Bank of Montreal would like you to say the latter (beemo) because they have spent millions advertising themselves like that. However no one outside of a Bank of Montreal employee says that. Some say B M O. Most Canadians say "Bank of Montreal" as they have for almost 200 years.

It is silly marketing. Toronto-Dominion Bank became TD; Canadian Imperial Bank of Commerce became CIBC; and so Bank of Montreal thought they would become BMO. Oh and the Royal Bank calls itself RBC.