BMO Macro CDR Model – Strategy Report (Q4 2026)

Disclaimers

For Advisor Use Only. 

The information contained on this website (the ​“Information”) has been prepared by BMO Asset Management Inc. (“BMO AM”) or Bank of Montreal (“BMO”), as applicable, is confidential and is intended only for the use of the individuals to whom it is presented. The Information may not be reproduced, disseminated, quoted from or referred to in whole or in part at any time, in any manner or for any purpose, without obtaining the prior written consent of BMO AM in each specific instance.

The Information is not intended to constitute a ​“report, statement or opinion of an expert” for purposes of the securities laws of any province or territory of Canada or otherwise. The Information is for information purposes only and does not constitute an offer to sell or the solicitation of an offer to purchase the investment products described herein. The video ad is for information purposes only. The information contained herein is not, and should not be construed as, investment, tax or legal advice to any party. An investment in Canadian depositary receipts issued by BMO (“CDRs”) may not be suitable for all investors. Important information about these investments is contained in the short form base shelf prospectus and prospectus supplement for each series of CDRs (together, the ​“Prospectus”). The Prospectus will not be delivered to purchasers. Purchasers are directed to www.sedarplus.ca or to this website to obtain copies of the Prospectus and related disclosure before purchasing CDRs. The Information is not a recommendation to purchase the investment products described on this website.

Certain of the Information was (i) obtained from public sources, including filings made with applicable securities regulators, and/​or (ii) calculated by BMO AM using publicly available data. Such Information and any statistical data contained herein have been obtained from sources that BMO AM believes to be reliable, but BMO AM and its affiliates (including BMO) and associates: (i) have not independently verified the accuracy or completeness of any such Information, (ii) make no representation regarding the accuracy or completeness of such Information, and (iii) assume no responsibility or liability of any nature whatsoever for the completeness, adequacy or accuracy of such Information.

BMO AM and its affiliates (including BMO) expressly disclaim any liability or responsibility to you or to any other person for any general, direct, indirect, incidental, special or consequential losses or damages (including, but not limited to, loss of profits or revenue or failure to realize expected profits or savings or the avoidance of any losses) arising out of or related to the Information or its use.

Each series of CDRs shall relate to a single class of equity securities (the ​“Underlying Shares”) of an issuer incorporated outside of Canada (the ​“Underlying Issuer”). For each series of CDRs, the Prospectus will provide additional information regarding such series, including information regarding the Underlying Issuer and Underlying Shares for such series. Neither BMO and its affiliates nor any other person involved in the distribution of CDRs accepts any responsibility for any disclosure provided by any Underlying Issuer (including Information contained herein or in the Prospectus that has been extracted from any Underlying Issuer’s publicly disseminated disclosure).

The issuance of each series of CDRs is not a financing for the benefit of the Underlying Issuers or any insiders of the Underlying Issuers, nor will the Underlying Issuers receive any proceeds from the offering and sale of each series of CDRs. The Underlying Issuers have not participated in the preparation of the Prospectus or the Information, do not take any responsibility or assume any liability with respect to the accuracy or completeness of any information contained therein and make no representation regarding the advisability of purchasing any series of CDRs.

Any examples contained herein are included for illustrative purposes only and are not intended to predict actual results, which may differ substantially from those reflected herein. Any historical investment results or trends described herein are not indicative of future investment results or trends. There can be no assurance that any market or security will perform as well as, or in a manner similar to, past performance.

Any investment in a series of CDRs presents risks. Prior to making any investment decision, investors should conduct such investigations as they deem necessary to determine if an investment in such series of CDRs is appropriate and suitable, and should consult their financial, legal, accounting and tax advisers to determine the consequences of an investment in such financial products and the suitability of the investment product for their purposes and in their particular circumstances.

Certain risk factors are described in the Prospectus. An investment in a series of CDRs is subject to various risks including, but not limited to, risks inherent to the holding of investments through a custodian under the deposit agreement as well as risks specific to each Underlying Issuer to which a series of CDRs relates. Before deciding whether to invest in a series of CDRs, prospective purchasers should consider carefully the risks set out, and incorporated by reference, in the Prospectus.

Prospective purchasers should also consider any categories of risks identified and discussed in the applicable Underlying Issuer’s publicly disseminated disclosure. Neither BMO and its affiliates nor any other person involved in the distribution of CDRs accepts any responsibility for any disclosure provided by any Underlying Issuer (including Information included herein or in any prospectus supplement that has been extracted from any Underlying Issuer’s publicly disseminated disclosure). Furthermore, neither BMO and its affiliates nor any other person involved in the distribution of CDRs is providing any express or implied representations, warranties or opinions regarding investing in the Underlying Shares or the value thereof.

There is no guarantee that an investment in a series of CDRs will earn a positive return. CDRs are not deposits that are insured under the Canada Deposit Insurance Corporation Act or any other deposit insurance regime. The value of a series of CDRs may increase or decrease depending on market, economic, political, regulatory and other conditions affecting a series of CDRs or the related Underlying Shares. All prospective investors in a series of CDRs should consider an investment in such series of a CDR within the overall context of their investment policies. Investment policy considerations include, but are not limited to, setting objectives, defining risk/​return constraints and considering time horizons.

The value of a series of CDRs will vary according to, among other things, the value of the Underlying Shares held in the applicable custodial account for the series of CDRs. BMO and its affiliates have no control over the factors that affect the value of Underlying Shares. The value of the Underlying Shares in respect of a series of CDRs may fluctuate in accordance with changes in the financial condition of the applicable Underlying Issuer, the condition of equity and currency markets generally, and other factors.

BMO has applied or intends to apply to list each series of CDRs on the securities exchange operated by Cboe Canada and/​or other Canadian securities exchanges. The listing of each series of CDRs will be subject to BMO fulfilling all of the listing requirements of the applicable Canadian securities exchanges. There is no assurance that BMO will fulfil all of the listing requirements of the applicable Canadian securities exchanges, that the applicable Canadian securities exchanges will approve a listing application in respect of any series of CDRs or that, if listed, an active public market for any series of CDRs will develop or be sustained.

The offering of CDRs constitutes a public offering of these securities only in those jurisdictions where they may be lawfully offered for sale and therein only by persons permitted to sell such securities. These securities have not been, and will not be, registered under the United States Securities Act of 1933, as amended (the ​“1933 Act”), and may not be offered, sold or delivered within the United States or to, or for the account or benefit of, U.S. persons (as defined in Regulation S under the 1933 Act). No securities regulatory authority has expressed an opinion about these securities, and it is an offence to claim otherwise.

Each series of CDRs will be offered and issued on a continuous basis by the Prospectus and there is no maximum number of CDRs (in the aggregate or with respect to a particular series) that may be issued.

CLOs are floating- or fixed-rate debt securities issued in different tranches, with varying degrees of risk, by trusts or other special purpose vehicles (“CLO Issuers”) and backed by an underlying portfolio consisting primarily of below investment grade corporate loans. The BMO ETF pursues its investment objective by investing, under normal circumstances, at least 85% of its net assets in CLOs that, at the time of purchase, are rated AAA or the equivalent by a nationally recognized statistical rating organization. 

AAA herein refers to the order of payments, should there be any defaults, and does not represent the ratings of the underlying loans within the CLO. If there are loan defaults or the CLO Issuer’s collateral otherwise underperforms, scheduled payments to senior tranches take precedence over those of mezzanine tranches (a tranche or tranches subordinated to the senior tranche), and scheduled payments to mezzanine tranches take precedence over those to subordinated/​equity tranches. The riskiest portion is the ​“Equity” tranche, which bears the first losses and is expected to bear all or the bulk of defaults from the corporate loans held by the CLO Issuer serves to protect the other, more senior tranches from default. 

BMO Broad Commodity ETF is an exchange-traded alternative mutual fund within the meaning of NI 81-102. As an alternative mutual fund, the BMO ETF has the ability to invest in asset classes and use investment strategies that are not permitted for conventional mutual funds, including the ability to invest in other alternative mutual funds, employ leverage and borrow cash to use for investment purposes and increased ability to invest in commodities. While these strategies will be used in accordance with the BMO ETF’s investment objective and strategies, during certain market conditions, they may accelerate the pace at which an investor’s investment decreases in value. 

BLOOMBERG® and the Bloomberg Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL), the administrator of the index (collectively, Bloomberg) and have been licensed for use for certain purposes by BMO Asset Management Inc. Bloomberg is not affiliated with BMO Asset Management Inc., and Bloomberg does not approve, endorse, review, or recommend any BMO ETFs. Bloomberg does not guarantee the timeliness, accuracy or completeness of any data or information relating to the BMO ETFs. 

BMO ETFs are not in any way sponsored, endorsed, sold or promoted by FTSE Global Debt Capital Markets Inc. (FGDCM), FTSE International Limited (FTSE), Frank Russell Company (Frank Russell), FTSE Fixed Income LLC (FTSE FI) or the London Stock Exchange Group companies (together with FGDCM, FTSE, Frank Russell and FTSE FI, the Licensor Parties). The Licensor Parties make no claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to (i) the results to be obtained from the use of the FTSE BMO ETF Indices, (ii) the figure at which any of the FTSE BMO ETF Indices stands at any particular time on any particular day or otherwise, or (iii) the suitability of an Underlying Index for the particular purpose to which it is being put in connection with the FTSE BMO ETFs. Each of the FTSE BMO ETF Indices is compiled and calculated by FGDCM of FTSE and all copyright in any of the FTSE BMO ETF Indices values and constituent lists vests in FGDCM or FTSE, respectively. The Licensor Parties shall not be liable (whether in negligence or otherwise) to any person for any error in any of the FTSE BMO ETF Indices and the Licensor Parties shall not be under any obligation to advise any person of any error therein. FTSE® is a trade mark of the London Stock Exchange Group companies and is used under licence. 

Commissions, management fees and expenses all may be associated with investments in BMO ETFs and ETF Series units of the BMO Mutual Funds. Please read the ETF facts, fund facts or prospectus of the relevant BMO ETF or ETF Series of BMO Mutual Fund before investing. The indicated rates of return are the historical compounded total returns including changes in share or unit value and the reinvestment of all dividends or distributions and do not take into account the sales, redemption, distribution, optional charges or income tax payable by the unitholder that would have reduced returns. BMO ETFs and ETF Series units of the BMO Mutual Funds are not guaranteed, their values change frequently and past performance may not be repeated. 

For a summary of the risks of an investment in the BMO ETFs or ETF Series units of the BMO Mutual Funds, please see the specific risks set out in the relevant ETF facts, fund facts or prospectus. BMO ETFs and ETF Series units of the BMO Mutual Funds trade like stocks, fluctuate in market value and may trade at a discount to their net asset value, which may increase the risk of loss. Distributions are not guaranteed and are subject to change and/​or elimination. 

Distribution yields are calculated by using the most recent regular distribution, or expected distribution, (which may be based on income, dividends, return of capital, or capital gains, as applicable) and excluding additional year-end distributions, and special reinvested distributions annualized for frequency, divided by current net asset value (NAV). The yield calculation does not include reinvested distributions. 

Distributions are not guaranteed, may fluctuate and are subject to change and/​or elimination. Distribution rates may change without notice (up or down) depending on market conditions and NAV fluctuations. The payment of distributions should not be confused with the BMO ETF’s performance, rate of return or yield. If distributions paid by a BMO ETF are greater than the performance of the investment fund, your original investment will shrink. Distributions paid as a result of capital gains realized by a BMO ETF, and income and dividends earned by a BMO ETF, are taxable in your hands in the year they are paid. Your adjusted cost base will be reduced by the amount of any returns of capital. If your adjusted cost base goes below zero, you will have to pay capital gains tax on the amount below zero.

Cash distributions, if any, on units of a BMO ETF (other than accumulating units or units subject to a distribution reinvestment plan) are expected to be paid primarily out of dividends or distributions, and other income or gains, received by the BMO ETF less the expenses of the BMO ETF, but may also consist of non-taxable amounts including returns of capital, which may be paid in the manager’s sole discretion. To the extent that the expenses of a BMO ETF exceed the income generated by such BMO ETF in any given month, quarter, or year, as the case may be, it is not expected that a monthly, quarterly, or annual distribution will be paid. Distributions, if any, in respect of the accumulating units of BMO Short Corporate Bond Index ETF, BMO Short Federal Bond Index ETF, BMO Short Provincial Bond Index ETF, BMO Ultra Short-Term Bond ETF and BMO Ultra Short-Term US Bond ETF will be automatically reinvested in additional accumulating units of the applicable BMO ETF. Following each distribution, the number of accumulating units of the applicable BMO ETF will be immediately consolidated so that the number of outstanding accumulating units of the applicable BMO ETF will be the same as the number of outstanding accumulating units before the distribution. Non-resident unitholders may have the number of securities reduced due to withholding tax. Certain BMO ETFs have adopted a distribution reinvestment plan, which provides that a unitholder may elect to automatically reinvest all cash distributions paid on units held by that unitholder in additional units of the applicable BMO ETF in accordance with the terms of the distribution reinvestment plan. For further information, see the distribution policy in the BMO ETFs’ prospectus. 

BMO ETFs are managed by BMO Asset Management Inc., an investment fund manager, a portfolio manager, and a separate legal entity from Bank of Montreal. BMO Mutual Funds are managed by BMO Investments Inc., an investment fund manager and a separate legal entity from Bank of Montreal. 

BMO Global Asset Management is a brand name under which BMO Asset Management Inc. and BMO Investments Inc. operate. Certain of the products and services offered under the brand name, BMO Global Asset Management, are designed specifically for various categories of investors in Canada and may not be available to all investors. Products and services are only offered to investors in Canada in accordance with applicable laws and regulatory requirements.

“BMO (M-bar roundel symbol)” is a registered trademark of Bank of Montreal, used under licence.