UNITED STATES SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

Form 10-K

☒

ANNUAL REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Fiscal Year Ended October 31, ~~2019~~2020

☐

TRANSITION REPORT PURSUANT TO SECTION 13 OR 15(d) OF THE SECURITIES EXCHANGE ACT OF 1934

For the Transition Period from _________ to __________

Commission File Number:

001-___________

VAULTED GOLD BULLION TRUST

(Exact name of registrant as specified in its charter)

Delaware	46-7176227
(State or other jurisdiction of incorporation or organization)	(I.R.S. Employer Identification No.)

c/o Bank of Montreal

3 Times Square

New York, New York 10036

Attention: Legal Department

(Address of principal executive offices)

(212) 885-4000

(Registrant’s telephone number, including area code)

Securities registered pursuant to Section 12(b) of the Act: None

Securities registered pursuant to Section 12(g) of the Act: None

Indicate by check mark if the registrant is a well-known seasoned issuer, as defined in Rule 405 of the Securities Act. Yes ☐ No ☒

Indicate by check mark if the registrant is not required to file reports pursuant to Section 13 or Section 15(d) of the Act. Yes ☐ No ☒

Indicate by check mark whether the registrant (1) has filed all reports required to be filed by Section 13 or 15(d) of the Securities Exchange Act of 1934 during the preceding 12 months (or for such shorter period that the registrant was required to file such reports), and (2) has been subject to such filing requirements for the past 90 days. Yes ☒ No ☐

Indicate by check mark whether the registrant has submitted electronically every Interactive Data File required to be submitted pursuant to Rule 405 of Regulation S-T (§ 232.405 of this chapter) during the preceding 12 months (or for such shorter period that the registrant was required to submit such files). Yes ☒ No ☐

Indicate by check mark whether the registrant is a large accelerated filer, an accelerated filer, a non-accelerated filer, a smaller reporting company or, an emerging growth company. See the definitions of “large accelerated filer,” “accelerated filer,” “smaller reporting company,” and “emerging growth company” in Rule 12b-2 of the Exchange Act.

Large accelerated filer ☐	Accelerated filer ☐
Non-accelerated filer ☒	Smaller reporting company ☐
	Emerging growth company ☒

If an emerging growth company, indicate by check mark if the registrant has elected not to use the extended transition period for complying with any new or revised financial accounting standards provided pursuant to Section 13(a) of the Exchange Act. ☒

Indicate by check mark whether the registrant is a shell company (as defined in Rule 12b-2 of the Exchange Act).

Yes ☐ No ☒

AsIndicate by check mark whether the registrant has filed a report on and attestation to its management’s assessment of ~~October~~the ~~31,~~effectiveness ~~2019,~~of ~~there~~its ~~were~~internal ~~153,386~~control ~~Gold~~over ~~Deposit~~financial reporting ~~Receipts~~under Section 404(b) of the Sarbanes-Oxley Act (15 U.S.C. 7262(b)) by the registered public accounting firm that prepared ~~outstanding~~or issued its audit report). ☐ Yes ☒ No

As of October 31, 2020, there were 979 Gold Deposit Receipts outstanding.

VAULTED GOLD BULLION TRUST

FORM 10-K

FOR THE FISCAL YEAR ENDED OCTOBER 31, ~~2019~~ 2020

INDEX

CAUTIONARY NOTE CONCERNING FORWARD-LOOKING STATEMENTS 1 PART I 2 Item 1. Business 2 Item 1A. Risk Factors 67 Item 2. Properties 13 Item 3. Legal Proceedings 13 Item 4. Mine Safety Disclosures 1314 PART II 1314 Item 5. Market for Registrant’s Common Equity, Related Shareholder Matters and Issuer Purchases of Equity Securities 1314 Item 6. Selected Financial Data 1314 Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations 1314 Item 7A. Quantitative and Qualitative Disclosures About Market Risk 1718 Item 8. Financial Statements and Supplementary Data 1718 Item 9. Changes in and Disagreements With Accountants on Accounting and Financial Disclosure. 1920 Item 9A. Controls and Procedures 1920 Item 9B. Other Information 1920 PART III 20 Item 10. Directors, Executive Officers and Corporate Governance 2021 Item 11. Executive Compensation 2021 Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters 2021 Item 13. Certain Relationships and Related Transactions, and Director Independence 2021 Item 14. Principal Accounting Fees and Services 2021 PART IV 2021 Item 15. Exhibits, Financial Statement Schedules 2021

CAUTIONARY NOTE CONCERNING FORWARD-LOOKING STATEMENTS

The statements contained in this report that are not purely historical are forward-looking statements. The Vaulted Gold Bullion Trust’s (the “Trust”) forward-looking statements include, but are not limited to, statements regarding its expectations, hopes, beliefs, intentions or strategies regarding the future. In addition, any statements that refer to projections, forecasts or other characterizations of future events or circumstances, including any underlying assumptions, are forward-looking statements. The words “anticipates,” “believe,” “continue,” “could,” “estimate,” “expect,” “intends,” “may,” “might,” “plan,” “possible,” “potential,” “predicts,” “project,” “should,” “would” and similar expressions may identify forward-looking statements, but the absence of these words does not mean that a statement is not forward-looking. Forward-looking statements in this report may include, for example, statements about:

The gold industry;

Sources of and demand for gold bullion; and

The performance of the gold market.

The forward-looking statements contained in this report are based on the Trust’s current expectations and beliefs concerning future developments and their potential effects on the Trust. There can be no assurance that future developments affecting the Trust will be those that it has anticipated. These forward-looking statements involve a number of risks, uncertainties (some of which are beyond the Trust’s control) or other assumptions that may cause actual results or performance to be materially different from those expressed or implied by these forward-looking statements. Moreover, the uncertainty created by the COVID-19 pandemic has heightened this risk given the increased challenge in making assumptions, predictions, forecasts, conclusions or projections. These risks and uncertainties include those factors described under the heading “Risk Factors” in this Form 10-K. Should one or more of these risks or uncertainties materialize, or should any of the Trust’s assumptions prove incorrect, actual results may vary in material respects from those projected in these forward-looking statements. The Trust undertakes no obligation to update or revise any forward-looking statements, whether as a result of new information, future events or otherwise, except as may be required under applicable securities laws.

PART I

Item 1.

Business

Introduction

The Trust issues Depositary Receipts (“Gold Deposit Receipts”) representing an undivided beneficial ownership in a fixed quantity of unencumbered, allocated, physical gold bullion (“Gold Bullion”). The Gold Bullion is held for the benefit of holders of Gold Deposit Receipts in an account operated by Bank of Montreal at the Royal Canadian Mint (the “Mint”). The Bank of New York Mellon serves as the trustee of the Trust. The Gold Deposit Receipts are separate from the Gold Bullion.

About the Trust

General. This discussion highlights information about the Trust.

The Vaulted Gold Bullion Trust. The Trust was initially formed on December 10, 2013. The Trust is governed by the Second Amended and Restated Depositary Trust Agreement, dated May 11, 2017 (the “Depositary Trust Agreement”), by and among The Bank of New York Mellon, as “Trustee,” BNY Trust of Delaware, as “Delaware Trustee,” Bank of Montreal, as “Initial Depositor,” and BMO Capital Markets Corp., as “Underwriter.” The Trust is not a registered investment company under the Investment Company Act of 1940, as amended (the “1940 Act”). The Trust is not a commodity pool for purposes of the Commodity Exchange Act (the “CEA”), and the Initial Depositor is not subject to regulation by the Commodity Futures Trading Commission (the “CFTC”) as a commodity pool operator, or a commodity trading advisor. The Trust is not managed like a corporation or an active investment vehicle. It does not have any officers, directors, or employees and is administered by the Trustee pursuant to the Depositary Trust Agreement. The expenses of the Trust are borne by the Initial Depositor.

The Trust issues Gold Deposit Receipts representing an undivided beneficial ownership in a fixed quantity of Gold Bullion. One Gold Deposit Receipt represents the undivided beneficial ownership of one troy ounce of Gold Bullion. The Trustee performs only administrative and ministerial acts. The property of the Trust consists of the Gold Bullion and all monies or other property, if any, received by the Trustee. The Initial Depositor sells Gold Bullion to the Trust. The Gold Bullion is held for the benefit of holders of Gold Deposit Receipts in an account operated by the Initial Depositor at the Mint.

Initial Depositor. The initial depositor of the Trust is Bank of Montreal (“Bank of Montreal” or the “Bank”). The Bank commenced business in Montreal in 1817 and was incorporated in 1821 by an Act of Lower Canada as the first Canadian chartered bank. Since 1871, the Bank has been a chartered bank under the Bank Act, and is named in Schedule I of the Bank Act (Canada) (the “Bank Act”). The Bank Act is the charter of the Bank and governs its operations. The Bank is a registered holding company under the Bank Holding Company Act of 1956 and is certified as a financial holding company under the Gramm-Leach-Bliley Act. The Bank’s head office is located at 129 rue Saint Jacques, Montreal, Quebec, H2Y 1L6, and its executive offices are located at 100 King Street West, 1 First Canadian Place, Toronto, Ontario, M5X 1A1. The Bank’s telephone number is (416) 867-6785.

Bank of Montreal brands the organization’s members as BMO Financial Group (“BFG”). BFG is a highly diversified financial services provider based in North America. Bank of Montreal ~~offers~~provides a broad range of products and services directly and ~~through~~ through Canadian and non-Canadian subsidiaries, offices, and branches. As of October 31, ~~2019~~2020, Bank of Montreal had ~~more than~~ approximately 12 million customers and more than 4543,000 full-time equivalent employees. The Bank has approximately 1,~~500~~400 bank branches and more than 4,800 automated banking machines in Canada and the United States, and operates internationally in major financial markets and trading areas through its offices in a number of jurisdictions around the world. BMO Financial Corp. (“BFC”) is based in Chicago and wholly-owned by Bank of Montreal. BFC operates primarily through its subsidiary BMO Harris Bank N.A. (“BHB”), which provides banking, financing, investing, and cash management services in select markets in the United States. Bank of Montreal provides a full range of investment dealer services through entities, including BMO Nesbitt Burns Inc., a major fully integrated Canadian investment dealer, and BMO Capital Markets Corp., Bank of Montreal’s wholly-owned registered ~~securities~~broker dealer in the United States.

Bank of Montreal conducts business through three operating groups: Personal and Commercial Banking (“P&C”), made up of Canadian P&C and U.S. P&C; BMO Wealth Management; and BMO Capital Markets. ~~Canadian~~In P&C, ~~operates~~personal ~~across~~banking ~~Canada,~~provides ~~proving~~personal banking customers with ~~a broad range of~~financial products and services, including banking, lending, treasury management and everyday financial and investment advice tothrough ~~its~~a network ~~personal~~of branches, contact centres, digital banking platforms and ~~commercial~~automated ~~clients~~teller machines. ~~Operating~~Commercial ~~predominately~~Banking inserves clients across Canada and the U.S., ~~Midwest~~and ~~under~~commercial ~~the~~bankers ~~BMO~~are trusted advisors and partners to clients, delivering sector and industry ~~Harris~~expertise, ~~brand~~local presence and a full suite of commercial products and services. Canadian P&C operates across Canada, while U.S. P&C ~~offers~~operates ~~personal~~predominately ~~and~~in ~~commercial~~eight ~~clients~~states ~~banking~~(Illinois, ~~lending~~Wisconsin, ~~and~~Missouri, ~~treasury~~Indiana, ~~management~~Minnesota, ~~products~~Kansas, Arizona and ~~services.~~Florida) ~~BMO~~under ~~Wealth~~the ~~Management~~BMO ~~offers~~Harris ~~client-focused~~brand. ~~investment~~In addition, ~~wealth~~the ~~management~~commercial ~~and~~business ~~financial~~provides ~~services~~targeted nationwide coverage for key specialty sectors and ~~solutions~~has offices in select regional markets. BMO Wealth Management serves a full range of clients from ~~mainstream~~individuals and families to ~~ultra-high~~business ~~net~~owners ~~worth~~ and ~~institutional,~~institutions. ~~with~~It offers a ~~broad~~wide ~~offering~~spectrum of asset, wealth management and insurance products and services ~~including insurance.~~ ~~BMO~~aimed ~~Wealth~~at ~~Management~~helping isclients aplan, ~~global~~grow, ~~business~~protect ~~with~~and antransition ~~active~~their ~~presence~~wealth. inThe ~~markets~~asset ~~across~~management ~~Canada,~~business ~~the~~is ~~United~~focused ~~States,~~on ~~Europe,~~making ~~the Middle~~a ~~East~~positive impact and ~~Africa~~delivering ~~(“EMEA”),~~innovative ~~and~~client ~~Asia~~solutions. BMO Capital Markets is a North American-based financial services provider ~~offering~~ offering a complete range of products and services to corporate, institutional and government clients. These include equity and debt underwriting, institutional sales and trading, corporate lending and project financing, mergers and acquisitions advisory services, securitization, treasury management, risk management and equity and fixed income research. Corporate Services consists of Corporate Units and Technology and Operations (“T&O”). Corporate Units provide enterprise-wide expertise, governance and ~~governance~~ support in a variety of areas, including strategic planning, risk management, finance, legal and regulatory compliance, human resources, communications, marketing, real estate, ~~procurement, data~~ and ~~analytics, and innovation~~procurement. T&O develops, monitors, manages and maintains governance of information technology, including data and analytics, and also provides cyber security and operations services.

Additional information about the Bank is available by accessing the Bank’s public filings with the SEC, file number 001-13354.

Relationship Between the Initial Depositor and the Trust. The Trust issues Gold Deposit Receipts and uses the proceeds of such issuances to purchase Gold Bullion from Bank of Montreal. The amount paid per ounce of Gold Bullion by the Trust is equal to the spot price at the time of sale to the investor for one troy ounce of Gold Bullion, determined by BMO Capital Markets Corp. using EBS, an offering of EBS BrokerTec (“EBS”), as the source for the spot price of gold, without adjustment or modification. Any deposit fees are remitted promptly to Bank of Montreal which pays all of the Trust’s expenses. The Gold Bullion purchased from Bank of Montreal is held in Bank of Montreal’s account at the Mint, on behalf of the Trust for the benefit of the holders of the Gold Deposit Receipts.

The Mint. The Mint is a Canadian Crown Corporation, incorporated in 1969 by the Royal Canadian Mint Act and is an agent corporation of Her Majesty in right of Canada. Bank of Montreal’s account at the Mint is governed by the gold storage agreement between the Mint and Bank of Montreal (the “Gold Storage Agreement”).

The Mint carries such insurance as it deems appropriate for its businesses and its position as custodian of the Trust’s Gold Bullion. Based on information provided by the Mint, we believe that the insurance carried by the Mint, together with its status as a Canadian Crown corporation with its obligations generally constituting unconditional obligations of the Government of Canada, provides the Trust with such protection in the event of loss or theft of the Trust’s Gold Bullion stored at the Mint that is consistent with the protection afforded under insurance carried by other custodians that store gold commercially. In addition, if the Mint were to become a private enterprise, Bank of Montreal on behalf of the Trust will make a determination whether the Mint should remain the custodian of the Trust’s Gold Bullion in light of applicable circumstances, such as the level of insurance carried by the Mint after such privatization, the availability of other custodians and the risk in moving the Trust’s Gold Bullion to another custodian.

Trust Objective

The objective of the Trust is to provide a secure and convenient way for investors to make an investment in unencumbered, allocated Gold Bullion on a spot basis. As a result, at any given time, the value of the Gold Deposit Receipts is intended to reflect the spot price of gold held by the Trust for the holders of Gold Deposit Receipts.

The Trust is not actively managed and has no officers or employees. The Trust does not engage in any activities designed to obtain a profit from, or to prevent losses caused by, changes in the spot price of gold.

The Trust issues Gold Deposit Receipts upon the contribution by Bank of Montreal to the Trust of a fixed quantity of Gold Bullion purchased with the proceeds, less the deposit fee and any sales fee, from the sale of Gold Deposit Receipts. Bank of Montreal holds the Gold Bullion in an account that is operated by Bank of Montreal at the Mint in custody for the holders of Gold Deposit Receipts.

BMO Capital Markets Corp. acts as the Underwriter for the sale of Gold Deposit Receipts, pursuant to the Second Amended and Restated Distribution Agreement dated July 11, 2018, among the Trust, Bank of Montreal and BMO Capital Markets Corp. (the “Distribution Agreement”). BMO Capital Markets Corp. has entered, and will continue to enter, into dealer agreements with certain third parties that are registered broker-dealers, or banks or trust companies regulated by the Office of the Comptroller of the Currency and/or one or more state banking regulators that are either direct or indirect DTC Participants. We refer to these third parties, as well as any other dealer that becomes a party to the distribution agreement, as “Authorized Participants.” Only Authorized Participants will be involved in the distribution of Gold Deposit Receipts. Holders of Gold Deposit Receipts may elect to redeem their Gold Deposit Receipts for Gold Bullion or exchange their Gold Deposit Receipts for cash either through an Authorized Participant or through an approved registered broker-dealer or similar entity that is not an Authorized Participant.

The Depositary Trust Agreement

General. The Depositary Trust Agreement provides that the Gold Deposit Receipts represent the owner’s undivided beneficial ownership interest in the Trust assets.

The Trustee. The Bank of New York Mellon serves as Trustee. The Bank of New York Mellon, which was founded in 1784, was New York’s first bank and is the oldest bank in the country still operating under its original name. The Bank of New York Mellon is organized under the law of the State of New York authorized to conduct a banking business and a member of the Federal Reserve System. The Bank of New York Mellon conducts a national and international wholesale banking business and a retail banking business in the New York City, New Jersey and Connecticut areas, and provides a comprehensive range of corporate and personal trust, securities processing and investment services.

Termination of the Trust. The Trust will terminate if: (i) the Trustee resigns and no successor trustee is appointed by Bank of Montreal, as Initial Depositor, within 60 days from the date the Trustee provides notice to Bank of Montreal, as Initial Depositor, and BMO Capital Markets Corp., as Underwriter, of its intent to resign; (ii) the owners of 75 percent of the outstanding Gold Deposit Receipts (other than those held by Bank of Montreal for its own account) acting through an Authorized Participant vote to dissolve and liquidate the Trust; (iii) an event of liquidation or dissolution occurs as to Bank of Montreal; (iv) Bank of Montreal ceases to store Gold Bullion at the Mint and does not make alternative arrangements that it deems appropriate; or (v) if the Trust fails to qualify for treatment, or ceases to be treated, for U.S. federal income tax purposes, as a grantor trust.

If a termination event occurs, the beneficial owners of Gold Deposit Receipts will surrender their Gold Deposit Receipts as provided in the Depositary Trust Agreement, including payment of any fees of the Trustee or applicable taxes or governmental charges due. The Initial Depositor will sell the Gold Bullion and the Trustee will deliver to you the resulting proceeds as promptly as practicable after the termination event occurs.

Amendment of the Depositary Trust Agreement. The Trustee and Bank of Montreal, as Initial Depositor, may amend any provisions of the Depositary Trust Agreement without the consent of any of the owners of the Gold Deposit Receipts. Promptly after the execution of any amendment to the Depositary Trust Agreement, Bank of Montreal, as Initial Depositor, must furnish or cause to be furnished written notification of the substance of the amendment to each owner of Gold Deposit Receipts.

Any amendment that imposes or increases any fees or charges, subject to exceptions, or that otherwise prejudices any substantial existing right of the owners of Gold Deposit Receipts will not become effective until 30 days after notice of the amendment is given to the owners of Gold Deposit Receipts.

Listing. The Gold Deposit Receipts are not listed or traded on any securities exchange.

Trustee Fees. The fees of The Bank of New York Mellon are borne by Bank of Montreal.

Address of the Trustee. The Bank of New York Mellon, Corporate Trust Department, 101 Barclay Street, Floor 7 East, New York, New York 10286.

Gold Bullion

About the Gold Bullion. Subject to the terms of the Gold Storage Agreement, Bank of Montreal, in its sole and absolute discretion, will determine whether the Gold Bullion holdings in its account with the Mint are in coin, bar, wafer, or ingot form. For purposes of this annual report, “allocated” means that the Gold Bullion is segregated and identifiable from all other metal held at the Mint and segregated from Bank of Montreal’s assets. Title to the Gold Bullion is unencumbered and secure in Bank of Montreal’s custody account. The Gold Bullion will be purchased on a daily basis on behalf of holders, and will be allocated to the Trust and held in Bank of Montreal’s account at the Mint.

Specifications of the Gold Bullion. All Gold Bullion will be unencumbered, allocated, and physical with a minimum fineness of 995 parts per 1000.

If the Gold Bullion is in coin form, each coin will also: (i) have been produced by the Mint and be legal tender in Canada for its denomination; and (ii) have a fair market value not exceeding 110 percent of the fair market value of the coin’s gold content.

If the Gold Bullion is in bar, wafer, or ingot form, the Gold Bullion will also (i) have been fabricated by a metal refiner included in the London Bullion Market Association’s (the “LBMA”) good delivery list of acceptable refiners for gold; and (ii) bear basic identification markings that are recognized and accepted for trading in Canadian financial markets, including the hallmark of the metal refiner that produced it and a stamp indicating its fineness and weight, and no other markings.

In its account at the Mint, Bank of Montreal will not use or hold unallocated gold, gold certificates, exchange-traded products, derivatives, financial instruments, or any product that represents encumbered gold. Bank of Montreal and its affiliates will not lend, pledge, hypothecate or otherwise encumber any of the Gold Bullion.

Ownership of Gold Bullion. The Gold Bullion purchased on behalf of holders is held at the Mint in Bank of Montreal’s account for the benefit of the holders. Consequently under Canadian federal law, the Gold Bullion held by the Trust would not be available to meet the claims of creditors of Bank of Montreal in the event of any bankruptcy, insolvency or similar event involving Bank of Montreal.

Emerging Growth Company Status

The Trust is an “emerging growth company,” as defined in the Jumpstart Our Business Startups Act (the “JOBS Act”). For as long as the Trust is an “emerging growth company,” the Trust may take advantage of certain exemptions from various reporting requirements that are applicable to other public companies that are not “emerging growth companies,” including, but not limited to, not being required to comply with the auditor attestation requirements of Section 404(b) of the Sarbanes-Oxley Act of 2002 (the “Sarbanes-Oxley Act”), reduced disclosure obligations regarding executive compensation in the Trust’s periodic reports, and exemptions from the requirements of holding advisory “say-on-pay” votes on executive compensation and shareholder advisory votes on golden parachute compensation.

Under the JOBS Act, the Trust will remain an “emerging growth company” until October 31, 2021, which is the last day of the Trust’s fiscal year following the fifth anniversary after its initial public offering of Gold Deposit Receipts, or until the earliest of:

the last day of the fiscal year during which the Trust has total annual gross revenues of $1.07 billion or more;

the date on which the Trust has, during the previous three-year period, issued more than $1 billion in non-convertible debt; and

the date on which the Trust is deemed to be a “large accelerated filer” under the Securities Exchange Act of 1934, as amended (the “Exchange Act”) (the Trust will qualify as a large accelerated filer as of the first day of the first fiscal year after the Trust has (i) more than $700 million in outstanding equity held by non-affiliates and (ii) been public for at least 12 months; the value of its outstanding equity will be measured each year on the last day of its second fiscal quarter).

The JOBS Act also provides that an “emerging growth company” can utilize the extended transition period provided in Section 7(a) (2)(B) of the Securities Act of 1933, as amended for complying with new or revised accounting standards.

However, the Trust has chosen to “opt out” of such extended transition period, and, as a result, the Trust will comply with new or revised accounting standards on the relevant dates on which adoption of such standards is required for companies that are not “emerging growth companies.” Section 107 of the JOBS Act provides that the Trust’s decision to opt out of the extended transition period for complying with new or revised accounting standards is irrevocable.

Item 1A. Risk Factors

Bank of Montreal has a limited history of operating investment vehicles similar to the Trust. Its experience may be inadequate or unsuitable to manage the Trust.

Bank of Montreal has a limited history of operating investment vehicles like the Trust. Bank of Montreal’s performance in connection with sponsoring or managing other investment vehicles is not indicative of its ability to sponsor the Trust.

The value of the Gold Deposit Receipts relates directly to the value of the Gold Bullion held by the Trust and fluctuations in the price of gold could materially adversely affect an investment in the Gold Deposit Receipts.

The Gold Deposit Receipts are designed to mirror as closely as possible the performance of the price of gold, and the value of the Gold Deposit Receipts relates directly to the value of the Gold Bullion held by the Trust. The price of gold has fluctuated widely over the past several years.

Several factors may affect the price of gold, including:

Global gold supply and demand, which is influenced by such factors as forward selling by gold producers, purchases made by gold producers to unwind gold hedge positions, central bank purchases and sales, and production and cost levels in major gold-producing countries such as South Africa, the United States and Australia;

Global or regional political, economic or financial events and situations;

Investors’ expectations with respect to the rate of inflation;

· Currency exchange rates, including the rates at which gold is priced in exchanges and trading platforms around the world;

· Interest rates; ~~and~~

Investor and speculator attitude and confidence towards gold; and

Investment and trading activities of hedge funds and commodity funds.

Throughout 2019, gold prices experienced notable volatility. Gold closed at $1,282.90 per ounce on January 2, 2019, reached a high for the first calendar quarter of 2019 of $1,343.75, but fell to $1,269.50 towards the end of April, its lowest point for the year. Then, in early September, the price of gold reached $1,546.10 per ounce, trading at a then six-year high, as the Federal Reserve re-opened the door for interest rate cuts amid rising global economic and political uncertainties including uncertainty surrounding U.S.-China trade relations. Throughout 2019, individual supply and demand elements also saw dramatic fluctuations. If gold markets continue to be subject to sharp fluctuations, the price of the Gold Deposit Receipts may experience significant price fluctuation and this may result in losses if you need to sell your Gold Deposit Receipts at a time when the price of gold is lower than it was when you made your investment. Even if you are able to hold Gold Deposit Receipts for the long-term, you may never experience a profit, since gold markets have historically experienced extended periods of flat or declining prices, in addition to sharp fluctuations.

InThe ~~addition,~~price ~~investors~~of ~~should~~gold beis ~~aware~~volatile ~~that~~and ~~there~~historical isfluctuations noin ~~assurance that~~ gold ~~will~~prices ~~maintain~~are ~~its~~not ~~long-term~~a ~~value~~reliable inindicator ~~terms~~ of ~~purchasing power in the~~ future. Ingold ~~the event that the~~ price ~~of gold declines, the Initial Depositor expects the value of an investment in the Gold Deposit Receipts to decline proportionately~~movements.

The price of gold is volatile, and fluctuations are expected to have a direct impact on the value of the Gold Deposit Receipts. Throughout 2019 and 2020, gold prices experienced notable volatility. Gold closed at $1,282.90 per ounce on January 2, 2019, reached a high for the first calendar quarter of 2019 of $1,343.75, but fell to $1,269.50 towards the end of April 2019, its lowest point for the year. Then, in early September 2019, the price of gold reached $1,546.10 per ounce, trading at a then six-year high, as the Federal Reserve re-opened the door for interest rate cuts amid rising global economic and political uncertainties including uncertainty surrounding U.S.-China trade relations. In 2020, gold started the year at $1,527.10 per ounce on January 2, 2020, closed at $1,474.25 per ounce on March 19, 2020, reached a record high of $2,067.15 per ounce on August 6, 2020, and then closed at $1,887.60 per ounce at the end of December. Throughout 2019 and 2020, individual supply and demand elements also saw dramatic fluctuations.

Moreover, movements in the price of gold in the past, and any past or present trends, are not a reliable indicator of future movements. Movements may be influenced by various factors, including announcements from central banks regarding a country’s reserve gold holdings, agreements among central banks, fluctuations in the value of the U.S. dollar, gold supply and demand, geo-political uncertainties, economic concerns such as inflation, and real or speculative investor interest.

There is no guarantee that the high trading price of gold will be sustained.

Prices in the international gold market have reached historically high levels in recent years. The price of physical gold going forward and, in turn, the future value of net assets of the Trust, may be dependent upon factors that include global gold supply and demand, investors’ inflation expectations, exchange rate volatility, interest rate volatility and investment and trading activities of hedge funds and commodity funds. An adverse development with regard to one or more of these, or other factors may lead to a decrease in gold trading prices. A decline in prices of gold would decrease the value of net assets and the net asset value of the Trust. In addition, investors should be aware that there is no assurance that gold will maintain its long-term value in terms of purchasing power in the future. In the event that the price of gold declines, the Initial Depositor expects the value of an investment in the Gold Deposit Receipts to decline proportionately.

The Trust, the Initial Depositor, BMO Financial Group (“BMO”) and their respective service providers are vulnerable to the effects of public health crises, including the ongoing novel coronavirus pandemic (the “COVID-19 pandemic”).

Pandemics and other public health crises may cause a curtailment of business activities which may potentially impact the ability of the Initial Depositor, BMO and their respective service providers to operate. The World Health Organization declared COVID-19 a global pandemic on March 11, 2020. The COVID-19 pandemic has negatively impacted the global economy and economic outlook, including with respect to the jurisdictions in which the Trust, the Initial Depositor and BMO operate, disrupted global supply chains, lowered equity market valuations, lowered interest rates, created significant volatility and disruption in financial markets, increased unemployment levels and increased credit and market risk. In addition, governments and regulatory bodies have implemented several measures, including temporary closures of a number of businesses and the institution of social distancing and sheltering in place requirements in many of these jurisdictions. Governments, monetary authorities and regulators have also taken actions to support individuals, the economy, capital markets, and the financial system, including taking fiscal and monetary measures to support incomes, businesses, liquidity, and regulatory actions in respect of financial institutions. The COVID-19 pandemic or a similar public health threat could adversely impact the Trust by causing operating delays and disruptions, market disruption and shutdowns, including as a result of government regulation and prevention measures. A prolonged outbreak could also result in an increase of the costs of the Trust, affect liquidity in the market for gold as well as the correlation between the price of the Receipts and the net asset value of the Trust. The extent to which the COVID-19 pandemic impacts the Trust’s business, results of operations and financial condition, including the potential from loss from higher credit, counterparty or mark-to-market losses, will depend on future developments, which are highly uncertain and cannot be predicted, including the scope and duration of the pandemic and actions taken by governmental and regulatory authorities, which could vary by country, and other third parties in response to the pandemic. To date, the impact of COVID-19 has not materially affected the operations of the Trust.

The value of Gold Bullion is not guaranteed, which may cause your investment in the Gold Deposit Receipts to be volatile.

An investment in Gold Bullion is speculative and may be subject to greater price volatility than other investments. Appreciation in the market price of gold is the sole manner in which you can realize gains. Past performance of the price of gold is not indicative of future performance. Bank of Montreal does not provide any guarantee as to the value of Gold Bullion, which may be affected by many international, economic, monetary and political factors, many of which are unpredictable.

Future governmental decisions may have significant impact on the price of Gold Bullion, which will impact the price of the Gold Deposit Receipts.

Generally, gold prices reflect the supply and demand of available Gold Bullion. Governmental decisions, such as the executive order issued by the President of the United States in 1933 requiring all persons in the United States to deliver Gold Bullion to the Federal Reserve or the abandonment of the gold standard by the United States in 1971, have been viewed as having a significant impact on the supply and demand of Gold Bullion and the price of Gold Bullion. Other governmental actions have indirectly impacted the price of Gold Bullion, such as the United Kingdom’s referendum held on June 23, 2016 to leave the European Union (i.e., Brexit). Future governmental decisions, whether in the United States, Canada or other relevant jurisdictions, may, either directly or indirectly, have an impact on the price of Gold Bullion, and may result in a significant decrease or increase in the value of the Gold Bullion and the Gold Deposit Receipts.

Disruptions in trading may materially adversely affect the Gold Deposit Receipts.

Occasional disruptions in trading, including temporary distortions or other disruptions due to various factors, such as the lack of liquidity in markets, the participation of speculators and governmental regulation and intervention may result in a significant decrease or increase in the value of Gold Bullion, which will affect the Gold Deposit Receipts.

The Trust is a passive investment vehicle. This means that the value of the Gold Deposit Receipts may be adversely affected by Trust losses that, if the Trust had been actively managed, it might have been possible to avoid.

The Trustee does not actively manage the gold held by the Trust. This means that the Trustee does not sell gold at times when its price is high, or acquire gold at low prices in the expectation of future price increases. It also means that the Trustee does not make use of any of the hedging techniques available to professional gold investors to attempt to reduce the risks of losses resulting from price decreases. Any losses sustained by the Trust will adversely affect the value of the Gold Deposit Receipts.

Because the Trust holds solely Gold Bullion, an investment in the Trust may be more volatile than an investment in a more broadly diversified portfolio.

The Trust holds solely Gold Bullion for the benefit of the holders of the Gold Deposit Receipts. As a result, the Trust’s holdings are not diversified. Accordingly, the asset value of the Trust may be more volatile than another investment vehicle with a broadly diversified portfolio and may fluctuate substantially over time.

Crises may motivate large-scale sales of gold which could decrease the price of gold and adversely affect an investment in the Gold Deposit Receipts.

The possibility of large-scale distressed sales of gold in times of crisis may have a short-term negative impact on the price of gold and adversely affect an investment in the Gold Deposit Receipts. For example, the 1998 Asian financial crisis resulted in significant sales of gold by individuals, which depressed the price of gold. Crises in the future may impair gold’s price performance which would, in turn, adversely affect an investment in the Gold Deposit Receipts.

Purchasing activity in the gold market associated with the delivery of Gold Bullion to the Trust in exchange for Gold Deposit Receipts may cause a temporary increase in the price of gold. This increase may adversely affect an investment in the Gold Deposit Receipts.

Purchasing activity associated with acquiring the Gold Bullion that is transferred into the Trust in connection with the issuance of additional Gold Deposit Receipts may temporarily increase the market price of gold, which will result in higher prices for the Gold Deposit Receipts. Temporary increases in the market price of gold may also occur as a result of the purchasing activity of other market participants. Other market participants may attempt to benefit from an increase in the market price of gold that may result from increased purchasing activity of gold connected with the issuance of Gold Deposit Receipts. Consequently, the market price of gold may decline immediately after Gold Deposit Receipts are purchased. If the price of gold declines, the trading price of the Gold Deposit Receipts will also decline.

Holders of Gold Deposit Receipts do not have the protections associated with ownership of interests in an investment company registered under the 1940 Act or the protections afforded by the CEA.

The Trust is not registered as an investment company under the 1940 Act and is not required to register under such act. Consequently, holders of Gold Deposit Receipts do not have the regulatory protections provided to investors in investment companies. The Trust will not hold or trade commodity interests regulated by the CEA, as administered by the CFTC. Furthermore, the Trust is not a commodity pool for purposes of the CEA, and none of the Initial Depositor, the Trustee or the Authorized Participants is subject to regulation by the CFTC in any capacity, including as a commodity pool operator or a commodity trading advisor in connection with the Gold Deposit Receipts. Consequently, holders of Gold Deposit Receipts do not have the regulatory protections provided to investors in CEA-regulated instruments or commodity pools.

The Trust may be required to terminate and liquidate at a time that is disadvantageous to holders.

If the Trust is required to terminate and liquidate, such termination and liquidation could occur at a time which is disadvantageous to holders, such as when gold prices are lower than the gold prices at the time when holders purchased their Gold Deposit Receipts. In such a case, when the Trust’s Gold Bullion is sold as part of the Trust’s liquidation, the resulting proceeds distributed to holders will be less than if gold prices were higher at the time of sale.

The price of gold may be affected by the sale of gold by exchange-traded funds or other exchange-traded vehicles tracking gold markets.

To the extent existing exchange-traded funds, or ETFs, or other exchange-traded vehicles tracking gold markets represent a significant proportion of demand for Gold Bullion, large redemptions of the securities of these ETFs or other exchange-traded vehicles could negatively affect Gold Bullion prices and the price of the Gold Deposit Receipts.

An investment in the Gold Deposit Receipts may be adversely affected by competition from other methods of investing in gold.

The Trust competes with other financial vehicles, including traditional debt and equity securities issued by gold industry participants and direct investments in gold. Market and financial conditions, and other conditions beyond Bank of Montreal’s control, may make it more attractive to invest in other financial vehicles or to invest in gold directly, which could limit the market for the Gold Deposit Receipts and reduce the liquidity of the Gold Deposit Receipts.

The Trust may postpone, suspend or reject redemption requests in certain circumstances, which may limit the ability of a holder of Gold Deposit Receipts to obtain liquidity.

If notified by Bank of Montreal or BMO Capital Markets Corp. of any postponement, suspension or rejection of settlement, the Trustee shall suspend the redemption right or postpone the settlement date for any redemption to have physical gold delivery for you. Any such postponement, suspension or rejection may affect a holder’s ability to obtain liquidity. Under the Depositary Trust Agreement, the Initial Depositor, the Trustee and the Underwriter have no liability for any loss or damage that may result from any such suspension or postponement. Physical delivery may be suspended generally, or refused with respect to particular requested deliveries only in the case of a force majeure event or market disruption event where the Initial Depositor is prevented for reasons outside of its control from delivering the Gold Bullion, and such suspension or refusal shall only last so long as the Initial Depositor continues to be so prevented from delivering the Gold Bullion.

Redemptions or repurchases of Gold Deposit Receipts by the Initial Depositor for Cash Delivery may be suspended at any time as a result of suspensions in the purchase of Gold Bullion by Bank of Montreal.

As a holder of Gold Deposit Receipts, you will only have the option to elect that Bank of Montreal repurchase the withdrawn Gold Bullion represented by your Gold Deposit Receipts for cash if Bank of Montreal is then effecting such purchases, but Bank of Montreal is under no obligation to do so. Accordingly, you should only purchase the Gold Deposit Receipts if you are prepared to maintain an ownership interest in the Gold Deposit Receipts for an indefinite period. Bank of Montreal does not have any obligation to the Trust or to any holder of Gold Deposit Receipts to repurchase Gold Bullion at any time.

In the event that a holder redeems Gold Deposit Receipts for cash or physical gold, an Authorized Participant or other broker-dealer that processes that transaction may charge additional fees.

Holders who redeem their Gold Deposit Receipts for cash or physical gold using the services of an Authorized Participant or other broker-dealer (for example, the holder’s broker) may be charged additional fees or commissions by that Authorized Participant or other broker-dealer. No additional fees (other than any applicable withdrawal and delivery fee in connection with the delivery of physical gold) will be charged by Bank of Montreal, the Trust or BMO Capital Markets Corp.

Physical delivery of Gold Bullion is not available in every state, and the states approved for delivery may change at any time.

Gold Bullion will be delivered only to addresses within the United States that are within a state specifically approved by the Underwriter for delivery. The Initial Depositor will maintain a list of states approved for delivery and provide the same to the Authorized Participants from time to time. The Initial Depositor has no obligation to deliver Gold Bullion to a state that is not approved for delivery, and there is no guarantee that delivery will remain available in any particular state. If an investor changes its address to a state that is not approved for delivery, delivery will no longer be available to that investor.

A request for sale or redemption is irrevocable.

In order to sell or redeem Gold Deposit Receipts for cash or physical gold, a holder must provide a notice to the Trust through an Authorized Participant or other broker-dealer. Except when sales or redemptions have been suspended, once a notice has been received, it can no longer be revoked by the holder under any circumstances, though it may be rejected by the Trust if it does not comply with the requirements for such notice.

The fees charged to holders for redemption of their Gold Deposit Receipts may change.

If you choose to redeem your Gold Deposit Receipts for physical gold, you will be responsible for payment of certain fees and expenses. The fees and expenses may be increased or decreased by Bank of Montreal in its sole and absolute discretion.

Holders do not have the rights enjoyed by investors in certain other vehicles.

As interests in the Gold Bullion held by the Trust, the Gold Deposit Receipts have none of the statutory rights normally associated with the ownership of shares of a corporation (including, for example, the right to bring “derivative” actions). In addition, the Gold Deposit Receipts have limited voting and distribution rights (for example, holders do not have the right to elect directors and will not receive dividends).

Each of the parties to the offering of Gold Deposit Receipts maintains several roles, which may present certain conflicts of interest.

Bank of Montreal is the Initial Depositor of the Trust and holds Gold Bullion that it will transfer to the Trust from time to time in connection with the sale by the Trust of the Gold Deposit Receipts. The price at which Gold Deposit Receipts are sold to the public is equal to the price at which Gold Bullion is transferred to the Trust by Bank of Montreal. Transactions in the Gold Deposit Receipts will be executed promptly by BMO Capital Markets Corp. and Bank of Montreal. Bank of Montreal may earn revenues (or suffer losses) from the sale of Gold Bullion to the Trust. As discussed above, under “Purchasing activity in the gold market associated with the delivery of Gold Bullion to the Trust in exchange for Gold Deposit Receipts may cause a temporary increase in the price of gold. This increase may adversely affect an investment in the Gold Deposit Receipts,” activity in the gold market may affect the price of Gold Deposit Receipts. In addition to acting as the Initial Depositor, Bank of Montreal also redeems the Gold Deposit Receipts for Gold Bullion and purchases the Gold Deposit Receipts for cash. Furthermore, BMO Capital Markets Corp. acts as the Underwriter of the continuous offerings of Gold Deposit Receipts and as the calculation agent responsible for calculating the spot price of gold, using the spot price of gold reflected on EBS as the source for the spot price of gold, without adjustment or modification. Each party plays various roles, which may give rise to certain conflicts of interest of which you should be aware.

Substantial sales of gold by the official sector could adversely affect an investment in the Gold Deposit Receipts.

The official sector consists of central banks, other governmental agencies and multi-lateral institutions that buy, sell and hold gold as part of their reserve assets. The official sector holds a significant amount of gold, most of which is static, meaning that it is held in vaults and is not bought, sold, leased or swapped or otherwise mobilized in the open market. A number of central banks have sold portions of their gold over the past ten years, with the result that the official sector, taken as a whole, has been a net supplier to the open market. Since 1999, most sales have been made in a coordinated manner under the terms of the Central Bank Gold Agreement under which 15 of the world’s major central banks agree to limit the level of their gold sales and lending to the market. In the event that future economic, political or social conditions or pressures require members of the official sector to liquidate their gold assets all at once or in an uncoordinated manner, the demand for gold might not be sufficient to accommodate the sudden increase in the supply of gold to the market. Consequently, the price of gold could decline significantly, which would adversely affect an investment in the Gold Deposit Receipts.

The Trust does not insure its assets and there may not be adequate sources of recovery if its Gold Bullion is lost, damaged, stolen or destroyed.

The Trust does not insure its assets, including the Gold Bullion stored at the Mint. Consequently, if there is a loss of assets of the Trust through theft, destruction, fraud or otherwise, the Trust and holders will need to rely on insurance carried by applicable third parties, if any, or on such third party’s ability to satisfy any claims against it. The amount of insurance available or the financial resources of a responsible third party may not be sufficient to satisfy the Trust’s claim against such party. Also, holders of Gold Deposit Receipts are unlikely to have any right to assert a claim directly against such third party; such claims may only be asserted by the Trustee on behalf of the Trust. In addition, if a loss is covered by insurance carried by a third party, the Trust, which is not a beneficiary on such insurance, may have to rely on the efforts of the third party to recover its loss. This may delay or hinder the Trust’s ability to recover its loss in a timely manner or otherwise.

A loss with respect to the Trust’s Gold Bullion that is not covered by insurance and for which compensatory damages cannot be recovered would have a negative impact on the Gold Deposit Receipts and would adversely affect an investment in the Gold Deposit Receipts. In addition, any event of loss may adversely affect the operations of the Trust and, consequently, an investment in the Gold Deposit Receipts.

A redeeming holder of the Gold Deposit Receipt that suffers loss of, or damage to, its Gold Bullion during delivery will not be able to claim damages from the Service Carrier, Bank of Montreal, the Trust or the storage provider.

If a holder of Gold Deposit Receipts exercises its option to redeem Gold Deposit Receipts for Gold Bullion, the holder’s Gold Bullion will be transported by a third-party service carrier (“Service Carrier”). Because ownership of Gold Bullion will transfer to such holder at the time Bank of Montreal surrenders the Gold Bullion to the Service Carrier, the redeeming holder will bear the risk of loss from the moment the Service Carrier takes possession of the Gold Bullion on behalf of such holder. Under the terms of the Gold Carrier Agreement, in the event of any loss or damage in connection with the delivery of the Gold Bullion, such holder will not be able to claim damages from the Service Carrier, nor will such holder be able to claim damages from Bank of Montreal, the Trust or the Mint.

Bank of Montreal, the Mint and service providers engaged by the Trust may not carry adequate insurance to cover claims against them by the Trust.

Holders cannot be assured that Bank of Montreal, the Mint or service providers engaged by the Trust will maintain insurance with respect to the Trust’s assets or the services that such parties provide to the Trust and, if they maintain insurance, that such insurance is sufficient to satisfy any losses incurred by them in respect of their relationship with the Trust. The Mint, to the extent it incurs any liability, will be liable only to Bank of Montreal directly in the event of loss, damage or destruction of the Trust’s Gold Bullion. In addition, none of the Trust’s service providers are required to include the Trust as a named beneficiary of any such insurance policies that are purchased. Accordingly, the Trust will have to rely on the efforts of the service provider to recover from their insurer compensation for any losses incurred by the Trust in connection with such arrangements.

If there is a loss, damage or destruction of the Trust’s Gold Bullion in the custody of the Mint and Bank of Montreal does not give timely notice, all claims against the Mint will be deemed waived.

In the event of loss, damage or destruction of the Trust’s Gold Bullion in the Mint’s custody, care and control, Bank of Montreal must give written notice to the Mint within five Mint business days (a Mint business day means any day other than a Saturday, Sunday or a holiday observed by the Mint) after the discovery by Bank of Montreal of any such loss, damage or destruction, but in any event no more than 30 days after the delivery by the Mint to Bank of Montreal of an inventory statement in which the discrepancy first appears. If such notice is not given in a timely manner, all claims against the Mint will be deemed to have been waived. In addition, no action, suit or other proceeding to recover any loss or shortage can be brought against the Mint unless timely notice of such loss or shortage has been given and such action, suit or proceeding will have commenced within 12 months from the time a claim is made. The loss of the right to make a claim or of the ability to bring an action, suit or other proceeding against the Mint may mean that any such loss will be non-recoverable, which will have an adverse effect on the value of the net assets of the Trust.

The Trustee and Trust shall have no responsibility or liability for actions taken by the Initial Depositor or the Mint.

Pursuant to the terms of the Depositary Trust Agreement, neither the Trustee nor the Trust can be held responsible, or liable, for any misconduct, bad faith or negligence of the Initial Depositor or the Mint.

The Trust is exposed to various operational risks.

The Trust is exposed to various operational risks, including information technology failures, human error and failures to comply with procedures intended to mitigate such risks.

Under Canadian law, the Trust may have limited recourse against the Mint.

The Mint is a Canadian Crown corporation. A Canadian Crown corporation may be sued for breach of contract or for wrongdoing in tort where it has acted on its own behalf or on behalf of the Crown. However, a Canadian Crown corporation may be entitled to immunity if it acts as agent of the Crown rather than in its own right and on its own behalf. The Mint has entered into the Gold Storage Agreement between Bank of Montreal and the Mint relating to the custody of the Gold Bullion in Bank of Montreal’s account for the Trust. The Mint has entered into this agreement on its own behalf and not on behalf of the Crown; nevertheless, a court may determine that, when acting as custodian of the Trust’s Gold Bullion, the Mint acted as agent of the Crown and, accordingly, that the Mint may be entitled to immunity of the Crown.

Consequently, the Trust or a holder of Gold Deposit Receipts may not be able to recover for any losses incurred as a result of the Mint’s acting as custodian of the Gold Bullion.

The Mint may become a private enterprise, in which case its obligations will not constitute the unconditional obligations of the Government of Canada.

In the past, there has been speculation regarding whether the Government of Canada might privatize the Mint. The Mint will not remain a Canadian Crown corporation if the Government of Canada privatizes the Mint. If the Mint were to become a private entity, its obligations would no longer generally constitute unconditional obligations of the Government of Canada and, although it would continue to be responsible for and bear the risk of loss of, and damage to, the Trust’s Gold Bullion that is in its custody, there would be no assurance that the Mint would have the resources to satisfy claims of the Trust against the Mint based on a loss of, or damage to, the Trust’s Gold Bullion in the custody of the Mint.

An investment in Gold Bullion may not be appropriate for all investors.

You should decide to buy the Gold Deposit Receipts, which constitute an investment in Gold Bullion, only after carefully considering with your investment or financial advisor whether Gold Bullion is a suitable investment in light of the information contained in this annual report having regard to your financial or investment objectives and expectations.

Changes in laws or regulations may affect the Gold Deposit Receipts and the Gold Bullion.

The promulgation of new laws or regulations or by the reinterpretation of existing laws or regulations (including, without limitation, those relating to taxes and duties on commodities or commodity components) by one or more governments, governmental agencies or instrumentalities, courts, or other official bodies may result in a significant decrease or increase in the value of the Gold Deposit Receipts and the Gold Bullion. The United States or foreign governments may pass laws or regulations limiting metal investments for strategic or other policy reasons.

Potential risks could arise with respect to the Trust and the holders of Gold Deposit Receipts from an insolvency event relating to Bank of Montreal.

The Gold Deposit Receipts represent interests in Gold Bullion held by the Trust. The Gold Bullion is held by the Trust on behalf of purchasers and held at an account of Bank of Montreal with the Mint. The Gold Bullion is not, and will not, be owned by Bank of Montreal. Consequently, under Canadian federal law, the Gold Bullion would not be available to meet the claims of creditors of Bank of Montreal in the event of any bankruptcy, insolvency or similar event involving Bank of Montreal. However, any such event could lead to delays in restoring the ability of holders of Gold Deposit Receipts to transact in such Gold Bullion, depending upon the outcome of any relevant bankruptcy or related proceedings.

Transactions through an Authorized Participant or other broker-dealer are subject to risks related to that Authorized Participant or other broker-dealer.

All transactions in the Gold Deposit Receipts will take place through an Authorized Participant or other broker-dealer, and you assume the risks of the Authorized Participant’s or broker-dealer’s failure to fulfill its obligations to you.

The Gold Deposit Receipts are not subject to deposit insurance.

The Gold Deposit Receipts are not securities of The Bank of New York Mellon, BNY Mellon Trust of Delaware, Bank of Montreal or any other bank, and do not constitute deposits that are insured under the U.S. Federal Deposit Insurance Act, the Canada Deposit Insurance Corporation Act or any other deposit insurance regime.

There is no assurance that your investment in the Gold Deposit Receipts will be subject to protection by the Securities Investor Protection Corporation.

In the case of the failure of a brokerage firm that is a member of the Securities Investor Protection Corporation (the “SIPC”), the SIPC would protect customers against the loss of cash and securities. The SIPC does not protect commodity or related futures contracts or investment contracts. The Gold Deposit Receipts are not commodity futures or investment contracts. In the opinion of Mayer Brown LLP, the Gold Deposit Receipts should be viewed as securities for which SIPC protection should be available. However, given that the Gold Deposit Receipts are novel instruments, there can be no assurance that the SIPC or a court having jurisdiction on this matter would concur with this legal conclusion.

The Trust is an “emerging growth company” and it cannot be certain if the reduced disclosure requirements applicable to emerging growth companies will make the Gold Deposit Receipts less attractive to investors.

The Trust is an “emerging growth company” as defined in the JOBS Act. For as long as the Trust continues to be an emerging growth company it may choose to take advantage of certain exemptions from various reporting requirements applicable to other public companies but not to emerging public companies, which include, among other things:

exemption from the auditor attestation requirements under Section 404 of the Sarbanes-Oxley Act;

reduced disclosure obligations regarding executive compensation in the Trust’s periodic reports;

exemption from the requirements of holding non-binding stockholder votes on executive compensation arrangements; and

exemption from any rules requiring mandatory audit firm rotation and auditor discussion and analysis and, unless the SEC otherwise determines, any future audit rules that may be adopted by the Public Company Accounting Oversight Board.

The Trust could be an emerging growth company until October 31, 2021, the last day of the Trust’s fiscal year following the fifth anniversary after its initial public offering, or until the earliest of: (i) the last day of the fiscal year in which it has annual gross revenue of $1.07 billion or more; (ii) the date on which it has, during the previous three year period, issued more than $1 billion in non-convertible debt; or (iii) the date on which it is deemed to be a large accelerated filer under the federal securities laws.

The Trust will qualify as a large accelerated filer as of the first day of the first fiscal year after it has (i) more than $700 million in outstanding equity held by non-affiliates and (ii) been public for at least 12 months. The value of the Trust’s outstanding equity will be measured each year on the last day of its second fiscal quarter.

Under the JOBS Act, emerging growth companies are also permitted to elect to delay adoption of new or revised accounting standards until companies that are not subject to periodic reporting obligations are required to comply, if such accounting standards apply to non-reporting companies. The Trust has made an irrevocable decision to opt out of this extended transition period for complying with new or revised accounting standards.

The Trust cannot predict if investors will find an investment in the Trust less attractive if it relies on these exemptions.

You should consider the applicable tax consequences of an investment in the Gold Deposit Receipts, and indirectly, in Gold Bullion.

You should consult with your own tax advisors in order to determine the impact of applicable taxes on your investment.

Item 2. Properties

The property of the Trust consists of the Gold Bullion and all monies or other property, if any, received by the Trustee.

Item 3. Legal Proceedings

None.

Item 4. Mine Safety Disclosures

Not applicable.

PART II

Item 5. Market for Registrant’s Common Equity, Related Shareholder Matters and Issuer Purchases of Equity Securities

None.

Item 6. Selected Financial Data

Not applicable.

Item 7. Management’s Discussion and Analysis of Financial Condition and Results of Operations

Overview

The Trust holds Gold Bullion for the benefit of owners of Gold Deposit Receipts. One Gold Deposit Receipt represents the undivided beneficial ownership of one troy ounce of Gold Bullion. The Trustee performs only administrative and ministerial acts. The property of the Trust consists of the Gold Bullion and all monies or other property, if any, received by the Trustee. The Initial Depositor sells Gold Bullion to the Trust and arranges custodial services through its gold storage account. As of October 31, ~~2019~~2020, there were ~~153,386~~979 Gold Deposit Receipts outstanding.

The Trust is not managed like a corporation or an active investment vehicle. It does not have any officers, directors, or employees and is administered by the Trustee pursuant to the Depositary Trust Agreement. The expenses of the Trust are borne by the Initial Depositor.

The fiscal year end for the Trust is October 31.

Gold Industry

The participants in the gold industry may be classified in the following sectors: (1) mining and producer; (2) banking; (3) official; (4) investment; and (5) manufacturing. The following is a brief description of each of the sectors.

Mining and Producer Sector. This group includes mining companies that specialize in gold and silver production; mining companies that produce gold as a byproduct of other production (such as a copper or silver producer); scrap merchants; and recyclers.

Banking Sector. Bullion banks provide a variety of services to the gold industry and its participants, thereby facilitating interactions between other parties. Services provided by the bullion banking community include traditional banking products as well as mine financing, physical gold purchases and sales, hedging and risk management, inventory management for industrial users and consumers, and gold deposit and loan instruments.

The Official Sector. The official sector encompasses the activities of the various central banking operations of gold-holding countries. In September 1999, a group of 15 central banks acting to clarify their intentions with respect to their gold holdings signed the Central Bank Gold Agreement commonly called the “Washington Agreement on Gold.” The signatories included the European Central Bank (the “ECB”) and the central banks of Austria, Belgium, Finland, France, Germany, Ireland, Italy, Luxembourg, the Netherlands, Portugal, Spain, Sweden, Switzerland, and England. The original agreement limited incremental sales by the 15 signatories to 400 tonnes per annum over the ensuing five-year period. The original Washington Agreement on Gold expired in September 2004, and was renewed by almost all of the original signatories for a second five-year period (England did not renew in 2004). The second Washington Accord Agreement expired in September 2009 and was renewed again by all signatories of the second agreement for a third agreement to last another five-year period. In addition, the central banks of Cyprus, Greece, Malta, Slovakia and Slovenia signed in 2009. The annum limit on gold sales under the third agreement was 400 tonnes, with total sales not to exceed 2,000 tonnes in the five-year period. In May 2014, before the third agreement was set to expire in September 2014, a fourth agreement was reached between the ECB and the central banks of Austria, Belgium, Cyprus, Estonia, Finland, France, Germany, Greece, Ireland, Italy, Latvia, Luxembourg, Malta, the Netherlands, Portugal, Slovakia, Slovenia, Spain, Sweden and Switzerland, which will expire after a five-year period. The signatories agreed to, among other things, continue to coordinate their gold transactions to avoid disturbances to the gold market and have acknowledged that they each do not have plans to sell significant amounts of gold. On July 26, 2019, the ECB announced that it and the 21 other central bank signatories have decided not to renew the fourth agreement upon its expiry in September 2019, citing that they no longer see the need for a formal agreement as the market has developed and matured. The signatories confirmed that gold remains an important element of global monetary reserves and none of them currently has plans to sell significant amounts of gold.

The Investment Sector. This sector includes the investment and trading activities of both professional and private investors and speculators. These participants range from large hedge and mutual funds to day-traders on futures exchanges and retail-level coin collectors.

The Manufacturing Sector. The fabrication and manufacturing sector represents all the commercial and industrial users of gold for whom gold is a daily part of their business. The jewelry industry is a large user of gold. Other industrial users of gold include the electronics and dental industries.

World Gold Supply and Demand (from calendar year ~~2009~~2015-2019)

The following table sets forth a summary of the world gold supply and demand from calendar year ~~2009~~2015-2019:

WORLD GOLD SUPPLY AND DEMAND (tonnes)(1)	~~2009†~~	~~2010†~~	~~2011~~2015†	~~2012†~~	~~2013†~~	~~2014†~~	~~2015~~2016†	~~2016†~~	~~2017†~~	~~2018†~~	Q1 2019*2017†	Q2 2019*	2018†	Q1 2019*	Q2 2019*	Q3 2019*	Q4 2019*
Supply
Mine Production	~~2,651~~	~~2,771~~	23,~~868~~222	~~2,882~~	~~3,076~~	~~3,180~~	3,~~222~~252	~~3,252~~	~~3,259~~	~~3,332~~	~~818~~3,259	~~829~~	3,332	831	838	884	868
Scrap	~~1,765~~	~~1,743~~	1,~~698~~180	~~1,700~~	~~1,303~~	~~1,159~~	1,~~180~~306	~~1,306~~	~~1,210~~	~~1,178~~	~~306~~1,210	~~302~~	1,178	306	308	331	301
Net Hedging Supply	~~-234~~	~~-106~~	1821	~~-40~~	~~-39~~	~~108~~	2132	32	~~-41~~	8	-2541	-4	8	-25	70	-15	15
Total Supply	~~4,182~~	~~4,407~~	4,~~584~~422	~~4,543~~	~~4,340~~	~~4,446~~	4,~~422~~590	~~4,590~~	~~4,428~~	~~4,518~~	14,~~098~~428	~~1,136~~	4,518	1,112	1,216	1,200	1,185
Demand
Jewelry	~~1,879~~	~~2,096~~	2,~~109~~474	~~2,075~~	~~2,737~~	~~2,569~~	21,~~474~~962	~~1,962~~	~~2,222~~	~~2,129~~	~~454~~2,222	~~460~~	2,129	455	469	332	471
Industrial Fabrication	~~426~~	~~480~~	~~470~~376	~~432~~	~~428~~	~~411~~	~~376~~366	~~366~~	~~380~~	~~391~~	94380	92	391	92	92	95	95
…of which Electronics	~~295~~	~~346~~	~~342~~267	~~310~~	~~306~~	~~297~~	~~267~~264	~~264~~	~~277~~	~~288~~	69277	68	288	67	68	70	70
…of which Dental & Medical	53	48	4332	39	36	34	3230	30	29	29	729	6	29	7	7	7	7
…of which Other Industrial	79	86	8576	84	85	80	7671	71	73	74	1873	17	74	18	18	18	18
Net Official Sector	~~-34~~	77	~~457~~443	~~544~~	~~409~~	~~466~~	~~443~~253	~~253~~	~~366~~	~~536~~	~~152~~366	~~108~~	536	145	210	136	132
Retail Investment	~~866~~	~~1,263~~	1,~~617~~172	~~1,407~~	~~1,871~~	~~1,165~~	1,~~172~~051	~~1,051~~	~~1,031~~	~~1,097~~	~~265~~1,031	~~238~~	1,097	273	244	188	297
…of which Bars	~~562~~	~~946~~	~~1,248~~875	~~1,057~~	~~1,444~~	~~886~~	~~875~~785	~~785~~	~~771~~	~~800~~	~~193~~771	~~171~~	800	194	173	133	217
…of which Coins	~~304~~	~~317~~	~~369~~296	~~350~~	~~426~~	~~279~~	~~296~~266	~~266~~	~~261~~	~~297~~	72261	67	297	79	71	55	80
Physical Demand	~~3,138~~	~~3,915~~	4,~~652~~464	~~4,458~~	~~5,445~~	~~4,611~~	43,~~464~~631	~~3,631~~	~~3,999~~	~~4,154~~	13,~~019~~999	~~935~~	4,154	1,014	1,049	814	1,033
Physical Surplus/Deficit	~~1,044~~	~~492~~	-6942	85	~~-1,105~~	~~-164~~	~~-42~~959	~~959~~	~~429~~	~~365~~	80429	~~192~~	365	98	167	386	151
ETF Inventory Build	~~623~~	~~384~~	~~189~~-117	~~279~~	~~-879~~	~~-155~~	~~-117~~539	~~539~~	~~177~~	59	32177	69	59	32	92	231	35
Exchange Inventory Build	39	54	-648	~~-10~~	~~-98~~	1	~~-48~~86	86	0	~~-21~~	~~-11~~0	~~-13~~	-21	-11	-13	14	17
Net Balance	~~382~~	54	~~-251~~124	~~-185~~	~~-129~~	~~-10~~	~~124~~334	~~334~~	~~252~~	~~327~~	59252	~~136~~	327	78	87	140	99
Gold Price (London PM, US$/oz)	~~972.35~~	~~1,224.52~~	1,~~571~~160.6906	~~1,668.98~~	~~1,411.23~~	~~1,266.40~~	1,~~160~~250.0680	~~1,250.80~~	~~1,257.15~~	~~1,268.49~~	1,~~303~~257.815	~~1,309.4~~	1,268.49	1,303.8	1,309.4	1,472.5	1,479.9

Note: Totals may not add due to independent rounding. Net producer hedging is the change in the physical market impact of mining companies’ gold loans, forwards and options positions. Implied net investment is the residual from combining all other Thomson Reuters GFMS data on the gold supply/demand as shown in the Summary Table. As such, it captures the net physical impact of all transactions not covered by the other supply/demand variables.

(1) “Tonne” refers to one metric ton. This is equal to 1,000 kilograms or 32,150.7465 troy ounces.

† Source: Gold Survey 2019, GFMS, Refinitiv

* Source: Gold Survey H1H2 2019 Update and Outlook, GFMS, Refinitiv

Historic Movements in the Price of Gold

As movements in the price of gold are expected to directly affect the price of the Gold Deposit Receipts, investors should understand what the recent movements in the price of gold have been. Investors, however, should also be aware that past movements in the gold price are not indicators of future movements.

The following chart provides historical background on the price of gold. The chart illustrates movements in the price of gold in U.S. dollars per ounce over the period from October ~~2009~~2015 to October ~~2019~~2020, and is based on the LBMA (PM) Gold Price, an offering of ICE Benchmark Administration.

Source: LBMA.org.uk (accessed January ~~2020~~2021)

The price of gold followed an upward trend in 2009. After rallying to $1,212.50 per ounce in early December 2009, it fell back down to $1,087.50 per ounce to close the year following the collapse of Lehman Brothers. This still resulted in a gain of over 25 percent for 2009. Upward price movement for gold price continued in 2010, reaching a new pre-inflation adjusted record high of $1,421.00 per ounce on November 9, 2010 and closing at $1,405.50 per ounce on December 30, 2010. In August 2011, the price of gold experienced a notable increase partially due to the first U.S. downgrade by Standard & Poor’s, reaching a high of $1,895.00 per ounce on September 5, 2011. By December 29, 2011, the price of gold had fallen to $1,531.00 per ounce. The annual average price of gold in 2012 was 6.2 percent higher than 2011, reaching a high of $1,791.75 on October 4, 2012. In particular, uncertainty over U.S. monetary policy became an increasingly significant driver of market appetite towards the end of 2012, and on December 28, 2012, the price of gold had fallen slightly to $1,657.50 per ounce.16

During 2014, the underlying driver behind investor sentiment of gold was global monetary policy. On one end, the improving economic conditions in the United States (along with the announcement of the Federal Reserve Board’s tapering measures at the end of 2013) diminished demand for gold for U.S. investors, while loosening of monetary policy in other advanced and emerging markets enhanced demand for gold globally, causing gold prices to fluctuate between a low of $1,132.00 and a high of $1,392.00 per ounce. Gold prices deteriorated throughout 2015, in part as a result of the Federal Reserve Board’s announcement that it would raise interest rates as well as a significant rally of the U.S. dollar index, falling to $1,060.00 per ounce on December 30, 2015. However, the price of gold rebounded during the first half of 2016. In July 2016, gold prices experienced a rapid increase following the United Kingdom’s referendum held on June 23, 2016 to leave the European Union (i.e., “Brexit”), reaching a 28-month high of $1,366.25 per ounce on July 6, 2016. The initial market volatility and negative sentiment in connection with Brexit has somewhat subsided and gold prices have receded from the high prices displayed during July 2016, leveling off at prices similarly exhibited during the beginning of 2016. Gold prices rallied robustly in the first seven months of 2016 before leveling off for much of the third calendar quarter. Gold hit a near eleven-month low price of $1,125.70 per ounce in late December and ended the year 8 percent higher than it started. This lower price followed a few days after the Federal Reserve raised interest rates on December 15, 2016.

In 2013, the twelve-year bull run of gold ended. 2013 opened near the annual high, and the price declined approximately 29 percent over the year to $1,204.50 per ounce on December 30, 2013. For 2013, the price of gold was impacted, in part, by improving sentiment towards the U.S. economy, which contributed to a strengthening of the U.S. dollar and equities, luring investors away from gold in the process. During 2014, the underlying driver behind investor sentiment of gold was global monetary policy. On one end, the improving economic conditions in the United States (along with the announcement of the Federal Reserve Board’s tapering measures at the end of 2013) diminished demand for gold for U.S. investors, while loosening of monetary policy in other advanced and emerging markets enhanced demand for gold globally, causing gold prices to fluctuate between a low of $1,132.00 and a high of $1,392.00 per ounce. Gold prices deteriorated throughout 2015, in part as a result of the Federal Reserve Board’s announcement that it would raise interest rates as well as a significant rally of the U.S. dollar index, falling to $1,060.00 per ounce on December 30, 2015. However, the price of gold rebounded during the first half of 2016. In July 2016, gold prices experienced a rapid increase following the United Kingdom’s referendum held on June 23, 2016 to leave the European Union (i.e., “Brexit”), reaching a 28-month high of $1,366.25 per ounce on July 6, 2016. The initial market volatility and negative sentiment in connection with Brexit has somewhat subsided and gold prices have receded from the high prices displayed during July 2016, leveling off at prices similarly exhibited during the beginning of 2016. Gold prices rallied robustly in the first seven months of 2016 before leveling off for much of the third calendar quarter. Gold hit a near eleven-month low price of $1,125.70 per ounce in late December and ended the year 8 percent higher than it started. This lower price followed a few days after the Federal Reserve raised interest rates on December 15, 2016.

In the first half of 2017, physical demand was up 17 percent compared to the same period a year earlier. In September 2017, gold prices rose to their highest level for thirteen months, but then slipped to a near five-month low by mid-December. Gold prices near $1,300.00 per ounce in the later half of 2017 indicated that physical demand had slipped compared to prior calendar quarters. The final weeks of 2017 saw gold prices recover the bulk of previous losses as the dollar weakened against other major currencies after the Federal Reserve reiterated that a gradual path of rate increases remained appropriate even in light of the new tax reform. Gold closed at $1,291.00 per ounce on December 28, 2017.

Gold started 2018 strongly, extending the rally that followed the Federal Reserve’s interest rate hike in December 2017. This rally hit a barrier just below $1,360.00 in late January. While gold started off to a positive year in 2018, a recovery in the U.S. dollar weakened prices and uncertainty on the U.S-China trade front weakened the yuan, further pulling gold down. In mid-August 2018, the price of gold was at $1,178.40, which was both the lowest price point for the year-to-date and the lowest since the start of 2017. By the end of August, gold prices had gone down approximately 7.7 percent in 2018. Investment sector demand grew in the fourth calendar quarter of 2018, as a short covering rally in net managed positions on COMEX pushed up net short positions into net long positions for the first time since July 2018. Official sector purchases rose to 196 tonnes in the last calendar quarter of 2018, their highest quarterly level in 50 years. A January 2019 study by the World Gold Council, an industry trade group, reported that the amount of gold purchased by central banks reached 651 tonnes in 2018, the highest level since 1967. Gold closed at $1,279.00 per ounce on December 28, 2018.

On January 30, 2019, the Federal Reserve announced it would keep its target range for its benchmark interest rate at 2.25% to 2.5% and declared it would be patient in deciding when to raise interest rates again. Gold closed at $1,323.25 per ounce on January 31, 2019. By the end of the first calendar quarter in 2019, gold demand grew to 1.053 tonnes, up approximately 7% from the first calendar quarter of 2018. While demand grew, supply remained relatively unchanged throughout the first calendar quarter of 2019, flatlining at approximately 1,150 tonnes. Gold reached a high of $1,343.75 in the first calendar quarter of 2019, but fell to around $1,295.40 by the end of March.

In the second calendar quarter of 2019, gold demand was 1,123 tonnes, up 8% from the prior year period, while gold supply grew 6% to 1,186.7 tonnes. For the first half of 2019, gold demand grew to a three-year high of 2,181.7 tonnes, largely due to central bank purchases and ETF inflows, while gold supply reached 2,323.9 tonnes, the highest since 2016. The price of gold broke through the $1,430 per ounce level in late June, trading at a then six-year high, as the Federal Reserve re-opened the door for interest rate cuts amid rising global economic and political uncertainties. Gold closed at $1,409 per ounce on June 28, 2019. On July 31, 2019, the Federal Reserve lowered the target range for its benchmark interest rate to 2% to 2.25% (from 2.25% to 2.5%) and declared it would continue to monitor the implications of incoming information for the economic outlook. During the third calendar quarter, gold demand grew modestly to 1,107.9 tonnes mainly due to the largest ETF inflows since 2016. The price of gold rose by 5% during the third calendar quarter of 2019. On September 4, 2019, the price of gold broke through the $1,546.10 per ounce level, its highest mark for 2019. The primary factors behind this price momentum continued to be ongoing geopolitical tensions, concerns of a slowdown in economic growth, lower interest rates and the level of negative yielding debt. Gold closed at $1,514.75 per ounce on December 30, 2019.

16In the first calendar quarter of 2020, gold demand grew marginally to 1,083.8 tonnes. The global COVID-19 pandemic, which impacted the world in first calendar quarter of 2020, fueled safe-haven investment demand for gold, offsetting market weakness in consumer-focused sectors of the economy. These investment inflows helped push the US dollar gold price to an eight-year high. Consequently, global gold demand in value terms reached US$55 billion – the highest since the second quarter of 2013. Total supply in the first calendar quarter of 2020 fell 4% as COVID-19 lockdowns impacted mine production and gold recycling. Central banks continued to buy significant quantities of gold in the same period. Amid heightened volatility and uncertainty, global gold reserves grew by 145 tonnes in the first calendar quarter of 2020. Gold closed at $1,702.75 per ounce on April 30, 2020.

~~As of January 24, 2020, the price of gold was $1,564.30 per ounce.~~17

~~Results~~In the second calendar quarter of ~~Operations~~2020, the COVID-19 pandemic was again the main influence on the gold market, severely curtailing consumer demand while providing support for investment. The global response to the ~~Year~~pandemic ~~Ended~~by ~~October~~central banks and governments, in the form of rate cuts and massive liquidity injections, fueled record flows of 734 tonnes into gold-backed ETFs. This inflow of gold helped lift the gold price, which gained 17% in US dollar terms over the first half, hitting record highs in many other currencies. Gold closed at $1,964.90 per ounce on July 31, 2020 and in early August 2020, gold rallied to a new all-time high of $2,067.15 per ounce. The demand for gold dropped to 892.3 tonnes in the third quarter of 2020, its lowest quarterly total since the third quarter of 2009, as consumers and investors continued to battle against the effects of the global pandemic. At the end of October 2020, demand for gold was 2,972.1 tonnes, which was 10% down compared to the same period in 2019 on a year-to-date basis. Total supply of gold fell 3% in the third quarter of 2020 compared to the same period in 2019, with mine production affected by the COVID-19 restrictions imposed on the sector in the first half of 2020.

~~The~~As ~~Trust’s~~of ~~Net~~January ~~Asset~~27, ~~Value increased from $186~~2021,~~256,695~~ atthe ~~October~~price ~~31,~~of ~~2018~~gold was to $~~231~~1,~~758,577 at October 31, 2019, a 24~~843.~~42%~~00 ~~increase~~per ~~for the period~~ounce.

~~Net~~Results ~~Asset~~of ~~Value per Receipt increased 24.36%~~Operations ~~from~~for ~~$1,214.95~~the atYear ~~October~~Ended ~~31, 2018 to $1,510.95 at~~ October 31, ~~2019.~~2020

~~For~~The ~~the~~Trust’s ~~year~~Net ~~ended~~Asset ~~October~~Value ~~31, 2019, the~~decreased ~~Trust~~from ~~issued 87 Receipts (cost —~~ $~~120~~231,~~273) and redeemed 5 Receipts (cost — $6~~758,~~713),~~577 ~~resulting in an increase in the number of Receipts issued and outstanding from 153,304 Receipts~~ at October 31, ~~2018~~2019 to ~~153~~$1,~~386~~842,331 ~~Receipts~~ at October 31, ~~2019~~2020.

~~The~~Net ~~increase~~Asset inValue ~~net~~per ~~assets~~Receipt ~~from~~increased ~~operations~~24.54% ~~for~~from ~~the~~$1,510.95 ~~year~~at ~~ended~~ October 31, 2019 ~~was~~to $451,~~387,888,~~881.85 ~~resulting~~at ~~from~~October ~~a change in unrealized gain on investment of gold of $45~~31,~~388,322 and~~ ~~a net realized loss of $434 on the redemption of receipts~~2020.

For the year ended October 31, 2020, the Trust issued 726 Receipts (cost — $1,244,223) and redeemed 153,133 Receipts (cost — $203,243,901), resulting in an decrease in the number of Receipts issued and outstanding from 153,386 Receipts at October 31, 2019 to 979 Receipts at October 31, 2020.

The increase in net assets from operations for the year ended October 31, 2020 was $9,226,774, resulting from a change in unrealized loss on investment of gold of $27,916,568 and a net realized gain of $37,143,342 on the redemption of receipts.

Liquidity and Capital Resources

The Trust is not aware of any trends, demands, commitments, conditions, events or uncertainties that are reasonably likely to result in material changes to its liquidity needs. In exchange for the Initial Depositor’s fee, the Initial Depositor has agreed to assume the expenses incurred by the Trust.

Off-Balance Sheet Arrangements

The Trust has no off-balance sheet arrangements.

Critical Accounting Policies

The Trust prepares its financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”).

The Trust has adopted the provisions of Topic 946, Investment Companies, and follows specialized accounting. As a result of the adoption of this provision, the Trust records its investment in gold at fair value and expects that there will be fluctuations in the value of investments based on changes in the price of gold.

Item 7A. Quantitative and Qualitative Disclosures About Market Risk

The Trust does not engage in transactions in foreign currencies which could expose the Trust or holders of Gold Deposit Receipts to any foreign currency related market risk. The Trust does not invest in any derivative financial instruments or long-term debt instruments. The Trust’s sole business activity is the investment in gold, and substantially all the Trust’s assets are holdings of gold which creates a concentration of risk associated with fluctuations in the price of gold.

Item 8. Financial Statements and Supplementary Data

1718

Index to Financial Statements

REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM	F-1
STATEMENTS OF ASSETS AND LIABILITIES	F-2
SCHEDULES OF INVESTMENTS	F-3
STATEMENTS OF OPERATIONS	F-4
STATEMENTS OF CHANGES IN NET ASSETS	F-5
NOTES TO THE FINANCIAL STATEMENTS	F-6

1819

Report of Independent Registered Public Accounting Firm

To Bank of Montreal, Bank of New York Mellon and Receipt Holders of the Vaulted Gold Bullion Trust:

Opinion on the Financial Statements

We have audited the accompanying statements of assets and liabilities of the Vaulted Gold Bullion Trust (the Trust), including the schedules of investments, as of October 31, ~~2019~~2020 and ~~2018~~2019, the related statements of operations and changes in net assets for each of the years in the three-year period ended October 31, ~~2019~~2020, and the related notes (collectively, the financial statements). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Trust as of October 31, ~~2019~~2020 and ~~2018~~2019, and the results of its operations and changes in its net assets for each of the years in the three-year period ended October 31, ~~2019~~2020, in conformity with U.S. generally accepted accounting principles.

Basis for Opinion

These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on these financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of its internal control over financial reporting. As part of our audits, we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.

/s/ KPMG LLP

We have served as the Trust’s auditor since 2016.

New York, New York January 29, ~~2020~~2021

F-1

VAULTED GOLD BULLION TRUST

Financial Statements

Statements of Assets and Liabilities

(Amounts in US$, except for Receipt data)	As of October 31, 2020	~~As of October 31, 2019~~	As of October 31, ~~2018~~2019
ASSETS
Investment in gold (Cost: $203,584,099 and $203,470,539, respectively) (see Notes 2.2, 2.5)	$	231,758,577	$	186,256,695
Investment in gold (Cost: $1,584,421 and $203,584,099, respectively) (see Notes 2.2, 2.5)	$	1,842,331	$	231,758,577
Total assets	$	~~231~~1,~~758~~842,~~577~~331	$	~~186~~231,~~256~~758,~~695~~577
Paid In Capital Unrealized gain (loss) on investment in gold NET ASSETS	$ $	203,584,099 28,174,478 231,758,577	$ $	203,470,539 (17,213,844) 186,256,695
Paid In Capital	$	1,584,421	$	203,584,099
Receipts issued and outstanding (see Note 2.3)		153,386		153,304
Unrealized gain on investment in gold		257,910		28,174,478
Net Asset Value per Receipt	$	1,510.95	$	1,214.95
NET ASSETS	$	1,842,331	$	231,758,577
Receipts issued, issuable and outstanding (see Note 2.3)		979		153,386
Net Asset Value per Receipt	$	1,881.85	$	1,510.95

See Notes to the Financial Statements

F-2

VAULTED GOLD BULLION TRUST

Schedules of Investments

(Amounts in US$, except for Troy oz data)	As of October 31, ~~2019~~2020
Description	Troy Oz		Cost		Fair Value		% of Net Assets (1)
Investment in gold
Gold		~~153,386~~979	$	~~203~~1,584,~~099~~421	$	~~231~~1,~~758~~842,~~577~~331		100%	%
Total investment in gold		~~153,386~~979	$	~~203~~1,584,~~099~~421	$	~~231~~1,~~758~~842,~~577~~331		100%	%
		As of October 31, 2019
Description		Troy Oz		Cost		Fair Value		% of Net Assets (1)
Investment in gold
Gold		153,386	$	203,584,099	$	231,758,577		100	%
Total investment in gold		153,386	$	203,584,099	$	231,758,577		100	%

	As of October 31, 2018
Description	Troy Oz		Cost		Fair Value		% of Net Assets (1)
Investment in gold
Gold		153,304	$	203,470,539	$	186,256,695		100%
Total investment in gold		153,304	$	203,470,539	$	186,256,695		100%

(1)	Calculated as investment in gold at fair value divided by net assets.

See Notes to the Financial Statements

F-3

VAULTED GOLD BULLION TRUST

Statements of Operations

(Amounts in US$)

(Amounts in US$)


	Year Ended Oct 31, 2020			Year Ended Oct 31, 2019			Year Ended Oct 31, 2018
Net realized gain (loss) on redemption of Receipts (see Note 2.3)	$	37,143,342		$	(434	)	$	(18,134,617	)
Net change in unrealized gain (loss) on investment in gold		(27,916,568	)		45,388,322			(18,813,882	)
Total gain (loss) on investment in gold		9,226,774			45,387,888			(36,948,499	)

Increase (decrease) in net assets from operations	$	9,226,774		$	45,387,888		$	(36,948,499	)

Increase (decrease) in net assets from operations per Receipt*		207.19			296.00			(190.24	)
Weighted average number of receipts		44,533			153,340			194,219

	Year Ended October 31, 2019			Year Ended October 31, 2018			Year Ended October 31, 2017
Net realized gain (loss) on redemption of Receipts (see Note 2.3)	$	(434	)	$	(18,134,617	)	$	(372	)
Net change in unrealized gain (loss) on investment in gold (see Note 2.5)		45,388,322			(18,813,882	)		1,600,049
Total gain (loss) on investment in gold		45,387,888			(36,948,499	)		1,599,677
Increase (decrease) in net assets from operations	$	45,387,888		$	(36,948,499	)	$	1,599,677
Increase (decrease) in net assets from operations per Receipt*	$	296.00		$	(190.24	)	$	175.01
Weighted average number of receipts		153,340			194,219			9,141

* - Based on weighted average number of Receipts issued and outstanding over the period

* - Based on weighted average number of Receipts issued and outstanding over the period.

See Notes to the Financial Statements

F-4

VAULTED GOLD BULLION TRUST

Statements of Changes in Net Assets

Year Ended October 31, 2019

Year Ended October 31, 2018

Year Ended October 31, 2017

Year Ended October 31, 2020

Year Ended October 31, 2019

Year Ended October 31, 2018

(Amounts in US$, except for Receipt data)

~~Receipts~~

Receipts

~~Amount~~

Amount

~~Receipts~~

Receipts

~~Amount~~

Amount

~~Receipts~~

Receipts

~~Amount~~

Amount

Opening balance

153,~~304~~386

~~186~~231,~~256~~758,~~695~~577

29153,~~656~~304

37186,~~667~~256,~~568~~695

3829,656

4837,~~336~~667,568

From Operations:

Net change in unrealized gain (loss) on investment in gold

45(27,~~388~~916,~~322~~568

)

~~(18~~45,~~813~~388,~~882~~322

)

1(18,~~600~~813,~~049~~882

)

Net realized gain (loss) on redemption of Receipts

~~(434~~37,143,342

)

(~~18,134,617~~434

)

(~~372~~18,134,617

)

From Trust Receipt activity:

Issuances

87726

~~120~~1,~~273~~244,223

~~312,880~~87

~~416~~120,~~353,358~~273

29312,~~627~~880

36416,~~030~~353,~~722~~358

Redemptions

(5153,133

)

(6240,~~279~~387,243

)

(~~189,232~~5

)

(~~230~~6,~~815,732~~279

)

(9189,232

)

(11230,~~167~~815,732

)

Closing balance at period end

~~153,386~~979

~~231~~1,~~758~~842,~~577~~331

153,~~304~~386

~~186~~231,~~256~~758,~~695~~577

29153,~~656~~304

37186,~~667~~256,~~568~~695

See Notes to the Financial Statements

F-5

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

Notes to the Financial Statements

1. Organization

The Vaulted Gold Bullion Trust (the “Trust”) was initially formed on December 10, 2013. The Trust is governed by the second amended and restated Depositary Trust Agreement, dated May 11, 2017 (the “Depositary Trust Agreement”). Commencement of operations occurred on August 5, 2016. The Bank of New York Mellon is the trustee (the “Trustee”) and BNY Mellon Trust of Delaware is the Delaware trustee (the “Delaware Trustee”). The Bank of Montreal (the “Initial Depositor”) sells Gold Bullion (“Gold”) to the Trust, arranges custodial services through its storage account and provides administrative services from time to time. The Vaulted Gold Bullion Trust is not a registered investment company under the Investment Company Act of 1940 (“1940 Act”).

The Trust is intended to hold Gold for the benefit of owners of Gold Deposit Receipts (“Receipts”). One Receipt represents the undivided beneficial ownership of one troy ounce of Gold. Investors (through registered broker-dealers, or banks or trust companies that become party to the distribution agreement (“Authorized Participants”)) are able to acquire, hold, transfer and surrender only whole Receipts (i.e., no fractional interests), with a minimum of one Receipt per transaction. The Trustee performs only administrative and ministerial acts. The property of the Trust consists of the Gold and all monies or other property, if any, received by the Trustee. The ~~fiscal~~Trust’s fiscal year ~~end~~ends ~~for~~on ~~the~~October ~~Trust~~31st isof ~~October~~each 31calendar year.

2. Significant Accounting Policies

The preparation of financial statements in accordance with accounting principles generally accepted in the United States of America (“GAAP”) requires those responsible for preparing financial statements to make estimates and assumptions that affect the reported amounts and disclosures. Actual results could differ from those estimates. The following is a summary of significant accounting policies followed by the Trust.

2.1. Basis of Accounting

The Trust is an investment company for financial reporting purposes in accordance with GAAP and is not registered as an investment company under the 1940 Act nor is it required to register under such act.

2.2. Valuation of Gold

The Gold is held for the benefit of holders of the Receipts in a custodial account operated by Bank of Montreal at the Royal Canadian Mint (the “Mint”) and is valued, for financial statement purposes, at fair value. Fair value is determined by the ~~London~~LBMA ~~Bullion Market Association~~ (~~“LBMA”) (~~PM) Gold Price, which is set using the afternoon session of the ICE Benchmark Administration (“IBA”) equilibrium auction.

The Trust follows GAAP guidance for determining fair value and GAAP requires disclosure regarding the inputs to valuation techniques used to measure fair value. Fair value is defined as 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.

The Trust records its investment in gold at fair value and recognizes changes in fair value of the investment in gold as changes in unrealized gains or losses on investment in gold through the Statement of Operations. Realized gains and losses on the redemption of Receipts, are calculated as the difference between the fair value and cost of gold redeemed. Realized gains and losses are recorded using the specific identification method for cost relief.

F-6

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

2.2. Valuation of Gold (continued)

Valuation Techniques and Significant Inputs

A valuation hierarchy exists that prioritizes inputs to valuation techniques used to measure fair value. The three levels of inputs are as follows:

–	Level 1.	Unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access.
–	Level 2.	Observable inputs other than quoted prices in an active market that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments and similar data.
–	Level 3.	Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Trust’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

–

Level 1.

Unadjusted quoted prices in active markets for identical assets or liabilities that the Trust has the ability to access.

–

Level 2.

Observable inputs other than quoted prices in an active market that are observable for the asset or liability either directly or indirectly. These inputs may include quoted prices for the identical instrument on an inactive market, prices for similar instruments and similar data.

–

Level 3.

Unobservable inputs for the asset or liability to the extent that relevant observable inputs are not available, representing the Trust’s own assumptions about the assumptions that a market participant would use in valuing the asset or liability, and that would be based on the best information available.

The Trust classifies its investment in gold as Level 1 of the fair value hierarchy. There were no re-allocations or transfers between levels during the period.

F-7

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

2.3. Issuance and Redemption of Receipts

The Trust issues Receipts on a continuous basis pursuant to the Depositary Trust Agreement. Authorized capital is unlimited. There were ~~153,386~~979 Receipts issued and outstanding on October 31, ~~2019~~2020 (153,~~304~~386 Receipts issued and outstanding on October 31, ~~2018~~2019).

Holders of Receipts will receive no distributions.

Subject to certain exceptions, holders of Receipts have the option to redeem their Receipts for physical gold (to be delivered directly to them by the service carrier) subject to payment of a withdrawal and delivery fee to the Initial Depositor, or exchange their Receipts for cash. Changes in the Receipts for the years ended October 31, ~~2019~~2020, ~~2018~~2019 and ~~2017~~2018 are set out below:

(Amounts in US$ except for Receipt and per Receipt data)

Year Ended October 31, 2019

Year Ended October 31, 2018

Year Ended October 31, 2017

Year Ended October 31, 2020

Year Ended October 31, 2019

Year Ended October 31, 2018

(Amounts in US$ except for Receipt and per Receipt data)

Number of Receipts Transactions

Opening balance

153,~~304~~386

29153,~~656~~304

3829,656

Receipts issued

87726

~~312,880~~87

29312,~~627~~880

Receipts redeemed

(5153,133

)

(~~189,232~~5

)

(9189,232

)

Closing balance

~~153,386~~979

153,~~304~~386

29153,~~656~~304

Amount of Receipts (at cost)

Opening balance

203,~~470~~584,~~539~~099

36203,~~067~~470,~~530~~539

4836,~~347~~067,530

Issuances

~~120~~1,~~273~~244,223

~~416~~120,~~353,358~~273

36416,~~030~~353,~~722~~358

Redemptions

(6203,~~713~~243,901

)

(~~248~~6,~~950,349~~713

)

(11248,~~539~~950,349

)

Closing balance

~~203~~1,584,~~099~~421

203,~~470~~584,~~539~~099

36203,~~067~~470,~~530~~539

Net Asset Value per Receipt at period end

1,~~510~~881.9585

1,~~214~~510.95

1,~~270~~214.1595

2.4. Income Taxes

The Trust is classified as a “grantor trust” for U.S. federal income tax purposes. As a result, the Trust itself is not subject to U.S. federal income tax.

The Trustee has evaluated whether or not there are uncertain tax positions that require financial statement recognition and has determined that no reserves for uncertain tax positions are required as of October 31, ~~2019~~2020 and October 31, ~~2018~~2019.

F-8

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

2.5. Investment in Gold

Changes in ounces of the Trust’s investment in gold and the respective values for the years ended October 31, ~~2019~~2020, ~~2018~~2019 and ~~2017~~2018 are set out below:

(Amounts in US$ except for ounces data)

Year Ended October 31, ~~2019~~2020

Year Ended October 31, ~~2018~~2019

Year Ended October 31, ~~2017~~2018

Ounces of gold

Opening balance

153,~~304~~386

29153,~~656~~304

3829,656

Purchases

87726

~~312,880~~87

29312,~~627~~880

Redemptions

(5153,133

)

(~~189,232~~5

)

(9189,232

)

Closing balance

~~153,386~~979

153,~~304~~386

29153,~~656~~304

Investment in gold

Opening balance

~~186~~231,~~256~~758,~~695~~577

37186,~~667~~256,~~568~~695

4837,~~336~~667,568

Net change in unrealized gain (loss) on investment in gold

45(27,~~388~~916,~~322~~568

)

~~(18~~45,~~813~~388,~~882~~322

)

1(18,~~600~~813,~~049~~882

)

Net realized gain (loss) on redemption of Receipts

~~(434~~37,143,342

)

(~~18,134,617~~434

)

(~~372~~18,134,617

)

Purchases

~~120~~1,~~273~~244,223

~~416~~120,~~353,358~~273

36416,~~030~~353,~~722~~358

Redemptions

(6240,~~279~~387,243

)

(~~230~~6,~~815,732~~279

)

(11230,~~167~~815,732

)

Closing balance

~~231~~1,~~758~~842,~~577~~331

~~186~~231,~~256~~758,~~695~~577

37186,~~667~~256,~~568~~695

2.6. Fees and Expenses

The expenses of the Trust are borne by the Initial Depositor.

The expenses of the Trust are expected to include, but are not limited to, the following:

• any expenses or liabilities of the Trust;

• any taxes and other governmental charges that may fall on the Trust or its property; and

• fees and expenses of the Trustee and any indemnification of the Trustee.

Additionally, the Trustee’s and Mint’s fees are paid by the Initial Depositor and are not separate expenses of the Trust..

F-9

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

2.7. Related Party Transactions

On May 11, 2017, the Trust entered into the Depositary Trust Agreement with The Bank of New York Mellon, BNY Trust of Delaware, Bank of Montreal and BMO Capital Markets Corp. On July 11, 2018, the Trust entered into the Second Amended and Restated Distribution Agreement with Bank of Montreal and BMO Capital Markets Corp (the “Distribution Agreement”).

Bank of Montreal acts as the Initial Depositor of the Trust and holds gold that it transfers to the Trust from time to time in connection with the sale by the Trust of Receipts. Pursuant to the Depositary Trust Agreement and the Distribution Agreement, the offering price for each Receipt consists of the spot price at the time of sale to an investor for one troy ounce of gold, plus: (1) in the case of a Class A Gold Deposit Receipt, a deposit fee of 2.00%, payable to Bank of Montreal, plus a sales fee of 2.00% to any participating broker-dealer that sells Gold Deposit Receipts to an investor; (2) in the case of a Class F Gold Deposit Receipt, which is sold only through fee-based programs, a deposit fee of 2.00%, payable to Bank of Montreal, plus a sales fee of 0.25%; (3) in the case of a Class F-1 Gold Deposit Receipt, which is sold to trust or fiduciary accounts, a deposit fee of 2.00%, payable to Bank of Montreal, and no sales fee; (4) in the case of a Class F-2 Gold Deposit Receipt, which is sold solely to an Institutional Account, a deposit fee of 1.50%, payable to Bank of Montreal, and no sales fee; (5) in the case of a Class F-3 Gold Deposit Receipt, which is sold solely to an Institutional Account, a deposit fee of 1.00%, payable to Bank of Montreal, and no sales fee; and (6) in the case of a Class S Gold Deposit Receipt, which is sold solely to an Institutional Account, neither a deposit fee nor a sales fee. The deposit fee and the sales fee are not expenses of the Trust and have no impact on the financial ~~highlight~~highlights. The Trust uses the proceeds of the issuance of Receipts, net of these fees, to purchase gold from Bank of Montreal in an amount that corresponds to the amount of Receipts.

Bank of Montreal charges holders of Receipts a withdrawal and delivery fee if physical delivery of the gold is requested (the “Withdrawal and Delivery Fee”). Bank of Montreal additionally reserves the right to charge the holders of Receipts a custody fee, not to exceed 0.50% per annum of the daily average closing price of gold represented by the Receipts, as calculated by the Initial Depositor, acting in good faith (the “Custody Fee”). Bank of Montreal did not charge any Custody Fee during the years ended October 31, 2020, 2019, ~~2018~~ or ~~2017~~2018. None of the Deposit Fee, or Withdrawal and Delivery Fee or Custody Fee is paid by the Trust to Bank of Montreal.

Pursuant to the terms of the Distribution Agreement, BMO Capital Markets Corp., one of Bank of Montreal’s affiliates, acts as the Underwriter of the continuous offerings of Receipts and as the calculation agent responsible for calculating the spot price at which Receipts are offered to the public.

BMO Financial Group (“BMO”) held ~~153,118~~no Receipts as at October 31, ~~2019~~2020. ~~The Net Asset Value per Receipt of those holdings is $1,510.95 for a total market value of $231,353,642 (Cost: $203,243,629).~~ BMO held 153,118 Receipts as at October 31, ~~2018~~2019 with a total market value of $~~186~~231,~~030~~353,~~714~~642 (Cost: $203,243,629).

2.8. New Accounting Pronouncement

In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820): Disclosure Framework --Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”). The update provides guidance that eliminates, adds and modifies certain disclosure requirements for fair value measurements. ASU 2018-13 ~~became~~will be effective for annual periods beginning after December 15, 2019. Management ishas ~~currently~~determined ~~assessing~~that ~~the~~there ~~potential~~will ~~impact~~be ofno ~~these~~impact ~~changes~~ to ~~future~~ the financial statements upon adoption of ASU 2018-13.

F-10

VAULTED GOLD BULLION TRUST

October 31, ~~2019~~2020

3. Concentration of Risk

The Trust’s sole business activity is the investment in gold, and substantially all the Trust’s assets are holdings of gold which creates a concentration of risk associated with fluctuations in the price of gold. Several factors could affect the price of gold, including: (i) global gold supply and demand, which is influenced by factors such as forward selling by gold producers, purchases made by gold producers to unwind gold hedge positions, central bank purchases and sales, and production and cost levels in major gold-producing countries; (ii) investors’ expectations with respect to the rate of inflation; (iii) currency exchange rates; (iv) interest rates; (v) investment and trading activities of hedge funds and commodity funds; and (vi) global or regional political, economic or financial events and situations. In addition, there is no assurance that gold will maintain its long-term value in terms of purchasing power in the future. In the event that the price of gold declines, the value of an investment in the Receipts will decline proportionately. Subject to certain restrictions, Receipts may be redeemed after notice at the option of the holder. There is concentration risk which could trigger a termination event when Receipts are not widely held. As at October 31, 2019, BMO held 153,118 of the Receipts issued and outstanding (153,118 as at October 31, 2018). Each of these events could have a material effect on the Trust’s financial position and results of operations.

The World Health Organization declared the novel coronavirus (“COVID-19”) a global pandemic on March 11, 2020. The COVID-19 pandemic has had, and will likely continue to have, a negative impact on the global economy and economic outlook, resulting in lower economic output, increased unemployment levels and lower interest rates. The global response to the pandemic by central banks and governments, in the form of rate cuts and massive liquidity injections, fueled safe-haven investment demand for gold, offsetting market weakness in consumer-focused sectors of the economy. This demand for gold resulted in new all-time high gold prices in early August 2020 but has since dropped. However, production of gold declined during the year as many mining operations remained suspended due to lockdowns. The extent to which the COVID-19 pandemic continues to impact the gold market including price and supply of gold will depend on future developments, which are highly uncertain and cannot be predicted, including the scope, severity and duration of the pandemic and actions taken by governmental and regulatory authorities, which could vary by country, and other third parties in response to the pandemic.

In addition, there is no assurance that gold will maintain its long-term value in terms of purchasing power in the future. In the event that the price of gold declines, the value of an investment in the Receipts will decline proportionately. Subject to certain restrictions, Receipts may be redeemed after notice at the option of the holder. Each of these events could have a material effect on the Trust’s financial position and results of operations.

4. Indemnification

Under the Trust’s organizational documents, the Trustee (and its directors, employees and agents) and the Initial Depositor (and its members, managers, directors, officers, employees and affiliates) are indemnified by the Trust against any liability, cost or expense it incurs without gross negligence, bad faith or willful misconduct on its part and without reckless disregard on its part of its obligations and duties under the Trust’s organizational documents. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.

5. Financial Highlights

The Trust is presenting the following financial highlights related to investment performance and operations of ~~the~~a ~~Receipts~~Receipt outstanding for the years ended October 31, ~~2019~~2020, ~~2018~~2019, and ~~2017~~2018.

Net Asset Value	Year Ended October 31, ~~2019~~2020			Year Ended October 31, ~~2018~~2019			Year Ended October 31, ~~2017~~2018
Net Asset Value per Receipt, beginning of period	$	1,214.95		$	1,270.15		$	1,272.00
Net asset value per Receipt, beginning of period	$	1,510.95		$	1,214.95		$	1,270.15
Change in unrealized investment in gold	$	~~296~~370.0090		$	~~(55~~296.2000	)	$	(155.8520	)
Net Asset Value per Receipt, end of period	$	1,~~510~~881.9585		$	1,~~214~~510.95		$	1,~~270~~214.1595
Total Return*		24.36%			(4.35)%			(0.15)%
Total Return		24.55	%		24.36	%		(4.35	)%
Portfolio Turnover		01.00%**52	%		~~100~~0.~~28%~~00	%**		0100.~~10%~~28	%

** - ~~Not~~Portfolio ~~annualized~~Turnover is not zero but a number rounded to 0.00%.

** - Not zero but a number less than 0.00%.

6. Subsequent Events

The Trust evaluated subsequent events through the date the financial statements were issued. The Trust concluded that no subsequent events have occurred that would require recognition or disclosure in the financial statements.

F-11

Item 9. Changes in and Disagreements With Accountants on Accounting and Financial Disclosure.

None.

Item 9A. Controls and Procedures

The Trust maintains disclosure controls and procedures that are designed to ensure that information required to be disclosed in its reports under the Exchange Act is recorded, processed, summarized and reported within the time periods specified in the rules and forms of the SEC, and that such information is accumulated and communicated to an executive or senior officer of the Initial Depositor familiar with and responsible for supervising the Trust and its operations, as appropriate, to allow timely decisions regarding required disclosure.

Under the supervision and with the participation of an executive or senior officer of the Initial Depositor, the Initial Depositor conducted an evaluation of the Trust’s disclosure controls and procedures, as defined under Exchange Act Rules 13a-15(e) and 15d-15(e). Based on this evaluation, the designated officer of the Initial Depositor concluded that, as of October 31, ~~2019~~2020, the Trust’s disclosure controls and procedures were effective.

Management’s Annual Report on Internal Control over Financial Reporting

The management of the Initial Depositor is responsible for establishing and maintaining adequate internal control over financial reporting of the Trust. Internal control over financial reporting is defined in Exchange Act Rules 13a-15(f) and 15d-15(f) and is a process designed by, or under the supervision of, an executive or senior officer of the Initial Depositor, and effected by the management of the Initial Depositor and other personnel to provide reasonable assurance regarding the reliability of financial reporting and the preparation of financial statements for external purposes in accordance with GAAP.

The Trust’s internal control over financial reporting includes those policies and procedures that (i) pertain to the maintenance of records that, in reasonable detail, accurately and fairly reflect the transactions and dispositions of assets; (ii) provide reasonable assurance that transactions are recorded as necessary to permit preparation of financial statements in accordance with GAAP, and that receipts and expenditures are being made only in accordance with the authorizations of the Initial Depositor’s management; and (iii) provide reasonable assurance regarding prevention or timely detection of unauthorized acquisition, use, or disposition of assets that could have a material effect on the financial statements.

Because of its inherent limitations, internal control over financial reporting may not prevent or detect misstatements. Projections of any evaluation of effectiveness to future periods are subject to the risk that controls may become inadequate because of changes in conditions, or that the degree of compliance with the policies or procedures may deteriorate. The management of the Initial Depositor has assessed the effectiveness of the Trust’s internal control over financial reporting as of October 31, ~~2019~~2020. In making its assessment, the management of the Initial Depositor has utilized the criteria set forth by the Committee of Sponsoring Organizations of the Treadway Commission in Internal Control – Integrated Framework (2013 framework). Management concluded that based on its assessment, the Trust’s internal control over financial reporting was effective as of October 31, ~~2019~~2020.

This annual report does not include an attestation report of the Trust’s registered public accounting firm regarding internal control over financial reporting. Management’s report was not subject to attestation by the Trust’s registered public accounting firm pursuant to the rules of the SEC that permit emerging growth companies to provide only the management report on internal control over financial reporting included in this annual report.

Changes in Internal Control over Financial Reporting

There have been no changes in the Trust’s or Initial Depositor’s internal control over financial reporting that occurred during the Trust’s fiscal year ended October 31, ~~2019~~2020 that have materially affected, or are reasonably likely to materially affect, the Trust’s or Initial Depositor’s internal control over financial reporting.

Item 9B. Other Information

None.

1920

PART III

Item 10. Directors, Executive Officers and Corporate Governance

Not applicable.

Item 11. Executive Compensation

Not applicable.

Item 12. Security Ownership of Certain Beneficial Owners and Management and Related Stockholder Matters

Not applicable.

Item 13. Certain Relationships and Related Transactions, and Director Independence

On May 11, 2017, the Trust entered into the Second Amended and Restated Depositary Trust Agreement with The Bank of New York Mellon, BNY Trust of Delaware, Bank of Montreal and BMO Capital Markets Corp. On July 11, 2018, the Trust entered into the Second Amended and Restated Distribution Agreement with Bank of Montreal and BMO Capital Markets Corp.

Item 14. Principal Accounting Fees and Services

Audit Fees. For the year ended October 31, ~~2019~~2020, Bank of Montreal, as Initial Depositor, was billed $65,~~226~~000 for professional services rendered for the audit and review of the Trust’s financial statements by KPMG LLP.

All Other Fees. There were no other fees billed for products or services provided by KPMG LLP, other than those reported in this Item 14.

PART IV

Item 15. Exhibits, Financial Statement Schedules

(a)1. Financial Statements.

See Item 8 included in this Annual Report on Form 10-K.

(a)2. Financial Statements Schedules.

All other schedules are omitted because they are not required, or are not applicable, or the information is included in the financial statements.

(a)3. Exhibits.

A list of exhibits required to be filed as part of this Annual Report on Form 10-K is set forth in the Exhibit Index, which immediately precedes such exhibits and is incorporated herein by reference.

2021

EXHIBIT INDEX

The agreements and other documents filed as exhibits to this report are not intended to provide factual information or other disclosure other than with respect to the terms of the agreements or other documents themselves, and you should not rely on them for that purpose. In particular, any representations and warranties made by us in these agreements or other documents were made solely within the specific context of the relevant agreement or document and may not describe the actual state of affairs as of the date they were made or at any other time.

Exhibit No.	Description

1.1	Second Amended and Restated Distribution Agreement by and among the Vaulted Gold Bullion Trust, Bank of Montreal and BMO Capital Markets Corp. (incorporated by reference to Exhibit 1.1 to the Registrant’s Registration Statement on Form S-1 (No. 333-226132) filed July 11, 2018).*

1.2	Second Amended and Restated Depositary Trust Agreement by and among Bank of Montreal, BMO Capital Markets Corp., The Bank of New York Mellon, as Trustee and BNY Mellon Trust of Delaware, as Delaware Trustee, and included as an exhibit thereto, form of Gold Deposit Receipt (incorporated by reference to Exhibit 1.2 to the Registrant’s Current Report on Form 8-K filed May 12, 2017).*

10.1	Form of Gold Carrier Agreement by and among Bank of Montreal and Carrier (incorporated by reference to Exhibit 10.1 to the Registrant’s Registration Statement on Form S-1 (No. 333-211858) filed June 6, 2016).*

31.1	Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002.

32.1	Certifications pursuant to 18 U.S.C. Section 1350, as adopted pursuant to Section 906 of the Sarbanes-Oxley Act of 2002.

* Previously filed.

2122

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this annual report to be signed on its behalf by the undersigned in the capacities thereunto duly authorized.

	BANK OF MONTREAL
	Initial Depositor of the Vaulted Gold Bullion Trust
	(Registrant)
Date: January 29, 2020	/s/ Rob Yeung
Date: January 29, 2021	/s/ Rob Yeung
	*Head, Global FICC
	BMO Capital Markets
Date: January 29, 2020	/s/ Neil Puddicombe
Date: January 29, 2021	/s/ Monica Fitzpatrick
	*Assistant Corporate Secretary

__________

* The Registrant is a trust and the persons are signing in their capacities as officers of Bank of Montreal, the Initial Depositor of the Registrant.

2223

Filing Compare · Vaulted Gold Bullion Trust