December 31, 2018 - bmo.com · ANNUAL FINANCIAL STATEMENTS BMO S&P/TSX Capped Composite Index ETF (ZCN) December 31, 2018

ANNUAL FINANCIAL STATEMENTS

BMO S&P/TSX Capped Composite Index ETF (ZCN)December 31, 2018

To the Unitholders and Trustee ofBMO Mid Federal Bond Index ETFBMO S&P/TSX Capped Composite Index ETFBMO S&P 500 Hedged to CAD Index ETFBMO Dow Jones Industrial Average Hedged to CAD Index ETFBMO Short Federal Bond Index ETFBMO Short Provincial Bond Index ETFBMO Short Corporate Bond Index ETFBMO High Yield US Corporate Bond Hedged to CAD Index ETFBMO Equal Weight Banks Index ETF

(formerly BMO S&P/TSX Equal Weight Banks Index ETF)BMO Equal Weight Oil & Gas Index ETF

(formerly BMO S&P/TSX Equal Weight Oil & Gas Index ETF)BMO MSCI EAFE Hedged to CAD Index ETFBMO MSCI Emerging Markets Index ETFBMO Equal Weight Global Base Metals Hedged to CAD Index ETF

(formerly BMO S&P/TSX Equal Weight Global Base MetalsHedged to CAD Index ETF)

BMO Mid Corporate Bond Index ETFBMO Long Corporate Bond Index ETFBMO Aggregate Bond Index ETFBMO Global Infrastructure Index ETFBMO China Equity Index ETFBMO India Equity Index ETFBMO Equal Weight Utilities Index ETFBMO Nasdaq 100 Equity Hedged to CAD Index ETFBMO Junior Gold Index ETFBMO Equal Weight REITs Index ETFBMO Junior Oil Index ETFBMO Junior Gas Index ETFBMO Equal Weight US Health Care Hedged to CAD Index ETFBMO Equal Weight US Banks Hedged to CAD Index ETFBMO Long Federal Bond Index ETFBMO Real Return Bond Index ETFBMO Emerging Markets Bond Hedged to CAD Index ETFBMO Covered Call Canadian Banks ETFBMO Monthly Income ETFBMO Ultra Short-Term Bond ETFBMO Covered Call Utilities ETFBMO Covered Call Dow Jones Industrial Average Hedged to CAD ETFBMO Canadian Dividend ETFBMO Low Volatility Canadian Equity ETFBMO Equal Weight Global Gold Index ETF

(formerly BMO S&P/TSX Equal Weight Global Gold Index ETF)BMO Equal Weight Industrials Index ETF

(formerly BMO S&P/TSX Equal Weight Industrials Index ETF)BMO Laddered Preferred Share Index ETFBMO S&P 500 Index ETF

BMO Mid Provincial Bond Index ETFBMO Long Provincial Bond Index ETFBMO US Dividend Hedged to CAD ETFBMO US Dividend ETFBMO Low Volatility US Equity ETFBMO Mid-Term US IG Corporate Bond Index ETFBMO Mid-Term US IG Corporate Bond Hedged to CAD Index ETFBMO MSCI Europe High Quality Hedged to CAD Index ETFBMO US High Dividend Covered Call ETFBMO Floating Rate High Yield ETFBMO Short-Term US IG Corporate Bond Hedged to CAD Index ETFBMO Discount Bond Index ETFBMO Equal Weight US Banks Index ETFBMO MSCI EAFE Index ETFBMO International Dividend ETFBMO MSCI USA High Quality Index ETFBMO MSCI All Country World High Quality Index ETFBMO Low Volatility International Equity ETFBMO Europe High Dividend Covered Call Hedged to CAD ETFBMO US Put Write ETFBMO International Dividend Hedged to CAD ETFBMO Low Volatility Emerging Markets Equity ETFBMO Low Volatility International Equity Hedged to CAD ETFBMO Low Volatility US Equity Hedged to CAD ETFBMO Canadian High Dividend Covered Call ETFBMO US Put Write Hedged to CAD ETFBMO Global Banks Hedged to CAD Index ETFBMO Global Consumer Discretionary Hedged to CAD Index ETFBMO Global Consumer Staples Hedged to CAD Index ETFBMO Global Insurance Hedged to CAD Index ETFBMO US Preferred Share Hedged to CAD Index ETFBMO Long-Term US Treasury Bond Index ETFBMO Mid-Term US Treasury Bond Index ETFBMO Short-Term US Treasury Bond Index ETFBMO US Preferred Share Index ETFBMO High Yield US Corporate Bond Index ETFBMO MSCI Canada Value Index ETFBMO MSCI EAFE Value Index ETFBMO MSCI USA Value Index ETFBMO Shiller Select US Index ETFBMO Government Bond Index ETFBMO Short-Term Bond Index ETFBMO Corporate Bond Index ETFBMO Europe High Dividend Covered Call ETFBMO US High Dividend Covered Call Hedged to CAD ETFBMO Global Communications Index ETF

(collectively the ETFs, individually the ETF)

Independent Auditor's Report

Our opinionIn our opinion, the accompanying December 31, 2018 annual financial statements of each of the ETFs present fairly, in all material respects,the financial position of each ETF, its financial performance and its cash flows as at and for the periods indicated in note 1 in accordance withInternational Financial Reporting Standards, as issued by the International Accounting Standards Board (IFRS).

What we have auditedThe financial statements of each of the ETFs comprise:

• the statements of financial position as at the period-end dates indicated in note 1;• the statements of comprehensive income for the periods indicated in note 1;• the statements of changes in net assets attributable to holders of redeemable units for the periods indicated in note 1;• the statements of cash flows for the periods indicated in note 1; and• the notes to the financial statements, which include a summary of significant accounting policies.

Basis for opinionWe conducted our audit in accordance with Canadian generally accepted auditing standards. Our responsibilities under those standards arefurther described in the Auditor’s responsibilities for the audit of the financial statements section of our report.

We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our opinion.

IndependenceWe are independent of each of the ETFs in accordance with the ethical requirements that are relevant to our audit of the financial statementsin Canada. We have fulfilled our other ethical responsibilities in accordance with these requirements.

Other informationManagement is responsible for the other information of each of the ETFs. The other information comprises the Annual Management Reportof Fund Performance of each of the ETFs.

Our opinion on the financial statements does not cover the other information and we do not express any form of assurance conclusionthereon.

In connection with our audit of the financial statements of each of the ETFs, our responsibility is to read the other information identifiedabove and, in doing so, consider whether the other information is materially inconsistent with the financial statements of each of the ETFs orour knowledge obtained in the audit, or otherwise appears to be materially misstated.

If, based on the work we have performed, we conclude that there is a material misstatement of this other information, we are required toreport that fact. We have nothing to report in this regard.

Responsibilities of management and those charged with governance for the financial statementsManagement is responsible for the preparation and fair presentation of the financial statements of each of the ETFs in accordance with IFRS,and for such internal control as management determines is necessary to enable the preparation of financial statements that are free frommaterial misstatement, whether due to fraud or error.

In preparing the financial statements, management is responsible for assessing the ability of each of the ETFs to continue as a goingconcern, disclosing, as applicable, matters related to going concern and using the going concern basis of accounting unless managementeither intends to liquidate any of the ETFs or to cease operations, or has no realistic alternative but to do so.

Those charged with governance are responsible for overseeing the financial reporting process of each of the ETFs.

Auditor’s responsibilities for the audit of the financial statementsOur objectives are to obtain reasonable assurance about whether the financial statements as a whole for each ETF are free from materialmisstatement, whether due to fraud or error, and to issue an auditor’s report that includes our opinion. Reasonable assurance is a high levelof assurance, but is not a guarantee that an audit conducted in accordance with Canadian generally accepted auditing standards will alwaysdetect a material misstatement when it exists. Misstatements can arise from fraud or error and are considered material if, individually or inthe aggregate, they could reasonably be expected to influence the economic decisions of users taken on the basis of the financialstatements of each of the ETFs.

Independent Auditor’s Report

As part of an audit in accordance with Canadian generally accepted auditing standards, we exercise professional judgment and maintainprofessional skepticism throughout the audit. We also:

• Identify and assess the risks of material misstatement of the financial statements of each of the ETFs, whether due to fraud or error, designand perform audit procedures responsive to those risks, and obtain audit evidence that is sufficient and appropriate to provide a basis forour opinion. The risk of not detecting a material misstatement resulting from fraud is higher than for one resulting from error, as fraud mayinvolve collusion, forgery, intentional omissions, misrepresentations, or the override of internal control.

• Obtain an understanding of internal control relevant to the audit in order to design audit procedures that are appropriate in thecircumstances, but not for the purpose of expressing an opinion on the effectiveness of the internal control of each of the ETFs.

• Evaluate the appropriateness of accounting policies used and the reasonableness of accounting estimates and related disclosures made bymanagement.

• Conclude on the appropriateness of management’s use of the going concern basis of accounting and, based on the audit evidenceobtained, whether a material uncertainty exists related to events or conditions that may cast significant doubt on the ability of each of theETFs to continue as a going concern. If we conclude that a material uncertainty exists, we are required to draw attention in our auditor’sreport to the related disclosures in the financial statements of each of the ETFs or, if such disclosures are inadequate, to modify our opinion.Our conclusions are based on the audit evidence obtained up to the date of our auditor’s report. However, future events or conditions maycause any of the ETFs to cease to continue as a going concern.

• Evaluate the overall presentation, structure and content of the financial statements of each of the ETFs, including the disclosures, andwhether the financial statements represent the underlying transactions and events in a manner that achieves fair presentation.

We communicate with those charged with governance regarding, among other matters, the planned scope and timing of the audit andsignificant audit findings, including any significant deficiencies in internal control that we identify during our audit.

We also provide those charged with governance with a statement that we have complied with relevant ethical requirements regardingindependence, and to communicate with them all relationships and other matters that may reasonably be thought to bear on ourindependence, and where applicable, related safeguards.

The engagement partner on the audit resulting in this independent auditor’s report is Joseph Pinizzotto.

Chartered Professional Accountants, Licensed Public AccountantsToronto, OntarioMarch 22, 2019

Independent Auditor’s Report

Statement of Financial Position(All amounts in thousands of Canadian dollars, except per unit data)

As atDecember 31

2018December 31

2017

Assets

Current AssetsCash 15,673 10,089Investments

Non-derivative financial assets 3,840,387 3,173,995Receivable for investments sold 82,365 —Dividends receivable 12,214 7,494Distribution receivable from investment

trusts — 266Total assets 3,950,639 3,191,844

Liabilities

Current LiabilitiesPayable for investments purchased 8,126 —Redemptions payable 59,495 —Distributions payable 32,129 21,417Accrued expenses 530 390Total liabilities 100,280 21,807Net assets attributable to holders of

redeemable units 3,850,359 3,170,037

Net assets attributable to holders of redeemable unitsListed CAD Units 3,850,359 3,170,037Unlisted Institutional Units — 0

Net assets attributable to holders of redeemable units per unitListed CAD Units $19.34 $21.85Unlisted Institutional Units $— $23.86

Statement of Comprehensive Income(All amounts in thousands of Canadian dollars, except per unit data)

For the periods endedDecember 31

2018December 31

2017

IncomeInterest income 24 —Dividend income 105,746 66,807Distribution from investment trusts 1,870 3,197Other changes in fair value of

investments and derivativesNet realized gain 29,818 33,853Change in unrealized (depreciation)

appreciation (493,347) 102,339Net (loss) gain in fair value of

investments and derivatives (355,889) 206,196Securities lending (note 8) 1,435 902Foreign exchange gain (loss) 146 (149)

Total other income 1,581 753Total (loss) income (354,308) 206,949

ExpensesManagement fees (note 6) 1,935 1,383Management fees reduction (21) —Independent review committee fees

(note 6) 8 7Withholding taxes 58 85ETF Summary document fees 0 0Commissions and other portfolio

transaction costs (note 6) 37 21Total expenses 2,017 1,496

(Decrease) increase in net assetsattributable to holders of redeemableunits (356,325) 205,453

(Decrease) increase in net assets attributable to holders ofredeemable unitsListed CAD Units (356,325) 205,453Unlisted Institutional Units 0 0

(Decrease) increase in net assets attributable to holders ofredeemable units per unit (note 8)Listed CAD Units (2.11) 1.75Unlisted Institutional Units 0.14 1.85

BMO S&P/TSX Capped Composite Index ETF

The accompanying notes are an integral part of these financial statements.

Statement of Changes in Net Assets Attributable to Holders of Redeemable Units(All amounts in thousands of Canadian dollars)


2018December 31

2017

Listed CAD UnitsNet assets attributable to holders of

redeemable units at beginning ofperiod 3,170,037 1,740,948


Distributions paid to holders of redeemable units from:Net investment income (100,517) (64,040)Net realized gains on investments and

derivatives (7,097) (33,107)Return of capital (584) (12,917)Management fee (21) —Total distributions paid to holders of

redeemable units (108,219) (110,064)Redeemable unit transactionsProceeds from redeemable units issued 1,720,931 1,632,495Reinvestments of distributions to

holders of redeemable units — 36,178Redemption of redeemable units (522,526) (309,508)Capital gain redemptions in-kind (53,539) (25,465)Net increase from redeemable unit

transactions 1,144,866 1,333,700Net increase in net assets attributable

to holders of redeemable units 680,322 1,429,089Net assets attributable to holders of

redeemable units at end of period 3,850,359 3,170,037

Unlisted Institutional UnitsNet assets attributable to holders of

redeemable units at beginning ofperiod 0 0

Increase in net assets attributable toholders of redeemable units 0 0

Redeemable unit transactionsRedemption of redeemable units (0) —Net decrease from redeemable unit

transactions (0) —Net (decrease) increase in net assets

attributable to holders of redeemableunits (0) 0

Net assets attributable to holders ofredeemable units at end of period — 0


2018December 31

2017

Total FundNet assets attributable to holders of

redeemable units at beginning ofperiod 3,170,037 1,740,948


Distributions paid to holders of redeemable units from:Net investment income (100,517) (64,040)Net realized gains on investments and

derivatives (7,097) (33,107)Return of capital (584) (12,917)Management fee (21) —Total distributions paid to holders of

redeemable units (108,219) (110,064)Redeemable unit transactionsProceeds from redeemable units issued 1,720,931 1,632,495Reinvestments of distributions to

holders of redeemable units — 36,178Redemption of redeemable units (522,526) (309,508)Capital gain redemptions in-kind (53,539) (25,465)Net increase from redeemable unit

transactions 1,144,866 1,333,700Net increase in net assets attributable

to holders of redeemable units 680,322 1,429,089Net assets attributable to holders of

redeemable units at end of period 3,850,359 3,170,037



Statement of Cash Flows(All amounts in thousands of Canadian dollars)


2018December 31

2017

Cash flows from operating activities(Decrease) increase in net assets

attributable to holders of redeemableunits (356,325) 205,453

Adjustments for:Foreign exchange loss on cash 82 45Net realized gain on sale of

investments and derivatives (29,818) (33,853)Change in unrealized depreciation

(appreciation) of investments andderivatives 493,347 (102,339)

Increase in dividends receivable (4,720) (3,180)Decrease (increase) in distribution

receivable from investment trusts 266 (106)Increase in accrued expenses 140 160Return of capital distributions received 2,617 1,047Non-cash dividends (80) (144)Purchases of investments (230,657) (168,805)Proceeds from sale and maturity of

investments 165,170 169,180Net cash from operating activities 40,022 67,458

Cash flows from financing activitiesDistributions paid to holders of

redeemable units, net of reinvesteddistributions (97,507) (64,258)

Proceeds from issuances of redeemableunits+ 4,980 5,708

Amounts paid on redemption ofredeemable units+ 58,171 (1,254)

Net cash used in financing activities (34,356) (59,804)

Foreign exchange loss on cash (82) (45)Net increase in cash 5,666 7,654Cash at beginning of period 10,089 2,480Cash at end of period 15,673 10,089

Supplementary InformationInterest received, net of withholding

taxes* 24 —Dividends received, net of withholding

taxes* 100,942 63,483Distribution received from investment

trusts* 4,753 4,138

+ Excludes in-kind transactions, if any.* These items are from operating activities



Number ofShares or Units

Cost+

($)

FairValue

($)

EQUITIESCommunication Services — 6.0%BCE Inc. ............................................................... .....1,720,335........... 93,916........... 92,778Cineplex Inc. ....................................................... ........121,466............. 4,590............. 3,090Cogeco Communications Inc. ............................. ..........44,342............. 2,989............. 2,917Quebecor Inc., Class B........................................ ........346,570............. 7,562............. 9,961Rogers Communications Inc., Class B................ ........688,199........... 39,534........... 48,146Shaw Communications Inc., Class B .................. ........845,329........... 22,172........... 20,888TELUS Corporation............................................... .....1,145,950........... 49,200........... 51,854.................................................................................................. ......... 219,963......... 229,634

Consumer Discretionary — 4.2%Aritzia Inc............................................................ ........122,063............. 1,861............. 2,002BRP Inc................................................................ ..........82,759............. 3,709............. 2,925Canada Goose Holdings Inc. .............................. ........112,696............. 6,123............. 6,726Canadian Tire Corporation, Limited, Class A ...... ........115,622........... 16,261........... 16,504Dollarama Inc. .................................................... ........563,908........... 20,418........... 18,310Dorel Industries Inc., Class B ............................. ...............442.....................8.....................8Gildan Activewear Inc. ....................................... ........396,024........... 13,904........... 16,411Great Canadian Gaming Corporation ................. ........109,809............. 3,600............. 5,257Hudson's Bay Company...................................... ........232,354............. 2,892............. 1,694Linamar Corporation........................................... ..........87,736............. 5,039............. 3,974Magna International Inc..................................... ........595,950........... 36,211........... 36,931MARTINREA International Inc. ............................ ........165,185............. 1,964............. 1,794MTY Food Group Inc. .......................................... ..........37,787............. 2,391............. 2,291Restaurant Brands International Inc.................. ........483,908........... 32,420........... 34,512Sleep Country Canada Holdings Inc. .................. ..........66,800............. 2,071............. 1,334Spin Master Corporation..................................... ..........51,502............. 2,448............. 1,977Stars Group Inc., The, ......................................... ........419,360........... 15,114............. 9,452Uni-Select Inc. .................................................... ..........81,927............. 2,142............. 1,590.................................................................................................. ......... 168,576......... 163,692

Consumer Staples — 4.0%Alimentation Couche-Tard Inc., Class B ............. ........837,893........... 45,381........... 56,901Cott Corporation ................................................. ........263,859............. 4,517............. 5,016Empire Company Limited, Class A...................... ........306,068............. 7,059............. 8,824George Weston Limited...................................... ........141,682........... 13,866........... 12,759Loblaw Companies Limited ................................ ........345,018........... 17,874........... 21,084Maple Leaf Foods Inc. ........................................ ........147,721............. 4,091............. 4,037Metro Inc. ........................................................... ........461,456........... 17,642........... 21,845North West Company Inc., The, ......................... ..........93,288............. 2,625............. 2,931Premium Brands Holdings Corporation.............. ..........55,711............. 4,746............. 4,171Saputo Inc........................................................... ........424,549........... 16,789........... 16,638.................................................................................................. ......... 134,590......... 154,206

Energy — 17.7%Advantage Oil & Gas Ltd. ................................... ............3,043.....................7.....................6ARC Resources Ltd. ............................................. ........677,934........... 11,910............. 5,491Baytex Energy Corp. ........................................... .....1,057,238............. 7,495............. 2,548Birchcliff Energy Ltd. .......................................... ........512,008............. 2,990............. 1,557Cameco Corporation ........................................... ........758,181........... 11,888........... 11,737Canadian Natural Resources Limited ................. .....2,310,425........... 92,633........... 76,105Cenovus Energy Inc. ........................................... .....1,953,660........... 31,675........... 18,755CES Energy Solutions Corp.................................. ........475,928............. 2,728............. 1,499Computer Modelling Group Ltd. ......................... ........155,801............. 1,539.................949


Cost+

($)

FairValue

($)

Crescent Point Energy Corp. ............................... .....1,053,723........... 16,826............. 4,362Enbridge Inc........................................................ .....3,871,228......... 182,674......... 164,179EnCana Corporation ............................................ .....1,824,430........... 28,391........... 14,377Enerflex Ltd......................................................... ........170,123............. 2,659............. 2,719Enerplus Corporation .......................................... ........466,871............. 6,168............. 4,958Ensign Energy Services Inc................................. ........249,077............. 2,112............. 1,193Freehold Royalties Ltd........................................ ........178,388............. 2,473............. 1,475Gibson Energy Inc............................................... ........276,218............. 5,394............. 5,160Gran Tierra Energy Inc. ....................................... ........746,271............. 3,034............. 2,224Husky Energy Inc. ............................................... ........577,649........... 11,219............. 8,151Imperial Oil Limited............................................ ........453,498........... 18,893........... 15,686Inter Pipeline Ltd. ............................................... ........768,367........... 19,285........... 14,860Kelt Exploration Ltd. ........................................... ........290,924............. 2,229............. 1,350Keyera Corp. ....................................................... ........400,485........... 13,938........... 10,337Kinder Morgan Canada Limited.......................... ........200,681............. 3,362............. 3,197MEG Energy Corp. ............................................... ........480,144............. 5,200............. 3,702Mullen Group Ltd. ............................................... ........189,763............. 3,244............. 2,317NexGen Energy Ltd............................................. ........599,490............. 1,836............. 1,445NuVista Energy Ltd. ............................................ ........431,388............. 3,081............. 1,760Paramount Resources Ltd., Class A.................... ............1,122.....................9.....................8Parex Resources Inc. .......................................... ........298,257............. 4,924............. 4,877Parkland Fuel Corporation.................................. ........255,559............. 7,390............. 9,031Pason Systems Inc.............................................. ........143,161............. 2,749............. 2,618Pembina Pipeline Corporation ........................... ........969,556........... 39,109........... 39,277Peyto Exploration & Development Corp. ........... ........316,298............. 6,448............. 2,239PrairieSky Royalty Ltd......................................... ........399,772........... 11,105............. 7,064Precision Drilling Corporation ............................ ........567,738............. 3,308............. 1,346Secure Energy Services Inc. ............................... ........310,228............. 2,944............. 2,175Seven Generations Energy Ltd. .......................... ........528,764........... 10,122............. 5,890ShawCor Ltd. ....................................................... ........134,237............. 4,176............. 2,226Suncor Energy Inc. .............................................. .....3,098,623......... 133,851......... 118,150Tamarack Valley Energy Ltd................................ ............3,706.....................9.....................9TORC Oil & Gas Ltd.............................................. ........282,184............. 2,144............. 1,233Tourmaline Oil Corp. ........................................... ........484,633........... 13,351............. 8,229TransCanada Corporation ................................... .....1,750,041........... 98,239........... 85,314Trican Well Service Ltd. ...................................... ............5,253.....................8.....................6Vermilion Energy Inc. ......................................... ........292,151........... 13,341............. 8,402Whitecap Resources Inc. .................................... ........800,837............. 7,500............. 3,484.................................................................................................. ......... 855,610......... 683,677

Financials — 32.8%Alaris Royalty Corporation.................................. ..........70,480............. 1,586............. 1,197Bank of Montreal................................................ .....1,224,785......... 111,609......... 109,239Bank of Nova Scotia, The, .................................. .....2,350,530......... 171,783......... 159,954Brookfield Asset Management Inc., Class A...... .....1,675,032........... 78,034........... 87,638Canadian Imperial Bank of Commerce .............. ........848,423........... 91,338........... 86,268Canadian Western Bank ..................................... ........170,401............. 5,421............. 4,437CI Financial Corporation...................................... ........433,471........... 11,530............. 7,490ECN Capital Corp. ................................................ ........615,404............. 2,096............. 2,123Element Fleet Management Corp. ..................... ........827,377............. 7,708............. 5,717Fairfax Financial Holdings Limited ..................... ..........53,224........... 33,068........... 31,987Genworth MI Canada Inc. .................................. ..........73,143............. 2,656............. 2,940Great-West Lifeco Inc. ........................................ ........530,152........... 17,276........... 14,940Home Capital Group Inc. .................................... ........123,273............. 2,674............. 1,775IGM Financial Inc. ............................................... ........161,513............. 6,446............. 5,012


Schedule of Investment PortfolioAs at December 31, 2018 (All amounts in thousands of Canadian dollars, unless otherwise noted)


Cost+

($)

FairValue

($)

Industrial Alliance Insurance and FinancialServices Inc. .................................................... ........209,452........... 10,377............. 9,126

Intact Financial Corporation ............................... ........266,683........... 24,717........... 26,452Laurentian Bank of Canada................................ ..........80,983............. 4,107............. 3,083Manulife Financial Corporation .......................... .....3,802,076........... 85,393........... 73,646National Bank of Canada ................................... ........643,259........... 35,298........... 36,055Onex Corporation................................................ ........156,254........... 12,852........... 11,618Power Corporation of Canada ............................ ........703,076........... 20,759........... 17,246Power Financial Corporation .............................. ........465,148........... 14,929........... 12,015Royal Bank of Canada ........................................ .....2,760,438......... 248,035......... 257,935Sun Life Financial Inc.......................................... .....1,155,649........... 53,751........... 52,339TMX Group Limited ............................................. ..........68,337............. 4,747............. 4,833Toronto-Dominion Bank, The, ............................ .....3,513,333......... 229,006......... 238,415.................................................................................................. ...... 1,287,196...... 1,263,480

Health Care — 1.6%Aphria Inc. .......................................................... ........411,890............. 5,456............. 3,233Aurora Cannabis Inc. .......................................... .....1,909,040........... 16,562........... 12,943Australis Capital Inc., Warrants, Sep 19, 2019 .. ..........43,185.................233...................21Bausch Health Companies Inc. .......................... ........589,617........... 25,614........... 14,888Canopy Growth Corporation............................... ........413,582........... 11,048........... 15,141Chartwell Retirement Residences...................... ........406,661............. 5,397............. 5,559Cronos Group Inc. ............................................... ........320,363............. 4,460............. 4,607Extendicare Inc. .................................................. ........170,447............. 1,441............. 1,082Knight Therapeutics Inc. .................................... ........212,937............. 1,932............. 1,638Sienna Senior Living Inc..................................... ........126,118............. 2,194............. 1,985.................................................................................................. ........... 74,337........... 61,097

Industrials — 10.8%Aecon Group Inc. ................................................ ........115,478............. 1,905............. 2,034Air Canada .......................................................... ........518,586............. 9,257........... 13,462ATS Automation Tooling Systems Inc................. ........146,162............. 2,232............. 2,103Badger Daylighting Ltd....................................... ..........71,061............. 2,042............. 2,292Bombardier Inc., Class B .................................... .....4,046,066........... 13,028............. 8,214Boyd Group Income Fund................................... ..........37,643............. 3,456............. 4,252Brookfield Business Partners L.P. ...................... ..........78,870............. 3,018............. 3,279CAE Inc. ............................................................... ........510,153........... 10,362........... 12,800Canadian National Railway Company................ .....1,395,003......... 126,638......... 141,049Canadian Pacific Railway Limited ...................... ........272,625........... 56,778........... 66,041Chorus Aviation Inc., Class B.............................. ........268,072............. 2,272............. 1,512Exchange Income Corporation ........................... ..........55,637............. 2,028............. 1,572Finning International Inc. ................................... ........322,206............. 9,084............. 7,669Maxar Technologies Ltd...................................... ........113,810............. 7,136............. 1,856Morneau Shepell Inc. ......................................... ........122,901............. 2,797............. 3,077NFI Group Inc...................................................... ........103,960............. 4,622............. 3,539Richelieu Hardware Ltd. ..................................... ........100,621............. 2,983............. 2,283Ritchie Bros. Auctioneers Incorporated ............. ........208,539............. 7,942............. 9,313Russel Metals Inc. .............................................. ........118,923............. 3,225............. 2,537SNC-Lavalin Group Inc. ....................................... ........336,296........... 17,817........... 15,443Stantec Inc.......................................................... ........217,964............. 6,943............. 6,519TFI International Inc. .......................................... ........159,092............. 5,150............. 5,616Thomson Reuters Corporation ........................... ........348,192........... 17,771........... 22,956Toromont Industries Ltd. .................................... ........156,069............. 7,418............. 8,468Transcontinental Inc., Class A ............................ ........140,568............. 3,174............. 2,713Waste Connections, Inc. ..................................... ........504,793........... 40,143........... 51,151


Cost+

($)

FairValue

($)

WestJet Airlines Ltd. ........................................... ........218,630............. 4,857............. 3,935Westshore Terminals Investment Corporation .. ..........87,232............. 2,191............. 1,795WSP Global Inc. .................................................. ........122,125............. 6,329............. 7,165.................................................................................................. ......... 382,598......... 414,645

Information Technology — 4.0%BlackBerry Limited ............................................. ........930,117........... 13,159............. 9,031Celestica Inc. ...................................................... ........227,294............. 3,150............. 2,718CGI Group Inc., Class A ....................................... ........476,303........... 30,388........... 39,771Constellation Software Inc. ................................ ..........37,706........... 25,249........... 32,950Descartes Systems Group Inc. ........................... ........147,267............. 4,535............. 5,306Enghouse Systems Limited ................................ ..........36,451............. 2,184............. 2,421Kinaxis Inc. ......................................................... ..........49,776............. 3,462............. 3,280Open Text Corporation........................................ ........514,405........... 20,149........... 22,891Shopify Inc., Class A ........................................... ........180,749........... 26,772........... 34,124Sierra Wireless, Inc............................................. ..........69,531............. 2,017............. 1,275.................................................................................................. ......... 131,065......... 153,767

Materials — 11.3%Agnico Eagle Mines Limited............................... ........449,349........... 24,086........... 24,759Alacer Gold Corporation ..................................... ........562,865............. 1,575............. 1,418Alamos Gold Inc. ................................................ ........746,932............. 5,680............. 3,667B2Gold Corp. ....................................................... .....1,895,785............. 6,336............. 7,564Barrick Gold Corporation .................................... .....2,236,734........... 46,669........... 41,223Canfor Corporation ............................................. ........120,396............. 2,626............. 1,990Cascades Inc. ...................................................... ........128,282............. 1,889............. 1,312CCL Industries Inc., Class B................................. ........276,569........... 13,454........... 13,845Centerra Gold Inc................................................ ........408,383............. 2,861............. 2,393Chemtrade Logistics Income Fund..................... ........179,296............. 3,104............. 1,879Detour Gold Corporation .................................... ........335,874............. 5,084............. 3,873Eldorado Gold Corporation ................................. ........307,475............. 6,250............. 1,230Endeavour Mining Corporation........................... ........144,477............. 3,216............. 3,228First Majestic Silver Corp. ................................... ........325,148............. 3,384............. 2,608First Quantum Minerals Ltd................................ .....1,320,607........... 21,714........... 14,580Fortuna Silver Mines Inc. ................................... ........308,607............. 2,033............. 1,543Franco-Nevada Corporation ............................... ........357,002........... 30,340........... 34,176Goldcorp Inc........................................................ .....1,665,673........... 34,295........... 22,270Guyana Goldfields Inc. ....................................... ............2,856.....................7.....................5HudBay Minerals Inc. ......................................... ........501,069............. 4,405............. 3,237IAMGOLD Corporation......................................... ........895,105............. 6,105............. 4,484Interfor Corporation............................................ ........126,048............. 2,338............. 1,818Intertape Polymer Group Inc. ............................ ........108,084............. 2,066............. 1,829Ivanhoe Mines Ltd.............................................. .....1,027,071............. 3,088............. 2,434Kinross Gold Corporation.................................... .....2,395,026........... 13,418........... 10,538Kirkland Lake Gold Ltd. ...................................... ........357,790............. 6,078........... 12,737Labrador Iron Ore Royalty Corporation .............. ........122,761............. 2,853............. 2,976Lucara Diamond Corp. ........................................ ........592,951............. 1,655.................878Lundin Mining Corporation................................. .....1,222,503............. 8,479............. 6,895MAG Silver Corp. ................................................. ........143,935............. 2,154............. 1,439Methanex Corporation........................................ ........149,367............. 9,824............. 9,807Nevsun Resources Ltd. ....................................... ........579,652............. 2,400............. 3,472New Gold Inc. ..................................................... .....1,122,870............. 5,039............. 1,179Norbord Inc......................................................... ........100,125............. 4,040............. 3,635NovaGold Resources Inc..................................... ........427,464............. 2,409............. 2,317Nutrien Ltd.......................................................... .....1,172,671........... 77,081........... 75,192


Schedule of Investment Portfolio (cont'd)As at December 31, 2018 (All amounts in thousands of Canadian dollars, unless otherwise noted)


Cost+

($)

FairValue

($)

OceanaGold Corporation .................................... .....1,184,634............. 4,182............. 5,899Osisko Gold Royalties Ltd................................... ........183,523............. 2,578............. 2,197Pan American Silver Corporation ....................... ........293,671............. 5,959............. 5,853Pretium Resources Inc........................................ ........352,408............. 3,866............. 4,077Sandstorm Gold Ltd. ........................................... ........349,837............. 2,119............. 2,211Semafo Inc.......................................................... ........629,468............. 2,401............. 1,857SSR Mining Inc.................................................... ........230,355............. 2,999............. 3,801Stella-Jones Inc................................................... ........108,145............. 4,807............. 4,284Tahoe Resources Inc........................................... ........600,209............. 5,885............. 2,983Teck Resources Limited, Class B ........................ ........966,883........... 28,902........... 28,417Torex Gold Resources Inc. .................................. ........163,988............. 2,674............. 2,130Turquoise Hill Resources Ltd. ............................. .....1,891,630............. 7,638............. 4,256West Fraser Timber Co. Ltd................................. ........102,881............. 6,593............. 6,938Western Forest Products Inc. ............................. ........744,474............. 1,734............. 1,407Wheaton Precious Metals Corp. ......................... ........850,433........... 22,607........... 22,664Winpak Ltd.......................................................... ..........58,496............. 2,777............. 2,793Yamana Gold Inc. ............................................... .....1,818,040............. 9,480............. 5,836.................................................................................................. ......... 485,236......... 436,033

Real Estate — 3.2%Allied Properties REIT ......................................... ........198,935............. 7,407............. 8,817Altus Group Limited............................................ ..........71,518............. 2,119............. 1,693Artis REIT............................................................. ........258,982............. 3,156............. 2,393Boardwalk REIT................................................... ..........72,124............. 3,453............. 2,727Brookfield Property Partners L.P........................ ........617,202........... 15,992........... 13,591Canadian Apartment Properties REIT................. ........278,280............. 9,272........... 12,328Choice Properties REIT........................................ ........443,471............. 5,027............. 5,109Colliers International Group, Inc. ....................... ..........55,181............. 3,622............. 4,154Cominar REIT....................................................... ........349,279............. 4,525............. 3,912Crombie REIT....................................................... ........171,647............. 2,177............. 2,149Dream Global REIT .............................................. ........369,098............. 4,183............. 4,392Dream Office REIT............................................... ..........96,143............. 2,118............. 2,143First Capital Realty Inc. ...................................... ........331,908............. 6,695............. 6,256FirstService Corporation ..................................... ..........59,979............. 4,212............. 5,619Granite REIT ........................................................ ..........87,679............. 4,196............. 4,665H&R REIT ............................................................. ........547,246........... 11,459........... 11,301InterRent REIT ..................................................... ........203,342............. 2,417............. 2,654Killam Apartment REIT ....................................... ........162,973............. 2,328............. 2,598Northview Apartment REIT ................................ ........107,864............. 2,433............. 2,640RioCan REIT ......................................................... ........587,815........... 14,919........... 13,990SmartCentres REIT .............................................. ........229,281............. 6,780............. 7,069Tricon Capital Group Inc. .................................... ........259,102............. 2,733............. 2,511.................................................................................................. ......... 121,223......... 122,711

Utilities — 4.1%Algonquin Power & Utilities Corp....................... ........901,599........... 11,201........... 12,379AltaGas Ltd. ........................................................ ........511,808........... 14,268............. 7,114ATCO Ltd., Class I................................................. ........143,858............. 6,137............. 5,554Boralex Inc., Class A ........................................... ........131,799............. 2,676............. 2,220Brookfield Infrastructure Partners L.P................ ........530,354........... 27,587........... 25,006Brookfield Renewable Partners L.P.................... ........237,590............. 8,782............. 8,399Canadian Utilities Limited, Class A..................... ........228,462............. 8,054............. 7,155Capital Power Corporation ................................. ........195,194............. 4,786............. 5,190Emera Incorporated............................................ ........446,298........... 19,345........... 19,508Fortis Inc. ............................................................ ........817,407........... 34,383........... 37,200


Cost+

($)

FairValue

($)

Hydro One Limited ............................................. ........582,181........... 12,767........... 11,789Innergex Renewable Energy Inc. ....................... ........211,404............. 2,768............. 2,651Northland Power Inc. ......................................... ........226,307............. 4,969............. 4,911Superior Plus Corporation................................... ........334,997............. 4,014............. 3,243TransAlta Corporation......................................... ........551,205............. 4,681............. 3,081TransAlta Renewables Inc. ................................. ........197,149............. 2,520............. 2,045.................................................................................................. ......... 168,938......... 157,445

Total Investment Portfolio — 99.7% ................ ..................... ......4,029,332......3,840,387Other Assets Less Liabilities — 0.3%.............................................................. ............. 9,972NET ASSETS ATTRIBUTABLE TO HOLDERS OF REDEEMABLE UNITS — 100.0% ... ...... 3,850,359+ Where applicable, distributions received from holdings as a return of capital are used to reduce the

adjusted cost base of the securities in the portfolio.


Schedule of Investment Portfolio (cont'd)As at December 31, 2018 (All amounts in thousands of Canadian dollars, unless otherwise noted)

1. The ETF FundThe BMO S&P/TSX Capped Composite Index ETF (“theETF”) is an exchange-traded fund established as anopen-ended trust by a Declaration of Trust under thelaws of the Province of Ontario. BMO AssetManagement Inc. (“the Manager”) is the Manager andtrustee of the ETF. The Manager is a wholly ownedsubsidiary of Bank of Montreal. The address of theETF’s registered office is 100 King Street West, Toronto,Ontario, M5X 1A1.

The Statement of Financial Position and related notesof each of the ETFs are as at December 31, 2018 andDecember 31, 2017, except for ETFs established in 2018,in which case the information is only as atDecember 31, 2018. The Statement of ComprehensiveIncome, Statement of Changes in Net AssetsAttributable to Holders of Redeemable Units, Statementof Cash Flows and related notes are for the periodsended December 31, 2018 and December 31, 2017,except for ETFs established during either period, inwhich case the information provided relates to theperiod from the date of establishment to December 31,2018 or December 31, 2017, as applicable. Financialinformation provided for a class of units establishedduring the period(s) is presented from theestablishment date as noted in Note 8.

The financial statements were authorized for issue bythe Manager on March 5, 2019.

2. Basis of preparation and presentationThese audited financial statements have been preparedin accordance with International Financial ReportingStandards (“IFRS”), as issued by the InternationalAccounting Standards Board (“IASB”).

3. Summary of significant accounting policiesFinancial instrumentsInvestments include financial assets and financialliabilities such as equity and debt securities,investment funds and derivatives. These financialinstruments are part of a group of financial instrumentsthat are managed and their performance is evaluatedon a fair value basis in accordance with the ETF’sinvestment strategy.

The ETF classifies and measures financial instrumentsin accordance with IFRS 9 Financial Instruments(“IFRS 9”). Upon initial recognition, financialinstruments are recorded at fair value. A financialinstrument is recognized when the ETF becomes aparty to the contractual requirements of the instrumentand is derecognized when the right to receive cashflows from the instrument has expired or the ETF hastransferred substantially all risks and rewards ofownership. As such, investment purchase and saletransactions are recorded as of the trade date.Investments and derivatives are subsequentlymeasured at fair value through profit or loss (“FVTPL”)with changes in fair value recognized in the Statementof Comprehensive Income as “Change in unrealizedappreciation (depreciation)”.

All financial assets and financial liabilities arerecognized in the Statement of Financial Position.

The ETF’s redeemable units, which are puttableinstruments, are held by different types of unitholdersthat are entitled to different redemption rights. SeeNote 5 for details of unitholders’ transactions in theunits of the ETF.

The different redemption features create equallysubordinate but not identical units or classes of theunits of the ETF. Redemption of units at 95% of the NetAsset Value (“NAV”) for some type of unitholdersredemptions also results in a situation where theredemption value of this puttable instrument is notbased substantially on the net assets of the ETF. As aresult, the ETF’s obligations for net assets attributableto holders of redeemable units ("Net Assets") areclassified as financial liabilities and presented at theredemption amounts.

Cost of investmentsThe cost of investments represents the amount paid foreach security and is determined on an average costbasis, and excludes commissions and other portfoliotransaction costs, which are separately reported in theStatement of Comprehensive Income. Realized gainsand losses on disposition are determined based on thecost of the investments.


Notes to the Financial Statements(All amounts in thousands of Canadian dollars, except per unit data)December 31, 2018

Fair value measurementFair value is defined as the price that would be receivedto sell an asset or paid to transfer a liability in anorderly transaction between market participants at themeasurement date.

For exchange-traded securities, close prices areconsidered to be fair value if they fall within the bid-askspread. In circumstances where the close price is notwithin the bid-ask spread, the Manager determines thepoint within the bid-ask spread that is mostrepresentative of fair value based on the specific factsand circumstances.

Procedures are in place to fair value daily equitiestraded in countries outside of North America, to avoidstale prices and to take into account, among otherthings, any significant events occurring after the closeof a foreign market.

For bonds, debentures, asset-backed securities andother debt securities, fair value is represented by midprices provided by independent security pricingservices. Short-term investments, if any, are held atamortized cost which approximates fair value.

The ETF may enter into forward currency contracts forhedging purposes either directly or indirectly, or fornon-hedging purposes. The fair value of forwardcurrency contracts entered into by the ETF is recordedas the difference between the fair value of the contracton the Valuation Date (the “Valuation Date” is each dayon which the Toronto Stock Exchange (“TSX”) is openfor trading) and the fair value on the date the contractoriginated.

The ETF may engage in option contract transactions bypurchasing (long positions) or writing (short positions)call or put option contracts. These contracts havedifferent risk exposures for the ETF, whereas the riskfor long positions will be limited to the premium paidto purchase the option contracts, the risk exposure forthe short positions is potentially unlimited until closedor expired.

The premium paid for purchasing an option is recordedas an asset in the Statement of Financial Position. Theoption contract is valued on each Valuation Date at anamount equal to the fair value of the option that wouldhave the effect of closing the position. The change inthe difference between the premium and the fair valueis shown as “Change in unrealized appreciation(depreciation)” in the Statement of ComprehensiveIncome.

When a purchased option expires, the ETF will realizea loss equal to the premium paid. When a purchasedoption is closed, the gain or loss the ETF will realizewill be the difference between the proceeds and thepremium paid. When a purchased call option isexercised, the premium paid is added to the cost ofacquiring the underlying security. When a purchasedput option is exercised, the premium paid is subtractedfrom the proceeds from the sale of the underlyingsecurity that had to be sold.

The premium received from writing a call or put optionis recorded as a liability in the Statement of FinancialPosition.

When a written option expires, the ETF will realize again equal to the premium received. When a writtenoption is closed, the ETF will realize a gain or lossequal to the difference between the cost at which thecontract was closed and the premium received. When awritten call option is exercised, the premium receivedis added to the proceeds from the sale of the underlyinginvestments to determine the realized gain or loss.When a written put option is exercised, the premiumreceived is subtracted from the cost of the underlyinginvestment the ETF had purchased.

The gain or loss that the ETF realizes when apurchased or written option is expired or closed isrecorded as “Net realized gain (loss)” in the Statementof Comprehensive Income.

A credit default swap contract is an agreement totransfer credit risk from one party, a buyer ofprotection, to another party, a seller of protection. TheETF, as a seller of protection, would be required to pay


Notes to the Financial Statements (cont'd)(All amounts in thousands of Canadian dollars, except per unit data)December 31, 2018

a notional or other agreed upon value to the buyer ofprotection in the event of a default by a third-party. Inreturn, the ETF would receive from the counterparty aperiodic stream of payments over the term of thecontract provided that no event of default occurs. If nodefault occurs, the ETF would keep the stream ofpayments and would have no payment obligations.

In connection with the agreement, securities or cashmay be identified as collateral or margin in accordancewith the terms of the agreement to provide assets ofvalue in the event of default or bankruptcy/insolvency.

The ETF, as a buyer of protection, would receive anotional or other agreed upon value from the seller ofprotection in the event of a default by a third-party. Inreturn, the ETF would be required to pay to thecounterparty a periodic stream of payments over theterm of the contract provided that no event of defaultoccurs.

Credit default swap contracts are fair valued dailybased upon quotations from independent securitypricing sources. Premiums paid or received, if any, areincluded in “Net realized gain (loss)” in the Statementof Comprehensive Income. Net periodic payments areaccrued daily and recorded as “Income fromderivatives” in the Statement of ComprehensiveIncome. When credit default swap contracts expire orare closed out, gains or losses are recorded as “Netrealized gain (loss)” in the Statement of ComprehensiveIncome.

For securities where market quotes are not available,unreliable or not considered to reflect the currentvalue, the Manager may determine another valuewhich it considers to be fair and reasonable, or use avaluation technique that, to the extent possible, makesmaximum use of inputs and assumptions based onobservable market data, including volatility,comparable companies, NAV (for exchange-tradedfunds) and other applicable rates or prices. Theseestimation techniques include discounted cash flows,internal models that utilize observable data or

comparisons with other securities that are substantiallysimilar. In limited circumstances, the Manager may useinternal models where the inputs are not based onobservable market data.

CashCash is comprised of cash and deposits with banks,which include bankers’ acceptances and overnightdemand deposits. The carrying amount of cashapproximates its fair value because it is short-term innature.

Other assets and other liabilitiesOther assets and other liabilities generally includereceivable for investments sold, subscriptionsreceivable, dividends receivable, redemptions payable,distributions payable and accrued expenses. Thesefinancial assets and financial liabilities are short-termin nature and are subsequently measured at amortizedcost, which approximates their fair value.

Investments in subsidiaries, joint ventures and associatesSubsidiaries are entities over which the ETF hascontrol through its exposure or rights to variablereturns from its investment and has the ability to affectthose returns through its power over the entity. TheManager has determined that the ETF is an investmententity and as such, it accounts for subsidiaries, if any, atfair value. Joint ventures are investments where theETF exercises joint control through an agreement withother shareholders, and associates are investments inwhich the ETF exerts significant influence overoperating, investing, and financing decisions (such asentities in which the ETF owns 20% - 50% of votingshares), all of which, if any, have been classified atFVTPL.

Unconsolidated structured entitiesThe Manager has determined that the underlying fundsin which the ETF may invest are unconsolidatedstructured entities. This determination is based on thefact that decision making about the underlying funds isnot governed by the voting right or other similar rightheld by the ETF. Similarly, investments in



securitizations, asset-backed securities andmortgage-backed securities are determined to beinterests in unconsolidated structured entities.

The ETF may invest in underlying funds whoseinvestment objectives range from achieving short-termto long-term income and capital growth potential.Underlying funds may use leverage in a mannerconsistent with their respective investment objectivesand as permitted by Canadian securities regulatoryauthorities. Underlying funds finance their operationsby issuing redeemable units which are puttable at theholders’ option and entitles the holder to aproportionate stake in the respective fund’s Net Assets.The change in fair value of each of the underlyingfunds during the periods is included in “Change inunrealized appreciation (depreciation)” in theStatement of Comprehensive Income.

Mortgage-related securities are created from pools ofresidential or commercial mortgage loans, includingmortgage loans made by savings and loan institutions,mortgage bankers, commercial banks and others.Asset-backed securities are created from many types ofassets, including auto loans, credit card receivables,home equity loans, and student loans.

The ETF does not provide and has not committed toproviding any additional significant financial or othersupport to the unconsolidated structured entities otherthan its investment in the unconsolidated structuredentities.

Additional information on the ETF’s interest inunconsolidated structured entities, where applicable, isprovided in Note 8.

Offsetting of financial assets and financial liabilitiesFinancial instruments are presented at net or grossamounts on the Statement of Financial Positiondepending on the existence of intention and legal rightto offset opposite positions of such instruments heldwith the same counterparties. Amounts offset in theStatement of Financial Position are transactions forwhich the ETF has legally enforceable rights to offsetand intends to settle the positions on a net basis.

Amounts not offset in the Statement of FinancialPosition relate to transactions where a master nettingarrangement or similar agreement is in place with aright to offset only in the event of default, insolvency orbankruptcy, or where the ETF has no intention ofsettling on a net basis.

Income recognitionDividend income and distributions received frominvestment trusts are recognized on the ex-dividendand ex-distribution date, respectively.

Interest income from interest bearing investments isrecognized in the Statement of Comprehensive Incomeusing the effective interest rate. Interest receivableshown in the Statement of Financial Position is accruedbased on the interest bearing investments’ stated ratesof interest.

Interest on inflation-indexed bonds is paid based on aprincipal value, which is adjusted for inflation. Theinflation adjustment of the principal value isrecognized as part of "Interest income" in the Statementof Comprehensive Income. If held to maturity, the ETFwill receive, in addition to a coupon interest payment, afinal payment equal to the sum of the par value and theinflation compensation accrued from the original issuedate. Interest is accrued on each Valuation Date basedon the inflation adjusted par value at that time and isincluded in “Interest income” in the Statement ofComprehensive Income.

Foreign currency translationThe fair value of investments and other assets andliabilities in foreign currencies are translated into theETF’s functional currency at the rates of exchangeprevailing at the period-end date. Purchases and salesof investments, and income and expenses aretranslated at the rates of exchange prevailing on therespective dates of such transactions. Realized foreignexchange gains (losses) on completed transactions areincluded in “Net realized gain (loss)” in the Statementof Comprehensive Income and unrealized foreignexchange gains (losses) are included in “Change inunrealized appreciation (depreciation)” in theStatement of Comprehensive Income. Foreign



exchange gains (losses) relating to cash, receivablesand payables are included in "Foreign exchange gain(loss)” in the Statement of Comprehensive Income.

Securities lendingAn ETF may engage in securities lending pursuant tothe terms of an agreement with State Street and BNYMellon (the “securities lending agent” and the "formersecurity lending agent", respectively). BNY Mellon wasthe security lending agent until November 3, 2018 whenState Street became the legal agent. The aggregatemarket value of all securities on loan by an ETF cannotexceed 50% of the NAV of the ETF. An ETF will receivecollateral of at least 102% of the value of the securitieson loan. Collateral will generally be comprised ofobligations of or guarantee by the Government ofCanada or a province thereof, or by the United Statesgovernment or its agencies, but may includeobligations of other governments with appropriatecredit ratings. Further, the program entered intoprovides for 100% indemnification by the securitieslending agent and parties related to the ETF’scustodian, to the ETF for any defaults by borrowers.

For those ETFs participating in the program, aggregatevalues of securities on loan and the collateral held as atDecember 31, 2018 and December 31, 2017 andinformation about the security lending income earnedby the ETF are disclosed in Note 8, where applicable.

Income from securities lending, where applicable, isincluded in the Statement of Comprehensive Incomeand is recognized when earned. The breakdown of thesecurities lending income is disclosed in Note 8, whereapplicable.

Increase or decrease in net assets attributable to holders ofredeemable units per unit“Increase (decrease) in net assets attributable toholders of redeemable units per unit” of a class in theStatement of Comprehensive Income represents theincrease (decrease) in net assets attributable to holdersof redeemable units of the class divided by theweighted average number of units of the classoutstanding during the period. Refer to Note 8 fordetails.

TaxationThe ETF qualifies as a mutual fund trust under theprovisions of the Income Tax Act (Canada).Distributions of all net taxable income and sufficientamounts of net realized capital gains for each taxationyear will be paid to unitholders so that the ETF will notbe subject to income tax. As a result, the ETF hasdetermined that it is in substance not taxable andtherefore does not record income taxes in theStatement of Comprehensive Income nor does itrecognize any deferred tax assets or liabilities in theStatement of Financial Position.

The ETF may incur withholding taxes imposed bycertain countries on investment income and capitalgains. Such income and gains are recorded on a grossbasis with the related withholding taxes shown as aseparate expense in the Statement of ComprehensiveIncome.

4. Critical accounting judgements and estimatesThe preparation of financial statements requires theuse of judgement in applying the ETF’s accountingpolicies and to make estimates and assumptions aboutthe future. The following discusses the most significantaccounting judgements and estimates that the ETF hasmade in preparing its financial statements.

Accounting judgements:Functional and presentation currencyThe ETF’s unitholders are mainly Canadian residents,with the subscriptions and redemptions of theredeemable units denominated in Canadian dollars.The ETF invests in Canadian and U.S. dollars and otherforeign denominated securities, as applicable. Theperformance of the ETF is measured and reported tothe investors in Canadian dollars. The Managerconsiders the Canadian dollar as the currency that mostfaithfully represents the economic effects of theunderlying transactions, events and conditions. Thefinancial statements are presented in Canadian dollars,which is the ETF's functional and presentationcurrency.



Classification and measurement of investment portfolioEffective January 1, 2018, the ETF retrospectivelyadopted IFRS 9. The new standard requires assets to becarried at either amortized cost, FVTPL or fair valuethrough other comprehensive income (“FVOCI”), basedon an assessment of the ETF’s business model formanaging financial instruments and the contractualcash flow characteristic of the financial assets. Inclassifying and measuring financial instruments heldby the ETF, the Manager is required to make significantjudgements in determining the most appropriateclassification in accordance with IFRS 9. The Managerhas assessed the ETF’s business model with respect tothe manner in which financial assets and financialliabilities are managed as a group and performance isevaluated on a fair value basis, and has concluded thatFVTPL in accordance with IFRS 9 provides the mostappropriate measurement and presentation of theETF’s investment portfolio. The collection of principaland interest is incidental to the fair value businessmodel. Further information related to the ETF’stransition to IFRS 9 is detailed in Note 9.

Accounting estimates:Fair value measurement of securities not quoted in an activemarketThe ETF has established policies and controlprocedures that are intended to ensure these estimatesare well controlled, independently reviewed, andconsistently applied from period to period. Theestimates of the value of the ETF’s assets and liabilitiesare believed to be appropriate as at the reporting date.

The ETF may hold financial instruments that are notquoted in active markets. Note 3 discusses the policiesused by the ETF for the estimates used in determiningfair value.

5. Units and unit transactionsThe redeemable units of the ETF are classified asfinancial liabilities. The units have no par value and areentitled to distributions, if any. Upon redemption, aunit is entitled to a proportionate share of the ETF’sNAV. The ETF is required to pay distributions in anamount not less than the amount necessary to ensure

the ETF will not be liable for income taxes on realizedcapital gains, dividends and interest. The ETF has norestrictions or specific capital requirements on thesubscriptions and redemptions of units except asdisclosed in Note 8. The relevant movements inredeemable units are shown in the Statement ofChanges in Net Assets Attributable to Holders ofRedeemable Units.

In accordance with its investment objectives andstrategies, and the risk management practices outlinedin Note 7, the ETF endeavours to invest thesubscriptions received in appropriate investments,while maintaining sufficient liquidity to meetredemptions, with such liquidity being augmented byshort-term borrowings or disposal of investmentswhere necessary.

The ETF is authorized to issue an unlimited number ofunits of each class. On any trading day, a designatedbroker or underwriter may place a subscription orredemption order for an integral multiple of theprescribed number of units of the ETF. A trading day iseach day on which the TSX is opened for business.

If the subscription or redemption order is accepted, theETF will issue or redeem units to/from the designatedbroker or underwriter by no later than the third tradingday after the date on which the subscription orredemption order is accepted. For each prescribednumber of units issued or redeemed, a designatedbroker or underwriter must deliver or receive paymentconsisting of:

• A basket of applicable securities and cash in anamount sufficient so that the value of the securities,and the cash received is equal to the NAV of the unitssubscribed/redeemed; or

• Cash in the amount equal to the NAV of the unitssubscribed/redeemed.

On any trading day, unitholders may redeem units forcash or exchange units for baskets of securities andcash. Units redeemed for cash will be redeemed at aredemption price per unit equal to 95% of the closingprice for the units on the exchange on the effective day



of the redemption. Units exchanged for baskets ofsecurities will be exchanged at a price equal to the NAVof the units on the effective date of the exchangerequest, payable by delivery of baskets of securities andcash.

Unitholders that redeem units prior to the distributionrecord date will not be entitled to receive thedistribution.

The NAV per unit of a class for the purposes ofsubscription or redemption is computed by dividing theNAV of the ETF (that is, the total fair value of the assetsattributable to the class of the ETF less the liabilitiesattributable to the class) by the total number of units ofthe class of the ETF outstanding at such time on eachValuation Day, in accordance with Part 14 NationalInstrument (“NI”) 81-106 Investment Fund ContinuousDisclosure for the purpose of processing unitholdertransactions. Net Assets are determined in accordancewith IFRS and may differ from the ETF’s NAV. Wherean ETF’s NAV is not equal to its Net Assets, areconciliation is shown in Note 8.

6. Related party transactions(a) Management feesThe Manager is responsible for all other costs andexpenses of the ETF, including the fees payable to theCustodian, Registrar and Transfer Agent and PlanAgent fees payable to other service providers, includingthe index providers retained by the Manager.

The ETF will pay the Manager a management fee asdisclosed in Note 8 based on the NAV of the class of theETF. The management fee, plus applicable taxes, willbe accrued daily and paid quarterly in arrears. TheManager may, from time to time in its discretion, waivea portion of the management fee charged at any giventime.

The Manager may agree to charge a reducedmanagement fee it otherwise would be entitled toreceive from the ETF with respect to investments in theETF by certain unitholders. An amount equal to the

difference between the fee otherwise chargeable andthe reduced fee of the ETF will be distributed in cash tothose unitholders as Management Fee Distributions.

(b) Other related party transactionsAll expenses are recognized in the Statement ofComprehensive Income on the accrual basis.

The ETF is responsible for the costs and expensesincurred in complying with NI 81-107 (including anyexpenses related to the implementation and on-goingoperation of an Independent Review Committee),brokerage expenses and commissions, income andwithholding taxes as well as other applicable taxes, thecosts of complying with any new governmental orregulatory requirement introduced after the date theETF was established and extraordinary expenses.

From time to time, the Manager may on behalf of theETF enter into transactions or arrangements with orinvolving subsidiaries and affiliates of Bank ofMontreal, or certain other persons or companies thatare related or connected to the Manager of the ETF.These transactions or arrangements may includetransactions or arrangements with or involvingsubsidiaries and affiliates of Bank of Montreal, BMOAsset Management Corp., BMO Asset Management Inc.,BMO Nesbitt Burns Inc., BMO Private InvestmentCounsel Inc., BMO InvestorLine Inc., BMOInvestments Inc., or other investment funds offered byBank of Montreal and may involve the purchase or saleof portfolio securities through or from a subsidiary oraffiliates of Bank of Montreal, the purchase or sale ofsecurities issued or guaranteed by a subsidiary oraffiliates of Bank of Montreal, entering into forwardcontracts with a subsidiary or affiliates of Bank ofMontreal acting as counterparty, the purchase orredemption of units of other Bank of Montreal affiliatedinvestment funds or the provision of services to theManager.



BMO Nesbitt Burns Inc. is one of the designated brokersthat have entered into an underwriting agreement withthe Manager. As a Designated Broker, under theunderwriting agreement, BMO Nesbitt Burns Inc. maysubscribe for and or be issued units of the ETF by theManager from time to time.

7. Financial instruments risksThe ETF’s activities expose it to a variety of risksassociated with the financial instruments, asfollows: market risk (including currency risk, interestrate risk and other market risk), credit risk and liquidityrisk. The concentration table groups securities by assettype, geographic location and/or market segment. TheETF’s risk management practice focuses on processesand strategies to minimize the tracking error betweenthe ETF’s performance and the performance of itsrelevant index.

(a) Currency riskCurrency risk is the risk that the fair value of financialinstruments denominated in currencies, other than thefunctional currency of the ETF, will fluctuate due tochanges in foreign exchange rates. Investments inforeign markets are exposed to currency risk as theprices denominated in foreign currencies are convertedto the ETF’s functional currency in determining fairvalue. The ETF may enter into forward currencycontracts for hedging purposes to reduce foreigncurrency exposure. IFRS 7 considers the foreignexchange exposure relating to non-monetary assets andliabilities to be a component of market price risk notforeign currency risk. However, the Manager monitorsthe exposure on all foreign currency denominatedassets and liabilities. The ETF’s exposure to currencyrisk, if any, is further disclosed in Note 8.

(b) Interest rate riskInterest rate risk is the risk that the fair value of theETF's interest bearing investments will fluctuate due tochanges in market interest rates. The ETF's exposure tointerest rate risk is concentrated in its investment indebt securities (such as bonds, money marketinvestments, short-term investments and debentures)and interest rate derivative instruments, if any. Other

assets and liabilities are short-term in nature and/ornon-interest bearing. The ETF's exposure to interestrate risk, if any, is further discussed in Note 8.

(c) Other market riskOther market risk is the risk that the fair value of afinancial instrument will fluctuate as a result ofchanges in market prices (other than those arising frominterest rate risk or currency risk), whether thosechanges are caused by factors specific to the individualfinancial instrument or its issuer, or factors affecting allsimilar financial instruments traded in a market ormarket segment. The Manager moderates this riskthrough the use of investment strategies that seek tominimize the ETF’s tracking error versus a marketindex, within the parameters of the investment strategy.The maximum risk resulting from financialinstruments is equivalent to its fair value.

The Manager monitors the ETF’s overall marketpositions on a daily basis and positions are maintainedwithin established ranges. Other assets and liabilitiesare monetary items that are short-term in nature, andas such they are not subject to other market risk. TheETF's exposure to other market risk, if any, is furtherdiscussed in Note 8.

(d) Credit riskCredit risk is the risk that a loss could arise from asecurity issuer or counterparty to a financialinstrument not being able to meet its financialobligations. The fair value of debt securities includesconsideration of the credit worthiness of the debtissuer. Credit risk exposure for over-the-counterderivative instruments is based on the ETF's unrealizedgain of the contractual obligations with thecounterparty as at the reporting date. The creditexposure of other assets is represented by its carryingamount. The ETF's exposure to credit risk, if any, isfurther discussed in Note 8.

The ETF may enter into securities lending transactionswith approved counterparties. Credit risk associatedwith these transactions is considered minimal as allcounterparties have a sufficient approved credit rating



and the market value of collateral held by the ETF mustbe at least 102% of the fair value of securities loaned, ifany, as disclosed in Note 8, where applicable.

(e) Liquidity riskThe ETF's exposure to liquidity risk is concentrated inthe daily redemptions of units, and other liabilities.Since the settlement of redemptions is primarily bydelivery of securities, the ETF is not exposed to anysignificant liquidity risk. The ETF primarily invests insecurities that are traded in active markets and can bereadily disposed. In addition, the ETF retains sufficientcash and cash equivalent positions to maintainliquidity. The ETF may, from time to time, enter intoover-the-counter derivative contracts or invest inunlisted securities, which are not traded in anorganized market and may be illiquid. Securities forwhich market quotation could not be obtained and maybe illiquid are identified on the Schedule of InvestmentPortfolio. The proportion of illiquid securities to theNAV of the ETF is monitored by the Manager to ensureit does not exceed the regulatory limit and does notsignificantly affect the liquidity required to meet theETF's financial obligations.



8. ETF specific information(a) ETF information and change in unitsThe ETF was established on May 12, 2009. The ListedCAD Units are listed on the TSX under the symbol ZCN.

Unlisted Institutional Units are available to AccreditedInvestors only. A subscription agreement is required topurchase Unlisted Institutional Units and must bereceived in a form satisfactory to the Manager before aninvestor’s initial subscription for Unlisted InstitutionalUnits may be accepted.

The last close price as at December 31, 2018 andDecember 31, 2017 are shown in the following table.

As atDec. 31,

2018Dec. 31,

2017

Listed CAD Units 19.32 CAD 21.83 CAD

The number of units that have been issued and areoutstanding are disclosed in the table below.

For the periods ended(in thousands of units)

Dec. 31,2018

Dec. 31,2017

Listed CAD UnitsUnits issued and outstanding,

beginning of period 145,109 84,509Units issued 81,200 76,800Issued on reinvestment of distributions — 1,675Units consolidated — (1,675)Redeemed during the period (27,200) (16,200)

Units issued and outstanding,end of period 199,109 145,109

Unlisted Institutional UnitsUnits issued and outstanding,

beginning of period 0 0Redeemed during the period (0) —

Units issued and outstanding,end of period — 0

Unit consolidationThe units of the ETF are consolidated immediatelyafter a distribution is reinvested so that the number ofunits of the ETF held by investors after theconsolidation is the same as before the distribution.This does not result in a disposition of the investors’units. On consolidation, the aggregate Adjusted CostBase (“the ACB”) of units held by the investors will notchange, but the ACB per unit will increase.

(b) Reconciliation of NAV to Net AssetsAs at December 31, 2018 and December 31, 2017, therewere no differences between the ETF’s NAV per unitand its Net Assets per unit calculated in accordancewith IFRS.

(c) Increase (decrease) in net assets attributable toholders of redeemable units per unitThe increase (decrease) in net assets attributable toholders of redeemable units per unit for the periodsended December 31, 2018 and December 31, 2017 iscalculated as follows:

For the periods endedDec. 31,

2018Dec. 31,

2017

Listed CAD Units(Decrease) increase in net assets attributable to

holders of redeemable units (356,325) 205,453Weighted average units outstanding during the

period (in thousands of units) 168,893 117,390

(Decrease) increase in net assets attributable toholders of redeemable units per unit (2.11) 1.75

Unlisted Institutional UnitsIncrease in net assets attributable to holders of

redeemable units 0 0Weighted average units outstanding during the

period (in thousands of units) 0 0

Increase in net assets attributable to holders ofredeemable units per unit 0.14 1.85

(d) Income taxesAs at the tax year-ended December 2018, there were nocapital and non-capital losses carried forward.

(e) Related party transactionsManagement feesThe Manager is entitled to receive a management fee,plus applicable taxes, accrued daily and paid quarterlyin arrears at the following annual rates:

Class

ManagementFee(%)

Listed CAD Units 0.050Unlisted Institutional Units *

* Negotiated and paid by each Institutional investor directly to the Manager.



The outstanding accrued management fees due to theManager are included in “Accrued expenses” in theStatement of Financial Position and as at December 31,2018 amounted to $526 (December 31, 2017 — $388).

Brokerage commissionsBrokerage commissions paid (excluding transactioncosts) on security transactions and amounts paid torelated parties of the Manager for brokerage servicesprovided to the ETF for the periods are as follows:

For the periods endedDec. 31, 2018

($)Dec. 31, 2017

($)

Total brokerage amounts paid 37 21Total brokerage amounts paid to related

parties 17 8

There were no ascertainable soft dollars paid orpayable to dealers by the ETF during the periods.

(f) Financial instruments risksThe ETF’s objective is to replicate, to the extentpossible, the performance of the S&P/TSX CappedComposite Index, net of the expenses. The investmentstrategy of the ETF is to invest in and hold theconstituent securities of the S&P/TSX CappedComposite Index in the same proportion as they arereflected in the S&P/ TSX Capped Composite Index orsecurities intended to replicate the performance of thatindex.

No changes affecting the overall level of risk ofinvesting in the ETF were made during the period.

Currency riskThe ETF’s exposure to currency risk is summarized inthe table below. Amounts shown are based on thecarrying value of monetary and non-monetary assets(including derivatives and the underlying principal(notional) amount of forward currency contracts, ifany). As at December 31, 2017, the ETF did not have anysignificant exposure to currency risk as it invested

fully/primarily in Canadian securities.

As at Dec. 31, 2018

Currency

Cash andother currentreceivables& payables

($)

Investments(monetary &

non-monetary)($)

Forwardcurrencycontracts

($)

Netcurrencyexposure

($)

As a % ofnet assets

(%)

U.S. Dollar 5,432 — — 5,432 0.1

As at December 31, 2018, if the Canadian dollar hadstrengthened or weakened by 5% in relation to allforeign currencies, with all variables held constant, theNet Assets of the ETF could possibly have increased ordecreased, respectively, by approximately $272. Inpractice, actual results may differ from this sensitivityanalysis and the difference could be material.

Interest rate riskAs at December 31, 2018 and December 31, 2017, theETF did not have any significant exposure to interestrate risk.

Other market riskThe ETF has a significant exposure to other market riskarising from its direct investment in equity securitiesand from its investment in the BMO ETF. Usinghistorical correlation between the ETF's return and thereturn of its benchmark, if the benchmark, S&P/TSXCapped Composite Index, had increased or decreasedby 10%, with all other variables held constant, the NetAssets of the ETF would have increased or decreased,respectively, by $382,518 (December 31, 2017 —$315,943). Historical correlation may not berepresentative of future correlation, and accordingly,actual results may differ and the difference could bematerial.

Credit riskAs at December 31, 2018 and December 31, 2017, theETF did not have any significant exposure to creditrisk.



Securities lendingThe ETF had assets involved in securities lendingtransactions outstanding as at December 31, 2018 andDecember 31, 2017 as follows:

Aggregate Value ofSecurities on Loan

($)

Aggregate Value of CollateralReceived for the Loan

($)

Dec. 31, 2018 269,296 287,394Dec. 31, 2017 187,456 197,561

The table below is a reconciliation of the gross amountgenerated from securities lending transactions to thesecurity lending revenue for the periods endedDecember 31, 2018 and December 31, 2017:

For the periods ended Dec. 31, 2018 Dec. 31, 2017

Amount

% of GrossSecuritiesLendingRevenue Amount

% of GrossSecuritiesLendingRevenue

Gross securities lending revenue 2,027 100.0 1,253 100.0Withholding taxes 54 2.7 85 6.8

1,973 97.3 1,168 93.2Payment to securities lending agents 592 29.2 351 28.0

Net securities lending revenue* 1,381 68.1 817 65.2

* Amount shown on the Statement of Comprehensive Income is gross of withholdingtaxes of $54 (December 31, 2017 — $85).

Concentration riskThe ETF's concentration risk is summarized in thefollowing table:

As atDec. 31,

2018Dec. 31,

2017

EquitiesCommunication Services 6.0% —%Consumer Discretionary 4.2% 5.4%Consumer Staples 4.0% 3.7%Energy 17.7% 19.7%Financials 32.8% 34.6%Health Care 1.6% 1.0%Industrials 10.8% 9.6%Information Technology 4.0% 3.2%Materials 11.3% 11.5%Real Estate 3.2% 2.9%Telecommunication Services —% 4.7%Utilities 4.1% 3.8%

Other Assets Less Liabilities 0.3% (0.1)%

100.0% 100.0%

(g) Fair value hierarchyThe ETF classifies its financial instruments into threelevels based on the inputs used to value the financialinstruments. Level 1 securities are valued based onquoted prices in active markets for identical securities.Level 2 securities are valued based on significantobservable market inputs, such as quoted prices fromsimilar securities and quoted prices in inactive marketsor based on observable inputs to models. Level 3securities are valued based on significant unobservableinputs that reflect the Manager's determination ofassumptions that market participants might reasonablyuse in valuing the securities. The tables below show therelevant disclosure.

As at Dec. 31, 2018Financial assets Level 1 Level 2 Level 3 Total

Equity Securities 3,840,387 — — 3,840,387

As at Dec. 31, 2017Financial assets Level 1 Level 2 Level 3 Total

Equity Securities 3,173,995 — — 3,173,995

Transfers between levelsThere were no transfers between the levels during theperiods.

9. IFRS 9 transitionUpon transition to IFRS 9, financial assets and financialliabilities in the ETF’s investment portfolio wereclassified as FVTPL. The classification for financialassets and financial liabilities differs from theclassification under the previous IAS 39. However,there were no changes in the measurement attributesfor any of the financial assets and financial liabilitiesupon transition to IFRS 9. The tables below show thereconciliation of the financial assets and financialliabilities balances as at January 1, 2018, the IFRS9 transition date.



As at Jan. 1, 2018

Financial AssetsHeld forTrading

Designatedas FVTPL

Loans andReceivables** FVTPL

Opening balance - under IAS 39 — 3,173,995 7,760 —On the basis of change

from IAS 39 to IFRS 9:- reclassification of

investments toFVTPL* — (3,173,995) — 3,173,995

Total change on transition to IFRS 9 — (3,173,995) — 3,173,995

Opening balance - under IFRS 9 — — 7,760 3,173,995

* These are financial instruments (including derivatives) classified as held for tradingand others designated as FVTPL under IAS 39.** These are other financial assets classified as loans and receivables under IAS 39,now classified as amortized cost under IFRS 9.

As at Jan. 1, 2018

Financial LiabilitiesHeld forTrading

AmortizedCost** FVTPL

Opening balance - under IAS 39 — 21,807 —On the basis of change from IAS 39

to IFRS 9:- reclassification of securities sold short and

derivatives* — — —

Total change on transition to IFRS 9 — — —

Opening balance - under IFRS 9 — 21,807 —

* These are financial liabilities (such as securities sold short and derivatives) classifiedas held for trading under IAS 39.** These were classified as other financial liabilities under IAS 39, now classified asamortized cost under IFRS 9.



The accompanying financial statements have been prepared by management of BMO Investments Inc. Management isresponsible for the information and representations contained in these financial statements.

BMO Asset Management Inc. has maintained appropriate processes to ensure that relevant and reliable financial information isproduced. The financial statements have been prepared in accordance with International Financial Reporting Standards (IFRS)as issued by the International Accounting Standards Board (IASB) and include certain amounts that are based on estimates andjudgements. The significant accounting policies which management believes are appropriate for the ETFs are described innote 3 to the financial statements.

The Board of Directors is responsible for reviewing and approving the financial statements and overseeing management’sperformance of its financial reporting responsibilities.

PricewaterhouseCoopers LLP is the external auditor of the ETFs. The auditor has been appointed by the Board and cannot bechanged without the prior approval of the Independent Review Committee and 60 days notice to the unitholders. They haveaudited the financial statements in accordance with generally accepted auditing standards in Canada to enable them to expressto the unitholders their opinion on the financial statements. Their report is included as an integral part of the financialstatements.

Joan Z. Mohammed, Robert J. Schauer,Chief Operating Officer Chief Financial OfficerBMO Global Asset Management BMO Exchange Traded FundsMarch 5, 2019 March 5, 2019

Management’s Responsibility for Financial Reporting

BMO Asset Management Inc.First Canadian Place, 43rd Floor100 King Street WestToronto, Ontario M5X 1A1

Independent AuditorPricewaterhouseCoopers LLPPwC Tower18 York Street, Suite 2600Toronto, Ontario M5J 0B2

BMO ETFs are managed and administered by BMO Asset Management Inc., an investment fund manager and portfolio managerand separate legal entity from Bank of Montreal.® "BMO (M-bar roundel symbol)" is a registered trademark of Bank of Montreal, used under license.

www.bmo.com/etflegalFor more information please call 1-800-361-1392

Documents

December 31, 2018 - bmo.com · ANNUAL FINANCIAL STATEMENTS BMO S&P/TSX Capped Composite Index ETF (ZCN) December 31, 2018