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BMO UCITS ETF ICAV
An Irish collective asset-management vehicle constituted as an umbrella fund with segregated
liability between Sub-Funds registered in Ireland on 8 June 2015 under the Irish Collective
Asset-management Vehicles Act 2015 (“ICAV”) and authorised by the Central Bank of Ireland as an
Undertaking for Collective Investment in Transferable Securities (“UCITS”) pursuant to
the European Communities (Undertakings for Collective Investment in Transferable
Securities) Regulations, 2011
Interim Report and Unaudited Condensed Financial Statements for the
period from 8 June 2015 (date of registration) to 31 March 2016
BMO UCITS ETF ICAV
Contents
Page
Directory
3
General Information
4
Investment Manager’s Report
8
Condensed Statement of Financial Position
11
Condensed Statement of Comprehensive Income
13
Condensed Statement of Changes in Net Assets Attributable to Redeemable
Participating Shareholders
15
Notes to the Condensed Financial Statements
17
Schedule of Investments
BMO MSCI UK Income Leaders UCITS ETF
38
BMO MSCI USA Income Leaders UCITS ETF
39
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
43
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
47
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
50
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
53
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
57
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
61
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
65
Schedule of Portfolio Changes
71
BMO UCITS ETF ICAV
Directory
BOARD OF DIRECTORS
AUDITORS
Eimear Cowhey (Irish)*
David Hammond (Irish)*
/
Liam Miley (Irish)* **
Hugh Moir (British)
Drew Newman (British)
Subhas Sen (Canadian)
KPMG
One Stokes Place
Dublin 2
Ireland
REGISTERED OFFICE
LEGAL ADVISORS
78 Sir John Rogerson’s Quay
Dublin 2
Ireland
Matheson
70 Sir John Rogerson’s Quay
Dublin 2
Ireland
INVESTMENT MANAGER
DEPOSITARY
F&C Management Limited
Exchange House
Primrose Street
London EC2A 2NY
United Kingdom
State Street Custodial Services (Ireland) Limited
78 Sir John Rogerson’s Quay
Dublin 2
Ireland
ADMINISTRATOR & SECRETARY
State Street Fund Services (Ireland) Limited
78 Sir John Rogerson’s Quay
Dublin 2
Ireland
REGISTRATION NUMBER
C139810
*Independent Directors
**All of the Directors were appointed on 8 June 2015, except Liam Miley who was appointed on 16 November 2015
3
BMO UCITS ETF ICAV
General Information
BMO UCITS ETF ICAV (the “Fund” or the “ICAV”) is an Irish collective asset-management vehicle
constituted as an umbrella fund with segregated liability between Sub-Funds with registration number
C139810. The ICAV was registered on 8 June 2015. The ICAV has been authorised by the Central Bank
of Ireland (the “Central Bank”) as an Undertaking for Collective Investment in Transferable Securities
(“UCITS”) pursuant to the provisions of the European Communities (Undertakings for Collective
Investment in Transferable Securities) Regulations, 2011 (as amended) and the Central Bank (Supervision
and Enforcement) Act 2013 (section 48(1)) (Undertakings for Collective Investment in Transferable
Securities) Regulations 2015 (together the “UCITS Regulations”). All capitalised terms used but not
defined herein shall have the meaning ascribed thereto in the ICAV’s Prospectus dated 29 September
2015 (the “Prospectus”).
The ICAV has been structured as an umbrella fund consisting of different Sub-Funds, each comprising
one or more classes of shares. The Directors may from time to time, with the prior approval of the Central
Bank, create different series of Shares representing separate portfolios of assets, each such series
comprising a Sub-Fund. Each Sub-Fund will bear its own liabilities and, under Irish law, none of the ICAV,
the service providers appointed to the ICAV, the Directors, any receiver, examiner or liquidator, or any
other person will have access to the assets of a Sub-Fund in satisfaction of a liability of any other SubFund.
The ICAV is managed by F&C Management Limited.
The portfolio of assets maintained for each series of Shares and comprising a Sub-Fund will be invested
in accordance with the investment objectives and policies applicable to such Sub-Fund as specified in the
relevant Supplement. Different Shares shall be designated as either ETF Shares (being Shares that are
intended to be actively traded on a secondary market) or Non-ETF Shares (being Shares which are not
listed or actively traded on a secondary market). Shares may be divided into different Classes to
accommodate, amongst other things, the distinction between ETF Shares and Non-ETF Shares, different
dividend policies, charges, fee arrangements (including different total expense ratios), currencies, or to
provide for foreign exchange hedging in accordance with the policies and requirements of the Central
Bank from time to time. The ICAV and its Sub-Funds are listed on the Irish Stock Exchange and the
London Stock Exchange.
Sub-Funds and Share Classes
There are nine active Sub-Funds in operation as at 31 March 2016. The active Sub-Funds launched on 5
November 2015, and are listed in the table below. A further Sub-Fund, the BMO MSCI Emerging Markets
Income Leaders UCITS ETF, had not launched as at period end 31 March 2016.
Name of Sub-Fund
BMO MSCI UK Income Leaders UCITS ETF
BMO MSCI USA Income Leaders UCITS ETF
BMO MSCI USA Income Leaders (GBP Hedged) UCITS
ETF
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
BMO MSCI Europe ex-UK Income Leaders (GBP
Hedged) UCITS ETF
BMO Barclays 1-3 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays 3-7 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays 7-10 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays Global High Yield Bond (GBP Hedged)
UCITS ETF
Currency
GBP
USD
GBP
Class
GBP Distributing Shares
USD Distributing Shares
GBP Hedged Distributing Shares
EUR
GBP
EUR Distributing Shares
GBP Hedged Distributing Shares
GBP
GBP Hedged Distributing Shares
GBP
GBP Hedged Distributing Shares
GBP
GBP Hedged Distributing Shares
GBP
GBP Hedged Distributing Shares
4
BMO UCITS ETF ICAV
General Information cont/d
Investment Objectives and Policies
The ICAV has been registered for the purpose of investing in transferable securities in accordance with
the UCITS Regulations.
Each of the active Sub-Funds is intended to track or replicate the benchmark indices listed hereunder.
Name of Sub-Fund
BMO MSCI UK Income Leaders UCITS ETF
BMO MSCI USA Income Leaders UCITS ETF
BMO MSCI USA Income Leaders (GBP
Hedged) UCITS ETF
BMO MSCI Europe ex-UK Income Leaders
UCITS ETF
BMO MSCI Europe ex-UK Income Leaders
(GBP Hedged) UCITS ETF
BMO Barclays 1-3 Year Global Corporate Bond
(GBP Hedged) UCITS ETF
BMO Barclays 3-7 Year Global Corporate Bond
(GBP Hedged) UCITS ETF
BMO Barclays 7-10 Year Global Corporate
Bond (GBP Hedged) UCITS ETF
BMO Barclays Global High Yield Bond (GBP
Hedged) UCITS ETF
Benchmark Index (“Index”)
MSCI UK Select Quality Yield Index
MSCI USA Select Quality Yield Index
MSCI USA Select Quality Yield 100% Hedged
to GBP Index
MSCI Europe ex-UK Select Quality Yield
Index
MSCI Europe ex-UK Select Quality Yield
100% Hedged to GBP Index
Barclays Global Corporate 1-3 Very Liquid
Hedged to GBP Index
Barclays Global Corporate 3-7 Very Liquid
Hedged to GBP Index
Barclays Global Corporate 7-10 Very Liquid
Hedged to GBP Index
Barclays Global High Yield Bond Corporate
Very Liquid ex-144A Hedged to GBP Index
Strategy*
Replicating
Replicating
Replicating
Replicating
Replicating
Replicating
Replicating
Replicating
Replicating
* where full replication of the Index is not reasonably possible the Sub-Fund will use an optimisation methodology for replicating
funds and a stratified sampling methodology for non-replicating funds to build a representative portfolio that provides a return that is
comparable to that of the Index. See the Prospectus for further details.
The specific investment objectives, strategies and policies for each Sub-Fund will be set out in the
relevant Supplement to the Prospectus and are summarised below. In each case, the investment policy of
the Sub-Fund is to track the performance of the relevant Index as closely as possible, regardless of
whether the Index level rises or falls, while seeking to minimise as far as possible the tracking error
between the Sub-Fund’s performance and that of the Index. In order to seek to achieve this investment
objective, the Investment Manager will aim to replicate the Index by holding all of the Index Securities in a
similar proportion to their weighting in the Index.
BMO MSCI UK Income Leaders UCITS ETF
The objective of the Sub-Fund is to provide an exposure to high quality large and mid-capitalisation UK
stocks which have a history of paying above average dividends, as represented by the relevant Index.
BMO MSCI USA Income Leaders UCITS ETF
The objective of the Sub-Fund is to provide an exposure to high quality large and mid-capitalisation
stocks issued in the USA which have a history of paying above average dividends.
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to high quality large and mid-capitalisation
stocks issued in the USA which have a history of paying above average dividends which is hedged to
sterling.
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
The objective of the Sub-Fund is to provide an exposure to high quality large and mid-capitalisation
stocks issued in developed markets in Europe, excluding the UK, which have a history of paying above
average dividends.
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to high quality large and mid-capitalisation
stocks issued in developed markets in Europe, excluding the UK, which have a history of paying above
average dividends and is hedged to sterling.
5
BMO UCITS ETF ICAV
General Information cont/d
Investment Objectives and Policies cont/d
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to fixed rate corporate bonds issued within the
last five years and with an effective term to maturity of between one and three years which is hedged to
sterling.
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to fixed rate corporate bonds issued within the
last five years and with an effective term to maturity of between three and seven years which is hedged to
sterling.
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to fixed rate corporate bonds issued within the
last five years and with an effective term to maturity of between seven and ten years which is hedged to
sterling.
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
The objective of the Sub-Fund is to provide an exposure to global fixed-rate, high yield bonds issued
within the last five years and that have a maturity greater than one year, which is hedged to sterling.
Redemption of Shares
In accordance with the redemption procedures as specified in the Prospectus and relevant Supplements,
Shareholders may request the Sub-Fund to redeem their Shares on any Dealing Day at the Net Asset
Value per Share as of the relevant Dealing Day, subject to an appropriate provision for Duties and
Charges. Shareholders may only redeem Shares with a value that is at least equal to the Minimum
Redemption Amount.
If redemption requests received in respect of Shares of a particular Sub-Fund on any Dealing Day total, in
aggregate, more than 10% of all of the issued Shares of that Sub-Fund on that Dealing Day, the Directors
shall be entitled, at their absolute discretion, to refuse to redeem such number of Shares of that Sub-Fund
on that Dealing Day, in excess of 10% of the issued Shares of the Sub-Fund, in respect of which
redemption requests have been received, as the Directors shall determine. If the Sub-Fund refuses to
redeem Shares for this reason, the requests for redemption on such date shall be reduced ratably and the
redemption requests shall be treated as if they were received on each subsequent Dealing Day until all
the Shares to which the original request related have been redeemed, provided that the Sub-Fund shall
not be obliged to redeem more than 10% of the number of Shares of a particular Sub-Fund outstanding
on any Dealing Day, until all the Shares of the Sub-Fund to which the original request related have been
redeemed.
Applications for redemptions directly to the Sub-Fund in respect of ETF Shares may generally only be
made by Authorised Participants, through a Shareholder as nominee for the Authorised Participants. All
other investors may sell ETF Shares through the Authorised Participants or to other investors on the
secondary market.
Dividends and Distributions
Each Sub-Fund may have either Accumulating Classes or Distributing Classes or both.
With respect to the Accumulating Classes in all Sub-Funds, the Directors have determined to accumulate
all net investment income and net realised capital gains attributable to such Accumulating Classes and
therefore do not intend to declare dividends in respect of Shares in such classes.
Pursuant to the Instrument of Incorporation, the Directors may declare dividends in respect of Shares in
any Distributing Class out of net income (including dividend and interest income) and the excess of
realised and unrealised capital gains over realised and unrealised losses in respect of investments of the
Sub-Fund (collectively “Net Income”).
6
BMO UCITS ETF ICAV
General Information cont/d
Dividends and Distributions cont/d
It is the current intention of the Directors to declare and pay dividends out of Net Income attributable to
each of the Distributing Classes on a quarterly basis (based on quarters ending in March, June,
September and December). All Shares in issue in a Distributing Class on any date on which the Directors
determine to declare a dividend in respect of that class will be eligible for such dividend. Shareholders
should note that the Directors may, in their discretion, decide not to make such declaration and payment
in respect of a Distributing Class.
The distribution policy of any Sub-Fund or of any Class may be changed by the Directors upon
reasonable notice to Shareholders of that Sub-Fund or Class as the case may be and, in such
circumstances, the distribution policies will be disclosed in an updated Prospectus and relevant
Supplement.
Net Asset Value and Valuation of Assets
The ICAV has delegated the calculation of the Net Asset Value of each Sub-Fund and the Net Asset
Value per Share to State Street Fund Services (Ireland) Limited (the “Administrator”).
The Net Asset Value of a Sub-Fund shall be calculated by ascertaining the value of the assets of the
relevant Sub-Fund and deducting from such amount the liabilities of the Sub-Fund, which shall include all
fees and expenses payable and accrued or estimated to be payable out of the assets of the Sub-Fund.
The Net Asset Value per Share of a Sub-Fund shall be calculated by dividing the Net Asset Value of the
relevant Sub-Fund by the total number of Shares issued in respect of that Sub-Fund or deemed to be in
issue as of the relevant Business Day.
The Net Asset Value per Share in each Sub-Fund shall be calculated to the nearest four decimal places
in the base currency of the relevant Sub-Fund on each Business Day in accordance with the valuation
provisions set out in the Instrument of Incorporation and summarised below.
In the event that the Shares of any Sub-Fund are divided into different Classes, the amount of the Net
Asset Value of the Sub-Fund attributable to a Class shall be determined by establishing the number of
Shares issued in the Class at the relevant Valuation Point and by allocating the relevant fees and Class
expenses to the Class, making appropriate adjustments to take account of distributions, subscriptions,
redemptions, gains and expenses of that Class and apportioning the Net Asset Value of the Sub-Fund
accordingly. The Net Asset Value per Share in respect of a Class will be calculated by dividing the Net
Asset Value of the relevant Class by the number of Shares of the relevant Class in issue. The Net Asset
Value of the Sub-Fund attributable to a Class and the Net Asset Value per Share in respect of a Class will
be expressed in the class currency of such Class if it is different to the Base Currency.
The Net Asset Value per Share in the Sub-Fund will be calculated at the Valuation Point on each
Business Day.
For further information regarding the method and principles by which the Net Asset Value is determined
and the circumstances under which the Directors may temporarily suspend the determination of the Net
Asset Value, please refer to the Prospectus.
7
BMO UCITS ETF ICAV
Investment Manager’s Report
BMO MSCI UK Income Leaders UCITS ETF
Economic and political news flow were the key drivers of sentiment and resulting market moves in UK
equities. Growth remained weak and inflation was subdued. Manufacturing activity was on a downward
trajectory and the Chancellor revised 5-year growth projections down during his Budget statement. With
the EU referendum announced for the 23 June uncertainty surrounding the UK’s ongoing membership of
the European Union led sterling to weaken against other major currencies. In late March, Yellen’s
comments that the Federal Reserve would ‘proceed cautiously’ helped shares rise into the period’s close.
Within the market, higher yielding names tended to outperform their more growth-orientated counterparts.
Benchmark
MSCI UK Select Quality Yield
TR Index
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
2.26%
2.59%
0.20 - 0.50
0.15
BMO MSCI USA Income Leaders UCITS ETF
The US stock market was volatile during the period. Following the US Federal Reserve´s (Fed) much
anticipated rate hike in 2015, investors focused their attention on the pace of further US rate tightening.
However, the Fed adopted a more cautious tone at the end of the period and expectations regarding the
pace of rate rises in 2016 were dampened. US economic growth slowed to an annual pace of 0.5%
during the first quarter of 2016, a sharp decline from the 1.4% rate of growth registered in the final quarter
of 2015 and the slowest pace in two years. The disappointing result was attributed to a fall in domestic
demand as well as weaker US exports on the back of a stronger US dollar. In addition, separate surveys
also pointed to a weakening trend in US consumer sentiment. Shares fell sharply during January and into
mid-February before dovish rhetoric from the Federal Reserve and improved economic data helped them
recover into the period’s close.
Benchmark
MSCI USA Select Quality Yield
TR Index
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
8.05%
8.05%
0.20 - 0.50
0.12
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
The US stock market was volatile during the period. Following the US Federal Reserve´s (Fed) much
anticipated rate hike in 2015, investors focused their attention on the pace of further US rate tightening.
However, the Fed adopted a more cautious tone at the end of the period and expectations regarding the
pace of rate rises in 2016 were dampened. US economic growth slowed to an annual pace of 0.5%
during the first quarter of 2016, a sharp decline from the 1.4% rate of growth registered in the final quarter
of 2015 and the slowest pace in two years. The disappointing result was attributed to a fall in domestic
demand as well as weaker US exports on the back of a stronger US dollar. In addition, separate surveys
also pointed to a weakening trend in US consumer sentiment. Shares fell sharply during January and into
mid-February before dovish rhetoric from the Federal Reserve and improved economic data helped them
recover into the period’s close.
During the period, currency moves made their impact keenly felt. Dollar based investors enjoyed strong
positive returns but sterling weakness dampened returns for those hedging back into sterling.
Benchmark
MSCI USA Select Quality Yield
TR Index (Hedged into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
0.44%
0.50%
0.20 - 0.50
0.14
8
BMO UCITS ETF ICAV
Investment Manager’s Report cont/d
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
European shares gained ground but the period was a volatile one. The actions of central banks were a
key determinant of market direction and having underwhelmed with their actions in late 2015 the
European Central Bank exceeded expectations in March 2016 and the announced stimulus measures
helped shares rise. Economic growth picked up ahead of expectations in the first quarter of 2016 but
inflation was weak. Within the market, higher yielding names tended to outperform their more growthorientated counterparts.
Benchmark
MSCI Europe ex-UK Select
Quality Yield TR Index
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
4.13%
4.21%
0.20 - 0.50
0.06
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
The performance of European shares was volatile. The actions of central banks were a key determinant
of market direction and having underwhelmed with their actions in late 2015 the European Central Bank
exceeded expectations in March 2016 and the announced stimulus measures helped shares rise from
earlier lows. Economic growth picked up ahead of expectations in the first quarter of 2016 but inflation
was weak. Within the market, higher yielding names tended to outperform their more growth-orientated
counterparts.
During the period, currency moves made their impact keenly felt. Euro based investors enjoyed positive
returns but sterling weakness, together with euro appreciation, pulled returns into negative territory for
those hedging back into sterling.
Benchmark
MSCI Europe ex-UK Select
Quality Yield TR Index (Hedged
into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
-7.35%
-7.13%
0.20 - 0.50
0.14
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Corporate bonds made gains over the period. Investor sentiment was dampened by concerns about
global economic growth and increased market volatility. Corporate bonds benefited however, from the
strength of the underlying government bond market and a continued appetite for higher-yielding assets.
High yield bonds felt the impact of negative fund flows and postponed deals. The relatively high weighting
of energy related names provided an additional drag in an environment of low energy prices (a trend that
reversed somewhat later on).
Benchmark
Barclays 1-3 Year Global
Corporate Bond Very Liquid TR
Index (Hedged into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
0.96%
1.13%
0.30 - 0.75
0.34
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Corporate bonds made gains over the period. Investor sentiment was dampened by concerns about
global economic growth and increased market volatility. Corporate bonds benefited however, from the
strength of the underlying government bond market and a continued appetite for higher-yielding assets.
High yield bonds felt the impact of negative fund flows and postponed deals. The relatively high weighting
of energy related names provided an additional drag in an environment of low energy prices (a trend that
reversed somewhat later on).
9
BMO UCITS ETF ICAV
Investment Manager’s Report cont/d
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF cont/d
Benchmark
Barclays 3-7 Year Global
Corporate Bond Very Liquid TR
Index (Hedged into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
2.54%
2.60%
0.30 - 0.75
0.40
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Corporate bonds made gains over the period. Investor sentiment was dampened by concerns about
global economic growth and increased market volatility. Corporate bonds benefited however, from the
strength of the underlying government bond market and a continued appetite for higher-yielding assets.
High yield bonds felt the impact of negative fund flows and postponed deals. The relatively high weighting
of energy related names provided an additional drag in an environment of low energy prices (a trend that
reversed somewhat later on).
Benchmark
Barclays 7-10 Year Global
Corporate Bond Very Liquid TR
Index (Hedged into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
4.27%
3.71%
0.30 - 0.75
0.76
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Corporate bonds made gains over the period. Investor sentiment was dampened by concerns about
global economic growth and increased market volatility. Corporate bonds benefited however, from the
strength of the underlying government bond market and a continued appetite for higher-yielding assets.
High yield bonds felt the impact of negative fund flows and postponed deals. The relatively high weighting
of energy related names provided an additional drag in an environment of low energy prices (a trend that
reversed somewhat later on).
Benchmark
Barclays Global High Yield
Bond ex-144A Very Liquid TR
Index (Hedged into GBP)
Fund
Return
Benchmark
Return
Anticipated
Tracking Error
Annualised Realised
Tracking Error
-1.59%
-1.92%
0.60 - 1.20
1.53
10
BMO UCITS ETF ICAV
Condensed Statement of Financial Position
As at 31 March 2016
Note
Current assets
Financial assets at fair value through profit or loss:
Transferable securities
Unrealised gain on forward currency contracts
Cash and cash equivalents
Other receivables
Total current assets
Current liabilities
Financial liabilities at fair value through profit or loss:
Unrealised loss on forward currency contracts
Other payables
Total current liabilities (excluding net assets
attributable to redeemable participating
shareholders)
Net assets attributable to redeemable participating
shareholders
1(d), 7
8
9
BMO MSCI USA
Income Leaders
UCITS ETF
USD
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF
GBP
BMO MSCI Europe
ex-UK Income
Leaders UCITS ETF
EUR
BMO MSCI Europe
ex-UK Income
Leaders
(GBP Hedged)
UCITS ETF
GBP
7,571,623
32,203
50,619
7,654,445
13,435,297
137,766
11,122
13,584,185
7,457,123
211,799
103,133
6,109
7,778,164
13,829,448
72,122
4,618
13,906,188
5,542,102
34,342
60,855
5,637,299
(61,417)
(83,509)
(313,083)
(69,128)
(75,945)
(28,808)
(61,417)
(83,509)
(313,083)
(69,128)
(104,753)
7,593,028
13,500,676
7,465,081
13,837,060
5,532,546
BMO MSCI
UK Income
Leaders
UCITS ETF
GBP
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
11
BMO UCITS ETF ICAV
Condensed Statement of Financial Position cont/d
As at 31 March 2016
Note
BMO Barclays 1-3 Year
Global Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 3-7 Year
Global Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 7-10
Year Global Corporate
Bond (GBP Hedged)
UCITS ETF
GBP
BMO Barclays Global
High Yield Bond
(GBP Hedged)
UCITS ETF
GBP
3,999,663
6,062,814
6,129,572
9,404,405
199,303
Current assets
Financial assets at fair value through profit or loss:
Transferable securities
Unrealised gain on forward currency contracts
Cash and cash equivalents
Other receivables
Total current assets
88,443
121,831
144,028
1(d), 7
17,160
33,076
30,462
62,923
8
245,191
4,350,457
569,588
6,787,309
262,372
6,566,434
432,467
10,099,098
(17,109)
(31,599)
(19,380)
(37,179)
9
(311,630)
(646,098)
(355,850)
(409,582)
(328,739)
(677,697)
(375,230)
(446,761)
4,021,718
6,109,612
6,191,204
9,652,337
Current liabilities
Financial liabilities at fair value through profit or loss:
Unrealised loss on forward currency contracts
Other payables
Total current liabilities (excluding net assets attributable
to redeemable participating shareholders)
Net assets attributable to redeemable participating
shareholders
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
12
BMO UCITS ETF ICAV
Condensed Statement of Comprehensive Income
For the period from 8 June 2015 (date of registration) to 31 March 2016
BMO MSCI
UK Income
Leaders
UCITS ETF
GBP
BMO MSCI USA
Income Leaders
UCITS ETF
USD
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF
GBP
1(f)
85,657
122,171
72,817
84,172
41,986
1(b), 1(c), 4
344,677
418,285
129,310
303,837
(227,437)
430,334
540,456
202,127
388,009
(185,451)
(7,617)
(13,640)
(9,435)
(11,725)
(7,542)
422,717
526,816
192,692
376,284
(192,993)
10
(67,695)
(105,658)
(60,909)
(57)
(63,576)
(35)
(25,884)
1(j), 2
-
(17,521)
(10,439)
(21,037)
(9,891)
355,022
403,637
121,344
291,614
(228,803)
Note
Income
Investment income
Net gain/(loss) on investment activities
Total investment income/(expense)
Expenses
Operating expenses
BMO MSCI
Europe ex-UK
Income
Leaders (GBP
Hedged) UCITS
ETF
GBP
BMO MSCI
Europe
ex-UK Income
Leaders UCITS
ETF
EUR
5
Net income/(expense)
Finance costs
Bank interest expense
Distributions
Taxation
Withholding tax
Net movement in net assets attributable
to redeemable participating shareholders
resulting from operations
Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Comprehensive Income.
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
13
BMO UCITS ETF ICAV
Condensed Statement of Comprehensive Income cont/d
For the period from 8 June 2015 (date of registration) to 31 March 2016
Income
Investment income
Net gain/(loss) on investment activities
Note
BMO Barclays 1-3 Year
Global Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 3-7 Year
Global Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 7-10
Year Global Corporate
Bond (GBP Hedged)
UCITS ETF
GBP
BMO Barclays Global
High Yield Bond
(GBP Hedged)
UCITS ETF
GBP
1(f)
24,408
56,674
80,734
226,221
1(b), 1(c), 4
18,759
102,793
181,417
(375,550)
43,167
159,467
262,151
(149,329)
(4,858)
(7,292)
(7,301)
(13,492)
38,309
152,175
254,850
(162,821)
(12)
(16,716)
(23)
(42,739)
(18)
(63,828)
(51)
(185,116)
21,581
109,413
191,004
(347,988)
Total investment income/(expense)
Expenses
Operating expenses
5
Net income/(expense)
Finance costs
Bank interest expense
Distributions
10
Net movement in net assets attributable
to redeemable participating shareholders
resulting from operations
Gains and losses arose solely from continuing operations. There were no gains or losses other than those dealt with in the Statement of Comprehensive Income.
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
14
BMO UCITS ETF ICAV
Condensed Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders
For the period from 8 June 2015 (date of registration) to 31 March 2016
Net assets attributable to redeemable participating
shareholders at the beginning of the period
Net movement in net assets attributable to
redeemable participating shareholders resulting from
operations
Proceeds from the issuance of redeemable
participating shares
Movement in net assets resulting from share
transactions
Net assets attributable to redeemable participating
shareholders at the end of the period
BMO MSCI UK
Income Leaders
UCITS ETF
GBP
BMO MSCI USA
Income Leaders
UCITS ETF
USD
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF
GBP
BMO MSCI Europe
ex-UK Income
Leaders UCITS ETF
EUR
BMO MSCI Europe
ex-UK Income
Leaders (GBP
Hedged) UCITS ETF
GBP
-
-
-
-
-
355,022
403,637
121,344
291,614
(228,803)
7,238,006
13,097,039
7,343,737
13,545,446
5,761,349
7,593,028
13,500,676
7,465,081
13,837,060
5,532,546
7,593,028
13,500,676
7,465,081
13,837,060
5,532,546
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
15
BMO UCITS ETF ICAV
Condensed Statement of Changes in Net Assets Attributable to Redeemable Participating Shareholders cont/d
For the period from 8 June 2015 (date of registration) to 31 March 2016
BMO Barclays 1-3 Year
Global
Corporate Bond (GBP
Hedged)
UCITS ETF
GBP
BMO Barclays 3-7 Year
Global
Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 7-10
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays
Global High Yield
Bond
(GBP Hedged)
UCITS ETF
GBP
Net assets attributable to redeemable participating
shareholders at the beginning of the period
-
-
-
-
Net movement in net assets attributable to redeemable
participating shareholders resulting from operations
21,581
109,413
191,004
(347,988)
Proceeds from the issuance of redeemable participating shares
4,000,137
6,000,199
6,000,200
10,000,325
Movement in net assets resulting from share transactions
4,021,718
6,109,612
6,191,204
9,652,337
Net assets attributable to redeemable participating
shareholders at the end of the period
4,021,718
6,109,612
6,191,204
9,652,337
As the Sub-Funds launched on 5 November 2015, comparative data is not available.
The accompanying notes are an integral part of the financial statements.
16
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016
1. Significant Accounting Policies
The principal accounting policies and estimation techniques applied in the preparation of these
financial statements are set out below.
These condensed financial statements are the first set of unaudited condensed interim financial
statements of BMO UCITS ETF ICAV (the “ICAV”).
a) Basis of Preparation
The ICAV’s unaudited condensed interim financial statements have been prepared in accordance with
Financial Reporting Standard 104 (“FRS 104”) Interim Financial Reporting, Irish statute comprising the
Irish Collective Asset-management Vehicles Act 2015 (the “ICAV Act”) and the Central Bank’s
(Supervision and Enforcement) Act 2013 (section 48(1)) UCITS Regulations 2015, (the "Central Bank
UCITS Regulations").
The financial statements are prepared under the historical cost convention as modified by the
revaluation of financial assets and financial liabilities at fair value through profit or loss.
In preparation of financial statements in conformity with FRS 104, the ICAV is required to make certain
accounting estimates and assumptions. Actual results may differ from these estimates and
assumptions. The Directors believe that any estimates used in preparing the financial statements are
reasonable and prudent. Critical accounting estimates are those which involve the most complex or
subjective judgments or assessments. The areas of the ICAV’s business that typically require such
estimates are the determination of the fair value of financial assets and liabilities.
The financial statements have been prepared on a going concern basis.
The ICAV is availing of the exemption available to open-ended investment funds under FRS 104 and
is not presenting a cash flow statement.
b) Functional and Presentation Currency
Items included in each Sub-Fund's financial statements are measured using the currency of the
primary economic environment in which the relevant Sub-Fund operates (the “functional currency”).
The functional or base currency of each Sub-Fund is detailed in the General Information section. The
ICAV also has adopted these functional currencies as the presentation currency of each of the SubFunds.
Transactions in foreign currencies are translated into the functional currency at the exchange rate at
the dates of the transactions. Monetary assets and liabilities denominated in foreign currencies at the
reporting date are retranslated into the functional currency of the Sub-Fund at the exchange rate at
that date.
Non-monetary assets and liabilities denominated in foreign currencies that are measured at fair value
are retranslated into the functional currency of the Sub-Fund at the exchange rate at the date on which
fair value was determined.
Any foreign currency differences arising on retranslation are recognised in the Condensed Statement
of Comprehensive Income as net foreign currency gains/(losses), including those arising on financial
instruments at fair value through profit or loss (“FVTPL”), which are recognised as a component of net
gain/(loss) on investment activities at FVTPL.
c) Financial Assets and Financial Liabilities at Fair Value Through Profit or Loss
Classification
Financial assets and liabilities at fair value through profit or loss have two sub-categories: financial
assets and financial liabilities held for trading and those designated by management at fair value
through profit or loss at inception. Financial assets or financial liabilities held for trading are acquired
or incurred principally for the purpose of selling or repurchasing in the short-term. Forward currency
contracts and all other derivatives fall into this category. Equities and bonds (collectively “transferable
securities”) are designated by the Directors at FVTPL at inception. Gains and losses from changes in
the fair value of the financial assets and liabilities at FVTPL category are included in the Condensed
Statement of Comprehensive Income in Net gain/(loss) on investment activities.
17
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
1. Significant Accounting Policies cont/d
c) Financial Assets and Financial Liabilities at Fair Value Through Profit or Loss cont/d
Recognition and Derecognition
Recognition and initial measurement
Purchases and sales of investments are recognised as of the day the transaction takes place (trade
date), the date on which the Sub-Fund commits to purchase or sell the asset. Other financial assets
and liabilities are recognised on the date in which they originated. Investments are initially recognised
at fair value, and costs for all financial assets and financial liabilities carried at FVTPL are expensed as
incurred. Financial assets and liabilities not at FVTPL are initially recognised at fair value plus
transaction costs that are directly attributable to their acquisition or issue.
De-recognition
Investments are de-recognised when the rights to receive cash flows from the investments have
expired or the relevant Sub-Fund has transferred substantially all risks and rewards of ownership. On
de-recognition of a financial asset, the difference between the carrying amount of the asset and
consideration received is recognised in the Condensed Statement of Comprehensive Income.
Financial liabilities are derecognised when the contractual obligations are discharged, cancelled or
expired.
Fair Value Measurement
Fair value is the price that would be received to sell an asset or paid to transfer a liability in an orderly
transaction between market participants at the measurement date in the principal or, in its absence,
the most advantageous market to which the relevant Sub-Fund has access at that date. The fair value
of a liability reflects its non-performance risk.
i)
Transferable Securities
FRS 102, the accounting standard applicable in the UK and Ireland (to which FRS 104 Interim
Financial Reporting relates) requires that a reporting entity, in accounting for its financial instruments
apply either a) the full provisions of section 11 "Basis Financial Instruments" and section 12 "Other
Financial Instruments" of FRS 102, b) the recognition and measurement provisions of IAS 39
“Financial Instruments: Recognition and Measurement” and only the disclosure requirements of
Sections 11 and 12 of FRS 102; or c) the recognition and measurement provisions of International
Financial Reporting Standards (“IFRS”) 9, “Financial Instruments” and/or IAS 39 (as amended
following the publication of IFRS 9) and only the disclosure requirements of Sections 11 and 12 of
FRS 102. The ICAV has chosen to implement the recognition and measurement provisions of IAS 39
and only the disclosure requirements of Sections 11 and 12.
When available, the Sub-Funds measure the fair value of an investment using the quoted price in an
active market for that instrument. A market is regarded as ‘active’ if transactions for the asset or
liability take place with sufficient frequency and volume to provide pricing information on an ongoing
basis. Sub-Funds measure instruments quoted in an active market at a last traded price, because this
price provides a reasonable approximation of exit price.
If there is no quoted price in an active market, then the Sub-Fund uses valuation techniques that
maximise the use of relevant observable inputs and minimise the use of unobservable inputs. The
chosen valuation technique incorporates all of the factors that market participants would take into
account in pricing a transaction. The Sub-Fund recognises transfers between levels of the fair value
hierarchy as at the end of the reporting period during which the change has occurred.
ii)
Forward Currency Contracts
A Sub-Fund may enter into forward currency contracts to hedge against exchange rate risk. A forward
currency contract allows the Sub-Funds to purchase or sell a specific currency on a future date at a
price set at the time of the contract. Performance may be significantly influenced by movements in
foreign exchange rates because currency positions held by a Sub-Fund may not correspond with the
currency of the securities invested in.
The unrealised gain or loss on forward currency contracts is calculated as the difference between the
contract price and the spot price as at the reporting period end. Any changes in fair value are
recognised in the Condensed Statement of Comprehensive Income.
18
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
1. Significant Accounting Policies cont/d
d) Amortised Cost
Financial assets and financial liabilities other than those at FVTPL are held at amortised cost. The
amortised cost of the financial asset or financial liability is amount at which the financial asset or
financial liability is measured at initial recognition, minus principal repayments, plus or minus the
accumulative amortisation using the effective interest method of any difference between the initial
amount recognised and the maturity amount, minus any reduction for impairment.
i) Cash and Cash Equivalents
Cash comprises current deposits with banks. Cash and cash equivalents are short-term highly liquid
investments that are readily convertible to known amounts of cash, are subject to an insignificant risk
of changes in value and are held for the purpose of meeting short-term cash commitments rather than
for investment or other purposes. Cash and cash equivalents are carried at amortised cost in the
Condensed Statement of Financial Position which approximates their fair value.
ii) Debtors and Creditors
Debtors and creditors are accounted for on an accruals basis in the Condensed Statement of
Financial Position and are carried at amortised cost which approximates their fair value.
e) Right of Offset
Financial assets and liabilities are offset and the net amount presented in the Condensed Statement of
Financial Position when, and only when, the ICAV or the Sub-Funds have a legal right to set off the
amounts and intend either to settle on a net basis or to realise the asset and settle the liability
simultaneously. Income and expenses are presented on a net basis for gains and losses from financial
instruments at fair value through profit and loss and foreign exchange gains and losses. The ICAV’s
financial assets and liabilities are not subject to offsetting, enforceable master netting arrangements
and similar agreements.
f) Investment Income
i) Dividend income
Dividend income arising on the underlying equity investments of the ICAV is recognised as income of
the relevant Sub-Fund on the ex-dividend date. Income is shown gross of any non-recoverable
withholding taxes, which is disclosed separately in the Condensed Statement of Comprehensive
Income, and net of any tax credits.
ii) Interest income/expense
Interest income/interest expense is recognised as income/expense of the relevant Sub-Fund of the
ICAV on an effective interest basis in line with the contractual terms.
g) Expenses
All expenses are recognised in the Condensed Statement of Comprehensive Income on an accruals
basis. Expenses arising on the disposal of investments are deducted from the disposal proceeds.
h) Realised Gains and Losses
Realised gains and losses on sale of investments are calculated based on the average book cost of
the investment in local currency and are included in net gains/(losses) on investment activities in the
Condensed Statement of Comprehensive Income.
i) Unrealised Gains & Losses
Unrealised gains and losses on investments are the difference between the original cost of the
investment and its value at the reporting period end and are included in net gain/(loss) on investment
activities in the Condensed Statement of Comprehensive Income.
19
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
1. Significant Accounting Policies cont/d
j) Taxation
Dividend and interest income received by the Sub-Funds may be subject to withholding tax imposed in
the country of origin. Investment income is recorded gross of such taxes and the corresponding
withholding tax is recognised as a tax expense. Withholding tax reclaims receivable are recorded as
other receivables in the Condensed Statement of Financial Position.
k) Redeemable Participating Shares
The ICAV issues redeemable participating shares in each Sub-Fund, which are redeemable at the
holder's option and are classified as financial liabilities. Redeemable participating shares can be put
back to the relevant Sub-Fund at any time for cash, securities or a combination of cash and securities
equal to a proportionate share of the Sub-Fund's Net Asset Value in accordance with the Prospectus.
The Sub-Fund’s Net Asset Value per Share is calculated by dividing the net assets attributable to the
redeemable participating shareholders by the total number of outstanding redeemable participating
shares. Investment positions are valued in accordance with the valuation methodology laid out in the
Prospectus for the purpose of determining the Net Asset Value per Share for subscriptions and
redemptions.
l) Transaction Costs
Transaction costs are defined as the incremental costs that are directly attributable to the acquisition,
issue or disposal of a financial asset or a financial liability. An incremental cost is one that would not
have been incurred if the entity had not acquired, issued or disposed of the financial instrument. When
a financial asset or a financial liability is recognised initially, an entity shall measure it at its fair value
through profit or loss plus transaction costs that are directly attributable to the acquisition or issue of
the financial asset or financial liability. Transaction costs on purchases and sales of securities and
other investments are included in net gain/(loss) on investment activities in the Statement of
Comprehensive Income account and transaction costs on custody transactions are included in
operating expenses in the Statement of Comprehensive Income for each Fund. These costs are
separately identifiable transaction costs and the total costs incurred by each Sub-Fund during the
period are disclosed in Note 5.
m) Distribution Policy
The ICAV may issue either or both distributing share classes and accumulating share classes.The
Directors may declare dividends in respect of Shares in any Distributing Class out of net income
(including dividend and interest income) and the excess of realised and unrealised capital gains over
realised and unrealised losses in respect of investments of the Sub-Fund. In the case of Sub-Funds
with accumulating share classes, the Directors have determined to accumulate all net investment
income and net realised capital gains attributable to such Accumulating Classes and therefore do not
intend to declare dividends in respect of Shares in such classes.
n) Significant Accounting Estimates and Assumptions
Critical accounting estimates are those which involve the most complex or subjective judgments or
assessments. The areas of the ICAV’s business that typically require such estimates are the
determination of the fair value of financial assets and liabilities as outlined in Note 1(a).
The Directors also made the assessment on the functional and presentation currency as outlined in
note 1(b) and have also made the assessment on uncertain tax liabilities with respect to foreign capital
gains taxes as outlined in Note 2.
20
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
2. Taxation
Under current law and practice the ICAV qualifies as an investment undertaking as defined in Section
739B of the Taxes Consolidation Act, 1997, as amended, (the “Taxes Consolidation Act”). On that
basis, it is generally not chargeable to Irish tax on its income and gains so long as the ICAV is nonresident for tax purposes in Ireland. However, Irish tax may arise on the happening of a “chargeable
event”. A chargeable event includes any distribution payments to shareholders or any encashment,
redemption, cancellation or transfer of share and the holding of shares at the end of each eight year
period beginning with the acquisition of such shares.
No Irish tax will arise on the ICAV in respect of chargeable events in respect of:
o a shareholder who is neither Irish resident nor ordinarily resident in Ireland for tax purposes, at
the time of the chargeable event, provided appropriate valid declarations in accordance with
the provisions of the Taxes Consolidation Act, are held by the ICAV; and
o
certain exempted Irish tax resident shareholders who have provided the ICAV with the
necessary signed statutory declarations.
There were no chargeable events during the period under review.
Dividends, interest and capital gains (if any) received on investments made by the ICAV may be
subject to withholding taxes imposed by the country from which the investments income/gains are
received and such taxes may not be recoverable by the ICAV and its shareholders. Withholding tax
and reclaims incurred on dividends are recorded on ex-date. Dividends receivable are shown net of
withholding taxes payable, if any, in the Condensed Statement of Financial Position.
The ICAV may be subject to taxes imposed on realised and unrealised gains on securities of certain
foreign countries in which the ICAV invests. The foreign tax expense, if any, is recorded on an accrual
basis and is included in “Capital gains taxes” in the Condensed Statement of Comprehensive Income.
The amount of foreign tax owed, if any, is included in “Capital gains tax payable” in the Condensed
Statement of Financial Position.
Capital gains, dividends and interest received may be subject to withholding taxes imposed by the country
of origin and such taxes may not be recoverable by the ICAV or its shareholders. The dividend
withholding tax charge for the period ended 31 March 2016 is presented in the Condensed Statement of
Comprehensive Income. There was no capital gains tax charge for the period ended 31 March 2016.
3. Share Capital & Net Asset Value per Share
Authorised
The authorised share capital of the ICAV is 500,000,300,002 Shares of no par value divided into
300,002 Subscriber Shares of no par value and 500,000,000,000 redeemable participating shares of
no par value. The Directors have the power to issue all of the shares of the ICAV on such terms as
they think fit.
Subscriber shares
The ICAV issued an additional 300,000 subscriber shares at €1 each for the purpose of the
registration of the ICAV, which have largely since been redeemed. The remaining 101 shares in issue
are legally and beneficially owned by F&C Asset Management plc (1) and F&C Asset Management
Limited (100) as at the period end. The subscriber shares entitle the holders to attend and vote at any
general meetings of the ICAV but do not entitle the holders to participate in the profits or assets of the
ICAV except for a return of capital on a winding-up. They do not form part of the Net Asset Value of
the ICAV and are thus disclosed in the financial statements by way of this note only.
Redeemable Participating Shares
Each of the Shares entitles the holder to attend and vote at meetings of the ICAV and to participate
equally in the profits and assets of the Sub-Fund to which the Shares relate, subject to any differences
between fees, charges and expenses applicable to different Classes. Each Shareholder shall have
one vote for each whole Share held. The liability of the Shareholders shall be limited to the amount, if
any, unpaid on the Shares respectively held by them, and the Shareholders shall not be liable for the
debts of the Sub-Fund. Minimum subscription and redemption amounts are specified in the relevant
Supplement for each Sub-Fund.
21
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
3. Share Capital & Net Asset Value per Share cont/d
The issued share capital, Net Asset Value and Net Asset Value per share at 31 March 2016 is as follows:
BMO MSCI
Europe ex-UK
Income Leaders
UCITS ETF
Class EUR
Distributing
Shares
BMO MSCI
Europe ex-UK
Income Leaders
(GBP Hedged)
UCITS ETF
Class GBP
Hedged
Distributing
Shares
BMO MSCI UK
Income Leaders
UCITS ETF
Class GBP
Distributing
Shares
BMO MSCI USA
Income Leaders
UCITS ETF
Class USD
Distributing
Shares
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF
Class GBP
Hedged
Distributing
Shares
-
-
-
-
-
300,000
540,000
300,000
600,000
240,000
-
-
-
-
-
300,000
540,000
300,000
600,000
240,000
GBP 7,593,028
USD 13,500,676
GBP 7,465,081
EUR 13,837,060
GBP 5,532,546
GBP 25.3101
USD 25.0013
GBP 24.8836
EUR 23.0618
GBP 23.0523
Subscriptions during the period
GBP 7,238,006
USD 13,097,039
GBP 7,343,737
EUR 13,545,446
GBP 5,761,349
Redemptions during the period
-
-
-
-
-
Shares in issue at the beginning of
the period
Shares issued
Shares redeemed
Shares in issue at the end of the
period
Net Asset Value
Net Asset Value per Share
22
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
3. Share Capital & Net Asset Value per Share cont/d
BMO Barclays 1-3
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
Distributing
Shares
BMO Barclays 3-7
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
Distributing
Shares
BMO Barclays 7-10
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
Distributing
Shares
BMO Barclays
Global High Yield
Bond
(GBP Hedged)
UCITS ETF
Distributing
Shares
-
-
-
-
40,000
60,000
60,000
100,000
-
-
-
-
40,000
60,000
60,000
100,000
Net Asset Value
GBP 4,021,718
GBP 6,109,612
GBP 6,191,204
GBP 9,652,337
Net Asset Value per Share
GBP 100.5429
GBP 101.8269
GBP 103.1867
GBP 96.5234
Subscriptions during the period
GBP 4,000,137
GBP 6,000,199
GBP 6,000,200
GBP 10,000,325
Redemptions during the period
-
-
-
-
Shares in issue at the beginning of the
period
Shares issued
Shares redeemed
Shares in issue at the end of the
period
23
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
4. Net Gain/(Loss) on Investment Activities
Period ended 31 March 2016
Gain/(Loss) on:
Investments
Foreign currency
Net gain/(loss) on investment activities
Gain/(Loss) on:
Investments
Foreign currency
Net gain/(loss) on investment activities
BMO MSCI UK
Income Leaders
UCITS ETF
GBP
BMO MSCI USA
Income Leaders
UCITS ETF
USD
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF
GBP
344,677
344,677
418,285
418,285
497,647
(368,337)
129,310
BMO MSCI
Europe ex-UK
Income Leaders
UCITS ETF
EUR
BMO MSCI
Europe ex-UK
Income Leaders
(GBP Hedged)
UCITS ETF
GBP
305,665
(1,828)
303,837
246,143
(473,580)
(227,437)
BMO Barclays
1-3 Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 3-7
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays 710 Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF
GBP
BMO Barclays
Global High Yield
Bond
(GBP Hedged)
UCITS ETF
GBP
310,374
(291,615)
18,759
542,842
(440,049)
102,793
585,461
(404,044)
181,417
290,033
(665,583)
(375,550)
24
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
5. Fees
Management Fees
All of the fees and expenses payable in respect of a Sub-Fund are paid as one single fee. This is referred
to as the “Total Expense Ratio” or “TER”. After deduction and payment of Directors’ fees and expenses
and the auditors’ fees and expenses, both of which are included in the TER, the balance of the TER is
paid to the Investment Manager. The Investment Manager is responsible for discharging all operational
expenses of the Sub-Funds from the amount received by it out of the TER, including but not limited to,
fees and expenses of the Investment Manager, Depositary, Administrator, Company Secretary, legal and
other professional advisers of the ICAV, all establishment costs of the ICAV and the Sub-Funds, listing of
shares on any stock exchange, costs of convening and holding Directors’ and Shareholders’ meetings,
costs and expenses arising from any licensing or other fees payable to any Index Provider or other
licensor of intellectual property, trademarks or service marks used by the Sub-Funds, share class
hedging costs and costs of preparing, printing, publishing and distributing the Prospectus, Supplements
annual and semi-annual reports and other documents to current and prospective investors.
The TER does not include extraordinary costs and certain ongoing costs and expenses including but not
limited to transaction charges, stamp duty or other taxes on the investments of the Sub-Funds, including
duties and charges for portfolio re-balancing, withholding taxes, commissions and brokerage fees
incurred with respect to the Sub-Fund’s investments, interest on borrowings and bank charges incurred in
negotiating, effecting or varying the terms of such borrowings, any commissions charged by
intermediaries in relation to an investment in the Sub-Fund and such extraordinary or exceptional costs
and expenses (if any) as may arise from time to time, such as material litigation in relation to the a SubFund or the ICAV, all of which will be paid separately out of the assets of the relevant Sub-Fund.
The TER is calculated and accrued daily from the Net Asset Value of each Sub-Fund and payable
monthly in arrears. The TER of each Sub-Fund of the ICAV is as listed in the relevant Supplement. If a
Sub-Fund’s expenses exceed the TER outlined above in relation to operating the Sub-Funds, the
Investment Manager will cover any shortfall from its own assets.
The TER payable in respect of each Sub-Fund is listed below.
Sub-Fund
TER
(% of NAV)
BMO MSCI UK Income Leaders UCITS ETF
0.35%
BMO MSCI USA Income Leaders UCITS ETF
0.35%
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
0.40%
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
0.35%
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
0.40%
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
0.30%
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
0.30%
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
0.30%
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
0.35%
25
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
5. Fees cont/d
Directors Fees
Included within the TER for each Sub-Fund are fees paid to Directors for their services during the period.
Directors fees earned during the period and payable as at 31 March 2016 are as follows:
BMO MSCI UK Income Leaders UCITS ETF
GBP
Fees
earned
during
the
period
(1,709)
BMO MSCI USA Income Leaders UCITS ETF
USD
(3,076)
Sub-Fund
Currency
Fees
payable at
31 March
2016
(1,709)
(3,076)
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
GBP
(1,877)
(1,877)
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
EUR
(2,589)
(2,589)
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
GBP
(1,497)
(1,497)
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
(1,301)
(1,301)
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
(1,953)
(1,953)
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
(1,954)
(1,954)
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
GBP
(3,092)
(3,092)
Transaction Costs
Transaction costs are any fees and expenses incurred in buying and selling securities or other investment
held by the Sub-Funds, e.g. brokerage costs and commissions and correspondence fees for transferring
securities or investments or other interests, unless otherwise specified in the Supplements to the
Prospectus.
Transaction costs on purchases and sales transactions during the period are included in net gain/(loss)
on investment activities in the Condensed Statement of Comprehensive Income and transaction costs on
custody transactions are included in operating expenses in the Condensed Statement of Comprehensive
Income for each Sub-Fund.
The Sub-Funds incurred transaction costs during the period as follows:
Sub-Fund
Currency
Cost
BMO MSCI UK Income Leaders UCITS ETF
GBP
41,765
BMO MSCI USA Income Leaders UCITS ETF
USD
6,781
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
GBP
5,539
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
EUR
9,559
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
GBP
6,956
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
1,143
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
1,074
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
965
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
GBP
1,063
26
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy
BMO UCITS ETF ICAV is exposed to a variety of financial risks in pursuing its stated investment objective
and policy such as: credit risk, liquidity risk and market risk (which in turn includes currency risk, interest
rate risk and price risk). The ICAV takes exposure to certain of these risks to generate investment returns
on its portfolio, although these risks can also potentially result in a reduction in the ICAV’s net assets. The
Investment Manager will use its best endeavours to minimise the potentially adverse effects of these risks
on the ICAV’s performance where it can do so while still managing the investments of the ICAV in a way
that is consistent with the ICAV’s investment objective and policy.
The ability of a Sub-Fund to achieve significant correlation between the performance of the Sub-Fund and
the Index it tracks may be affected by changes in securities markets, changes in the composition of the
Index, cash flows into and out of the Sub-Fund and the fees and expenses of the Sub-Fund. The SubFund will seek to track Index returns regardless of the current or projected performance of the Index or of
securities comprising the Index.
As a result, the Sub-Fund’s performance may be less favourable than that of a portfolio managed using
an active investment strategy. The structure and composition of the Index will affect the performance,
volatility and risk of the Index (in absolute terms and by comparison with other indices), and
consequently, the performance, volatility and risk of the Sub-Fund.
(a) Market price risk
Market price risk is defined as risk that the fair value of a financial instrument or its future cash flows will
fluctuate because of changes in market prices. Each Sub-Fund holding equity investments is directly
affected by movements in market prices.
The management of market risk is effected through asset allocation and diversification based on the SubFund’s investment objective as well as the Investment Manager’s developed investment process, which
includes in-depth research as well as continuing analysis of invested companies and the
macroeconomics of the invested areas.
The maximum risk arising from an investment in a financial instrument is determined by the fair value of
the financial instruments, except for short positions in derivatives and securities where the loss may
potentially be unlimited. The value of market price risk that the Sub-Funds are exposed to at 31 March
2016 is the fair value of investments as disclosed in the relevant Sub-Fund’s Schedule of Investments.
b) Foreign Currency risk
Currency risk is defined as the risk that the fair value or future cash flows of a financial instrument will
fluctuate because of changes in foreign exchange rates. Each Sub-Fund is exposed to currency risk as
monetary assets and liabilities of the Sub-Funds which may be denominated in a currency other than the
functional currency of the Sub-Funds. Currency risk on non-monetary assets i.e. equities, is included in
market price risk.
The fluctuations in the rate of exchange between the currency in which the asset or liability is
denominated and the functional currency could result in an appreciation or depreciation in the fair value
of that asset. The Investment Manager may attempt to mitigate this risk by using financial derivative
instruments. In accordance with each Sub-Fund’s policy, the Investment Manager monitors each SubFund’s currency exposures on a daily basis and reports monthly to the designated person and to the
Board of Directors, which reviews the information provided by the Investment Manager on any significant
exposures at its periodic meetings.
A Sub-Fund may use financial derivative instruments on behalf of a specific Class in order to hedge
some or all of the foreign exchange risk for such Class. A Sub-Fund that hedges foreign exchange risk
for any Class may enter into forward currency contracts in order to hedge some or all of the foreign
exchange risk for the relevant Class. To the extent that hedging is successful, the performance of the
relevant Class is likely to move in line with the performance of the underlying assets. The use of hedged
currency Classes may substantially limit holders of the relevant classes from benefiting if the currency of
each of these Classes falls against the Base Currency and/or the currency in which the assets of the
Sub-Fund are denominated.
27
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy cont/d
b) Foreign Currency risk cont/d
The foreign currency risk exposure for each Sub-Fund as at 31 March 2016 is as follow:
Sub-Fund
Currency
Foreign
Currency
exposure
BMO MSCI UK Income Leaders UCITS ETF
GBP
-
BMO MSCI USA Income Leaders UCITS ETF
USD
-
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
GBP
(10,249)
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
EUR
7,632
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
GBP
(8,145)
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
4,029,134
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
6,219,461
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
6,115,563
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
GBP
9,267,193
c) Interest rate risk
Interest rate risk is the risk that the fair value or future cash flows of a financial instrument will fluctuate
because of changes in market interest rates.
The ICAV is subject to interest rate risk on its debt securities and cash and may have an indirect
exposure to interest rate risk through investments into financial derivative instruments whereby the value
of the underlying asset may fluctuate as a result of a change in interest rates. Generally, the value of
fixed income securities will change inversely with changes in interest rates, the effect being greater the
longer the maturity of the security.
The management of interest rate risk is effected by the Investment Manager.
The value of cash and interest-bearing debt securities, on which there may be interest rate risk exposure,
as at 31 March 2016 is as follows for each Sub-Fund:
Sub-Fund
Currency
Value of assets
exposed to
interest rate risk
BMO MSCI UK Income Leaders UCITS ETF
GBP
32,203
BMO MSCI USA Income Leaders UCITS ETF
USD
137,766
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
GBP
103,133
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
EUR
72,122
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
GBP
34,342
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
4,016,823
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
6,095,890
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
GBP
6,160,034
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
GBP
9,467,328
28
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy cont/d
d) Credit risk
Credit risk is the risk that an issuer or counterparty may be unable to meet a commitment that it has
entered into with the ICAV. The Sub-Funds have exposure to counterparty risk on debt securities,
forward currency contracts and cash balances held with the Depositary. Investments in equity securities
are not exposed to credit risk except for exposure to the Depository.
The ICAV’s Depositary is State Street Custodial Services (Ireland) Limited. All of the assets and cash of
the Sub-Funds are held within the custodial network of the Depositary. Bankruptcy or insolvency of the
Depositary or of its parent company, State Street Corporation, may cause the Sub-Funds’ rights with
respect to its investments in debt, equity securities and cash held by the Depositary to be delayed or
limited. The credit rating of State Street Corporation as at 31 March 2016 is A2.
All securities, cash at bank balances and bank overdrafts and cash or non-cash collateral received by the
Sub-Funds are held by the Depositary through its affiliates in the State Street group, or through a subdepositary within the State Street custodial network. Derivatives, cash deposited as margin or other
similar investments/monies deposited by or entered into on behalf of the ICAV with a counterparty,
options exchange, clearing broker or other parties are not held within the State Street custodial network.
The Depositary is therefore not liable in any way for the default of any counterparty.
The Investment Manager uses forward currency contracts to hedge against foreign currency exposure.
These have a similar credit or default risk to a regular currency spot transaction. Forward currency
contracts are ‘Over the Counter’ traded and therefore have counterparty risk which arises from the
potential failure of counterparties to meet their obligations under the contract or arrangement. Forward
contracts also carry roll risk, which is the risk that when a forward contract expires, a new forward to
replace the expired one cannot be put into place at the same cost or on the same hedge basis. This may
occur due to changes in market liquidity or interest rates, resulting in a potential slippage or loss in the
hedge position due to the contract expiration and roll.
The credit rating of the counterparties involved, as of 31 March 2016, are: State Street Bank and Trust
Company - Aa2, BNP Paribas SA - A2, Citibank - A1, HSBC Bank Plc - Aa2, Rabobank Nederland - Aa2
and Royal Bank of Canada - Aa3.
e) Liquidity risk
The Sub-Funds’ assets generally comprise of highly liquid debt and equity securities. Liquidity is a factor
that the Investment Manager considers when investing in any financial instrument. The main financial
liability of the relevant Sub-Fund is the redemption of redeemable participating shares. As the Sub-Funds
are open ended, the relevant Sub-Fund is required to redeem shares on request by shareholders at a
price equivalent to the Net Asset Value per share, subject to settlement and dealing restrictions laid down
in the Prospectus.
The Investment Manager manages each Sub-Fund's liquidity position on a daily basis. Also the
Investment Manager is able, through the provisions in the Prospectus, to defer the processing of
redemptions of significant size to facilitate an orderly disposition of securities in order to protect the
interest of the remaining shareholders. The maximum number of redeemable participating shares
available for redemption on any given day can be restricted by the relevant Sub-Fund to 10% of the total
number of shares in issue.
29
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy cont/d
f) Fair Value Hierarchy
The ICAV is required to classify fair value measurements using a fair value hierarchy that reflects the
significance of the inputs used in making the measurements.
The standard requires an entity to provide a quantitative and qualitative analysis of those instruments
recognised at fair value based on a three-level measurement hierarchy. The fair value hierarchy has the
following levels:
• Level 1 - Quoted prices (unadjusted) in active markets for identical assets or liabilities.
• Level 2 - Inputs other than quoted prices included within level 1 that are observable for the asset or
liability, either directly (that is, as prices) or indirectly (that is, derived from prices).
• Level 3 - Inputs for the asset or liability that are not based on observable market data (that is,
unobservable inputs).
Furthermore, for those instruments which have significant unobservable inputs (Level 3), the amendment
requires disclosures on the transfers into and out of Level 3, a reconciliation of the opening and closing
balances, total gains and losses for the period split between those recognised in the Condensed
Statement of Comprehensive Income and recognised through the statement of total recognised gains
and losses, purchases, sales issues and settlements. The level in the fair value hierarchy within which
the fair value measurement is categorised in its entirety is determined on the basis of the lowest level
input that is significant to the fair value measurement in its entirety.
For this purpose, the significance of an input is assessed against the fair value measurement in its
entirety. If a fair value measurement uses observable inputs that require significant adjustment based on
unobservable inputs, that measurement is a Level 3 measurement. Assessing the significance of a
particular input to the fair value measurement in its entirety requires judgement, considering factors
specific to the asset or liability.
The determination of what constitutes ‘observable’ requires significant judgement by the Sub-Funds. The
Sub-Funds consider observable data to be that market data that is readily available, regularly distributed
or updated, reliable and verifiable, not proprietary, and provided by independent sources that are actively
involved in the relevant market.
The following tables analyse within the fair value hierarchy the Sub-Funds’ financial assets and financial
liabilities measured at fair value at 31 March 2016.
BMO MSCI UK Income Leaders UCITS ETF
Financial Assets:
Equities
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
7,571,623
7,571,623
-
-
7,571,623
7,571,623
Level 1
USD
Level 2
USD
Level 3
USD
Total
USD
13,435,297
13,435,297
-
-
13,435,297
13,435,297
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
7,457,123
7,457,123
211,799
211,799
-
7,457,123
211,799
7,668,922
BMO MSCI USA Income Leaders UCITS ETF
Financial Assets:
Equities
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Financial Assets:
Equities
Forward currency contracts*
30
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy cont/d
f) Fair Value Hierarchy cont/d
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
Financial Assets:
Equities
Level 1
EUR
Level 2
EUR
Level 3
EUR
Total
EUR
13,829,448
13,829,448
-
-
13,829,448
13,829,448
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
Financial Assets and Liabilities:
Equities
Forward currency contracts*
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
5,542,102
5,542,102
(75,945)
(75,945)
-
5,542,102
(75,945)
5,466,157
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Financial Assets and Liabilities:
Bonds
Forward currency contracts*
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
-
3,999,663
71,334
4,070,997
-
3,999,663
71,334
4,070,997
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Financial Assets and Liabilities:
Bonds
Forward currency contracts*
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
-
6,062,814
90,232
6,153,046
-
6,062,814
90,232
6,153,046
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Financial Assets and Liabilities:
Bonds
Forward currency contracts*
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
-
6,129,572
124,648
6,254,220
-
6,129,572
124,648
6,254,220
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Financial Assets and Liabilities:
Bonds
Forward currency contracts*
Level 1
GBP
Level 2
GBP
Level 3
GBP
Total
GBP
-
9,404,405
162,124
9,566,529
-
9,404,405
162,124
9,566,529
*Represents net unrealised gain/(loss) which comprises of unrealised gains and unrealised losses.
31
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
6. Risks, Derivatives and Fair Value Hierarchy cont/d
f) Fair Value Hierarchy cont/d
Investments whose values are based on quoted market prices in active markets are classified within level
1. For the ICAV these include active listed equities and exchange traded derivatives.
Financial instruments that are not listed but are valued based on quoted market prices, dealer quotations
or alternative pricing sources supported by observable inputs are classified within level 2. These include
bonds and over the counter derivatives.
There were no transfers between levels of the fair value hierarchy during the period ended 31 March
2016. There were no level 3 securities held on the Sub-Funds as at 31 March 2016.
g) Exposure to derivatives
Exposure to derivatives is calculated using the commitment approach for the BMO MSCI UK Income
Leaders UCITS ETF, BMO MSCI USA Income Leaders UCITS ETF, BMO MSCI USA Income Leaders
(GBP Hedged) UCITS ETF, BMO MSCI Europe ex-UK Income Leaders UCITS ETF and BMO MSCI
Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF and using the relative Value at Risk (“VaR”)
approach for the BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF, BMO
Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF, BMO Barclays 7-10 Year Global
Corporate Bond (GBP Hedged) UCITS ETF and BMO Barclays Global High Yield Bond (GBP Hedged)
UCITS ETF as laid out in the relevant Supplement to the Prospectus for each Sub-Fund.
The commitment approach converts each Sub-Fund’s FDI positions into the equivalent positions in the
underlying assets. Sub-Funds using the commitment approach are required under the UCITS
Regulations to maintain any exposure to derivatives at a value measured by the commitment approach
equal to 100% or less of the Net Asset Value of the Sub-Fund.
Sub-Funds using the relative VaR approach are required under the UCITS Regulations to maintain a
VaR of no more than twice the VaR of the relevant Index. Sub-Funds using relative VaR do so on the
basis of a 1 month VaR calculated using a 99% confidence level and market data for at least the previous
250 trading days.
h) Leverage risk
It is not the intention of the ICAV that the Sub-Funds be leveraged for investment or efficient portfolio
management purposes. Any leverage resulting from the use of financial derivative instruments and
efficient portfolio management techniques are in accordance with the requirements of the Central Bank
and will not exceed 100% of the Net Asset Value of the relevant Sub-Fund.
7. Cash & Cash Equivalents
All cash & cash equivalents are held with State Street Bank and Trust Company. The long-term credit
rating of State Street Bank and Trust Company as at 31 March 2016 was Aa2.
32
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
8. Other receivables
As at 31 March 2016
Dividends receivable
Receivable for investments sold
BMO MSCI UK
Income Leaders
UCITS ETF
GBP
50,619
50,619
Interest receivable
Receivables for investments sold
BMO MSCI USA
Income Leaders
UCITS ETF
USD
11,122
11,122
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF GBP
6,109
6,109
BMO MSCI Europe
ex-UK Income
Leaders UCITS ETF
EUR
4,618
4,618
BMO MSCI Europe
ex-UK Income Leaders
(GBP Hedged) UCITS ETF
GBP
2,725
58,130
60,855
BMO Barclays
1-3 Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF GBP
20,563
224,628
245,191
BMO Barclays 3-7
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF GBP
46,221
523,367
569,588
BMO Barclays 7-10
Year Global
Corporate Bond
(GBP Hedged) UCITS
ETF GBP
60,515
201,857
262,372
BMO Barclays Global High
Yield Bond
(GBP Hedged)
UCITS ETF GBP
174,973
257,494
432,467
BMO MSCI USA
Income Leaders
UCITS ETF
USD
(7,626)
(2,373)
(73,510)
(83,509)
BMO MSCI USA
Income Leaders
(GBP Hedged)
UCITS ETF GBP
(266,766)
(4,933)
(1,619)
(39,765)
(313,083)
BMO MSCI Europe
ex-UK Income
Leaders UCITS ETF
EUR
(7,225)
(2,191)
(59,712)
(69,128)
BMO MSCI Europe
ex-UK Income Leaders
(GBP Hedged) UCITS ETF
GBP
(3,646)
(1,618)
(23,544)
(28,808)
BMO Barclays
1-3 Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF GBP
(297,606)
(2,146)
BMO Barclays 3-7
Year Global
Corporate Bond
(GBP Hedged)
UCITS ETF GBP
(614,791)
(3,564)
BMO Barclays 7-10
Year Global
Corporate Bond
(GBP Hedged) UCITS
ETF GBP
(312,605)
(3,581)
BMO Barclays Global High
Yield Bond
(GBP Hedged)
UCITS ETF GBP
(290,296)
(6,802)
(1,618)
(1,618)
(1,618)
(1,618)
9. Other payables
As at 31 March 2016
Payable for investments purchased
Management fees payable
Audit fees payable
Distributions payable
Payable for investments purchased
Management fees payable
Audit fees payable
Distributions payable
BMO MSCI UK
Income Leaders
UCITS ETF GBP
(4,182)
(1,618)
(55,617)
(61,417)
(10,260)
(26,125)
(38,046)
(110,866)
(311,630)
(646,098)
(355,850)
(409,582)
33
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
10. Related Party Disclosures
The Directors who are listed on page 3, the Investment Manager, F&C Management Limited, and
members of the BMO Group, of which the Investment Manager forms part, represent related parties for
the purposes of the accounting standards to which the ICAV is subject. Amounts earned by the Directors
and the Investment Manager during and payable at the period ended 31 March 2016 are included in the
TER for each Sub-Fund and are disclosed in Note 5.
Transactions with entities with significant influence
As at 31 March 2016, none of the shareholders is deemed to be a related party.
Transactions with key management personnel
The interests of the Directors in related parties are as follows:
Drew Newman is chief operating officer and director of Pyrford International Limited and chief operating
officer of LGM Investment Limited (both members of the BMO group of companies). Hugh Moir is Group
Head of Operations and IT at the Investment Manager. He is also a member of the BMO Group
Management Committee and a Director on the boards of the Investment Manager’s portfolio of regulated
and unregulated Luxembourg funds, Irish funds, and Cayman funds. Subhas Sen is Senior Vice
President, Chief Operating Officer and Director of BMO Asset Management Inc. (part of the BMO group
of companies).
During the period ended 31 March 2016, other than as disclosed above, no Director or connected person
of any Director has any interest, beneficial or non-beneficial, in the share capital of the ICAV or any
material interest in the ICAV or in any agreement or arrangement with the ICAV.
Significant shareholders
The following table details the number of shareholders with significant holdings (at least 20%) of the
relevant Sub-Fund and the percentage of that holding as at 31 March 2016.
Sub-Fund
Number of
significant
shareholders
Total holding as
at 31 Mar 2016
Aggregate
shareholding
as a % of the
Sub-Fund as
at 31 Mar
2016
BMO MSCI UK Income Leaders UCITS ETF
1
300,000
100.00%
BMO MSCI USA Income Leaders UCITS ETF
1
540,000
100.00%
BMO MSCI USA Income Leaders (GBP Hedged) UCITS
ETF
1
300,000
100.00%
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
1
600,000
100.00%
1
240,000
100.00%
1
40,000
100.00%
1
60,000
100.00%
1
60,000
100.00%
1
100,000
100.00%
BMO MSCI Europe ex-UK Income Leaders (GBP
Hedged) UCITS ETF
BMO Barclays 1-3 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays 3-7 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays 7-10 Year Global Corporate Bond (GBP
Hedged) UCITS ETF
BMO Barclays Global High Yield Bond (GBP Hedged)
UCITS ETF
34
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
10. Related Party Disclosures cont/d
Connected party transactions
Regulation 41(1) of the Central Bank UCITS Regulations states that “a responsible person shall ensure
that any transaction between a UCITS and a connected person is conducted a) at arm’s length; and b) in
the best interest of the shareholders of the UCITS”.
As required under Regulation 78 (4) of the Central Bank UCITS Regulations, the Directors are satisfied
that there are in place arrangements, evidenced by written procedures, to ensure that the obligations that
are prescribed by Regulation 41(1) are applied to all transactions with a connected party; and all
transactions with connected parties that were entered into during the period to which the report relates
complied with the obligations that are prescribed by Regulation 41(1).
11. Efficient Portfolio Management
The ICAV may, on behalf of each Sub-Fund, engage in techniques and instruments such as in financial
derivative instruments, repurchase/reverse repurchase and stock lending agreements for the purposes of
efficient portfolio management meaning the reduction of risk, including the risk of tracking error between
the performance of a Sub-Fund and the performance of the Index tracked by the relevant Sub-Fund, the
reduction of costs to the Sub-Funds, the generation of additional capital or income for the Sub-Fund and
hedging against market movements, currency exchange or interest rate risks, taking into account the risk
profile of each Sub-Fund and the general provisions of the UCITS Regulations. Such transactions may
include foreign exchange transactions which alter the currency characteristics of transferable securities
held by each Sub-Fund. No securities lending took place during the period ended 31 March 2016. There
were no such derivatives or repurchase/reverse repurchase transactions held for efficient portfolio
management purposes during the period ended 31 March 2016.
12. Distributions
The following distributions were declared by the Sub-Funds during the period ended 31 March 2016:
BMO MSCI UK Income Leaders UCITS ETF
GBP Distributing Shares
GBP Distributing Shares
Total
Value
GBP
55,617
12,078
67,695
Per Share
GBP
0.19
0.07
BMO MSCI USA Income Leaders UCITS ETF
USD Distributing Shares
USD Distributing Shares
Total
Value
USD
73,510
32,148
105,658
Per Share
USD
0.14
0.09
BMO MSCI USA Income Leaders
(GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
39,765
21,144
60,909
Per Share
GBP
0.13
0.09
BMO MSCI Europe ex-UK Income Leaders
UCITS ETF
EUR Distributing Shares
EUR Distributing Shares
Total
Value
EUR
59,712
3,864
63,576
Per Share
EUR
0.10
0.02
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
35
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
12. Distributions cont/d
The following distributions were declared by the Sub-Funds during the period ended 31 March 2016
cont/d:
BMO MSCI Europe ex-UK Income Leaders
(GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
23,544
2,340
25,884
Per Share
GBP
0.10
0.01
BMO Barclays 1-3 Year Global Corporate Bond
(GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
10,260
6,456
16,716
Per Share
GBP
0.26
0.16
BMO Barclays 3-7 Year Global Corporate Bond
(GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
26,125
16,614
42,739
Per Share
GBP
0.44
0.28
BMO Barclays 7-10 Year Global Corporate
Bond (GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
38,046
25,782
63,828
Per Share
GBP
0.63
0.43
BMO Barclays Global High Yield Bond
(GBP Hedged) UCITS ETF
GBP Hedged Distributing Shares
GBP Hedged Distributing Shares
Total
Value
GBP
110,866
74,250
185,116
Per Share
GBP
1.11
0.74
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
Ex-date
31 Mar 2016
14 Jan 2016
13. Soft Commissions & Directed Brokerage Services
The Investment Manager did not enter into any soft commission arrangements or directed brokerage
services on behalf of the Sub-Funds during the period ended 31 March 2016.
14. Exchange Rates
The rates of exchange ruling at 31 March 2016 were as follows:
GBP1 =
Currency
AUD
CAD
CHF
DKK
EUR
GBP
NOK
SEK
USD
Rate
1.8684
1.8591
1.3764
9.3970
1.2613
1.0000
11.8883
11.6518
1.4373
USD1 =
Currency
AUD
CAD
CHF
DKK
EUR
GBP
NOK
SEK
USD
Rate
1.0000
EUR1 =
Currency
AUD
CAD
CHF
DKK
EUR
GBP
NOK
SEK
USD
Rate
1.0913
7.4503
1.0000
9.4255
9.2380
-
36
BMO UCITS ETF ICAV
Notes to the Condensed Financial Statements for the period ended 31 March 2016 cont/d
15. Significant events during the period
BMO UCITS ETF ICAV was registered on 8 June 2015 and the Prospectus and Supplements to the
Prospectus for the ICAV were issued on 29 September 2015. All of the Directors were appointed on 8
June 2015, except Liam Miley who was appointed on 16 November 2015. The active Sub-Funds
launched on 5 November 2015.
There have been no other significant events during the period.
16. Significant events since period end
There have been no significant events affecting the ICAV since 31 March 2016 that require amendment
to or disclosure in the financial statements.
17. Comparative Figures
The active Sub-Funds launched on 5 November 2015. Accordingly, there are no figures from previous
financial periods available to use as comparatives for the figures in these financial stastements.
18. Reporting fund status
The Company has received confirmation from HM Revenue & Customs (HMRC) in the UK that HMRC
have granted reporting fund status with effect from 30 September 2015 in respect of all sub-funds for UK
tax purposes.
19. Approval of the Condensed Financial Statements
The financial statements were approved by the Board of Directors on 20 May 2016.
37
BMO UCITS ETF ICAV
BMO MSCI UK Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016
Fair Value
GBP
% of SubFund
25,182
TRANSFERABLE SECURITIES
Equities (99.72%)
Jersey (5.40%)
WPP Plc
409,711
5.40
45,922
10,511
12,750
8,613
79,680
9,971
78,837
20,140
27,541
13,536
10,654
142,071
108,228
142,603
73,298
38,564
40,867
15,260
35,099
16,640
69,935
19,663
13,557
10,652
43,996
United Kingdom (94.32%)
Aberdeen Asset Management Plc
Admiral Group Plc
Aggreko Plc
AstraZeneca Plc
BAE Systems Plc
British American Tobacco Plc
BT Group Plc
Diageo Plc
ICAP Plc
IMI Plc
Imperial Tobacco Group Plc
ITV Plc
Kingfisher Plc
Legal & General Group Plc
Marks & Spencer Group Plc
Meggitt Plc
Pearson Plc
Persimmon Plc
Rexam Plc
Rio Tinto Plc
Rolls-Royce Holdings Plc
Smiths Group Plc
Unilever Plc
Weir Group Plc
William Hill Plc
127,388
208,433
137,318
336,122
405,571
407,814
347,277
378,934
130,765
128,930
411,564
342,675
407,695
335,402
297,737
156,801
357,586
318,171
222,528
325,395
476,957
211,574
427,385
118,023
143,867
1.68
2.74
1.81
4.43
5.34
5.37
4.57
4.99
1.72
1.70
5.42
4.51
5.37
4.42
3.92
2.07
4.71
4.19
2.93
4.29
6.28
2.79
5.63
1.55
1.89
7,161,912
94.32
Total Equities
7,571,623
99.72
Total Transferable Securities
7,571,623
99.72
Fair Value
GBP
% of SubFund
7,571,623
99.72
21,405
0.28
7,593,028
100.00
Holding
Portfolio of Investments
Other Net Assets
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Current Assets
Total Assets
% of Total
Assets
98.92
1.08
100.00
Country classifications are based upon country of incorporation and/or country of domicile.
38
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016
Holding
205
862
1,297
88
TRANSFERABLE SECURITIES
Equities (99.52%)
Bermuda (0.15%)
Axis Capital Holdings Ltd
Marvell Technology Group Ltd
Ireland (1.11%)
Accenture Plc
Netherlands (0.07%)
Core Laboratories NV
179
Sweden (0.16%)
Autoliv Inc
955
233
837
Switzerland (1.30%)
Chubb Ltd
Garmin Ltd
TE Connectivity Ltd
1,298
898
424
142
370
1,576
650
5,707
2,486
1,251
136
970
182
439
254
1,342
3,469
665
378
682
308
295
3,911
263
10,582
263
557
8,600
448
1,780
2,541
2,044
349
241
324
387
972
United States (96.73%)
3M Co
Aflac Inc
Air Products & Chemicals Inc
Airgas Inc
Ameriprise Financial Inc
Amgen Inc
Analog Devices Inc
Apple Inc
Applied Materials Inc
Archer-Daniels-Midland Co
Assurant Inc
Automatic Data Processing Inc
Avery Dennison Corp
Becton Dickinson and Co
BlackRock Inc
Boeing Co
Bristol-Myers Squibb Co
CA Inc
Campbell Soup Co
Cardinal Health Inc
Celanese Corp
CH Robinson Worldwide Inc
Chevron Corp
Church & Dwight Co Inc
Cisco Systems Inc
Clorox Co
Coach Inc
Coca-Cola Co
Coca-Cola Enterprises Inc
Colgate-Palmolive Co
Corning Inc
CSX Corp
Cummins Inc
Darden Restaurants Inc
Dover Corp
Dr Pepper Snapple Group Inc
Eaton Corp PLC
Fair Value
USD
% of SubFund
11,369
8,887
0.08
0.07
20,256
0.15
149,674
1.11
9,892
0.07
21,208
0.16
113,788
9,311
51,827
0.84
0.07
0.39
174,926
1.30
216,286
56,700
61,077
20,113
34,784
236,290
38,473
622,006
52,653
45,424
10,492
87,019
13,124
66,649
86,505
170,353
221,600
20,475
24,113
55,890
20,174
21,898
373,109
24,243
301,270
33,154
22,330
398,954
22,732
125,757
53,081
52,633
38,369
15,978
20,843
34,606
60,808
1.60
0.42
0.45
0.15
0.26
1.75
0.29
4.61
0.39
0.34
0.08
0.64
0.10
0.49
0.64
1.26
1.64
0.15
0.18
0.41
0.15
0.16
2.76
0.18
2.23
0.25
0.17
2.96
0.17
0.93
0.39
0.39
0.28
0.12
0.15
0.26
0.45
39
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Holding
236
1,881
2,077
4,007
1,348
8,288
566
216
506
565
1,249
306
476
225
217
305
371
2,674
1,546
587
3,758
685
9,895
1,935
163
830
5,762
1,360
323
407
169
829
278
484
583
1,925
821
682
160
1,115
1,087
683
593
234
1,960
422
12,428
972
341
782
629
541
288
628
370
199
415
494
TRANSFERABLE SECURITIES cont/d
Equities (99.52%) cont/d
United States (96.73%) cont/d
Eaton Vance Corp
EI du Pont de Nemours & Co
Eli Lilly & Co
EMC Corp
Emerson Electric Co
Exxon Mobil Corp
Fastenal Co
GameStop Corp
Gap Inc
General Dynamics Corp
General Mills Inc
Genuine Parts Co
H&R Block Inc
Hasbro Inc
Helmerich & Payne Inc
Hershey Co
HollyFrontier Corp
Home Depot Inc
Honeywell International Inc
Hormel Foods Corp
HP Inc
Illinois Tool Works Inc
Intel Corp
International Business Machines Corp
International Flavors & Fragrances Inc
Interpublic Group of Cos Inc
Johnson & Johnson
Johnson Controls Inc
KLA-Tencor Corp
Kohl's Corp
L-3 Communications Holdings Inc
Las Vegas Sands Corp
Leggett & Platt Inc
Linear Technology Corp
Lockheed Martin Corp
Lowe's Cos Inc
LyondellBasell Industries NV
Macy's Inc
ManpowerGroup Inc
Marathon Petroleum Corp
Marsh & McLennan Cos Inc
Mattel Inc
Maxim Integrated Products Inc
McCormick & Co Inc
McDonald's Corp
Mead Johnson Nutrition Co
Microsoft Corp
Monsanto Co
Murphy Oil Corp
National Oilwell Varco Inc
NetApp Inc
Newell Brands Inc
Nordstrom Inc
Norfolk Southern Corp
Northrop Grumman Corp
Oceaneering International Inc
OGE Energy Corp
Omnicom Group Inc
Fair Value
USD
% of SubFund
7,911
119,105
149,565
106,787
73,304
692,794
27,734
6,854
14,876
74,224
79,124
30,404
12,576
18,023
12,742
28,087
13,104
356,792
173,229
25,382
46,299
70,171
320,103
293,056
18,545
19,049
623,448
52,999
23,518
18,970
20,027
42,843
13,455
21,567
129,134
145,819
70,261
30,069
13,027
41,456
66,079
22,962
21,811
23,278
246,333
35,857
686,398
85,283
8,590
24,320
17,165
23,961
16,476
52,281
73,223
6,615
11,881
41,116
0.06
0.88
1.11
0.79
0.54
5.13
0.21
0.05
0.11
0.55
0.59
0.23
0.09
0.13
0.09
0.21
0.10
2.64
1.28
0.19
0.34
0.52
2.37
2.17
0.14
0.14
4.62
0.39
0.17
0.14
0.15
0.32
0.10
0.16
0.96
1.08
0.52
0.22
0.10
0.31
0.49
0.17
0.16
0.17
1.83
0.27
5.08
0.63
0.06
0.18
0.13
0.18
0.12
0.39
0.54
0.05
0.09
0.30
40
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Fair Value
USD
% of SubFund
30,991
8,282
35,539
313,180
380,400
96,808
62,992
68,098
23,433
467,932
42,941
49,591
168,199
77,380
16,537
12,623
30,826
24,712
194,184
22,014
32,175
32,405
14,218
28,616
25,181
38,493
102,192
17,278
122,534
19,152
122,900
74,811
31,130
143,349
175,876
65,808
45,915
29,763
153,148
229,510
22,061
20,100
27,778
24,758
73,501
0.23
0.06
0.26
2.32
2.82
0.72
0.47
0.50
0.17
3.47
0.32
0.37
1.25
0.57
0.12
0.09
0.23
0.18
1.44
0.16
0.24
0.24
0.11
0.21
0.19
0.29
0.76
0.13
0.91
0.14
0.91
0.55
0.23
1.06
1.30
0.49
0.34
0.22
1.13
1.70
0.16
0.15
0.21
0.18
0.54
13,059,341
96.73
Total Equities
13,435,297
99.52
Total Transferable Securities
13,435,297
99.52
Holding
279
178
658
3,056
12,834
1,118
565
595
594
5,685
1,222
1,052
3,289
631
286
271
271
268
2,633
639
585
308
1,289
343
1,370
524
1,242
548
2,134
261
1,694
641
848
1,802
1,757
1,026
709
721
1,818
3,351
467
1,042
119
522
898
TRANSFERABLE SECURITIES cont/d
Equities (99.52%) cont/d
United States (96.73%) cont/d
Parker-Hannifin Corp
Patterson Cos Inc
Paychex Inc
PepsiCo Inc
Pfizer Inc
Phillips 66
PPG Industries Inc
Praxair Inc
Principal Financial Group Inc
Procter & Gamble Co
Progressive Corp
Public Service Enterprise Group Inc
Qualcomm Inc
Raytheon Co
ResMed Inc
Robert Half International Inc
Rockwell Automation Inc
Rockwell Collins Inc
Schlumberger Ltd
Seagate Technology Plc
St Jude Medical Inc
Stanley Black & Decker Inc
Staples Inc
Starwood Hotels & Resorts Worldwide Inc
Symantec Corp
T Rowe Price Group Inc
Target Corp
TD Ameritrade Holding Corp
Texas Instruments Inc
Tiffany & Co
Time Warner Inc
Travelers Cos Inc
Tyco International Plc
Union Pacific Corp
United Technologies Corp
Valero Energy Corp
VF Corp
Viacom Inc
Walgreens Boots Alliance Inc
Wal-Mart Stores Inc
Western Digital Corp
Western Union Co
WW Grainger Inc
Xilinx Inc
Yum! Brands Inc
41
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Portfolio of Investments
Other Net Assets
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Current Assets
Total Assets
Fair Value
USD
% of SubFund
13,435,297
99.52
65,379
0.48
13,500,676
100.00
% of Total
Assets
98.90
1.10
100.00
Country classifications are based upon country of incorporation and/or country of domicile.
42
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Holding
150
719
TRANSFERABLE SECURITIES
Equities (99.89%)
Bermuda (0.15%)
Axis Capital Holdings Ltd
Marvell Technology Group Ltd
2,106
Curacao (1.45%)
Schlumberger Ltd
1,044
773
499
706
Ireland (1.97%)
Accenture Plc
Eaton Corp Plc
Seagate Technology Plc
Tyco International Plc
74
638
770
196
645
891
1,455
147
254
310
1,464
3,239
200
1,093
245
550
303
550
1,628
240
246
94
3,004
187
184
248
2,118
1,223
473
546
7,882
1,539
134
679
Netherlands (0.58%)
Core Laboratories NV
LyondellBasell Industries NV
Switzerland (1.30%)
Chubb Ltd
Garmin Ltd
TE Connectivity Ltd
United States (94.44%)
Phillips 66
Walgreens Boots Alliance Inc
Autoliv Inc
Dover Corp
Dr Pepper Snapple Group Inc
EI du Pont de Nemours & Co
EMC Corp
Eaton Vance Corp
Emerson Electric Co
Celanese Corp
Cardinal Health Inc
Campbell Soup Co
CA Inc
CSX Corp
CH Robinson Worldwide Inc
Genuine Parts Co
WW Grainger Inc
HP Inc
Hasbro Inc
Helmerich & Payne Inc
Hershey Co
Home Depot Inc
Honeywell International Inc
Hormel Foods Corp
Illinois Tool Works Inc
Intel Corp
International Business Machines Corp
International Flavors & Fragrances Inc
Interpublic Group of Cos Inc
Fair Value
GBP
% of SubFund
5,788
5,157
0.08
0.07
10,945
0.15
108,063
1.45
83,823
33,646
11,960
18,032
1.12
0.45
0.16
0.24
147,461
1.97
5,788
37,988
0.07
0.51
43,776
0.58
63,832
5,449
27,788
0.86
0.07
0.37
97,069
1.30
53,679
85,278
12,118
11,368
19,286
64,497
60,057
4,664
41,354
11,165
31,359
13,448
11,782
29,167
12,395
17,006
15,267
25,749
10,421
7,517
15,890
196,624
95,344
14,230
38,915
177,405
162,168
10,607
10,842
0.72
1.14
0.16
0.15
0.26
0.86
0.81
0.06
0.55
0.15
0.42
0.18
0.16
0.39
0.17
0.23
0.2
0.35
0.14
0.10
0.21
2.63
1.28
0.19
0.52
2.38
2.17
0.14
0.15
43
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Holding
4,622
1,082
2,787
1,063
373
205
352
155
770
103
997
2,005
4,478
521
1,260
289
109
342
713
6,643
446
184
405
449
998
735
499
289
346
169
405
450
225
150
542
2,433
10,312
476
415
489
4,544
976
845
2,511
503
289
623
255
320
130
665
235
1,666
399
462
1,532
525
123
TRANSFERABLE SECURITIES cont/d
Equities (99.89%) cont/d
United States (94.44%) cont/d
Johnson & Johnson
Johnson Controls Inc
Bristol-Myers Squibb Co
Boeing Co
H&R Block Inc
BlackRock Inc
Becton Dickinson and Co
Avery Dennison Corp
Automatic Data Processing Inc
Assurant Inc
Archer-Daniels-Midland Co
Applied Materials Inc
Apple Inc
Analog Devices Inc
Amgen Inc
Ameriprise Financial Inc
Airgas Inc
Air Products & Chemicals Inc
Aflac Inc
Exxon Mobil Corp
Fastenal Co
GameStop Corp
Gap Inc
General Dynamics Corp
General Mills Inc
Monsanto Co
Norfolk Southern Corp
Northrop Grumman Corp
OGE Energy Corp
Oceaneering International Inc
Omnicom Group Inc
PPG Industries Inc
Parker-Hannifin Corp
Patterson Cos Inc
Paychex Inc
PepsiCo Inc
Pfizer Inc
Praxair Inc
T Rowe Price Group Inc
Principal Financial Group Inc
Procter & Gamble Co
Progressive Corp
Public Service Enterprise Group Inc
Qualcomm Inc
Raytheon Co
Murphy Oil Corp
National Oilwell Varco Inc
KLA-Tencor Corp
Kohl's Corp
L-3 Communications Holdings Inc
Las Vegas Sands Corp
Leggett & Platt Inc
Eli Lilly & Co
Linear Technology Corp
Lockheed Martin Corp
Lowe's Cos Inc
Macy's Inc
ManpowerGroup Inc
Fair Value
GBP
% of SubFund
347,947
29,337
123,868
93,883
6,856
48,575
37,181
7,776
48,060
5,529
25,187
29,546
339,568
21,456
131,436
18,903
10,741
34,276
31,322
386,344
15,205
4,062
8,284
41,039
43,988
44,869
28,903
39,792
6,892
3,908
23,453
34,906
17,389
4,856
20,367
173,475
212,656
37,903
21,211
13,422
260,224
23,862
27,714
89,344
42,916
5,065
13,480
12,918
10,377
10,718
23,911
7,913
83,469
12,370
71,199
80,742
16,105
6,968
4.66
0.39
1.66
1.26
0.09
0.65
0.50
0.10
0.64
0.07
0.34
0.40
4.55
0.29
1.76
0.25
0.14
0.46
0.42
5.18
0.20
0.05
0.11
0.55
0.59
0.60
0.39
0.53
0.09
0.05
0.31
0.47
0.23
0.07
0.27
2.32
2.85
0.51
0.28
0.18
3.49
0.32
0.37
1.20
0.58
0.07
0.18
0.17
0.14
0.14
0.32
0.11
1.12
0.17
0.95
1.08
0.22
0.09
44
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Fair Value
GBP
% of SubFund
22,557
36,839
13,263
11,797
13,427
134,137
19,450
382,843
9,209
13,743
9,155
9,373
7,454
17,253
127,613
13,729
18,062
18,300
8,403
16,369
14,220
208,683
14,046
167,953
18,945
12,942
222,737
12,320
69,948
28,720
21,570
8,903
9,828
55,987
67,676
119,180
10,926
67,387
41,250
78,981
98,060
25,682
35,879
16,198
11,327
13,860
41,002
12,720
6,635
0.30
0.49
0.18
0.16
0.18
1.80
0.26
5.13
0.12
0.18
0.12
0.13
0.10
0.23
1.71
0.18
0.24
0.25
0.11
0.22
0.19
2.80
0.19
2.25
0.25
0.17
2.98
0.17
0.94
0.39
0.29
0.12
0.13
0.75
0.91
1.60
0.15
0.90
0.56
1.06
1.31
0.34
0.48
0.22
0.15
0.19
0.55
0.17
0.09
7,049,809
94.44
Total Equities
7,457,123
99.89
Total Transferable Securities
7,457,123
99.89
Holding
872
871
567
461
194
1,534
329
9,963
485
446
230
233
230
218
2,678
214
472
250
1,095
282
1,112
3,144
219
8,479
216
464
6,901
349
1,423
1,976
282
193
448
978
1,694
1,028
214
1,335
508
1,427
1,408
570
804
564
844
420
720
387
270
TRANSFERABLE SECURITIES cont/d
Equities (99.89%) cont/d
United States (94.44%) cont/d
Marathon Petroleum Corp
Marsh & McLennan Cos Inc
Mattel Inc
Maxim Integrated Products Inc
McCormick & Co Inc
McDonald's Corp
Mead Johnson Nutrition Co
Microsoft Corp
NetApp Inc
Newell Brands Inc
Nordstrom Inc
ResMed Inc
Robert Half International Inc
Rockwell Automation Inc
Wal-Mart Stores Inc
Rockwell Collins Inc
St Jude Medical Inc
Stanley Black & Decker Inc
Staples Inc
Starwood Hotels & Resorts Worldwide Inc
Symantec Corp
Chevron Corp
Church & Dwight Co Inc
Cisco Systems Inc
Clorox Co
Coach Inc
Coca-Cola Co
Coca-Cola Enterprises Inc
Colgate-Palmolive Co
Corning Inc
Cummins Inc
Darden Restaurants Inc
TD Ameritrade Holding Corp
Target Corp
Texas Instruments Inc
3M Co
Tiffany & Co
Time Warner Inc
Travelers Cos Inc
Union Pacific Corp
United Technologies Corp
VF Corp
Valero Energy Corp
Viacom Inc
Western Union Co
Xilinx Inc
Yum! Brands Inc
Western Digital Corp
HollyFrontier Corp
45
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Financial Derivative Instruments (2.84%)
Forward Currency Contracts (2.84%)
Settlement Date
05/04/2016
Currency Bought
Amount Bought
Currency Sold
Amount Sold
Unrealised
Gain
GBP
GBP
7,002,289
USD
9,760,000
211,799
2.84
211,799
2.84
Fair Value
GBP
% of SubFund
Portfolio of Investments
7,668,922
102.73
Other Net Liabilities
(203,841)
(2.73)
Net Assets
7,465,081
100.00
Net unrealised gain on foreign currency exchange contracts
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Over the counter financial derivative instruments
Current Assets
Total Assets
% of SubFund
% of Total
Assets
95.87
2.72
1.41
100.00
The counterparty for the forward currency contracts is Rabobank Nederland.
Country classifications are based upon country of incorporation and/or country of domicile.
46
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016
Holding
1,170
TRANSFERABLE SECURITIES
Equities (99.94%)
Austria (0.25%)
voestalpine AG
6,384
1,571
988
Belgium (5.69%)
Anheuser-Busch InBev SA
Proximus SA
Umicore SA
40
70
1,232
1,464
3,475
1,168
1,171
1,049
4,615
1,530
20,135
1,922
1,751
781
9,013
5,741
1,589
4,934
459
9,453
9,635
1,992
10,002
1,442
621
691
1,974
2,261
7,975
72,623
21,677
Denmark (1.06%)
AP Moeller – Maersk A/S (Class A)
AP Moeller - Maersk A/S (Class B)
Tryg A/S
Finland (3.92%)
Elisa OYJ
Kone OYJ
Metso OYJ
Nokian Renkaat OYJ
Orion OYJ
Sampo OYJ
Wartsila OYJ Abp
France (15.12%)
AXA SA
Cie Generale des Etablissements Michelin
Eutelsat Communications SA
Kering
Sanofi
Schneider Electric SE
SCOR SE
Vinci SA
Germany (19.64%)
Axel Springer SE
BASF SE
Daimler AG
Deutsche Boerse AG
Deutsche Post AG
Evonik Industries AG
Hannover Rueck SE
Hugo Boss AG
K+S AG
ProSiebenSat.1 Media SE
Siemens AG
Italy (3.08%)
Enel SpA
Snam SpA
Fair Value
EUR
% of SubFund
34,404
0.25
697,452
47,185
43,225
5.04
0.34
0.31
787,862
5.69
44,884
80,708
21,017
0.33
0.58
0.15
146,609
1.06
50,025
147,201
24,493
36,324
30,474
192,630
60,848
0.36
1.07
0.18
0.26
0.22
1.39
0.44
541,995
3.92
416,593
172,846
49,711
122,695
638,661
318,855
49,577
323,029
3.01
1.25
0.36
0.89
4.62
2.30
0.36
2.33
2,091,967
15.12
21,743
626,734
649,110
149,380
244,249
38,018
63,591
39,829
40,595
102,163
742,871
0.16
4.53
4.69
1.08
1.77
0.27
0.46
0.29
0.29
0.74
5.36
2,718,283
19.64
283,085
119,332
2.05
0.86
47
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Fair Value
EUR
Holding
11,451
400
3,319
4,881
890
8,591
10,248
16,772
2,069
11,516
7,755
1,853
4,537
5,341
6,370
2,221
3,270
56,572
11,130
1,120
1,870
3,038
4,026
2,477
9,795
4,288
2,432
4,710
11,016
3,239
3,930
4,111
26,850
TRANSFERABLE SECURITIES cont/d
Equities (99.94%) cont/d
Italy (3.08%) cont/d
UnipolSai SpA
Luxembourg (1.22%)
RTL Group SA
SES SA
Tenaris SA
Netherlands (7.36%)
Boskalis Westminster
Koninklijke Ahold NV
RELX NV
Unilever NV
Norway (2.61%)
Gjensidige Forsikring ASA
Statoil ASA
Telenor ASA
Yara International ASA
Portugal (0.36%)
Galp Energia SGPS SA
Spain (4.90%)
Abertis Infraestructuras SA
Distribuidora Internacional de Alimentacion SA
Enagas SA
Endesa SA
Iberdrola SA
Mapfre SA
Red Electrica Corp SA
Zardoya Otis SA
Sweden (8.09%)
Alfa Laval AB
Atlas Copco AB
Electrolux AB
Hennes & Mauritz AB
Husqvarna AB
Investment AB Kinnevik
Investor AB
Sandvik AB
Securitas AB
Skanska AB
SKF AB
Telia Co AB
% of SubFund
23,291
0.17
425,708
3.08
29,776
85,414
53,447
0.21
0.62
0.39
168,637
1.22
30,745
169,844
157,256
660,565
0.22
1.23
1.14
4.77
1,018,410
7.36
30,973
159,199
110,169
61,219
0.22
1.15
0.80
0.44
361,560
2.61
50,134
0.36
77,177
29,085
58,668
55,165
331,569
21,136
85,456
19,130
0.56
0.21
0.42
0.40
2.40
0.15
0.62
0.14
677,386
4.90
43,705
83,414
57,273
287,022
27,549
60,629
146,531
100,167
47,158
78,830
65,238
122,566
0.32
0.60
0.41
2.07
0.20
0.44
1.06
0.72
0.34
0.57
0.47
0.89
1,120,082
8.09
48
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Fair Value
EUR
% of SubFund
389,554
98,112
40,198
169,367
70,023
708,762
581,275
59,500
649,179
109,859
12,339
128,795
351,877
317,571
2.82
0.71
0.29
1.22
0.51
5.12
4.20
0.43
4.69
0.79
0.09
0.93
2.54
2.30
3,686,411
26.64
Total Equities
13,829,448
99.94
Total Transferable Securities
13,829,448
99.94
Fair Value
EUR
% of SubFund
13,829,448
99.94
7,612
0.06
13,837,060
100.00
Holding
22,685
1,709
88
98
559
10,765
9,101
168
2,993
59
141
269
960
1,552
TRANSFERABLE SECURITIES cont/d
Equities (99.94%) cont/d
Switzerland (26.64%)
ABB Ltd
Adecco SA
EMS-Chemie Holding AG
Givaudan SA
Kuehne + Nagel International AG
Nestle SA
Novartis AG
Partners Group Holding AG
Roche Holding AG
SGS SA
Sulzer AG
Swisscom AG
Syngenta AG
Zurich Financial Services AG
Portfolio of Investments
Other Net Assets
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Current Assets
Total Assets
% of Total
Assets
99.45
0.55
100.00
Country classifications are based upon country of incorporation and/or country of domicile.
49
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Holding
599
3,229
801
501
20
36
610
749
1,753
594
603
538
2,326
779
10,257
971
896
394
4,553
2,905
809
2,497
234
4,779
4,872
1,004
5,042
736
317
352
1,008
1,138
4,034
36,696
10,929
5,856
TRANSFERABLE SECURITIES
Equities (100.17%)
Austria (0.25%)
voestalpine AG
Belgium (5.71%)
Anheuser-Busch InBev SA
Proximus SA
Umicore SA
Denmark (1.07%)
AP Moeller - Maersk A/S (Class A)
AP Moeller - Maersk A/S (Class B)
Tryg A/S
Finland (3.94%)
Elisa OYJ
Kone OYJ
Metso OYJ
Nokian Renkaat OYJ
Orion OYJ
Sampo OYJ
Wartsila OYJ Abp
France (15.18%)
AXA SA
Cie Generale des Etablissements Michelin
Eutelsat Communications SA
Kering
Sanofi
Schneider Electric SE
SCOR SE
Vinci SA
Germany (19.70%)
Axel Springer SE
BASF SE
Daimler AG
Deutsche Boerse AG
Deutsche Post AG
Evonik Industries AG
Hannover Rueck SE
Hugo Boss AG
K+S AG
ProSiebenSat.1 Media SE
Siemens AG
Italy (3.08%)
Enel SpA
Snam SpA
UnipolSai SpA
Fair Value
GBP
% of SubFund
13,965
0.25
279,690
19,074
17,378
5.06
0.34
0.31
316,142
5.71
17,793
32,908
8,251
0.32
0.60
0.15
58,952
1.07
20,292
58,874
9,876
14,830
12,391
76,974
24,563
0.37
1.07
0.18
0.27
0.22
1.39
0.44
217,800
3.94
168,254
69,233
20,168
49,075
255,790
127,920
20,012
129,613
3.04
1.25
0.37
0.89
4.62
2.31
0.36
2.34
840,065
15.18
8,788
251,210
260,232
59,693
97,619
15,385
25,736
16,086
16,435
40,768
297,924
0.16
4.54
4.70
1.08
1.76
0.28
0.47
0.29
0.30
0.74
5.38
1,089,876
19.70
113,408
47,701
9,444
2.05
0.86
0.17
170,553
3.08
50
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Holding
204
1,698
2,486
463
4,341
5,176
8,476
1,053
5,807
3,906
941
2,436
2,732
3,114
1,131
1,672
28,587
5,675
563
953
1,546
2,030
1,267
4,940
2,192
1,239
2,370
5,548
1,649
2,001
2,096
13,518
11,442
862
43
48
284
TRANSFERABLE SECURITIES cont/d
Equities (100.17%) cont/d
Luxembourg (1.23%)
RTL Group SA
SES SA
Tenaris SA
Netherlands (7.38%)
Boskalis Westminster
Koninklijke Ahold NV
RELX NV
Unilever NV
Norway (2.62%)
Gjensidige Forsikring ASA
Statoil ASA
Telenor ASA
Yara International ASA
Portugal (0.39%)
Galp Energia SGPS SA
Spain (4.91%)
Abertis Infraestructuras SA
Distribuidora Internacional de Alimentacion SA
Enagas SA
Endesa SA
Iberdrola SA
Mapfre SA
Red Electrica Corp SA
Zardoya Otis SA
Sweden (8.12%)
Alfa Laval AB
Atlas Copco AB
Electrolux AB
Hennes & Mauritz AB
Husqvarna AB
Investment AB Kinnevik
Investor AB
Sandvik AB
Securitas AB
Skanska AB
SKF AB
TeliaSonera AB
Switzerland (26.59%)
ABB Ltd
Adecco SA
EMS-Chemie Holding AG
Givaudan SA
Kuehne + Nagel International AG
Fair Value
GBP
% of SubFund
12,040
34,646
21,583
0.22
0.62
0.39
68,269
1.23
12,681
68,043
62,972
264,672
0.23
1.23
1.14
4.78
408,368
7.38
12,498
63,647
43,995
24,648
0.23
1.15
0.79
0.45
144,788
2.62
21,342
0.39
31,299
11,273
23,686
22,363
132,839
8,544
34,059
7,730
0.57
0.20
0.43
0.40
2.40
0.15
0.62
0.14
271,793
4.91
17,634
33,346
23,227
114,768
11,165
24,489
58,458
39,996
19,035
31,822
26,371
48,925
0.32
0.60
0.42
2.08
0.20
0.44
1.06
0.72
0.34
0.58
0.48
0.88
449,236
8.12
155,782
39,235
15,573
65,770
28,206
2.81
0.71
0.28
1.19
0.51
51
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Fair Value
GBP
% of SubFund
284,126
232,885
23,587
260,530
41,336
4,996
51,246
140,654
127,027
5.13
4.21
0.43
4.71
0.75
0.09
0.93
2.54
2.30
1,470,953
26.59
Total Equities
5,542,102
100.17
Total Transferable Securities
5,542,102
100.17
% of SubFund
Holding
5,443
4,599
84
1,515
28
72
135
484
783
TRANSFERABLE SECURITIES cont/d
Equities (100.17%) cont/d
Switzerland (26.59%) cont/d
Nestle SA
Novartis AG
Partners Group Holding AG
Roche Holding AG
SGS SA
Sulzer AG
Swisscom AG
Syngenta AG
Zurich Financial Services AG
Financial Derivative Instruments ((1.37)%)
Forward Currency Contracts ((1.37)%)
Settlement Date
04/04/2016
04/04/2016
04/04/2016
04/04/2016
04/04/2016
Currency Bought
Amount Bought
Currency Sold
Amount Sold
Unrealised
(Loss)
GBP
GBP
GBP
GBP
GBP
GBP
1,477,310
59,146
3,260,764
139,398
428,857
CHF
DKK
EUR
NOK
SEK
2,047,500
565,000
4,177,500
1,693,000
5,118,000
(10,234)
(980)
(51,329)
(3,012)
(10,390)
(0.18)
(0.02)
(0.93)
(0.05)
(0.19)
(75,945)
(1.37)
Fair Value
GBP
% of SubFund
5,466,157
98.80
66,389
1.20
5,532,546
100.00
Net unrealised loss on foreign currency exchange contracts
Portfolio of Investments
Other Net Assets
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Current Assets
Total Assets
% of Total
Assets
98.31
1.69
100.00
The counterparties for the forward currency contracts are:
BNP Paribas SA
Citibank
HSBC Bank Plc
Rabobank Nederland
Country classifications are based upon country of incorporation and/or country of domicile.
52
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Principal
Amount
USD
CAD
USD
CAD
USD
EUR
82,000
62,000
58,000
53,000
41,000
24,000
24,000
20,000
46,000
59,000
39,000
46,000
100,000
EUR
100,000
USD
EUR
USD
27,000
100,000
64,000
38,000
60,000
EUR
50,000
50,000
TRANSFERABLE SECURITIES
Bonds (99.45%)
Australia (3.53%)
Macquarie Group Ltd 3.000% due 03/12/2018
Westpac Banking Corp 2.000% due 14/08/2017
Westpac Banking Corp 2.250% due 17/01/2019
Canada (5.21%)
Bank of Montreal 2.240% due 11/12/2017
Bank of Nova Scotia 1.330% due 01/05/2018
Bank of Nova Scotia 2.050% due 30/10/2018
Caisse Centrale Desjardins 2.795% due 19/11/2018
Canadian Imperial Bank of Commerce 1.700% due 09/10/2018
National Bank of Canada 3.261% due 11/04/2022
Royal Bank of Canada 2.260% due 12/03/2018
Royal Bank of Canada 2.200% due 27/07/2018
Toronto-Dominion Bank 2.625% due 10/09/2018
Cayman Islands (2.02%)
Hutchison Whampoa Europe Finance 13 Ltd 3.750%
due 29/05/2049
France (7.34%)
Banque Federative du Credit Mutuel SA 1.625%
due 11/01/2018
BNP Paribas SA 2.400% due 12/12/2018
Credit Agricole SA 1.875% due 18/10/2017
Engie SA 1.625% due 10/10/2017
Sanofi 1.250% due 10/04/2018
Total Capital International SA 1.550% due 28/06/2017
Germany (2.01%)
BASF SE 1.375% due 22/01/2019
Commerzbank AG 0.500% due 03/04/2018
Fair Value
GBP
% of SubFund
57,801
43,522
40,806
1.44
1.08
1.01
142,129
3.53
28,927
21,954
16,829
13,299
10,826
25,045
32,228
27,467
32,757
0.72
0.55
0.42
0.33
0.27
0.62
0.80
0.68
0.82
209,332
5.21
81,139
2.02
81,448
2.03
19,061
81,555
44,586
26,524
41,879
0.47
2.03
1.11
0.66
1.04
295,053
7.34
40,976
39,875
1.02
0.99
80,851
2.01
EUR
100,000
Ireland (2.05%)
FCA Capital Ireland Plc 2.875% due 26/01/2018
82,336
2.05
EUR
100,000
Italy (2.07%)
Terna Rete Elettrica Nazionale SpA 2.875% due 16/02/2018
83,427
2.07
USD
54,000
Japan (0.93%)
Nippon Telegraph & Telephone Corp 1.400% due 18/07/2017
37,523
0.93
EUR
86,000
65,000
20,000
50,000
Netherlands (4.46%)
Cooperatieve Rabobank UA 3.500% due 17/10/2018
Cooperatieve Rabobank UA 1.750% due 22/01/2019
Deutsche Post Finance BV 1.875% due 27/06/2017
Shell International Finance BV 1.900% due 10/08/2018
74,156
53,976
16,201
35,118
1.85
1.34
0.40
0.87
179,451
4.46
USD
53
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
Fair Value
GBP
% of SubFund
82,190
2.04
EUR
100,000
TRANSFERABLE SECURITIES cont/d
Bonds (99.45%) cont/d
Norway (2.04%)
DNB Bank ASA 3.000% 26/09/2023
EUR
100,000
Spain (2.00%)
Santander Consumer Finance SA 1.100% due 30/07/2018
80,623
2.00
EUR
100,000
Sweden (2.04%)
Svenska Handelsbanken AB 2.656% due 15/01/2024
82,076
2.04
USD
250,000
Switzerland (4.30%)
Credit Suisse AG 1.375% due 26/05/2017
173,020
4.30
82,333
2.05
21,043
35,254
35,950
81,277
62,457
0.52
0.88
0.89
2.02
1.55
318,314
7.91
86,627
54,498
18,114
29,106
30,772
38,161
30,949
2.16
1.35
0.45
0.72
0.77
0.95
0.77
60,751
1.51
47,342
48,711
34,897
25,333
11,162
29,349
51,807
36,158
35,066
40,846
27,031
43,360
51,831
25,382
105,875
28,513
20,959
32,026
28,804
35,130
36,949
40,982
21,460
69,436
40,641
29,483
1.18
1.21
0.87
0.63
0.28
0.73
1.29
0.90
0.87
1.02
0.67
1.08
1.29
0.63
2.63
0.71
0.52
0.80
0.72
0.87
0.92
1.02
0.53
1.73
1.01
0.73
100,000
EUR
USD
EUR
USD
USD
30,000
51,000
52,000
100,000
90,000
124,000
78,000
26,000
42,000
44,000
54,000
44,000
87,000
68,000
70,000
50,000
36,000
16,000
42,000
74,000
52,000
50,000
58,000
39,000
62,000
76,000
36,000
150,000
42,000
30,000
46,000
46,000
50,000
52,000
58,000
30,000
100,000
58,000
42,000
United Kingdom (7.91%)
Abbey National Treasury Services Plc 2.000%
due 14/01/2019
BAT International Finance Plc 1.850% due 15/06/2018
BP Capital Markets Plc 1.375% due 10/05/2018
Rio Tinto Finance USA Plc 1.625% due 21/08/2017
Standard Chartered Plc 1.625% due 20/11/2018
Vodafone Group Plc 1.500% due 19/02/2018
United States (51.54%)
AbbVie Inc 1.750% due 06/11/2017
Actavis Inc 1.875% due 01/10/2017
Amazon.com Inc 1.200% due 29/11/2017
American Express Co 1.550% due 22/05/2018
American Honda Finance Corp 1.550% due 11/12/2017
American Honda Finance Corp 2.125% due 10/10/2018
Amgen Inc 2.125% due 15/05/2017
Anheuser-Busch InBev Worldwide Inc 1.375%
due 15/07/2017
Apple Inc 1.000% due 03/05/2018
AT&T Inc 1.400% due 01/12/2017
Bank of America Corp 2.000% due 11/01/2018
Bank of New York Mellon Corp 2.100% due 15/01/2019
BB&T Corp 1.600% due 15/08/2017
Becton Dickinson and Co 1.800% due 15/12/2017
Berkshire Hathaway Finance Corp 1.600% due 15/05/2017
Chevron Corp 1.104% due 05/12/2017
Chevron Corp 1.718% due 24/06/2018
Cisco Systems Inc 1.650% due 15/06/2018
Citigroup Inc 1.700% due 27/04/2018
Coca-Cola Co 1.150% due 01/04/2018
ConocoPhillips Co 1.050% due 15/12/2017
CVS Health Corp 1.900% due 20/07/2018
Daimler Finance North America LLC 2.375% due 01/08/2018
EMC Corp 1.875% due 01/06/2018
Exxon Mobil Corp 1.305% due 06/03/2018
General Dynamics Corp 1.000% due 15/11/2017
Glencore Funding LLC 2.500% due 15/01/2019
Goldman Sachs Group Inc 2.375% due 22/01/2018
Goldman Sachs Group Inc 2.900% due 19/07/2018
Hewlett Packard Enterprise Co 2.850% due 05/10/2018
Home Depot Inc 2.250% due 10/09/2018
HSBC USA Inc 1.625% due 16/01/2018
Intel Corp 1.350% due 15/12/2017
JPMorgan Chase & Co 2.000% due 15/08/2017
54
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
57,000
62,000
52,000
52,000
72,000
54,000
57,000
24,000
38,000
50,000
52,000
14,000
50,000
46,000
28,000
16,000
58,000
49,000
56,000
23,000
72,000
20,000
30,000
Fair Value
GBP
% of SubFund
39,787
43,432
36,637
36,312
50,195
37,780
40,224
17,017
26,652
34,942
36,405
9,884
34,764
32,140
19,365
11,156
40,973
34,133
39,101
16,174
52,692
13,973
20,950
0.99
1.08
0.91
0.9
1.25
0.94
1.00
0.42
0.66
0.87
0.91
0.25
0.86
0.80
0.48
0.28
1.02
0.85
0.97
0.40
1.31
0.35
0.52
2,072,199
51.54
Total Bonds
3,999,663
99.45
Total Transferable Securities
3,999,663
99.45
% of SubFund
TRANSFERABLE SECURITIES cont/d
Bonds (99.45%) cont/d
United States (51.54%) cont/d
JPMorgan Chase & Co 1.700% due 01/03/2018
Kraft Heinz Foods Co 2.000% due 02/07/2018
KeyCorp 2.300% due 13/12/2018
Medtronic Inc 1.375% due 01/04/2018
Merck & Co Inc 1.100% due 31/01/2018
Morgan Stanley 2.125% due 25/04/2018
Morgan Stanley 2.500% due 24/01/2019
New York Life Global Funding 2.100% due 02/01/2019
NYSE Holdings LLC 2.000% due 05/10/2017
Oracle Corp 1.200% due 15/10/2017
PepsiCo Inc 1.250% due 13/08/2017
Philip Morris International Inc 1.875% due 15/01/2019
Precision Castparts Corp 1.250% due 15/01/2018
Qualcomm Inc 1.400% due 18/05/2018
Regions Financial Corp 2.000% due 15/05/2018
Synchrony Financial 2.600% due 15/01/2019
Toyota Motor Credit Corp 2.000% due 24/10/2018
United Technologies Corp 1.778% due 04/05/2018
UnitedHealth Group Inc 1.400% due 15/12/2017
US Bancorp 1.950% due 15/11/2018
Verizon Communications Inc 3.650% due 14/09/2018
Wal-Mart Stores Inc 1.125% due 11/04/2018
Wells Fargo & Co 1.500% due 16/01/2018
Financial Derivative Instruments (1.78%)
Forward Currency Contracts (1.78%)
Settlement Date
Currency Bought
Amount Bought
Currency Sold
Amount Sold
Unrealised
Gain/(Loss)
GBP
CAD
EUR
USD
USD
248,000
1,226,000
4,033,000
43,000
(2,046)
(15,063)
87,519
924
(0.05)
(0.37)
2.18
0.02
88,443
2.20
(17,109)
(0.42)
71,334
1.78
Fair Value
GBP
% of SubFund
4,070,997
101.23
(49,279)
(1.23)
4,021,718
100.00
131,354
04/05/2016
GBP
GBP
956,987
04/05/2016
04/05/2016
GBP
2,893,466
GBP
30,841
04/05/2016
Unrealised gain on foreign currency exchange contracts
Unrealised loss on foreign currency exchange contracts
Net unrealised gain on foreign currency exchange contracts
Portfolio of Investments
Other Net Liabilities
Net Assets
55
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Transferable securities traded on a regulated market
Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c)
Over the counter financial derivative instruments
Current Assets
Total Assets
% of Total
Assets
74.13
16.51
1.30
2.03
6.03
100.00
The counterparties for the forward currency contracts are:
HSBC Bank Plc
Rabobank Nederland
Royal Bank of Canada
Country classifications are based upon country of incorporation and/or country of domicile.
56
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Principal
Amount
USD
EUR
USD
80,000
35,000
20,000
34,000
48,000
48,000
TRANSFERABLE SECURITIES
Bonds (99.23%)
Australia (3.23%)
BHP Billiton Finance USA Ltd 3.250% due 21/11/2021
National Australia Bank Ltd 2.750% due 08/08/2022
Rio Tinto Finance USA Ltd 3.750% due 20/09/2021
Scentre Group Trust 1/2 2.375% due 05/11/2019
Telstra Corp Ltd 4.800% due 12/10/2021
Westpac Banking Corp 2.300% due 26/05/2020
Fair Value
GBP
% of SubFund
57,083
31,175
14,397
23,703
37,511
33,584
0.93
0.51
0.24
0.39
0.61
0.55
197,453
3.23
EUR
76,000
Austria (0.99%)
OMV AG 5.250% (Perpetual)
60,256
0.99
CAD
68,000
66,000
65,000
53,000
52,000
75,000
66,000
Canada (4.01%)
Bank of Montreal 2.840% due 04/06/2020
Bank of Nova Scotia 3.036% due 18/10/2024
Caisse Centrale Desjardins 1.748% due 02/03/2020
Canadian Imperial Bank of Commerce 1.850% due 14/07/2020
National Bank of Canada 2.404% due 28/10/2019
Royal Bank of Canada 2.990% due 06/12/2024
Toronto-Dominion Bank 2.621% due 22/12/2021
38,261
36,466
34,920
28,672
28,674
41,412
36,821
0.63
0.60
0.57
0.47
0.47
0.67
0.60
245,226
4.01
USD
44,000
Cayman Islands (0.43%)
Vale Overseas Ltd 4.375% due 11/01/2022
26,059
0.43
USD
68,000
Denmark (0.77%)
AP Moeller - Maersk A/S 2.550% due 22/09/2019
46,857
0.77
EUR
72,000
100,000
100,000
100,000
50,000
France (5.83%)
BNP Paribas SA 4.125% due 14/01/2022
Danone SA 2.250% due 15/11/2021
Orange SA 4.250% (Perpetual)
Sanofi 1.125% due 10/03/2022
Total Capital International SA 2.875% due 17/02/2022
68,348
87,518
81,790
82,757
35,578
1.12
1.44
1.34
1.35
0.58
355,991
5.83
30,755
36,762
40,576
0.5
0.6
0.67
108,093
1.77
82,935
86,043
80,755
1.36
1.41
1.32
249,733
4.09
82,793
1.36
USD
EUR
EUR
USD
38,000
46,000
51,000
100,000
100,000
100,000
100,000
Germany (1.77%)
Bayer AG 3.000% due 01/07/2075
Evonik Industries AG 1.000% due 23/01/2023
Merck KGaA 2.625% due 12/12/2074
Italy (4.09%)
2i Rete Gas SpA 1.750% due 16/07/2019
Assicurazioni Generali SpA 2.875% due 14/01/2020
Terna Rete Elettrica Nazionale SpA 0.875% due 02/02/2022
Japan (1.36%)
Mitsui Sumitomo Insurance Co Ltd 7.000% due 15/03/2072
57
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
EUR
52,000
68,000
USD
50,000
100,000
100,000
100,000
58,000
EUR
47,000
TRANSFERABLE SECURITIES cont/d
Bonds (99.23%) cont/d
Luxembourg (1.40%)
Actavis Funding SCS 3.000% due 12/03/2020
Schlumberger Investment SA 3.300% due 14/09/2021
Netherlands (6.14%)
ABN AMRO Bank NV 4.125% due 28/03/2022
ABN AMRO Bank NV 2.875% due 30/06/2025
Heineken NV 2.125% due 04/08/2020
Nomura Europe Finance NV 1.500% due 12/05/2021
Shell International Finance BV 2.125% due 11/05/2020
Siemens Financieringsmaatschappij NV 1.750%
due 12/03/2021
Fair Value
GBP
% of SubFund
37,033
48,781
0.61
0.79
85,814
1.40
47,751
80,828
85,369
80,638
40,540
0.78
1.32
1.40
1.32
0.66
40,118
0.66
375,244
6.14
EUR
100,000
Spain (1.46%)
Santander International Debt SAU 4.000% due 24/01/2020
89,437
1.46
EUR
100,000
Sweden (1.57%)
Svenska Handelsbanken AB 4.375% due 20/10/2021
96,221
1.57
100,000
100,000
Switzerland (2.69%)
Credit Suisse AG 1.375% due 29/11/2019
UBS AG 1.250% due 03/09/2021
82,003
82,593
1.34
1.35
164,596
2.69
78,903
79,830
37,257
43,356
37,711
68,978
85,044
79,357
1.28
1.31
0.61
0.71
0.62
1.13
1.39
1.30
510,436
8.35
40,159
39,004
42,512
29,900
32,013
90,222
47,566
42,193
125,181
36,661
49,747
32,485
32,947
36,840
44,306
30,724
31,768
36,511
0.66
0.64
0.70
0.49
0.52
1.48
0.78
0.69
2.05
0.60
0.81
0.53
0.54
0.60
0.73
0.50
0.52
0.60
EUR
USD
EUR
USD
100,000
100,000
52,000
61,000
52,000
90,000
100,000
100,000
56,000
54,000
60,000
42,000
42,000
128,000
68,000
58,000
178,000
46,000
71,000
46,000
46,000
52,000
62,000
40,000
42,000
48,000
United Kingdom (8.35%)
Abbey National Treasury Services Plc 1.125% due 14/01/2022
Barclays Plc 1.875% due 23/03/2021
BAT International Finance Plc 2.750% due 15/06/2020
BP Capital Markets Plc 3.245% due 06/05/2022
GlaxoSmithKline Capital Plc 2.850% due 08/05/2022
HSBC Holdings Plc 5.100% due 05/04/2021
Imperial Brands Finance Plc 2.250% due 26/02/2021
Nationwide Building Society 1.125% due 03/06/2022
United States (55.14%)
Altria Group Inc 2.850% due 09/08/2022
Amazon.com Inc 2.600% due 05/12/2019
American Express Credit Corp 2.600% due 14/09/2020
American Honda Finance Corp 2.450% due 24/09/2020
American International Group Inc 4.875% due 01/06/2022
American Tower Corp 3.500% due 31/01/2023
Anheuser-Busch InBev Worldwide Inc 2.500% due 15/07/2022
Apple Inc 2.850% due 06/05/2021
AT&T Inc 2.450% due 30/06/2020
Bank of America Corp 5.700% due 24/01/2022
Bank of New York Mellon Corp 2.150% due 24/02/2020
BB&T Corp 2.450% due 15/01/2020
Becton Dickinson and Co 3.125% due 08/11/2021
Berkshire Hathaway Inc 2.750% due 15/03/2023
Biogen Inc 2.900% due 15/09/2020
BlackRock Inc 4.250% due 24/05/2021
Capital One Financial Corp 4.750% due 15/07/2021
Caterpillar Inc 3.900% due 27/05/2021
58
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
EUR
USD
EUR
USD
52,000
58,000
52,000
44,000
58,000
39,000
49,000
88,000
52,000
150,000
62,000
48,000
76,000
64,000
60,000
47,000
48,000
44,000
48,000
54,000
48,000
46,000
54,000
66,000
46,000
46,000
66,000
100,000
60,000
58,000
48,000
77,000
62,000
84,000
62,000
56,000
100,000
64,000
40,000
46,000
66,000
78,000
44,000
48,000
48,000
54,000
90,000
48,000
44,000
44,000
46,000
48,000
56,000
54,000
54,000
40,000
TRANSFERABLE SECURITIES cont/d
Bonds (99.23%) cont/d
United States (55.14%) cont/d
CBRE Services Inc 5.000% due 15/03/2023
CCO Safari II LLC 4.464% due 23/07/2022
Celgene Corp 3.550% due 15/08/2022
Chubb INA Holdings Inc 2.300% due 03/11/2020
Cisco Systems Inc 2.450% due 15/06/2020
Citigroup Inc 2.650% due 26/10/2020
Citigroup Inc 4.500% due 14/01/2022
Coca-Cola Co 3.300% due 01/09/2021
CVS Health Corp 3.500% due 20/07/2022
Daimler Finance North America LLC 2.450% due 18/05/2020
Dow Chemical Co 4.125% due 15/11/2021
Eastman Chemical Co 3.600% due 15/08/2022
eBay Inc 2.200% due 01/08/2019
EMD Finance LLC 2.950% due 19/03/2022
Energy Transfer Partners LP 4.150% due 01/10/2020
Enterprise Products Operating LLC 2.550% due 15/10/2019
Express Scripts Holding Co 3.900% due 15/02/2022
Fifth Third Bancorp 2.875% due 27/07/2020
Gap Inc 5.950% due 12/04/2021
General Electric Co 4.650% due 17/10/2021
General Motors Financial Co Inc 4.375% due 25/09/2021
Goldman Sachs Group Inc 5.250% due 27/07/2021
Goldman Sachs Group Inc 5.750% due 24/01/2022
Hewlett Packard Enterprise Co 3.600% due 15/10/2020
Home Depot Inc 2.625% due 01/06/2022
HSBC Finance Corp 6.676% due 15/01/2021
Intel Corp 3.300% due 01/10/2021
International Business Machines Corp 1.875% due 06/11/2020
JPMorgan Chase & Co 2.250% due 23/01/2020
JPMorgan Chase & Co 4.500% due 24/01/2022
KeyCorp 2.900% due 15/09/2020
Kinder Morgan Inc 3.050% due 01/12/2019
Kraft Heinz Foods Co 3.500% due 15/07/2022
Lockheed Martin Corp 3.350% due 15/09/2021
Medtronic Inc 3.150% due 15/03/2022
Merck & Co Inc 2.350% due 10/02/2022
Microsoft Corp 2.125% due 06/12/2021
Morgan Stanley 2.375% due 23/07/2019
NBCUniversal Media LLC 5.150% due 30/04/2020
New York Life Global Funding 1.950% due 11/02/2020
Novartis Capital Corp 2.400% due 21/09/2022
Occidental Petroleum Corp 3.125% due 15/02/2022
Oracle Corp 2.500% due 15/05/2022
Oracle Corp 2.500% due 15/10/2022
PepsiCo Inc 2.750% due 05/03/2022
Phillips 66 4.300% due 01/04/2022
Procter & Gamble Co 2.300% due 06/02/2022
Qualcomm Inc 3.000% due 20/05/2022
Stanley Black & Decker Inc 2.900% due 01/11/2022
State Street Corp 2.550% due 18/08/2020
Synchrony Financial 3.000% due 15/08/2019
Toyota Motor Credit Corp 2.125% due 18/07/2019
United Technologies Corp 3.100% due 01/06/2022
UnitedHealth Group Inc 2.875% due 15/03/2022
Verizon Communications Inc 4.500% due 15/09/2020
Visa Inc 2.200% due 14/12/2020
Fair Value
GBP
% of SubFund
37,255
42,086
37,844
31,064
41,831
27,312
37,153
65,988
38,785
105,151
46,964
34,591
53,099
45,346
40,075
32,628
34,807
31,063
36,120
42,862
34,494
35,978
43,288
47,591
0.61
0.69
0.62
0.51
0.68
0.45
0.61
1.08
0.63
1.72
0.77
0.57
0.87
0.74
0.66
0.53
0.57
0.51
0.59
0.70
0.56
0.59
0.71
0.78
33,039
36,665
49,145
84,996
42,032
44,220
33,665
52,474
45,303
62,055
0.54
0.60
0.80
1.39
0.69
0.72
0.55
0.86
0.74
1.02
45,395
39,697
87,248
44,895
31,556
31,972
46,869
56,017
31,197
33,887
34,967
40,007
64,498
34,751
30,783
31,436
32,289
34,048
41,118
38,909
41,476
28,512
0.74
0.65
1.44
0.73
0.52
0.52
0.77
0.92
0.51
0.55
0.57
0.65
1.06
0.57
0.50
0.51
0.53
0.56
0.67
0.64
0.68
0.47
59
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
48,000
52,000
57,000
48,000
Fair Value
GBP
% of SubFund
33,616
37,995
40,541
27,218
0.55
0.62
0.66
0.45
3,368,605
55.14
Total Bonds
6,062,814
99.23
Total Transferable Securities
6,062,814
99.23
% of SubFund
TRANSFERABLE SECURITIES cont/d
Bonds (99.23%) cont/d
United States (55.14%) cont/d
Walgreen Co 3.100% due 15/09/2022
Walt Disney Co 2.750% due 16/08/2021
Wells Fargo & Co 2.600% due 22/07/2020
Williams Partners LP 3.600% due 15/03/2022
Financial Derivative Instruments (1.48%)
Forward Currency Contracts (1.48%)
Settlement Date
Currency Bought
Amount Bought
Currency Sold
Amount Sold
Unrealised
Gain/(Loss)
GBP
CAD
EUR
USD
USD
454,000
2,267,000
5,529,000
86,000
(3,745)
(27,854)
119,983
1,848
(0.06)
(0.45)
1.96
0.03
121,831
1.99
(31,599)
(0.51)
90,232
1.48
Fair Value
GBP
% of SubFund
6,153,046
100.71
(43,434)
(0.71)
6,109,612
100.00
05/04/2016
GBP
240,462
05/04/2016
GBP
1,769,568
05/04/2016
GBP
3,966,768
05/04/2016
GBP
61,682
Unrealised gain on foreign currency exchange contracts
Unrealised loss on foreign currency exchange contracts
Net unrealised gain on foreign currency exchange contracts
Portfolio of Investments
Other Net Liabilities
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Transferable securities dealt in on another regulated market
Over the counter financial derivative instruments
Current Assets
Total Assets
% of Total
Assets
74.75
14.57
1.79
8.89
100.00
The counterparties for the forward currency contracts are:
HSBC Bank Plc
Rabobank Nederland
Royal Bank of Canada
Country classifications are based upon country of incorporation and/or country of domicile.
60
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Principal
Amount
USD
USD
CAD
EUR
EUR
72,000
124,000
86,000
34,000
85,000
68,000
100,000
100,000
100,000
100,000
100,000
100,000
100,000
47,000
103,000
TRANSFERABLE SECURITIES
Bonds (99.00%)
Australia (2.24%)
BHP Billiton Finance USA Ltd 3.850% due 30/09/2023
Telstra Corp Ltd 3.125% due 07/04/2025
Canada (2.96%)
Bank of Nova Scotia 4.500% due 16/12/2025
Rogers Communications Inc 4.100% due 01/10/2023
Royal Bank of Canada 4.650% due 27/01/2026
Toronto-Dominion Bank 3.226% due 24/07/2024
France (7.83%)
AXA SA 3.941% (Perpetual)
BNP Paribas SA 2.375% due 20/05/2024
BNP Paribas SA 2.375% due 17/02/2025
Credit Agricole SA 2.375% due 20/05/2024
Societe Generale SA 2.625% due 27/02/2025
TOTAL SA 2.625% (Perpetual)
Germany (3.24%)
Allianz SE 2.241% due 07/07/2045
Bayer AG 3.750% due 01/07/2074
Volkswagen Leasing GmbH 2.625% due 15/01/2024
Fair Value
GBP
% of SubFund
51,629
86,872
0.84
1.40
138,501
2.24
59,209
25,542
59,768
38,952
0.96
0.41
0.96
0.63
183,471
2.96
79,383
88,297
78,589
87,970
78,165
72,133
1.28
1.43
1.27
1.42
1.26
1.17
484,537
7.83
74,560
38,490
87,244
1.21
0.62
1.41
200,294
3.24
EUR
100,000
Ireland (1.46%)
CRH Finance Ltd 3.125% due 03/04/2023
90,658
1.46
USD
126,000
Japan (1.46%)
Sumitomo Mitsui Financial Group Inc 3.784% due 09/03/2026
90,501
1.46
USD
48,000
Luxembourg (0.56%)
Schlumberger Investment SA 3.650% due 01/12/2023
34,753
0.56
EUR
79,000
37,000
40,000
100,000
48,000
75,000
78,000
100,000
Netherlands (7.28%)
ABN AMRO Bank NV 1.000% due 16/04/2025
BMW Finance NV 2.625% due 17/01/2024
Cooperatieve Rabobank UA 2.375% due 22/05/2023
Enel Finance International NV 1.966% due 27/01/2025
Heineken NV 2.750% due 01/04/2023
Roche Finance Europe BV 0.875% due 25/02/2025
Shell International Finance BV 3.250% due 11/05/2025
Vonovia Finance BV 2.250% due 15/12/2023
62,487
33,706
35,167
85,651
33,387
61,232
54,549
84,818
1.01
0.55
0.57
1.38
0.54
0.99
0.87
1.37
450,997
7.28
43,682
38,001
49,189
99,017
31,703
77,659
0.71
0.61
0.80
1.60
0.51
1.25
USD
EUR
USD
EUR
USD
EUR
59,000
50,000
72,000
136,000
45,000
100,000
United Kingdom (9.80%)
Abbey National Treasury Services Plc 4.000% due 13/03/2024
BAT International Finance Plc 3.950% due 15/06/2025
BP Capital Markets Plc 2.750% due 10/05/2023
BP Capital Markets Plc 3.814% due 10/02/2024
Diageo Capital Plc 2.625% due 29/04/2023
Nationwide Building Society 1.250% due 03/03/2025
61
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
GBP
USD
USD
200,000
100,000
45,000
58,000
62,000
40,000
68,000
48,000
48,000
58,000
61,000
42,000
100,000
50,000
48,000
122,000
68,000
58,000
42,000
42,000
54,000
44,000
46,000
44,000
46,000
76,000
66,000
64,000
64,000
65,000
46,000
58,000
72,000
56,000
84,000
54,000
46,000
54,000
44,000
76,000
82,000
46,000
38,000
100,000
66,000
38,000
48,000
156,000
56,000
44,000
50,000
48,000
44,000
44,000
TRANSFERABLE SECURITIES cont/d
Bonds (99.00%) cont/d
United Kingdom (9.80%) cont/d
Standard Chartered Plc 3.200% due 17/04/2025
Western Power Distribution Plc 3.625% due 06/11/2023
WPP Finance 2010 3.750% due 19/09/2024
United States (62.17%)
Abbott Laboratories 2.950% due 15/03/2025
Aetna Inc 3.500% due 15/11/2024
Altria Group Inc 4.000% due 31/01/2024
Amazon.com Inc 3.800% due 05/12/2024
American International Group Inc 3.750% due 10/07/2025
American Tower Corp 5.000% due 15/02/2024
Amgen Inc 3.625% due 22/05/2024
Anheuser-Busch InBev Finance Inc 3.700% due 01/02/2024
Anthem Inc 3.500% due 15/08/2024
Apple Inc 2.400% due 03/05/2023
Apple Inc 3.450% due 06/05/2024
Apple Inc 3.250% due 23/02/2026
AT&T Inc 3.400% due 15/05/2025
Bank of America Corp 4.200% due 26/08/2024
Bank of America Corp 3.875% due 01/08/2025
Bank of New York Mellon Corp 3.650% due 04/02/2024
Baxalta Inc 4.000% due 23/06/2025
Becton Dickinson and Co 3.734% due 15/12/2024
Biogen Inc 4.050% due 15/09/2025
BlackRock Inc 3.500% due 18/03/2024
Burlington Northern Santa Fe LLC 3.850% due 01/09/2023
CC Holdings GS V LLC 3.849% due 15/04/2023
CCO Safari II LLC 4.908% due 23/07/2025
Celgene Corp 3.875% due 15/08/2025
Chevron Corp 3.191% due 24/06/2023
Chubb INA Holdings Inc 3.150% due 15/03/2025
Citigroup Inc 4.400% due 10/06/2025
CME Group Inc 3.000% due 15/03/2025
Coca-Cola Co 2.875% due 27/10/2025
Comcast Corp 3.375% due 15/08/2025
ConocoPhillips Co 3.350% due 15/11/2024
CVS Health Corp 3.875% due 20/07/2025
Dow Chemical Co 3.500% due 01/10/2024
eBay Inc 3.450% due 01/08/2024
Eli Lilly & Co 2.750% due 01/06/2025
EMD Finance LLC 3.250% due 19/03/2025
Enterprise Products Operating LLC 3.750% due 15/02/2025
Exxon Mobil Corp 2.709% due 06/03/2025
Fidelity National Information Services Inc 5.000%
due 15/10/2025
Fifth Third Bancorp 4.300% due 16/01/2024
Five Corners Funding Trust 4.419% due 15/11/2023
General Motors Co 4.875% due 02/10/2023
Gilead Sciences Inc 3.700% due 01/04/2024
Gilead Sciences Inc 3.500% due 01/02/2025
Glencore Funding LLC 4.625% due 29/04/2024
Goldman Sachs Group Inc 4.000% due 03/03/2024
Goldman Sachs Group Inc 3.500% due 23/01/2025
HCP Inc 4.250% due 15/11/2023
Hewlett Packard Enterprise Co 4.900% due 15/10/2025
Home Depot Inc 2.700% due 01/04/2023
Home Depot Inc 3.750% due 15/02/2024
Fair Value
GBP
% of SubFund
133,489
102,227
31,731
2.16
1.65
0.51
606,698
9.80
40,713
43,972
30,669
51,755
33,436
36,758
42,509
45,220
29,419
69,873
37,080
34,789
85,114
48,033
41,894
30,977
29,742
40,009
32,715
33,514
33,343
32,970
55,902
48,044
45,813
45,563
45,788
32,363
41,760
53,296
37,091
63,028
38,646
31,470
38,426
30,651
52,623
57,294
0.66
0.71
0.49
0.84
0.54
0.59
0.69
0.73
0.47
1.13
0.60
0.56
1.37
0.78
0.68
0.50
0.48
0.65
0.53
0.54
0.54
0.53
0.90
0.78
0.74
0.74
0.74
0.52
0.67
0.86
0.60
1.02
0.62
0.51
0.62
0.49
0.85
0.92
34,406
0.56
27,703
73,038
47,795
28,307
35,210
89,272
40,755
30,762
34,710
34,264
31,639
33,781
0.45
1.18
0.77
0.46
0.57
1.44
0.66
0.50
0.56
0.55
0.51
0.54
62
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
44,000
40,000
32,000
68,000
46,000
56,000
66,000
84,000
80,000
40,000
56,000
40,000
64,000
44,000
54,000
58,000
56,000
66,000
56,000
54,000
46,000
64,000
48,000
44,000
46,000
60,000
68,000
38,000
48,000
46,000
56,000
52,000
56,000
74,000
124,000
44,000
48,000
44,000
48,000
52,000
64,000
52,000
Fair Value
GBP
% of SubFund
32,601
30,447
24,542
48,305
31,982
36,880
48,849
61,967
59,254
28,956
40,241
30,395
45,618
32,860
39,188
41,445
40,705
49,231
41,338
38,474
34,999
46,786
30,763
31,072
33,186
45,934
47,660
28,471
33,891
33,742
40,072
38,603
42,023
59,410
90,512
31,433
35,934
31,490
34,430
36,364
38,628
36,577
0.53
0.49
0.40
0.78
0.52
0.60
0.79
1.00
0.96
0.47
0.65
0.49
0.74
0.53
0.63
0.67
0.66
0.79
0.67
0.62
0.56
0.75
0.50
0.50
0.54
0.74
0.77
0.46
0.55
0.54
0.65
0.62
0.68
0.96
1.46
0.51
0.58
0.51
0.56
0.59
0.62
0.59
3,849,162
62.17
Total Bonds
6,129,572
99.00
Total Transferable Securities
6,129,572
99.00
TRANSFERABLE SECURITIES cont/d
Bonds (99.00%) cont/d
United States (62.17%) cont/d
Howard Hughes Medical Institute 3.500% due 01/09/2023
Intel Corp 3.700% due 29/07/2025
Johnson & Johnson 3.375% due 05/12/2023
JPMorgan Chase & Co 3.875% due 10/09/2024
JPMorgan Chase & Co 3.125% due 23/01/2025
Kinder Morgan Inc 4.300% due 01/06/2025
Kraft Heinz Foods Co 3.950% due 15/07/2025
Lockheed Martin Corp 3.550% due 15/01/2026
Medtronic Inc 3.500% due 15/03/2025
Merck & Co Inc 2.800% due 18/05/2023
MetLife Inc 3.600% due 10/04/2024
Microsoft Corp 3.625% due 15/12/2023
Microsoft Corp 2.700% due 12/02/2025
Mondelez International Inc 4.000% due 01/02/2024
Morgan Stanley 3.875% due 29/04/2024
Morgan Stanley 3.700% due 23/10/2024
Morgan Stanley 4.000% due 23/07/2025
Novartis Capital Corp 3.400% due 06/05/2024
Oracle Corp 3.400% due 08/07/2024
Oracle Corp 2.950% due 15/05/2025
PepsiCo Inc 3.600% due 01/03/2024
Pfizer Inc 3.000% due 15/06/2023
Plains All American Pipeline LP 4.650% due 15/10/2025
Prudential Financial Inc 5.625% due 15/06/2043
QUALCOMM Inc 3.450% due 20/05/2025
Reynolds American Inc 4.450% due 12/06/2025
State Street Corp 3.100% due 15/05/2023
State Street Corp 3.700% due 20/11/2023
Synchrony Financial 4.250% due 15/08/2024
Thermo Fisher Scientific Inc 4.150% due 01/02/2024
Time Warner Inc 3.600% due 15/07/2025
Tyson Foods Inc 3.950% due 15/08/2024
UnitedHealth Group Inc 3.750% due 15/07/2025
Verizon Communications Inc 5.150% due 15/09/2023
Verizon Communications Inc 3.500% due 01/11/2024
Wal-Mart Stores Inc 2.550% due 11/04/2023
Wal-Mart Stores Inc 3.300% due 22/04/2024
Walgreens Boots Alliance Inc 3.800% due 18/11/2024
Wells Fargo & Co 3.300% due 09/09/2024
Wells Fargo & Co 3.000% due 19/02/2025
Williams Partners LP 4.875% due 15/05/2023
Zimmer Biomet Holdings Inc 3.550% due 01/04/2025
63
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Financial Derivative Instruments (2.01%)
Forward Currency Contracts (2.01%)
Settlement Date
Currency Bought
Amount Bought
Currency Sold
Amount Sold
Unrealised
Gain/(Loss)
GBP
CAD
EUR
USD
USD
72,000
1,529,000
6,539,000
99,000
(594)
(18,786)
141,901
2,127
(0.01)
(0.30)
2.29
0.03
05/04/2016
GBP
38,135
05/04/2016
GBP
1,193,502
05/04/2016
GBP
4,691,390
05/04/2016
GBP
71,006
Unrealised gain on foreign currency exchange contracts
% of SubFund
144,028
2.32
Unrealised loss on foreign currency exchange contracts
(19,380)
(0.31)
Net unrealised gain on foreign currency exchange contracts
124,648
2.01
Fair Value
GBP
% of SubFund
6,254,220
101.01
(63,016)
(1.01)
6,191,204
100.00
Portfolio of Investments
Other Net Liabilities
Net Assets
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Transferable securities traded on a regulated market
Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c)
Over the counter financial derivative instruments
Current Assets
Total Assets
% of Total
Assets
72.39
19.62
1.34
2.19
4.46
100.00
The counterparties for the forward currency contracts are:
HSBC Bank Plc
Rabobank Nederland
Royal Bank of Canada
Country classifications are based upon country of incorporation and/or country of domicile.
64
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016
Principal
Amount
Fair Value
GBP
% of SubFund
TRANSFERABLE SECURITIES
Bonds (97.43%)
Australia (0.78%)
Origin Energy Finance Ltd 7.875% due 16/06/2071
75,268
0.78
EUR
100,000
EUR
46,000
Austria (0.40%)
Telekom Austria AG 5.625% (Perpetual)
38,294
0.40
USD
48,000
Bermuda (0.36%)
Aircastle Ltd 5.125% due 15/03/2021
34,774
0.36
USD
96,000
100,000
58,000
Canada (1.30%)
Teck Resources Ltd 3.750% due 01/02/2023
Teck Resources Ltd 6.250% due 15/07/2041
Videotron Ltd 5.000% due 15/07/2022
44,041
40,006
41,766
0.46
0.41
0.43
125,813
1.30
103,780
37,101
1.08
0.38
140,881
1.46
84,065
71,950
62,098
51,733
0.87
0.75
0.64
0.54
269,846
2.80
26,484
39,426
74,081
48,093
80,680
0.27
0.41
0.77
0.50
0.84
268,764
2.79
80,497
84,636
0.83
0.88
165,133
1.71
GBP
USD
EUR
EUR
EUR
EUR
100,000
79,000
100,000
100,000
70,000
100,000
32,000
60,000
130,000
60,000
100,000
100,000
100,000
100,000
200,000
100,000
100,000
100,000
Cayman Islands (1.46%)
Brakes Capital 7.125% due 15/12/2018
Transocean Inc 7.125% due 15/12/2021
France (2.80%)
Crown European Holdings SA 4.000% due 15/07/2022
Groupama SA 6.375% (Perpetual)
Peugeot SA 7.375% due 06/03/2018
Vallourec SA 2.250% due 30/09/2024
Germany (2.79%)
Deutsche Lufthansa AG 5.125% due 12/08/2075
RWE AG 2.750% due 21/04/2075
RWE AG 3.500% due 21/04/2075
Thyssenkrupp AG 2.750% due 08/03/2021
Unitymedia Hessen GmbH & Co KG 4.000% due 15/01/2025
Ireland (1.71%)
Ardagh Packaging Finance Plc 4.250% due 15/01/2022
Smurfit Kappa Acquisitions 3.250% due 01/06/2021
Italy (5.15%)
Autostrada Brescia Verona Vicenza Padova SpA 2.375%
due 20/03/2020
Banco Popolare SC 3.500% due 14/03/2019
Iccrea Banca SpA 1.875% due 25/11/2019
Telecom Italia SpA 3.250% due 16/01/2023
UniCredit SpA 6.950% due 31/10/2022
82,019
0.85
162,452
81,060
82,987
89,134
1.68
0.84
0.86
0.92
497,652
5.15
EUR
100,000
Japan (0.84%)
SoftBank Group Corp 4.750% due 30/07/2025
80,679
0.84
EUR
USD
100,000
70,000
Luxembourg (4.57%)
Altice Luxembourg SA 7.250% due 15/05/2022
ArcelorMittal 7.250% due 25/02/2022
78,995
48,246
0.82
0.5
65
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
EUR
100,000
40,000
USD
EUR
EUR
GBP
EUR
EUR
62,000
56,000
100,000
100,000
28,000
100,000
100,000
100,000
100,000
TRANSFERABLE SECURITIES cont/d
Bonds (97.43%) cont/d
Luxembourg (4.57%) cont/d
Gestamp Funding Luxembourg SA 5.875% due 31/05/2020
HeidelbergCement Finance Luxembourg SA 3.250%
due 21/10/2021
Intelsat Jackson Holdings SA 7.250% due 01/04/2019
Intelsat Luxembourg SA 7.750% due 01/06/2021
Wind Acquisition Finance SA 4.000% due 15/07/2020
Wind Acquisition Finance SA 7.000% due 23/04/2021
Netherlands (2.05%)
Fresenius Finance BV 4.250% due 15/04/2019
Koninklijke KPN NV 6.875% due 14/03/2073
Repsol International Finance BV 3.875% (Perpetual)
Spain (1.63%)
Bankia SA 4.000% due 22/05/2024
CaixaBank SA 5.000% due 14/11/2023
EUR
100,000
Sweden (0.81%)
Volvo Treasury AB 4.200% due 10/06/2075
EUR
100,000
100,000
100,000
100,000
66,000
58,000
100,000
100,000
100,000
United Kingdom (7.17%)
Ineos Finance Plc 4.000% due 01/05/2023
International Game Technology Plc 4.125% due 15/02/2020
Matalan Finance Plc 6.875% due 01/06/2019
Old Mutual Plc 8.000% due 03/06/2021
Royal Bank of Scotland Group Plc 6.125% due 15/12/2022
Royal Bank of Scotland Group Plc 6.000% due 19/12/2023
Royal Bank of Scotland Group Plc 5.125% due 28/05/2024
Synlab Bondco Plc 6.250% due 01/07/2022
Virgin Media Secured Finance Plc 5.500% due 15/01/2021
GBP
USD
EUR
GBP
USD
184,000
38,000
52,000
42,000
74,000
80,000
38,000
44,000
45,000
52,000
46,000
56,000
50,000
50,000
70,000
40,000
70,000
40,000
United States (63.61%)
ADT Corp 4.875% due 15/07/2042
Advanced Disposal Services Inc 8.250% due 01/10/2020
AECOM 5.875% due 15/10/2024
AES Corp 7.375% due 01/07/2021
Alcoa Inc 5.125% due 01/10/2024
Ally Financial Inc 3.600% due 21/05/2018
Alphabet Holding Co Inc 7.750% due 01/11/2017
AMC Networks Inc 4.750% due 15/12/2022
American Axle & Manufacturing Inc 6.625% due 15/10/2022
AmeriGas Finance LLC 7.000% due 20/05/2022
Amsurg Corp 5.625% due 15/07/2022
Antero Resources Corp 5.375% due 01/11/2021
Antero Resources Corp 5.125% due 01/12/2022
APX Group Inc 8.750% due 01/12/2020
Ashland Inc 3.875% due 15/04/2018
Ashland Inc 4.750% due 15/08/2022
Avis Budget Car Rental LLC 5.500% due 01/04/2023
Ball Corp 4.000% due 15/11/2023
Fair Value
GBP
% of SubFund
82,059
0.85
34,232
0.35
31,813
11,591
78,301
75,922
0.33
0.12
0.81
0.79
441,159
4.57
24,772
103,370
69,683
0.26
1.07
0.72
197,825
2.05
76,113
81,084
0.79
0.84
157,197
1.63
78,682
0.81
76,929
80,878
84,000
104,250
48,710
40,870
66,888
83,653
106,000
0.80
0.84
0.87
1.08
0.50
0.42
0.69
0.87
1.10
692,178
7.17
85,772
26,965
37,264
32,728
48,831
55,173
26,637
30,689
32,483
37,083
32,965
36,040
31,570
30,004
50,346
28,247
47,728
27,412
0.89
0.28
0.39
0.34
0.51
0.57
0.28
0.32
0.34
0.38
0.34
0.37
0.33
0.31
0.52
0.29
0.49
0.28
66
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
34,000
42,000
36,000
60,000
68,000
58,000
40,000
52,000
46,000
46,000
46,000
60,000
41,000
104,000
148,000
36,000
36,000
64,000
78,000
38,000
62,000
84,000
56,000
64,000
36,000
56,000
64,000
36,000
66,000
50,000
76,000
60,000
64,000
64,000
74,000
40,000
80,000
65,000
40,000
36,000
80,000
90,000
56,000
132,000
38,000
54,000
64,000
77,000
38,000
36,000
88,000
64,000
88,000
36,000
TRANSFERABLE SECURITIES cont/d
Bonds (97.43%) cont/d
United States (63.61%) cont/d
Ball Corp 5.250% due 01/07/2025
Berry Plastics Corp 5.125% due 15/07/2023
Boyd Gaming Corp 6.875% due 15/05/2023
Caesars Entertainment Resort Properties LLC 11.000% due
01/10/2021
Calpine Corp 5.375% due 15/01/2023
Calpine Corp 5.750% due 15/01/2025
Calumet Specialty Products Partners LP 6.500%
due 15/04/2021
Carrizo Oil & Gas Inc 6.250% due 15/04/2023
Case New Holland Industrial Inc 7.875% due 01/12/2017
CCO Holdings LLC 5.250% due 30/09/2022
CCO Holdings LLC 5.125% due 15/02/2023
CDW LLC 6.000% due 15/08/2022
Celanese US Holdings LLC 4.625% due 15/11/2022
CenturyLink Inc 5.800% due 15/03/2022
CIT Group Inc 5.250% due 15/03/2018
Clean Harbors Inc 5.250% due 01/08/2020
Clean Harbors Inc 5.125% due 01/06/2021
Clear Channel Worldwide Holdings Inc 6.500% due 15/11/2022
(5B22)
Clear Channel Worldwide Holdings Inc 6.500% due 15/11/2022
(5N22)
Community Health Systems Inc 5.125% due 15/08/2018
Community Health Systems Inc 8.000% due 15/11/2019
Community Health Systems Inc 6.875% due 01/02/2022
Concho Resources Inc 6.500% due 15/01/2022
CONSOL Energy Inc 5.875% due 15/04/2022
Constellation Brands Inc 6.000% due 01/05/2022
Constellation Brands Inc 4.250% due 01/05/2023
CSC Holdings LLC 6.750% due 15/11/2021
DaVita HealthCare Partners Inc 5.750% due 15/08/2022
DaVita HealthCare Partners Inc 5.125% due 15/07/2024
DaVita HealthCare Partners Inc 5.000% due 01/05/2025
Denbury Resources Inc 5.500% due 01/05/2022
DISH DBS Corp 6.750% due 01/06/2021
DISH DBS Corp 5.875% due 15/07/2022
DISH DBS Corp 5.875% due 15/11/2024
DR Horton Inc 3.750% due 01/03/2019
DuPont Fabros Technology LP 5.875% due 15/09/2021
Dynegy Inc 7.375% due 01/11/2022
Dynegy Inc 7.625% due 01/11/2024
Eagle Spinco Inc 4.625% due 15/02/2021
Edgewell Personal Care Co 4.700% due 19/05/2021
Energy Transfer Equity LP 5.875% due 15/01/2024
EP Energy LLC 9.375% due 01/05/2020
Equinix Inc 5.375% due 01/04/2023
Equinix Inc 5.875% due 15/01/2026
FirstEnergy Corp 4.250% due 15/03/2023
Frontier Communications Corp 7.125% due 15/01/2023
GLP Capital LP 4.875% due 01/11/2020
Goodyear Tire & Rubber Co 7.000% due 15/05/2022
Gray Television Inc 7.500% due 01/10/2020
Gulfport Energy Corp 7.750% due 01/11/2020
HCA Inc 6.500% due 15/02/2020
HCA Inc 7.500% due 15/02/2022
HCA Inc 5.375% due 01/02/2025
HD Supply Inc 7.500% due 15/07/2020
Fair Value
GBP
% of SubFund
24,838
29,441
26,675
0.26
0.30
0.28
35,588
0.37
45,862
38,739
0.47
0.40
19,759
0.20
31,883
34,405
32,965
32,644
44,119
28,697
69,615
106,523
25,671
25,329
0.33
0.36
0.34
0.34
0.46
0.30
0.72
1.10
0.27
0.26
42,413
0.44
53,997
0.56
26,637
42,004
52,745
38,864
32,088
28,178
39,839
45,730
26,143
46,379
34,440
23,795
43,102
42,190
40,854
52,515
29,152
51,485
41,040
26,928
26,569
47,589
31,583
40,326
96,844
27,522
33,250
46,309
57,457
27,893
25,047
67,195
50,428
61,896
26,581
0.28
0.43
0.55
0.40
0.33
0.29
0.41
0.47
0.27
0.48
0.36
0.25
0.45
0.44
0.42
0.54
0.30
0.53
0.42
0.28
0.27
0.49
0.33
0.42
1.00
0.28
0.34
0.48
0.59
0.29
0.26
0.70
0.52
0.64
0.27
67
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
USD
70,000
52,000
50,000
38,000
34,000
130,000
78,000
42,000
40,000
42,000
88,000
52,000
68,000
48,000
50,000
42,000
41,000
60,000
50,000
112,000
48,000
102,000
46,000
94,000
48,000
50,000
40,000
46,000
74,000
50,000
38,000
44,000
50,000
36,000
58,000
38,000
52,000
17,000
43,000
82,000
46,000
52,000
100,000
50,000
62,000
130,000
70,000
46,000
180,000
46,000
40,000
56,000
46,000
46,000
52,000
200,000
52,000
TRANSFERABLE SECURITIES cont/d
Bonds (97.43%) cont/d
United States (63.61%) cont/d
Hexion Inc 6.625% due 15/04/2020
Hilton Worldwide Finance LLC 5.625% due 15/10/2021
HRG Group Inc 7.750% due 15/01/2022
Hughes Satellite Systems Corp 7.625% due 15/06/2021
IASIS Healthcare LLC 8.375% due 15/05/2019
Icahn Enterprises LP 6.000% due 01/08/2020
iHeartCommunications Inc 9.000% due 15/12/2019
International Lease Finance Corp 6.250% due 15/05/2019
Iron Mountain Inc 5.750% due 15/08/2024
iStar Inc 5.000% due 01/07/2019
Kennedy-Wilson Inc 5.875% due 01/04/2024
Kindred Healthcare Inc 8.000% due 15/01/2020
Kinetic Concepts Inc 12.500% due 01/11/2019
L Brands Inc 5.625% due 15/02/2022
Lamar Media Corp 5.375% due 15/01/2024
Lear Corp 5.250% due 15/01/2025
Lennar Corp 4.750% due 15/11/2022
Level 3 Financing Inc 5.375% due 15/08/2022
LifePoint Health Inc 5.500% due 01/12/2021
Masco Corp 4.450% due 01/04/2025
Memorial Resource Development Corp 5.875% due
01/07/2022
MGM Resorts International 6.000% due 15/03/2023
Micron Technology Inc 5.500% due 01/02/2025
Navient Corp 5.500% due 15/01/2019
NCR Corp 6.375% due 15/12/2023
Newfield Exploration Co 5.625% due 01/07/2024
Newfield Exploration Co 5.375% due 01/01/2026
Nielsen Finance LLC 4.500% due 01/10/2020
NRG Energy Inc 6.250% due 15/07/2022
Oasis Petroleum Inc 6.875% due 15/03/2022
ONEOK Inc 7.500% due 01/09/2023
PBF Holding Co LLC 8.250% due 15/02/2020
Pinnacle Entertainment Inc 6.375% due 01/08/2021
PolyOne Corp 5.250% due 15/03/2023
Post Holdings Inc 7.375% due 15/02/2022
PVH Corp 4.500% due 15/12/2022
QEP Resources Inc 5.250% due 01/05/2023
Range Resources Corp 5.000% due 15/08/2022
Range Resources Corp 5.000% due 15/03/2023
Reynolds Group Issuer Inc 5.750% due 15/10/2020
Rice Energy Inc 6.250% due 01/05/2022
Rite Aid Corp 6.750% due 15/06/2021
Sabine Pass Liquefaction LLC 5.750% due 15/05/2024
Sally Holdings LLC 5.750% due 01/06/2022
Sanchez Energy Corp 6.125% due 15/01/2023
SBA Telecommunications Inc 5.750% due 15/07/2020
Scientific Games International Inc 10.000% due 01/12/2022
Service Corp International 5.375% due 15/05/2024
SESI LLC 7.125% due 15/12/2021
Silgan Holdings Inc 5.000% due 01/04/2020
Sinclair Television Group Inc 5.375% due 01/04/2021
SM Energy Co 5.000% due 15/01/2024
Smithfield Foods Inc 6.625% due 15/08/2022
Spectrum Brands Inc 6.625% due 15/11/2022
Springleaf Finance Corp 5.250% due 15/12/2019
Sprint Corp 7.125% due 15/06/2024
Steel Dynamics Inc 5.125% due 01/10/2021
Fair Value
GBP
% of SubFund
40,423
37,489
34,526
29,479
23,330
87,960
40,159
31,157
28,526
28,053
59,848
35,908
41,190
36,382
36,276
30,281
28,597
42,392
36,353
80,830
0.42
0.39
0.36
0.30
0.24
0.91
0.42
0.32
0.29
0.29
0.62
0.37
0.43
0.38
0.38
0.31
0.30
0.44
0.38
0.84
28,220
0.29
73,450
25,943
64,256
34,398
32,613
25,325
32,724
47,881
25,743
25,711
31,684
36,875
24,922
42,674
27,099
31,476
10,201
25,355
58,549
27,844
38,214
66,444
36,396
23,294
93,387
39,449
33,845
94,496
32,644
28,700
26,969
34,005
34,604
34,551
103,319
36,541
0.76
0.27
0.67
0.36
0.34
0.26
0.34
0.50
0.27
0.27
0.33
0.38
0.26
0.44
0.28
0.33
0.11
0.26
0.61
0.29
0.40
0.69
0.38
0.24
0.97
0.41
0.35
0.98
0.34
0.30
0.28
0.35
0.36
0.36
1.07
0.38
68
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Principal
Amount
Fair Value
GBP
% of SubFund
42,363
41,007
36,135
49,936
35,901
41,494
93,048
24,233
26,438
52,679
37,277
35,918
35,953
31,455
45,293
28,707
26,383
34,565
37,014
36,405
36,569
26,662
27,176
80,992
0.44
0.42
0.37
0.52
0.37
0.43
0.96
0.25
0.27
0.55
0.39
0.37
0.37
0.33
0.47
0.30
0.27
0.36
0.38
0.38
0.38
0.28
0.28
0.83
6,140,260
63.61
Total Bonds
9,404,405
97.43
Total Transferable Securities
9,404,405
97.43
Amount Sold
Unrealised
Gain/(Loss)
GBP
% of SubFund
3,026,000
9,004,000
182,000
(37,179)
195,393
3,910
(0.38)
2.02
0.04
199,303
2.06
Unrealised loss on foreign currency exchange contracts
(37,179)
(0.38)
Net unrealised gain on foreign currency exchange contracts
162,124
1.68
Fair Value
GBP
% of SubFund
9,566,529
99.11
85,808
0.89
9,652,337
100.00
USD
EUR
58,000
56,000
50,000
76,000
48,000
56,000
130,000
36,000
38,000
76,000
54,000
50,000
52,000
44,000
62,000
42,000
32,000
48,000
80,000
70,000
72,000
38,000
36,000
100,000
TRANSFERABLE SECURITIES cont/d
Bonds (97.43%) cont/d
United States (63.61%) cont/d
T-Mobile USA Inc 6.250% due 01/04/2021
T-Mobile USA Inc 6.625% due 01/04/2023
T-Mobile USA Inc 6.500% due 15/01/2026
Targa Resources Partners LP 4.125% due 15/11/2019
TEGNA Inc 6.375% due 15/10/2023
Tenet Healthcare Corp 6.000% due 01/10/2020
Tenet Healthcare Corp 8.125% due 01/04/2022
Terex Corp 6.000% due 15/05/2021
Tesoro Logistics LP 6.125% due 15/10/2021
TransDigm Inc 6.000% due 15/07/2022
TransDigm Inc 6.500% due 15/07/2024
United Rentals North America Inc 6.125% due 15/06/2023
United Rentals North America Inc 4.625% due 15/07/2023
US Foods Inc 8.500% due 30/06/2019
Vector Group Ltd 7.750% due 15/02/2021
VEREIT Operating Partnership LP 3.000% due 06/02/2019
Vulcan Materials Co 7.500% due 15/06/2021
WellCare Health Plans Inc 5.750% due 15/11/2020
Whiting Petroleum Corp 5.750% due 15/03/2021
Windstream Services LLC 7.500% due 01/04/2023
WPX Energy Inc 6.000% due 15/01/2022
Wynn Las Vegas LLC 5.375% due 15/03/2022
Zebra Technologies Corp 7.250% due 15/10/2022
ZF North America Capital Inc 2.250% due 26/04/2019
Financial Derivative Instruments (1.68%)
Forward Currency Contracts (1.68%)
Settlement Date
05/04/2016
Currency Bought
Amount Bought
Currency Sold
GBP
2,362,026
05/04/2016
GBP
6,459,898
05/04/2016
GBP
130,536
Unrealised gain on foreign currency exchange contracts
Portfolio of Investments
Other Net Assets
Net Assets
EUR
USD
USD
69
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Investments as at 31 March 2016 cont/d
Analysis of Total Assets
Transferable securities admitted to an official stock exchange listing
Transferable securities traded on a regulated market
Other transferable securities of the type referred to in Regulation 68(1)(a), (b) and (c)
Over the counter financial derivative instruments
Current Assets
Total Assets
% of Total
Assets
64.47
25.42
3.23
1.97
4.91
100.00
The counterparties for the forward currency contracts are:
HSBC Bank Plc
Rabobank Nederland
Country classifications are based upon country of incorporation and/or country of domicile.
70
BMO UCITS ETF ICAV
BMO MSCI UK Income Leaders UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
British American Tobacco Plc
Cost GBP
406,541
Imperial Brands Plc
405,768
Rolls-Royce Holdings Plc
404,350
Unilever Plc
400,201
BT Group Plc
398,055
AstraZeneca Plc
373,664
Diageo Plc
373,180
Kingfisher Plc
369,411
WPP Plc
368,891
ITV Plc
362,541
BAE Systems Plc
358,990
Legal & General Group Plc
358,534
Marks & Spencer Group Plc
357,864
Rio Tinto Plc
345,532
Pearson Plc
321,599
Persimmon Plc
315,659
GlaxoSmithKline Plc
227,038
Rexam Plc
205,443
Smiths Group Plc
203,793
Admiral Group Plc
189,011
William Hill Plc
163,723
Meggitt Plc
157,005
Aberdeen Asset Management Plc
150,285
IMI Plc
131,706
Hargreaves Lansdown Plc
129,754
ICAP Plc
128,899
J Sainsbury Plc
125,370
Aggreko Plc
117,491
Weir Group Plc
110,732
Tate & Lyle Plc
96,161
easyJet Plc
95,456
Melrose Industries Plc
91,407
Major Sales
Proceeds GBP
GlaxoSmithKline Plc
220,847
Hargreaves Lansdown Plc
131,606
J Sainsbury Plc
115,082
Tate & Lyle Plc
92,734
easyJet Plc
88,566
Petrofac Ltd
72,172
BT Group Plc
35,160
71
BMO UCITS ETF ICAV
BMO MSCI UK Income Leaders UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
Imperial Brands Plc
27,298
British American Tobacco Plc
26,838
Persimmon Plc
25,846
Smiths Group Plc
17,908
AstraZeneca Plc
15,439
Meggitt Plc
14,837
Admiral Group Plc
14,747
Aberdeen Asset Management Plc
14,008
Legal & General Group Plc
13,810
William Hill Plc
13,707
Melrose Industries Plc
12,719
ICAP Plc
12,263
Melrose Industries Plc
12,036
IMI Plc
11,397
72
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Microsoft Corp
Cost USD
730,565
Exxon Mobil Corp
683,154
Apple Inc
636,626
Johnson & Johnson
588,797
Procter & Gamble Co
444,014
Pfizer Inc
415,426
Coca-Cola Co
367,086
Chevron Corp
354,199
Home Depot Inc
330,540
Intel Corp
319,753
PepsiCo Inc
305,227
Cisco Systems Inc
287,464
International Business Machines Corp
258,231
Amgen Inc
245,139
McDonald's Corp
225,383
Bristol-Myers Squibb Co
222,829
Wal-Mart Stores Inc
205,316
3M Co
203,934
Schlumberger Ltd
197,849
Boeing Co
180,594
United Technologies Corp
167,057
Eli Lilly & Co
162,389
Qualcomm Inc
160,273
Honeywell International Inc
160,025
Walgreens Boots Alliance Inc
150,386
Union Pacific Corp
148,778
Lowe's Cos Inc
136,880
Major Sales*
Proceeds USD
Microsoft Corp
68,683
Occidental Petroleum Corp
64,993
Sysco Corp
27,326
L Brands Inc
26,518
Baxter International Inc
22,924
Reynolds American Inc
20,993
NVIDIA Corp
19,123
Invesco Ltd
16,235
JM Smucker Co
15,388
Brown-Forman Corp
13,737
Harris Corp
11,469
Tegna Inc
6,807
73
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders UCITS ETF cont/d
Major Sales* cont/d
Proceeds USD
Chesapeake Energy Corp
3,147
*Represents total sales during the period.
74
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Microsoft Corp
Cost GBP
423,879
Exxon Mobil Corp
386,876
Apple Inc
372,127
Johnson & Johnson
334,943
Procter & Gamble Co
248,615
Pfizer Inc
238,088
Coca-Cola Co
208,222
Chevron Corp
203,394
Home Depot Inc
190,981
Intel Corp
185,845
PepsiCo Inc
173,561
Cisco Systems Inc
164,839
International Business Machines Corp
149,855
Amgen Inc
140,954
McDonald's Corp
129,005
Bristol-Myers Squibb Co
128,137
3M Co
116,818
Wal-Mart Stores Inc
115,272
Schlumberger Ltd
112,741
Boeing Co
106,520
United Technologies Corp
96,519
Qualcomm Inc
93,749
Eli Lilly & Co
93,518
Honeywell International Inc
91,003
Walgreens Boots Alliance Inc
86,254
Union Pacific Corp
85,272
Lowe's Cos Inc
79,798
Major Sales
Proceeds GBP
Microsoft Corp
69,548
Occidental Petroleum Corp
39,511
Apple Inc
28,991
Exxon Mobil Corp
23,809
Johnson & Johnson
21,471
Sysco Corp
16,624
L Brands Inc
16,159
Procter & Gamble Co
15,182
Home Depot Inc
15,122
Baxter International Inc
13,928
Pfizer Inc
13,715
Coca-Cola Co
13,079
75
BMO UCITS ETF ICAV
BMO MSCI USA Income Leaders (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
McDonald's Corp
12,782
Reynolds American Inc
12,748
Intel Corp
12,530
PepsiCo Inc
12,527
Qualcomm Inc
11,881
NVIDIA Corp
11,629
Chevron Corp
11,621
International Business Machines Corp
10,641
Invesco Ltd
9,890
Cisco Systems Inc
9,697
JM Smucker Co
9,417
Amgen Inc
9,406
3M Co
9,049
Brown-Forman Corp
8,377
Wal-Mart Stores Inc
8,373
Bristol-Myers Squibb Co
7,710
Boeing Co
7,611
Honeywell International Inc
7,163
Monsanto Co
7,116
Schlumberger Ltd
7,035
Harris Corp
7,012
76
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Nestle SA
Cost EUR
725,847
Sanofi
703,412
Anheuser-Busch InBev SA
699,417
Roche Holding AG
693,041
Siemens AG
680,933
Unilever NV
649,942
Novartis AG
645,278
Daimler AG
642,556
BASF SE
608,595
AXA SA
426,801
ABB Ltd
358,389
Iberdrola SA
348,298
Syngenta AG
323,837
Zurich Insurance Group AG
319,885
Hennes & Mauritz AB
305,839
Vinci SA
293,029
Schneider Electric SE
290,363
Enel SpA
269,640
Deutsche Post AG
226,834
Sampo OYJ
187,238
Koninklijke Ahold NV
166,662
Cie Generale des Etablissements Michelin
161,500
Givaudan SA
159,005
RELX NV
150,353
Statoil ASA
148,762
Deutsche Boerse AG
147,865
Investor AB
140,845
Major Sales
Proceeds EUR
Bayerische Motoren Werke AG
141,389
Telefonaktiebolaget LM Ericsson
116,065
Wolters Kluwer NV
40,840
Anheuser-Busch InBev SA
35,968
Bouygues SA
29,745
Fortum OYJ
25,382
Technip SA
21,526
Bayerische Motoren Werke AG
17,850
Millicom International Cellular SA
15,202
Deutsche Lufthansa AG
12,979
ICA Gruppen AB
10,671
Seadrill Ltd
8,586
77
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders UCITS ETF cont/d
Major Sales cont/d
Proceeds EUR
Nestle SA
8,297
Siemens AG
6,378
Koninklijke Ahold NV
5,394
Sulzer AG
4,051
Sanofi
2,927
RELX NV
1,949
AXA SA
1,536
Adecco SA
1,361
78
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Sanofi
Cost GBP
318,253
Nestle SA
304,497
Anheuser-Busch InBev SA
301,632
Roche Holding AG
296,127
Siemens AG
291,315
Daimler AG
287,909
Novartis AG
287,184
Unilever NV
275,411
BASF SE
272,975
AXA SA
187,658
ABB Ltd
154,797
Iberdrola SA
144,694
Zurich Insurance Group AG
143,282
Hennes & Mauritz AB
134,193
Schneider Electric SE
126,717
Syngenta AG
124,533
Vinci SA
119,727
Enel SpA
116,178
Deutsche Post AG
101,542
Bayerische Motoren Werke AG
95,221
Telefonaktiebolaget LM Ericsson
86,020
Sampo OYJ
80,712
Koninklijke Ahold NV
68,864
Cie Generale des Etablissements Michelin
68,648
Statoil ASA
66,068
Givaudan SA
64,260
RELX NV
64,199
Deutsche Boerse AG
62,558
Major Sales
Proceeds GBP
Bayerische Motoren Werke AG
104,419
Telefonaktiebolaget LM Ericsson
85,665
Anheuser-Busch InBev SA
51,629
Nestle SA
31,613
Wolters Kluwer NV
30,123
Siemens AG
29,200
Roche Holding AG
28,306
Sanofi
28,281
Unilever NV
26,386
Daimler AG
25,995
Novartis AG
25,873
79
BMO UCITS ETF ICAV
BMO MSCI Europe ex-UK Income Leaders (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
BASF SE
24,010
Bouygues SA
21,970
Fortum OYJ
18,739
AXA SA
15,952
Technip SA
15,869
ABB Ltd
14,561
Iberdrola SA
14,027
Bayerische Motoren Werke AG (Preferred)
13,192
Zurich Insurance Group AG
12,965
Syngenta AG
12,176
Schneider Electric SE
11,775
Millicom International Cellular SA
11,252
Hennes & Mauritz AB
10,895
Enel SpA
10,825
Vinci SA
10,627
Koninklijke Ahold NV
10,061
Deutsche Lufthansa AG
9,582
80
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Credit Suisse AG 1.375% due 26/05/2017
Cost GBP
162,939
Bank of Tokyo-Mitsubishi UFJ Ltd 2.350% due 23/02/2017
132,425
Daimler Finance North America LLC 2.375% due 01/08/2018
100,249
Daimler Finance North America LLC 1.875% due 11/01/2018
97,863
Caterpillar Financial Services Corp 1.000% due 03/03/2017
85,026
DNB Bank ASA 3.000% due 26/09/2023
82,190
AbbVie Inc 1.750% due 06/11/2017
81,476
Hutchison Whampoa Europe Finance 13 Ltd 3.750% due 29/05/2049
81,139
Santander Consumer Finance SA 1.100% due 30/07/2018
80,623
Svenska Handelsbanken AB 2.656% due 15/01/2024
80,535
Abbey National Treasury Services Plc 2.000% due 14/01/2019
79,622
Auchan Holding SA 3.625% due 19/10/2018
77,805
Terna Rete Elettrica Nazionale SpA 2.875% due 16/02/2018
75,238
Svenska Handelsbanken AB 3.375% due 17/07/2017
75,043
DNB Bank ASA 4.750% due 08/03/2022
74,757
Swedbank AB 3.375% due 09/02/2017
74,106
FCA Capital Ireland Plc 2.875% due 26/01/2018
73,757
Credit Agricole SA 1.875% due 18/10/2017
73,454
Banque Federative du Credit Mutuel SA 1.625% due 11/01/2018
73,245
BPCE SA 1.625% due 08/02/2017
72,459
Santander International Debt SAU 1.375% due 25/03/2017
72,193
Standard Chartered Plc 1.625% due 20/11/2018
72,160
Cooperatieve Rabobank UA 3.500% due 17/10/2018
68,908
Wells Fargo & Co 2.625% due 15/12/2016
66,699
Canadian Imperial Bank of Commerce 2.650% due 08/11/2016
65,641
HSBC USA Inc 1.625% due 16/01/2018
65,114
Actavis Inc 1.875% due 01/10/2017
62,749
Abbey National Treasury Services Plc 3.050% due 23/08/2018
61,213
Macquarie Group Ltd 3.000% due 03/12/2018
59,351
Vodafone Group Plc 1.500% due 19/02/2018
58,214
Bank of Nova Scotia 1.330% due 01/05/2018
58,101
Anheuser-Busch InBev Worldwide Inc 1.375% due 15/07/2017
56,816
US Bancorp 2.200% due 15/11/2016
56,351
Major Sales
Proceeds GBP
Bank of Tokyo-Mitsubishi UFJ Ltd 2.350% due 23/02/2017
144,666
Daimler Finance North America LLC 1.875% due 11/01/2018
99,369
Caterpillar Financial Services Corp 1.000% due 03/03/2017
91,549
Auchan Holding SA 3.625% due 19/10/2018
83,233
DNB Bank ASA 4.750% due 08/03/2022
81,981
Swedbank AB 3.375% due 09/02/2017
80,464
81
BMO UCITS ETF ICAV
BMO Barclays 1-3 Year Global Corporate Bond (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
Santander International Debt SAU 1.375% due 25/03/2017
80,304
Svenska Handelsbanken AB 3.375% due 17/07/2017
80,034
BPCE SA 1.625% due 08/02/2017
79,305
Wells Fargo & Co 2.625% due 15/12/2016
68,896
Canadian Imperial Bank of Commerce 2.650% due 08/11/2016
65,765
Abbey National Treasury Services Plc 3.050% due 23/08/2018
65,188
US Bancorp 2.200% due 15/11/2016
57,144
Deutsche Bank AG 1.350% due 30/05/2017
54,689
Lloyds Bank Plc 11.875% due 16/12/2021
50,684
BNP Paribas SA 2.875% due 27/11/2017
47,197
General Electro Co 1.625% due 02/04/2018
41,596
Macquarie Bank Ltd 5.000% due 22/02/2017
41,423
Hyundai Capital America 1.450% due 02/06/2017
37,017
Bank of Nova Scotia 1.330% due 01/05/2018
36,908
Phillips 66 2.950% due 01/05/2017
35,735
Vodafone Group Plc 1.250% due 26/09/2017
35,722
General Motors Co 3.500% due 02/10/2018
33,108
Occidental Petroleum Corp 1.750% due 15/02/2017
30,991
Amgen Inc 1.250% due 22/05/2017
30,487
BHP Billiton Finance USA Ltd 1.625% due 24/02/2017
30,006
Morgan Stanley 1.875% due 05/01/2018
29,524
DIRECTV Holdings LLC 2.400% due 15/03/2017
28,972
BMW Finance NV 0.500% due 05/09/2018
27,302
National Australia Bank Ltd 6.000% due 15/02/2017
24,750
Bank of Nova Scotia 1.450% due 25/04/2018
21,418
82
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
AT&T Inc 2.450% due 30/06/2020
Cost GBP
118,246
Daimler Finance North America LLC 2.450% due 18/05/2020
98,616
Svenska Handelsbanken AB 4.375% due 20/10/2021
96,221
Daimler AG 1.500% due 19/11/2018
94,899
American Tower Corp 3.500% due 31/01/2023
90,840
Santander International Debt SAU 4.000% due 24/01/2020
87,173
Coca-Cola Co 3.300% due 01/09/2021
84,314
Mitsui Sumitomo Insurance Co Ltd 7.000% due 15/03/2072
82,793
American Tower Corp 3.400% due 15/02/2019
80,899
Nomura Europe Finance NV 1.500% due 12/05/2021
80,638
Coca-Cola Co 1.650% due 01/11/2018
80,517
Repsol International Finance BV 4.875% due 19/02/2019
79,917
Barclays Plc 1.875% due 23/03/2021
79,830
Credit Agricole SA 3.875% due 13/02/2019
78,962
Abbey National Treasury Services Plc 1.125% due 14/01/2022
79,063
Svenska Handelsbanken AB 1.125% due 14/12/2022
77,549
UniCredit SpA 3.625% due 24/01/2019
77,501
Microsoft Corp 2.125% due 06/12/2021
76,794
Danone SA 2.250% due 15/11/2021
76,716
Assicurazioni Generali SpA 2.875% due 14/01/2020
76,693
Major Sales
Proceeds GBP
Daimler AG 1.500% due 19/11/2018
93,702
Credit Agricole SA 3.875% due 13/02/2019
86,441
American Tower Corp 3.400% due 15/02/2019
85,930
ABB Finance BV 2.625% due 26/03/2019
85,056
Repsol International Finance BV 4.875% due 19/02/2019
82,517
UniCredit SpA 3.625% due 24/01/2019
82,378
Coca-Cola Co 1.650% due 01/11/2018
81,838
Svenska Handelsbanken AB 1.125% due 14/12/2022
81,599
Teva Pharmaceutical Finance IV BV 2.875% due 15/04/2019
80,393
Svenska Handelsbanken AB 2.656% due 15/01/2014
78,924
Telefonica Emisiones SAU 5.462% due 16/02/2021
78,612
Verizon Communications Inc 2.375% due 17/02/2022
75,982
Deutsche Bank AG 1.250% due 08/09/2021
75,015
Barclays Plc 2.625% due 11/11/2025
73,044
HSBC Holdings Plc 4.000% due 30/03/2022
72,995
Rio Tinto Finance USA Plc 2.250% due 14/12/2018
70,385
Chevron Corp 2.427% due 24/06/2020
66,725
John Deere Capital Corp 1.950% due 13/12/2018
60,862
Procter & Gamble Co 1.600% due 15/11/2018
58,956
83
BMO UCITS ETF ICAV
BMO Barclays 3-7 Year Global Corporate Bond (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
Nomura Holdings 2.750% due 19/03/2019
46,508
Exxon Mobil Corp 2.397% due 06/03/2022
46,503
Boston Properties LP 3.700% due 15/11/2018
44,257
Dow Chemical Co 4.250% due 15/11/2020
42,515
Wells Fargo & Co 4.600% due 01/04/2021
41,573
Dai-ichi Life Insurance Co Ltd 7.250% (Perpetual)
40,875
Orange SA 3.875% due 14/01/2021
40,691
Zimmer Biomet Holdings Inc 2.700% due 01/04/2020
40,664
United Parcel Service Inc 3.125% due 15/01/2021
39,625
Thermo Fisher Scientific Inc 3.600% due 15/08/2021
38,697
Berkshire Hathaway Finance Corp 4.250% due 15/01/2021
38,575
Goldman Sachs Group Inc 2.625% due 31/01/2019
37,578
New York Life Global Funding 2.100% due 02/01/2019
36,838
BNP Paribas SA 5.000% due 15/01/2021
36,829
Berkshire Hathaway Finance Corp 3.000% due 15/05/2020
36,202
Bank of America Corp 2.600% due 15/01/2019
32,535
Barrick North America Finance LLC 4.400% due 30/05/2021
32,414
Caisse Centrale Desjardins 2.795% due 19/11/2018
31,814
DirecTV Holdings LLC 3.800% due 15/03/2022
30,948
Georgia-Pacific LLC 5.400% due 01/11/2020
27,884
Coca-Cola Co 3.300% due 01/09/2021
23,670
84
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Standard Chartered Plc 3.200% due 17/04/2025
Cost GBP
125,217
Western Power Distribution Plc 3.625% due 06/11/2023
99,705
BP Capital Markets Plc 3.814% due 10/02/2024
99,017
Sumitomo Mitsui Financial Group Inc 3.784% due 09/03/2026
90,501
Telstra Corp Ltd 3.125% due 07/04/2025
88,396
BNP Paribas SA 2.375% due 20/05/2024
88,297
BNP Paribas SA 4.500% due 21/03/2023
87,072
Glencore Funding LLC 4.625% due 29/04/2024
83,015
Verizon Communications Inc 3.500% due 11/01/2024
81,119
Vonovia Finance BV 2.250% due 15/12/2023
77,542
AT&T Inc 3.400% due 15/05/2025
77,209
CRH Finance Ltd 3.125% due 03/04/2023
77,150
Deutsche Bank AG 2.375% due 11/01/2023
75,607
Credit Agricole SA 2.375% due 20/05/2024
75,313
Nationwide Building Society 1.250% due 03/03/2025
75,113
Standard Chartered Plc 3.625% due 23/11/2022
73,679
Enel Finance International NV 1.966% due 27/01/2025
73,166
Volkswagen Leasing GmbH 2.625% due 15/01/2024
71,844
Procter&Gamble Co 1.125% due 02/11/2023
71,096
International Business Machines Corp 1.250% due 26/05/2023
70,962
Major Sales
Proceeds GBP
BNP Paribas SA 4.500% due 21/03/2023
98,581
Deutsche Bank AG 2.375% due 11/01/2023
80,811
Procter&Gamble Co 1.125% due 02/11/2023
77,324
Coca-Cola Co 0.750% due 09/03/2023
75,601
Vodafone Group Plc 2.950% due 19/02/2023
71,583
Standard Chartered Plc 3.625% due 23/11/2022
71,230
International Business Machines Corp 1.250% due 26/05/2023
70,933
SAP SE 1.125% due 20/02/2023
68,505
Walt Disney Co 2.350% due 01/12/2022
65,951
Citigroup Inc 3.875% due 25/10/2023
58,443
Occidental Petroleum Corp 2.700% due 15/02/2023
48,086
General Electric Co 3.100% due 09/01/2023
47,468
Amazon.com Inc 2.500% due 29/11/2022
46,362
Capital One Financial Corp 4.200% due 29/10/2025
43,242
Chubb INA Holdings Inc 2.875% due 03/11/2022
42,191
Bank of America Corp 3.300% due 11/01/2023
41,596
AbbVie Inc 2.900% due 06/11/2022
40,170
Precision Castparts Corp 2.500% due 15/01/2023
40,095
DIRECTV Holdings LLC 4.450% due 01/04/2024
37,775
85
BMO UCITS ETF ICAV
BMO Barclays 7-10 Year Global Corporate Bond (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
Goldman Sachs Group Inc 3.625% due 22/01/2023
37,180
EOG Resources Inc 2.625% due 15/03/2023
36,910
EI du Pont de Nemours & Co 2.800% due 15/02/2023
36,726
Intel Corp 2.700% due 15/12/2022
36,506
Chevron Corp 2.355% due 05/12/2022
35,387
Eaton Corp 2.750% due 02/11/2022
34,990
Medtronic Inc 2.750% due 01/04/2023
34,899
Apple Inc 3.200% due 13/05/2025
33,517
Aetna Inc 2.750% due 15/11/2022
33,496
PepsiCo Inc 2.750% due 01/03/2023
32,879
GlaxoSmithKline Capital Inc 2.800% due 18/03/2023
32,786
Wells Fargo & Co 3.550% due 29/09/2025
32,382
Raytheon Co 2.500% due 15/12/2022
30,709
Freeport-McMoRan Inc 3.875% due 15/03/2023
30,706
American Express Co 2.650% due 02/12/2022
30,341
JPMorgan Chase & Co 3.200% due 25/01/2023
29,367
Bank of Montreal 2.550% due 06/11/2022
29,039
National Oilwell Varco Inc 2.600% due 01/12/2022
27,424
Continental Resources Inc 3.800% due 01/06/2024
26,377
Johnson & Johnson 3.375% due 05/12/2023
23,622
86
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF
Schedule of Portfolio Changes for the period from 5 November 2015, the date the Sub-Fund commenced trading,
to 31 March 2016.
Transactions are listed below where the aggregate value of purchases or sales of a security represents 1% or
more of the total value of all purchases or sales during the period.
Major Purchases
Banco Popolare SC 3.500% due 14/03/2019
Cost GBP
147,567
Sprint Corp 7.125% due 15/06/2024
111,432
First Data Corp 11.750% due 15/08/2021
110,835
Virgin Media Secured Finance Plc 5.500% due 15/01/2021
106,825
Koninklijke KPN NV 6.875% due 14/03/2073
103,840
Old Mutual Plc 8.000% due 03/06/2021
103,400
Brakes Capital 7.125% due 15/12/2018
103,250
CIT Group Inc 5.250% due 15/03/2018
101,377
Ashland Inc 3.875% due 15/04/2018
100,043
Virgin Media Secured Finance PLC 6.000% due 15/04/2021
95,297
SESI LLC 7.125% due 15/12/2021
94,496
Thyssenkrupp AG 3.125% due 25/10/2019
91,208
Equinix Inc 5.875% due 15/01/2026
89,542
Tenet Healthcare Corp 8.125% due 01/04/2022
89,473
Equinix Inc 4.875% due 01/04/2020
89,271
Icahn Enterprises LP 6.000% due 01/08/2020
88,940
SBA Telecommunications Inc 5.750% due 15/07/2020
88,621
ADT Corp 4.875% due 15/07/2042
88,462
ADT Corp 6.250% due 15/10/2021
88,188
Commerzbank AG 7.750% due 16/03/2021
86,674
Major Sales
Proceeds GBP
Thyssenkrupp AG 3.125% due 25/10/2019
98,825
Commerzbank AG 7.750% due 16/03/2021
95,828
Virgin Media Secured Finance Plc 6.000% due 15/04/2021
93,263
Equinix Inc 4.875% due 01/04/2020
88,725
ADT Corp 6.250% due 15/10/2021
86,319
OTE Plc 7.875% due 07/02/2018
80,150
ArcelorMittal 5.500% due 25/02/2017
79,373
Fiat Chrysler Finance Europe 4.750% due 15/07/2022
75,880
CNH Industrial Finance Europe SA 2.750% due 18/03/2019
74,101
Generali Finance BV 4.596% (Perpetual)
69,496
Reynolds Group Issuer Inc 8.250% due 15/02/2021
66,889
Crown Castle International Corp 5.250% due 15/01/2023
65,480
Sabine Pass Liquefaction LLC 5.625% due 15/04/2023
61,641
Sabine Pass Liquefaction LLC 5.625% due 01/02/2021
61,510
HD Supply Inc 7.500% due 15/07/2020
60,331
Ashland Inc 3.875% due 15/04/2018
56,228
Deutsche Bank AG 2.750% due 17/02/2025
54,661
Hertz Corp 6.750% due 15/04/2019
52,934
Concho Resources Inc 5.500% due 01/04/2023
47,296
87
BMO UCITS ETF ICAV
BMO Barclays Global High Yield Bond (GBP Hedged) UCITS ETF cont/d
Major Sales cont/d
Proceeds GBP
ArcelorMittal 7.750% due 01/03/2041
39,261
L Brands Inc 6.625% due 01/04/2021
39,132
VEREIT Operating Partnership LP 2.000% due 06/02/2017
38,845
T-Mobile USA Inc 6.375% due 01/03/2025
38,466
AES Corp 4.875% due 15/05/2023
37,455
NRG Energy Inc 7.625% due 15/01/2018
34,110
ArcelorMittal 6.500% due 01/03/2021
32,895
Sprint Communications Inc 6.000% due 15/11/2022
31,613
iHeartCommunications Inc 9.000% due 01/03/2021
30,090
E*TRADE Financial Corp 5.375% due 15/11/2022
29,880
Novelis Inc 8.375% due 15/12/2017
27,664
Novelis Inc 8.750% due 15/12/2020
27,408
MPLX LP 4.875% due 01/12/2024
25,519
MPLX LP 4.875% due 01/06/2025
25,464
MPLX LP 4.500% due 15/07/2023
25,162
Commerzbank AG 6.375% due 22/03/2019
24,913
Ball Corp 5.000% due 15/03/2022
23,447
88