1.66				1.85				(0.19	)			(0.02	)			(0.21	)			11.64		18.70			0.26			0.00			1.50				48,829		29
2035 Fund
2018(9)			11.77			0.15			0.70				0.85				(0.29	)			(0.55	)			(0.84	)			11.78		7.30			1.22			0.00			2.12				12,493		23
2017			10.79			0.14			1.34				1.48				(0.18	)			(0.32	)			(0.50	)			11.77		14.31			0.73			0.00			1.70				12,216		32
2016			10.38			0.17			0.47				0.64				(0.19	)			(0.04	)			(0.23	)			10.79		6.26			0.62			0.00			1.57				30,132		29
2015			10.73			0.04			(0.36	)			(0.32	)			(0.03	)			—				(0.03	)			10.38		(2.99	)		0.89			0.00			0.97				27,613		96
2014(5)			10.00			0.04			0.69				0.73				—				—				—				10.73		7.30			23.23			0.00			1.06				1,201		29
2040 Fund
2018(9)			11.58			0.13			0.74				0.87				(0.24	)			(0.91	)			(1.15	)			11.30		7.62			0.32			0.00			2.08				44,457		16
2017			10.71			0.14			1.38				1.52				(0.18	)			(0.47	)			(0.65	)			11.58		14.98			0.33			0.00			1.40				38,944		24
2016			10.96			0.17			0.46				0.63				(0.21	)			(0.67	)			(0.88	)			10.71		6.17			0.31			0.00			1.51				48,219		31
2015			11.78			0.16			(0.50	)			(0.34	)			(0.24	)			(0.24	)			(0.48	)			10.96		(2.98	)		0.27			0.00			1.45				40,193		36
2014			10.00			0.18			1.83				2.01				(0.21	)			(0.02	)			(0.23	)			11.78		20.26			0.36			0.00			1.39				39,760		22
2045 Fund
2018(9)			12.00			0.14			0.78				0.92				(0.26	)			(0.55	)			(0.81	)			12.11		7.72			1.98			0.00			2.06				7,523		26
2017(8)			10.98			0.15			1.43				1.58				(0.18	)			(0.38	)			(0.56	)			12.00		15.08			1.32			0.00			1.71				6,964		31
2016			10.53			0.16			0.50				0.66				(0.18	)			(0.03	)			(0.21	)			10.98		6.38			1.13			0.00			1.48				15,877		32
2015			10.87			0.03			(0.35	)			(0.32	)			(0.02	)			—				(0.02	)			10.53		(2.91	)		1.74			0.00			0.85				13,046		95
2014(5)			10.00			0.04			0.83				0.87				—				—				—				10.87		8.70			32.97			0.00			0.93				895		35

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

34

Financial Highlights—Retirement Class R-6 of Shares (For a share outstanding throughout each period)

Period Ended August 31,	Net asset value, beginning of period			Net investment income			Net realized and unrealized gain (loss)				Total from investment operations				Distributions to shareholders from net investment income				Distributions to shareholders from net realized gain				Total distributions				Net asset value, end of period			Total return (1)(3)			Ratios to Average Net Assets (4)									Net assets, end of period (000 omitted)			Portfolio turnover rate (3)
																																	Gross Expenses			Net Expenses (2)(7)			Net investment income (2)
2050 Fund
2018(9)		$	12.00		$	0.13		$	0.79			$	0.92			$	(0.25	)		$	(0.35	)		$	(0.60	)		$	12.32		7.74	%		0.42	%		0.00	%		2.07	%		$	32,138		16	%
2017			11.08			0.14			1.45				1.59				(0.19	)			(0.48	)			(0.67	)			12.00		15.09			0.45			0.00			1.28				28,173		27
2016			11.00			0.17			0.50				0.67				(0.21	)			(0.38	)			(0.59	)			11.08		6.37			0.46			0.00			1.48				30,317		29
2015			11.80			0.14			(0.48	)			(0.34	)			(0.23	)			(0.23	)			(0.46	)			11.00		(2.99	)		0.44			0.00			1.37				22,487		39
2014			10.00			0.18			1.83				2.01				(0.19	)			(0.02	)			(0.21	)			11.80		20.24			0.68			0.00			1.39				17,346		28
2055 Fund
2018(9)			11.97			0.13			0.80				0.93				(0.25	)			(0.19	)			(0.44	)			12.46		7.76			1.94			0.00			2.06				8,601		18
2017			10.91			0.16			1.41				1.57				(0.17	)			(0.34	)			(0.51	)			11.97		14.93			2.16			0.00			1.53				6,561		56
2016			10.47			0.15			0.51				0.66				(0.16	)			(0.06	)			(0.22	)			10.91		6.43			2.92			0.00			1.30				6,866		38
2015			10.89			0.07			(0.39	)			(0.32	)			(0.08	)			(0.02	)			(0.10	)			10.47		(2.96	)		6.51			0.00			0.90				2,809		61
2014(5)			10.00			0.03			0.86				0.89				—				—				—				10.89		8.90			49.65			0.00			0.84				477		123
Conservative Allocation Fund
2018(8)(9)			10.03			0.11			(0.02	)			0.09				(0.44	)			(1.13	)			(1.57	)			8.55		0.75			0.35			0.00			2.33				26,433		18
2017			9.82			0.27			0.23				0.50				(0.29	)			(0.00	)			(0.29	)			10.03		5.22			0.18			0.00			1.96				28,927		40
2016			9.79			0.25			0.24				0.49				(0.27	)			(0.19	)			(0.46	)			9.82		5.34			0.16			0.00			2.61				88,818		31
2015			10.15			0.25			(0.34	)			(0.09	)			(0.19	)			(0.08	)			(0.27	)			9.79		(0.94	)		0.17			0.00			2.38				86,637		39
2014(6)			10.00			0.04			0.11				0.15				—				—				—				10.15		1.50			0.20			0.00			1.57				92,207		10
Moderate Allocation Fund
2018(9)			10.09			0.12			0.16				0.28				(0.23	)			(0.46	)			(0.69	)			9.68		2.78			0.20			0.00			2.27				78,951		19
2017			9.74			0.21			0.54				0.75				(0.26	)			(0.14	)			(0.40	)			10.09		8.02			0.18			0.00			1.83				80,283		39
2016			9.80			0.22			0.30				0.52				(0.25	)			(0.33	)			(0.58	)			9.74		5.67			0.16			0.00			2.27				101,327		38
2015			10.21			0.21			(0.37	)			(0.16	)			(0.19	)			(0.06	)			(0.25	)			9.80		(1.56	)		0.17			0.00			2.11				93,206		30
2014(6)			10.00			0.05			0.16				0.21				—				—				—				10.21		2.10			0.20			0.00			1.99				95,654		8
Balanced Allocation Fund
2018(9)			9.66			0.11			0.38				0.49				(0.22	)			(0.81	)			(1.03	)			9.12		5.05			0.09			0.00			2.10				193,341		17
2017			9.44			0.19			0.76				0.95				(0.22	)			(0.51	)			(0.73	)			9.66		10.73			0.08			0.00			1.67				193,690		35
2016			9.80			0.18			0.33				0.51				(0.21	)			(0.66	)			(0.87	)			9.44		5.70			0.07			0.00			1.87				252,982		33
2015			10.27			0.18			(0.39	)			(0.21	)			(0.19	)			(0.07	)			(0.26	)			9.80		(2.08	)		0.07			0.00			1.78				247,496		29
2014(6)			10.00			0.04			0.23				0.27				—				—				—				10.27		2.70			0.07			0.00			1.54				284,021		6
Growth Allocation Fund
2018(9)			10.24			0.11			0.63				0.74				(0.23	)			(0.58	)			(0.81	)			10.17		7.23			0.17			0.00			2.02				89,001		19
2017			9.59			0.16			1.09				1.25				(0.17	)			(0.43	)			(0.60	)			10.24		13.69			0.17			0.00			1.49				84,417		42
2016			9.85			0.15			0.37				0.52				(0.20	)			(0.58	)			(0.78	)			9.59		5.67			0.16			0.00			1.51				79,852		38
2015			10.32			0.16			(0.41	)			(0.25	)			(0.19	)			(0.03	)			(0.22	)			9.85		(2.52	)		0.17			0.00			1.47				67,727		20
2014(6)			10.00			0.03			0.29				0.32				—				—				—				10.32		3.20			0.20			0.00			1.11				56,647		6
Aggressive Allocation Fund
2018(9)			10.01			0.11			0.78				0.89				(0.23	)			(1.13	)			(1.36	)			9.54		9.02			0.14			0.00			2.01				108,838		17
2017			9.58			0.15			1.26				1.41				(0.15	)			(0.83	)			(0.98	)			10.01		16.00			0.13			0.00			1.43				105,925		33
2016			9.88			0.14			0.38				0.52				(0.18	)			(0.64	)			(0.82	)			9.58		5.58			0.12			0.00			1.38				123,203		33
2015			10.37			0.17			(0.41	)			(0.24	)			(0.21	)			(0.04	)			(0.25	)			9.88		(2.37	)		0.12			0.00			1.12				113,933		44
2014(6)			10.00			0.02			0.35				0.37				—				—				—				10.37		3.70			0.18			0.00			0.82				73,040		3

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

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

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

(4) Annualized for periods less than one year. Excludes acquired fund fees and expenses of underlying funds.

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

(6) Reflects operations for the period from May 30, 2014 (inception date) to August 31, 2014.

(7) Please refer to Note 5, subsection Investment Adviser Fee and Other Transactions with Affiliates, in the Notes to Financial Statements.

(8) Calculated using the average shares method.

(9) For the six months ended February 28, 2018 (Unaudited).

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

35

February 28, 2018 (Unaudited)

Notes to Financial Statements BMO Funds

1. Organization

BMO Funds, Inc. (the “Corporation”) is registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. As of February 28, 2018, the Corporation consisted of 42 portfolios, including 10 target retirement and 5 target risk diversified portfolios within this semi-annual report (individually referred to as the “Fund,” or collectively as the “Funds”), each with differing share class offerings as well as 27 other portfolios whose semi-annual report is available under a separate cover. BMO Asset Management Corp. serves as the Funds’ investment adviser (the “Adviser”), a Delaware corporation headquartered in Chicago, Illinois that is a wholly-owned subsidiary of BMO Financial Corp.

BMO Fund names as displayed throughout this report	Fund Inception Date	Investment Objective
Target Retirement
In-Retirement Fund	August 30, 2013	The investment objective of each Target Retirement Fund is to achieve growth, income, and conservation of capital to varying degrees depending on its proximity to its target date. As the Fund approaches its target date, the Fund will reduce its emphasis on growth and increase its emphasis on income and preservation of capital.
2015 Fund	December 27, 2013
2020 Fund	August 30, 2013
2025 Fund	December 27, 2013
2030 Fund	August 30, 2013
2035 Fund	December 27, 2013
2040 Fund	August 30, 2013
2045 Fund	December 27, 2013
2050 Fund	August 30, 2013
2055 Fund	December 27, 2013
Target Risk
Conservative Allocation Fund	May 30, 2014	To provide total return primarily from income, secondarily from appreciation.
Moderate Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Balanced Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Growth Allocation Fund	May 30, 2014	To provide total investment return from income and appreciation.
Aggressive Allocation Fund	May 30, 2014	To provide total investment return primarily from appreciation, secondarily from income.

The target investment allocation for each of the Target Risk Funds, based on each Fund’s total assets, is set forth below.

Target Risk Fund	Equity		Fixed Income		Money Market Funds
Conservative Allocation Fund		10%–30%		70%–90%		0%–10%
Moderate Allocation Fund		30%–50%		50%–70%		0%–10%
Balanced Allocation Fund		50%–70%		30%–50%		0%–10%
Growth Allocation Fund		70%–90%		10%–30%		0%–10%
Aggressive Allocation Fund		90%–100%		0%		0%–10%

Each Fund seeks to achieve its investment objectives by investing in a mix (without limitation) of BMO Funds and unaffiliated mutual funds. The Funds are designed to provide investors with investment management, asset allocation, and ongoing reallocation over time. Each Fund is considered a “fund of funds” because it invests in other mutual funds. A fund of funds bears its own direct expenses in addition to bearing a proportionate share of expenses charged to the underlying funds in which it invests.

2. Significant Accounting Policies

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

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

Investment Valuations—Investments in other open-end registered investment companies are valued at net asset value.

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

36

BMO Funds

The Pricing Committee may determine that a security needs to be fair valued. In valuing underlying fund investments, the Funds use the NAVs reported by the underlying funds. An underlying fund may need to fair value one or more of its investments, which may, in turn, require a Fund to do the same because of delays in obtaining the underlying fund’s NAV.

Investment Income, Expenses, and Distributions—Investment income and expenses are accrued daily. The Funds distribute net investment income, if any, and net realized gains (net of any capital loss carryovers) annually. Dividend income, realized gain distributions from underlying funds, and distributions to shareholders are recorded on the ex-dividend date. Non-cash dividends included in dividend income, if any, are recorded at fair market value. Paid-in-kind interest included in interest income, if any, is accrued daily.

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

Federal Income Taxes—The policies and procedures of the Funds require compliance with Subchapter M of the Internal Revenue Code of 1986, as amended (the “Code”), and distribution to shareholders each year substantially all of their income. Accordingly, no provisions for federal tax are necessary. Withholding taxes on foreign dividends have been provided for in accordance with the applicable country’s tax rules and rates.

Securities of Other Investment Companies & Underlying Fund Investment Risk—The Funds may invest in the securities of other investment companies, including exchange-traded funds, within the limits prescribed by the 1940 Act and the rules promulgated thereunder. Investments in the securities of other investment companies may involve duplication of advisory fees and certain other expenses. By investing in another investment company, a Fund becomes a shareholder of that investment company. As a result, Fund shareholders indirectly will bear the Fund’s proportionate share of the fees and expenses paid by shareholders of the other investment company, in addition to the fees and expenses Fund shareholders directly bear in connection with the Fund’s own operations. The Funds also may invest in investment companies that are not organized under the laws of the United States. The Fund’s risks are directly related to the risks of the underlying funds. It is important to understand the risks associated with investing in the underlying funds.

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

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

3. Fair Value Measurement

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

Various inputs are used in determining the value of the Funds’ investments. The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. These inputs are summarized in the three broad levels listed below:

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

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

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

In May 2015, the Financial Accounting Standards Board (the “FASB”) issued Accounting Standard Update (“ASU”) 2015-07, Disclosures for Investments in Certain Entities That Calculate Net Asset Value per Unit (or Its Equivalent), modifying ASC 820. Under the modifications, investments in private investment funds valued at net asset value are no longer included in the fair value hierarchy. For the period ended February 28, 2018, the Funds had no investments in private investment funds, and there were no investments excluded from the fair value hierarchy. It is the Funds’ policy to recognize transfers between

37

Notes to Financial Statements (continued)

category levels at the end of the period. For the period ended February 28, 2018, there were no transfers in and out of Level 1, Level 2 and Level 3. The Funds did not hold any Level 2 or Level 3 securities as of February 28, 2018.

The following is a summary of the inputs used, as of February 28, 2018, in valuing the Funds’ assets:

	In-Retirement Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	15,082,803	$	—	$	—	$	15,082,803
Short-Term Investments		155,178		—		—		155,178
Total	$	15,237,981	$	—	$	—	$	15,237,981
	2015 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	3,651,199	$	—	$	—	$	3,651,199
Short-Term Investments		39,515		—		—		39,515
Total	$	3,690,714	$	—	$	—	$	3,690,714
	2020 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	80,659,336	$	—	$	—	$	80,659,336
Short-Term Investments		734,335		—		—		734,335
Total	$	81,393,671	$	—	$	—	$	81,393,671
	2025 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	24,346,271	$	—	$	—	$	24,346,271
Short-Term Investments		261,868		—		—		261,868
Total	$	24,608,139	$	—	$	—	$	24,608,139
	2030 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	97,298,421	$	—	$	—	$	97,298,421
Short-Term Investments		1,557,798		—		—		1,557,798
Total	$	98,856,219	$	—	$	—	$	98,856,219
	2035 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	13,066,409	$	—	$	—	$	13,066,409
Short-Term Investments		158,064		—		—		158,064
Total	$	13,224,473	$	—	$	—	$	13,224,473
	2040 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	56,781,758	$	—	$	—	$	56,781,758
Short-Term Investments		757,962		—		—		757,962
Total	$	57,539,720	$	—	$	—	$	57,539,720
	2045 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	8,250,705	$	—	$	—	$	8,250,705
Short-Term Investments		107,994		—		—		107,994
Total	$	8,358,699	$	—	$	—	$	8,358,699

	2050 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	42,527,964	$	—	$	—	$	42,527,964
Short-Term Investments		636,480		—		—		636,480
Total	$	43,164,444	$	—	$	—	$	43,164,444
	2055 Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	8,798,473	$	—	$	—	$	8,798,473
Short-Term Investments		93,759		—		—		93,759
Total	$	8,892,232	$	—	$	—	$	8,892,232
	Conservative Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	42,416,852	$	—	$	—	$	42,416,852
Short-Term Investments		427,731		—		—		427,731
Total	$	42,844,583	$	—	$	—	$	42,844,583
	Moderate Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	105,542,821	$	—	$	—	$	105,542,821
Short-Term Investments		1,126,240		—		—		1,126,240
Total	$	106,669,061	$	—	$	—	$	106,669,061
	Balanced Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	356,466,538	$	—	$	—	$	356,466,538
Short-Term Investments		2,454,922		—		—		2,454,922
Total	$	358,921,460	$	—	$	—	$	358,921,460
	Growth Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	130,948,428	$	—	$	—	$	130,948,428
Short-Term Investments		651,103		—		—		651,103
Total	$	131,599,531	$	—	$	—	$	131,599,531
	Aggressive Allocation Fund
	Level 1		Level 2		Level 3		Total
Mutual Funds	$	177,466,820	$	—	$	—	$	177,466,820
Short-Term Investments		2,157,851		—		—		2,157,851
Total	$	179,624,671	$	—	$	—	$	179,624,671

38

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:

	In-Retirement Fund						2015 Fund						2020 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	68,620		$	1,008,269		$	12,269		$	656,625		$	960,588		$	2,713,803
Retirement class R-3 of shares		129,808			534,506			—			3,871			93,378			1,696,274
Retirement class R-6 of shares		1,284,201			1,499,670			288,222			1,549,699			7,128,910			7,678,581
Net proceeds from sale of shares		1,482,629			3,042,445			300,491			2,210,195			8,182,876			12,088,658
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		261,550			229,242			3,627			7,555			1,139,073			1,080,668
Retirement class R-3 of shares		57,797			78,175			—			555			397,134			661,731
Retirement class R-6 of shares		923,578			1,129,433			88,466			92,325			4,002,936			4,128,058
Net proceeds from shares issued		1,242,925			1,436,850			92,093			100,435			5,539,143			5,870,457
Cost of shares redeemed:
Investor class of shares		(329,336	)		(1,213,231	)		(120,416	)		(993,165	)		(2,553,007	)		(5,493,344	)
Retirement class R-3 of shares		(2,516	)		(1,675,212	)		—			(33,078	)		(1,973,898	)		(7,677,610	)
Retirement class R-6 of shares		(1,179,635	)		(7,845,531	)		(491,621	)		(2,178,046	)		(6,764,032	)		(19,990,572	)
Net cost of shares redeemed		(1,511,487	)		(10,733,974	)		(612,037	)		(3,204,289	)		(11,290,937	)		(33,161,526	)
Net change resulting from fund share transactions in dollars	$	1,214,067		$	(6,254,679	)	$	(219,453	)	$	(893,659	)	$	2,431,082		$	(15,202,411	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		7,372			108,395			1,065			61,847			89,689			268,374
Retirement class R-3 of shares		13,609			58,358			—			365			8,760			167,507
Retirement class R-6 of shares		139,489			160,992			24,984			140,426			669,687			754,743
Net sale of shares		160,470			327,745			26,049			202,638			768,136			1,190,624
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		29,454			26,020			316			719			110,697			112,219
Retirement class R-3 of shares		6,480			8,833			—			53			38,445			68,502
Retirement class R-6 of shares		104,359			128,491			7,713			8,768			389,391			429,112
Net shares issued		140,293			163,344			8,029			9,540			538,533			609,833
Shares redeemed:
Investor class of shares		(34,937	)		(129,631	)		(10,417	)		(90,952	)		(238,978	)		(540,360	)
Retirement class R-3 of shares		(271	)		(180,106	)		—			(3,051	)		(185,265	)		(762,158	)
Retirement class R-6 of shares		(126,932	)		(849,082	)		(42,320	)		(200,328	)		(633,812	)		(1,962,803	)
Net shares redeemed		(162,140	)		(1,158,819	)		(52,737	)		(294,331	)		(1,058,055	)		(3,265,321	)
Net change resulting from fund share transactions in shares		138,623			(667,730	)		(18,659	)		(82,153	)		248,614			(1,464,864	)

39

Notes to Financial Statements (continued)

	2025 Fund						2030 Fund						2035 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	364,741		$	298,184		$	1,908,099		$	3,090,018		$	84,892		$	510,807
Retirement class R-3 of shares		3,417			141,111			169,926			1,391,128			8,083			102,195
Retirement class R-6 of shares		5,028,170			5,165,176			10,187,529			12,437,489			1,231,036			3,338,790
Net proceeds from sale of shares		5,396,328			5,604,471			12,265,554			16,918,635			1,324,011			3,951,792
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		27,914			23,843			860,080			911,447			44,318			32,175
Retirement class R-3 of shares		964			35,100			257,434			442,421			4,594			21,569
Retirement class R-6 of shares		690,330			1,135,390			3,979,906			4,125,659			807,059			1,421,767
Net proceeds from shares issued		719,208			1,194,333			5,097,420			5,479,527			855,971			1,475,511
Cost of shares redeemed:
Investor class of shares		(264,635	)		(137,454	)		(4,340,950	)		(5,492,840	)		(147,725	)		(549,772	)
Retirement class R-3 of shares		(70,552	)		(1,135,416	)		(1,288,301	)		(5,859,197	)		(42,718	)		(525,837	)
Retirement class R-6 of shares		(3,166,594	)		(16,547,756	)		(7,161,995	)		(28,265,720	)		(1,808,390	)		(24,303,005	)
Net cost of shares redeemed		(3,501,781	)		(17,820,626	)		(12,791,246	)		(39,617,757	)		(1,998,833	)		(25,378,614	)
Net change resulting from fund share transactions in dollars	$	2,613,755		$	(11,021,822	)	$	4,571,728		$	(17,219,595	)	$	181,149		$	(19,951,311	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		30,358			27,606			160,454			282,733			7,077			47,612
Retirement class R-3 of shares		285			13,162			14,343			127,664			676			9,520
Retirement class R-6 of shares		418,428			467,516			851,853			1,136,600			102,156			302,467
Net sale of shares		449,071			508,284			1,026,650			1,546,997			109,909			359,599
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		2,352			2,266			73,953			87,808			3,804			3,079
Retirement class R-3 of shares		80			3,353			22,078			42,540			391			2,072
Retirement class R-6 of shares		57,962			107,620			342,800			397,846			69,038			135,535
Net shares issued		60,394			113,239			438,831			528,194			73,233			140,686
Shares redeemed:
Investor class of shares		(22,017	)		(12,259	)		(361,486	)		(506,947	)		(12,330	)		(49,406	)
Retirement class R-3 of shares		(5,845	)		(102,055	)		(107,978	)		(539,077	)		(3,542	)		(47,373	)
Retirement class R-6 of shares		(264,607	)		(1,496,179	)		(607,229	)		(2,573,184	)		(148,304	)		(2,193,982	)
Net shares redeemed		(292,469	)		(1,610,493	)		(1,076,693	)		(3,619,208	)		(164,176	)		(2,290,761	)
Net change resulting from fund share transactions in shares		216,996			(988,970	)		388,788			(1,544,017	)		18,966			(1,790,476	)

40

BMO Funds

	2040 Fund						2045 Fund						2050 Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	1,329,739		$	1,883,014		$	38,100		$	170,177		$	1,002,605		$	2,360,706
Retirement class R-3 of shares		166,348			585,454			4,473			143,679			235,741			803,818
Retirement class R-6 of shares		5,162,150			7,703,062			1,367,761			2,516,895			4,679,141			7,019,909
Net proceeds from sale of shares		6,658,237			10,171,530			1,410,334			2,830,751			5,917,487			10,184,433
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		903,183			628,710			48,538			42,441			338,280			379,998
Retirement class R-3 of shares		207,277			214,271			2,323			20,450			112,482			203,040
Retirement class R-6 of shares		4,028,502			2,866,927			449,352			804,157			1,451,931			1,836,029
Net proceeds from shares issued		5,138,962			3,709,908			500,213			867,048			1,902,693			2,419,067
Cost of shares redeemed:
Investor class of shares		(2,703,242	)		(5,649,232	)		(187,404	)		(253,382	)		(2,045,038	)		(5,369,123	)
Retirement class R-3 of shares		(415,404	)		(3,487,878	)		(5,551	)		(563,598	)		(665,370	)		(2,653,255	)
Retirement class R-6 of shares		(2,629,066	)		(23,316,521	)		(1,305,736	)		(13,070,897	)		(2,872,102	)		(13,439,244	)
Net cost of shares redeemed		(5,747,712	)		(32,453,631	)		(1,498,691	)		(13,887,877	)		(5,582,510	)		(21,461,622	)
Net change resulting from fund share transactions in dollars	$	6,049,487		$	(18,572,193	)	$	411,856		$	(10,190,078	)	$	2,237,670		$	(8,858,122	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		113,171			173,576			3,107			15,219			80,527			209,620
Retirement class R-3 of shares		14,213			53,880			364			13,190			18,930			71,209
Retirement class R-6 of shares		433,751			713,031			109,737			223,749			373,946			622,506
Net sale of shares		561,135			940,487			113,208			252,158			473,403			903,335
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		80,426			61,158			4,052			4,004			27,637			35,681
Retirement class R-3 of shares		18,376			20,763			192			1,935			9,182			19,065
Retirement class R-6 of shares		359,367			279,155			37,383			75,579			118,816			172,721
Net shares issued		458,169			361,076			41,627			81,518			155,635			227,467
Shares redeemed:
Investor class of shares		(225,219	)		(525,932	)		(15,209	)		(22,375	)		(162,874	)		(484,194	)
Retirement class R-3 of shares		(34,834	)		(320,875	)		(442	)		(49,820	)		(53,801	)		(238,882	)
Retirement class R-6 of shares		(222,983	)		(2,131,353	)		(106,172	)		(1,164,696	)		(232,146	)		(1,183,799	)
Net shares redeemed		(483,036	)		(2,978,160	)		(121,823	)		(1,236,891	)		(448,821	)		(1,906,875	)
Net change resulting from fund share transactions in shares		536,268			(1,676,597	)		33,012			(903,215	)		180,217			(776,073	)

41

Notes to Financial Statements (continued)

	2055 Fund						Conservative Allocation Fund						Moderate Allocation Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	112,456		$	379,222		$	330,129		$	3,333,251		$	706,028		$	1,787,884
Institutional class of shares		—			—			509,196			3,199,776			848,666			2,247,337
Retirement class R-3 of shares		216,451			235,131			103,213			594,944			1,411,562			3,698,491
Retirement class R-6 of shares		1,972,184			2,688,106			5,259,186			9,716,130			5,407,361			14,085,245
Net proceeds from sale of shares		2,301,091			3,302,459			6,201,724			16,844,101			8,373,617			21,818,957
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		8,327			20,520			2,226,207			395,379			507,983			423,731
Institutional class of shares		—			—			161,066			819,598			330,580			446,331
Retirement class R-3 of shares		7,100			21,849			129,410			154,118			835,913			432,042
Retirement class R-6 of shares		263,731			342,529			4,482,536			2,569,224			5,493,805			3,686,197
Net proceeds from shares issued		279,158			384,898			6,999,219			3,938,319			7,168,281			4,988,301
Cost of shares redeemed:
Investor class of shares		(352,979	)		(320,201	)		(1,742,617	)		(6,464,521	)		(402,808	)		(7,901,290	)
Institutional class of shares		—			—			(25,981,456	)		(7,637,483	)		(4,737,937	)		(5,677,100	)
Retirement class R-3 of shares		(236,687	)		(672,795	)		(2,155,387	)		(4,559,252	)		(1,619,432	)		(3,601,940	)
Retirement class R-6 of shares		(447,692	)		(3,950,595	)		(8,003,140	)		(73,153,708	)		(9,016,080	)		(41,844,897	)
Net cost of shares redeemed		(1,037,358	)		(4,943,591	)		(37,882,600	)		(91,814,964	)		(15,776,257	)		(59,025,227	)
Net change resulting from fund share transactions in dollars	$	1,542,891		$	(1,256,234	)	$	(24,681,657	)	$	(71,032,544	)	$	(234,359	)	$	(32,217,969	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		9,136			34,155			34,073			341,654			70,540			184,063
Institutional class of shares		—			—			51,111			327,989			87,007			231,324
Retirement class R-3 of shares		17,706			21,703			10,523			61,258			139,401			379,868
Retirement class R-6 of shares		157,166			241,119			569,274			990,085			539,498			1,440,015
Net sale of shares		184,008			296,977			664,981			1,720,986			836,446			2,235,270
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		673			1,938			257,663			41,663			52,154			45,078
Institutional class of shares		—			—			18,077			86,455			33,940			47,533
Retirement class R-3 of shares		579			2,071			14,672			16,240			85,735			45,913
Retirement class R-6 of shares		21,338			32,223			520,016			271,015			565,206			392,985
Net shares issued		22,590			36,232			810,428			415,373			737,035			531,509
Shares redeemed:
Investor class of shares		(28,347	)		(27,594	)		(182,509	)		(660,920	)		(40,570	)		(806,639	)
Institutional class of shares		—			—			(2,560,964	)		(777,055	)		(458,850	)		(580,703	)
Retirement class R-3 of shares		(18,787	)		(59,996	)		(214,214	)		(470,782	)		(160,051	)		(369,030	)
Retirement class R-6 of shares		(36,062	)		(354,505	)		(880,916	)		(7,418,823	)		(911,165	)		(4,274,881	)
Net shares redeemed		(83,196	)		(442,095	)		(3,838,603	)		(9,327,580	)		(1,570,636	)		(6,031,253	)
Net change resulting from fund share transactions in shares		123,402			(108,886	)		(2,363,194	)		(7,191,221	)		2,845			(3,264,474	)

42

BMO Funds

	Balanced Allocation Fund						Growth Allocation Fund						Aggressive Allocation Fund
	Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017			Six Months Ended February 28, 2018 (Unaudited)			Year Ended August 31, 2017
Capital stock transactions in dollars:
Proceeds from sale of shares:
Investor class of shares	$	4,495,463		$	9,596,115		$	463,122		$	1,521,150		$	1,166,299		$	2,549,571
Institutional class of shares		5,717,316			18,188,630			415,356			3,782,554			1,130,623			3,231,792
Retirement class R-3 of shares		724,668			3,462,896			702,736			1,995,735			874,632			1,545,438
Retirement class R-6 of shares		13,098,567			33,777,945			10,694,994			23,359,307			9,257,168			28,234,235
Net proceeds from sale of shares		24,036,014			65,025,586			12,276,208			30,658,746			12,428,722			35,561,036
Net asset value of shares issued to shareholders in payment of distributions declared:
Investor class of shares		9,900,919			7,291,420			1,164,274			1,358,067			4,758,561			4,019,656
Institutional class of shares		4,372,016			4,959,081			650,895			661,921			1,722,650			2,155,531
Retirement class R-3 of shares		2,022,307			1,857,132			1,259,889			1,005,881			2,052,160			1,846,190
Retirement class R-6 of shares		20,648,922			16,194,257			6,735,393			4,846,161			14,467,294			11,432,316
Net proceeds from shares issued		36,944,164			30,301,890			9,810,451			7,872,030			23,000,665			19,453,693
Cost of shares redeemed:
Investor class of shares		(9,789,751	)		(28,809,458	)		(2,064,891	)		(12,160,876	)		(2,529,314	)		(23,138,517	)
Institutional class of shares		(14,591,195	)		(46,186,859	)		(1,356,479	)		(5,854,651	)		(3,134,204	)		(15,771,306	)
Retirement class R-3 of shares		(6,323,072	)		(11,399,285	)		(2,469,224	)		(11,372,090	)		(2,374,224	)		(6,476,231	)
Retirement class R-6 of shares		(23,227,206	)		(115,489,437	)		(12,232,083	)		(29,720,835	)		(16,095,430	)		(62,955,630	)
Net cost of shares redeemed		(53,931,224	)		(201,885,039	)		(18,122,677	)		(59,108,452	)		(24,133,172	)		(108,341,684	)
Net change resulting from fund share transactions in dollars	$	7,048,954		$	(106,557,563	)	$	3,963,982		$	(20,577,676	)	$	11,296,215		$	(53,326,955	)
Capital stock transactions in shares:
Sale of shares:
Investor class of shares		472,874			1,025,790			44,376			157,085			115,068			269,537
Institutional class of shares		608,085			1,949,386			40,504			397,357			113,103			339,793
Retirement class R-3 of shares		75,313			373,495			66,998			206,661			87,173			162,532
Retirement class R-6 of shares		1,368,190			3,612,043			1,028,641			2,396,103			922,386			2,925,969
Net sale of shares		2,524,462			6,960,714			1,180,519			3,157,206			1,237,730			3,697,831
Shares issued to shareholders in payment of distributions declared:
Investor class of shares		1,085,627			822,031			114,933			146,659			502,488			449,626
Institutional class of shares		479,388			559,716			64,381			71,559			182,099			241,651
Retirement class R-3 of shares		221,259			209,372			124,249			108,509			216,701			206,740
Retirement class R-6 of shares		2,266,621			1,827,794			666,211			524,476			1,530,931			1,281,650
Net shares issued		4,052,895			3,418,913			969,774			851,203			2,432,219			2,179,667
Shares redeemed:
Investor class of shares		(1,009,002	)		(3,093,692	)		(198,516	)		(1,245,696	)		(246,680	)		(2,424,144	)
Institutional class of shares		(1,474,811	)		(4,942,672	)		(131,618	)		(604,772	)		(302,304	)		(1,624,360	)
Retirement class R-3 of shares		(656,684	)		(1,223,751	)		(237,200	)		(1,181,512	)		(232,940	)		(681,868	)
Retirement class R-6 of shares		(2,479,323	)		(12,198,320	)		(1,183,352	)		(3,005,372	)		(1,626,833	)		(6,486,787	)
Net shares redeemed		(5,619,820	)		(21,458,435	)		(1,750,686	)		(6,037,352	)		(2,408,757	)		(11,217,159	)
Net change resulting from fund share transactions in shares		957,537			(11,078,808	)		399,607			(2,028,943	)		1,261,192			(5,339,661	)

5. Investment Adviser Fee and Other Transactions with Affiliates

Investment Advisory Fees—The Adviser does not receive an investment advisory fee for the services it performs for the Funds. However, the Adviser is entitled to receive an investment advisory fee from each of the BMO Funds that serve as underlying funds.

Contractual Expense Limitation—The Adviser has contractually agreed to waive or reduce fees and reimburse expenses to the extent necessary to prevent class total annual operating expenses (excluding acquired fund fees and expenses, interest, taxes, brokerage commissions, other investment-related costs and extraordinary expenses, such as litigation and other expenses not incurred in the ordinary course of a Fund’s business) from exceeding the levels set out in the table below through December 31, 2018. This agreement may not be terminated prior to December 31, 2018 without the consent of the

43

Notes to Financial Statements (continued)

Funds’ Board of Directors, unless terminated due to the termination of the investment advisory agreement. Additionally, the agreement does not provide for recoupment by the Adviser of waived fees or reimbursed expenses.

	Annualized Contractual Expense Limitation Exclusive of Acquired Fund Fees and Expenses												Annualized Contractual Expense Limitation Inclusive of Acquired Fund Fees and Expenses per the Funds’ Prospectus Dated December 29, 2017
Fund	Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)			Investor Class			Institutional Class			Retirement Class R-3			Retirement Class R-6(1)
In-Retirement Fund		0.33	%					0.58	%		(0.07	)%		0.98	%					1.23	%		0.58	%
2015 Fund		0.33						0.58			(0.07	)		1.00						1.25			0.60
2020 Fund		0.33						0.58			(0.07	)		1.03						1.28			0.63
2025 Fund		0.33						0.58			(0.07	)		1.04						1.29			0.64
2030 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2035 Fund		0.37						0.62			(0.03	)		1.09						1.34			0.69
2040 Fund		0.36						0.61			(0.04	)		1.08						1.33			0.68
2045 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
2050 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
2055 Fund		0.36						0.61			(0.04	)		1.06						1.31			0.66
Conservative Allocation Fund		0.33			0.08	%		0.58			(0.07	)		1.02			0.77	%		1.27			0.62
Moderate Allocation Fund		0.30			0.05			0.55			(0.10	)		0.98			0.73			1.23			0.58
Balanced Allocation Fund		0.33			0.08			0.58			(0.07	)		1.02			0.77			1.27			0.62
Growth Allocation Fund		0.30			0.05			0.55			(0.10	)		1.00			0.75			1.25			0.60
Aggressive Allocation Fund		0.33			0.08			0.58			(0.07	)		0.97			0.72			1.22			0.57

(1) As a result of reimbursing expenses including acquired fund expenses, the Adviser reimbursed amounts in excess of the respective share classes operating expenses. The aggregate excess reimbursement is accounted for as “Excess expense reimbursement from investment adviser” included in investment income on the Statements of Operations.

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

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

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

For the period ended February 28, 2018, the Funds were charged the following Administration Fees per class:

Fund	Investor Class		Institutional Class		Retirement Class R-3
In-Retirement Fund	$	2,521			$	528
2015 Fund		265				86
2020 Fund		13,275				4,845
2025 Fund		737				95
2030 Fund		14,092				4,504
2035 Fund		529				78
2040 Fund		8,052				1,876
2045 Fund		644				41
2050 Fund		6,191				2,211
2055 Fund		336				158
Conservative Allocation Fund		11,226	$	10,728		1,315
Moderate Allocation Fund		6,001		5,491		10,172
Balanced Allocation Fund		76,084		36,526		16,006
Growth Allocation Fund		12,474		6,627		13,809
Aggressive Allocation Fund		28,787		10,830		12,772

Custodian Fees—BMO Harris Bank N.A. (“BMO Harris”) is the Funds’ custodian. BMO Harris receives fees based on 0.0050% on the first $10 billion average daily net assets, based on the collective net assets of the Corporation custodied by BMO Harris, and 0.0025% on all assets in excess of $10 billion.

44

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 the BMO Funds. Issuers that are affiliates of the Fund at period-end are noted in the Fund’s Schedule of Investments. Additional security purchases and the reduction of certain securities shares outstanding of existing portfolio holdings that were not considered affiliated in prior years may result in the Funds owning in excess of 5% of the outstanding shares at period-end. The table below reflects transactions during the period with entities that are affiliates as of February 28, 2018. Please refer to the Schedule of Investments for which class each Fund’s underlying affiliated issuer represents.

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
In-Retirement Fund
Large-Cap Funds — 8.5%
BMO Low Volatility Equity Fund	$	402,614	$	68,930	$	69,872	$	2,200		$	5,308		$	409,180	$	3,088	$	10,491
BMO Dividend Income Fund		284,696		67,535		67,051		(6,574	)		9,291			287,897		3,181		30,798
BMO Large-Cap Value Fund (1)		420,871		90,231		94,303		(6,308	)		12,320			422,811		2,826		34,970
BMO Large-Cap Growth Fund (1)		182,061		28,373		39,942		9,123			3,839			183,454		223		9,628
														1,303,342
Mid-Cap Funds — 1.7%
BMO Mid-Cap Value Fund (1)		179,801		31,968		33,252		(2,148	)		5,600			181,969		1,754		7,045
BMO Mid-Cap Growth Fund (1)		75,778		11,797		18,560		2,854			4,130			75,999		—		4,446
														257,968
Small-Cap Fund — 0.3%
BMO Small-Cap Growth Fund		45,640		11,054		11,212		(2,330	)		2,065			45,217		—		4,613
International Funds — 6.2%
BMO Disciplined International Equity Fund		298,473		48,528		52,313		3,699			4,758			303,145		6,312		—
BMO Pyrford International Stock Fund (1)		401,797		62,850		57,559		(3,318	)		5,059			408,829		10,164		—
BMO LGM Emerging Markets Equity Fund		237,323		39,975		49,506		7,479			6,930			242,201		1,883		—
														954,175
Fixed Income Funds — 20.5%
BMO TCH Emerging Markets Bond Fund*		448,273		67,618		490,508		(7,616	)		(17,767	)		—		22,012		—
BMO TCH Core Plus Bond Fund		2,770,542		470,807		324,979		(67,024	)		(432	)		2,848,914		39,466		2,541
BMO High Yield Bond Fund		268,504		35,877		24,056		(4,399	)		(702	)		275,224		7,342		—
														3,124,138
Alternative Funds — 6.9%
BMO Alternative Strategies Fund		1,046,726		208,923		117,710		(79,369	)		1,170			1,059,740		—		64,872
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		144,477		2,125,191		2,114,483		—			(7	)		155,178		951		—
Totals	$	7,207,576	$	3,369,657	$	3,565,306	$	(153,731	)	$	41,562		$	6,899,758	$	99,202	$	169,404
2015 Fund
Large-Cap Funds — 9.6%
BMO Low Volatility Equity Fund	$	140,307	$	25,767	$	54,521	$	943		$	1,331		$	113,827	$	1,004	$	3,095
BMO Dividend Income Fund		74,412		14,074		29,455		(696	)		1,875			60,210		772		6,832
BMO Large-Cap Value Fund (1)		149,289		25,867		58,675		(385	)		3,545			119,641		926		10,518
BMO Large-Cap Growth Fund (1)		79,310		9,754		30,880		1,912			3,376			63,472		81		3,500
														357,150
Mid-Cap Funds — 2.2%
BMO Mid-Cap Value Fund (1)		74,407		10,861		26,800		646			1,141			60,255		695		2,472
BMO Mid-Cap Growth Fund (1)		27,729		3,451		11,483		1,658			741			22,096		—		1,351
														82,351
Small-Cap Fund — 0.5%
BMO Small-Cap Growth Fund		23,860		4,122		9,105		(550	)		661			18,988		—		2,020
International Funds — 7.3%
BMO Disciplined International Equity Fund		105,317		13,436		36,057		(1,083	)		3,951			85,564		1,870		—
BMO Pyrford International Stock Fund (1)		136,135		18,386		44,616		(1,207	)		2,091			110,789		2,896		—
BMO LGM Emerging Markets Equity Fund		93,045		19,789		41,510		(148	)		4,737			75,913		620		—
														272,266
Fixed Income Funds — 18.2%
BMO TCH Emerging Markets Bond Fund*		97,638		28,676		120,371		(3,628	)		(2,315	)		—		5,221		—
BMO TCH Core Plus Bond Fund		580,093		157,637		102,279		(14,383	)		(234	)		620,834		8,691		584
BMO High Yield Bond Fund		50,685		14,589		8,618		(1,029	)		(60	)		55,567		1,482		—
														676,401
Alternative Funds — 7.4%
BMO Alternative Strategies Fund		261,859		85,332		50,070		(20,156	)		(1,148	)		275,817		—		17,685
Short-Term Investment — 1.1%
BMO Institutional Prime Money Market Fund		39,798		520,145		520,421		—			(7	)		39,515		246		—
Totals	$	1,933,884	$	951,886	$	1,144,861	$	(38,106	)	$	19,685		$	1,722,488	$	24,504	$	48,057

45

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2020 Fund
Large-Cap Funds — 13.0%
BMO Low Volatility Equity Fund	$	3,364,618	$	524,687	$	535,284	$	44,699		$	14,836		$	3,413,556	$	25,954	$	88,504
BMO Dividend Income Fund		1,453,988		297,226		299,782		(30,531	)		41,837			1,462,738		16,182		158,235
BMO Large-Cap Value Fund (1)		3,551,516		682,722		715,648		(38,133	)		82,895			3,563,352		23,914		298,019
BMO Large-Cap Growth Fund (1)		2,116,554		309,020		451,976		115,989			34,835			2,124,422		2,626		113,136
														10,564,068
Mid-Cap Funds — 4.2%
BMO Mid-Cap Value Fund (1)		1,945,785		286,434		314,344		16,269			17,653			1,951,797		18,836		76,419
BMO Mid-Cap Growth Fund (1)		1,474,968		210,688		353,384		106,727			28,229			1,467,228		—		86,797
														3,419,025
Small-Cap Fund — 1.0%
BMO Small-Cap Growth Fund		807,054		169,367		162,066		(22,543	)		16,432			808,244		—		83,410
International Funds — 11.1%
BMO Disciplined International Equity Fund		2,595,810		382,502		447,128		48,211			21,725			2,601,120		54,771		—
BMO Pyrford International Stock Fund (1)		3,618,021		492,646		468,584		(13,720	)		25,707			3,654,070		91,869		—
BMO LGM Emerging Markets Equity Fund		2,725,130		421,109		551,127		139,204			25,589			2,759,905		21,706		—
														9,015,095
Fixed Income Funds — 11.7%
BMO TCH Emerging Markets Bond Fund*		1,203,232		211,402		1,345,498		(22,689	)		(46,447	)		—		59,585		—
BMO TCH Core Plus Bond Fund		8,545,697		1,627,920		1,172,150		(205,831	)		(6,656	)		8,788,980		123,830		7,927
BMO High Yield Bond Fund		729,037		114,288		90,948		(9,819	)		(4,580	)		737,978		20,013		—
														9,526,958
Alternative Funds — 6.3%
BMO Alternative Strategies Fund		5,080,327		957,923		536,842		(379,074	)		(7,667	)		5,114,667		—		316,628
Short-Term Investment — 0.9%
BMO Institutional Prime Money Market Fund		720,855		11,658,588		11,645,074		21			(55	)		734,335		4,892		—
Totals	$	39,932,592	$	18,346,522	$	19,089,835	$	(251,220	)	$	244,333		$	39,182,392	$	464,178	$	1,229,075
2025 Fund
Large-Cap Funds — 11.7%
BMO Low Volatility Equity Fund	$	662,025	$	227,106	$	137,624	$	10,032		$	(318	)	$	761,221	$	5,182	$	17,584
BMO Dividend Income Fund		277,430		102,352		62,048		(140	)		1,578			319,172		3,160		30,764
BMO Large-Cap Value Fund (1)		1,025,354		354,775		214,412		6,299			2,426			1,174,442		7,052		87,515
BMO Large-Cap Growth Fund (1)		557,727		182,398		137,461		32,800			6,515			641,979		707		30,455
														2,896,814
Mid-Cap Funds — 5.7%
BMO Mid-Cap Value Fund (1)		619,875		196,731		112,824		24,064			(15,303	)		712,543		6,165		24,857
BMO Mid-Cap Growth Fund (1)		601,374		170,914		137,558		60,546			(5,690	)		689,586		—		36,347
														1,402,129
Small-Cap Fund — 1.8%
BMO Small-Cap Growth Fund		385,873		147,337		88,842		(6,280	)		1,524			439,612		—		40,418
International Funds — 11.8%
BMO Disciplined International Equity Fund		580,360		176,712		108,123		10,280			3,878			663,107		12,441		—
BMO Pyrford International Stock Fund (1)		1,030,062		327,738		179,953		(1,904	)		1,719			1,177,662		26,380		—
BMO LGM Emerging Markets Equity Fund		936,330		315,323		226,639		51,159			3,053			1,079,226		7,562		—
														2,919,995
Fixed Income Funds — 8.5%
BMO TCH Emerging Markets Bond Fund*		234,389		74,493		295,062		(5,886	)		(7,934	)		—		11,783		—
BMO TCH Core Plus Bond Fund		1,638,946		655,720		342,064		(39,929	)		(1,762	)		1,910,911		24,311		1,536
BMO High Yield Bond Fund		149,180		57,162		29,828		(2,674	)		(421	)		173,419		4,239		—
														2,084,330
Alternative Funds — 5.6%
BMO Alternative Strategies Fund		1,195,363		488,625		214,856		(89,863	)		(5,571	)		1,373,698		—		75,766
Short-Term Investment — 1.1%
BMO Institutional Prime Money Market Fund		246,901		4,893,942		4,878,994		3			16			261,868		1,684		—
Totals	$	10,141,189	$	8,371,328	$	7,166,288	$	48,507		$	(16,290	)	$	11,378,446	$	110,666	$	345,242

46

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2030 Fund
Large-Cap Funds — 13.1%
BMO Low Volatility Equity Fund	$	3,205,702	$	598,237	$	418,194	$	50,445		$	2,421		$	3,438,611	$	25,102	$	87,389
BMO Dividend Income Fund		1,300,301		309,472		240,452		(9,321	)		15,243			1,375,243		14,618		145,418
BMO Large-Cap Value Fund (1)		5,097,536		1,093,609		849,534		14,623			28,176			5,384,410		34,793		441,870
BMO Large-Cap Growth Fund (1)		2,516,757		447,113		498,508		156,992			22,926			2,645,280		3,186		137,235
														12,843,544
Mid-Cap Funds — 6.4%
BMO Mid-Cap Value Fund (1)		2,971,588		536,902		404,386		44,018			(2,345	)		3,145,777		28,980		120,640
BMO Mid-Cap Growth Fund (1)		3,010,833		495,128		627,931		278,211			(3,260	)		3,152,981		—		180,032
														6,298,758
Small-Cap Fund — 2.1%
BMO Small-Cap Growth Fund		1,963,556		486,242		376,557		(35,991	)		14,574			2,051,824		—		204,552
International Funds — 13.2%
BMO Disciplined International Equity Fund		2,689,172		385,322		289,668		57,010			7,638			2,849,474		58,535		—
BMO Pyrford International Stock Fund (1)		4,969,772		853,363		525,587		4,079			(1,110	)		5,300,517		130,199		—
BMO LGM Emerging Markets Equity Fund		4,489,577		857,799		808,014		254,405			14,321			4,808,088		37,072		—
														12,958,079
Fixed Income Funds — 5.7%
BMO TCH Emerging Markets Bond Fund*		644,966		168,398		774,689		(13,151	)		(25,524	)		—		32,892		—
BMO TCH Core Plus Bond Fund		4,656,159		1,221,248		691,965		(115,677	)		(6,342	)		5,063,423		69,463		4,463
BMO High Yield Bond Fund		459,077		110,091		63,752		(6,164	)		(3,692	)		495,560		13,062		—
														5,558,983
Alternative Funds — 5.2%
BMO Alternative Strategies Fund		4,793,501		1,192,276		498,825		(362,038	)		(21,735	)		5,103,179		—		307,913
Short-Term Investment — 1.6%
BMO Institutional Prime Money Market Fund		1,008,652		13,291,087		12,741,926		(2	)		(13	)		1,557,798		6,136		—
Totals	$	43,777,149	$	22,046,287	$	19,809,988	$	317,439		$	41,278		$	46,372,165	$	454,038	$	1,629,512
2035 Fund
Large-Cap Funds — 14.0%
BMO Low Volatility Equity Fund	$	495,147	$	79,785	$	80,860	$	6,719		$	887		$	501,678	$	3,768	$	12,787
BMO Dividend Income Fund		195,316		41,889		40,400		(757	)		1,954			198,002		2,160		21,056
BMO Large-Cap Value Fund (1)		768,994		162,988		163,994		1,058			7,110			776,156		5,133		63,808
BMO Large-Cap Growth Fund (1)		379,575		60,492		82,944		19,086			6,922			383,131		468		20,149
														1,858,967
Mid-Cap Funds — 7.1%
BMO Mid-Cap Value Fund (1)		469,515		88,238		89,773		5,246			2,338			475,564		4,533		18,305
BMO Mid-Cap Growth Fund (1)		458,679		72,525		108,498		36,357			4,353			463,416		—		26,950
														938,980
Small-Cap Fund — 2.3%
BMO Small-Cap Growth Fund		300,849		70,964		66,910		(5,140	)		2,209			301,972		—		30,635
International Funds — 14.3%
BMO Disciplined International Equity Fund		406,586		67,761		74,721		2,581			7,107			409,314		8,473		—
BMO Pyrford International Stock Fund (1)		772,549		129,823		124,698		(2,196	)		2,742			778,220		19,234		—
BMO LGM Emerging Markets Equity Fund		701,128		144,104		172,635		35,139			4,291			712,027		5,505		—
														1,899,561
Fixed Income Funds — 3.4%
BMO TCH Emerging Markets Bond Fund*		52,004		14,454		63,506		(1,831	)		(1,121	)		—		2,538		—
BMO TCH Core Plus Bond Fund		402,590		128,380		107,590		(9,666	)		(115	)		413,599		5,694		367
BMO High Yield Bond Fund		39,009		13,738		12,026		(682	)		(82	)		39,957		1,057		—
														453,556
Alternative Funds — 4.6%
BMO Alternative Strategies Fund		599,109		169,331		116,328		(43,265	)		(2,221	)		606,626		—		36,916
Short-Term Investment — 1.2%
BMO Institutional Prime Money Market Fund		58,671		1,589,677		1,490,300		4			12			158,064		833		—
Totals	$	6,099,721	$	2,834,149	$	2,795,183	$	42,653		$	36,386		$	6,217,726	$	59,396	$	230,973

47

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2040 Fund
Large-Cap Funds — 14.7%
BMO Low Volatility Equity Fund	$	2,071,223	$	416,392	$	225,848	$	19,566		$	14,626		$	2,295,959	$	16,003	$	54,743
BMO Dividend Income Fund		735,126		172,059		109,179		(12,831	)		18,293			803,468		8,149		79,942
BMO Large-Cap Value Fund (1)		3,252,794		735,082		476,469		(19,027	)		53,740			3,546,120		21,824		272,766
BMO Large-Cap Growth Fund (1)		1,637,988		292,151		269,461		98,589			18,589			1,777,856		2,034		87,623
														8,423,403
Mid-Cap Funds — 7.1%
BMO Mid-Cap Value Fund (1)		1,897,246		374,794		232,018		18,601			8,997			2,067,620		18,274		74,451
BMO Mid-Cap Growth Fund (1)		1,861,764		289,006		307,016		168,748			2,297			2,014,799		—		109,626
														4,082,419
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		1,268,690		306,843		193,359		(27,809	)		15,623			1,369,988		—		130,008
International Funds — 15.0%
BMO Disciplined International Equity Fund		1,685,537		285,606		175,722		34,588			6,981			1,836,990		35,579		—
BMO Pyrford International Stock Fund (1)		3,183,635		652,677		339,900		(2,980	)		4,758			3,498,190		80,894		—
BMO LGM Emerging Markets Equity Fund		2,959,059		657,571		522,451		168,688			4,821			3,267,688		23,638		—
														8,602,868
Fixed Income Funds — 1.9%
BMO TCH Emerging Markets Bond Fund*		156,274		49,498		196,510		(3,203	)		(6,059	)		—		7,798		—
BMO TCH Core Plus Bond Fund		880,066		272,182		142,854		(21,957	)		(1,336	)		986,101		13,119		818
BMO High Yield Bond Fund		103,817		30,780		16,556		(1,326	)		(903	)		115,812		2,961		—
														1,101,913
Alternative Funds — 4.2%
BMO Alternative Strategies Fund		2,193,574		617,617		229,938		(167,500	)		(5,645	)		2,408,108		—		137,125
Short-Term Investment — 1.3%
BMO Institutional Prime Money Market Fund		533,274		6,495,529		6,271,031		16			174			757,962		3,511		—
Totals	$	24,420,067	$	11,647,787	$	9,708,312	$	252,163		$	134,956		$	26,746,661	$	233,784	$	947,102
2045 Fund
Large-Cap Funds — 14.7%
BMO Low Volatility Equity Fund	$	314,892	$	77,998	$	63,110	$	4,094		$	(249	)	$	333,625	$	2,382	$	7,934
BMO Dividend Income Fund		110,360		33,518		27,625		53			446			116,752		1,218		11,585
BMO Large-Cap Value Fund (1)		498,822		141,831		120,867		989			2,821			523,596		3,303		40,165
BMO Large-Cap Growth Fund (1)		246,732		53,642		58,213		14,340			1,906			258,407		295		12,698
														1,232,380
Mid-Cap Funds — 7.2%
BMO Mid-Cap Value Fund (1)		284,690		72,892		60,391		3,266			(12	)		300,445		2,754		10,790
BMO Mid-Cap Growth Fund (1)		287,401		63,157		74,226		23,643			1,160			301,135		—		16,341
														601,580
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		198,946		63,657		52,999		(2,928	)		691			207,367		—		19,630
International Funds — 15.2%
BMO Disciplined International Equity Fund		253,000		64,906		56,683		1,308			4,401			266,932		5,156		—
BMO Pyrford International Stock Fund (1)		489,469		136,457		108,686		(3,475	)		2,889			516,654		11,915		—
BMO LGM Emerging Markets Equity Fund		463,592		136,417		133,397		23,804			1,071			491,487		3,546		—
														1,275,073
Fixed Income Funds — 2.0%
BMO TCH Emerging Markets Bond Fund*		15,718		5,356		20,176		(452	)		(446	)		—		754		—
BMO TCH Core Plus Bond Fund		141,038		56,883		42,693		(3,456	)		(53	)		151,719		2,013		126
BMO High Yield Bond Fund		15,707		7,189		5,751		(276	)		(40	)		16,829		429		—
														168,548
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		275,277		103,686		66,393		(20,142	)		(827	)		291,601		—		16,559
Short-Term Investment — 1.3%
BMO Institutional Prime Money Market Fund		78,288		1,508,493		1,478,808		4			17			107,994		532		—
Totals	$	3,673,932	$	2,526,082	$	2,370,018	$	40,772		$	13,775		$	3,884,543	$	34,297	$	135,828

48

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
2050 Fund
Large-Cap Funds — 14.8%
BMO Low Volatility Equity Fund	$	1,573,932	$	346,792	$	225,861	$	16,195		$	8,705		$	1,719,763	$	12,002	$	40,329
BMO Dividend Income Fund		551,643		127,836		82,753		(13,002	)		18,105			601,829		6,108		58,901
BMO Large-Cap Value Fund (1)		2,493,529		525,458		349,882		(15,410	)		45,343			2,699,038		16,595		204,202
BMO Large-Cap Growth Fund (1)		1,233,372		221,792		214,069		70,042			18,288			1,329,425		1,499		64,566
														6,350,055
Mid-Cap Funds — 7.2%
BMO Mid-Cap Value Fund (1)		1,423,085		296,246		192,452		15,519			6,327			1,548,725		13,779		54,852
BMO Mid-Cap Growth Fund (1)		1,436,717		223,084		240,376		131,752			1,096			1,552,273		—		83,089
														3,100,998
Small-Cap Fund — 2.5%
BMO Small-Cap Growth Fund		994,497		251,529		168,734		(20,801	)		12,450			1,068,941		—		99,798
International Funds — 15.3%
BMO Disciplined International Equity Fund		1,264,588		232,883		153,741		25,181			7,065			1,375,976		26,217		—
BMO Pyrford International Stock Fund (1)		2,446,437		511,581		297,180		(7,574	)		9,974			2,663,238		60,587		—
BMO LGM Emerging Markets Equity Fund		2,317,358		496,647		413,503		127,628			5,379			2,533,509		18,031		—
														6,572,723
Fixed Income Funds — 2.0%
BMO TCH Emerging Markets Bond Fund*		78,564		23,673		97,663		(1,729	)		(2,845	)		—		3,838		—
BMO TCH Core Plus Bond Fund		704,940		209,862		114,257		(17,482	)		(1,000	)		782,063		10,411		638
BMO High Yield Bond Fund		78,506		21,226		11,336		(1,068	)		(582	)		86,746		2,218		—
														868,809
Alternative Funds — 3.5%
BMO Alternative Strategies Fund		1,375,925		408,114		174,150		(104,453	)		(2,295	)		1,503,141		—		84,202
Short-Term Investment — 1.5%
BMO Institutional Prime Money Market Fund		391,301		5,345,419		5,100,332		8			84			636,480		2,660		—
Totals	$	18,364,394	$	9,242,142	$	7,836,289	$	204,806		$	126,094		$	20,101,147	$	173,945	$	690,577
2055 Fund
Large-Cap Funds — 14.5%
BMO Low Volatility Equity Fund	$	284,902	$	112,168	$	45,787	$	4,333		$	186		$	355,802	$	2,295	$	8,101
BMO Dividend Income Fund		99,854		41,067		16,756		310			35			124,510		1,172		11,830
BMO Large-Cap Value Fund (1)		451,359		182,087		77,681		2,138			490			558,393		3,193		41,013
BMO Large-Cap Growth Fund (1)		223,263		73,004		37,824		16,654			(70	)		275,027		301		12,967
														1,313,732
Mid-Cap Funds — 7.1%
BMO Mid-Cap Value Fund (1)		257,593		99,497		39,483		4,390			(1,588	)		320,409		2,597		11,018
BMO Mid-Cap Growth Fund (1)		260,068		81,740		45,709		25,086			(41	)		321,144		—		16,687
														641,553
Small-Cap Fund — 2.4%
BMO Small-Cap Growth Fund		180,023		76,816		32,802		(2,479	)		(409	)		221,149		—		20,044
International Funds — 15.0%
BMO Disciplined International Equity Fund		228,907		80,806		30,563		5,904			(384	)		284,670		5,265		—
BMO Pyrford International Stock Fund (1)		442,839		170,429		61,318		(662	)		(302	)		550,986		12,167		—
BMO LGM Emerging Markets Equity Fund		419,475		169,029		90,755		26,403			(5	)		524,147		3,621		—
														1,359,803
Fixed Income Funds — 2.0%
BMO TCH Emerging Markets Bond Fund*		14,221		7,116		20,400		(808	)		(129	)		—		774		—
BMO TCH Core Plus Bond Fund		127,602		72,351		34,457		(3,417	)		(267	)		161,812		2,049		128
BMO High Yield Bond Fund		14,211		6,831		2,751		(313	)		(32	)		17,946		436		—
														179,758
Alternative Funds — 3.4%
BMO Alternative Strategies Fund		249,058		126,552		42,720		(19,989	)		(1,961	)		310,940		—		16,910
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		70,830		2,127,864		2,104,965		3			27			93,759		564		—
Totals	$	3,324,205	$	3,427,357	$	2,683,971	$	57,553		$	(4,450	)	$	4,120,694	$	34,434	$	138,698

49

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Conservative Allocation Fund
Large-Cap Funds — 6.2%
BMO Low Volatility Equity Fund	$	885,177	$	162,029	$	511,654	$	(75,937	)	$	101,738		$	561,353	$	5,578	$	14,472
BMO Dividend Income Fund		479,141		114,040		306,168		(60,231	)		78,729			305,511		4,308		32,704
BMO Large-Cap Value Fund (1)		1,601,147		362,328		1,026,454		(109,295	)		178,711			1,006,437		8,598		84,117
BMO Large-Cap Growth Fund (1)		1,267,061		251,252		811,912		(51,734	)		146,609			801,276		989		42,586
														2,674,577
Mid-Cap Funds — 1.0%
BMO Mid-Cap Value Fund (1)		332,243		63,671		199,488		(46,526	)		59,856			209,756		2,829		8,201
BMO Mid-Cap Growth Fund (1)		333,847		63,130		217,527		(25,798	)		57,548			211,200		—		12,420
														420,956
Small-Cap Fund — 0.8%
BMO Small-Cap Value Fund (1)		214,629		32,645		134,171		(2,099	)		11,587			122,591		—		10,074
BMO Small-Cap Growth Fund		385,069		63,068		242,451		(86,064	)		96,478			216,100		—		24,826
														338,691
International Funds — 3.5%
BMO Disciplined International Equity Fund		846,439		196,002		496,142		(21,052	)		44,625			569,872		11,168		—
BMO Pyrford International Stock Fund (1)		830,213		129,259		450,927		(76,319	)		88,776			521,002		13,087		—
BMO LGM Emerging Markets Equity Fund		514,528		207,563		330,262		(33,496	)		57,935			416,268		2,558		—
														1,507,142
Fixed Income Funds — 24.2%
BMO TCH Emerging Markets Bond Fund*		1,788,501		189,002		1,920,710		(57,431	)		638			—		54,737		—
BMO TCH Core Plus Bond Fund		17,850,814		1,563,253		8,720,101		(889,169	)		585,258			10,390,055		201,620		10,296
														10,390,055
Alternative Funds — 10.4%
BMO Alternative Strategies Fund		7,741,816		869,282		3,810,636		(571,102	)		240,203			4,469,563		—		302,031
Short-Term Investment — 1.0%
BMO Institutional Prime Money Market Fund		615,540		10,742,369		10,930,189		—			11			427,731		3,235		—
Totals	$	35,686,165	$	15,008,893	$	30,108,792	$	(2,106,253	)	$	1,748,702		$	20,228,715	$	308,707	$	541,727
Moderate Allocation Fund
Large-Cap Funds — 11.7%
BMO Low Volatility Equity Fund	$	2,664,948	$	332,984	$	423,435	$	36,524		$	10,606		$	2,621,627	$	20,219	$	67,799
BMO Dividend Income Fund		1,446,493		284,085		321,003		(34,117	)		46,592			1,422,050		15,991		153,252
BMO Large-Cap Value Fund (1)		4,839,198		904,903		1,090,945		(6,650	)		70,403			4,716,909		32,136		394,082
BMO Large-Cap Growth Fund (1)		3,848,515		542,003		905,905		192,742			77,127			3,754,482		4,570		196,917
														12,515,068
Mid-Cap Funds — 1.9%
BMO Mid-Cap Value Fund (1)		1,003,944		139,577		173,556		(3,435	)		21,164			987,694		9,704		38,385
BMO Mid-Cap Growth Fund (1)		1,013,569		159,808		276,445		51,438			41,603			989,973		—		57,326
														1,977,667
Small-Cap Fund — 1.5%
BMO Small-Cap Value Fund (1)		649,128		128,533		198,943		(2,572	)		3,767			579,913		—		46,563
BMO Small-Cap Growth Fund		1,158,671		202,593		342,368		(44,161	)		38,550			1,013,285		—		113,195
														1,593,198
International Funds — 6.6%
BMO Disciplined International Equity Fund		2,535,429		535,076		454,180		58,118			11,192			2,685,635		51,993		—
BMO Pyrford International Stock Fund (1)		2,464,340		293,668		329,075		(16,895	)		26,944			2,438,982		60,490		—
BMO LGM Emerging Markets Equity Fund		1,542,955		662,634		333,725		79,733			20,121			1,971,718		11,857		—
														7,096,335
Fixed Income Funds — 17.7%
BMO TCH Emerging Markets Bond Fund*		1,973,164		247,226		2,113,207		(50,495	)		(56,688	)		—		93,651		—
BMO TCH Core Plus Bond Fund		19,722,005		2,490,260		2,820,632		(465,831	)		(3,790	)		18,922,012		275,633		17,593
														18,922,012
Alternative Funds — 8.3%
BMO Alternative Strategies Fund		9,318,675		1,188,763		919,460		(676,843	)		(5,344	)		8,905,791		—		558,859
Short-Term Investment — 1.1%
BMO Institutional Prime Money Market Fund		1,030,079		7,291,172		7,194,975		47			(83	)		1,126,240		6,689		—
Totals	$	55,211,113	$	15,403,285	$	17,897,854	$	(882,397	)	$	302,164		$	52,136,311	$	582,933	$	1,643,971

50

BMO Funds

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)			Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Balanced Allocation Fund
Large-Cap Funds — 17.2%
BMO Low Volatility Equity Fund	$	13,326,064	$	1,250,041	$	1,890,120	$	174,945		$	69,741		$	12,930,671	$	101,497	$	345,993
BMO Dividend Income Fund		7,213,194		1,189,535		1,458,560		(169,305	)		228,221			7,003,085		79,918		779,680
BMO Large-Cap Value Fund (1)		24,067,367		3,661,989		4,786,896		(81,106	)		402,248			23,263,602		161,233		2,010,095
BMO Large-Cap Growth Fund (1)		19,073,398		2,103,444		3,964,627		917,372			433,157			18,562,744		23,291		1,003,616
														61,760,102
Mid-Cap Funds — 2.7%
BMO Mid-Cap Value Fund (1)		5,001,760		515,387		757,488		(36,325	)		128,642			4,851,976		48,350		195,916
BMO Mid-Cap Growth Fund (1)		5,025,977		496,895		1,119,661		221,555			238,437			4,863,203		—		292,344
														9,715,179
Small-Cap Fund — 2.2%
BMO Small-Cap Value Fund (1)		3,231,150		520,640		897,957		(6,867	)		7,522			2,854,488		—		240,193
BMO Small-Cap Growth Fund		5,759,143		944,726		1,669,152		(364,007	)		329,947			5,000,657		—		581,143
														7,855,145
International Funds — 9.7%
BMO Disciplined International Equity Fund		12,780,966		2,391,724		2,256,197		296,560			42,501			13,255,554		266,502		—
BMO Pyrford International Stock Fund (1)		12,462,254		1,095,051		1,578,567		(136,446	)		179,504			12,021,796		310,932		—
BMO LGM Emerging Markets Equity Fund		7,746,000		3,117,451		1,636,636		436,049			58,891			9,721,755		61,167		—
														34,999,105
Fixed Income Funds — 11.1%
BMO TCH Emerging Markets Bond Fund*		4,062,873		545,624		4,381,098		(109,223	)		(118,176	)		—		197,546		—
BMO TCH Core Plus Bond Fund		40,584,040		5,595,282		5,264,692		(977,077	)		(5,864	)		39,931,689		576,318		37,053
														39,931,689
Alternative Funds — 7.0%
BMO Alternative Strategies Fund		25,900,196		3,469,798		2,308,583		(1,919,802	)		(26,506	)		25,115,103		—		1,595,568
Short-Term Investment — 0.7%
BMO Institutional Prime Money Market Fund		3,074,917		23,016,603		23,636,336		40			(302	)		2,454,922		22,088		—
Totals	$	189,309,299	$	49,914,190	$	57,606,570	$	(1,753,637	)	$	1,967,963		$	181,831,245	$	1,848,842	$	7,081,601
Growth Allocation Fund
Large-Cap Funds — 22.7%
BMO Low Volatility Equity Fund	$	6,167,311	$	892,750	$	868,126	$	93,970		$	7,879		$	6,293,784	$	47,818	$	165,542
BMO Dividend Income Fund		3,345,242		657,119		607,098		(46,763	)		62,334			3,410,834		37,810		374,086
BMO Large-Cap Value Fund (1)		11,205,176		1,930,990		1,911,878		23,569			82,592			11,330,449		76,206		961,084
BMO Large-Cap Growth Fund (1)		8,886,380		1,072,664		1,542,506		518,460			101,952			9,036,950		11,304		487,097
														30,072,017
Mid-Cap Funds — 3.6%
BMO Mid-Cap Value Fund (1)		2,323,392		308,817		298,406		16,010			18,419			2,368,232		22,730		93,806
BMO Mid-Cap Growth Fund (1)		2,345,710		249,884		433,146		163,634			47,634			2,373,716		—		142,054
														4,741,948
Small-Cap Fund — 2.9%
BMO Small-Cap Value Fund (1)		1,501,140		297,636		398,568		(6,627	)		(1,293	)		1,392,288		—		115,222
BMO Small-Cap Growth Fund		2,688,854		495,936		721,511		(86,021	)		55,262			2,432,520		—		282,588
														3,824,808
International Funds — 12.9%
BMO Disciplined International Equity Fund		5,896,903		1,081,368		673,136		142,070			6,035			6,453,240		128,022		—
BMO Pyrford International Stock Fund (1)		5,759,429		606,042		521,120		4,762			3,025			5,852,138		149,359		—
BMO LGM Emerging Markets Equity Fund		3,590,962		1,595,269		692,849		222,159			12,097			4,727,638		29,258		—
														17,033,016
Fixed Income Funds — 4.2%
BMO TCH Emerging Markets Bond Fund*		538,729		137,510		644,549		(17,204	)		(14,486	)		—		27,274		—
BMO TCH Core Plus Bond Fund		5,332,581		1,242,253		851,750		(127,390	)		(9,831	)		5,585,863		78,538		5,056
														5,585,863
Alternative Funds — 5.6%
BMO Alternative Strategies Fund		7,188,515		1,629,059		848,409		(539,040	)		(33,881	)		7,396,244		—		460,639
Short-Term Investment — 0.5%
BMO Institutional Prime Money Market Fund		1,222,859		11,636,174		12,207,828		65			(167	)		651,103		7,942		—
Totals	$	67,993,183	$	23,833,471	$	23,220,880	$	361,654		$	337,571		$	69,304,999	$	616,261	$	3,087,174

51

Notes to Financial Statements (continued)

Fund/Security Description	Value, Beginning of Period		Purchases		Sales Proceeds		Change in Unrealized Appreciation (Depreciation)			Net Realized Gain(Loss)		Value, End of Period		Dividends Credited to Income		Net Realized Gain on Capital Gain Distributions
Aggressive Allocation Fund
Large-Cap Funds — 27.1%
BMO Low Volatility Equity Fund	$	10,098,441	$	1,476,792	$	1,382,646	$	152,651		$	31,025	$	10,376,263	$	78,556	$	271,895
BMO Dividend Income Fund		5,526,761		943,976		886,510		(88,576	)		122,465		5,618,116		61,960		613,928
BMO Large-Cap Value Fund (1)		18,461,681		2,959,731		3,417,252		(29,898	)		235,714		18,209,976		124,966		1,578,146
BMO Large-Cap Growth Fund (1)		14,572,342		1,661,942		2,870,587		754,052			262,706		14,380,455		18,560		799,749
													48,584,810
Mid-Cap Funds — 4.4%
BMO Mid-Cap Value Fund (1)		3,838,366		505,526		509,155		9,724			53,483		3,897,944		37,226		153,895
BMO Mid-Cap Growth Fund (1)		3,858,204		369,640		672,583		227,110			124,675		3,907,046		—		233,066
													7,804,990
Small-Cap Fund — 3.5%
BMO Small-Cap Value Fund (1)		2,499,768		523,700		733,275		(11,057	)		3,898		2,283,034		—		189,729
BMO Small-Cap Growth Fund		4,435,179		801,062		1,173,930		(228,934	)		184,073		4,017,450		—		464,181
													6,300,484
International Funds — 15.1%
BMO Disciplined International Equity Fund		9,752,897		1,014,525		1,302,273		209,609			38,815		9,713,573		210,608		—
BMO Pyrford International Stock Fund (1)		9,480,721		1,370,475		1,226,569		(19,677	)		45,016		9,649,966		245,325		—
BMO LGM Emerging Markets Equity Fund		5,908,535		2,712,831		1,210,785		364,502			25,238		7,800,321		48,127		—
													27,163,860
Alternative Funds — 0.5%
BMO Alternative Strategies Fund		2,485,944		376,208		1,808,612		(166,571	)		9,711		896,680		—		155,997
Short-Term Investment — 1.2%
BMO Institutional Prime Money Market Fund		444,956		12,701,855		10,989,134		91			83		2,157,851		10,779		—
Totals	$	91,363,795	$	27,418,263	$	28,183,311	$	1,173,026		$	1,136,902	$	92,908,675	$	836,107	$	4,460,586

* Reflects operations for the period from September 1, 2017, to February 22, 2018 (termination date).

(1) Effective February 26, 2018, certain underlying affiliated issuers’ Institutional Class of shares were exchanged for Retirement Class R-6 shares.

Interfund Borrowing and Lending—The Funds participate in an interfund lending program. This program allows the Funds to lend cash to and/or borrow cash from other Funds for temporary purposes. The program is subject to a number of conditions, including the requirement that the interfund loan rate to be charged to the Funds under the program is (i) more favorable to the lending Fund than the rate it could otherwise obtain from investing cash in repurchase agreements or purchasing shares of BMO Prime Money Market Fund or BMO Government Money Market Fund and (ii) more favorable to the borrowing Fund than the lowest interest rate at which bank short-term loans would be available to the Funds. In addition, a Fund may participate in the program only if its participation is consistent with the Fund’s investment policies and limitations. The Directors are responsible for the oversight of the interfund lending program. No interfund borrowing or lending balances existed as of February 28, 2018.

Funds utilizing the Interfund lending program, borrowing from the BMO Government Money Market Fund during the period ended February 28, 2018, were as follows:

Fund	Average Daily Loan Balance Outstanding		Weighted Average Interest Rate
In-Retirement Fund	$	2,312		1.252	%
2015 Fund		1,580		1.250
2025 Fund		2,294		1.419
2030 Fund		8,993		1.343
2035 Fund		7,267		1.312
2040 Fund		5,160		1.326
2045 Fund		4,850		1.280
2050 Fund		4,356		1.326
2055 Fund		2,692		1.315
Conservative Allocation Fund		399		1.420

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

52

BMO Funds

6. Line of Credit

The Corporation, on behalf of the respective Funds, participated in a $25 million unsecured, committed revolving line of credit (“LOC”) agreement with UMB Bank, n.a. The LOC was made available for extraordinary or emergency purposes, primarily for financing redemption payments. Borrowings are charged interest at a rate of the London Interbank Offering Rate (“LIBOR”) plus 1.25% and a commitment fee of 0.20% per annum on the daily unused portion with no administrative fee. No borrowings were outstanding under the LOC at February 28, 2018. The Funds did not utilize the LOC during the period ended February 28, 2018.

7. Investment Transactions

Purchases and sales of investments, excluding short-term U.S. government securities, short-term obligations, and in-kind contributions, for the period ended February 28, 2018 were as follows:

	Other than U.S Government Securities				U.S. Government Securities
Fund	Purchases		Sales		Purchases		Sales
In-Retirement Fund	$	3,469,682	$	3,067,590	$	—	$	—
2015 Fund		1,073,660		1,290,476		—		—
2020 Fund		17,117,858		17,039,578		—		—
2025 Fund		8,249,432		5,395,106		—		—
2030 Fund		21,731,120		17,939,004		—		—
2035 Fund		2,963,281		3,148,228		—		—
2040 Fund		12,233,986		8,900,773		—		—
2045 Fund		2,329,465		2,117,396		—		—
2050 Fund		9,020,511		6,799,507		—		—
2055 Fund		2,956,342		1,446,105		—		—
Conservative Allocation Fund		10,520,394		40,508,225		—		—
Moderate Allocation Fund		20,610,473		24,714,981		—		—
Balanced Allocation Fund		63,578,641		78,506,550		—		—
Growth Allocation Fund		25,575,455		25,649,129		—		—
Aggressive Allocation Fund		30,487,341		34,001,729		—		—

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

53

Notes to Financial Statements (continued)

Accounting for Uncertainty in Income Taxes requires management of the Funds to analyze all open tax years, as defined by the statutes of limitations, for all major jurisdictions, which includes federal and certain states. Open tax years are those that are open for exam by the taxing authorities (i.e., the last four tax years and the interim tax period since then). The Funds, have no examinations in progress. For all open tax years and all major taxing jurisdictions through the end of the reporting period, management of the Funds reviewed all tax positions taken or expected to be taken in the preparation of the Funds’ tax returns and concluded that Accounting for Uncertainty in Income Taxes resulted in no effect on the Funds’ reported net assets or results of operations as of and during the period ended February 28, 2018. Management of the Funds also is not aware of any tax positions for which it is reasonably possible that the total amounts of recognized tax benefits will significantly change in the next twelve months.

Fund	Cost of Investments for Federal Tax Purposes		Gross Unrealized Appreciation for Federal Tax Purposes		Gross Unrealized (Depreciation) for Federal Tax Purposes			Net Unrealized Appreciation for Federal Tax Purposes
In-Retirement Fund	$	13,350,632	$	2,148,725	$	(261,376	)	$	1,887,349
2015 Fund		3,537,815		221,194		(68,295	)		152,899
2020 Fund		62,801,999		19,546,364		(954,692	)		18,591,672
2025 Fund		22,673,691		2,321,255		(386,807	)		1,934,448
2030 Fund		7,370,133		27,264,076		(777,990	)		26,486,086
2035 Fund		11,597,733		1,760,154		(133,414	)		1,626,740
2040 Fund		39,828,871		17,998,284		(287,435	)		17,710,849
2045 Fund		7,393,489		1,060,480		(95,270	)		965,210
2050 Fund		31,449,566		12,015,358		(300,480	)		11,714,878
2055 Fund		7,932,037		1,079,828		(119,633	)		960,195
Conservative Allocation Fund		111,363,864		68,407,119		(146,386	)		68,260,733
Moderate Allocation Fund		37,711,229		5,376,073		(242,719	)		5,133,354
Balanced Allocation Fund		89,478,092		18,308,987		(1,118,018	)		17,190,969
Growth Allocation Fund		268,811,341		92,528,324		(2,418,205	)		90,110,119
Aggressive Allocation Fund		91,624,007		40,445,471		(469,947	)		39,975,524

The difference between book basis and tax basis unrealized appreciation/depreciation is attributable in part to the tax deferral of losses on wash sales.

The tax character of distributions reported on the Statement of Changes in Net Assets for the years ended August 31, 2017 and August 31, 2016, were as follows:

	2017				2016
Fund	Ordinary Income(1)		Long-Term Capital Gains		Ordinary Income(1)		Long-Term Capital Gains
In-Retirement Fund	$	511,590	$	925,260	$	607,266	$	1,497,614
2015 Fund		104,541		—		130,709		45,046
2020 Fund		1,860,077		4,010,380		2,458,238		5,197,602
2025 Fund		619,664		574,669		590,795		248,669
2030 Fund		1,684,830		3,794,697		2,098,312		3,990,322
2035 Fund		534,601		940,910		547,096		80,275
2040 Fund		997,987		2,711,921		1,223,268		3,715,337
2045 Fund		271,179		595,869		260,096		41,095
2050 Fund		641,782		1,777,285		671,827		1,380,429
2055 Fund		122,469		264,738		74,229		28,353
Conservative Allocation Fund		3,938,319		—		3,815,950		2,777,464
Moderate Allocation Fund		3,317,223		1,671,078		3,459,012		4,865,588
Balanced Allocation Fund		8,980,113		21,697,731		10,349,085		34,072,578
Growth Allocation Fund		2,008,915		5,863,115		2,750,080		8,796,346
Aggressive Allocation Fund		2,739,308		16,714,385		4,154,898		14,983,574

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

54

BMO Funds

As of August 31, 2017, the components of distributable earnings on a tax basis are as follows:

Fund	Undistributed Ordinary Income		Undistributed Long-Term Capital Gains		Accumulated Capital and Other Losses			Other Adjustments			Unrealized Appreciation
In-Retirement Fund	$	189,089	$	737,105	$	—		$	—		$	2,144,007
2015 Fund		37,094		—		(25,595	)		—			202,755
2020 Fund		807,413		3,057,418		—			—			18,617,571
2025 Fund		232,708		116,916		—			—			1,669,111
2030 Fund		771,792		2,793,636		—			—			24,736,900
2035 Fund		217,922		367,532		—			—			1,403,093
2040 Fund		454,587		3,537,790		—			—			16,598,788
2045 Fund		105,768		228,801		—			—			802,603
2050 Fund		371,871		664,300		—			—			10,819,174
2055 Fund		87,771		72,343		—			—			756,360
Conservative Allocation Fund		1,954,319		4,348,930		—			—			9,247,041
Moderate Allocation Fund		1,687,810		3,993,054		—			(1	)		18,694,825
Balanced Allocation Fund		5,481,516		24,899,291		—			—			93,644,154
Growth Allocation Fund		1,924,624		5,656,882		—			—			37,609,398
Aggressive Allocation Fund		2,808,028		16,680,679		—			—			66,218,130

As of August 31 2017, the following funds had non-expiring capital loss carryforwards of:

	Capital Loss Carry Forward
Fund	ST		LT
2015 Fund	$	25,595	$	—

9. Recently Issued Accounting Pronouncement

In October 2016, the Securities and Exchange Commission released its Final Rules on Investment Company Reporting Modernization (the “Rules”). The Rules introduce new regulatory reporting forms for investment companies; Form N-PORT and Form N-CEN. The compliance date for Form N-PORT and Form N-CEN is June 1, 2018 and compliance should be based on the reporting period-end date.

10. Subsequent Events

Management of the Funds have evaluated the impact of all subsequent events on the Funds through the date the financial statements were issued, and has determined that no subsequent events exist requiring recognition or disclosure in the financial statements.

55

NOTES

56

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

Proxy Voting

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

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

Disclosure of Portfolio Holdings

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

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

PRSRT STD U.S. POSTAGE PAID LANCASTER, PA PERMIT NO. 1793

	BMO Funds U.S. Services P.O. Box 55931 Boston, MA 02205-5931
	Contact us 1-800-236-FUND (3863) 414-287-8555
	Learn more bmofunds.com

BMO Investment Distributors, LLC, Distributor

BMO Asset Management Corp., Investment Adviser

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

© 2018 BMO Financial Corp. (3/18)

Item 2. Code of Ethics.

Not applicable to semi-annual reports.

Item 3. Audit Committee Financial Expert.

Not applicable to semi-annual reports.

Item 4. Principal Accountant Fees and Services.

Not applicable to semi-annual reports.

Item 5. Audit Committee of Listed Registrants.

Not applicable.

Item 6. Schedule of Investments.

Except as noted below, the schedules of investments are included as part of the report to shareholders filed under Item 1 of this Form. The schedules of investments for BMO Ultra Short Tax-Free Fund, BMO Short Tax-Free Fund, and BMO Intermediate Tax-Free Fund, are filed under this Item.

Ultra Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 28, 2018

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 91.1%
Alabama — 4.1%
Albertville Municipal Utilities Board, AGM:
2.000%, 8/15/2019		$735,000	$	735,625
2.000%, 8/15/2020		355,000		353,899
Chatom Industrial Development Board, 1.550%, 8/1/2037, Call 8/1/2018 (9)		2,800,000		2,799,748
City of Brundidge, AGM, 2.000%, 12/1/2018		385,000		386,051
County of Jefferson, 5.000%, 9/15/2019		1,000,000		1,052,950
Eutaw Industrial Development Board, 1.280%, 6/1/2028, Call 3/1/2018 (9)		400,000		400,000
Health Care Authority for Baptist Health, 1.900%, 11/1/2042 (9)		14,125,000		14,125,000
Limestone County Water & Sewer Authority, BAM, 2.000%, 12/1/2019		160,000		160,904
Mobile Industrial Development Board:
1.180%, 6/1/2034, Call 3/1/2018 (9)		4,000,000		4,000,000
1.290%, 6/1/2034, Call 3/1/2018 (9)		4,350,000		4,350,000
				28,364,177
Arizona — 0.8%
Arizona Health Facilities Authority:
2.940% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (10)		3,250,000		3,297,222
2.940% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (10)		750,000		760,898
Arizona School Facilities Board, AMBAC, 5.000%, 7/1/2018		300,000		303,492
City of Tucson, AGM, 3.000%, 7/1/2018		500,000		502,585
Maricopa County Pollution Control Corp., 1.750%, 5/30/2018 (9)		500,000		499,905
				5,364,102
Arkansas — 2.0%
Arkansas Development Finance Authority:
1.900%, 9/1/2044, Call 3/1/2018 (9)		7,000,000		7,000,000
2.190% (SIFMA Municipal Swap Index Yield+110 basis points), 9/1/2019, Call 3/1/2019 (10)		3,000,000		3,003,960
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		300,000		299,736
Little Rock School District, SAW, 3.000%, 2/1/2019		3,000,000		3,035,460
				13,339,156
California — 7.6%
Bay Area Toll Authority:
1.875%, 4/1/2019, Call 10/1/2018 (9)		525,000		526,433
2.190% (SIFMA Municipal Swap Index Yield+110 basis points), 4/1/2024, Call 10/1/2023 (10)		1,750,000		1,800,592
California Health Facilities Financing Authority, NATL-RE, 2.049%, 7/1/2022, Call 3/1/2018 (9) (11)		700,000		676,599
California Infrastructure & Economic Development Bank:
1.050%, 12/1/2018		750,000		746,010
1.370% (SIFMA Municipal Swap Index Yield+28 basis points), 4/2/2018, Call 3/21/2018 (10)		550,000		550,083
California Pollution Control Financing Authority, 1.100%, 4/1/2020, Call 3/1/2018 (9)		2,500,000		2,500,000
Golden Empire Schools Financing Authority, 4.000%, 5/1/2018		4,000,000		4,018,960
Golden State Tobacco Securitization Corp., 4.000%, 6/1/2018		5,000,000		5,032,500
Modesto Public Financing Authority, 1.100%, 9/1/2033, Call 3/1/2018 (9)		2,400,000		2,400,000
Northern California Gas Authority No. 1, 1.765% (LIBOR 3 Month+63 basis points), 7/1/2019 (10)		7,500,000		7,507,125
Palomar Health:
4.000%, 11/1/2018		125,000		126,448
4.000%, 11/1/2019		505,000		518,004
Rib Floater Trust Various States, 1.250%, 8/15/2051 (5) (9)		3,000,000		3,000,000
State of California:

1.380% (SIFMA Municipal Swap Index Yield+29 basis points), 12/1/2020, Call 12/1/2019 (10)	750,000	750,083
1.936% (LIBOR 1 Month+83 basis points), 12/3/2018, Call 6/1/2018 (10)	950,000	950,788
State of California, FSA, 1.350%, 8/1/2027 (5) (9)	5,490,000	5,490,000
Tender Option Bond Trust Receipts/Certificates:
1.190%, 5/1/2022 (5) (9)	3,000,000	3,000,000
1.190%, 11/1/2023 (5) (9)	8,000,000	8,000,000
1.240%, 8/1/2024 (5) (9)	4,760,000	4,760,000
		52,353,625
Colorado — 2.3%
City & County of Denver, AGC, 1.230%, 11/15/2025, Call 3/1/2018 (9) (11)	525,000	525,000
Colorado Educational & Cultural Facilities Authority, 1.120%, 7/1/2033, Call 3/1/2018 (9)	7,000,000	7,000,000
Colorado Health Facilities Authority:
1.730%, 7/1/2034, Call 7/1/2019 (5) (9)	4,300,000	4,300,000
5.000%, 6/1/2019	450,000	466,137
E-470 Public Highway Authority, 1.986% (LIBOR 1 Month+90 basis points), 9/1/2019, Call 3/1/2019 (10)	3,445,000	3,453,716
		15,744,853
Connecticut — 0.3%
Norwalk Housing Authority, 1.250%, 6/1/2018 (9)	2,200,000	2,197,360
District of Columbia — 0.5%
District of Columbia Housing Finance Agency, AGM, 5.000%, 7/1/2021, Call 4/2/2018	360,000	361,008
Washington Convention & Sports Authority, 5.000%, 10/1/2020 (12)	2,500,000	2,705,875
		3,066,883
Florida — 4.1%
Citizens Property Insurance Corp., 5.000%, 6/1/2018	2,500,000	2,522,950
City of Cape Coral, AGM, 1.400%, 9/1/2018	645,000	644,613
City of Jacksonville, 1.180%, 5/1/2029, Call 3/1/2018 (9)	300,000	300,000
City of Orlando, AGM:
3.000%, 11/1/2019	850,000	869,031
4.000%, 11/1/2018	650,000	660,816
City of Port St. Lucie, 1.125%, 7/1/2018	625,000	623,019
Columbia County School Board, 5.000%, 7/1/2018	880,000	890,208
County of Martin, 1.150%, 7/15/2022, Call 3/1/2018 (9)	2,300,000	2,300,000
Florida Municipal Power Agency, AMBAC:
2.161%, 10/1/2021 (9) (11)	325,000	325,000
2.175%, 10/1/2021, Call 3/1/2018 (9) (11)	250,000	250,000
JEA Electric System Revenue:
1.100%, 10/1/2036, Call 3/1/2018 (9)	1,300,000	1,300,000
5.000%, 10/1/2018	600,000	612,120
Manatee County School District, AGM, 4.000%, 10/1/2018	670,000	679,836
Miami-Dade County Industrial Development Authority, 1.170%, 6/1/2021, Call 3/1/2018 (9)	3,000,000	3,000,000
North Broward Hospital District:
5.000%, 1/1/2019	630,000	645,630
5.000%, 1/1/2020	875,000	920,955
Palm Beach County School District, 5.000%, 8/1/2019	1,600,000	1,678,032
Putnam County Development Authority, AMBAC, 5.350%, 5/1/2018 (9)	900,000	905,760
Sarasota County Health Facilities Authority, 4.000%, 1/1/2019	500,000	509,020
School Board of Miami-Dade County, FGIC, 1.320%, 3/1/2018 (5) (9)	8,000,000	8,000,000
Sumter County Industrial Development Authority, 4.000%, 7/1/2019	620,000	638,005
		28,274,995
Georgia — 3.5%
Atkinson/Coffee Counties Joint Development Authority, 1.650%, 12/1/2019, Call 6/1/2019	3,000,000	2,987,550
City of Atlanta, 2.574% (LIBOR 1 Month+150 basis points), 11/1/2018, Call 5/1/2018 (10)	2,750,000	2,754,180
Georgia State Road & Tollway Authority, 5.000%, 6/1/2019	1,750,000	1,823,133
Morgan County Hospital Authority, 2.750%, 9/1/2019, Call 3/1/2019	3,750,000	3,741,825
Municipal Electric Authority of Georgia, 1.080%, 3/1/2020, Call 3/1/2018 (9)	7,000,000	7,000,000
Peach County Development Authority, 1.200%, 10/1/2018, Call 4/1/2018	1,000,000	997,580
Tender Option Bond Trust Receipts/Certificates, County Guarantee, 1.220%, 8/15/2049, Call 2/1/2025 (5) (9)	3,000,000	3,000,000
Waleska Downtown Development Authority, 2.000%, 8/1/2019, Call 2/1/2019	1,690,000	1,689,983
		23,994,251

Guam — 0.0%
Territory of Guam, 5.000%, 12/1/2018	250,000	255,685
Hawaii — 0.4%
City & County of Honolulu, 1.390% (SIFMA Municipal Swap Index Yield+30 basis points), 9/1/2020, Call 9/1/2018 (10)	2,800,000	2,801,008
Idaho — 1.4%
American Falls Reservoir District, 1.140%, 2/1/2025, Call 3/1/2018 (9)	4,885,000	4,885,000
Idaho Housing & Finance Association, 1.290%, 1/1/2038, Call 3/1/2018 (9)	4,400,000	4,400,000
		9,285,000
Illinois — 4.9%
City of Chicago:
5.000%, 11/1/2018	1,155,000	1,180,964
5.000%, 11/1/2018	1,000,000	1,022,480
5.000%, 11/1/2019	250,000	262,627
City of Chicago, AGM, 4.250%, 11/1/2018	150,000	152,633
County of Cook, 5.000%, 11/15/2018	1,300,000	1,330,914
Illinois Educational Facilities Authority, 1.800%, 2/13/2020 (9)	2,000,000	2,000,380
Illinois Finance Authority:
1.050%, 7/30/2018 (9)	3,275,000	3,268,679
1.090%, 7/1/2039, Call 3/1/2018 (9)	2,155,000	2,155,000
3.000%, 12/1/2018	125,000	125,948
3.000%, 12/1/2019	200,000	202,620
4.000%, 11/15/2018	200,000	203,310
5.000%, 8/15/2018	200,000	202,270
5.000%, 11/15/2018	350,000	358,074
5.000%, 11/15/2019	250,000	263,435
5.000%, 11/15/2019	605,000	636,890
Illinois State University, 5.000%, 4/1/2020	200,000	209,656
Kankakee River Metropolitan Agency, AGM:
2.000%, 5/1/2018	100,000	99,999
3.000%, 5/1/2019	300,000	302,946
Lake County Forest Preserve District, 1.569% (LIBOR 3 Month+48 basis points), 12/15/2020 (10)	370,000	370,059
Northern Illinois Municipal Power Agency, 5.000%, 12/1/2018	500,000	511,920
Ogle Lee & De Kalb Counties Township High School District No. 212 Rochelle, 4.000%, 12/1/2018	925,000	941,132
Railsplitter Tobacco Settlement Authority, 5.000%, 6/1/2018	2,360,000	2,379,753
State of Illinois, 5.000%, 11/1/2022	10,000,000	10,538,600
Tender Option Bond Trust Receipts/Certificates, 1.240%, 6/15/2032, Call 6/15/2026 (5) (9)	4,655,000	4,655,000
Town of Normal, 4.000%, 6/1/2019 (12)	230,000	236,638
Village of Rantoul, AGM, 2.000%, 1/1/2019	150,000	150,171
		33,762,098
Indiana — 2.1%
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.350%, 7/1/2047, Call 3/1/2018 (9)	6,000,000	6,000,000
Tender Option Bond Trust Receipts/Certificates, 1.440%, 4/15/2019 (5) (9)	8,500,000	8,500,000
		14,500,000
Iowa — 1.1%
City of Altoona, 3.000%, 6/1/2018	220,000	220,819
Iowa Higher Education Loan Authority:
1.000%, 9/1/2018, Call 4/2/2018	3,000,000	2,988,450
2.000%, 12/1/2018, Call 6/1/2018	3,500,000	3,501,820
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018	405,000	402,878
Xenia Rural Water District, 2.000%, 12/1/2018	225,000	225,263
		7,339,230
Kentucky — 1.3%
Kentucky Economic Development Finance Authority, 1.250%, 3/1/2018 (9)	545,000	545,000
Kentucky Rural Water Finance Corp., 3.000%, 11/1/2018	3,000,000	3,027,990
Laurel County Judicial Center Public Properties Corp., 4.000%, 3/1/2020 (12)	530,000	549,790
Louisville/Jefferson County Metropolitan Government:
1.250%, 6/3/2019 (9)	1,000,000	992,110
1.250%, 6/3/2019 (9)	1,000,000	992,110

Northern Kentucky Water Service District, 3.000%, 4/1/2019, Call 10/1/2018	2,500,000	2,514,475
		8,621,475
Louisiana — 2.6%
East Baton Rouge Sewerage Commission, 1.602% (LIBOR 1 Month+50 basis points), 8/1/2018, Call 4/16/2018 (10)	5,950,000	5,950,000
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	435,000	416,260
Louisiana Public Facilities Authority:
1.340%, 7/1/2021, Call 3/1/2018 (9)	1,155,000	1,155,000
4.000%, 5/15/2019	225,000	230,940
Parish of St. Charles, 1.170%, 10/1/2022, Call 3/1/2018 (9)	5,200,000	5,200,000
Parish of St. James, 1.400%, 11/1/2040, Call 3/1/2018 (9)	5,000,000	5,000,000
		17,952,200
Maine — 0.0%
City of Portland, 5.000%, 1/1/2019	305,000	313,259
Maryland — 0.9%
City of Baltimore:
3.000%, 9/1/2018	250,000	251,888
4.000%, 9/1/2019	350,000	362,061
County of Montgomery, 1.140%, 6/1/2018 (9)	425,000	425,000
Maryland Industrial Development Financing Authority, 1.400%, 3/1/2030, Call 3/1/2018 (9)	5,000,000	5,000,000
		6,038,949
Massachusetts — 1.0%
Commonwealth of Massachusetts, 1.648% (LIBOR 3 Month+46 basis points), 11/1/2018, Call 4/2/2018 (10)	750,000	750,248
Marthas Vineyard Land Bank, BAM, 4.000%, 5/1/2018	500,000	502,035
Massachusetts Development Finance Agency, 1.570% (SIFMA Municipal Swap Index Yield+48 basis points), 1/29/2020, Call 8/1/2019 (10)	500,000	501,050
Massachusetts Municipal Wholesale Electric Co., MBIA, 2.504%, 7/1/2018, Call 3/6/2018 (9) (11)	25,000	24,935
Massachusetts Transportation Trust Fund Metropolitan Highway System Revenue, 1.110%, 1/1/2039, Call 3/1/2018 (9)	5,040,000	5,040,000
		6,818,268
Michigan — 0.8%
Boyne City Public School District, 1.500%, 5/1/2019	1,265,000	1,264,266
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	100,000	101,464
Michigan Finance Authority:
1.609% (LIBOR 1 Month+54 basis points), 12/1/2020, Call 6/1/2020 (10)	200,000	200,216
5.000%, 11/15/2018	500,000	511,750
5.000%, 11/15/2019	400,000	421,496
Michigan State Hospital Finance Authority, 1.500%, 5/1/2020 (9)	850,000	841,390
Taylor Tax Increment Finance Authority, AGM:
4.000%, 5/1/2020, Call 4/2/2018	785,000	786,546
4.000%, 5/1/2021, Call 4/2/2018	600,000	601,128
White Cloud Public Schools, Q-SBLF:
4.000%, 5/1/2018	215,000	215,879
4.000%, 5/1/2019	175,000	179,678
		5,123,813
Minnesota — 0.4%
Housing & Redevelopment Authority of The City of St. Paul:
2.000%, 11/15/2018	805,000	807,962
3.000%, 11/15/2019	600,000	613,740
Minnesota Rural Water Finance Authority, Inc., 1.050%, 3/1/2019	1,350,000	1,340,064
		2,761,766
Mississippi — 1.9%
Mississippi Business Finance Corp.:
1.110%, 11/1/2035, Call 3/1/2018 (9)	600,000	600,000
1.150%, 5/1/2037, Call 5/1/2018 (9)	6,662,000	6,658,669
Mississippi Development Bank:
2.500%, 1/1/2020	4,600,000	4,665,182
5.000%, 4/1/2018	300,000	300,912
Mississippi Hospital Equipment & Facilities Authority, 2.050%, 7/11/2018 (5) (9)	1,000,000	1,000,200
		13,224,963

Missouri — 0.8%
Cape Girardeau County Industrial Development Authority, 5.000%, 3/1/2019	220,000	226,242
Health & Educational Facilities Authority of the State of Missouri, 1.110%, 5/15/2038, Call 3/1/2018 (9)	2,300,000	2,300,000
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	210,000	218,276
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.750%, 12/1/2022, Call 3/1/2018 (9) (11)	1,750,000	1,665,475
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018	1,000,000	1,008,800
		5,418,793
Nebraska — 0.3%
Central Plains Energy Project, 5.000%, 6/1/2018	2,000,000	2,016,840
Nevada — 0.1%
City of Carson City, 5.000%, 9/1/2019	345,000	360,556
New Hampshire — 0.5%
New Hampshire Health and Education Facilities Authority Act, 1.110%, 7/1/2033, Call 3/1/2018 (9)	3,200,000	3,200,000
New Jersey — 4.9%
City of Union City, SAW, 4.000%, 11/1/2019	1,000,000	1,031,550
New Jersey Economic Development Authority:
1.370%, 11/1/2031, Call 3/1/2018 (9)	4,995,000	4,995,000
1.380%, 11/1/2040, Call 3/1/2018 (9)	5,665,000	5,665,000
1.380%, 11/1/2040, Call 3/1/2018 (9)	4,600,000	4,600,000
New Jersey Health Care Facilities Financing Authority:
1.340%, 7/1/2028, Call 3/7/2018 (9)	300,000	300,000
1.380%, 7/1/2038, Call 3/1/2018 (9)	3,400,000	3,400,000
New Jersey Transportation Trust Fund Authority:
2.090% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (10)	5,000,000	4,999,550
5.000%, 6/15/2019	1,500,000	1,554,090
New Jersey Transportation Trust Fund Authority, AGM, 5.500%, 12/15/2018	250,000	257,400
New Jersey Turnpike Authority:
1.442% (LIBOR 1 Month+34 basis points), 1/1/2021 (10)	1,750,000	1,756,825
1.582% (LIBOR 1 Month+48 basis points), 1/1/2022 (10)	750,000	754,215
Tender Option Bond Trust Receipts/Certificates:
1.210%, 7/1/2042, Call 7/1/2027 (5) (9)	2,500,000	2,500,000
1.220%, 7/1/2025 (5) (9)	2,000,000	2,000,000
		33,813,630
New Mexico — 1.2%
County of Bernalillo, 1.400%, 3/1/2019 (9)	2,875,000	2,868,215
New Mexico Municipal Energy Acquisition Authority, 1.805% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (10)	5,500,000	5,502,640
		8,370,855
New York — 11.2%
Albany Industrial Development Agency, 1.340%, 7/1/2032, Call 3/1/2018 (9)	1,240,000	1,240,000
Chautauqua County Capital Resource Corp., 1.300%, 11/1/2018 (9)	775,000	774,791
City of New York:
1.130%, 4/1/2042, Call 3/1/2018 (9)	1,800,000	1,800,000
1.640% (SIFMA Municipal Swap Index Yield+55 basis points), 8/1/2025, Call 4/2/2018 (10)	1,020,000	1,020,000
City of New York, AGC, 1.550%, 10/1/2021, Call 3/5/2018 (9) (11)	100,000	100,000
Long Island Power Authority, 1.752% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (10)	1,600,000	1,600,768
Metropolitan Transportation Authority:
1.540% (SIFMA Municipal Swap Index Yield+45 basis points), 11/15/2022 (10)	3,000,000	2,996,370
1.605% (LIBOR 1 Month+55 basis points), 11/1/2022 (10)	3,000,000	2,973,870
1.755% (LIBOR 1 Month+70 basis points), 2/1/2020 (10)	3,500,000	3,516,205
5.000%, 11/15/2019 (9)	600,000	633,600
Metropolitan Transportation Authority, AGM, 1.686% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 4/2/2018 (10)	4,650,000	4,650,651
New York City Transitional Finance Authority:
1.270%, 8/1/2022, Call 3/1/2018 (9)	4,320,000	4,320,000
1.270%, 8/1/2023, Call 3/1/2018 (9)	6,550,000	6,550,000
New York City Water & Sewer System, 1.100%, 6/15/2039, Call 3/1/2018 (9)	5,950,000	5,950,000
New York State Dormitory Authority, 4.000%, 12/1/2018 (5)	1,000,000	1,012,270

New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9) (11)	7,350,000	7,350,000
New York State Housing Finance Agency, 1.140%, 5/1/2042, Call 3/1/2018 (9)	4,000,000	4,000,000
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.390%, 5/1/2047, Call 3/1/2018 (5) (9)	5,000,000	5,000,000
State of New York Mortgage Agency, 1.100%, 4/1/2047, Call 3/1/2018 (9)	8,000,000	8,000,000
State of New York, NATL-RE FGIC:
2.162%, 2/15/2022, Call 3/1/2018 (9) (11)	1,180,000	1,156,896
2.162%, 2/13/2032, Call 3/1/2018 (9) (11)	1,245,000	1,201,686
Triborough Bridge & Tunnel Authority:
1.140%, 11/1/2032, Call 3/1/2018 (9)	5,650,000	5,650,000
1.755% (LIBOR 1 Month+70 basis points), 2/1/2021 (10)	4,935,000	4,964,215
Upper Mohawk Valley Regional Water Finance Authority, 4.000%, 4/1/2018	65,000	65,134
		76,526,456
North Carolina — 1.4%
City of Raleigh, 1.110%, 3/1/2035, Call 3/1/2018 (9)	3,700,000	3,700,000
County of New Hanover, 1.100%, 10/1/2038, Call 3/1/2018 (9)	1,875,000	1,875,000
North Carolina Medical Care Commission:
1.150%, 11/1/2034, Call 3/1/2018 (9)	3,000,000	3,000,000
1.410%, 6/1/2029, Call 6/1/2020 (5) (9)	1,000,000	1,000,000
		9,575,000
North Dakota — 0.3%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2018	565,000	566,983
4.000%, 5/1/2019	590,000	603,222
City of Williston, AGM, 2.650%, 11/1/2020, Call 4/2/2018	1,100,000	1,100,990
		2,271,195
Ohio — 6.9%
City of Akron, 3.000%, 12/12/2018	4,000,000	4,042,120
City of Cuyahoga Falls, 1.750%, 8/8/2018	3,220,000	3,222,576
City of Grove City, 2.500%, 3/7/2019 (12)	4,000,000	4,035,960
County of Franklin, 1.100%, 5/1/2018, Call 3/1/2018 (9)	1,575,000	1,575,000
County of Lorain, 2.000%, 3/29/2018	1,650,000	1,650,973
County of Richland, 3.250%, 2/1/2019	695,000	704,695
Lancaster Port Authority, 1.775% (LIBOR 1 Month+72 basis points), 8/1/2019, Call 2/1/2019 (10)	5,000,000	5,005,050
Ohio Higher Educational Facility Commission:
1.100%, 1/1/2039, Call 3/1/2018 (9)	5,000,000	5,000,000
2.250%, 9/1/2018 (9)	460,000	461,293
5.000%, 12/1/2018	500,000	512,790
Rib Floater Trust Various States, 1.340%, 11/15/2048, Call 4/2/2018 (5) (9)	4,000,000	4,000,000
State of Ohio:
1.200%, 2/1/2019, Call 3/7/2018 (9)	1,975,000	1,975,000
1.250%, 3/1/2018 (9)	4,500,000	4,500,000
1.340%, 1/15/2045, Call 3/1/2018 (9)	5,500,000	5,500,000
1.350%, 1/15/2045, Call 3/1/2018 (9)	5,000,000	5,000,000
		47,185,457
Oklahoma — 0.2%
Oklahoma County Finance Authority, 5.000%, 10/1/2019	510,000	536,622
Oklahoma Municipal Power Authority, 1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 8/1/2018, Call 4/2/2018 (10)	110,000	110,024
Tulsa County Independent School District No. 4 Bixby, 2.000%, 7/1/2019	1,000,000	1,006,950
		1,653,596
Oregon — 0.8%
Clackamas County Hospital Facility Authority, 1.080%, 6/1/2037, Call 3/1/2018 (9)	1,500,000	1,500,000
County of Gilliam, 1.500%, 10/1/2018	1,000,000	999,190
Port of Morrow, 1.140%, 2/1/2027, Call 3/1/2018 (9)	3,210,000	3,210,000
		5,709,190
Pennsylvania — 3.5%
City of Philadelphia, 4.000%, 8/1/2018	2,000,000	2,020,940
Commonwealth Financing Authority, 5.000%, 6/1/2020	1,000,000	1,064,440
Indiana County Industrial Development Authority, 1.550%, 4/1/2019, Call 10/1/2018	1,850,000	1,848,613

Manheim Township School District, 1.541% (LIBOR 1 Month+47 basis points), 11/1/2021, Call 5/1/2021 (10)	2,000,000	2,006,100
Montgomery County Industrial Development Authority, AGC, 1.250%, 11/15/2029, Call 3/1/2018 (9)	1,500,000	1,500,000
North Penn Water Authority, 1.555% (LIBOR 1 Month+50 basis points), 11/1/2019, Call 5/1/2019 (10)	2,000,000	2,000,740
Old Forge School District, BAM SAW:
1.180%, 5/1/2018	200,000	199,806
2.000%, 5/1/2019	500,000	500,970
Pennsylvania Turnpike Commission:
1.770% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (10)	6,000,000	6,008,640
1.970% (SIFMA Municipal Swap Index Yield+88 basis points), 12/1/2020, Call 6/1/2020 (10)	1,800,000	1,822,338
2.240% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (10)	2,225,000	2,249,408
Scranton School District, SAW, 2.071% (LIBOR 1 Month+100 basis points), 4/2/2018 (10)	2,980,000	2,979,970
		24,201,965
Rhode Island — 0.5%
Rhode Island Health & Educational Building Corp.:
1.080%, 8/15/2036, Call 3/1/2018 (9)	2,550,000	2,550,000
5.000%, 5/15/2018	1,000,000	1,005,960
		3,555,960
South Carolina — 0.9%
Lexington County Health Services District, Inc., 5.000%, 11/1/2019	250,000	263,220
South Carolina Educational Facilities Authority, 1.120%, 10/1/2039, Call 3/1/2018 (9)	2,665,000	2,665,000
South Carolina Jobs-Economic Development Authority, 2.250%, 5/1/2019, Call 11/1/2018 (5)	3,000,000	2,983,890
		5,912,110
Tennessee — 0.9%
Clarksville Public Building Authority, 1.240%, 2/1/2038, Call 3/1/2018 (9)	745,000	745,000
County of Monroe, 1.200%, 6/15/2019, Call 12/15/2018	1,250,000	1,246,650
Knox County Health Educational & Housing Facility Board, 1.150%, 8/1/2018	1,000,000	999,050
Tender Option Bond Trust Receipts/Certificates, 1.240%, 7/1/2046, Call 7/1/2026 (5) (9)	3,400,000	3,400,000
Tennessee Housing Development Agency, 4.500%, 7/1/2028, Call 1/1/2020	75,000	76,332
		6,467,032
Texas — 6.7%
Austin Convention Enterprises, Inc., 5.000%, 1/1/2019	400,000	410,128
Bexar County Health Facilities Development Corp.:
5.000%, 7/15/2019	125,000	129,847
5.000%, 7/15/2020	175,000	185,747
City of Lewisville, AGM, 4.000%, 9/1/2018	340,000	344,196
Crane County Water District, 4.000%, 2/15/2019	1,000,000	1,022,310
Cypress-Fairbanks Independent School District, PSF, 2.000%, 8/15/2018 (9)	2,000,000	2,004,940
Deer Park Independent School District, PSF, 3.000%, 10/1/2019 (9) (12)	2,000,000	2,039,300
Denton County Fresh Water Supply District No. 7, AGM, 2.000%, 2/15/2019	240,000	240,948
Goose Creek Consolidated Independent School District, PSF:
1.180%, 8/15/2019 (9)	1,800,000	1,788,156
1.350%, 8/15/2018 (9)	700,000	699,685
Harris County Municipal Utility District No. 371, BAM:
2.000%, 9/1/2018	290,000	290,528
2.000%, 9/1/2019	295,000	295,911
Houston Independent School District, PSF, 3.000%, 6/1/2018 (9)	2,640,000	2,650,138
Irving Hospital Authority, 2.190% (SIFMA Municipal Swap Index Yield+110 basis points), 10/15/2023, Call 4/15/2023 (10)	1,000,000	999,990
Mission Economic Development Corp., 1.450%, 4/2/2018 (9)	1,000,000	1,000,070
Northside Independent School District, PSF:
2.000%, 8/1/2019 (9)	4,000,000	4,020,040
2.125%, 8/1/2020, Call 8/1/2018 (9)	1,900,000	1,903,762
Pasadena Independent School District, AGM, 1.090%, 2/1/2035, Call 3/1/2018 (9)	4,550,000	4,550,000
Spring Branch Independent School District, PSF, 3.000%, 6/18/2019 (9)	4,000,000	4,071,920
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 3/21/2018	1,120,000	1,119,574
5.250%, 8/15/2028, Call 8/15/2018	230,000	233,981
Tender Option Bond Trust Receipts/Certificates, 1.290%, 7/1/2021 (5) (9)	11,950,000	11,950,000
Trail of the Lakes Municipal Utility District, BAM, 5.000%, 4/1/2019	120,000	124,576

Travis County Health Facilities Development Corp., 5.250%, 1/4/2022, Call 1/1/2020 (9)		3,400,000	3,655,306
			45,731,053
Utah — 0.6%
County of Utah, 1.100%, 5/15/2051, Call 3/1/2018 (9)		1,400,000	1,400,000
Tender Option Bond Trust Receipts/Certificates, 1.290%, 1/1/2025 (5) (9)		2,500,000	2,500,000
			3,900,000
Virginia — 1.2%
FHLMC Multifamily Variable Rate Certificates, 1.390% (SIFMA Municipal Swap Index Yield+30 basis points), 9/15/2033 (10)		3,500,000	3,500,000
Newport News Redevelopment & Housing Authority, FHA GNMA, 1.200%, 4/1/2019		3,500,000	3,473,295
Peninsula Ports Authority, 1.550%, 10/1/2019 (9)		1,000,000	996,270
			7,969,565
Washington — 2.4%
County of Skagit, 2.000%, 12/1/2018		485,000	487,294
Tender Option Bond Trust Receipts/Certificates:
1.240%, 6/15/2033, Call 6/1/2019 (5) (9)		5,050,000	5,050,000
1.260%, 1/1/2035 (5) (9)		5,000,000	5,000,000
Washington Biomed Research Properties 3.2, 5.000%, 1/1/2019		500,000	514,845
Washington Health Care Facilities Authority, 2.169% (LIBOR 1 Month+110 basis points), 7/1/2022, Call 1/1/2022 (10)		450,000	454,149
Washington Higher Education Facilities Authority, 1.120%, 10/1/2029, Call 3/1/2018 (9)		5,000,000	5,000,000
			16,506,288
Wisconsin — 1.1%
County of Langlade, 2.000%, 10/1/2018		100,000	100,184
Hilbert School District, 2.100%, 4/1/2019, Call 4/2/2018		1,580,000	1,580,379
Public Finance Authority:
2.300%, 10/1/2019, Call 4/1/2019		1,500,000	1,497,210
5.000%, 11/15/2018		565,000	579,447
5.000%, 11/15/2019		440,000	465,555
Town of Freedom, 2.000%, 10/1/2018, Call 4/2/2018		1,170,000	1,170,363
Town of Salem, 1.375%, 11/1/2018, Call 4/2/2018		1,690,000	1,685,657
Wisconsin Health & Educational Facilities Authority:
5.000%, 2/15/2019		455,000	469,524
5.000%, 8/15/2021, Call 8/15/2018		150,000	152,530
			7,700,849
Wyoming — 0.7%
County of Converse, 1.130%, 12/1/2020, Call 3/1/2018 (9)		5,000,000	5,000,000
Total Municipals (identified cost $624,572,956)			624,543,506
Short-Term Investments — 6.7%
Mutual Funds — 0.3%
BMO Government Money Market Fund - Premier Class, 1.190% (4)		1,884,271	1,884,271
Short-Term Municipals — 6.4%
California — 0.1%
Fresno Joint Powers Financing Authority, 5.000%, 4/1/2018	$	600,000	601,692
Colorado — 0.1%
Colorado Health Facilities Authority, 5.000%, 6/1/2018		500,000	503,885
Connecticut — 0.4%
City of New Haven, 2.500%, 5/15/2018		2,900,000	2,905,626
Florida — 0.3%
Jacksonville Pollution Control, 1.220%, 3/8/2018		2,000,000	2,000,020
Georgia — 0.1%
Georgia State Road & Tollway Authority, 5.000%, 6/1/2018		1,000,000	1,009,180
Illinois — 0.2%
Chicago Transit Authority, 2.000%, 6/1/2018		175,000	175,126
Illinois Finance Authority, 3.000%, 6/1/2018		300,000	300,855
Illinois State University, 4.000%, 4/1/2018		200,000	200,290

Kendall Kane & Will Counties Community Unit School District No. 308, 3.000%, 10/1/2018	360,000		362,855
			1,039,126
Indiana — 0.4%
Union Township School Corp., 2.500%, 12/31/2018	2,900,000		2,918,357
Massachusetts — 0.3%
City of Pittsfield, 2.500%, 2/1/2019	2,264,752		2,284,750
Minnesota — 0.1%
City of Maple Grove, 3.000%, 5/1/2018	650,000		651,404
Nevada — 0.1%
City of Carson City, 5.000%, 9/1/2018	460,000		467,001
New Jersey — 0.3%
Hudson County Improvement Authority, County Guarantee, 2.250%, 4/5/2018	2,000,000		2,002,080
New York — 0.1%
County of Nassau, 3.000%, 9/18/2018	500,000		504,430
Ohio — 1.2%
City of Lakewood, 2.000%, 4/2/2018	2,500,000		2,501,575
City of Springfield, 2.000%, 3/30/2018	700,000		700,567
County of Union, 1.200%, 3/28/2018	1,500,000		1,500,015
Dublin City School District, 2.000%, 4/26/2018	1,500,000		1,501,695
Township of Union, 2.000%, 9/6/2018	2,350,000		2,357,402
			8,561,254
Oregon — 0.3%
State of Oregon, 5.000%, 9/28/2018	2,000,000		2,041,920
South Carolina — 0.1%
Lexington County Health Services District, Inc., 5.000%, 11/1/2018	500,000		511,505
Texas — 2.1%
Bexar County Health Facilities Development Corp., 4.000%, 7/15/2018	125,000		125,940
Harris County:
1.150%, 3/1/2018	1,125,000		1,125,000
1.150%, 3/1/2018	1,150,000		1,150,000
State of Texas, 4.000%, 8/30/2018	10,000,000		10,135,200
Texas A&M University, 1.330%, 4/4/2018	1,800,000		1,800,252
			14,336,392
Wisconsin — 0.2%
Two Rivers Public School District, 1.500%, 9/28/2018	1,470,000		1,471,103
Total Short-Term Municipals			43,809,725
Total Short-Term Investments (identified cost $45,727,013)			45,693,996
Total Investments — 97.8% (identified cost $670,299,969)			670,237,502
Other Assets and Liabilities — 2.2%			15,149,137
Total Net Assets — 100.0%		$	685,386,639

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2018, these securities amounted to:

Fund	Amount		% of Total Net Assets
Ultra Short Tax-Free Fund		$100,101,360	14.61%

(9) Denotes a variable rate security.

(10) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2018.

(11) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

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

Short Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 28, 2018

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 96.6%
Alabama — 3.2%
Alabama Federal Aid Highway Finance Authority, 5.000%, 9/1/2018		$1,000,000	$	1,017,720
Black Belt Energy Gas District, 4.000%, 6/1/2021, Call 3/1/2021 (9)		1,000,000		1,057,050
County of Jefferson, 5.000%, 9/15/2021		1,000,000		1,105,890
County of Jefferson, AGM, 3.241% (LIBOR 1 Month+0 basis points), 2/1/2042 (10)		259,832		227,532
Mobile Industrial Development Board:
1.180%, 6/1/2034, Call 3/1/2018 (9)		1,000,000		1,000,000
1.290%, 6/1/2034, Call 3/1/2018 (9)		750,000		750,000
Tuscaloosa City Board of Education:
5.000%, 8/1/2020		200,000		215,590
5.000%, 8/1/2021		175,000		192,969
Tuscaloosa County Industrial Development Authority, 1.120%, 4/1/2028, Call 3/1/2018 (5) (9)		500,000		500,000
				6,066,751
Alaska — 0.8%
Alaska Industrial Development & Export Authority, 3.500%, 12/1/2020, Call 12/1/2019		1,000,000		1,016,110
City of Valdez, 5.000%, 1/1/2021		500,000		540,200
				1,556,310
Arizona — 2.2%
Arizona Health Facilities Authority:
2.940% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (10)		250,000		253,633
2.940% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (10)		250,000		253,633
City of El Mirage, 5.000%, 7/1/2022, Call 7/1/2020		465,000		498,912
Coconino County Pollution Control Corp., 1.600%, 5/21/2020 (9)		750,000		744,802
Greater Arizona Development Authority, 5.000%, 8/1/2024, Call 8/1/2018		25,000		25,380
Industrial Development Authority of the City of Phoenix, 3.000%, 7/1/2020 (5)		85,000		84,336
La Paz County Industrial Development Authority, 5.000%, 2/15/2021 (5)		750,000		791,640
Maricopa County Industrial Development Authority:
2.550%, 7/1/2021		430,000		432,868
2.875%, 7/1/2021 (5)		260,000		259,054
Phoenix Civic Improvement Corp., 5.500%, 7/1/2019 (13)		100,000		105,180
Pinal County School District No. 1 Florence, BAM, 4.000%, 7/1/2020		250,000		263,080
State of Arizona, AGM, 5.000%, 7/1/2018		500,000		505,535
				4,218,053
Arkansas — 0.7%
Arkansas Development Finance Authority, 1.900%, 9/1/2044, Call 3/1/2018 (9)		750,000		750,000
City of Cabot, 2.550%, 6/1/2043, Call 6/1/2023		110,000		109,903
City of Hot Springs, 5.000%, 12/1/2020		245,000		264,203
City of Rogers, 2.125%, 11/1/2029, Call 11/1/2021		120,000		119,457
				1,243,563
California — 9.0%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020		500,000		538,130
Bay Area Toll Authority, 2.190% (SIFMA Municipal Swap Index Yield+110 basis points), 4/1/2024, Call 10/1/2023 (10)		500,000		514,455
BB&T Municipal Trust, 1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 11/15/2019 (5) (10)		287,452		288,262
California Health Facilities Financing Authority, NATL-RE:
1.845%, 7/15/2018, Call 3/1/2018 (9) (11)		100,000		99,721
2.049%, 7/1/2022, Call 3/1/2018 (9) (11)		500,000		483,285
California Housing Finance Agency, AGM GO, 3.678%, 2/1/2037, Call 3/1/2018 (9) (11)		10,000		10,000
California Municipal Finance Authority, 5.000%, 2/1/2022		1,000,000		1,104,830
California Public Finance Authority:
5.000%, 10/15/2021		350,000		380,216

5.000%, 10/15/2022	300,000	330,591
California School Finance Authority, 4.000%, 8/1/2018 (5)	300,000	302,553
California State Public Works Board:
5.000%, 4/1/2020	320,000	342,854
5.000%, 11/1/2020, Call 11/1/2019	35,000	37,058
5.125%, 10/1/2022, Call 10/1/2019	245,000	259,215
California Statewide Communities Development Authority, 5.000%, 12/1/2025 (5)	200,000	224,228
California Statewide Communities Development Authority, CMI, 3.500%, 11/1/2021, Call 11/1/2019	750,000	772,043
California Statewide Communities Development Authority, NATL-RE, 4.134%, 4/1/2028 (9) (11)	75,000	75,000
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2020	675,000	732,780
Chino Redevelopment Agency, AMBAC, 4.000%, 9/1/2019, Call 4/2/2018	250,000	250,403
City of Redding, NATL-RE, 2.358%, 7/1/2022 (9) (11)	150,000	146,514
County of San Joaquin, 4.000%, 4/1/2019	225,000	230,832
Florin Resource Conservation District, NATL-RE, 4.000%, 9/1/2018	500,000	506,370
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2022	875,000	978,810
Golden State Tobacco Securitization Corp., 5.000%, 6/1/2022	1,000,000	1,109,480
Northern California Gas Authority No. 1, 1.765% (LIBOR 3 Month+63 basis points), 7/1/2019 (10)	1,040,000	1,040,988
Palomar Health, 5.000%, 11/1/2022	375,000	411,165
Rib Floater Trust Various States, 1.250%, 3/1/2042, Call 4/2/2018 (5) (9)	2,000,000	2,000,000
Sacramento Redevelopment Agency Successor Agency, BAM, 5.000%, 12/1/2022	385,000	437,610
State of California:
1.936% (LIBOR 1 Month+83 basis points), 12/3/2018, Call 6/1/2018 (10)	610,000	610,506
1.990% (SIFMA Municipal Swap Index Yield+90 basis points), 5/1/2018, Call 3/16/2018 (10)	180,000	180,043
State of California, FSA, 1.350%, 8/1/2027 (5) (9)	500,000	500,000
Tender Option Bond Trust, 1.240%, 8/1/2022 (5) (9)	2,000,000	2,000,000
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 5/1/2018 (9)	220,000	220,295
		17,118,237
Colorado — 4.4%
Auraria Higher Education Center:
6.000%, 5/1/2018	169,000	170,308
6.000%, 5/1/2019	178,000	187,267
City of Burlington, 3.000%, 11/1/2019	100,000	101,151
Colorado Educational & Cultural Facilities Authority:
2.500%, 12/15/2019 (5)	590,000	592,148
5.000%, 10/1/2021	1,000,000	1,098,420
Colorado Health Facilities Authority:
1.730%, 7/1/2034, Call 7/1/2019 (5) (9)	1,000,000	1,000,000
3.125%, 5/15/2027, Call 5/15/2020	1,000,000	989,310
4.000%, 12/1/2018	250,000	254,360
4.500%, 2/1/2019	250,000	255,513
5.000%, 5/15/2021	325,000	350,054
5.000%, 6/1/2021	250,000	270,098
5.000%, 5/15/2022	250,000	273,522
5.000%, 6/1/2022	250,000	275,027
County of Montrose:
4.000%, 12/1/2018	175,000	177,933
4.000%, 12/1/2019	200,000	207,040
E-470 Public Highway Authority, 2.119% (LIBOR 1 Month+105 basis points), 9/1/2021, Call 3/1/2021 (10)	575,000	585,430
Regional Transportation District, 5.000%, 6/1/2025, Call 6/1/2020	500,000	537,480
University of Colorado Hospital Authority, 5.000%, 3/1/2022, Call 9/1/2021 (9)	750,000	825,097
Wheatlands Metropolitan District, BAM, 4.000%, 12/1/2020	125,000	131,134
		8,281,292
Connecticut — 0.7%
Connecticut State Health & Educational Facility Authority, 2.875%, 9/1/2020, Call 4/2/2018 (5)	250,000	250,055
State of Connecticut:
1.970% (SIFMA Municipal Swap Index Yield+88 basis points), 8/15/2018 (10)	250,000	250,468
2.010% (SIFMA Municipal Swap Index Yield+92 basis points), 5/15/2018 (10)	150,000	150,135
2.010% (SIFMA Municipal Swap Index Yield+92 basis points), 9/15/2019 (10)	115,000	115,800
5.000%, 3/15/2021	500,000	540,740
		1,307,198

Delaware — 0.0%
Delaware State Housing Authority, 4.800%, 1/1/2023, Call 7/1/2018	90,000	90,735
Florida — 6.6%
Brevard County Health Facilities Authority:
5.000%, 4/1/2020	500,000	531,360
5.000%, 4/1/2021	400,000	434,672
City of Gainesville, 1.140%, 10/1/2038, Call 3/1/2018 (9)	1,000,000	1,000,000
City of Orlando, AGM:
4.000%, 11/1/2021	460,000	491,662
5.000%, 11/1/2022	350,000	394,695
City of Port St. Lucie, 5.000%, 7/1/2020	295,000	316,653
City of Tampa, 5.000%, 11/15/2020, Call 5/15/2020	25,000	26,747
Columbia County School Board:
5.000%, 7/1/2019	920,000	959,882
5.000%, 7/1/2021	400,000	438,196
County of Broward, 5.000%, 10/1/2020	100,000	107,874
County of Martin, 1.150%, 7/15/2022, Call 3/1/2018 (9)	1,100,000	1,100,000
County of Okeechobee, 1.550%, 7/1/2021 (9)	800,000	800,184
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2021	300,000	325,158
Florida Housing Finance Corp., GNMA/FNMA/FHLMC, 4.600%, 1/1/2029, Call 1/1/2020	60,000	61,804
Halifax Hospital Medical Center:
5.000%, 6/1/2020	325,000	346,385
5.000%, 6/1/2021	300,000	326,766
Miami-Dade County Educational Facilities Authority, AMBAC, 5.250%, 4/1/2020	40,000	42,924
Miami-Dade County School Board Foundation, Inc.:
5.000%, 5/1/2018	300,000	301,809
5.000%, 5/1/2019	225,000	233,887
Miami-Dade County School Board Foundation, Inc., AMBAC, 5.000%, 8/1/2023, Call 8/1/2018	100,000	101,496
Pinellas County Health Facilities Authority, NATL-RE, 2.207%, 11/15/2023, Call 3/1/2018 (9) (11)	150,000	143,045
Sarasota County Health Facilities Authority, 5.000%, 1/1/2022	500,000	548,635
School Board of Miami-Dade County, 1.320%, 3/1/2018 (5) (9)	1,650,000	1,650,000
School District of Broward County, 5.000%, 7/1/2019	1,000,000	1,046,050
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2019 (5)	250,000	257,872
Sumter County Industrial Development Authority:
5.000%, 7/1/2020	300,000	321,357
5.000%, 7/1/2020	235,000	251,283
		12,560,396
Georgia — 4.4%
Atlanta Development Authority, 4.000%, 9/1/2020	500,000	528,000
City of Atlanta:
2.574% (LIBOR 1 Month+150 basis points), 11/1/2018, Call 5/1/2018 (10)	250,000	250,380
5.000%, 1/1/2021	250,000	270,030
5.000%, 1/1/2022	700,000	769,979
6.000%, 11/1/2029, Call 11/1/2019	290,000	311,060
County of DeKalb, 5.000%, 10/1/2020	150,000	162,562
DeKalb Private Hospital Authority, 5.000%, 11/15/2021, Call 11/15/2019	420,000	444,247
Gainesville & Hall County Hospital Authority:
2.040% (SIFMA Municipal Swap Index Yield+95 basis points), 2/18/2020, Call 8/22/2019 (10)	350,000	351,291
5.000%, 2/15/2021	700,000	761,201
Georgia State Road & Tollway Authority, 5.000%, 6/1/2021	1,250,000	1,370,600
Main Street Natural Gas, Inc.:
5.000%, 3/15/2019	1,000,000	1,034,270
5.250%, 9/15/2018	100,000	101,935
RBC Municipal Products, Inc. Trust, 1.150%, 10/1/2021, Call 3/1/2018 (5) (9)	2,000,000	2,000,000
		8,355,555
Guam — 0.3%
Territory of Guam, 5.000%, 12/1/2022	500,000	555,275
Idaho — 0.1%
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	150,000	154,814
Idaho Housing & Finance Association, 5.000%, 7/15/2022, Call 7/15/2019	75,000	78,533
		233,347

Illinois — 11.9%
Bureau & Putnam Counties High School District No. 500 Princeton Township, BAM, 2.000%, 12/1/2018	400,000	400,764
Chicago O’Hare International Airport:
5.000%, 1/1/2019	200,000	205,836
5.000%, 1/1/2022	100,000	110,812
5.000%, 1/1/2022	200,000	221,624
Chicago Park District:
5.000%, 1/1/2022	250,000	273,838
5.000%, 1/1/2022	500,000	547,675
Chicago Transit Authority:
5.000%, 6/1/2021	750,000	816,675
5.500%, 6/1/2019, Call 12/1/2018	105,000	108,234
City of Chicago:
5.000%, 1/1/2021	840,000	900,824
5.000%, 11/1/2021	1,000,000	1,090,270
5.000%, 1/1/2022	500,000	545,950
City of Peoria, 3.000%, 1/1/2019	300,000	303,348
City of Waukegan, 5.000%, 12/30/2020	250,000	269,798
Clyde Park District, AGM, 4.250%, 2/1/2019	170,000	172,776
Cook County Township High School District No. 201 J Sterling Morton, AMBAC:
0.000%, 12/1/2018	170,000	166,909
0.000%, 12/1/2019	100,000	95,045
Cook Kane Lake & McHenry Counties Community College District No. 512, 5.000%, 12/1/2019	1,000,000	1,057,970
County of Cook:
5.000%, 11/15/2020, Call 11/15/2019	250,000	262,400
5.000%, 11/15/2021	720,000	791,561
Du Page & Will Counties Community School District No. 204 Indian Prairie, 2.000%, 12/30/2019, Call 4/2/2018	575,000	575,218
Illinois Finance Authority:
2.452% (LIBOR 1 Month+135 basis points), 5/1/2021, Call 11/1/2020 (10)	1,000,000	1,007,840
2.500%, 5/15/2018	150,000	150,138
4.000%, 10/1/2018	275,000	277,965
5.000%, 1/1/2021	200,000	214,096
5.000%, 11/15/2021	400,000	440,656
5.000%, 1/1/2022	150,000	163,146
5.000%, 7/15/2022	750,000	844,005
5.000%, 11/15/2022	555,000	618,531
5.000%, 12/1/2022	290,000	314,403
5.500%, 8/15/2018	100,000	101,738
Illinois Housing Development Authority, AGM, 4.400%, 9/1/2020, Call 4/2/2018	105,000	105,209
Kane McHenry Cook & De Kalb Counties Unit School District No. 300, 5.000%, 1/1/2023	1,000,000	1,119,340
Lake County Forest Preserve District, 1.569% (LIBOR 3 Month+48 basis points), 12/15/2020 (10)	205,000	205,033
Marion-Clinton Counties High School District No. 200-Centralia, BAM, 3.000%, 12/1/2019	185,000	185,183
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	30,000	28,051
Quad Cities Regional Economic Development Authority, 4.000%, 10/1/2019	400,000	411,244
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2018	40,000	40,335
5.000%, 6/1/2023	1,000,000	1,120,620
Rock Island County Public Building Commission, 3.700%, 12/1/2018	75,000	75,632
State of Illinois:
5.000%, 4/1/2020	100,000	103,327
5.000%, 2/1/2021	240,000	250,154
5.000%, 11/1/2023	3,000,000	3,153,660
Town of Cicero, 5.000%, 1/1/2020	500,000	525,340
Will & Kankakee Counties School District No. 255, 4.000%, 6/1/2019	1,110,000	1,140,936
Will County Community High School District No. 210 Lincoln-Way, 4.000%, 1/1/2022, Call 1/1/2019	1,000,000	987,380
Will County School District No. 159 Mokena, 2.000%, 12/1/2018	110,000	110,292
		22,611,781
Indiana — 2.1%
City of Whiting, 1.850%, 10/1/2019 (9)	1,000,000	1,004,350
Indiana Finance Authority:
5.000%, 5/1/2020	100,000	107,090
5.000%, 8/15/2020	250,000	262,955

5.250%, 10/1/2022, Call 10/1/2021	150,000	167,367
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.350%, 7/1/2047, Call 3/1/2018 (9)	2,000,000	2,000,000
Indianapolis Local Public Improvement Bond Bank, 5.000%, 6/1/2020	100,000	106,945
Jasper Hospital Authority, 5.000%, 11/1/2020	250,000	268,323
		3,917,030
Iowa — 1.0%
Iowa Higher Education Loan Authority, 2.000%, 12/1/2018, Call 6/1/2018	1,000,000	1,000,520
People’s Memorial Hospital of Buchanan County, 1.500%, 12/1/2018, Call 6/1/2018	1,000,000	994,760
		1,995,280
Kansas — 0.4%
Bourbon County Unified School District No. 234 Fort Scott, 5.000%, 9/1/2020	420,000	451,290
Kansas Development Finance Authority, AMBAC, 0.000%, 7/1/2019	100,000	97,850
Kansas Development Finance Authority, BAM, 5.000%, 12/1/2019	200,000	210,544
		759,684
Kentucky — 1.0%
Kentucky Asset Liability Commission, 5.000%, 9/1/2023	500,000	569,615
Kentucky Interlocal School Transportation Association, 2.000%, 3/1/2019	495,000	496,609
Kentucky State Property & Building Commission:
5.375%, 11/1/2023, Call 11/1/2018	20,000	20,530
5.375%, 11/1/2023, Call 11/1/2018	5,000	5,134
Lexington Center Corp., AGC, 4.100%, 10/1/2020, Call 4/2/2018	265,000	265,541
Louisville - Jefferson County Metropolitan Government, 5.000%, 10/1/2020	550,000	592,872
		1,950,301
Louisiana — 1.6%
Evangeline Parish Road & Drain Sales Tax District No. 1, AGM, 5.000%, 12/1/2020	400,000	433,140
Louisiana Housing Corp., FHA, 2.500%, 12/1/2031, Call 6/1/2020	5,000	4,784
Louisiana Local Government Environmental Facilities & Community Development Authority, 1.806% (LIBOR 1 Month+70 basis points), 8/1/2018, Call 4/2/2018 (10)	450,000	450,153
Louisiana Public Facilities Authority, AMBAC, 2.062%, 9/1/2027, Call 3/20/2018 (9) (11)	50,000	46,863
Parish of St. James, 1.130%, 12/1/2040, Call 3/1/2018 (9)	2,000,000	2,000,000
State of Louisiana, 5.000%, 11/15/2020, Call 5/15/2020	110,000	118,160
		3,053,100
Maine — 0.1%
City of Portland:
4.000%, 7/1/2019	130,000	133,793
4.000%, 7/1/2020	110,000	115,034
		248,827
Maryland — 1.3%
City of Baltimore:
2.177%, 7/1/2037, Call 3/7/2018 (9) (11)	25,000	21,251
5.000%, 9/1/2022	500,000	559,405
City of Baltimore, NATL-RE, 2.399%, 7/1/2020 (9) (11)	50,000	49,181
City of Rockville, 5.000%, 11/1/2022	500,000	559,130
Howard County Housing Commission, 2.340% (SIFMA Municipal Swap Index Yield+125 basis points), 7/1/2018, Call 4/2/2018 (10)	245,000	245,024
Maryland Community Development Administration, GNMA/FNMA, 4.500%, 3/1/2027, Call 3/1/2021	20,000	20,517
Maryland Industrial Development Financing Authority, 1.400%, 3/1/2030, Call 3/1/2018 (9)	1,000,000	1,000,000
		2,454,508
Massachusetts — 1.1%
Commonwealth of Massachusetts, 1.700%, 8/1/2022 (9)	1,000,000	980,310
Commonwealth of Massachusetts, NATL-RE FGIC, 2.206%, 12/1/2030, Call 3/1/2018 (9) (11)	100,000	100,000
Massachusetts Development Finance Agency:
4.000%, 4/15/2020	330,000	339,597
5.000%, 7/1/2021	280,000	304,567
5.000%, 7/1/2022	315,000	348,349
		2,072,823
Michigan — 1.9%
Avondale School District, Q-SBLF, 5.000%, 11/1/2018	300,000	307,410
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.750%, 7/1/2024, Call 7/1/2018	200,000	202,928
City of Wyandotte, BAM:

5.000%, 10/1/2018	200,000	203,666
5.000%, 10/1/2019	250,000	260,532
Dexter Community Schools, NATL-RE Q-SBLF, 5.100%, 5/1/2018	110,000	110,672
Grosse Ile Township School District, Q-SBLF, 5.000%, 5/1/2020	595,000	636,132
Lake St. Claire Clean Water Initiative, 5.000%, 10/1/2020	150,000	162,009
Lawrence Public Schools, Q-SBLF, 4.000%, 5/1/2018	255,000	256,025
Marquette Board of Light & Power, 5.000%, 7/1/2020	150,000	160,512
Michigan State Hospital Finance Authority, 5.000%, 11/15/2020, Call 11/15/2019	520,000	549,479
Muskegon Public Schools, Q-SBLF, 4.250%, 5/1/2021, Call 5/1/2019	200,000	205,990
State of Michigan, 5.500%, 11/1/2021, Call 5/1/2019	300,000	313,893
Taylor Tax Increment Finance Authority, AGM, 4.000%, 5/1/2021, Call 4/2/2018	270,000	270,508
		3,639,756
Minnesota — 0.3%
St. Paul Housing & Redevelopment Authority, 5.000%, 11/15/2021	500,000	554,745
Mississippi — 0.8%
Mississippi Business Finance Corp., 1.110%, 11/1/2035, Call 3/1/2018 (9)	400,000	400,000
Mississippi Development Bank, 5.000%, 8/1/2019	155,000	162,336
Mississippi Hospital Equipment & Facilities Authority, 2.050%, 7/11/2018 (5) (9)	900,000	900,180
		1,462,516
Missouri — 2.5%
Kansas City Planned Industrial Expansion Authority, 1.500%, 12/1/2018, Call 3/21/2018	1,000,000	1,000,020
Missouri Health & Educational Facilities Authority:
5.000%, 2/1/2022	250,000	272,478
5.000%, 2/1/2024, Call 2/1/2021	250,000	264,778
Missouri Health & Educational Facilities Authority, AMBAC, 2.100%, 6/1/2020, Call 3/1/2018 (9) (11)	50,000	49,034
Missouri Housing Development Commission, GNMA FNMA, 4.700%, 3/1/2035, Call 9/1/2019	225,000	233,867
Missouri State Environmental Improvement & Energy Resources Authority, NATL-RE, 1.750%, 12/1/2022, Call 3/1/2018 (9) (11)	805,000	766,118
Southeast Missouri State University, 5.000%, 4/1/2019	1,000,000	1,035,720
St. Louis County Industrial Development Authority, 2.850%, 9/1/2018	600,000	605,280
St. Louis Municipal Finance Corp., 5.000%, 2/15/2021	500,000	539,955
		4,767,250
Nebraska — 1.1%
Tender Option Bond Trust, 1.160%, 11/1/2048, Call 11/1/2025 (5) (9)	2,000,000	2,000,000
Nevada — 0.3%
City of Carson City, 5.000%, 9/1/2022	500,000	556,010
New Jersey — 2.1%
City of Jersey City, AGM, 4.000%, 2/15/2019	620,000	634,725
New Jersey Economic Development Authority, 5.000%, 11/1/2021	400,000	432,020
New Jersey Educational Facilities Authority, 5.000%, 7/1/2020, Call 7/1/2018	20,000	20,246
New Jersey Health Care Facilities Financing Authority:
5.000%, 7/1/2022	790,000	883,299
5.125%, 7/1/2019, Call 7/1/2018	130,000	131,654
New Jersey Higher Education Student Assistance Authority:
4.875%, 12/1/2024, Call 12/1/2019	360,000	372,921
5.000%, 6/1/2018	100,000	100,785
New Jersey Transportation Trust Fund Authority:
2.090% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (10)	475,000	474,957
4.000%, 12/15/2019	75,000	77,336
5.000%, 6/15/2019	150,000	155,409
New Jersey Transportation Trust Fund Authority, AGM, 5.250%, 12/15/2019	250,000	263,725
New Jersey Transportation Trust Fund Authority, NATL-RE:
5.500%, 12/15/2019	135,000	143,000
5.500%, 12/15/2020	10,000	10,830
South Jersey Port Corp., 5.000%, 1/1/2019	340,000	345,409
		4,046,316
New Mexico — 0.9%
City of Farmington, 1.875%, 4/1/2020 (9)	1,000,000	995,440
New Mexico Mortgage Finance Authority, 5.300%, 9/1/2040, Call 9/1/2019	20,000	20,516

New Mexico Municipal Energy Acquisition Authority, 1.805% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (10)	650,000	650,312
		1,666,268
New York — 10.7%
City of New York, 1.200%, 8/1/2044, Call 3/1/2018 (9)	2,200,000	2,200,000
County of Nassau, 5.000%, 10/1/2018	1,000,000	1,020,910
Erie County Industrial Development Agency, SAW, 5.250%, 5/1/2025, Call 5/1/2019	400,000	417,660
Long Island Power Authority, 1.752% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (10)	1,000,000	1,000,480
Metropolitan Transportation Authority, AGM, 1.686% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 4/2/2018 (10)	250,000	250,035
New York City Transitional Finance Authority:
1.110%, 11/1/2029, Call 3/1/2018 (9)	1,200,000	1,200,000
1.270%, 8/1/2022, Call 3/1/2018 (9)	700,000	700,000
New York City Water & Sewer System:
1.100%, 6/15/2039, Call 3/1/2018 (9)	250,000	250,000
1.100%, 6/15/2050, Call 3/1/2018 (9)	550,000	550,000
1.140%, 6/15/2044, Call 3/1/2018 (9)	550,000	550,000
New York Mortgage Agency, 5.000%, 10/1/2019	600,000	632,478
New York State Dormitory Authority:
5.000%, 7/1/2018	1,000,000	1,012,180
5.000%, 12/15/2019	495,000	525,502
5.000%, 12/1/2022 (5)	600,000	657,432
5.250%, 2/15/2024, Call 2/15/2019	380,000	393,429
5.250%, 2/15/2024, Call 2/15/2019	20,000	20,711
New York State Dormitory Authority, NATL-RE, 2.901%, 7/1/2029, Call 3/5/2018 (9) (11)	550,000	532,235
New York State Energy Research & Development Authority, 2.000%, 5/1/2020 (9)	350,000	349,884
New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9) (11)	1,150,000	1,150,000
New York State Thruway Authority, 5.000%, 5/1/2019	1,000,000	1,040,090
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.390%, 5/1/2047, Call 3/1/2018 (5) (9)	1,500,000	1,500,000
State of New York, AGM, 2.162%, 3/15/2021, Call 3/1/2018 (9) (11)	25,000	24,635
State of New York, NATL-RE FGIC:
2.162%, 2/15/2022, Call 3/1/2018 (9) (11)	380,000	372,560
2.162%, 2/13/2032, Call 3/1/2018 (9) (11)	70,000	67,565
Town of Oyster Bay, 3.500%, 6/1/2018	500,000	501,850
Triborough Bridge & Tunnel Authority, 1.755% (LIBOR 1 Month+70 basis points), 2/1/2021 (10)	1,000,000	1,005,920
TSASC, Inc., 5.000%, 6/1/2021	1,000,000	1,092,520
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2020	1,155,000	1,240,516
		20,258,592
North Carolina — 0.5%
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	50,000	51,917
North Carolina Eastern Municipal Power Agency, FGIC, 2.604%, 1/1/2025 (9) (11)	600,000	519,750
North Carolina Medical Care Commission, 5.000%, 10/1/2022	350,000	389,886
		961,553
North Dakota — 0.2%
City of Williston, 5.000%, 5/1/2020	240,000	254,957
North Dakota Housing Finance Agency, 3.750%, 7/1/2042, Call 7/1/2022	105,000	107,755
		362,712
Ohio — 3.6%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	805,000	879,599
City of Akron, 3.000%, 12/12/2018	1,000,000	1,010,530
City of Cleveland, AGM, 5.000%, 1/1/2019	600,000	615,942
City of Harrison, 2.000%, 10/1/2018	60,000	60,166
County of Hamilton:
4.000%, 1/1/2021	445,000	463,863
5.000%, 1/1/2022	465,000	504,716
County of Montgomery, 1.140%, 11/15/2045, Call 3/1/2018 (9)	850,000	850,000
Lancaster Port Authority, 1.675% (LIBOR 1 Month+62 basis points), 8/1/2019, Call 2/1/2019 (10)	195,000	194,768
Ohio Higher Educational Facility Commission, 1.100%, 1/1/2039, Call 3/1/2018 (9)	200,000	200,000
Ohio Housing Finance Agency, GNMA/FNMA COLL, 4.000%, 5/1/2022, Call 5/1/2021	75,000	77,587
Rib Floater Trust Various States, 1.340%, 11/15/2048, Call 4/2/2018 (5) (9)	1,000,000	1,000,000

State of Ohio, 1.350%, 1/15/2045, Call 3/1/2018 (9)	500,000	500,000
University of Toledo, 5.000%, 6/1/2020	375,000	401,816
		6,758,987
Oklahoma — 0.1%
Oklahoma Municipal Power Authority, 1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 8/1/2018, Call 4/2/2018 (10)	115,000	115,025
Oregon — 0.5%
Port of Morrow, 1.140%, 2/1/2027, Call 3/1/2018 (9)	1,000,000	1,000,000
Pennsylvania — 4.1%
Allegheny County Hospital Development Authority:
1.908% (LIBOR 3 Month+72 basis points), 2/1/2021, Call 5/1/2018 (10)	80,000	80,226
5.375%, 8/15/2029, Call 8/15/2019	225,000	235,751
Berks County Industrial Development Authority, 5.000%, 11/1/2022	250,000	280,035
Berks County Municipal Authority, 2.590% (SIFMA Municipal Swap Index Yield+150 basis points), 7/1/2022, Call 3/16/2018 (10)	350,000	356,062
City of Philadelphia, 5.250%, 8/1/2018	100,000	101,561
City of Philadelphia, AGC:
5.125%, 8/1/2025, Call 8/1/2019	10,000	10,502
5.125%, 8/1/2025, Call 8/1/2019	90,000	94,378
Commonwealth Financing Authority, 5.000%, 6/1/2022	1,000,000	1,097,990
Commonwealth of Pennsylvania, 5.000%, 4/15/2020, Call 4/15/2019	600,000	623,832
Delaware County Vocational & Technical School Authority, BAM, 3.000%, 11/1/2018	120,000	121,159
Delaware Valley Regional Financial Authority, AMBAC, 5.500%, 8/1/2018	130,000	132,168
Lancaster County Solid Waste Management Authority, 5.000%, 12/15/2020	200,000	216,742
Lancaster Industrial Development Authority, 5.000%, 5/1/2020	285,000	302,137
North Penn Water Authority, 1.555% (LIBOR 1 Month+50 basis points), 11/1/2019, Call 5/1/2019 (10)	800,000	800,296
Northampton County General Purpose Authority, 2.490% (SIFMA Municipal Swap Index Yield+140 basis points), 8/15/2020, Call 2/15/2020 (10)	150,000	150,908
Pennsylvania Economic Development Financing Authority, 5.000%, 3/1/2020	200,000	211,892
Pennsylvania Turnpike Commission:
1.770% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (10)	90,000	90,130
1.970% (SIFMA Municipal Swap Index Yield+88 basis points), 12/1/2020, Call 6/1/2020 (10)	325,000	329,033
2.070% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (10)	80,000	81,484
2.240% (SIFMA Municipal Swap Index Yield+115 basis points), 12/1/2019, Call 6/1/2019 (10)	600,000	606,582
School District of Philadelphia, 5.000%, 9/1/2018	65,000	66,019
Scranton School District, SAW, 2.071% (LIBOR 1 Month+100 basis points), 4/2/2018 (10)	1,000,000	999,990
State Public School Building Authority, FSA, 5.375%, 10/1/2023, Call 10/1/2018	160,000	163,662
State Public School Building Authority, SAW, 1.855% (LIBOR 1 Month+80 basis points), 9/1/2018, Call 4/2/2018 (10)	570,000	572,377
		7,724,916
Rhode Island — 0.1%
Rhode Island Turnpike & Bridge Authority, 3.000%, 10/1/2018	275,000	277,423
South Carolina — 0.6%
Newberry Investing in Children’s Education, 5.000%, 12/1/2019	1,000,000	1,057,080
Tennessee — 0.8%
Clarksville Natural Gas Acquisition Corp., 5.000%, 12/15/2019	125,000	131,702
Metropolitan Government Nashville & Davidson County Health & Educational Facility Board, 5.000%, 7/1/2018	220,000	222,273
Public Building Authority of Sevier County, AMBAC, 2.189%, 6/1/2018 (9) (11)	50,000	49,932
Tennessee Energy Acquisition Corp.:
4.000%, 5/1/2023, Call 2/1/2023 (9)	1,000,000	1,066,720
5.250%, 9/1/2020	10,000	10,803
5.250%, 9/1/2021	55,000	60,754
		1,542,184
Texas — 5.0%
City of The Colony, 6.000%, 2/15/2019	795,000	829,487
Clifton Higher Education Finance Corp., PSF, 5.000%, 8/15/2020	160,000	172,310
County of Cameron, BAM, 5.000%, 2/15/2020	240,000	255,912
Crane County Water District, 3.000%, 2/15/2021	605,000	623,313

Harris County Cultural Education Facilities Finance Corp., 1.920% (SIFMA Municipal Swap Index Yield+83 basis points), 6/1/2021 (10)	350,000	352,559
Irving Hospital Authority, 5.000%, 10/15/2022	215,000	238,504
Lower Colorado River Authority, 5.000%, 5/15/2019	1,000,000	1,041,540
New Hope Cultural Education Facilities Finance Corp.:
3.375%, 8/15/2021 (5)	500,000	497,495
4.000%, 4/1/2018	225,000	225,443
4.000%, 11/15/2021	615,000	635,578
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2020	250,000	259,150
North Texas Higher Education Authority, Inc., 2.594% (LIBOR 3 Month+90 basis points), 7/1/2030 (10)	115,000	115,314
North Texas Tollway Authority:
1.760% (SIFMA Municipal Swap Index Yield+67 basis points), 1/1/2020, Call 7/1/2019 (10)	350,000	350,648
1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 1/1/2019, Call 7/1/2018 (10)	250,000	250,298
5.000%, 1/1/2022	250,000	278,300
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2018 (9)	695,000	696,376
Panhandle-Plains Higher Education Authority, Inc., 2.944% (LIBOR 3 Month+125 basis points), 4/1/2035, Call 3/1/2018 (10)	250,000	253,620
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 3/21/2018	290,000	289,890
5.000%, 5/15/2021	500,000	532,030
5.000%, 11/15/2022	1,000,000	1,125,370
Texas State University System, 5.000%, 3/15/2022	350,000	391,093
		9,414,230
Utah — 0.4%
County of Weber, 1.110%, 2/15/2035, Call 3/1/2018 (9)	300,000	300,000
Salt Lake City Corp., AMBAC, 0.944%, 5/15/2020, Call 3/1/2018 (9) (11)	500,000	500,000
		800,000
Vermont — 0.2%
City of Burlington, AGM:
5.000%, 7/1/2018	250,000	252,775
5.000%, 7/1/2019	100,000	104,240
		357,015
Virginia — 1.3%
FHLMC Multifamily Variable Rate Certificates, 1.390% (SIFMA Municipal Swap Index Yield+30 basis points), 9/15/2033 (10)	1,345,000	1,345,000
Henrico County Economic Development Authority, AGM, 2.912%, 8/23/2027, Call 3/1/2018 (9) (11)	1,200,000	1,123,416
		2,468,416
Washington — 1.9%
FYI Properties, 5.000%, 6/1/2020, Call 6/1/2019	360,000	375,458
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	75,000	74,690
State of Washington, 5.000%, 2/1/2022	1,000,000	1,116,780
Washington Higher Education Facilities Authority, 1.120%, 10/1/2029, Call 3/1/2018 (9)	1,600,000	1,600,000
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 5.000%, 10/1/2020	320,000	347,478
		3,514,406
West Virginia — 0.7%
West Virginia Commissioner, 5.000%, 9/1/2018	1,250,000	1,272,850
Wisconsin — 3.1%
City of Stanley, 2.500%, 3/1/2018	1,000,000	1,000,000
Hilbert School District, 2.100%, 4/1/2019, Call 4/2/2018	1,000,000	1,000,240
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	500,000	503,860
5.000%, 11/15/2021	610,000	674,983
5.000%, 11/15/2022	500,000	562,685
State of Wisconsin:
5.000%, 9/1/2020	175,000	188,304
5.000%, 3/1/2021	300,000	326,148
Wisconsin Health & Educational Facilities Authority:
3.000%, 8/15/2019	105,000	107,148
3.250%, 5/1/2018	200,000	199,922
4.000%, 8/15/2018	300,000	303,780
5.000%, 3/1/2020	200,000	209,802

5.000%, 8/15/2020		260,000		280,852
5.000%, 8/15/2022		200,000		225,074
5.000%, 8/15/2023		205,000		233,889
5.500%, 12/15/2020, Call 12/15/2019		80,000		85,175
				5,901,862
Total Municipals (identified cost $183,106,141)				183,130,158
Mutual Funds — 0.5%
BMO Ultra Short Tax-Free Fund - Institutional Class (4)		86,442		869,605
Total Mutual Funds (identified cost $872,150)				869,605
Short-Term Investments — 0.5%
Mutual Funds — 0.1%
BMO Government Money Market Fund - Premier Class, 1.190% (4)		204,034		204,034
Short-Term Municipals — 0.4%
Connecticut — 0.4%
City of New Haven, 2.500%, 5/15/2018	$	700,000		701,358
Total Short-Term Investments (identified cost $905,685)				905,392
Total Investments — 97.6% (identified cost $184,883,976)				184,905,155
Other Assets and Liabilities — 2.4%				4,625,068
Total Net Assets — 100.0%			$	189,530,223

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2018, these securities amounted to:

Fund	Amount	% of Total  Net Assets
Short Tax-Free Fund	$19,759,115	10.43%

(9) Denotes a variable rate security.

(10) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2018.

(11) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

(13) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

Intermediate Tax-Free Fund

SCHEDULE OF INVESTMENTS – As of February 28, 2018

(Unaudited)

Description	Shares or Principal Amount		Value
Municipals — 98.2%
Alabama — 2.0%
Alabama Board of Education:
3.000%, 6/1/2021		$305,000	$	313,665
4.000%, 7/1/2021		1,895,000		2,016,488
5.000%, 10/1/2020, Call 10/1/2018		230,000		234,566
Butler County Board of Education, AGM, 4.000%, 7/1/2020		585,000		611,366
City of Birmingham, 4.000%, 3/1/2022 (13)		1,945,000		2,038,049
Columbia Industrial Development Board, 1.280%, 12/1/2037, Call 3/1/2018 (9)		3,000,000		3,000,000
County of Jefferson, AGM, 3.241% (LIBOR 1 Month+0 basis points), 2/1/2042 (10)		454,517		398,016
Health Care Authority for Baptist Health, 1.900%, 11/1/2042 (9)		3,485,000		3,485,000
Mobile County Board of School Commissioners, 5.000%, 3/1/2027, Call 3/1/2026		4,015,000		4,628,452
Pell City Special Care Facilities, 5.000%, 12/1/2025, Call 12/1/2021		4,000,000		4,349,520
UAB Medicine Finance Authority:
5.000%, 9/1/2036, Call 3/1/2027		2,340,000		2,686,741
5.000%, 9/1/2037, Call 3/1/2027		2,030,000		2,325,669
5.000%, 9/1/2041, Call 3/1/2027		1,020,000		1,163,412
Wilsonville Industrial Development Board, 1.170%, 1/1/2024, Call 3/1/2018 (9)		6,220,000		6,220,000
				33,470,944
Alaska — 0.6%
Alaska Housing Finance Corp.:
5.000%, 12/1/2027, Call 6/1/2022		1,065,000		1,200,926
5.000%, 12/1/2027, Call 6/1/2022		310,000		342,352
5.000%, 12/1/2028, Call 12/1/2024		2,500,000		2,849,100
5.000%, 6/1/2029, Call 12/1/2024		1,000,000		1,137,000
Alaska Municipal Bond Bank Authority, AMBAC:
5.100%, 4/1/2033, Call 4/1/2018		165,000		165,521
5.100%, 4/1/2033, Call 4/1/2018		35,000		35,112
Borough of Matanuska-Susitna:
5.000%, 11/1/2022		500,000		565,275
5.000%, 4/1/2031, Call 4/1/2021		150,000		164,793
Borough of North Slope, 5.000%, 6/30/2024, Call 6/1/2021		1,020,000		1,124,173
City of Anchorage, NATL-RE, 5.000%, 12/1/2024, Call 4/2/2018		305,000		305,878
City of Valdez, 5.000%, 1/1/2021		1,190,000		1,285,676
				9,175,806
Arizona — 2.7%
Arizona Department of Transportation State Highway, 5.250%, 7/1/2029, Call 7/1/2021		3,000,000		3,337,170
Arizona Health Facilities Authority:
2.940% (SIFMA Municipal Swap Index Yield+185 basis points), 2/5/2020, Call 8/9/2019 (10)		4,500,000		4,565,385
5.000%, 2/1/2022		1,000,000		1,100,090
Arizona Industrial Development Authority:
5.000%, 3/1/2037, Call 9/1/2027 (5)		1,250,000		1,256,575
5.000%, 3/1/2042, Call 9/1/2027 (5)		1,000,000		1,000,000
Arizona Sports & Tourism Authority, 4.000%, 7/1/2018		765,000		770,294
Arizona State University, 6.250%, 7/1/2028, Call 7/1/2018		1,050,000		1,066,884
Arizona Transportation Board:
5.000%, 7/1/2022, Call 7/1/2020		1,260,000		1,359,099
5.000%, 7/1/2023, Call 7/1/2020		1,405,000		1,515,503
City of Goodyear, 5.125%, 7/1/2025, Call 7/1/2020		345,000		370,813
City of Peoria, 4.000%, 7/1/2019		515,000		531,892
City of Tucson, AGM, 5.000%, 7/1/2020		500,000		536,940
County of Pima, 5.000%, 7/1/2027, Call 7/1/2022		1,450,000		1,619,331
Gilbert Public Facilities Municipal Property Corp., 5.500%, 7/1/2026, Call 7/1/2019		825,000		868,741
Glendale Industrial Development Authority, 5.000%, 5/15/2023, Call 5/15/2020		500,000		535,175
Greater Arizona Development Authority, NATL-RE, 5.000%, 8/1/2027, Call 4/2/2018		155,000		155,453

Industrial Development Authority of the City of Phoenix:
3.000%, 7/1/2020 (5)	425,000	421,681
5.000%, 7/1/2031, Call 7/1/2026 (5)	3,000,000	3,178,530
Industrial Development Authority of the County of Pima, 4.950%, 10/1/2020	2,000,000	2,147,640
La Paz County Industrial Development Authority, 5.000%, 2/15/2046, Call 2/15/2026 (5)	1,000,000	1,032,420
Maricopa County Elementary School District No. 33 Buckeye, 5.250%, 7/1/2018	365,000	369,559
Maricopa County Industrial Development Authority:
4.000%, 1/1/2019	200,000	204,494
5.000%, 7/1/2036, Call 7/1/2026	750,000	799,365
5.000%, 7/1/2036, Call 7/1/2026 (5)	1,225,000	1,262,791
Maricopa County Unified School District No. 60 Higley, AGM:
5.000%, 7/1/2023	1,000,000	1,134,690
5.000%, 7/1/2024	575,000	661,934
Phoenix Civic Improvement Corp.:
5.000%, 7/1/2019	615,000	642,158
5.000%, 7/1/2020, Call 7/1/2018	600,000	607,386
5.000%, 7/1/2026, Call 7/1/2020	1,050,000	1,131,322
Phoenix Civic Improvement Corp., BHAC, 5.500%, 7/1/2027 (13)	500,000	599,700
Phoenix Civic Improvement Corp., NATL-RE FGIC:
5.500%, 7/1/2021 (13)	555,000	615,378
5.500%, 7/1/2036 (13)	530,000	661,806
Pima County Industrial Development Authority, 6.375%, 7/1/2028, Call 7/1/2018	240,000	243,958
Rio Nuevo Multipurpose Facilities District, AGC, 6.000%, 7/15/2020, Call 7/15/2018	240,000	244,138
Salt Verde Financial Corp., 5.250%, 12/1/2022	110,000	123,668
Scottsdale Industrial Development Authority, 5.000%, 9/1/2018	250,000	254,318
State of Arizona, AGM:
5.000%, 10/1/2023, Call 4/1/2020	1,000,000	1,064,830
5.250%, 10/1/2024, Call 10/1/2019	5,000,000	5,271,550
Town of Marana, 5.000%, 7/1/2023	450,000	510,854
University Medical Center Corp., 5.000%, 7/1/2021	425,000	467,895
University of Arizona, 5.000%, 8/1/2026, Call 8/1/2021	455,000	498,716
		44,740,126
Arkansas — 1.4%
Arkansas Development Finance Authority:
1.900%, 9/1/2044, Call 3/1/2018 (9)	3,650,000	3,650,000
5.000%, 2/1/2020	255,000	270,032
5.000%, 2/1/2021	315,000	341,334
5.000%, 2/1/2022	150,000	165,309
Arkansas Development Finance Authority, GNMA/FNMA:
4.000%, 1/1/2025, Call 7/1/2021	205,000	214,295
4.000%, 7/1/2025, Call 7/1/2021	440,000	458,946
Arkansas State University:
4.000%, 3/1/2021	390,000	411,766
4.000%, 3/1/2022	1,140,000	1,215,856
4.000%, 3/1/2023	985,000	1,060,727
City of Fayetteville, 3.300%, 11/1/2023	2,985,000	3,134,489
City of Maumelle, 2.600%, 3/1/2030, Call 3/1/2022	755,000	749,926
City of Springdale:
3.000%, 11/1/2021	1,000,000	1,034,430
5.000%, 11/1/2028, Call 11/1/2022	1,000,000	1,119,200
City of Stuttgart, AGM, 3.800%, 6/1/2042, Call 6/1/2020	1,140,000	1,141,904
Conway Health Facilities Board, 4.250%, 8/1/2021	605,000	620,960
County of Greene, AGM:
4.000%, 3/1/2019, Call 4/2/2018	840,000	841,562
4.000%, 3/1/2020, Call 4/2/2018	1,430,000	1,432,817
Henderson State University, BAM:
5.000%, 11/1/2022	905,000	1,012,025
5.000%, 11/1/2023, Call 11/1/2022	860,000	960,895
University of Arkansas:
5.000%, 12/1/2021	300,000	334,167
5.000%, 12/1/2022	520,000	589,540
5.000%, 12/1/2023, Call 12/1/2022	500,000	567,350
5.000%, 11/1/2030, Call 11/1/2024	1,000,000	1,150,560
		22,478,090
California — 6.6%
Abag Finance Authority for Nonprofit Corps., 5.000%, 7/1/2020	515,000	554,274

Abag Finance Authority for Nonprofit Corps., CMI, 5.000%, 4/1/2020	1,000,000	1,069,080
ABC Unified School District, MBIA, 5.000%, 2/1/2021	1,250,000	1,363,412
Alvord Unified School District, AGM, 0.000%, 8/1/2046, Call 8/1/2036 (13)	1,150,000	1,093,616
Anaheim Public Financing Authority, 5.000%, 10/1/2030, Call 4/1/2019	225,000	233,876
Bay Area Toll Authority, 2.340% (SIFMA Municipal Swap Index Yield+125 basis points), 4/1/2027, Call 10/1/2026 (10)	5,000,000	5,203,650
BB&T Municipal Trust, 1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 11/15/2019 (5) (10)	862,355	864,786
Bellevue Union School District, AGM:
0.000%, 8/1/2030	585,000	378,881
0.000%, 8/1/2031	615,000	379,578
Bonita Unified School District, 5.500%, 8/1/2035, Call 8/1/2021	940,000	1,058,976
Burbank Unified School District, 0.000%, 8/1/2031, Call 2/1/2025 (13)	1,325,000	1,151,173
California County Tobacco Securitization Agency, 4.000%, 6/1/2029, Call 4/2/2018	4,240,000	4,243,901
California Health Facilities Financing Authority:
5.000%, 7/1/2037, Call 7/1/2023	2,000,000	2,227,940
5.000%, 8/15/2042, Call 8/15/2027	1,000,000	1,118,110
California Health Facilities Financing Authority, NATL-RE, 2.049%, 7/1/2022, Call 3/1/2018 (9) (11)	1,600,000	1,546,512
California Infrastructure & Economic Development Bank, 1.750%, 6/1/2022 (9)	1,000,000	969,890
California Municipal Finance Authority, 5.000%, 2/1/2042, Call 2/1/2027	1,500,000	1,639,725
California State Public Works Board, 5.000%, 4/1/2037, Call 4/1/2022	1,000,000	1,102,520
California Statewide Communities Development Authority:
5.000%, 12/1/2031, Call 6/1/2026 (5)	1,000,000	1,086,430
5.000%, 12/1/2046, Call 6/1/2026 (5)	1,000,000	1,056,610
California Statewide Communities Development Authority, NATL-RE, 5.125%, 7/1/2024, Call 7/1/2018	1,500,000	1,519,590
Carson Redevelopment Agency Successor Agency, AGM, 5.000%, 10/1/2021	850,000	944,835
City of Fairfield, XLCA, 0.000%, 4/1/2022	1,205,000	1,095,429
City of Madera:
5.750%, 1/1/2026, Call 1/1/2020	1,550,000	1,669,350
6.500%, 1/1/2040, Call 1/1/2020	1,280,000	1,394,611
County of Los Angeles, 0.000%, 9/1/2018	750,000	745,073
County of Los Angeles, AMBAC, 0.000%, 9/1/2020	600,000	572,892
County of San Joaquin, 5.000%, 4/1/2022	350,000	390,796
Delhi Unified School District, AMBAC, 0.000%, 8/1/2019	250,000	237,888
Duarte Unified School District, 5.125%, 8/1/2026 (13)	585,000	705,294
El Centro Financing Authority, AGM:
4.000%, 10/1/2021	460,000	495,765
5.000%, 10/1/2022	580,000	657,418
5.000%, 10/1/2023	800,000	922,008
Encinitas Union School District, 0.000%, 8/1/2035, Call 8/1/2032 (13)	500,000	545,790
Escondido Union High School District, 0.000%, 8/1/2032, Call 8/1/2025 (13)	1,250,000	1,276,412
Escondido Union High School District, AGC, 0.000%, 8/1/2031	480,000	302,971
Fresno Joint Powers Financing Authority, AGM, 5.000%, 4/1/2033, Call 4/1/2027	1,000,000	1,145,940
Fresno Unified School District, 0.000%, 8/1/2034, Call 8/1/2021	1,045,000	400,005
Fresno Unified School District, MBIA, 6.000%, 8/1/2026	2,890,000	3,439,678
Golden State Tobacco Securitization Corp.:
5.000%, 6/1/2028, Call 6/1/2027	1,000,000	1,150,830
5.000%, 6/1/2029, Call 6/1/2027	1,000,000	1,144,770
Hacienda La Puente Unified School District, AGM:
5.000%, 6/1/2022	400,000	449,136
5.000%, 6/1/2023	400,000	456,484
5.000%, 6/1/2024	775,000	897,559
5.000%, 6/1/2025	425,000	496,243
Imperial Community College District, AGC, 0.000%, 8/1/2028	330,000	235,646
Imperial County Local Transportation Authority, 5.000%, 6/1/2032, Call 6/1/2022	2,000,000	2,198,520
Jefferson School District/San Joaquin County, 0.000%, 8/1/2029, Call 8/1/2024	170,000	108,678
Jurupa Community Services District, 5.000%, 9/1/2029, Call 9/1/2020	375,000	404,940
Lakeside Union School District/San Diego County, AGC, 0.000%, 9/1/2027	295,000	213,176
Long Beach Bond Finance Authority:
5.000%, 11/1/2025, Call 11/1/2021	1,000,000	1,108,440
5.000%, 11/1/2030, Call 11/1/2021	1,750,000	1,936,497
Lynwood Unified School District, AGM:
5.000%, 8/1/2024, Call 8/1/2023	620,000	708,133
5.000%, 8/1/2025, Call 8/1/2023	760,000	870,542
McKinleyville Union School District, AGM, 0.000%, 8/1/2041, Call 8/1/2026 (13)	165,000	170,767

McKinleyville Union School District, BAM:
0.000%, 8/1/2036, Call 8/1/2021	1,200,000	520,560
0.000%, 8/1/2037, Call 8/1/2021	1,980,000	808,117
Mendocino-Lake Community College District, AGM, 5.600%, 8/1/2031, Call 8/1/2026 (13)	300,000	363,324
Midpeninsula Regional Open Space District, 5.000%, 9/1/2029, Call 9/1/2022	2,000,000	2,277,140
Modesto Irrigation District, 5.000%, 7/1/2021	500,000	553,880
Mount Diablo Unified School District, AGM, 0.000%, 8/1/2035, Call 8/1/2025 (13)	2,125,000	1,983,687
Murrieta Valley Unified School District Public Financing Authority, NATL-RE FGIC, 0.000%, 9/1/2020	500,000	477,765
Northern California Gas Authority No. 1:
1.765% (LIBOR 3 Month+63 basis points), 7/1/2019 (10)	3,000,000	3,002,850
1.855% (LIBOR 3 Month+72 basis points), 7/1/2027 (10)	1,915,000	1,850,905
Northern California Power Agency:
5.000%, 7/1/2031, Call 7/1/2022	500,000	555,980
5.000%, 7/1/2032, Call 7/1/2022	700,000	776,846
Orchard School District, NATL-RE FGIC, 0.000%, 8/1/2023	590,000	519,625
Pasadena Public Financing Authority, 0.000%, 3/1/2029	2,000,000	1,395,420
Porterville Unified School District Facilities Improvement District, AGM, 0.000%, 8/1/2034, Call 4/2/2018	1,500,000	677,865
Roseville Joint Union High School District, 0.000%, 8/1/2022	305,000	274,515
Sacramento Redevelopment Agency Successor Agency, BAM:
5.000%, 12/1/2027, Call 12/1/2025	235,000	273,618
5.000%, 12/1/2028, Call 12/1/2025	425,000	491,619
5.000%, 12/1/2030, Call 12/1/2025	1,000,000	1,148,470
5.000%, 12/1/2031, Call 12/1/2025	2,000,000	2,290,960
San Francisco City & County Airport Commission:
5.000%, 5/1/2024, Call 5/1/2021	745,000	819,314
5.000%, 5/1/2024, Call 5/1/2021	295,000	324,665
San Jose Financing Authority, 5.000%, 6/1/2039, Call 6/1/2023	1,435,000	1,600,613
San Jose International Airport:
5.000%, 3/1/2041, Call 3/1/2027 (15)	1,000,000	1,123,950
5.000%, 3/1/2042, Call 3/1/2027	1,665,000	1,897,700
San Jose Unified School District, NATL, 0.000%, 8/1/2027	1,495,000	1,134,780
San Miguel Joint Union Elementary School District, AGM:
0.000%, 6/15/2020	415,000	392,084
0.000%, 6/15/2021	490,000	448,228
0.000%, 6/15/2022	505,000	446,375
Santa Ana Unified School District, 0.000%, 8/1/2021	500,000	464,170
Santa Ana Unified School District, AGM, 5.500%, 8/1/2030, Call 8/1/2018	930,000	946,526
Santa Barbara County College Elementary School District:
0.000%, 8/1/2027	365,000	273,735
0.000%, 8/1/2031	470,000	295,879
State of California:
5.250%, 9/1/2025, Call 9/1/2021	2,045,000	2,289,746
6.000%, 3/1/2033, Call 3/1/2020	1,550,000	1,683,532
Tahoe Forest Hospital District:
5.500%, 8/1/2027, Call 8/1/2018	1,345,000	1,369,075
5.500%, 8/1/2035, Call 8/1/2018	1,000,000	1,017,900
Twin Rivers Unified School District, AGM, 3.200%, 6/1/2020, Call 5/1/2018 (9)	1,365,000	1,366,829
Vallejo City Unified School District, MBIA, 5.900%, 8/1/2025	1,225,000	1,431,878
Walnut Creek Elementary School District Contra Costa County, 0.000%, 9/1/2023	1,560,000	1,355,687
Watereuse Finance Authority, BAM, 5.500%, 5/1/2036, Call 5/1/2024	2,635,000	3,065,875
West Contra Costa Unified School District, AGM NATL-RE FGIC, 0.000%, 8/1/2025	310,000	250,964
West Kern Water District, 5.000%, 6/1/2028, Call 6/1/2021	2,000,000	2,194,960
Westminster School District, BAM, 0.000%, 8/1/2048, Call 8/1/2023	7,045,000	1,095,004
Whittier Union High School District, 0.000%, 8/1/2034, Call 8/1/2019	500,000	189,105
Windsor Unified School District, AGM:
0.000%, 8/1/2020	105,000	100,531
0.000%, 8/1/2023	240,000	209,796
0.000%, 8/1/2024, Call 8/1/2023	330,000	276,675
0.000%, 8/1/2025, Call 8/1/2023	270,000	214,888
0.000%, 8/1/2026, Call 8/1/2023	330,000	248,081
0.000%, 8/1/2028, Call 8/1/2023	420,000	281,459
Yosemite Community College District, AGM, 5.000%, 8/1/2032, Call 8/1/2018	75,000	76,172
		108,484,368
Colorado — 2.6%
Adams & Arapahoe Joint School District 28J Aurora, SAW, 5.000%, 12/1/2031, Call 12/1/2026	5,000,000	5,831,100

Adams County School District No. 14, SAW:
5.000%, 12/1/2024	500,000	580,515
5.000%, 12/1/2026, Call 12/1/2024	355,000	415,787
5.000%, 12/1/2027, Call 12/1/2024	500,000	583,910
City & County of Denver, 5.000%, 11/15/2021	500,000	555,535
Colorado Educational & Cultural Facilities Authority:
1.120%, 7/1/2033, Call 3/1/2018 (9)	6,000,000	6,000,000
4.000%, 12/15/2025 (5)	535,000	553,714
5.000%, 9/1/2020 (13)	1,060,000	1,141,927
5.000%, 9/1/2021 (13)	865,000	951,612
5.000%, 10/1/2030, Call 10/1/2025	1,250,000	1,394,125
Colorado Health Facilities Authority:
1.730%, 7/1/2034, Call 7/1/2019 (5) (9)	3,325,000	3,325,000
3.125%, 5/15/2027, Call 5/15/2020	250,000	247,328
4.500%, 2/1/2020	455,000	474,151
5.000%, 9/1/2018	530,000	539,233
5.000%, 9/1/2019	560,000	586,947
5.000%, 2/1/2021	475,000	509,827
5.000%, 9/1/2022	750,000	838,088
5.000%, 12/1/2023	215,000	242,864
5.000%, 2/1/2024	420,000	471,244
5.000%, 6/1/2047, Call 6/1/2027	1,000,000	1,083,040
5.250%, 1/1/2025, Call 1/1/2020	460,000	487,752
5.250%, 5/15/2037, Call 5/15/2027	1,000,000	1,107,570
Commerce City Northern Infrastructure General Improvement District, AGM:
5.000%, 12/1/2020	785,000	852,015
5.000%, 12/1/2021	725,000	803,126
5.000%, 12/1/2022	1,185,000	1,333,184
County of Boulder, 5.000%, 12/1/2025, Call 12/1/2020	475,000	514,487
Denver City & County School District No. 1, SAW, 5.000%, 12/1/2032, Call 12/1/2022	1,500,000	1,709,355
Denver Convention Center Hotel Authority:
5.000%, 12/1/2033, Call 12/1/2026	1,000,000	1,129,010
5.000%, 12/1/2034, Call 12/1/2026	1,000,000	1,124,160
Denver Health & Hospital Authority, 5.500%, 12/1/2019	1,195,000	1,243,589
Park Creek Metropolitan District, 5.000%, 12/1/2030, Call 12/1/2025	1,895,000	2,148,172
Public Authority for Colorado Energy, 5.750%, 11/15/2018	195,000	200,487
Rangely Hospital District, 6.000%, 11/1/2026, Call 11/1/2021	2,000,000	2,220,560
Weld County School District No. RE-7 Platte Valley, SAW, 4.000%, 12/1/2023, Call 12/1/2020	1,140,000	1,209,745
		42,409,159
Connecticut — 1.2%
City of New Haven, AGM, 5.000%, 8/1/2023	2,060,000	2,290,535
Connecticut Housing Finance Authority:
1.090%, 11/15/2045, Call 3/1/2018 (9)	3,950,000	3,950,000
3.600%, 11/15/2030, Call 11/15/2024	305,000	305,921
Connecticut State Health & Educational Facility Authority:
2.875%, 9/1/2020, Call 4/2/2018 (5)	450,000	450,099
3.250%, 9/1/2021, Call 4/2/2018 (5)	700,000	700,105
State of Connecticut:
5.000%, 3/15/2027, Call 3/15/2026	2,155,000	2,423,060
5.000%, 4/15/2034, Call 4/15/2027	3,000,000	3,306,750
University of Connecticut:
5.000%, 3/15/2032, Call 3/15/2026	2,000,000	2,229,300
5.000%, 1/15/2033, Call 1/15/2027	4,000,000	4,463,640
		20,119,410
Delaware — 0.5%
City of Wilmington, 5.000%, 10/1/2025, Call 10/1/2023	3,715,000	4,256,313
Delaware State Economic Development Authority, 5.000%, 6/1/2036, Call 6/1/2026	1,500,000	1,513,005
Delaware State Housing Authority:
5.000%, 1/1/2026, Call 7/1/2019 (15)	200,000	205,220
5.200%, 7/1/2029, Call 7/1/2018	785,000	789,898
Sustainable Energy Utility, Inc., 5.000%, 9/15/2034, Call 9/15/2021	1,580,000	1,733,655
		8,498,091
District of Columbia — 0.4%
District of Columbia:
5.000%, 10/1/2025, Call 10/1/2021	1,865,000	2,017,706

5.000%, 6/1/2036, Call 6/1/2026	2,500,000	2,753,325
5.000%, 12/1/2036, Call 12/1/2021	500,000	550,645
Washington Convention & Sports Authority, 5.000%, 10/1/2030, Call 10/1/2027 (12)	1,500,000	1,746,555
		7,068,231
Florida — 5.8%
Central Florida Expressway Authority, 5.000%, 7/1/2039, Call 7/1/2027	1,000,000	1,142,430
Citizens Property Insurance Corp., 5.000%, 6/1/2019	2,615,000	2,724,961
City of Boynton Beach, AGM, 5.000%, 11/1/2027, Call 11/1/2021	1,000,000	1,104,700
City of Fort Pierce, AGC, 5.875%, 9/1/2028, Call 9/1/2018	1,000,000	1,021,790
City of Gainesville, 1.120%, 10/1/2026, Call 3/1/2018 (9)	8,010,000	8,010,000
City of Gulf Breeze, 5.000%, 12/1/2023, Call 12/1/2020	2,000,000	2,166,820
City of Jacksonville, 1.180%, 5/1/2029, Call 3/1/2018 (9)	1,600,000	1,600,000
City of Lakeland, AGM, 5.250%, 10/1/2028	1,250,000	1,542,925
City of North Port, 5.000%, 7/1/2022	200,000	222,830
City of Orlando, AGM:
5.000%, 11/1/2034, Call 11/1/2027	1,000,000	1,138,760
5.000%, 11/1/2035, Call 11/1/2027	1,000,000	1,134,330
5.000%, 11/1/2036, Call 11/1/2027	1,000,000	1,131,680
City of Port St. Lucie, AGC, 6.250%, 9/1/2027, Call 9/1/2018	500,000	512,225
City of Sunrise, 4.000%, 10/1/2019	540,000	560,660
City of Sunrise, NATL-RE:
0.000%, 10/1/2019	905,000	880,140
0.000%, 10/1/2020	975,000	929,984
0.000%, 10/1/2021	175,000	162,964
City of Tallahassee:
5.000%, 12/1/2026, Call 12/1/2025	450,000	506,813
5.000%, 12/1/2027, Call 12/1/2025	400,000	447,872
City of Tampa, 5.250%, 11/15/2026, Call 5/15/2020	2,000,000	2,160,060
City of Tampa, AMBAC, 0.000%, 4/1/2021	460,000	430,017
Columbia County School Board, 5.000%, 7/1/2026, Call 7/1/2025	495,000	572,378
County of Broward:
5.000%, 10/1/2026, Call 10/1/2025 (15)	750,000	865,853
5.000%, 10/1/2031, Call 10/1/2025 (15)	1,000,000	1,129,620
County of Broward, AGM, 5.000%, 4/1/2033, Call 4/1/2023 (15)	740,000	801,265
County of Lee, 5.000%, 10/1/2029, Call 10/1/2022	2,000,000	2,235,300
County of Manatee, 1.170%, 9/1/2024, Call 3/1/2018 (9)	1,400,000	1,400,000
County of Martin, 1.150%, 7/15/2022, Call 3/1/2018 (9)	1,300,000	1,300,000
County of Miami-Dade:
4.000%, 10/1/2035, Call 10/1/2027	2,500,000	2,609,225
5.000%, 10/1/2025, Call 10/1/2024	800,000	926,432
5.000%, 10/1/2033, Call 10/1/2025	2,000,000	2,272,280
5.000%, 10/1/2040, Call 10/1/2027 (15)	1,500,000	1,677,870
5.250%, 10/1/2029, Call 10/1/2023	100,000	114,576
5.500%, 10/1/2026, Call 10/1/2020	450,000	493,947
5.500%, 10/1/2026, Call 10/1/2020	1,450,000	1,585,430
County of Miami-Dade, AGC:
0.000%, 10/1/2021	610,000	555,124
5.000%, 10/1/2029, Call 10/1/2019	400,000	420,688
County of Miami-Dade, BHAC, 6.000%, 10/1/2023, Call 10/1/2018	1,000,000	1,027,080
County of Orange, 5.000%, 1/1/2027, Call 1/1/2022	5,810,000	6,429,114
County of St. Johns, AGM:
5.000%, 10/1/2020	1,625,000	1,754,236
5.000%, 10/1/2021	1,110,000	1,224,896
Dupree Lakes Community Development District, BAM:
3.000%, 5/1/2018	230,000	230,524
3.000%, 5/1/2019	190,000	192,744
Emerald Coast Utilities Authority, BAM, 5.000%, 1/1/2032, Call 1/1/2025	1,445,000	1,627,937
Florida HomeLoan Corp., GNMA/FHLMC/FNMA, 5.000%, 7/1/2028, Call 1/1/2020	145,000	146,953
Florida HomeLoan Corp., GNMA/FNMA/FHLMC, 4.450%, 1/1/2030, Call 7/1/2021	335,000	347,686
Halifax Hospital Medical Center:
5.000%, 6/1/2026	1,525,000	1,753,521
5.000%, 6/1/2027, Call 6/1/2026	1,295,000	1,460,734
Lee County Industrial Development Authority, 5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,170,040
Lee County School Board, 5.000%, 8/1/2028, Call 8/1/2024	2,500,000	2,860,250
Miami-Dade County Educational Facilities Authority, 5.000%, 4/1/2031, Call 4/1/2025	2,000,000	2,256,140
Miami-Dade County Industrial Development Authority, 1.170%, 6/1/2021, Call 3/1/2018 (9)	1,700,000	1,700,000

Orange County Health Facilities Authority, 5.250%, 10/1/2035, Call 10/1/2018	440,000	449,887
Polk County Housing Finance Authority, GNMA, 5.000%, 9/1/2029, Call 8/1/2020	150,000	159,756
Sarasota County Health Facilities Authority:
5.000%, 1/1/2030, Call 1/1/2025	750,000	829,620
5.000%, 1/1/2031, Call 1/1/2025	935,000	1,028,855
5.000%, 1/1/2037, Call 1/1/2024	1,000,000	1,091,800
School Board of Miami-Dade County, 1.320%, 3/1/2018 (5) (9)	3,855,000	3,855,000
Southeast Overtown Park West Community Redevelopment Agency, 5.000%, 3/1/2018 (5)	2,405,000	2,405,000
St. Lucie County School Board, AGM, 5.000%, 7/1/2022, Call 7/1/2021	2,500,000	2,715,150
Sumter County Industrial Development Authority:
4.000%, 7/1/2019	1,000,000	1,029,040
5.000%, 7/1/2020	500,000	535,595
Tampa-Hillsborough County Expressway Authority, 4.000%, 7/1/2042, Call 7/1/2028	4,000,000	4,115,960
Town of Davie:
5.000%, 4/1/2019	75,000	77,474
5.000%, 4/1/2021	615,000	665,436
5.000%, 4/1/2022	830,000	913,050
Volusia County Educational Facility Authority, AGM, 5.000%, 10/15/2029, Call 10/15/2021	730,000	812,030
		94,357,457
Georgia — 3.2%
Carroll City-County Hospital Authority, County Guarantee:
5.000%, 7/1/2023, Call 7/1/2020	1,185,000	1,275,368
5.000%, 7/1/2023, Call 7/1/2020	1,605,000	1,719,003
5.000%, 7/1/2024, Call 7/1/2020	695,000	748,001
5.000%, 7/1/2024, Call 7/1/2020	945,000	1,010,999
City of Atlanta Department of Aviation:
5.000%, 1/1/2031, Call 1/1/2024	1,000,000	1,138,310
5.000%, 1/1/2032, Call 1/1/2024	2,500,000	2,841,425
5.000%, 1/1/2033, Call 1/1/2024	1,000,000	1,135,400
5.000%, 1/1/2034, Call 1/1/2024	1,000,000	1,134,240
City of Atlanta, NATL-RE FGIC, 5.500%, 11/1/2022	1,000,000	1,120,770
Cobb County Kennestone Hospital Authority, 5.000%, 4/1/2031, Call 4/1/2021	3,000,000	3,197,070
Floyd County Hospital Authority, County Guarantee:
5.000%, 7/1/2020	1,335,000	1,432,909
5.000%, 7/1/2021	1,155,000	1,265,753
5.000%, 7/1/2027, Call 7/1/2022	1,250,000	1,365,237
Fulton County Development Authority, 5.250%, 3/15/2024, Call 3/15/2019	1,120,000	1,161,250
Gainesville & Hall County Development Authority:
5.000%, 3/1/2027	750,000	815,062
5.000%, 3/1/2037, Call 3/1/2027	500,000	523,225
5.000%, 3/1/2047, Call 3/1/2027	3,000,000	3,105,390
Gainesville & Hall County Hospital Authority:
5.000%, 2/15/2036, Call 2/15/2027	1,500,000	1,670,685
5.000%, 2/15/2037, Call 2/15/2027	2,000,000	2,222,700
5.000%, 2/15/2042, Call 2/15/2027	3,000,000	3,311,700
Glynn-Brunswick Memorial Hospital Authority, 5.000%, 8/1/2043, Call 8/1/2027	1,000,000	1,092,540
Jefferson City School District, SAW, 5.250%, 2/1/2029, Call 2/1/2021	1,350,000	1,484,041
Main Street Natural Gas, Inc.:
1.808% (LIBOR 1 Month+75 basis points), 9/1/2023, Call 6/1/2023 (10)	2,500,000	2,508,625
5.250%, 9/15/2018	250,000	254,838
Private Colleges & Universities Authority, 5.000%, 10/1/2020	575,000	615,164
RBC Municipal Products, Inc. Trust, 1.150%, 10/1/2021, Call 3/1/2018 (5) (9)	4,000,000	4,000,000
Richmond County Hospital Authority:
5.250%, 1/1/2029, Call 1/1/2019	1,150,000	1,185,535
5.375%, 1/1/2029, Call 1/1/2019	940,000	970,014
South Fulton Municipal Regional Water & Sewer Authority, BAM:
5.000%, 1/1/2023	800,000	897,024
5.000%, 1/1/2024	1,000,000	1,138,310
5.000%, 1/1/2025, Call 1/1/2024	700,000	801,731
South Regional Joint Development Authority, 5.250%, 8/1/2023	25,000	28,379
Spalding County, 6.125%, 9/1/2028, Call 9/1/2018	700,000	716,688
Valdosta & Lowndes County Hospital Authority, County Guarantee, 5.000%, 10/1/2025, Call 10/1/2021	2,940,000	3,219,535
Winder-Barrow Industrial Building Authority, AGM, 5.000%, 12/1/2029, Call 12/1/2021	1,000,000	1,099,020
		52,205,941

Guam — 0.1%
Territory of Guam:
5.000%, 12/1/2030, Call 12/1/2026	1,000,000	1,107,480
5.000%, 12/1/2031, Call 12/1/2026	1,000,000	1,105,110
		2,212,590
Hawaii — 0.1%
City & County of Honolulu:
5.000%, 10/1/2022	500,000	566,740
5.000%, 10/1/2023	500,000	575,405
		1,142,145
Idaho — 0.3%
Boise-Kuna Irrigation District:
5.875%, 6/1/2022, Call 6/1/2018	200,000	202,230
7.375%, 6/1/2034, Call 6/1/2018	340,000	345,002
Canyon County School District No. 131 Nampa, School Bond Gty, 5.000%, 9/15/2023	1,000,000	1,145,750
Idaho Health Facilities Authority, 6.500%, 11/1/2023, Call 11/1/2018	515,000	531,526
Idaho Housing & Finance Association, AGC, 5.250%, 7/15/2026, Call 7/15/2018	2,965,000	3,007,963
		5,232,471
Illinois — 15.5%
Bureau County Township High School District No. 502, BAM, 6.625%, 10/1/2043, Call 12/1/2023	3,400,000	4,218,312
Chicago Board of Education, 6.000%, 4/1/2046, Call 4/1/2027	1,500,000	1,757,025
Chicago Board of Education, NATL:
0.000%, 12/1/2022	365,000	305,410
5.250%, 12/1/2021	1,000,000	1,072,160
Chicago Board of Education, NATL-RE, 5.000%, 12/1/2019	70,000	72,545
Chicago O’Hare International Airport:
5.000%, 1/1/2026, Call 1/1/2025 (15)	1,500,000	1,708,815
5.000%, 1/1/2031, Call 1/1/2025 (15)	1,000,000	1,116,110
5.000%, 1/1/2039, Call 1/1/2027	2,000,000	2,268,360
Chicago O’Hare International Airport, AGC, 5.250%, 1/1/2026, Call 1/1/2020	775,000	821,035
Chicago Park District:
5.000%, 1/1/2023, Call 1/1/2022	1,060,000	1,175,021
5.000%, 1/1/2025, Call 7/1/2020	230,000	243,791
5.000%, 1/1/2026, Call 1/1/2021	730,000	778,516
5.000%, 1/1/2028, Call 1/1/2024	2,500,000	2,755,825
5.000%, 11/15/2029, Call 11/15/2018	130,000	133,398
5.000%, 1/1/2031, Call 1/1/2026	1,790,000	1,981,476
5.000%, 1/1/2040, Call 1/1/2026	1,000,000	1,081,270
Chicago Transit Authority, 5.000%, 12/1/2046, Call 12/1/2026	3,000,000	3,210,270
Chicago Transit Authority, AGC:
5.250%, 6/1/2019, Call 6/1/2018	375,000	378,701
5.250%, 6/1/2022, Call 6/1/2018	3,250,000	3,282,077
City of Chicago:
5.000%, 11/1/2025	2,000,000	2,282,260
5.000%, 11/1/2027, Call 11/1/2026	2,500,000	2,827,950
5.000%, 11/1/2027, Call 11/1/2026	1,000,000	1,131,180
5.000%, 11/1/2028, Call 11/1/2026	1,000,000	1,127,960
5.000%, 11/1/2029, Call 11/1/2026	1,000,000	1,123,150
5.000%, 1/1/2031, Call 1/1/2025	3,715,000	4,057,857
5.000%, 1/1/2032, Call 1/1/2027	2,000,000	2,205,340
5.000%, 1/1/2033, Call 1/1/2027	3,000,000	3,288,990
5.000%, 1/1/2039, Call 1/1/2025	500,000	537,330
6.000%, 1/1/2038, Call 1/1/2027	10,000,000	11,355,500
City of Chicago, AGM:
5.000%, 11/1/2027, Call 11/1/2018	140,000	143,363
5.000%, 11/1/2027, Call 11/1/2018	60,000	61,393
City of Springfield:
5.000%, 12/1/2022	905,000	998,396
5.000%, 3/1/2028, Call 3/1/2025	1,000,000	1,123,370
5.000%, 3/1/2029, Call 3/1/2025	1,000,000	1,118,690
Cook County Community Consolidated School District No. 65 Evanston:
0.000%, 12/1/2027, Call 12/1/2024	300,000	205,569
0.000%, 12/1/2029, Call 12/1/2024	400,000	244,700
0.000%, 12/1/2030, Call 12/1/2024	1,130,000	656,327

0.000%, 12/1/2031, Call 12/1/2024	1,500,000	824,955
Cook County School District No. 103 Lyons, AGM, 0.000%, 12/1/2021	850,000	765,042
Cook County School District No. 124 Evergreen Park, BAM, 4.000%, 12/1/2020	450,000	470,241
Cook County School District No. 144 Prairie Hills, AGM:
0.000%, 12/1/2028	2,830,000	1,789,607
0.000%, 12/1/2029	2,580,000	1,554,450
Cook County School District No. 83 Mannheim, 5.625%, 6/1/2033	2,980,000	3,425,093
Cook County Township High School District No. 201 J Sterling Morton, AMBAC, 0.000%, 12/1/2019	675,000	641,554
Cook County Township High School District No. 220 Reavis:
6.000%, 12/1/2030, Call 12/1/2023	1,000,000	1,182,720
6.000%, 12/1/2031, Call 12/1/2023	2,035,000	2,405,635
6.000%, 12/1/2032, Call 12/1/2023	2,160,000	2,569,925
6.000%, 6/1/2033, Call 12/1/2023	2,235,000	2,651,246
County of Cook:
5.000%, 11/15/2029, Call 11/15/2026	3,270,000	3,708,572
5.000%, 11/15/2031, Call 11/15/2026	2,000,000	2,252,060
5.250%, 11/15/2023, Call 11/15/2020	350,000	377,755
County of Cook, BAM, 5.000%, 11/15/2023	1,000,000	1,127,530
County of St. Clair:
5.250%, 10/1/2024, Call 10/1/2019	485,000	512,514
5.250%, 10/1/2024, Call 10/1/2019	215,000	227,128
5.250%, 10/1/2027, Call 10/1/2019	835,000	882,370
5.250%, 10/1/2027, Call 10/1/2019	315,000	332,769
5.500%, 1/1/2038, Call 1/1/2023	825,000	933,718
County of Will, 5.750%, 1/1/2023, Call 4/16/2018	545,000	546,848
DeKalb County Community Unit School District No. 424 Genoa-Kingston, AMBAC, 0.000%, 1/1/2020	600,000	572,598
DeKalb County Community Unit School District No. 428 DeKalb:
0.000%, 1/1/2025, Call 7/1/2020	400,000	296,904
0.000%, 1/1/2028, Call 7/1/2020	1,000,000	613,300
DeKalb, Kane & LaSalle Counties Etc Community College District No. 523 Kishwaukee, 0.000%, 2/1/2035, Call 2/1/2021	470,000	165,891
DuPage County School District No. 16 Queen Bee, NATL-RE FGIC, 0.000%, 11/1/2019	530,000	507,788
Frankfort Square Park District, AMBAC, 0.000%, 1/1/2022	670,000	576,991
Illinois Development Finance Authority, AGM:
0.000%, 1/1/2021	95,000	90,074
0.000%, 1/1/2021	160,000	149,762
Illinois Finance Authority:
2.500%, 5/15/2018	170,000	170,156
5.000%, 11/15/2023, Call 11/15/2022	215,000	239,914
5.000%, 8/15/2024	250,000	278,665
5.000%, 5/15/2025	1,000,000	1,090,730
5.000%, 11/15/2026, Call 11/15/2025	1,000,000	1,135,460
5.000%, 11/15/2027, Call 11/15/2025	500,000	563,740
5.000%, 11/1/2029, Call 11/1/2026	2,000,000	2,251,100
5.000%, 5/15/2030, Call 5/15/2025	1,000,000	1,051,120
5.000%, 11/1/2030, Call 11/1/2026	1,200,000	1,344,900
5.000%, 1/1/2036, Call 1/1/2027	2,000,000	2,163,380
5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,043,850
5.000%, 8/1/2042, Call 8/1/2027	580,000	620,409
5.000%, 8/1/2046, Call 8/1/2027	515,000	549,222
5.000%, 8/1/2047, Call 8/1/2027	750,000	799,237
5.000%, 12/1/2047, Call 12/1/2027	1,000,000	1,034,240
5.250%, 2/15/2030, Call 2/15/2020	250,000	267,273
6.000%, 10/1/2024, Call 10/1/2021	1,010,000	1,086,144
6.000%, 8/15/2041, Call 8/15/2021	2,665,000	2,962,521
6.875%, 10/1/2043, Call 10/1/2021	3,000,000	3,279,720
Illinois Finance Authority, AGC, 5.250%, 8/15/2019	250,000	263,160
Illinois Finance Authority, AGM:
0.000%, 1/1/2020	450,000	436,347
0.000%, 1/1/2020	500,000	479,760
5.150%, 1/1/2019	420,000	431,676
Illinois Housing Development Authority, GNMA/FNMA COLL, 2.450%, 6/1/2043, Call 1/1/2023	623,356	594,376
Illinois State Toll Highway Authority:
5.000%, 1/1/2028, Call 1/1/2023	1,000,000	1,122,740

5.000%, 1/1/2029, Call 1/1/2023	1,000,000	1,119,830
5.000%, 1/1/2030, Call 1/1/2026	1,000,000	1,152,180
5.000%, 12/1/2032, Call 1/1/2026	7,790,000	8,904,827
5.000%, 1/1/2042, Call 1/1/2028	2,000,000	2,254,720
Kane & DeKalb Counties Community Unit School District No. 302 Kaneland, NATL-RE FGIC, 0.000%, 2/1/2023	5,450,000	4,662,802
Kane Cook & DuPage Counties School District No. U-46 Elgin, AMBAC:
0.000%, 1/1/2023	350,000	313,845
0.000%, 1/1/2023	650,000	560,248
Kane McHenry Cook & De Kalb Counties Unit School District No. 300:
5.000%, 1/1/2023	1,000,000	1,119,340
5.000%, 1/1/2024	1,000,000	1,133,660
5.000%, 1/1/2026, Call 1/1/2025	4,000,000	4,578,280
5.250%, 1/1/2033, Call 1/1/2023	900,000	1,010,619
Knox & Warren Counties Community Unit School District No. 205 Galesburg, 6.125%, 1/1/2036, Call 1/1/2021	1,435,000	1,566,776
Lake County School District No. 33, XLCA:
0.000%, 12/1/2026	525,000	351,482
0.000%, 12/1/2028	335,000	196,414
Lake County School District No. 38 Big Hollow, AMBAC, 0.000%, 2/1/2019	200,000	195,352
Lake County School District No. 56 Gurnee, 5.000%, 1/1/2024	440,000	498,810
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, AGM FGIC, 0.000%, 1/1/2024	500,000	415,270
McHenry & Kane Counties Community Consolidated School District No. 158 Huntley, NATL, 0.000%, 1/1/2021	1,900,000	1,756,683
McHenry County Community Unit School District No. 12 Johnsburg, AGM:
4.000%, 1/1/2019	265,000	269,648
5.000%, 1/1/2020	550,000	578,886
5.000%, 1/1/2021	810,000	864,975
5.000%, 1/1/2022	895,000	971,102
Metropolitan Pier & Exposition Authority, NATL:
0.000%, 12/15/2023	20,000	17,471
0.000%, 12/15/2023	835,000	678,471
5.700%, 6/15/2023 (13)	1,710,000	2,016,415
5.700%, 6/15/2023 (13)	1,820,000	2,102,246
Metropolitan Pier & Exposition Authority, NATL-RE, 0.000%, 6/15/2024	1,000,000	795,150
Metropolitan Pier & Exposition Authority, NATL-RE FGIC, 0.000%, 6/15/2020	440,000	411,413
Metropolitan Water Reclamation District of Greater Chicago, 5.000%, 12/1/2031, Call 12/1/2026	3,500,000	3,994,410
Peoria Public Building Commission, AGC, 0.000%, 12/1/2019, Call 12/1/2018	1,000,000	940,200
Railsplitter Tobacco Settlement Authority:
5.000%, 6/1/2027, Call 6/1/2026	2,000,000	2,283,960
5.250%, 6/1/2021	1,120,000	1,227,184
Sales Tax Securitization Corp.:
5.000%, 1/1/2028	1,000,000	1,169,140
5.000%, 1/1/2029, Call 1/1/2028	1,000,000	1,160,820
5.000%, 1/1/2030, Call 1/1/2028	1,000,000	1,155,320
South Suburban College Community School District No. 510, AGC, 0.000%, 12/1/2025	1,000,000	776,020
Southern Illinois University, BAM, 5.000%, 4/1/2026, Call 4/1/2025	1,175,000	1,327,550
Southwestern Illinois Development Authority:
5.000%, 10/15/2029, Call 10/15/2025	1,780,000	1,965,921
5.000%, 10/15/2032, Call 10/15/2025	1,335,000	1,462,252
Southwestern Illinois Development Authority, AGC, 5.750%, 2/1/2029, Call 2/1/2019	1,025,000	1,065,241
St. Clair County Community Unit School District No. 187 Cahokia, AGM, 5.000%, 1/1/2020	630,000	663,554
St. Louis Regional Airport Authority, 6.000%, 12/1/2024, Call 12/1/2018 (15)	745,000	766,910
State of Illinois:
5.000%, 3/1/2020	500,000	516,005
5.000%, 4/1/2024, Call 4/1/2023	500,000	523,705
5.000%, 11/1/2025	7,000,000	7,358,680
5.000%, 11/1/2026	10,000,000	10,493,900
5.000%, 2/1/2027	1,000,000	1,045,310
5.000%, 11/1/2028, Call 11/1/2027	2,000,000	2,082,320
5.000%, 2/1/2029, Call 2/1/2027	1,000,000	1,034,860
5.000%, 11/1/2033, Call 11/1/2026	8,000,000	8,197,280
5.250%, 6/15/2034, Call 6/15/2019	3,715,000	3,892,688
6.500%, 6/15/2022	300,000	321,321
State of Illinois, AGM, 5.000%, 4/1/2028, Call 4/1/2023	3,205,000	3,470,342
Tazewell County School District No. 51 Washington Central, NATL-RE FGIC, 9.000%, 12/1/2025	165,000	228,271

Town of Cicero:
5.000%, 1/1/2020	1,000,000	1,050,680
5.000%, 1/1/2021	1,000,000	1,066,460
Village of Bolingbrook, AGM, 5.000%, 1/1/2025, Call 1/1/2020	1,425,000	1,493,272
Village of Elwood, RADIAN:
0.000%, 3/1/2024, Call 9/1/2018	250,000	183,553
0.000%, 3/1/2026, Call 9/1/2018	1,280,000	839,462
Village of Franklin Park, BAM:
4.000%, 10/1/2018	425,000	430,568
4.000%, 10/1/2019	420,000	433,730
4.000%, 10/1/2020	615,000	641,199
5.000%, 10/1/2022, Call 10/1/2021	730,000	800,262
5.000%, 10/1/2023, Call 10/1/2021	685,000	749,938
5.000%, 10/1/2024, Call 10/1/2021	425,000	464,984
5.000%, 10/1/2025, Call 10/1/2021	920,000	1,006,554
Village of Justice, AMBAC, 0.000%, 1/1/2021	635,000	566,560
Will & Kankakee Counties School District No 255:
5.000%, 6/1/2026, Call 6/1/2025	500,000	554,025
5.000%, 6/1/2029, Call 6/1/2025	600,000	655,134
Will County Community High School District No. 210 Lincoln-Way:
5.000%, 1/1/2027, Call 1/1/2023	1,250,000	1,241,987
5.000%, 1/1/2028, Call 1/1/2023	3,500,000	3,451,700
5.000%, 1/1/2030, Call 1/1/2023	1,500,000	1,468,440
Will County Community School District No. 161 Summit Hill, NATL-RE FGIC, 0.000%, 1/1/2019	695,000	681,364
Will County Community Unit School District No. 201-U Crete-Monee, NATL-RE:
0.000%, 11/1/2020	245,000	233,272
0.000%, 11/1/2020	1,755,000	1,630,553
0.000%, 11/1/2021	55,000	51,114
0.000%, 11/1/2021	245,000	221,509
0.000%, 11/1/2022	60,000	54,179
0.000%, 11/1/2022	190,000	164,607
Will County School District No. 114, NATL-RE FGIC:
0.000%, 12/1/2020	1,180,000	1,098,261
0.000%, 12/1/2023	1,600,000	1,322,640
Will County Township High School District No. 204 Joliet, 6.250%, 1/1/2031, Call 1/1/2021	500,000	558,470
Will, Grundy, Etc. Counties Community College District No. 525:
5.250%, 6/1/2036, Call 12/1/2023	3,400,000	3,864,372
5.750%, 6/1/2028, Call 6/1/2018	170,000	171,564
Williamson County Community Unit School District No. 5 Carterville, AGC:
0.000%, 1/1/2029, Call 1/1/2019	300,000	166,380
0.000%, 1/1/2033, Call 1/1/2019	1,000,000	417,070
0.000%, 1/1/2034, Call 1/1/2019	1,000,000	386,510
Winnebago & Boone Counties School District No. 205 Rockford:
0.000%, 2/1/2020	500,000	477,230
4.000%, 2/1/2027, Call 2/1/2023	4,680,000	4,909,741
		253,391,745
Indiana — 2.3%
Carmel Redevelopment Authority, 5.000%, 7/1/2023, Call 7/1/2020	350,000	377,107
City of Greenwood:
4.250%, 10/1/2020, Call 10/1/2018	820,000	840,336
4.625%, 10/1/2024, Call 10/1/2018	520,000	534,045
City of Rockport, 1.750%, 6/1/2018 (9)	1,700,000	1,698,912
Concord Community Schools Building Corp., AGM, 5.000%, 7/15/2025, Call 7/15/2018	1,000,000	1,013,760
Damon Run Conservancy District, 4.500%, 7/1/2018	220,000	221,934
Fishers Redevelopment District:
5.125%, 7/15/2026, Call 1/15/2020	1,875,000	1,999,087
5.250%, 7/15/2023, Call 1/15/2020	1,605,000	1,714,894
Frankfort High School Elementary School Building Corp., 5.000%, 7/15/2025	115,000	133,064
Franklin Township-Marion County Multiple School Building Corp., SAW:
5.000%, 7/10/2021	580,000	637,571
5.000%, 7/15/2029, Call 1/15/2023	2,565,000	2,872,184
Indiana Bond Bank, 1.750% (SIFMA Municipal Swap Index Yield+66 basis points), 10/15/2022 (10)	1,650,000	1,633,516
Indiana Finance Authority:
3.000%, 7/1/2019	250,000	254,155
5.000%, 8/15/2020	700,000	736,274

5.000%, 10/1/2022	300,000	331,170
5.000%, 10/1/2023	400,000	445,600
5.000%, 10/1/2024, Call 10/1/2023	275,000	305,899
5.000%, 5/1/2029, Call 5/1/2022	85,000	95,282
5.000%, 5/1/2029, Call 5/1/2022	3,985,000	4,327,830
5.250%, 10/1/2024, Call 10/1/2021	710,000	791,941
5.250%, 10/1/2031, Call 10/1/2021	2,190,000	2,445,179
5.250%, 11/15/2046, Call 11/15/2026	2,500,000	2,716,125
5.500%, 5/1/2024, Call 5/1/2019	820,000	856,515
5.500%, 5/1/2024, Call 5/1/2019	180,000	187,695
Indiana Health & Educational Facilities Financing Authority, AGM, 5.250%, 11/1/2023, Call 5/1/2018	500,000	503,220
Indiana Health Facility Financing Authority, AMBAC, 2.486%, 5/1/2031, Call 3/20/2018 (9) (11)	475,000	445,954
Indiana Housing & Community Development Authority, GNMA/FNMA/FHLMC, 1.350%, 7/1/2047, Call 3/1/2018 (9)	2,000,000	2,000,000
Indiana Municipal Power Agency, 5.250%, 1/1/2024, Call 1/1/2019	500,000	516,085
Indianapolis Local Public Improvement Bond Bank:
5.000%, 1/1/2021	175,000	189,474
5.000%, 1/1/2022, Call 1/1/2021	200,000	215,796
5.750%, 1/1/2038, Call 1/1/2019	345,000	357,517
Indianapolis Local Public Improvement Bond Bank, NATL-RE, 5.250%, 7/1/2022	500,000	562,430
Marion High School Building Corp.:
4.000%, 7/15/2019	455,000	469,787
4.000%, 7/15/2020, Call 1/15/2020	935,000	971,577
4.000%, 7/15/2021, Call 1/15/2020	375,000	388,549
North Central Campus School Building Corp., AGM, 5.250%, 7/15/2022, Call 7/15/2018	1,000,000	1,014,680
Portage Redevelopment District:
5.000%, 1/15/2023	280,000	309,596
5.000%, 1/15/2024	215,000	240,925
Porter County Jail Building Corp., AGM, 5.500%, 7/10/2021	180,000	190,240
Rush County Elementary School Building Corp., SAW, 5.250%, 7/15/2021, Call 1/15/2019	565,000	584,024
Steuben Lakes Regional Waste District, 5.000%, 9/1/2024, Call 9/1/2023	1,225,000	1,376,704
		37,506,633
Iowa — 0.4%
Iowa Finance Authority, 5.000%, 5/15/2036, Call 5/15/2026	4,000,000	4,409,400
Johnston Community School District, AGM, 5.000%, 7/1/2027, Call 7/1/2022	1,455,000	1,602,115
		6,011,515
Kansas — 0.2%
Kansas Development Finance Authority:
5.000%, 11/15/2020, Call 11/15/2019	800,000	844,656
5.000%, 3/1/2031, Call 3/1/2020	1,000,000	1,052,960
Kansas Development Finance Authority, FSA, 5.250%, 11/1/2028, Call 11/1/2018	475,000	487,516
Wyandotte County-Kansas City, 5.000%, 9/1/2032, Call 9/1/2022	1,000,000	1,107,960
		3,493,092
Kentucky — 1.1%
Kentucky Asset Liability Commission:
5.000%, 9/1/2024	1,000,000	1,154,250
5.000%, 9/1/2025	1,250,000	1,452,238
Kentucky Economic Development Finance Authority:
5.000%, 8/15/2041, Call 8/15/2027	1,500,000	1,620,750
5.000%, 8/15/2046, Call 8/15/2027	1,500,000	1,612,830
Louisville/Jefferson County Metropolitan Government:
5.000%, 10/1/2030, Call 10/1/2026	1,300,000	1,474,330
5.000%, 10/1/2031, Call 10/1/2026	3,500,000	3,949,750
Paducah Electric Plant Board, AGC, 5.000%, 10/1/2023, Call 4/1/2019	100,000	103,725
Paducah Electric Plant Board, AGM:
5.000%, 10/1/2027, Call 10/1/2026	2,000,000	2,273,020
5.000%, 10/1/2028, Call 10/1/2026	1,850,000	2,089,205
5.000%, 10/1/2030, Call 10/1/2026	1,500,000	1,680,840
Pulaski County Public Properties Corp., 5.500%, 12/1/2024, Call 12/1/2018	260,000	267,909
		17,678,847
Louisiana — 1.8%
City of Bossier, 5.000%, 10/1/2031, Call 10/1/2024	1,160,000	1,310,139
City of New Orleans:

5.000%, 6/1/2021	800,000	873,752
5.000%, 12/1/2021	500,000	550,075
5.000%, 6/1/2022	450,000	499,842
5.000%, 12/1/2022	725,000	809,071
5.000%, 6/1/2023	500,000	563,455
5.000%, 12/1/2024	765,000	883,039
5.000%, 6/1/2026, Call 6/1/2025	150,000	171,504
5.000%, 12/1/2026, Call 12/1/2025	240,000	274,915
5.000%, 6/1/2027, Call 6/1/2025	200,000	227,406
5.000%, 6/1/2029, Call 6/1/2025	200,000	225,454
5.000%, 12/1/2029, Call 12/1/2025	350,000	395,472
City of Shreveport, BAM, 4.000%, 12/1/2025, Call 12/1/2024	2,210,000	2,397,430
Lafayette Public Trust Financing Authority, AGM:
4.000%, 10/1/2020	690,000	724,707
4.000%, 10/1/2021	675,000	716,364
Louisiana Housing Corp., GNMA/FNMA/FHLMC, 4.750%, 6/1/2027, Call 6/1/2020	650,000	668,960
Louisiana Public Facilities Authority:
3.375%, 9/1/2028, Call 3/1/2021	2,440,000	2,461,155
5.000%, 5/15/2042, Call 5/15/2027	2,500,000	2,724,925
Louisiana Stadium & Exposition District, 5.000%, 7/1/2023	800,000	910,336
New Orleans Aviation Board:
5.000%, 1/1/2043, Call 1/1/2027	1,500,000	1,680,465
5.000%, 1/1/2048, Call 1/1/2027	1,855,000	2,070,681
Parish of St. Bernard:
4.000%, 3/1/2020	3,470,000	3,599,674
4.000%, 3/1/2021	3,585,000	3,760,522
Port New Orleans Board of Commissioners, 5.000%, 4/1/2032, Call 4/1/2023 (15)	725,000	780,093
Regional Transit Authority, NATL-RE FGIC, 0.000%, 12/1/2021	210,000	176,058
Terrebonne Parish Consolidated Government, 5.875%, 3/1/2024, Call 3/1/2019	495,000	516,963
		29,972,457
Maine — 0.6%
City of Portland, 5.000%, 7/1/2022	300,000	332,283
Maine State Housing Authority, 3.850%, 11/15/2029, Call 11/15/2021	7,500,000	7,671,300
Maine Turnpike Authority, 5.000%, 7/1/2029, Call 7/1/2022	1,500,000	1,672,545
		9,676,128
Maryland — 1.1%
City of Rockville:
5.000%, 11/1/2030, Call 11/1/2024	765,000	857,695
5.000%, 11/1/2037, Call 11/1/2024	1,000,000	1,098,350
5.000%, 11/1/2042, Call 11/1/2024	1,000,000	1,090,870
Maryland Health & Higher Educational Facilities Authority:
5.000%, 5/15/2042, Call 5/15/2027	4,750,000	5,266,753
5.750%, 7/1/2034, Call 7/1/2021	775,000	870,565
Maryland Industrial Development Financing Authority, 1.400%, 3/1/2030, Call 3/1/2018 (9)	5,000,000	5,000,000
Montgomery County Housing Opportunites Commission:
5.000%, 7/1/2031, Call 7/1/2020	655,000	684,999
5.125%, 7/1/2037, Call 7/1/2020	3,110,000	3,244,694
		18,113,926
Massachusetts — 1.2%
Commonwealth of Massachusetts, NATL-RE FGIC:
2.161%, 12/1/2030, Call 3/5/2018 (9) (11)	1,450,000	1,450,000
2.206%, 12/1/2030, Call 3/1/2018 (9) (11)	7,375,000	7,375,000
Massachusetts Development Finance Agency:
5.000%, 7/1/2025, Call 7/1/2021	1,425,000	1,555,302
5.000%, 7/1/2027, Call 7/1/2025	125,000	144,090
5.000%, 7/1/2037, Call 7/1/2027	1,400,000	1,496,796
5.000%, 10/1/2037, Call 10/1/2022 (5)	500,000	536,160
5.000%, 10/1/2047, Call 10/1/2022 (5)	500,000	531,265
Massachusetts Educational Financing Authority:
5.000%, 7/1/2025, Call 7/1/2022 (15)	500,000	528,430
5.250%, 1/1/2019 (15)	1,150,000	1,178,957
5.250%, 1/1/2019	445,000	457,140
Massachusetts Health & Educational Facilities Authority, 5.000%, 7/1/2024, Call 7/1/2019	3,105,000	3,236,652
Massachusetts Housing Finance Agency, 3.700%, 12/1/2027, Call 6/1/2022 (15)	635,000	637,470

Massachusetts School Building Authority, 5.000%, 8/15/2030, Call 8/15/2022	815,000	911,284
		20,038,546
Michigan — 3.8%
Alma Public Schools, Q-SBLF, 5.000%, 5/1/2021	890,000	975,173
Bay City School District, Q-SBLF:
5.000%, 11/1/2027, Call 5/1/2024	645,000	735,377
5.000%, 11/1/2028, Call 5/1/2024	1,305,000	1,484,659
Caledonia Community Schools, Q-SBLF:
5.000%, 5/1/2025	600,000	696,102
5.000%, 5/1/2026	500,000	582,540
Carman-Ainsworth Community School District, BAM, 5.000%, 5/1/2020	375,000	397,631
Charter Township of Northville:
4.000%, 4/1/2021	400,000	423,532
4.000%, 4/1/2022	240,000	256,380
Chippewa Valley Schools, Q-SBLF, 5.000%, 5/1/2027, Call 11/1/2025	20,000	23,315
City of Battle Creek, BAM, 5.000%, 6/1/2033, Call 6/1/2018	1,000,000	1,009,250
City of Detroit Sewage Disposal System Revenue, AGC NATL-RE, 5.250%, 7/1/2023, Call 4/2/2018	95,000	95,304
City of Detroit Sewage Disposal System Revenue, NATL, 0.000%, 7/1/2020	110,000	104,339
City of Detroit Water Supply System Revenue, BHAC FGIC, 5.500%, 7/1/2035, Call 7/1/2018	1,035,000	1,048,921
City of Wyandotte, BAM:
5.000%, 10/1/2020	200,000	213,502
5.000%, 10/1/2021	290,000	314,885
5.000%, 10/1/2022	290,000	319,734
5.000%, 10/1/2023	250,000	279,048
5.000%, 10/1/2024	300,000	338,829
Coloma Community School District, Q-SBLF, 3.000%, 5/1/2021	905,000	935,978
Comstock Park Public Schools, Q-SBLF, 5.000%, 5/1/2028, Call 5/1/2021	400,000	435,704
Detroit City School District, AGM Q-SBLF, 5.250%, 5/1/2026	300,000	345,027
Dundee Community Schools, Q-SBLF:
5.000%, 5/1/2022	1,200,000	1,341,072
5.000%, 5/1/2025	1,000,000	1,160,170
Fitzgerald Public School District, BAM, 4.000%, 5/1/2019	2,065,000	2,110,802
Fraser Public School District, Q-SBLF:
5.000%, 5/1/2021	1,000,000	1,097,640
5.000%, 5/1/2022	1,000,000	1,117,560
5.000%, 5/1/2025	1,700,000	1,972,289
Grosse Ile Township School District, Q-SBLF:
5.000%, 5/1/2026, Call 5/1/2025	200,000	231,750
5.000%, 5/1/2027, Call 5/1/2025	230,000	264,562
Hartland Consolidated Schools, AGM Q-SBLF:
5.250%, 5/1/2026, Call 5/1/2021	1,625,000	1,787,663
5.250%, 5/1/2027, Call 5/1/2021	600,000	659,676
5.250%, 5/1/2028, Call 5/1/2021	1,575,000	1,729,602
Howell Public Schools, Q-SBLF, 4.250%, 5/1/2024, Call 5/1/2022	1,000,000	1,081,940
Jackson County Hospital Finance Authority, AGC, 4.500%, 6/1/2026, Call 6/1/2020 (9)	415,000	441,074
Jenison Public Schools:
5.000%, 5/1/2021	500,000	546,560
5.000%, 5/1/2022, Call 5/1/2021	560,000	616,678
Kent Hospital Finance Authority, 5.000%, 11/15/2029, Call 11/15/2021	1,000,000	1,078,920
Lansing Board of Water & Light, 5.000%, 7/1/2037, Call 7/1/2021	1,000,000	1,085,050
Lansing School District, Q-SBLF:
5.000%, 5/1/2019	1,000,000	1,041,400
5.000%, 5/1/2020	1,825,000	1,951,162
Livonia Public Schools School District, BAM, 5.000%, 5/1/2021	1,600,000	1,739,216
Marshall Public Schools, Q-SBLF:
4.000%, 11/1/2028, Call 5/1/2025	1,380,000	1,467,409
4.000%, 11/1/2029, Call 5/1/2025	940,000	993,947
Mattawan Consolidated School District, Q-SBLF, 5.000%, 5/1/2019	215,000	223,518
Michigan Finance Authority:
5.000%, 11/1/2020	2,000,000	2,166,780
5.000%, 7/1/2026, Call 7/1/2025	175,000	196,891
5.000%, 7/1/2027, Call 7/1/2025	600,000	670,464
5.000%, 7/1/2029, Call 7/1/2025	950,000	1,066,850
5.000%, 7/1/2032, Call 7/1/2025	1,500,000	1,668,900
5.000%, 7/1/2034, Call 7/1/2025	500,000	547,085

5.000%, 12/1/2037, Call 12/1/2027	1,000,000	1,134,420
5.000%, 11/15/2041, Call 11/15/2026	1,000,000	1,101,400
Michigan Finance Authority, AGM:
5.000%, 7/1/2029, Call 7/1/2024	1,500,000	1,688,310
5.000%, 7/1/2030, Call 7/1/2024	1,500,000	1,683,690
Michigan State Housing Development Authority, 5.625%, 10/1/2031, Call 10/1/2020	850,000	904,553
North Branch Area Schools, Q-SBLF, 5.000%, 5/1/2024	200,000	230,118
Plymouth-Canton Community School District, Q-SBLF, 5.000%, 5/1/2021	450,000	493,065
Redford Union School District No. 1, AMBAC Q-SBLF, 5.000%, 5/1/2022	250,000	269,913
River Rouge School District, Q-SBLF:
5.000%, 5/1/2020	1,700,000	1,817,521
5.000%, 5/1/2021	1,155,000	1,265,534
Taylor Tax Increment Finance Authority, AGM:
3.000%, 5/1/2018	855,000	857,043
3.000%, 5/1/2019	340,000	344,162
3.250%, 5/1/2020	90,000	91,202
Wayland Union School District, AGM Q-SBLF:
5.000%, 5/1/2024, Call 5/1/2018	500,000	503,015
5.250%, 5/1/2019, Call 5/1/2018	400,000	402,576
Wayne County Airport Authority:
5.000%, 12/1/2026, Call 12/1/2025 (15)	3,000,000	3,423,030
5.000%, 12/1/2030, Call 12/1/2025	1,250,000	1,418,850
Wayne State University, AGM:
5.000%, 11/15/2025, Call 11/15/2018	230,000	236,012
5.000%, 11/15/2025, Call 11/15/2018	285,000	292,450
Western Township Utilities Authority, 4.000%, 1/1/2021	1,200,000	1,265,700
		62,494,424
Minnesota — 0.3%
City of Minneapolis, AGC:
6.500%, 11/15/2038, Call 11/15/2018	165,000	170,920
6.500%, 11/15/2038, Call 11/15/2018	905,000	934,738
City of Minneapolis/St Paul Housing & Redevelopment Authority, 4.000%, 8/15/2019	445,000	458,715
City of Minneapolis/St Paul Housing & Redevelopment Authority, AGM, 5.000%, 8/15/2025, Call 8/15/2020	215,000	228,932
City of Minneapolis/St Paul Housing & Redevelopment Authority, NATL-RE, 2.161%, 8/1/2027, Call 3/6/2018 (9) (11)	375,000	352,946
Minneapolis & St. Paul Housing & Redevelopment Authority, 5.250%, 8/15/2025, Call 8/15/2020	275,000	294,979
Minnesota Higher Education Facilities Authority, 5.000%, 10/1/2019	400,000	418,572
Minnesota Housing Finance Agency, 3.900%, 7/1/2030, Call 1/1/2022	550,000	562,160
Minnesota Housing Finance Agency, GNMA, 2.600%, 9/1/2042, Call 7/1/2022	843,760	816,397
Minnesota Housing Finance Agency, GNMA/FNMA COLL:
2.250%, 12/1/2042, Call 1/1/2022	543,832	515,466
5.000%, 1/1/2031, Call 7/1/2021	585,000	619,609
		5,373,434
Mississippi — 0.3%
Mississippi Development Bank:
3.125%, 10/1/2023	180,000	181,228
5.000%, 10/1/2023	2,505,000	2,729,448
5.000%, 1/1/2027, Call 1/1/2022	1,200,000	1,340,076
Mississippi Home Corp., GNMA/FNMA/FHLMC, 6.750%, 6/1/2039, Call 6/1/2018	185,000	191,294
Mississippi State University Educational Building Corp., 5.000%, 11/1/2022	135,000	151,791
		4,593,837
Missouri — 1.8%
Bi-State Development Agency of the Missouri-Illinois Metropolitan District, 5.000%, 10/1/2033, Call 10/1/2022	4,000,000	4,476,160
Chesterfield Valley Transportation Development District:
4.000%, 5/15/2019	475,000	487,887
5.000%, 5/15/2020	125,000	132,538
5.000%, 5/15/2021	490,000	529,504
City of Kansas City:
5.000%, 9/1/2021, Call 9/1/2019	500,000	524,215
5.000%, 9/1/2023, Call 9/1/2019	300,000	314,346
5.000%, 10/1/2026, Call 10/1/2025	120,000	138,625
5.000%, 10/1/2028, Call 10/1/2025	115,000	131,578

5.000%, 9/1/2032, Call 9/1/2019	1,000,000	1,044,180
Health & Educational Facilities Authority:
5.000%, 2/1/2032, Call 2/1/2026	1,000,000	1,089,880
5.000%, 11/15/2034, Call 5/15/2026	3,000,000	3,330,180
Independence School District, SAW, 5.250%, 3/1/2030, Call 3/1/2021	2,000,000	2,191,240
Joplin Industrial Development Authority, 5.000%, 2/15/2020	330,000	349,582
Lees Summit Industrial Development Authority:
5.000%, 8/15/2036, Call 8/15/2024	1,000,000	1,036,230
5.000%, 8/15/2046, Call 8/15/2024	2,000,000	2,054,040
Missouri Health & Educational Facilities Authority, 5.000%, 2/1/2024, Call 2/1/2021	1,050,000	1,112,065
Missouri Housing Development Commission, 5.000%, 11/1/2027, Call 11/1/2019	225,000	230,033
Missouri Housing Development Commission, GNMA/FNMA/FHLMC:
3.800%, 5/1/2025, Call 5/1/2021	620,000	638,061
4.000%, 5/1/2027, Call 5/1/2021	610,000	624,921
Missouri State Environmental Improvement & Energy Resources Authority:
5.750%, 1/1/2029, Call 1/1/2019	685,000	709,270
5.750%, 1/1/2029, Call 1/1/2019	65,000	67,259
Missouri State Health & Educational Facilities Authority, 5.250%, 10/1/2031, Call 10/1/2021	1,000,000	1,098,290
St. Louis County Industrial Development Authority:
2.850%, 9/1/2018	2,900,000	2,925,520
5.000%, 9/1/2048, Call 9/1/2027	1,000,000	1,101,620
Stone County Reorganized School District No. 4 Reeds Spring, SAW:
5.000%, 3/1/2030, Call 3/1/2020	1,000,000	1,063,520
5.000%, 3/1/2031, Call 3/1/2020	750,000	797,640
5.000%, 3/1/2032, Call 3/1/2020	1,000,000	1,063,520
		29,261,904
Nebraska — 0.5%
Central Plains Energy Project:
5.000%, 12/1/2019 (9)	1,000,000	1,053,530
5.000%, 9/1/2034	1,000,000	1,174,390
Lancaster County Hospital Authority No. 1, 5.500%, 1/1/2030, Call 1/1/2020	1,000,000	1,058,710
Nebraska Public Power District, 5.000%, 1/1/2032, Call 1/1/2022	1,000,000	1,096,120
Omaha Public Power District:
5.000%, 2/1/2036, Call 12/1/2027	1,000,000	1,152,370
5.000%, 2/1/2037, Call 12/1/2027	500,000	575,280
Omaha-Douglas Public Building Commission:
5.000%, 5/1/2026, Call 5/1/2022	825,000	920,585
5.000%, 5/1/2027, Call 5/1/2022	585,000	652,532
5.000%, 5/1/2028, Call 5/1/2022	550,000	613,030
5.000%, 5/1/2029, Call 5/1/2022	660,000	735,075
		9,031,622
Nevada — 1.2%
County of Clark, 5.000%, 7/1/2028, Call 7/1/2019	2,180,000	2,281,283
County of Clark Department of Aviation:
5.000%, 7/1/2029, Call 7/1/2024	1,200,000	1,356,588
5.000%, 7/1/2030, Call 7/1/2024	1,000,000	1,128,630
5.000%, 7/1/2040, Call 7/1/2027	4,000,000	4,524,960
County of Washoe:
5.000%, 2/1/2033, Call 2/1/2019	3,920,000	4,028,780
5.500%, 2/1/2028, Call 2/1/2019	1,000,000	1,034,390
Las Vegas Valley Water District, 5.000%, 6/1/2028, Call 6/1/2022	5,115,000	5,696,933
		20,051,564
New Hampshire — 0.1%
New Hampshire Housing Finance Authority, 4.800%, 7/1/2028, Call 1/1/2022	905,000	924,684
New Jersey — 3.4%
New Jersey Economic Development Authority:
5.000%, 6/15/2019	3,000,000	3,114,000
5.000%, 6/15/2020	1,500,000	1,594,125
5.000%, 11/1/2021	4,600,000	4,968,230
5.500%, 6/15/2030, Call 12/15/2026	2,500,000	2,840,800
New Jersey Higher Education Student Assistance Authority, 4.875%, 12/1/2024, Call 12/1/2019	6,050,000	6,267,134
New Jersey Housing & Mortgage Finance Agency, 4.250%, 10/1/2032, Call 10/1/2021	320,000	326,330
New Jersey State Turnpike Authority:
5.000%, 1/1/2032, Call 7/1/2022	3,440,000	3,887,338

5.000%, 1/1/2035, Call 1/1/2022	1,685,000	1,881,690
New Jersey Transportation Trust Fund Authority:
2.090% (SIFMA Municipal Swap Index Yield+100 basis points), 12/15/2019, Call 6/15/2019 (10)	5,000,000	4,999,550
5.000%, 6/15/2022	500,000	543,065
5.000%, 6/15/2032, Call 12/15/2024	5,000,000	5,315,700
5.250%, 12/15/2023	240,000	266,995
5.250%, 12/15/2023, Call 12/15/2018	1,355,000	1,389,241
New Jersey Transportation Trust Fund Authority, BAM:
5.000%, 6/15/2028, Call 6/15/2022	5,000,000	5,338,950
5.000%, 6/15/2033, Call 6/15/2022	3,000,000	3,176,280
5.250%, 6/15/2033, Call 6/15/2023	5,635,000	6,104,001
New Jersey Transportation Trust Fund Authority, BHAC, 0.000%, 12/15/2024	440,000	364,096
New Jersey Turnpike Authority, 5.000%, 1/1/2031, Call 1/1/2025	500,000	565,285
Tender Option Bond Trust Receipts/Certificates, 1.220%, 7/1/2025 (5) (9)	3,035,000	3,035,000
		55,977,810
New Mexico — 1.3%
City of Santa Fe, 4.000%, 6/1/2025, Call 6/1/2022	655,000	699,245
New Mexico Finance Authority:
5.000%, 6/1/2026, Call 6/1/2018	2,395,000	2,417,154
5.700%, 6/1/2026, Call 6/1/2018	465,000	469,962
5.800%, 6/1/2027, Call 6/1/2018	825,000	834,256
New Mexico Hospital Equipment Loan Council, 1.120%, 8/1/2034, Call 3/1/2018 (9)	2,900,000	2,900,000
New Mexico Mortgage Finance Authority, GNMA, 2.600%, 2/1/2043, Call 1/1/2023	852,212	823,740
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC:
4.500%, 9/1/2024, Call 9/1/2019	190,000	193,371
5.650%, 9/1/2039, Call 3/1/2019	215,000	219,044
New Mexico Mortgage Finance Authority, GNMA/FNMA/FHLMC COLL:
4.625%, 3/1/2028, Call 9/1/2021	545,000	566,958
5.350%, 3/1/2030, Call 9/1/2020	1,435,000	1,528,519
New Mexico Municipal Energy Acquisition Authority, 1.805% (LIBOR 1 Month+75 basis points), 8/1/2019, Call 2/1/2019 (10)	10,000,000	10,004,800
		20,657,049
New York — 5.8%
Albany Capital Resource Corp.:
5.000%, 12/1/2023	150,000	170,729
5.000%, 12/1/2024	200,000	230,592
Buffalo & Erie County Industrial Land Development Corp.:
5.000%, 6/1/2035, Call 6/1/2024	1,000,000	1,057,580
5.000%, 8/1/2037, Call 8/1/2027	1,300,000	1,368,757
5.000%, 8/1/2047, Call 8/1/2027	1,000,000	1,045,020
Byron-Bergen Central School District, AGM SAW, 3.000%, 6/15/2018	1,215,000	1,220,723
City of New York:
1.200%, 8/1/2044, Call 3/1/2018 (9)	1,300,000	1,300,000
5.000%, 8/1/2032, Call 2/1/2028	1,000,000	1,172,260
5.250%, 3/1/2034, Call 3/1/2028 (12)	3,000,000	3,577,740
5.250%, 3/1/2035, Call 3/1/2028 (12)	2,500,000	2,971,975
City of New York, AGC, 1.550%, 10/1/2021, Call 3/5/2018 (9) (11)	400,000	400,000
Long Island Power Authority:
1.752% (LIBOR 1 Month+65 basis points), 11/1/2018, Call 5/1/2018 (10)	2,500,000	2,501,200
5.000%, 9/1/2042, Call 9/1/2027	1,000,000	1,130,670
Metropolitan Transportation Authority:
1.540% (SIFMA Municipal Swap Index Yield+45 basis points), 11/15/2022 (10)	1,000,000	998,790
5.000%, 11/15/2033, Call 5/15/2028	1,620,000	1,884,303
5.000%, 11/15/2036, Call 11/15/2026	2,325,000	2,638,712
Metropolitan Transportation Authority, AGM, 1.686% (LIBOR 1 Month+60 basis points), 5/15/2018, Call 4/2/2018 (10)	3,950,000	3,950,553
New York City Transitional Finance Authority:
1.100%, 11/1/2036 (9)	1,700,000	1,700,000
1.270%, 8/1/2023, Call 3/1/2018 (9)	4,600,000	4,600,000
5.000%, 11/1/2024, Call 11/1/2022	5,715,000	6,477,438
5.000%, 11/1/2026, Call 5/1/2025	1,000,000	1,165,870
5.000%, 11/1/2026, Call 5/1/2025	2,000,000	2,331,740
5.000%, 2/1/2038, Call 2/1/2027	4,000,000	4,554,440
5.000%, 2/1/2039, Call 2/1/2027	4,000,000	4,547,800
New York City Water & Sewer System:

1.140%, 6/15/2044, Call 3/1/2018 (9)	400,000	400,000
5.000%, 6/15/2028, Call 6/15/2024	500,000	578,260
5.000%, 6/15/2029, Call 6/15/2024	600,000	690,120
New York Convention Center Development Corp., 0.000%, 11/15/2032	1,250,000	717,662
New York Mortgage Agency, 5.000%, 10/1/2019	500,000	527,065
New York State Dormitory Authority:
5.000%, 3/15/2027, Call 3/15/2022	7,555,000	8,392,396
5.000%, 3/15/2028, Call 3/15/2019	625,000	648,256
5.000%, 12/1/2035, Call 6/1/2027 (5)	500,000	540,710
5.000%, 12/1/2037, Call 6/1/2027 (5)	500,000	538,300
6.000%, 7/1/2038, Call 7/1/2020	1,000,000	1,070,030
New York State Dormitory Authority, NATL-RE, 2.901%, 7/1/2029, Call 3/5/2018 (9) (11)	2,800,000	2,709,560
New York State Energy Research & Development Authority, NATL-RE, 2.187%, 12/1/2020, Call 3/23/2018 (9) (11)	6,450,000	6,450,000
New York State Housing Finance Agency, 1.140%, 5/1/2042, Call 3/1/2018 (9)	2,345,000	2,345,000
New York State Urban Development Corp., 5.000%, 3/15/2028, Call 3/15/2023	1,000,000	1,127,690
New York Transportation Development Corp., AGM, 4.000%, 7/1/2032, Call 7/1/2024 (15)	2,500,000	2,593,350
Nuveen New York AMT-Free Quality Municipal Income Fund, 1.390%, 5/1/2047, Call 3/1/2018 (5) (9)	5,000,000	5,000,000
State of New York, NATL-RE FGIC:
2.162%, 2/15/2022, Call 3/1/2018 (9) (11)	845,000	828,455
2.162%, 2/13/2032, Call 3/1/2018 (9) (11)	1,855,000	1,790,465
Town of Oyster Bay, 3.500%, 6/1/2018	1,000,000	1,003,700
Triborough Bridge & Tunnel Authority, 1.140%, 11/1/2032, Call 3/1/2018 (9)	1,600,000	1,600,000
TSASC, Inc.:
5.000%, 6/1/2036, Call 6/1/2027	1,000,000	1,119,250
5.000%, 6/1/2041, Call 6/1/2027	1,000,000	1,102,620
Westchester Tobacco Asset Securitization, 5.000%, 6/1/2021	500,000	549,735
		95,319,516
North Carolina — 0.7%
County of Catawba:
4.000%, 10/1/2025, Call 10/1/2021	585,000	613,431
5.000%, 10/1/2023, Call 10/1/2021	1,000,000	1,104,240
5.000%, 10/1/2024, Call 10/1/2021	835,000	922,040
County of Cumberland, 5.125%, 12/1/2028, Call 12/1/2019	250,000	265,475
County of Union:
5.000%, 12/1/2026, Call 6/1/2023	1,390,000	1,566,405
5.000%, 12/1/2027, Call 6/1/2023	1,645,000	1,851,168
North Carolina Eastern Municipal Power Agency, AGC, 6.000%, 1/1/2019	95,000	98,642
North Carolina Housing Finance Agency, 4.250%, 1/1/2028, Call 7/1/2021	275,000	279,928
North Carolina Medical Care Commission:
4.000%, 6/1/2020	470,000	492,767
5.000%, 6/1/2027, Call 6/1/2022	500,000	551,465
North Carolina Turnpike Authority, State Appropriation, 5.000%, 7/1/2047, Call 7/1/2026	750,000	818,190
Orange County Public Facilities, 5.000%, 10/1/2026, Call 10/1/2022	1,130,000	1,283,488
Raleigh Durham Airport Authority, 5.000%, 5/1/2036, Call 5/1/2020	1,690,000	1,796,808
		11,644,047
North Dakota — 1.6%
Barnes County North Public School District Building Authority:
4.000%, 5/1/2021	635,000	667,544
4.500%, 5/1/2030, Call 5/1/2021	1,515,000	1,555,814
4.500%, 5/1/2033, Call 5/1/2021	1,850,000	1,885,964
City of Dickinson, 5.000%, 10/1/2025, Call 10/1/2021	2,240,000	2,387,840
City of Grand Forks:
4.000%, 12/1/2019	535,000	554,581
5.000%, 12/1/2032, Call 12/1/2021	1,000,000	1,060,860
City of West Fargo, 3.000%, 5/1/2023, Call 4/2/2018	185,000	185,126
County of Ward:
5.000%, 6/1/2034, Call 6/1/2028	2,500,000	2,734,750
5.000%, 6/1/2038, Call 6/1/2028	2,500,000	2,706,150
North Dakota Public Finance Authority:
4.000%, 6/1/2023	2,440,000	2,632,589
4.000%, 6/1/2024, Call 6/1/2023	2,190,000	2,357,250
4.000%, 6/1/2025, Call 6/1/2023	1,145,000	1,224,864
North Dakota State Housing Finance Agency, 5.250%, 1/1/2029, Call 7/1/2019	225,000	228,514
Williston Parks & Recreation District:

4.500%, 3/1/2020	1,205,000	1,216,688
4.500%, 3/1/2025, Call 3/1/2021	2,525,000	2,480,434
4.625%, 3/1/2026, Call 3/1/2021	2,620,000	2,566,002
		26,444,970
Ohio — 3.7%
Akron Bath Copley Joint Township Hospital District, 5.000%, 11/15/2021	1,000,000	1,092,670
City of Chillicothe, 5.000%, 12/1/2037, Call 12/1/2027	2,000,000	2,216,220
City of Cleveland:
5.000%, 1/1/2022, Call 1/1/2021	2,320,000	2,512,537
5.000%, 10/1/2024, Call 10/1/2022	460,000	521,401
5.000%, 10/1/2028, Call 10/1/2022	1,075,000	1,218,491
5.000%, 10/1/2029, Call 10/1/2022	1,130,000	1,280,832
5.000%, 10/1/2029, Call 10/1/2022	2,290,000	2,595,669
5.000%, 1/1/2031, Call 1/1/2022	1,270,000	1,384,757
City of Cleveland, AGM:
5.000%, 1/1/2030, Call 1/1/2022	3,900,000	4,255,407
5.000%, 1/1/2031, Call 1/1/2022	1,000,000	1,090,360
City of Middleburg Heights, 5.125%, 8/1/2031, Call 8/1/2021	1,000,000	1,087,760
Cleveland Department of Public Utilities Division of Water:
4.000%, 1/1/2028, Call 1/1/2024	500,000	534,835
4.000%, 1/1/2029, Call 1/1/2024	1,000,000	1,065,220
4.000%, 1/1/2030, Call 1/1/2024	1,000,000	1,061,900
Cleveland Heights & University Heights City School District:
0.000%, 12/1/2024	400,000	333,568
0.000%, 12/1/2025	600,000	482,616
Cleveland-Cuyahoga County Port Authority, 5.000%, 10/1/2022, Call 10/1/2020	1,000,000	1,083,220
County of Franklin:
5.000%, 5/15/2028, Call 5/15/2023	2,000,000	2,245,560
5.000%, 7/1/2029, Call 7/1/2026	2,000,000	2,193,860
5.000%, 5/15/2031, Call 5/15/2023	405,000	451,583
County of Hamilton:
5.000%, 12/1/2029, Call 12/1/2021	975,000	1,071,174
5.000%, 1/1/2031, Call 1/1/2026	1,350,000	1,480,802
County of Hancock, 5.750%, 12/1/2026, Call 6/1/2021	1,120,000	1,260,784
County of Lucas, 5.000%, 11/15/2022, Call 11/15/2021	925,000	1,023,540
Delaware City School District, 5.250%, 12/1/2038, Call 6/1/2023	1,240,000	1,400,803
Elyria City School District, School District Credit Program, 4.000%, 12/1/2028, Call 12/1/2022	1,130,000	1,195,009
Johnstown-Monroe Local School District, 5.000%, 12/1/2030, Call 12/1/2021	715,000	797,532
Lake County Community College District:
4.000%, 12/1/2022, Call 12/1/2019	695,000	722,147
4.000%, 12/1/2024, Call 12/1/2019	835,000	867,022
4.000%, 12/1/2025, Call 12/1/2019	855,000	887,789
Lake Local School District/Stark County, School District Credit Program:
4.000%, 12/1/2023, Call 12/1/2021	1,550,000	1,663,662
4.000%, 12/1/2025, Call 12/1/2021	1,660,000	1,766,871
Liberty Local School District, AGM, 4.500%, 12/1/2018	885,000	904,373
New Albany Community Authority:
4.000%, 10/1/2020	590,000	622,733
5.000%, 10/1/2022	1,000,000	1,123,210
5.000%, 10/1/2023, Call 10/1/2022	1,105,000	1,234,495
North Olmsted City School District:
5.000%, 12/1/2027, Call 12/1/2023	220,000	255,011
5.000%, 12/1/2028, Call 12/1/2023	365,000	423,086
5.000%, 12/1/2029, Call 12/1/2023	500,000	579,570
Ohio Higher Educational Facility Commission:
4.000%, 12/1/2020	1,050,000	1,103,823
4.000%, 12/1/2021	795,000	844,998
4.000%, 12/1/2022	845,000	904,116
Ohio Housing Finance Agency, GNMA/FNMA/FHLMC COLL, 5.200%, 9/1/2029, Call 9/1/2018	1,055,000	1,070,276
Ohio State Turnpike Commission, 5.250%, 2/15/2033, Call 2/15/2023	1,330,000	1,487,525
Ohio State Water Development Authority, 5.000%, 6/1/2022	1,100,000	1,237,995
Ohio University, 5.000%, 12/1/2028, Call 6/1/2022	225,000	249,730
Rib Floater Trust Various States, 1.340%, 11/15/2048, Call 4/2/2018 (5) (9)	5,000,000	5,000,000
University of Toledo, 5.000%, 6/1/2030, Call 6/1/2021	250,000	275,950
		60,162,492

Oklahoma — 0.8%
Cushing Educational Facilities Authority, 5.000%, 9/1/2022	2,000,000	2,238,540
Delaware County Justice Authority:
3.750%, 9/1/2029, Call 4/2/2018	1,830,000	1,830,622
4.000%, 9/1/2018	415,000	420,142
4.000%, 9/1/2019	740,000	765,279
4.000%, 9/1/2020	700,000	731,150
4.000%, 9/1/2021	805,000	849,621
Oklahoma Housing Finance Agency, GNMA:
2.500%, 3/1/2022	320,000	325,622
3.300%, 3/1/2031, Call 3/1/2022	810,000	820,700
Oklahoma Housing Finance Agency, GNMA/FNMA/FHLMC, 6.500%, 9/1/2038, Call 9/1/2018	40,000	40,177
Tulsa Airports Improvement Trust, BAM, 5.000%, 6/1/2028, Call 6/1/2023 (15)	1,405,000	1,534,007
Tulsa County Industrial Authority:
5.250%, 11/15/2037, Call 11/15/2025	1,500,000	1,703,145
5.250%, 11/15/2045, Call 11/15/2025	1,500,000	1,693,335
		12,952,340
Oregon — 0.8%
City of Portland, 5.000%, 6/15/2027, Call 6/15/2022	1,000,000	1,109,570
City of Tigard, 5.000%, 8/1/2029, Call 8/1/2022	690,000	768,370
City of Woodburn:
0.000%, 3/1/2020	1,380,000	1,326,221
0.000%, 3/1/2021	1,215,000	1,139,561
Clackamas & Washington Counties School District No. 3, NATL-RE FGIC School Bond Gty, 0.000%, 6/15/2023	2,000,000	1,777,840
Clackamas County Hospital Facility Authority, 1.080%, 6/1/2037, Call 3/1/2018 (9)	850,000	850,000
Klamath Falls Intercommunity Hospital Authority:
5.000%, 9/1/2021	250,000	275,190
5.000%, 9/1/2022	505,000	565,267
Port of Morrow:
3.500%, 6/1/2020, Call 6/1/2019	210,000	214,406
3.750%, 6/1/2021, Call 6/1/2019	220,000	225,207
4.000%, 6/1/2022, Call 6/1/2019	235,000	241,018
Port of Portland, 5.500%, 7/1/2031, Call 7/1/2021	3,000,000	3,328,410
State of Oregon Housing & Community Services Department, 4.450%, 7/1/2023, Call 1/1/2020 (15)	735,000	761,541
		12,582,601
Pennsylvania — 2.8%
Berks County Industrial Development Authority:
5.000%, 5/15/2032, Call 5/15/2027	300,000	330,168
5.000%, 11/1/2037, Call 11/1/2027	1,000,000	1,107,340
5.000%, 5/15/2042, Call 5/15/2024	1,655,000	1,800,160
5.000%, 5/15/2047, Call 5/15/2027	1,260,000	1,353,127
Central Bradford Progress Authority, 5.375%, 12/1/2041, Call 12/1/2021	500,000	547,510
City of Pittsburgh, 4.000%, 9/1/2021	750,000	801,472
Commonwealth Financing Authority:
5.000%, 6/1/2032, Call 6/1/2028	1,000,000	1,118,130
5.000%, 6/1/2033, Call 6/1/2028	1,250,000	1,390,862
5.000%, 6/1/2034, Call 6/1/2028	1,000,000	1,108,180
5.000%, 6/1/2035, Call 6/1/2028	1,000,000	1,103,690
Geisinger Authority, 5.000%, 2/15/2039, Call 2/15/2027	2,500,000	2,804,425
Kiski Area School District, AGM SAW, 4.000%, 3/1/2021	1,450,000	1,534,390
Lancaster Industrial Development Authority:
5.000%, 5/1/2021	360,000	389,488
5.000%, 5/1/2022	430,000	472,424
Lehigh County General Purpose Authority, 4.000%, 11/1/2019	555,000	574,453
Montgomery County Industrial Development Authority, 6.250%, 11/15/2029, Call 11/15/2019	715,000	770,484
Montgomery County Industrial Development Authority, FHA, 5.000%, 8/1/2024, Call 8/1/2020	1,350,000	1,456,569
Pennsylvania Economic Development Financing Authority, AGM:
0.000%, 1/1/2020	600,000	569,196
0.000%, 1/1/2021	600,000	550,272
5.000%, 1/1/2022	305,000	330,702
Pennsylvania Housing Finance Agency, 4.200%, 10/1/2033, Call 10/1/2022 (15)	2,155,000	2,237,709
Pennsylvania Turnpike Commission:

1.770% (SIFMA Municipal Swap Index Yield+68 basis points), 12/1/2018, Call 6/1/2018 (10)	2,850,000	2,854,104
2.070% (SIFMA Municipal Swap Index Yield+98 basis points), 12/1/2021, Call 6/1/2021 (10)	5,000,000	5,092,750
4.000%, 12/1/2023, Call 12/1/2019	105,000	109,286
4.000%, 12/1/2023, Call 12/1/2019	95,000	98,078
5.000%, 6/1/2021, Call 6/1/2019	715,000	745,974
5.000%, 12/1/2030, Call 12/1/2020 (13)	215,000	233,535
5.000%, 12/1/2030, Call 12/1/2020 (13)	120,000	130,345
5.000%, 12/1/2030, Call 12/1/2020 (13)	250,000	271,553
5.500%, 12/1/2042, Call 12/1/2026	3,000,000	3,441,270
6.000%, 12/1/2034, Call 12/1/2020 (13)	55,000	61,210
6.000%, 12/1/2034, Call 12/1/2020 (13)	70,000	77,904
6.000%, 12/1/2034, Call 12/1/2020 (13)	270,000	301,255
6.000%, 12/1/2036, Call 12/1/2020	975,000	1,082,308
Pittsburgh Public Schools, BAM SAW, 5.000%, 9/1/2024, Call 9/1/2022	1,000,000	1,122,000
Pittsburgh Water & Sewer Authority, AGM, 1.746% (LIBOR 1 Month+64 basis points), 12/1/2020, Call 6/1/2020 (10)	2,055,000	2,061,720
Sayre Health Care Facilities Authority, 1.772% (LIBOR 3 Month+78 basis points), 12/1/2024, Call 4/2/2018 (10)	225,000	223,232
Scranton School District, BAM SAW, 5.000%, 12/1/2034, Call 12/1/2027	1,500,000	1,685,700
Scranton School District, SAW, 2.071% (LIBOR 1 Month+100 basis points), 4/2/2018 (10)	3,305,000	3,304,967
State Public School Building Authority, SAW, 1.855% (LIBOR 1 Month+80 basis points), 9/1/2018, Call 4/2/2018 (10)	1,260,000	1,265,254
		46,513,196
Rhode Island — 0.7%
Rhode Island Housing & Mortgage Finance Corp., 3.625%, 10/1/2029, Call 10/1/2021	760,000	767,752
Rhode Island Student Loan Authority:
3.375%, 12/1/2023, Call 12/1/2020 (15)	300,000	300,027
4.000%, 12/1/2022, Call 12/1/2021 (15)	2,885,000	3,000,977
4.200%, 12/1/2018, Call 4/2/2018	600,000	601,140
4.250%, 12/1/2020, Call 4/2/2018	500,000	501,355
4.250%, 12/1/2025, Call 12/1/2021 (15)	2,205,000	2,264,844
4.500%, 12/1/2021, Call 4/2/2018	1,000,000	1,002,540
4.750%, 12/1/2028, Call 12/1/2021 (15)	1,000,000	1,034,250
Town of Cumberland:
4.000%, 3/15/2024	795,000	865,612
4.000%, 3/15/2026, Call 3/15/2024	460,000	494,159
		10,832,656
South Carolina — 1.0%
City of Rock Hill, AGM:
5.250%, 1/1/2026, Call 1/1/2022	730,000	810,205
5.250%, 1/1/2028, Call 1/1/2022	475,000	524,794
County of Dorchester:
5.000%, 10/1/2022	480,000	538,695
5.000%, 10/1/2026, Call 10/1/2022	400,000	447,060
County of Florence:
5.000%, 11/1/2025, Call 11/1/2020	2,000,000	2,143,980
5.000%, 11/1/2030, Call 11/1/2020	500,000	531,880
5.000%, 11/1/2031, Call 11/1/2024	360,000	403,499
Piedmont Municipal Power Agency, AGM:
5.000%, 1/1/2030, Call 7/1/2021	450,000	488,124
5.750%, 1/1/2034, Call 7/1/2021	1,000,000	1,112,690
South Carolina Jobs-Economic Development Authority, 5.000%, 7/1/2022	1,735,000	1,911,398
South Carolina Public Service Authority, 5.000%, 12/1/2032, Call 12/1/2026	3,265,000	3,680,928
South Carolina State Housing Finance & Development Authority, 5.000%, 1/1/2028, Call 7/1/2019	70,000	71,306
South Carolina State Public Service Authority, 5.500%, 1/1/2038, Call 1/1/2019	920,000	951,096
Spartanburg Sanitation Sewer District, 5.000%, 3/1/2030, Call 3/1/2023	1,500,000	1,663,230
St. Peters Parish-Jasper County Public Facilities Corp., AGM, 5.000%, 4/1/2031, Call 4/1/2021	900,000	960,777
		16,239,662
South Dakota — 0.9%
City of Rapid City:
5.500%, 12/1/2022, Call 12/1/2019	225,000	238,849
6.750%, 12/1/2031, Call 12/1/2019	500,000	542,005
7.000%, 12/1/2035, Call 12/1/2019	750,000	815,400

South Dakota Health & Educational Facilities Authority:
4.250%, 9/1/2023	740,000	816,930
4.500%, 9/1/2018	500,000	508,910
4.500%, 9/1/2020	900,000	969,849
4.500%, 9/1/2021, Call 9/1/2020	1,080,000	1,156,367
4.500%, 9/1/2022, Call 9/1/2020	1,005,000	1,072,496
5.000%, 9/1/2019	200,000	209,930
5.000%, 11/1/2022	715,000	805,626
5.000%, 8/1/2023	375,000	425,032
5.000%, 11/1/2023	625,000	713,400
5.000%, 8/1/2024	195,000	223,595
5.000%, 11/1/2024	650,000	751,751
5.000%, 11/1/2024, Call 11/1/2019	1,000,000	1,049,230
5.000%, 11/1/2025, Call 11/1/2024	600,000	690,738
5.000%, 9/1/2027, Call 9/1/2024	720,000	813,046
South Dakota Housing Development Authority, FHLMC COLL, 3.550%, 11/1/2033, Call 11/1/2022	2,355,000	2,362,960
		14,166,114
Tennessee — 1.2%
Knox County Health Educational & Housing Facility Board, 5.000%, 1/1/2042, Call 1/1/2027	5,815,000	6,365,971
Metropolitan Government Nashville & Davidson County Health & Educational Facilities Board:
5.000%, 11/1/2027, Call 11/1/2021	500,000	541,845
5.000%, 7/1/2031, Call 7/1/2026	1,000,000	1,128,330
Public Building Authority of Sevier County, AMBAC, 2.189%, 6/1/2018 (9) (11)	200,000	199,730
Tennessee Energy Acquisition Corp.:
5.000%, 2/1/2023	5,310,000	5,907,163
5.250%, 9/1/2021	3,810,000	4,208,564
5.250%, 9/1/2022	250,000	279,975
Tennessee Housing Development Agency:
4.000%, 7/1/2025, Call 1/1/2021	890,000	918,355
4.125%, 1/1/2025, Call 1/1/2021	630,000	654,986
5.000%, 1/1/2027, Call 7/1/2019	85,000	85,843
		20,290,762
Texas — 6.4%
Bexar County Health Facilities Development Corp., 5.000%, 7/15/2033, Call 7/15/2023	1,000,000	1,094,970
Brazoria-Fort Bend County Municipal Utility District No. 1, MAC, 3.000%, 9/1/2020	700,000	714,560
Capital Area Cultural Education Facilities Finance Corp.:
5.000%, 4/1/2019	1,000,000	1,029,500
5.250%, 4/1/2021, Call 4/1/2020	400,000	422,156
Central Texas Regional Mobility Authority, 0.000%, 1/1/2025	1,000,000	802,350
City of Beaumont:
5.000%, 9/1/2026, Call 9/1/2025	1,000,000	1,158,100
5.000%, 9/1/2027, Call 9/1/2025	600,000	692,658
5.000%, 9/1/2030, Call 9/1/2025	1,000,000	1,143,490
City of Galveston, 4.625%, 2/1/2024, Call 2/1/2021	1,130,000	1,191,517
City of Houston, 5.000%, 9/1/2026, Call 9/1/2024	250,000	282,308
City of Houston, AMBAC, 0.000%, 9/1/2019	400,000	389,584
City of Houston, XLCA, 3.205%, 7/1/2032 (9) (11) (15)	425,000	411,035
City of Laredo International Toll Bridge, AGM:
5.000%, 10/1/2026, Call 10/1/2024	225,000	258,343
5.000%, 10/1/2027, Call 10/1/2024	240,000	273,847
City of San Marcos:
4.500%, 11/1/2028, Call 11/1/2022	600,000	646,740
5.000%, 11/1/2033, Call 11/1/2022	1,215,000	1,337,764
Clifton Higher Education Finance Corp., PSF:
5.000%, 8/15/2026, Call 8/15/2025	675,000	787,091
5.000%, 8/15/2027, Call 8/15/2025	545,000	634,298
5.000%, 8/15/2028, Call 8/15/2025	835,000	966,295
5.000%, 8/15/2029, Call 8/15/2025	335,000	385,474
5.000%, 8/15/2030, Call 8/15/2025	1,250,000	1,432,900
Corpus Christi Business & Job Development Corp., 5.000%, 9/1/2022	1,000,000	1,118,810
County of Bexar, AGM, 5.000%, 8/15/2031, Call 8/15/2024	1,280,000	1,431,539
County of Bowie, AGM:
4.000%, 8/1/2021, Call 3/8/2018	1,275,000	1,275,599
4.000%, 8/1/2024, Call 3/8/2018	1,315,000	1,315,618
County of Wise, 8.000%, 8/15/2034, Call 8/15/2021	4,000,000	4,464,640

Crane County Water District:
5.000%, 2/15/2026, Call 2/15/2025	915,000	1,046,961
5.000%, 2/15/2030, Call 2/15/2025	1,000,000	1,123,320
Cypress-Fairbanks Independent School District, PSF, 5.000%, 2/15/2034, Call 2/15/2021	675,000	731,761
Dallas/Fort Worth International Airport:
5.000%, 11/1/2024, Call 11/1/2022	1,000,000	1,125,330
5.000%, 11/1/2032, Call 11/1/2020	5,000,000	5,385,750
5.000%, 11/1/2033, Call 11/1/2023	2,000,000	2,240,020
5.250%, 11/1/2033, Call 11/1/2023	1,200,000	1,366,428
Forney Independent School District, PSF, 6.000%, 8/15/2037, Call 8/15/2018	1,840,000	1,878,051
Georgetown Independent School District, PSF, 5.000%, 8/15/2025, Call 8/15/2020	645,000	697,535
Grand Parkway Transportation Corp., 0.000%, 10/1/2030, Call 10/1/2028 (13)	1,000,000	919,610
Gulf Coast Waste Disposal Authority, AGM:
5.000%, 10/1/2029, Call 10/1/2022	1,430,000	1,596,266
5.000%, 10/1/2030, Call 10/1/2022	1,505,000	1,678,602
Harris County Cultural Education Facilities Finance Corp.:
1.840% (SIFMA Municipal Swap Index Yield+75 basis points), 6/1/2020 (10)	2,000,000	2,008,380
1.920% (SIFMA Municipal Swap Index Yield+83 basis points), 6/1/2021 (10)	2,400,000	2,417,544
5.250%, 10/1/2029, Call 10/1/2019	1,550,000	1,631,189
Harris County Flood Control District, 5.000%, 10/1/2030, Call 10/1/2027	1,900,000	2,245,572
Harris County Health Facilities Development Corp., 1.140%, 12/1/2041, Call 3/1/2018 (9)	8,000,000	8,000,000
Harris County Municipal Utility District No. 165, BAM, 5.000%, 3/1/2025	400,000	461,056
Harris County Municipal Utility District No. 374, AGM, 5.000%, 9/1/2036, Call 9/1/2019	550,000	578,144
Irving Hospital Authority, 5.000%, 10/15/2044, Call 6/30/2026	1,500,000	1,615,290
La Vernia Higher Education Finance Corp., 5.000%, 8/15/2018	150,000	152,393
Lancaster Independent School District, BAM, 4.000%, 2/15/2029, Call 2/15/2025	3,000,000	3,188,910
Lower Colorado River Authority:
5.000%, 5/15/2026, Call 5/15/2025	695,000	801,425
5.000%, 5/15/2027, Call 5/15/2025	1,355,000	1,552,925
Lower Colorado River Authority, BHAC, 5.250%, 5/15/2028, Call 5/15/2018	675,000	680,488
Mesquite Independent School District, PSF, 0.000%, 8/15/2021	635,000	594,455
Nacogdoches County Hospital District, AGM:
3.000%, 5/15/2018	495,000	496,223
3.000%, 5/15/2019	510,000	515,962
New Hope Cultural Education Facilities Finance Corp.:
5.000%, 11/15/2031, Call 11/15/2024	850,000	898,458
5.000%, 8/15/2036, Call 8/15/2021 (5)	1,700,000	1,708,925
5.000%, 8/15/2037, Call 8/15/2021 (5)	1,260,000	1,255,313
5.500%, 8/15/2036, Call 8/15/2021	1,000,000	1,021,680
New Hope Cultural Education Facilities Finance Corp., AGM, 4.000%, 4/1/2024	440,000	465,287
Nolan County Hospital District:
5.000%, 8/15/2022	310,000	340,814
5.000%, 8/15/2023	250,000	278,165
5.000%, 8/15/2024	200,000	224,928
North Texas Tollway Authority:
1.890% (SIFMA Municipal Swap Index Yield+80 basis points), 1/1/2019, Call 7/1/2018 (10)	1,750,000	1,752,082
5.000%, 1/1/2027, Call 1/1/2025	2,090,000	2,393,552
North Texas Tollway Authority, AGC, 5.750%, 1/1/2038, Call 1/1/2019	1,725,000	1,786,858
Northside Independent School District, PSF, 2.125%, 8/1/2020, Call 8/1/2018 (9)	2,085,000	2,089,128
Pleasanton Independent School District, PSF, 5.000%, 8/15/2029, Call 8/15/2024	1,000,000	1,159,090
Sabine River Authority, MBIA, 4.950%, 3/1/2018	370,000	370,000
San Antonio Municipal Facilities Corp., 5.000%, 8/15/2036, Call 8/15/2021	500,000	546,125
Sienna Plantation Levee Improvement District, BAM, 4.000%, 9/1/2020	400,000	421,092
Tarrant County Cultural Education Facilities Finance Corp.:
2.500%, 12/1/2018, Call 3/21/2018	455,000	454,827
5.000%, 10/1/2028, Call 10/1/2023	2,030,000	2,265,866
5.000%, 5/15/2037, Call 5/15/2024	5,145,000	5,373,335
5.000%, 11/15/2037, Call 11/15/2027	2,175,000	2,433,738
Texas Municipal Gas Acquisition & Supply Corp. III, 5.000%, 12/15/2021	2,000,000	2,201,540
Waco Independent School District, PSF:
4.000%, 8/15/2028, Call 8/15/2024	1,000,000	1,077,120
4.000%, 8/15/2029, Call 8/15/2024	2,380,000	2,547,504
		105,456,203
Utah — 1.1%
Central Utah Water Conservancy District:
5.000%, 10/1/2026, Call 10/1/2019	850,000	896,283

5.000%, 10/1/2028, Call 10/1/2019	1,000,000	1,054,450
City of Draper, 5.000%, 5/1/2032, Call 5/1/2022	325,000	361,147
City of Riverton:
5.250%, 12/1/2034, Call 6/1/2023	1,455,000	1,648,268
5.250%, 12/1/2036, Call 6/1/2023	2,150,000	2,434,466
County of Utah, 1.100%, 5/15/2051, Call 3/1/2018 (9)	1,800,000	1,800,000
County of Weber, 1.110%, 2/15/2035, Call 3/1/2018 (9)	3,500,000	3,500,000
Jordan Valley Water Conservancy District, 5.000%, 10/1/2035, Call 4/1/2021	920,000	1,010,730
Uintah County Municipal Building Authority, 5.300%, 6/1/2028, Call 6/1/2018	1,350,000	1,363,311
Utah Infrastructure Agency, AGM:
5.400%, 10/15/2036, Call 10/15/2021	1,000,000	1,128,200
5.500%, 10/15/2030, Call 10/15/2021	1,300,000	1,471,210
Utah State Board of Regents, 5.000%, 8/1/2031, Call 8/1/2020	1,030,000	1,112,585
Utah State Charter School Finance Authority, 5.250%, 10/15/2028, Call 10/15/2023	480,000	536,770
		18,317,420
Vermont — 0.1%
Vermont Housing Finance Agency, 4.000%, 11/1/2043, Call 5/1/2023	1,000,000	1,037,990
Vermont Student Assistance Corp.:
5.000%, 6/15/2019 (15)	130,000	134,552
5.000%, 6/15/2020 (15)	125,000	131,954
		1,304,496
Virgin Islands — 0.2%
Virgin Islands Public Finance Authority, 5.000%, 9/1/2030, Call 9/1/2025 (5)	3,320,000	3,506,783
Virginia — 0.6%
City of Chesapeake, 5.000%, 7/15/2022	500,000	564,015
FHLMC Multifamily Variable Rate Certificates, 1.390% (SIFMA Municipal Swap Index Yield+30 basis points), 9/15/2033 (10)	3,500,000	3,500,000
Henrico County Economic Development Authority, AGM, 2.912%, 8/23/2027, Call 3/1/2018 (9) (11)	50,000	46,809
Stafford County Economic Development Authority:
5.000%, 6/15/2028, Call 6/15/2026	1,000,000	1,130,840
5.000%, 6/15/2030, Call 6/15/2026	700,000	781,326
Virginia College Building Authority:
5.000%, 3/1/2023, Call 3/1/2020	745,000	794,445
5.000%, 3/1/2024, Call 3/1/2020	1,755,000	1,871,111
Virginia Small Business Financing Authority, 4.250%, 11/1/2021, Call 5/1/2020	1,000,000	1,054,040
		9,742,586
Washington — 1.3%
Chelan County Public Utility District No. 1, NATL-RE, 0.000%, 6/1/2024	210,000	175,972
King County Housing Authority:
5.200%, 5/1/2028, Call 11/1/2018	660,000	671,728
5.500%, 12/1/2028, Call 12/1/2018	1,000,000	1,029,210
King County Public Hospital District No. 1, 5.000%, 12/1/2031, Call 12/1/2026	4,000,000	4,535,560
King County Public Hospital District No. 2, 5.250%, 12/1/2028, Call 12/1/2020	200,000	217,284
Marysville Local Improvement District, 3.350%, 6/1/2036, Call 6/1/2024	130,000	129,462
Mason & Kitsap Counties School District No. 403 North Mason, School Bond Gty, 5.000%, 12/1/2035, Call 12/1/2023	2,025,000	2,287,440
Port of Bellingham, 5.250%, 12/1/2022, Call 12/1/2020	1,060,000	1,150,418
Spokane County School District No. 81 Spokane, School Bond Gty, 5.000%, 12/1/2030, Call 12/1/2021	650,000	726,277
State of Washington, 4.100%, 7/1/2022, Call 1/1/2019	440,000	448,774
Washington Health Care Facilities Authority, 5.000%, 10/1/2030, Call 10/1/2022	750,000	824,835
Washington State Housing Finance Commission:
5.000%, 1/1/2029, Call 1/1/2026 (5)	840,000	940,876
5.000%, 1/1/2036, Call 1/1/2025 (5)	2,125,000	2,257,281
5.000%, 1/1/2038, Call 1/1/2026 (5)	2,000,000	2,182,360
Washington State Housing Finance Commission, GNMA/FNMA/FHLMC COLL, 3.050%, 6/1/2022 (15)	750,000	773,850
WBRP 3.2 Washington Biomed Research Properties Lease:
5.000%, 1/1/2026, Call 7/1/2025	750,000	876,495
5.000%, 1/1/2031, Call 7/1/2025	940,000	1,082,203
Whidbey Island Public Hospital District:
5.000%, 12/1/2021	520,000	566,207
5.000%, 12/1/2022	510,000	563,351
		21,439,583

West Virginia — 0.2%
West Virginia Hospital Finance Authority, 5.750%, 1/1/2044, Call 1/1/2019	2,500,000	2,588,575
Wisconsin — 3.8%
City of Oak Creek, 3.000%, 6/1/2027, Call 6/1/2025	100,000	101,170
Monroe Redevelopment Authority, 5.500%, 2/15/2029, Call 2/15/2019	500,000	519,040
Public Finance Authority:
3.500%, 11/15/2023, Call 5/15/2019 (5)	750,000	755,790
3.950%, 11/15/2024, Call 11/15/2019 (5)	1,000,000	1,014,620
4.750%, 12/1/2035, Call 12/1/2020	2,000,000	2,085,420
5.000%, 11/15/2029	1,900,000	2,235,635
5.000%, 11/15/2030	1,230,000	1,453,909
5.000%, 7/1/2037, Call 7/1/2024	820,000	852,898
5.000%, 9/30/2037, Call 9/30/2027 (15)	250,000	275,368
5.000%, 7/1/2047, Call 7/1/2024	1,000,000	1,034,450
5.125%, 7/15/2037, Call 7/15/2027 (5)	2,500,000	2,511,850
State of Wisconsin:
4.000%, 5/1/2027, Call 5/1/2022	800,000	864,936
5.000%, 3/1/2023, Call 9/1/2021	2,000,000	2,196,720
5.000%, 5/1/2027, Call 5/1/2022	25,000	28,024
5.000%, 5/1/2027, Call 5/1/2022	1,580,000	1,760,389
6.000%, 5/1/2036, Call 5/1/2019	1,965,000	2,067,298
State of Wisconsin, State Appropriation:
5.750%, 5/1/2029, Call 5/1/2019	105,000	110,227
5.750%, 5/1/2029, Call 5/1/2019	1,050,000	1,100,526
6.000%, 5/1/2033, Call 5/1/2019	135,000	142,109
6.000%, 5/1/2033, Call 5/1/2019	1,280,000	1,346,637
Wisconsin Center District:
0.000%, 12/15/2033, Call 6/15/2026	2,200,000	1,184,634
0.000%, 12/15/2034, Call 6/15/2026	6,665,000	3,411,347
Wisconsin Center District, AGM:
5.250%, 12/15/2023	520,000	579,717
5.250%, 12/15/2027	1,930,000	2,211,741
Wisconsin Health & Educational Facilities Authority:
4.000%, 2/15/2042, Call 2/15/2027	1,000,000	989,340
4.750%, 10/15/2029, Call 10/15/2021	605,000	641,717
5.000%, 8/15/2018	1,000,000	1,015,950
5.000%, 6/1/2019	205,000	209,973
5.000%, 7/1/2019	340,000	355,334
5.000%, 7/1/2019	650,000	676,774
5.000%, 8/15/2019	250,000	261,898
5.000%, 8/15/2019	955,000	1,001,155
5.000%, 8/15/2020	1,060,000	1,143,676
5.000%, 3/1/2021	240,000	256,577
5.000%, 8/15/2021	1,160,000	1,280,849
5.000%, 3/1/2022	205,000	222,185
5.000%, 10/1/2022	750,000	841,012
5.000%, 12/15/2022	500,000	564,710
5.000%, 12/15/2023	500,000	572,440
5.000%, 12/15/2024	500,000	578,235
5.000%, 3/1/2025, Call 3/1/2024	315,000	344,459
5.000%, 6/1/2026, Call 6/1/2020	135,000	144,964
5.000%, 8/15/2027, Call 8/15/2022	500,000	563,140
5.000%, 12/15/2028, Call 12/15/2024	100,000	112,237
5.000%, 8/15/2029, Call 8/15/2022	1,700,000	1,922,428
5.000%, 4/1/2032, Call 10/1/2022	4,560,000	4,945,457
5.000%, 6/1/2032, Call 6/1/2022	1,000,000	1,069,490
5.000%, 8/15/2032, Call 8/15/2022	5,000,000	5,654,200
5.125%, 4/15/2031, Call 4/15/2023	250,000	271,750
5.250%, 4/1/2023, Call 4/1/2018	365,000	366,121
5.250%, 6/1/2034, Call 6/1/2020	300,000	319,671
5.375%, 8/15/2024, Call 2/15/2020	1,625,000	1,744,421
Wisconsin Health & Educational Facilities Authority, AGM, 5.000%, 7/15/2027, Call 7/15/2021	3,655,000	3,936,874
Wisconsin Housing & Economic Development Authority, 5.750%, 11/1/2025, Call 3/1/2018 (15)	630,000	630,000
		62,481,492

Wyoming — 0.1%
County of Laramie, 5.000%, 5/1/2027, Call 5/1/2021	1,000,000		1,081,850
Total Municipals (identified cost $1,570,491,886)			1,608,911,390
Mutual Funds — 1.0%
BlackRock Long-Term Municipal Advantage Trust	121,500		1,374,165
BlackRock Muni Intermediate Duration Fund, Inc.	110,000		1,466,300
BlackRock Municipal Bond Trust	93,400		1,351,498
BlackRock Municipal Income Quality Trust	107,800		1,429,428
BlackRock Municipal Income Trust	107,000		1,418,820
BlackRock MuniHoldings Quality Fund, Inc.	93,400		1,178,708
BlackRock MuniYield Quality Fund, Inc.	105,000		1,487,850
BMO Ultra Short Tax-Free Fund - Institutional Class (4)	509,839		5,128,976
Eaton Vance Municipal Income Term Trust	42,000		805,140
Total Mutual Funds (identified cost $15,746,056)			15,640,885
Short-Term Investments — 0.0%
Mutual Funds — 0.0%
BMO Government Money Market Fund - Premier Class, 1.190% (4)	504,436		504,436
Total Short-Term Investments (identified cost $504,436)			504,436
Total Investments — 99.2% (identified cost $1,586,742,378)			1,625,056,711
Other Assets and Liabilities — 0.8%			13,481,195
Total Net Assets — 100.0%		$	1,638,537,906

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

(5) Denotes a restricted security which is subject to restrictions on resale under federal securities laws. These securities have been deemed liquid based on criteria approved by the Board of Directors of the BMO Funds. At February 28, 2018, these securities amounted to:

Fund	Amount	% of Total  Net Assets
Intermediate Tax-Free Fund	$57,763,974	3.53%

(9) Denotes a variable rate security.

(10) Denotes a floating rate security. Floating rate securities are securities whose yields vary with a designated market index or market rate. These securities are shown at their current rates as of February 28, 2018.

(11) Issue represents an Auction Rate Security. An Auction Rate Security is a corporate or municipal bond debt instrument with a long nominal maturity for which the interest rate is regularly reset through a Dutch auction. The rate presented is either the rate set through the auction or the maximum interest rate provided for in the security issuance provision.

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

(13) Issue represents a convertible capital appreciation bond. These securities are tax-exempt bonds that originate as capital appreciation bonds with zero coupon features at time of issuance and convert to an interest paying bond at a pre-specified rate determined at time of issuance.

(15) Securities that are subject to alternative minimum tax of the Intermediate Tax-Free Fund portfolio represent 1.97%, as calculated based upon total portfolio market value.

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

Not applicable to open-end management investment companies.

Item 13. Exhibits.

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

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

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

SIGNATURES

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

BMO Funds, Inc.

/s/ John M. Blaser            

By: John M. Blaser

President

April 25, 2018

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 25, 2018

/s/ Timothy M. Bonin        

By: Timothy M. Bonin

Treasurer

(Principal Financial Officer)

April 25, 2018