WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST PACIFIC INVESTMENT MANAGEMENT COMPANY LLC SUB-ADVISED FUND PIMCO COMMODITIESPLUS TRUST II

Transcription

1 WILMINGTON TRUST COLLECTIVE INVESTMENT TRUST PACIFIC INVESTMENT MANAGEMENT COMPANY LLC SUB-ADVISED FUND PIMCO COMMODITIESPLUS TRUST II FINANCIAL STATEMENTS DECEMBER 31, 2017 WITH REPORT OF INDEPENDENT AUDITORS

2 Schedule of Investments PIMCO CommoditiesPLUS Trust II December 31, 2017 PRINCIPAL AMOUNT (000s) MARKET VALUE (000s) INVESTMENTS IN SECURITIES 99.3% CORPORATE BONDS & NOTES 1.2% BANKING & FINANCE 1.2% HSBC USA, Inc % (US0003M %) due 09/24/2018 ~ $ 4,300 $... 4,323 Total Corporate Bonds & Notes (Cost $4,304) 4,323 U.S. TREASURY OBLIGATIONS 1.5% U.S. Treasury Inflation Protected Securities (a) 0.125% due 04/15/2019 2,348 2, % due 07/15/2018 (d) 2,276 2, % due 01/15/2018 (d) Total U.S. Treasury Obligations (Cost $5,592) 5,587 SHORT-TERM INSTRUMENTS 96.6% CERTIFICATES OF DEPOSIT 0.3% Barclays Bank PLC 1.892% due 05/17/ REPURCHASE AGREEMENTS (b) 96.3% 351, Total Short-Term Instruments (Cost $352,898) 352,899 Total Investments in Securities (Cost $362,794) 362,809 Total Investments 99.3% (Cost $362,794) $ 362,809 Financial Derivative Instruments (c)(e) 3.8% (Cost or Premiums, net $66,339) 14,100 Other Assets and Liabilities, net (3.1)% (11,473)... Net Assets 100.0% $ 365,436 1

3 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 NOTES TO SCHEDULE OF INVESTMENTS (AMOUNTS IN THOUSANDS*, EXCEPT NUMBER OF CONTRACTS AND UNITS): * A zero balance may reflect actual amounts rounding to less than one thousand. ~ Variable or Floating rate security. Rate shown is the rate in effect as of period end. Certain variable rate securities are not based on a published reference rate and spread, rather are determined by the issuer or agent and are based on current market conditions. Reference rate is as of reset date, which may vary by security. These securities may not indicate a reference rate and/or spread in their description. (a) Principal amount of security is adjusted for inflation. BORROWINGS AND OTHER FINANCING TRANSACTIONS (b) REPURCHASE AGREEMENTS: Repurchase Agreement Proceeds to be Lending Settlement Maturity Principal Collateral Repurchase Agreements, Counterparty... Rate Date Date Amount Collateralized By (Received) at Value Received (1) AZD 1.800% 12/29/ /02/2018 $ 54,500 U.S. Treasury Bonds 2.750% due 11/15/2042 $ (55,626) $ 54,500 $ 54,508 BPG /29/ /02/ ,700 U.S. Treasury Notes 2.000% due 04/30/2024 (24,196) 23,700 23,704 BSN /29/ /02/ ,500 U.S. Treasury Notes 2.125% due 03/31/2024 (55,664) 54,500 54,508 JPS /29/ /02/ ,500 U.S. Treasury Notes 1.375% due 12/15/2019 (55,699) 54,500 54,508 MBC /29/ /02/ ,500 U.S. Treasury Notes 2.750% due 02/15/2024 (56,258) 54,500 54,508 SGY /29/ /02/ ,500 U.S. Treasury Bonds 3.375% due 05/15/2044 (55,722) 54,500 54,508 SSB /29/ /02/2018 1,298 U.S. Treasury Notes 3.375% due 11/15/2019 (2) (1,325) 1,298 1,298 TDM /29/ /02/ ,500 U.S. Treasury Bonds 3.750% due 11/15/ (55,903) 54,500 54,508 Total Repurchase Agreements $ (360,393) $ 351,998 $ 352,050 (1) Includes accrued interest. (2) Collateral is held in custody by the counterparty. BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY The following is a summary by counterparty of the market value of Borrowings and Other Financing Transactions and collateral pledged/(received) as of December 31, 2017: Repurchase Agreement Proceeds to be Payable for Reverse Repurchase Payable for Sale-Buyback Total Borrowings and Other Financing Collateral Counterparty... Received (1) Agreements Transactions Transactions Pledged/(Received) Net Exposure (2) Global/Master Repurchase Agreement AZD $ 54,508 $ 0 $ 0 $ 54,508 $ (55,626) $ (1,118) BPG 23, ,704 (24,196) (492) BSN 54, ,508 (55,664) (1,156) JPS 54, ,508 (55,699) (1,191) MBC 54, ,508 (56,258) (1,750) SGY 54, ,508 (55,722) (1,214) SSB 1, ,298 (1,325) (27) TDM 54, ,508 (55,903) (1,395) Total Borrowings and Other Financing Transactions $ 352,050 $ 0 $ 0 (1) Includes accrued interest. (2) (c) Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from borrowings and other financing transactions can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED PURCHASED OPTIONS: COMMODITY OPTIONS Strike Expiration # of Market Description... Price (1) Date Contracts Notional Amount Cost Value Call - NYMEX Natural Gas April Futures $ /26/ ,000 $ 30 $ 13 Call - NYMEX Natural Gas April Futures /26/ , Call - NYMEX Natural Gas April Futures /26/ , Call - NYMEX Natural Gas Calendar Spread March Futures /23/ , Call - NYMEX Natural Gas Calendar Spread March Futures /23/ , Call - NYMEX WTI-Brent Crude Spread December Futures /30/ , $ 117 $ 32 Total Purchased Options $ 117 $ 32 2

4 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 WRITTEN OPTIONS: COMMODITY OPTIONS Strike Expiration # of Premiums Market Description... Price (1)) Date Contracts Notional Amount (Received) Value Put - NYMEX Crude November Futures $ /17/ ,000 $ 0 $ (4) Call - NYMEX Natural Gas Calendar Spread March Futures /23/ ,000 (142) (27) Put - NYMEX Natural Gas February Futures /26/ ,000 (1) (1) Put - NYMEX Natural Gas March Futures /23/ ,000 (5) (3) Put - NYMEX Natural Gas March Futures /23/ ,000 (5) (4) Put - NYMEX Natural Gas May Futures /25/ ,000 (8) (8) Put - NYMEX Natural Gas May Futures /25/ ,000 (27) (18) Put - NYMEX Natural Gas May Futures /25/ ,000 (12) (11) Call - NYMEX WTI-Brent Crude Spread December Futures /30/ , Put - NYMEX WTI-Brent Crude Spread June Futures /27/ ,000 0 (23) Put - NYMEX WTI-Brent Crude Spread June Futures /27/ ,000 0 (9) Call - NYMEX WTI-Brent Crude Spread March Futures /30/ ,000 (1) 0 Call - NYMEX WTI-Brent Crude Spread March Futures /30/ ,000 (1) 0 Put - NYMEX WTI-Brent Crude Spread March Futures /30/ ,000 (1) (2) Put - NYMEX WTI-Brent Crude Spread March Futures /30/ , (1) $ (203) $ (111) Total Written Options $ (203) $ (111) (1) Strike Price determined when exercised based on predetermined terms. FUTURES CONTRACTS: LONG FUTURES CONTRACTS Variation Margin Expiration # of Notional Unrealized Appreciation/ Description... Month Contracts Amount (Depreciation) Asset Liability Brent (ICE) Dubai Futures August Futures 08/ $ 51 $ 11 $ 0 $ 0 Brent (ICE) Dubai Futures December Futures 12/ Brent (ICE) Dubai Futures July Futures 07/ Brent (ICE) Dubai Futures November Futures 11/ Brent (ICE) Dubai Futures October Futures 10/ Brent (ICE) Dubai Futures September Futures 09/ Brent Crude April Futures 04/ , Brent Crude December Futures 12/ , Brent Crude December Futures 12/ , (3) Brent Crude December Futures 12/ , (7) Brent Crude May Futures 05/ , Brent Crude November Futures 11/ , Brent Crude October Futures 10/ , Chicago Ethanol (Platts) April Futures 04/ (9) 4 0 Chicago Ethanol (Platts) June Futures 06/ Chicago Ethanol (Platts) May Futures 05/ (2) 3 0 Copper March Futures 03/ , Copper May Futures 05/ Corn December Futures 12/ ,498 (32) 0 (6) Cotton No. 2 May Futures 05/ Gas Oil December Futures 12/ ,044 1,021 0 (96) Gas Oil May Futures 05/ Gold 100 oz. December Futures 12/ , Hard Red Winter Wheat July Futures 07/ (9) 0 0 Hard Red Winter Wheat March Futures 03/ (58) 0 0 Hard Red Winter Wheat May Futures 05/ (4) 1 0 Henry Hub Natural Gas April Futures 04/ (3) 1 0 Henry Hub Natural Gas April Futures 04/ (1) 0 0 Henry Hub Natural Gas August Futures 08/ (1) 0 0 Henry Hub Natural Gas December Futures 12/ Henry Hub Natural Gas February Futures 01/ Henry Hub Natural Gas January Futures 12/ Henry Hub Natural Gas July Futures 07/ (1) 0 0 Henry Hub Natural Gas June Futures 06/ (1) 0 0 Henry Hub Natural Gas March Futures 03/ Henry Hub Natural Gas May Futures 05/ (2) 0 0 Henry Hub Natural Gas November Futures 11/ (1) 0 0 Henry Hub Natural Gas October Futures 10/ (1) 0 0 Henry Hub Natural Gas September Futures 09/ (1) 0 0 Henry Hub Natural Gas Swap April Futures 04/ (17) 3 0 Henry Hub Natural Gas Swap April Futures 04/ (1) 0 0 3

5 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 Henry Hub Natural Gas Swap August Futures 08/ (7) 2 0 Henry Hub Natural Gas Swap August Futures 08/ (1) 0 0 Henry Hub Natural Gas Swap December Futures 12/ (3) 2 0 Henry Hub Natural Gas Swap December Futures 12/ Henry Hub Natural Gas Swap February Futures 01/ (19) 3 0 Henry Hub Natural Gas Swap February Futures 01/ Henry Hub Natural Gas Swap January Futures 12/ Henry Hub Natural Gas Swap July Futures 07/ (7) 2 0 Henry Hub Natural Gas Swap July Futures 07/ (1) 0 0 Henry Hub Natural Gas Swap June Futures 06/ (8) 2 0 Henry Hub Natural Gas Swap June Futures 06/ (1) 0 0 Henry Hub Natural Gas Swap March Futures 03/ Henry Hub Natural Gas Swap May Futures 05/ (9) 2 0 Henry Hub Natural Gas Swap May Futures 05/ (2) 0 0 Henry Hub Natural Gas Swap November Futures 11/ (5) 2 0 Henry Hub Natural Gas Swap November Futures 11/ (1) 0 0 Henry Hub Natural Gas Swap October Futures 10/ (7) 2 0 Henry Hub Natural Gas Swap October Futures 10/ (1) 0 0 Henry Hub Natural Gas Swap September Futures 09/ (7) 1 0 Henry Hub Natural Gas Swap September Futures 09/ (1) 0 0 Lead May Futures 05/ (2) 0 0 Live Cattle August Futures 08/ (6) 0 0 LLS (Argus) vs. WTI Spread Calendar Swap August Futures 08/ LLS (Argus) vs. WTI Spread Calendar Swap December Futures 12/ LLS (Argus) vs. WTI Spread Calendar Swap July Futures 07/ LLS (Argus) vs. WTI Spread Calendar Swap November Futures 11/ LLS (Argus) vs. WTI Spread Calendar Swap October Futures 10/ LLS (Argus) vs. WTI Spread Calendar Swap September Futures 09/ Natural Gas April Futures 04/ ,642 (48) 9 0 Natural Gas February Futures 01/ (23) 3 0 Natural Gas March Futures 03/ ,569 (30) 14 (2) Natural Gas May Futures 05/ Natural Gas October Futures 10/ ,893 (90) 41 0 New York Harbor ULSD March Futures 03/ New York Harbor ULSD May Futures 05/ New York Harbor ULSD September Futures 09/ Platinum April Futures 04/ Put Options USD on Brent Crude December Futures 12/ (23) 0 0 RBOB Gasoline April Futures 04/ , RBOB Gasoline May Futures 05/ Soybean Oil December Futures 12/ (14) 5 0 Soybean Oil May Futures 05/ (17) 6 0 White Sugar March Futures 03/ White Sugar May Futures 05/ WTI Crude August Futures 08/ WTI Crude December Futures 12/ WTI Crude December Futures 12/ (2) WTI Crude July Futures 07/ WTI Crude June Futures 06/ WTI Crude June Futures 06/ , WTI Crude June Futures 06/ WTI Crude March Futures 03/ , WTI Crude March Futures 03/ , WTI Crude October Futures 10/ , WTI Crude September Futures 09/ , WTI Crude September Futures 09/ , Zinc June Futures 06/ Zinc May Futures 05/ $ 4,228 $ 367 $ (116) 4

6 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 SHORT FUTURES CONTRACTS Variation Margin Expiration # of Notional Unrealized Appreciation/ Description... Month Contracts Amount (Depreciation) Asset Liability Aluminum May Futures 05/ $ (398) $ (22) $ 0 $ 0 Arabica Coffee May Futures 05/ (241) 4 0 (3) Brent Crude August Futures 08/ (2,089) (72) 0 (14) Brent Crude December Futures 12/ (5) (2) 0 0 Brent Crude December Futures 12/ (1,727) (56) 17 0 Brent Crude December Futures 12/ (57) (1) 1 0 Brent Crude July Futures 07/ (3,934) (190) 0 (33) Brent Crude June Futures 06/ (855) (19) 0 (9) Brent Crude June Futures 06/ (62) (2) 0 (1) Brent Crude June Futures 06/ (5,796) (527) 18 0 Brent Crude March Futures 03/ (1,404) (71) 0 (15) Brent Crude November Futures 11/ (5) (2) 0 0 Brent Crude October Futures 10/ (5) (2) 0 0 Brent Crude September Futures 09/ (4,539) (226) 0 (34) Call Options USD on Brent Crude March Futures 03/ (37) (20) 0 (9) Call Options USD on Brent Crude April Futures 04/ (19) (11) 0 (4) Cocoa May Futures 05/ (265) Copper March Futures 03/ (3,631) (242) 9 0 Corn May Futures 05/ (1,274) Corn September Futures 09/ (618) Gas Oil June Futures 06/ (4,682) (452) 1 (17) Gas Oil June Futures 06/ (4,436) (475) 55 0 Gold 100 oz. February Futures 02/ (1,571) (26) 0 (14) Henry Hub Natural Gas August Futures 08/ (140) 10 0 (1) Henry Hub Natural Gas December Futures 12/ (150) 0 0 (1) Henry Hub Natural Gas February Futures 01/ (148) 2 0 (2) Henry Hub Natural Gas July Futures 07/ (140) 10 0 (1) Henry Hub Natural Gas June Futures 06/ (139) 11 0 (1) Henry Hub Natural Gas March Futures 03/ (371) 37 0 (4) Henry Hub Natural Gas May Futures 05/ (137) 13 0 (1) Henry Hub Natural Gas November Futures 11/ (143) 7 0 (1) Henry Hub Natural Gas October Futures 10/ (141) 10 0 (1) Henry Hub Natural Gas September Futures 09/ (139) 11 0 (1) Live Cattle June Futures 06/ (136) Natural Gas April Futures 04/ (2,062) (20) Natural Gas February Futures 01/ (1,447) (108) 2 (17) Natural Gas January Futures 12/ (462) 24 0 (4) Natural Gas March Futures 03/ (116) (3) 0 (1) Natural Gas March Futures 03/ (1,859) 91 0 (14) Natural Gas May Futures 05/ (2,823) 34 1 (24) New York Harbor ULSD June Futures 06/ (1,496) (68) 0 (8) RBOB Gasoline March Futures 03/ (2,361) (70) 0 (4) Soybean May Futures 05/ (341) 9 0 (2) Soybean Meal March Futures 03/ (285) 7 0 (1) Soybean November Futures 11/ (878) 26 0 (3) Soybean Oil March Futures 03/ (419) (1) 0 (7) Sugar No. 11 March Futures 03/ (713) (33) 0 (7) Sugar No. 11 May Futures 05/ (269) (6) 0 (3) Wheat July Futures 07/ (136) (2) 0 0 Wheat March Futures 03/ (85) Wheat May Futures 05/ (418) WTI Crude April Futures 04/ (362) (29) 0 (3) WTI Crude December Futures 12/ (2,207) (78) 1 (12) WTI Crude December Futures 12/ (3,077) (137) 0 (13) WTI Crude December Futures 12/ (2,966) (74) 10 0 WTI Crude December Futures 12/ (155) (5) 1 0 WTI Crude February Futures 01/ (976) (19) 0 (4) WTI Crude January Futures 12/ (751) (43) 0 (5) WTI Crude June Futures 06/ (3,183) (94) 0 (25) WTI Crude March Futures 03/ (5,863) (641) 0 (55) WTI Crude May Futures 05/ (542) (27) 0 (4) WTI Crude November Futures 11/ (409) (56) 0 (3) Zinc June Futures 06/ (83)... (16) 0 0 $ (3,414) $ 125 $ (406) Total Futures Contracts $ 814 $ 492 $ (522) 5

7 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 SWAP AGREEMENTS: TOTAL RETURN SWAPS ON COMMODITY INDICES Variation Margin Pay/Recei Underlying Notional Payment Maturity Premiums Paid/ Unrealized Appreciation/ ve... (2) Reference # of Units Financing Rate Amount Frequency Date (Received) (Depreciation) Asset Liability Receive SPGCESP Index % $ 276 Non- Standard 03/29/2018 $ 66,486 $ 321 $ 326 $ 0 Total Swap Agreements $ 66,486 $ 321 $ 326 $ 0 (2) Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying reference. FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY The following is a summary of the market value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as of December 31, 2017: (d) Securities with an aggregate market value of $2,900 and cash of $597 have been pledged as collateral for exchange-traded and centrally cleared financial derivative instruments as of December 31, See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. Financial Derivative Assets Financial Derivative Liabilities Variation Margin Variation Margin Market Value Asset Market Value Liability Purchased Swap Written Swap Options Futures Agreements Total Options Futures Agreements Total Total Exchange-Traded or Centrally Cleared $ 32 $ 492 $ 326 $ 850 $ (111) $ (522) $ 0 $ (633) (e) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER WRITTEN OPTIONS: OPTIONS ON INDICES Strike Expiration Notional Premiums Market Counterparty... Description Value Date Amount (Received) Value GST Call - OTC SPGCENP /22/2018 $ 1,450 $ (6) $ 0 Call - OTC SPGCICP /29/2018 2, (7) 0 $ (13) $ 0 Total Written Options $ (13) $ 0 SWAP AGREEMENTS: COMMODITY FORWARD SWAPS Swap Agreements, at Value Fixed Price Payment Maturity # of Premiums Unrealized Appreciation/... Counterparty Pay/Receive Underlying Reference Commodity Per Unit Frequency Date Units Paid/(Received) (Depreciation) Asset Liability BPS Pay EUR5050 1H18 $ Maturity 06/30/2018 1,602 $ 0 $ 0 $ 0 $ 0 Pay EURMARGIN 1Q Maturity 03/31/2018 1, Receive EURMARGIN 2H Maturity 12/31/2018 1, Receive Zinc June Futures 3, Maturity 06/18/ Pay Zinc June Futures 3, Maturity 06/17/ (1) 0 (1) Pay NAPGASFO 1Q Maturity 03/31/ Receive NAPGASFO CAL Maturity 12/31/2018 4, Receive OREXIO 1Q Maturity 03/31/2018 1, Receive OREXIO CAL Maturity 12/31/2019 2, Receive PLATGOLD N Maturity 07/09/ (17) 0 (17) CBK Pay CBOT Wheat March Futures Maturity 02/23/ , Receive WCS 2Q4Q Maturity 12/31/2018 1, Receive WCS CAL Maturity 12/31/ ,866 (31) (97) 0 (128) GST Receive COCL CAL Maturity 12/31/2019 7,200 (1) Pay EUR5050 1H Maturity 06/30/ Receive EUR5050 2H Maturity 12/31/2018 1, Pay EURMARGIN 1Q Maturity 03/31/2018 3, Receive EURSIMP 1Q Maturity 03/31/2018 1, Pay EURSIMP 1Q Maturity 03/31/2018 3, Receive HSFOCO 1Q Maturity 03/31/2018 3,300 0 (6) 0 (6) Pay HSFOCO 3Q Maturity 09/30/2018 3, Receive HSFOEW CAL Maturity 12/31/2018 2, Receive KCBT Wheat July Futures Maturity 06/22/ , Receive MEHCL CAL Maturity 12/31/2019 7,200 0 (1) 0 (1) Pay OREXIO 1Q Maturity 03/31/2018 1,

8 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 Receive OREXIO 3Q Maturity 09/30/ Receive OREXIO CAL Maturity 12/31/2019 3,300 (5) Receive WCS 2H Maturity 12/31/2018 1, JPM Receive EUR5050 CAL Maturity 12/31/2018 4, Receive EURMARGIN 1Q Maturity 03/31/2018 4, Receive EURSIMP 2H Maturity 12/31/2018 3, Pay HSFOCO 1Q Maturity 03/31/2018 3, Receive HSFOCO 3Q Maturity 09/30/2018 3,600 0 (2) 0 (2) Receive HSFOEW 1Q Maturity 03/31/ Receive HSFOEW CAL Maturity 12/31/2018 1, Receive KCBT Wheat July Futures Maturity 06/22/ , Receive NAPGASFO CAL Maturity 12/31/2018 3, Pay OREXIO 1Q Maturity 03/31/ (1) 0 (1) MAC Receive COCL CAL Maturity 12/31/2019 8, Pay EURMARGIN 1Q Maturity 03/31/2018 7,500 (5) (2) 0 (7) Receive EURMARGIN 2H Maturity 12/31/2018 2, Receive MEHCL CAL Maturity 12/31/2019 8,400 0 (2) 0 (2) Pay NAPGASFO 1Q Maturity 03/31/2018 1,200 (1) Receive WCS CAL Maturity 12/31/2018 6,234 (6) (23) 0 (29) MYC Receive EUR5050 2H Maturity 12/31/2018 3, Pay EURMARGIN 1Q Maturity 03/31/2018 1, Pay EURMARGIN 1Q Maturity 03/31/2018 1, Receive EURMARGIN 2H Maturity 12/31/2018 4, Receive EURMARGIN 2H Maturity 12/31/2018 3, Receive EURMARGIN 2H Maturity 12/31/2018 1, Pay EURSIMP 1Q Maturity 03/31/2018 1, Pay EURSIMP 2H Maturity 12/31/2018 3,000 0 (2) 0 (2) Receive GOLDLNPM Index 1, Maturity 11/29/ Pay GOLDLNPM Index 1, Maturity 11/29/ (45) 0 (45) Pay GOLDLNPM Index 1, Maturity 11/29/ (32) 0 (32) Pay GOLDLNPM Index 1, Maturity 11/29/ (25) 0 (25) Receive HSFOCO 1Q Maturity 03/31/2018 1,800 0 (3) 0 (3) Receive HSFOCO 1Q Maturity 03/31/2018 1,800 0 (3) 0 (3) Pay HSFOCO 3Q Maturity 09/30/2018 1, Pay HSFOCO 3Q Maturity 09/30/2018 1, $ (48) $ (82) $ 174 $ (304) TOTAL RETURN SWAPS ON COMMODITY INDICES Swap Agreements, at Value Underlying Payment Maturity Notional Premiums Unrealized Appreciation/... Counterparty Pay/Receive (1) Reference # of Units Financing Rate Frequency Date Amount Paid/(Received) (Depreciation) Asset Liability 3-Month U.S. Treasury Bill rate plus a specified BPS Receive BCOMF1T Index 9,616 spread Monthly 02/15/2018 $ 3,243 $ 0 $ 157 $ 157 $ 0 Pay BCOMTR Index 3-Month U.S. Treasury Bill rate plus a specified 18,327 spread Monthly 02/15/2018 3,143 0 (154) 0 (154) Receive SPGCESTR Index 3-Month U.S. Treasury Bill rate plus a specified 300,129 spread Monthly 02/15/ , ,900 5,900 0 Pay SPGCINP Index 1, % Monthly 02/15/ (21) 0 (21) CBK Receive BCOMERF211A Index 21, % Monthly 02/15/2018 5, Receive BCOMERF311A Index 19, % Monthly 02/15/2018 5, Pay BCOMF2 Index 27, % Monthly 02/15/2018 5,283 0 (236) 0 (236) Pay BCOMF3 Index 26, % Monthly 02/15/2018 5,290 0 (230) 0 (230) Receive SPGCESTR Index 3-Month U.S. Treasury Bill rate plus a specified 32,895 spread Monthly 02/15/ , CIB Receive PIMCODB Index 17, % Monthly 02/15/2018 1, GST Receive BCOMF1T Index 3-Month U.S. Treasury Bill rate plus a specified 3,000 spread Monthly 02/15/2018 1, Receive CMDSKEWLS Index 32, % Monthly 02/15/2018 4, Receive SPGCESTR Index 3-Month U.S. Treasury Bill rate plus a specified 11,374 spread Monthly 02/15/2018 4, Pay SPGCINP Index 2,860 (0.100)% Monthly 02/15/ (35) 0 (35) JPM Receive BCOMF1T Index 3-Month U.S. Treasury Bill rate plus a specified 41,727 spread Monthly 02/15/ , Pay BCOMTR Index 3-Month U.S. Treasury Bill rate plus a specified 85,248 spread Monthly 02/15/ ,617 0 (716) 0 (716) Receive JMABDEW2 Index 13, % Monthly 02/15/ ,587 0 (152) 0 (152) 7

9 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 Receive JMABFNJ1 Index 85, % Monthly 02/15/2018 8,938 0 (33) 0 (33) Receive SPGCESTR Index 3-Month U.S. Treasury Bill rate plus a specified 359,051 spread Monthly 02/15/ , ,059 7,059 0 Pay SPGCINP Index 1,589 (0.050)% Monthly 02/15/ (20) 0 (20) MAC Receive PIMCODB Index 17, % Monthly 02/15/2018 1, $ 0 $ 14,038 $ 15,635 $ (1,597) (1) Receive represents that the Fund receives payments for any positive return on the underlying reference. The Fund makes payments for any negative return on such underlying reference. Pay represents that the Fund receives payments for any negative return on the underlying reference. The Fund makes payments for any positive return on such underlying reference. VOLATILITY SWAPS Swap Agreements, at Value Pay/Receive Volatility Payment Maturity Notional Premiums Unrealized Appreciation/... Counterparty Volatility Reference Entity Strike Frequency Date Amount Paid/(Received) (Depreciation) Asset Liability BPS Receive SPGCIAP Index (2) 3.063% Maturity 07/27/2018 $ 171 $ 0 $ 0 $ 0 $ 0 GST Receive CBOT Soybean July Futures (2) Maturity 06/22/ Pay GOLDLNPM Index (2) Maturity 01/10/ Henry Hub Natural Gas April Receive Futures (2) Maturity 03/26/ Pay PLDMLNPM Index (2) Maturity 01/22/ Receive SLVRLND Index (2) Maturity 01/10/ (8) 0 (8) Receive SLVRLND Index (2) Maturity 01/22/ (3) 0 (3) Receive SPGCIAP Index (2) Maturity 08/01/ Receive SPGCIAP Index (2) Maturity 08/01/ CBOT Corn December Futures (2) Maturity 11/23/ (1) 0 (1) JPM Receive Receive CBOT Corn July Futures (2) Maturity 06/22/ (2) 0 (2) Pay GOLDLNPM Index (2) Maturity 07/08/ Receive SLVRLND Index (2) Maturity 10/31/ (1) 0 (1) Receive SLVRLND Index (2) Maturity 07/08/ (4) 0 (4) Receive SPGCIAP Index (2) Maturity 08/01/ MEI Receive CBOT Corn July Futures (2) Maturity 06/22/ (2) 0 (2) MYC Pay GOLDLNPM Index (2) Maturity 04/12/ Pay GOLDLNPM Index (2) Maturity 10/25/2018 1, Pay GOLDLNPM Index (2) Maturity 10/31/ Pay GOLDLNPM Index (2) Maturity 07/17/ Pay GOLDLNPM Index (2) Maturity 07/26/ Pay GOLDLNPM Index (2) Maturity 10/08/ Receive SLVRLND Index (2) Maturity 04/12/ (5) 0 (5) Receive SLVRLND Index (2) Maturity 10/25/ (6) 0 (6) Receive SLVRLND Index (2) Maturity 10/31/ (8) 0 (8) Receive SLVRLND Index (2) Maturity 11/06/ (3) 0 (3) Receive SLVRLND Index (2) Maturity 12/03/ (1) 0 (1) Receive SLVRLND Index (2) Maturity 12/19/ Receive SLVRLND Index (2) Maturity 07/17/ (5) 0 (5) Receive SLVRLND Index (2) Maturity 07/26/ (6) 0 (6) Receive SLVRLND Index (2) Maturity 10/08/ (4) 0 (4) SOG Receive CBOT Corn July Futures (2) Maturity 06/22/ (2) 0 (2) Receive CBOT Soybean July Futures (2) Maturity 06/22/ (2) 0 (2) Receive CBOT Soybean July Futures (2) Maturity 06/22/ (2) 0 (2) Receive Receive CBOT Soybean November Futures (2) Maturity 10/26/ CBOT Soybean November Futures (2) Maturity 10/26/ (3) 0 (3) CBOT Soybean November Futures (2) Maturity 10/26/ (2) 0 (2) Receive Receive SPGCIAP Index (2) Maturity 08/01/ Receive SPGCICP Index (2) Maturity 07/26/ $ 0 $ (25) $ 45 $ (70) Total Swap Agreements $ (48) $ 13,931 $ 15,854 $ (1,971) (2) Variance Swap FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY The following is a summary by counterparty of the market value of OTC financial derivative instruments and collateral (received) as of December 31, 2017: Financial Derivative Assets Financial Derivative Liabilities Forward Forward Foreign Total Foreign Total Currency Purchased Swap Over the Currency Written Swap Over the Contracts Options Agreements Counter Contracts Options Agreements Counter Net Market Value of OTC Derivatives Collateral Net Counterparty... (Received) Exposure (3) BPS $ 0 $ 0 $ 6,089 $ 6,089 $ 0 $ 0 $ (193) $ (193) $ 5,896 $ (5,230) $ 666 CBK 0 0 1,148 1, (594) (594) 554 (430) 124 CIB GST (53) (53) 533 (440) 93 8

10 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 JPM 0 0 7,772 7, (932) (932) 6,840 (6,010) 830 MAC (38) (38) MEI (2) (2) (2) 0 (2) MYC (148) (148) (89) 0 (89) SOG (11) (11) (11) 0 (11) Total Over the Counter $ 0 $ 0 $ 15,854 $ 15,854 $ 0 $ 0 $ (1,971) $ (1,971) (3) Net Exposure represents the net receivable/(payable) that would be due from/to the counterparty in the event of default. Exposure from OTC financial derivative instruments can only be netted across transactions governed under the same master agreement with the same legal entity. See Note 8, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. FAIR VALUE OF FINANCIAL DERIVATIVE INSTRUMENTS The following is a summary of the fair valuation of the Fund's derivative instruments categorized by risk exposure. See Note 7, Principal Risks, in the Notes to Financial Statements on risks of the Fund. Fair Values of Financial Derivative Instruments on the Statement of Assets and Liabilities as of December 31, 2017: Derivatives not accounted for as hedging instruments Commodity Contracts Credit Contracts Equity Contracts Foreign Exchange Contracts Interest Rate Contracts Total Financial Derivative Instruments - Assets Exchange-traded or centrally cleared Purchased Options $ 32 $ 0 $ 0 $ 0 $ 0 $ 32 Futures Swap Agreements $ 850 $ 0 $ 0 $ 0 $ 0 $ 850 Over the counter Swap Agreements $ 15,854 $ 0 $ 0 $ 0 $ 0 $ 15,854 $ 16,704 $ 0 $ 0 $ 0 $ 0 $ 16,704 Financial Derivative Instruments - Liabilities Exchange-traded or centrally cleared Written Options $ 111 $ 0 $ 0 $ 0 $ 0 $ 111 Futures $ 633 $ 0 $ 0 $ 0 $ 0 $ 633 Over the counter Swap Agreements $ 1,971 $ 0 $ 0 $ 0 $ 0 $ 1,971 $ 2,604 $ 0 $ 0 $ 0 $ 0 $ 2,604 The effect of Financial Derivative Instruments on the Statement of Operations for the period ended December 31, 2017: Derivatives not accounted for as hedging instruments Commodity Contracts Credit Contracts Equity Contracts Foreign Exchange Contracts Interest Rate Contracts Total Net Realized Gain (Loss) on Financial Derivative Instruments Exchange-traded or centrally cleared Purchased Options $ (225) $ 0 $ 0 $ 0 $ 0 $ (225) Written Options Futures 1, ,077 Swap Agreements... (332) (332) $ 944 $ 0 $ 0 $ 0 $ 0 $ 944 Over the counter Written Options $ 68 $ 0 $ 0 $ 0 $ 0 $ 68 Swap Agreements... 6, ,487 $ 6,550 $ 5 $ 0 $ 0 $ 0 $ 6,555 $ 7,494 $ 5 $ 0 $ 0 $ 0 $ 7,499 Net Change in Unrealized Appreciation (Depreciation) on Financial Derivative Instruments Exchange-traded or centrally cleared Purchased Options $ (199) $ 0 $ 0 $ 0 $ 0 $ (199) Written Options Futures Swap Agreements $ 742 $ 0 $ 0 $ 0 $ 0 $ 742 Over the counter Written Options $ 13 $ 0 $ 0 $ 0 $ 0 $ 13 Swap Agreements... 8, ,424 $ 8,437 $ 0 $ 0 $ 0 $ 0 $ 8,437 $ 9,179 $ 0 $ 0 $ 0 $ 0 $ 9,179 9

11 Schedule of Investments PIMCO CommoditiesPLUS Trust II (Cont.) December 31, 2017 Fair Value Measurements The following is a summary of the fair valuations according to the inputs used as of December 31, 2017 in valuing the Fund's assets and liabilities: Fair Value Category... and Subcategory Level 1 Level 2 Level 3 at 12/31/2017 Investments in Securities, at Value Corporate Bonds & Notes Banking & Finance $ 0 $ 4,323 $ 0 $ 4,323 U.S. Treasury Obligations 0 5, ,587 Short-Term Instruments Certificates of Deposit Repurchase Agreements 0 351, , Total Investments $ 0 $ 362,809 $ 0 $ 362, Financial Derivative Instruments - Assets Exchange-traded or centrally cleared Over the counter 0 15, , $ 524 $ 16,180 $ 0 $ 16,704 Financial Derivative Instruments - Liabilities Exchange-traded or centrally cleared (633) 0 0 (633) Over the counter 0 (1,971) 0 (1,971)... $ (633) $ (1,971) $ 0 $ (2,604)... Total Financial Derivative Instruments $ (109) $ 14,209 $ 0 $ 14, Totals $ (109) $ 377,018 $ 0 $ 376,909 There were no significant transfers among Levels 1, 2, or 3 during the period ended December 31,

12 Statement of Assets and Liabilities PIMCO CommoditiesPLUS Trust II (Amounts in thousands, except per unit amounts) December 31, 2017 Assets: Investments, at value Investments in securities* $ 362,809 Financial Derivative Instruments Exchange-traded or centrally cleared 850 Over the counter 15,854 Cash 1 Deposits with counterparty 597 Receivable for investments sold 336 Interest and/or dividends receivable 79 Reimbursement receivable from PIMCO 31 Total Assets 380,557 Liabilities: Financial Derivative Instruments Exchange-traded or centrally cleared $ 633 Over the counter 1,971 Payable for investments purchased 21 Deposits from counterparty 12,122 Accrued investment advisory fees 244 Accrued supervisory and administrative fees 62 Accrued custodian fees 25 Accrued audit fees 43 Total Liabilities 15,121 Net Assets $ 365,436 Net Assets Consist of: Paid in capital 541,232 Undistributed (overdistributed) net investment income 10,959 Accumulated undistributed net realized gain (loss) (201,855) Net unrealized appreciation (depreciation) 15,100 Net Assets $ 365,436 Net Assets: $ 365,436 Units Issued and Outstanding: 95,201 Net Asset Value and Redemption Price Per Unit (Net Asset per Unit Outstanding) 3.84 Cost of investments in securities $ 362,794 Cost or premiums of financial derivative instruments, net $ 66,339 * Includes repurchase agreements of: $ 351,998 11

13 Statement of Operations PIMCO CommoditiesPLUS Trust II Year Ended (Amounts in thousands) December 31, 2017 Investment Income: Interest $ 3,389 Total Income 3,389 Expenses: Investment advisory fees 907 Trustee fees 231 Custodian fees 264 Audit fees 44 Interest expense 42 Total Expenses 1,488 Waiver (143) Net Expenses 1,345 Net Investment Income (Loss) 2,044 Net Realized Gain (Loss): Investments in securities (15) Exchange-traded or centrally cleared financial derivative instruments 944 Over the counter financial derivative instruments 6,555 Net Realized Gain (Loss) 7,484 Net Change in Unrealized Appreciation (Depreciation): Investments in securities (37) Exchange-traded or centrally cleared financial derivative instruments 742 Over the counter financial derivative instruments 8,437 Net Change in Unrealized Appreciation (Depreciation) 9,142 Net Increase (Decrease) in Net Assets Resulting from Operations $ 18,670 12

14 Statement of Changes in Net Assets PIMCO CommoditiesPLUS Trust II (Amounts in thousands) Year Ended December 31, 2017 Increase (Decrease) in Net Assets from: Operations: Net investment income (loss) $ 2,044 Net realized gain (loss) 7,484 Net change in unrealized appreciation (depreciation) 9,142 Net Increase (Decrease) in Net Assets Resulting from Operations 18,670 Portfolio Share Transactions:** Net increase (decrease) resulting from Fund share transactions 31,549 Total Increase (Decrease) in Net Assets 50,219 Net Assets: Beginning of year 315,217 End of year* $ 365,436 *Including undistributed (overdistributed) net investment income of: $ 10,959 ** See Note 12 in the Notes to Financial Statements. 13

15 Financial Highlights PIMCO CommoditiesPLUS Trust II Selected Per Unit Data for the Year Ended: December 31, 2017 Net asset value beginning of year $ 3.68 Net investment income (a ) 0.02 Net realized/unrealized gain 0.14 Total from investment operations 0.16 Net asset value end of year $ 3.84 Total Return 4.35% Net assets end of year (000s) $ 365,436 Ratio of expenses to average net assets 0.41% Ratio of expenses to average net assets excluding waivers 0.45% Ratio of expenses to average net assets excluding interest expense 0.40% Ratio of expenses to average net assets excluding interest expense and waivers 0.44% Ratio of net investment income to average net assets 0.62% (a ) Per Unit Amounts based on average number of units outstanding during the year. 14

16 Notes to Financial Statements December 31, ORGANIZATION The PIMCO CommoditiesPLUS Trust II (the Fund ) is a series of the Wilmington Trust Collective Investment Trust (the Trust ). The Trust is intended to constitute an exempt trust under Section 501(a) of the Internal Revenue Code of 1986, as amended, and a group trust within the meaning of Revenue Ruling as modified by Revenue Ruling , and any successor ruling, regulation or similar pronouncement. The Trust is exempt from registration under the Investment Company Act of 1940, as amended. The beneficial ownership of the Fund is evidenced by units ( Units ), each of which represents undivided proportionate interests in all of the assets and liabilities of the Fund. Each Unit is entitled to the allocated proportional share of all income, profits, losses, and expenses of the Fund. No Unit shall have any priority or preference over any other Unit. The value of each Unit is determined at the close of business each business day by adding the value of all of the Fund s assets, subtracting all accrued expenses and liabilities, and dividing by the number of Units outstanding. Unit values may vary to reflect the fees assessed and agreed to by the respective plan. The information contained in these financials pertains to the PIMCO CommoditiesPLUS Trust II. The Trust is designed to be used as an investment vehicle by qualified retirement plans and certain plans maintained by governmental employers. The Trust consists of separate funds, each a series of the Trust, with differing investment objectives. Wilmington Trust, N.A. is the trustee (the Trustee ) of the Trust. The Trustee, a wholly owned subsidiary of the M&T Bank Corporation, is responsible for maintaining and administering the Trust and its various funds. Pacific Investment Management Company LLC ( PIMCO ), a Delaware limited liability company, serves as the investment sub-advisor of the Fund. 2. SIGNIFICANT ACCOUNTING POLICIES The following is a summary of significant accounting policies consistently followed by the Fund in the preparation of its financial statements in conformity with accounting principles generally accepted in the United States of America ( U.S. GAAP ). The Fund is treated as an investment company under the reporting requirements of U.S. GAAP. The preparation of financial statements in accordance with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results could differ from those estimates. (a) Securities Transactions and Investment Income Securities transactions are recorded as of the trade date for financial reporting purposes. Securities purchased or sold on a when-issued or delayed-delivery basis may be settled beyond a standard settlement period for the security after the trade date. Realized gains (losses) from securities sold are recorded on the identified cost basis. Dividend income is recorded on the ex-dividend date, except certain dividends from foreign securities where the ex-dividend date may have passed, which are recorded as soon as the Fund is informed of the ex-dividend date. Interest income, adjusted for the accretion of discounts and amortization of premiums, is recorded on the accrual basis from settlement date, with the exception of securities with a forward starting effective date, where interest income is recorded on the accrual basis from effective date. For convertible securities, premiums attributable to the conversion feature are not amortized. Estimated tax liabilities on certain foreign securities are recorded on an accrual basis and are reflected as components of interest income or net change in unrealized appreciation (depreciation) on investments on the Statement of Operations, as appropriate. Tax liabilities realized as a result of such security sales are reflected as a component of net realized gain (loss) on investments on the Statement of Operations. Paydown gains (losses) on mortgage-related and other asset-backed securities are recorded as components of interest income on the Statement of Operations. Income or shortterm capital gain distributions received from registered investment companies are recorded as dividend income. Long-term capital gain distributions received from registered investment companies are recorded as realized gains. (b) Dividends and Distributions to Unitholders All net investment income and net realized gains of the Fund will be reinvested in the Fund, no distributions will be declared. (c) New Accounting Pronouncements In March 2016, the Financial Accounting Standards Board ("FASB") issued Accounting Standards Update ( ASU ), , which provides guidance related to the impact of derivative contract novations on certain relationships under Accounting Standards Codification ( ASC ) 815. The ASU is effective for annual periods beginning after December 15, 2017, and interim periods beginning after December 15, At this time, management is evaluating the implications of these changes on the financial statements. In March 2017, the FASB issued ASU which provides guidance related to the amortization period for certain purchased callable debt securities held at a premium. The ASU is effective for annual periods beginning after December 15, 2019, and interim periods within fiscal years beginning after December 15, The Fund has adopted the ASU. The implementation of the ASU did not have an impact on the Fund's financial statements. 3. INVESTMENT VALUATION AND FAIR VALUE MEASUREMENTS (a) Investment Valuation Policies For purposes of calculating the net asset value ("NAV"), portfolio securities and other financial derivative instruments are valued on each Business Day using valuation methods as adopted by the trustee. Where market quotes are readily available, fair market value is generally determined on the basis of official closing prices or the last reported sales prices, or if no sales are reported, based on quotes obtained from a quotation reporting system, established market makers, or pricing services. Where market quotes are not readily available, portfolio securities and other financial derivative instruments are valued at fair value, as determined in good faith by the trustee or a committee acting at its direction ( Committee ). Market quotes are considered not readily available in circumstances where there is an absence of current or reliable market-based data (e.g., trade information, bid/ask information, or Broker Quotes), including where events occur after the close of the relevant market, but prior to the NYSE Close, that materially affect the values of the Fund s securities or financial derivative instruments. In addition, market quotes are considered not readily available when, due to extraordinary circumstances, the exchanges or markets on which securities trade do not open for trading for the entire day and no other market prices are available. The Committee has delegated to PIMCO, the responsibility for monitoring significant events that may materially affect the values of the Fund s securities or financial derivative instruments and for determining whether the value of the applicable securities or financial derivative instruments should be re-evaluated in light of such significant events. The Committee has adopted methods for valuing securities and other financial derivative instruments that may require fair valuation under particular circumstances. The investment sub-advisor monitors the continual appropriateness of methods applied and determines if adjustments should be made in light of market changes, events affecting the issuer, or other factors. If the investment sub-advisor determines that a valuation method may no longer be appropriate, another valuation method may be selected, or the Committee will take any appropriate action. PIMCO shall review the appropriateness of the valuation methods from time to time and these methods may be amended or supplemented from time to time by the Committee. 15

17 Notes to Financial Statements (Cont.) December 31, 2017 In circumstances in which daily market quotes are not readily available, investments may be valued, pursuant to guidelines established by the Committee. In the event that the security or asset cannot be valued pursuant to the established guidelines, the value of the security or other financial derivative instrument will be determined in good faith by the Committee, generally based upon recommendations provided by PIMCO. These methods may require subjective determinations about the value of a security. While the Fund s policy is intended to result in a calculation of the Fund s NAV that fairly reflects security values as of the time of pricing, the Fund cannot guarantee that values determined by the Committee would accurately reflect the price that the Fund could obtain for a security if it were to dispose of that security as of the time of pricing (for instance, in a forced or distressed sale). The prices used by the Fund may differ from the value that would be realized if the securities were sold. (b) Fair Value Hierarchy U.S. GAAP describes fair value as the price that the Fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. It establishes a fair value hierarchy that prioritizes inputs to valuation methods and requires disclosure of the fair value hierarchy, separately for each major category of assets and liabilities, that segregates fair value measurements into levels (Level 1, 2, or 3). The inputs or methodology used for valuing securities are not necessarily an indication of the risks associated with investing in those securities. Levels 1, 2, and 3 of the fair value hierarchy are defined as follows: Level 1 Quoted prices in active markets or exchanges for identical assets and liabilities. Level 2 Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs. Level 3 Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Administrative Committee of PIMCO or persons acting at their direction that are used in determining the fair value of investments. In accordance with the requirements of U.S. GAAP, the amounts of transfers between Levels 1 and 2 and transfers into and out of Level 3, if material, are disclosed in the Notes to Schedule of Investments for the Fund. For fair valuations using significant unobservable inputs, U.S. GAAP requires a reconciliation of the beginning to ending balances for reported fair values that presents changes attributable to realized gain (loss), unrealized appreciation (depreciation), purchases and sales, accrued discounts (premiums) and transfers into and out of the Level 3 category during the period. The end of period value is used for the transfers between Levels of the Fund s assets and liabilities. Additionally, U.S. GAAP requires quantitative information regarding the significant unobservable inputs used in the determination of fair value of assets or liabilities categorized as Level 3 in the fair value hierarchy. In accordance with the requirements of U.S. GAAP, a fair value hierarchy, and if material, a Level 3 reconciliation and details of significant unobservable inputs, have been included in the Notes to Schedule of Investments for the Fund. (c) Valuation Techniques and the Fair Value Hierarchy Level 1 and Level 2 trading assets and trading liabilities, at fair value The valuation methods (or techniques ) and significant inputs used in determining the fair values of portfolio securities or other assets and liabilities categorized as Level 1 and Level 2 of the fair value hierarchy are as follows: Fixed income securities including corporate, convertible and municipal bonds and notes, U.S. government agencies, U.S. treasury obligations, sovereign issues, bank loans, convertible preferred securities and non-u.s. bonds are normally valued on the basis of quotes obtained from brokers and dealers or Pricing Services that use broker-dealer quotations, reported trades or valuation estimates from their internal pricing models. The Pricing Services internal models use inputs that are observable such as issuer details, interest rates, yield curves, prepayment speeds, credit risks/spreads, default rates and quoted prices for similar assets. Securities that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Fixed income securities purchased on a delayed-delivery basis or as a repurchase commitment in a sale-buyback transaction are marked to market daily until settlement at the forward settlement date and are categorized as Level 2 of the fair value hierarchy. Common stocks, exchange-traded funds ( ETFs ), exchange-traded notes and financial derivative instruments, such as futures contracts, rights and warrants, or options on futures that are traded on a national securities exchange, are stated at the last reported sale or settlement price on the day of valuation. To the extent these securities are actively traded and valuation adjustments are not applied, they are categorized as Level 1 of the fair value hierarchy. Valuation adjustments may be applied to certain securities that are solely traded on a foreign exchange to account for the market movement between the close of the foreign market and the NYSE Close. These securities are valued using Pricing Services that consider the correlation of the trading patterns of the foreign security to the intraday trading in the U.S. markets for investments. Securities using these valuation adjustments are categorized as Level 2 of the fair value hierarchy. Preferred securities and other equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy. Short-term debt instruments (such as commercial paper) having a remaining maturity of 60 days or less may be valued at amortized cost, so long as the amortized cost of such short-term debt instrument is approximately the same as the fair value of the instrument as determined without the use of amortized cost valuation. Equity exchange-traded options and over-the-counter financial derivative instruments, such as foreign currency contracts and options contracts, derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. These contracts are normally valued on the basis of quotes obtained from a quotation reporting system, established market makers or Pricing Services (normally determined as of the NYSE Close). Depending on the product and the terms of the transaction, financial derivative instruments can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models use inputs that are observed from actively quoted markets such as quoted prices, issuer details, indices, bid/ask spreads, interest rates, implied volatilities, yield curves, dividends and exchange rates. Financial derivative instruments that use similar valuation techniques and inputs as described above are categorized as Level 2 of the fair value hierarchy. Centrally cleared swaps and over the counter swaps derive their value from underlying asset prices, indices, reference rates, and other inputs or a combination of these factors. They are valued using a broker-dealer bid quotation or on market-based prices provided by Pricing Services or other pricing sources (normally determined as of the NYSE close). Centrally cleared swaps and over the counter swaps can be valued by Pricing Services using a series of techniques, including simulation pricing models. The pricing models may 16

18 Notes to Financial Statements (Cont.) December 31, 2017 use inputs that are observed from actively quoted markets such as the overnight index swap rate ( OIS ), London Interbank Offered Rate ( LIBOR ) forward rate, interest rates, yield curves and credit spreads. These securities are categorized as Level 2 of the fair value hierarchy. Level 3 trading assets and trading liabilities, at fair value When a fair valuation method is applied by PIMCO that uses significant unobservable inputs, investments will be priced by a method that the Valuation Committee of PIMCO or persons acting at their direction believe reflects fair value and are categorized as Level 3 of the fair value hierarchy. 4. SECURITIES AND OTHER INVESTMENTS (a) Investments in Securities Inflation-Indexed Bonds The Fund may invest in inflation-indexed bonds. Inflation-indexed bonds are fixed income securities whose principal value is periodically adjusted by the rate of inflation. The interest rate on these bonds is generally fixed at issuance at a rate lower than typical bonds. Over the life of an inflation-indexed bond, however, interest will be paid based on a principal value which is adjusted for inflation. Any increase or decrease in the principal amount of an inflation-indexed bond will be included as interest income on the Statement of Operations, even though investors do not receive their principal until maturity. Repayment of the original bond principal upon maturity (as adjusted for inflation) is guaranteed in the case of U.S. TIPS. For bonds that do not provide a similar guarantee, the adjusted principal value of the bond repaid at maturity may be less than the original principal. U.S. Government Agencies or Government-Sponsored Enterprises The Fund may invest in securities of U.S. Government agencies or government-sponsored enterprises. U.S. Government securities are obligations of and, in certain cases, guaranteed by, the U.S. Government, its agencies or instrumentalities. Some U.S. Government securities, such as Treasury bills, notes and bonds, and securities guaranteed by the Government National Mortgage Association ( GNMA or Ginnie Mae ), are supported by the full faith and credit of the U.S. Government; others, such as those of the Federal Home Loan Banks, are supported by the right of the issuer to borrow from the U.S. Department of the Treasury (the U.S. Treasury ); and others, such as those of the Federal National Mortgage Association ( FNMA or Fannie Mae ), are supported by the discretionary authority of the U.S. Government to purchase the agency s obligations. U.S. Government securities may include zero coupon securities. Zero coupon securities do not distribute interest on a current basis and tend to be subject to a greater risk than interest-paying securities. Government-related guarantors (i.e., not backed by the full faith and credit of the U.S. Government) include FNMA and the Federal Home Loan Mortgage Corporation ( FHLMC or Freddie Mac ). FNMA is a government-sponsored corporation. FNMA purchases conventional (i.e., not insured or guaranteed by any government agency) residential mortgages from a list of approved seller/servicers which include state and federally chartered savings and loan associations, mutual savings banks, commercial banks and credit unions and mortgage bankers. Pass-through securities issued by FNMA are guaranteed as to timely payment of principal and interest by FNMA, but are not backed by the full faith and credit of the U.S. Government. FHLMC issues Participation Certificates ( PCs ), which are pass-through securities, each representing an undivided interest in a pool of residential mortgages. FHLMC guarantees the timely payment of interest and ultimate collection of principal, but PCs are not backed by the full faith and credit of the U.S. Government. 5. BORROWINGS AND OTHER FINANCING TRANSACTIONS The following disclosures contain information on the Fund s ability to lend or borrow cash or securities, which may be viewed as borrowing or financing transactions by the Fund. The location of these instruments in the Fund s financial statements is described below. For a detailed description of credit and counterparty risks that can be associated with borrowings and other financing transactions, please see Note 7, Principal Risks. (a) Repurchase Agreements The Fund may engage in repurchase agreements. Under the terms of a typical repurchase agreement, the Fund purchases an underlying debt obligation (collateral) subject to an obligation of the seller to repurchase, and the Fund to resell, the obligation at an agreed-upon price and time. The underlying securities for all repurchase agreements are held by the Fund s custodian or designated subcustodians under tri-party repurchase agreements, and in certain instances will remain in custody with the counterparty. The market value of the collateral must be equal to or exceed the total amount of the repurchase obligations, including interest. Repurchase agreements, if any, including accrued interest, are included on the Statement of Assets and Liabilities. Interest earned is recorded as a component of interest income on the Statement of Operations. In periods of increased demand for collateral, the Fund may pay a fee for the receipt of collateral, which may result in interest expense to the Fund. 6. FINANCIAL DERIVATIVE INSTRUMENTS The following disclosures contain information on how and why the Fund uses financial derivative instruments, and how financial derivative instruments affect the Fund s financial position, results of operations and cash flows. The location and fair value amounts of these instruments on the Statement of Assets and Liabilities and the net realized gain (loss) and net change in unrealized appreciation (depreciation) on the Statement of Operations, each categorized by type of financial derivative contract and related risk exposure, are included in a table in the Notes to Schedule of Investments. The financial derivative instruments outstanding as of period end and the amounts of net realized gain (loss) and net change in unrealized appreciation (depreciation) on financial derivative instruments during the period, as disclosed in the Notes to Schedule of Investments, serve as indicators of the volume of financial derivative activity for the Fund. (a) Futures Contracts The Fund may enter into futures contracts. The Fund may use futures contracts to manage its exposure to the securities markets or to movements in interest rates and currency values. The primary risks associated with the use of futures contracts are the imperfect correlation between the change in market value of the securities held by the Fund and the prices of futures contracts and the possibility of an illiquid market. Futures contracts are valued based upon their quoted daily settlement prices. Upon entering into a futures contract, the Fund is required to deposit with its futures broker an amount of cash, U.S. Government and Agency Obligations, or select sovereign debt, in accordance with the initial margin requirements of the broker or exchange. Futures contracts are marked to market daily and based on such movements in the price of the contracts, an appropriate payable or receivable for the change in value may be posted or collected by the Fund ( Futures Variation Margin ). Gains (losses) are recognized but not considered realized until the contracts expire or close. Futures contracts involve, to varying degrees, risk of loss in excess of the Futures Variation Margin included within exchange traded or centrally cleared financial derivative instruments on the Statement of Assets and Liabilities. (b) Options Contracts The Fund may write or purchase options to enhance returns or to hedge an existing position or future investment. The Fund may write call and put options on securities and financial derivative instruments it owns or in which it may invest. Writing put options tends to increase the Fund s exposure to the underlying instrument. Writing call options tends to decrease the Fund s exposure to the underlying instrument. When the Fund writes a call or put, an amount equal to the premium received is recorded as a liability and subsequently marked to market to reflect the current value of the option written. These liabilities are included on the Statement of Assets and Liabilities. Premiums received from writing options which expire are treated as realized gains. Premiums received from writing options which are exercised or closed are added to the proceeds or offset against 17

19 Notes to Financial Statements (Cont.) December 31, 2017 amounts paid on the underlying futures, swap, security or currency transaction to determine the realized gain (loss). Certain options may be written with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The Fund as a writer of an option has no control over whether the underlying instrument may be sold ("call") or purchased ("put") and as a result bears the market risk of an unfavorable change in the price of the instrument underlying the written option. There is the risk the Fund may not be able to enter into a closing transaction because of an illiquid market. The Fund may also purchase put and call options. Purchasing call options tends to increase the Fund s exposure to the underlying instrument. Purchasing put options tends to decrease the Fund s exposure to the underlying instrument. The Fund pays a premium which is included as an asset on the Statement of Assets and Liabilities and subsequently marked to market to reflect the current value of the option. Premiums paid for purchasing options which expire are treated as realized losses. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms. The risk associated with purchasing put and call options is limited to the premium paid. Premiums paid for purchasing options which are exercised or closed are added to the amounts paid or offset against the proceeds on the underlying investment transaction to determine the realized gain (loss) when the underlying transaction is executed. Commodity Options The Fund may write or purchase options on commodity futures contracts ( Commodity Option ). The underlying instrument for the Commodity Option is not the commodity itself, but rather a futures contract for that commodity. The exercise of a Commodity Option will not include physical delivery of the underlying commodity but will result in a cash transfer for the amount of the difference between the current market value of the underlying futures contract and the strike price. For an option that is in-the-money, the Fund will normally offset its position rather than exercise the option to retain any remaining time value. Options on Exchange-Traded Futures Contracts The Fund may write or purchase options on exchange-traded futures contracts ( Futures Option ) to hedge an existing position or future investment, for speculative purposes or to manage exposure to market movements. A Futures Option is an option contract in which the underlying instrument is a single futures contract. Options on Indices The Fund may write or purchase options on indices ( Index Option ). An Index Option uses a specified index as the underlying instrument for the option contract. The exercise for an Index Option will not include physical delivery of the underlying index but will result in a cash transfer of the amount of the difference between the settlement price of the underlying index and the strike price. (c) Swap Agreements The Fund may invest in swap agreements. Swap agreements are bilaterally negotiated agreements between the Fund and a counterparty to exchange or swap investment cash flows, assets, foreign currencies or market-linked returns at specified, future intervals. Swap agreements may be privately negotiated in the over the counter market ( OTC swaps ) or may be cleared through a third party, known as a central counterparty or derivatives clearing organization ( Centrally Cleared Swaps ). The Fund may enter into asset, credit default, cross-currency, interest rate, total return, variance and other forms of swap agreements to manage its exposure to credit, currency, interest rate, commodity, equity and inflation risk. In connection with these agreements, securities or cash may be identified as collateral or margin in accordance with the terms of the respective swap agreements to provide assets of value and recourse in the event of default or bankruptcy/insolvency. Centrally Cleared Swaps are marked to market daily based upon valuations as determined from the underlying contract or in accordance with the requirements of the central counterparty or derivatives clearing organization. Changes in market value, if any, are reflected as a component of net change in unrealized appreciation (depreciation) on the Statement of Operations. Daily changes in valuation of centrally cleared swaps ( Swap Variation Margin ), if any, are disclosed within centrally cleared financial derivative instruments on the Statement of Assets and Liabilities. OTC swap payments received or paid at the beginning of the measurement period are included on the Statement of Assets and Liabilities and represent premiums paid or received upon entering into the swap agreement to compensate for differences between the stated terms of the swap agreement and prevailing market conditions (credit spreads, currency exchange rates, interest rates, and other relevant factors). Upfront premiums received (paid) are initially recorded as liabilities (assets) and subsequently marked to market to reflect the current value of the swap. These upfront premiums are recorded as realized gain (loss) on the Statement of Operations upon termination or maturity of the swap. A liquidation payment received or made at the termination of the swap is recorded as realized gain (loss) on the Statement of Operations. Net periodic payments received or paid by the Fund are included as part of realized gain (loss) on the Statement of Operations. For purposes of applying the Fund s investment policies and restrictions, swap agreements are generally valued by the Fund at market value. In the case of a credit default swap, in applying certain of the Fund s investment policies and restrictions, the Fund will value the credit default swap at its notional value or its full exposure value (i.e., the sum of the notional amount for the contract plus the market value), but may value the credit default swap at market value for purposes of applying certain of the Fund s other investment policies and restrictions. For example, the Fund may value credit default swaps at full exposure value for purposes of the Fund s credit quality guidelines (if any) because such value reflects the Fund s actual economic exposure during the term of the credit default swap agreement. In this context, both the notional amount and the market value may be positive or negative depending on whether the Fund is selling or buying protection through the credit default swap. The manner in which certain securities or other instruments are valued by the Fund for purposes of applying investment policies and restrictions may differ from the manner in which those investments are valued by other types of investors. Entering into swap agreements involves, to varying degrees, elements of interest, credit, market and documentation risk in excess of the amounts recognized on the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of contractual terms in the agreements and that there may be unfavorable changes in interest rates. The Fund s maximum risk of loss from counterparty credit risk is the discounted net value of the cash flows to be received from the counterparty over the contract s remaining life, to the extent that amount is positive. The risk may be mitigated by having a master netting arrangement between the Fund and the counterparty and by the posting of collateral to the Fund to cover the Fund s exposure to the counterparty. Commodity Forward Swap Agreements The Fund may invest in commodity forward swap agreements ( Commodity Forwards ) to gain or mitigate exposure to the underlying referenced commodity. Commodity Forwards involve commitments between two parties where cash flows are exchanged at a future date based on the difference between a fixed and variable price with respect to the number of units of the commodity. At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the fixed and variable price of the underlying commodity multiplied by the number of units. To the extent the difference between the fixed and variable price of the underlying referenced commodity exceeds or falls short of the offsetting payment obligation, the Fund will receive a payment from or make a payment to the counterparty. Total Return Swap Agreements The Fund may enter into total return swap agreements to gain or mitigate exposure to the underlying reference asset. Total return swap agreements involve commitments where single or multiple cash flows are exchanged based on the price of an underlying reference asset and on a fixed or variable interest rate. Total return swap agreements may involve commitments to pay interest in exchange for a market-linked return. One counterparty pays out the total return of a specific reference 18

20 Notes to Financial Statements (Cont.) December 31, 2017 asset, which may include an underlying equity, index, or bond, and in return receives a fixed or variable rate. At the maturity date, a net cash flow is exchanged where the total return is equivalent to the return of the underlying reference less a financing rate, if any. As a receiver, the Fund would receive payments based on any net positive total return and would owe payments in the event of a net negative total return. As the payer, the Fund would owe payments on any net positive total return, and would receive payments in the event of a net negative total return. Volatility Swap Agreements The Fund also may enter into forward volatility agreements, also known as volatility swaps. In a volatility swap, the counterparties agree to make payments in connection with changes in the volatility (i.e., the magnitude of change over a specified period of time) of an underlying referenced instrument, such as a currency, rate, index, security or other financial instrument. Volatility swaps permit the parties to attempt to hedge volatility risk and/or take positions on the projected future volatility of an underlying referenced instrument. For example, the Fund may enter into a volatility swap in order to take the position that the referenced instrument s volatility will increase over a particular period of time. If the referenced instrument s volatility does increase over the specified time, the Fund will receive payment from its counterparty based upon the amount by which the referenced instrument s realized volatility level exceeds a volatility level agreed upon by the parties. If the referenced instrument s volatility does not increase over the specified time, the Fund will make a payment to the counterparty based upon the amount by which the referenced instrument s realized volatility level falls below the volatility level agreed upon by the parties. At the maturity date, a net cash flow is exchanged, where the payoff amount is equivalent to the difference between the realized price volatility of the referenced instrument and the strike multiplied by the notional amount. As a receiver of the realized price volatility, the Fund would receive the payoff amount when the realized price volatility of the referenced instrument is greater than the strike and would owe the payoff amount when the volatility is less than the strike. As a payer of the realized price volatility, the Fund would owe the payoff amount when the realized price volatility of the referenced instrument is greater than the strike and would receive the payoff amount when the volatility is less than the strike. Payments on a volatility swap will be greater if they are based upon the mathematical square of volatility (i.e., the measured volatility multiplied by itself, which is referred to as variance ). This type of volatility swap is frequently referred to as a variance swap. 7. PRINCIPAL RISKS In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to such things as changes in the market (market risk) or failure or inability of the other party to a transaction to perform (credit and counterparty risk). See below for a detailed description of select principal risks. Market Risks The Fund s investments in financial derivative instruments and other financial instruments expose the Fund to various risks such as, but not limited to, interest rate, foreign (non-u.s.) currency, equity and commodity risks. Interest rate risk is the risk that fixed income securities and other instruments held by the Fund will decline in value because of an increase in interest rates. As nominal interest rates rise, the value of certain fixed income securities held by the Fund is likely to decrease. A nominal interest rate can be described as the sum of a real interest rate and an expected inflation rate. Interest rate changes can be sudden and unpredictable, and the Fund may lose money if these changes are not anticipated by the Fund's management. The Fund may not be able to hedge against changes in interest rates or may choose not to do so for cost or other reasons. In addition, any hedges may not work as intended. Duration is a measure used to determine the sensitivity of a security s price to changes in interest rates that incorporates a security s yield, coupon, final maturity and call features, among other characteristics. Convexity is an additional measure of interest rate sensitivity that measures the rate of change of duration in response to changes in interest rates. Fixed income securities with longer durations tend to be more sensitive to changes in interest rates, usually making them more volatile than securities with shorter durations. A wide variety of factors can cause interest rates to rise (e.g., central bank monetary policies, inflation rates, general economic conditions, etc.). At present, the U.S. and many parts of the world, including certain European countries, are at or near historically low interest rates. The Fund may be subject to heightened interest rate risk because the Fed has ended its quantitative easing program and has begun, and may continue, to raise interest rates. To the extent that the Fed continues to raise interest rates, there is a risk that rates across the financial system may rise. Further, while bond markets have steadily grown over the past three decades, dealer market making ability has not kept pace and in some cases has decreased. Given the importance of intermediary market making in creating a robust and active market, fixed income securities are currently facing increased volatility and liquidity risks. All of these factors, collectively and/or individually, could cause the Fund to lose value. If the Fund lost enough value, the Fund could face increased unitholder redemptions, which could force the Fund to liquidate investments at disadvantageous times or prices, thereby adversely affecting the Fund. Also, the Fund may be adversely affected when a large unitholder purchases or redeems large amounts of shares, which can occur at any time and may impact the Fund in the same manner as a high volume of redemption requests. Large unitholder transactions may impact the Fund s liquidity and net asset value. Such transactions may also increase the Fund s transaction costs or otherwise cause the Fund to perform differently than intended. Moreover, the Fund is subject to the risk that other unitholders may make investment decisions based on the choices of a large unitholder. If the Fund invests directly in foreign (non-u.s.) currencies or in securities that trade in, and receive revenues in, foreign (non-u.s.) currencies, or in financial derivative instruments that provide exposure to foreign (non-u.s.) currencies, it will be subject to the risk that those currencies will decline in value relative to the base currency of the Fund, or, in the case of hedging positions, that the Fund s base currency will decline in value relative to the currency being hedged. Currency rates in foreign countries may fluctuate significantly over short periods of time for a number of reasons, including changes in interest rates, intervention (or the failure to intervene) by U.S. or foreign governments, central banks or supranational entities such as the International Monetary Fund, or by the imposition of currency controls or other political developments in the United States or abroad. As a result, the Fund s investments in foreign currency-denominated securities may reduce the Fund s returns. The market values of equities, such as common stocks and preferred securities or equity related investments such as futures and options, have historically risen and fallen in periodic cycles and may decline due to general market conditions which are not specifically related to a particular company, such as real or perceived adverse economic conditions, changes in the general outlook for corporate earnings, changes in interest or currency rates or adverse investor sentiment generally. They may also decline due to factors which affect a particular industry or industries, such as labor shortages or increased production costs and competitive conditions within an industry. Different types of equity securities may react differently to these developments. Equity securities and equity related investments generally have greater market price volatility than fixed income securities. The Fund's investments in commodity-linked financial derivative instruments may subject the Fund to greater market price volatility than investments in traditional securities. The value of commodity-linked financial derivative instruments may be affected by changes in overall market movements, commodity index volatility, changes in interest rates, or factors affecting a particular industry or commodity, such as drought, floods, weather, livestock disease, embargoes, tariffs and international economic, political and regulatory developments. Credit and Counterparty Risks The Fund will be exposed to credit risk to parties with whom it trades and will also bear the risk of settlement default. The Fund minimizes concentrations of credit risk by undertaking transactions with a large number of customers and counterparties on recognized and reputable exchanges, where applicable. Over the counter ( OTC ) derivative transactions are subject to the risk that a counterparty to the transaction will not fulfill its contractual obligations to the other party, as many of the 19

21 Notes to Financial Statements (Cont.) December 31, 2017 protections afforded to centrally cleared derivative transactions might not be available for OTC derivative transactions. For derivatives traded on an exchange or through a central counterparty, credit risk resides with the creditworthiness of the Fund s clearing broker, or the clearinghouse itself, rather than to a counterparty in an OTC derivative transaction. Changes in regulation relating to a mutual fund s use of derivatives and related instruments could potentially limit or impact the Fund s ability to invest in derivatives, limit the Fund s ability to employ certain strategies that use derivatives and/or adversely affect the value or performance of derivatives and the Fund. The Fund could lose money if the issuer or guarantor of a fixed income security, or the counterparty to a financial derivative instruments contract, repurchase agreement or a loan of portfolio securities, is unable or unwilling to make timely principal and/or interest payments, or to otherwise honor its obligations. Securities and financial derivative instruments are subject to varying degrees of credit risk, which may be reflected in credit ratings. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an institution or other entity with which the Fund has unsettled or open transactions will default. PIMCO, as the Adviser, minimizes counterparty risks to the Fund through a number of ways. Prior to entering into transactions with a new counterparty, the PIMCO Counterparty Risk Committee conducts an extensive credit review of such counterparty and must approve the use of such counterparty. Furthermore, pursuant to the terms of the underlying contract, to the extent that unpaid amounts owed to the Fund exceed a predetermined threshold, such counterparty shall advance collateral to the Fund in the form of cash or securities equal in value to the unpaid amount owed to the Fund. The Fund may invest such collateral in securities or other instruments and will typically pay interest to the counterparty on the collateral received. If the unpaid amount owed to the Fund subsequently decreases, the Fund would be required to return to the counterparty all or a portion of the collateral previously advanced. PIMCO s attempts to minimize counterparty risk may, however, be unsuccessful. All transactions in listed securities are settled/paid for upon delivery using approved counterparties. The risk of default is considered minimal, as delivery of securities sold is only made once the Fund has received payment. Payment is made on a purchase once the securities have been delivered by the counterparty. The trade will fail if either party fails to meet its obligation. 8. MASTER NETTING ARRANGEMENTS The Fund may be subject to various netting arrangements ( Master Agreements ) with select counterparties. Master Agreements govern the terms of certain transactions, and reduce the counterparty risk associated with relevant transactions by specifying credit protection mechanisms and providing standardization that improves legal certainty. Each type of Master Agreement governs certain types of transactions. Different types of transactions may be traded out of different legal entities or affiliates of a particular organization, resulting in the need for multiple agreements with a single counterparty. As the Master Agreements are specific to unique operations of different asset types, they allow the Fund to close out and net its total exposure to a counterparty in the event of a default with respect to all the transactions governed under a single Master Agreement with a counterparty. For financial reporting purposes the Statement of Assets and Liabilities generally presents derivative assets and liabilities on a gross basis, which reflects the full risks and exposures prior to netting. Master Agreements can also help limit counterparty risk by specifying collateral posting arrangements at pre-arranged exposure levels. Under most Master Agreements, collateral is routinely transferred if the total net exposure to certain transactions (net of existing collateral already in place) governed under the relevant Master Agreement with a counterparty in a given account exceeds a specified threshold, which typically ranges from zero to $250,000 depending on the counterparty and the type of Master Agreement. United States Treasury Bills and U.S. dollar cash are generally the preferred forms of collateral, although other forms of AAA rated paper or sovereign securities may be used depending on the terms outlined in the applicable Master Agreement. Securities and cash pledged as collateral are reflected as assets on the Statement of Assets and Liabilities as either a component of Investments at value (securities) or Deposits with counterparty. Cash collateral received is not typically held in a segregated account and as such is reflected as a liability on the Statement of Assets and Liabilities as Deposits from counterparty. The market value of any securities received as collateral is not reflected as a component of NAV. The Fund s overall exposure to counterparty risk can change substantially within a short period, as it is affected by each transaction subject to the relevant Master Agreement. Master Repurchase Agreements and Global Master Repurchase Agreements (individually and collectively Master Repo Agreements ) govern repurchase, reverse repurchase, and sale-buyback transactions between the Fund and select counterparties. Master Repo Agreements maintain provisions for, among other things, initiation, income payments, events of default, and maintenance of collateral. The market value of transactions under the Master Repo Agreement, collateral pledged or received, and the net exposure by counterparty as of period end are disclosed in the Notes to Schedule of Investments. Master Securities Forward Transaction Agreements ( Master Forward Agreements ) govern certain forward settling transactions, such as TBA securities, delayed-delivery or salebuyback transactions by and between the Fund and select counterparties. The Master Forward Agreements maintain provisions for, among other things, transaction initiation and confirmation, payment and transfer, events of default, termination, and maintenance of collateral. The market value of forward settling transactions, collateral pledged or received, and the net exposure by counterparty as of period end is disclosed in the Notes to Schedule of Investments. Customer Account Agreements and related addenda govern cleared derivatives transactions such as futures, options on futures, and cleared OTC derivatives. Such transactions require posting of initial margin as determined by each relevant clearing agency which is segregated in an account at a futures commission merchant ( FCM ) registered with the Commodity Futures Trading Commission ( CFTC ). In the United States, counterparty risk may be reduced as creditors of an FCM cannot have a claim to Fund assets in the segregated account. Portability of exposure reduces risk to the Fund. Variation margin, or changes in market value, are exchanged daily, but may not be netted between futures and cleared OTC derivatives unless the parties have agreed to a separate arrangement in respect of portfolio margining. The market value or accumulated unrealized appreciation (depreciation), initial margin posted, and any unsettled variation margin as of period end is disclosed in the Notes to Schedule of Investments. International Swaps and Derivatives Association, Inc. Master Agreements and Credit Support Annexes ( ISDA Master Agreements ) govern bilateral OTC derivative transactions entered into by the Fund with select counterparties. ISDA Master Agreements maintain provisions for general obligations, representations, agreements, collateral posting and events of default or termination. Events of termination include conditions that may entitle counterparties to elect to terminate early and cause settlement of all outstanding transactions under the applicable ISDA Master Agreement. Any election to terminate early could be material to the financial statements. In limited circumstances, the ISDA Master Agreement may contain additional provisions that add counterparty protection beyond coverage of existing daily exposure if the counterparty has a decline in credit quality below a predefined level. These amounts, if any, may be segregated with a third-party custodian. The market value of OTC financial derivative instruments, collateral received or pledged, and net exposure by counterparty as of period end are disclosed in the Notes to Schedule of Investments. 9. FEES AND EXPENSES (a) Trustee Fee The Fund pays the Trustee a quarterly asset-based fee calculated and payable in arrears as of the NYSE Close on the last Business Day of each calendar quarter in an amount equal to 0.07% per annum depending upon the average daily value of the Fund. 20

22 Notes to Financial Statements (Cont.) December 31, 2017 (b) Investment Advisory Fee PIMCO is a majority-owned subsidiary of Allianz Asset Management of America L.P. and serves as sub-advisor to the Fund. For its sub-advisory services to the Fund, PIMCO is paid a quarterly asset-based fee calculated and payable in arrears as of the NYSE Close on the last Business Day of each calendar quarter in an amount equal to 0.275% per annum calculated daily using the average daily value of the Fund. (c) Fund Expenses The Fund is responsible for the following expenses: (i) third party custody and third party accounting expenses; (ii) annual audit expenses; (iii) governmental fees; (iv) brokerage fees and commissions and other portfolio transaction expenses; (v) the costs of borrowing money, including interest expenses and bank overdraft charges; and (vi) extraordinary expenses, including extraordinary legal expenses, costs of litigation and indemnification expense. (d) Expense Limitation To reduce total annual Fund operating expenses, PIMCO has contractually agreed to reimburse, on a quarterly basis, the Fund for any expenses exceeding 0.05% of the daily value of the Fund, that relate directly to the operation of the Fund, including portfolio transaction, daily pricing, routine audit, custody service, tax form preparation, routine legal and other similar expenses. Expenses are paid directly by the Fund. PIMCO may recoup these waivers and reimbursements for a period not exceeding three years. The remaining recoverable amount to PIMCO at December 31, 2017 was (amounts in thousands): Expiring within 12 months months months Total $82 $221 $143 $ GUARANTEES AND INDEMNIFICATIONS Under the Fund s organizational documents, each Trustee, officer, employee or other agent of the Fund (including the Fund s investment sub-advisor) is indemnified against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the normal course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, the Fund has not had prior claims or losses pursuant to these contracts. 11. PURCHASES AND SALES OF SECURITIES Purchases and sales of securities (excluding short-term investments) for the year ended December 31, 2017, were as follows (amounts in thousands): U.S. Government/Agency All Other Purchases Sales Purchases Sales $ 3,384 $ 9,597 $ 145 $ 2, UNITS OF BENEFICIAL INTEREST The Fund may issue an unlimited number of units of beneficial interest with a $0.001 par value. The Fund may have a significant concentration of risk as certain unitholders own more than ten percent of the net assets. Such concentration of unitholders interests could have a material effect on the Fund in the event these unitholders request to withdraw substantial amounts of capital at the same time. Changes in Units of beneficial interest were as follows (units and amounts in thousands): Year Ended 12/31/2017 Shares Amount Receipts for Units sold 19,240 $ 66,206 Cost of Units redeemed (9,629) $ (34,657) Net increase resulting from Fund share transactions 9,611 $ 31,549 As of December 31, 2017, the Fund had one unaffiliated plan representing 100%, of the total outstanding units. 13. FEDERAL INCOME TAX MATTERS The Fund is intended to qualify for U.S. Federal income tax exemption under Section 501(a) of the Internal Revenue Code of 1986, as amended (or under any comparable provisions of any future legislation that amends or supersedes said provisions of the Code). Unless and until advised to the contrary the Trustee and persons dealing with the Trustee shall be entitled to assume that the Fund is so qualified and tax exempt. In accordance with U.S. GAAP, the investment advisor has reviewed the Fund s tax positions for all open tax years. As of December 31, 2017, the Fund has recorded no liability for net unrecognized tax benefits relating to uncertain income tax positions it has taken or expects to take in future tax returns. 14. SUBSEQUENT EVENTS The investment advisor has evaluated the possibility of subsequent events through the date the financial statements were issued and has determined that there are no material events that would require disclosure in the Fund s financial statements. 21

23 Glossary: (abbreviations that may be used in the preceding statements) Counterparty Abbreviations: BOS Banc of America Securities LLC GST Goldman Sachs International MYC Morgan Stanley Capital Services, Inc. BPG BNP Paribas Securities Corp. JPM JP Morgan Chase Bank N.A. SGY Societe Generale, New York BPS BNP Paribas S.A. JPS JP Morgan Securities, Inc. SOG Societe Generale BSN Bank of Nova Scotia MAC Macquarie Bank Limited SSB State Street Bank and Trust Co. CBK Citibank N.A. MBC HSBC Bank Plc TDM TD Securities (USA) LLC CIB Canadian Imperial Bank of Commerce MEI Merrill Lynch International Currency Abbreviations: USD (or $) United States Dollar Exchange Abbreviations: CBOT Chicago Board of Trade KCBT Kansas City Board of Trade OTC Over the Counter ICE IntercontinentalExchange NYMEX New York Mercantile Exchange (Unaudited) Index/Spread Abbreviations: BCOMERF Bloomberg Custom Index GOLDLNPM London Gold Market Fixing Ltd. PM PLDMLNPM London Metal Exchange Palladium BCOMF1T Bloomberg Commodity Index 1-Month Forward Total Return HSFOCO High Sulfur Fuel Oil-Brent Spread Calendar Swap SLVRLND London Silver Market Fixing Ltd. BCOMF2 Bloomberg Commodity Index 2 Months Forward HSFOEW High Sulfur Fuel Oil-East West Fuel Oil Spread Swap SPGCENP S&P GSCI Energy Official Close Index ER BCOMF3 Bloomberg Commodity Index 3 Months Forward JMABDEW2 J.P. Morgan JMABDEW2 Custom Commodity Index SPGCESP S&P Goldman Sachs Commodity Enhanced Commodity Official Close ER Index BCOMTR Bloomberg Commodity Index Total Return JMABFNJ1 J.P. Morgan FNJ 1 Index SPGCESTR S&P Goldman Sachs Commodity Enhanced Commodity Official Close Total Return Index CMDSKEWLS CBEO SKEW Index is an index derived from the price of S&P 500 tail risk MEHCL Myanmar Economic Holdings Company Ltd. SPGCIAP S&P GSCI Aluminum ER COCL ICE BofAML Large Cap Contingent Capital Index NAPGASFO Naphtha Fuel Oil Spread SPGCICP S&P Goldman Sachs Commodity Copper Excess Return Index EUR5050 European 50/50 Refining Margin OREXIO Iron Ore Spread SPGCINP S&P GSCI Industrial Metals ER EURMARGIN European Refined Margin PIMCODB PIMCO Custom Commodity Basket US0003M 3 Month USD Swap Rate EURSIMP Weighted Basket of Refined Products PLATGOLD Platinum-Gold Spread WCS Western Canadian Select Other Abbreviations: BRENT Brent Crude RBOB Reformulated Blendstock for Oxygenate Blending ULSD Ultra-Low Sulfur Diesel LLS Light Louisiana Sweet Crude TBA To-Be-Announced WTI West Texas Intermediate oz. Ounce 22

24 Report of Independent Auditors To the Trustee of PIMCO CommoditiesPLUS Trust II We have audited the accompanying financial statements of PIMCO CommoditiesPLUS Trust II (the Fund ), which comprise the statement of assets and liabilities, including the schedule of investments, as of December 31, 2017 and the related statements of operations and of changes in net assets and the financial highlights for the year then ended. These financial statements and financial highlights are hereafter collectively referred to as "financial statements". Management s Responsibility for the Financial Statements Management is responsible for the preparation and fair presentation of the financial statements in accordance with accounting principles generally accepted in the United States of America; this includes the design, implementation and maintenance of internal control relevant to the preparation and fair presentation of financial statements that are free from material misstatement, whether due to fraud or error. Auditors Responsibility Our responsibility is to express an opinion on the financial statements based on our audit. We conducted our audit in accordance with auditing standards generally accepted in the United States of America. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free from material misstatement. An audit involves performing procedures to obtain audit evidence about the amounts and disclosures in the financial statements. The procedures selected depend on our judgment, including the assessment of the risks of material misstatement of the financial statements, whether due to fraud or error. In making those risk assessments, we consider internal control relevant to the Fund s preparation and fair presentation of the financial statements in order to design audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Fund s internal control. Accordingly, we express no such opinion. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of significant accounting estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that the audit evidence we have obtained is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements referred to above present fairly, in all material respects, the financial position of PIMCO CommoditiesPLUS Trust II as of December 31, 2017, and the results of its operations, changes in its net assets and the financial highlights for the year then ended, in accordance with accounting principles generally accepted in the United States of America. March 15, 2018 PricewaterhouseCoopers LLP, 1100 Walnut Street, Suite 1300, Kansas City, MO T: (816) , F: (813) ,