Annual Report December 31, 2017

Transcription

1 PIMCO Canada Corp. Annual Report December 31, 2017 PIMCO Canadian Short Term Bond Fund PIMCO Canadian Total Return Bond Fund PIMCO Monthly Income Fund (Canada) PIMCO Global Advantage Strategy Bond Fund (Canada) PIMCO Unconstrained Bond Fund (Canada) PIMCO Investment Grade Credit Fund (Canada) PIMCO Balanced Income Fund (Canada) You can get a copy of the Funds Management Report of Fund Performance or Simplified Prospectus at your request, and at no cost, by calling or by writing to us at PIMCO Canada Corp. 199 Bay Street, Suite 2050, Commerce Court Station, P.O. Box 363, Toronto, Ontario, M5L 1G2 or by visiting our website at or SEDAR at Securityholders may also contact us using one of these methods to request a copy of the investment fund s proxy voting policies and procedures, proxy voting disclosure record, or quarterly portfolio disclosure.

2 Table of Contents Page Management s Responsibility for Financial Reporting 1 Independent Auditor s Report 2 PIMCO Canadian Short Term Bond Fund Statements of Financial Position 3 Statements of Comprehensive Income 4 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 5 Statements of Cash Flows 6 Schedule of Investment Portfolio 7 Fund Specific Notes to Financial Statements 11 PIMCO Canadian Total Return Bond Fund Statements of Financial Position 18 Statements of Comprehensive Income 19 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 20 Statements of Cash Flows 21 Schedule of Investment Portfolio 22 Fund Specific Notes to Financial Statements 28 PIMCO Monthly Income Fund (Canada) Statements of Financial Position 35 Statements of Comprehensive Income 36 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 38 Statements of Cash Flows 40 Schedule of Investment Portfolio 41 Fund Specific Notes to Financial Statements 69 PIMCO Global Advantage Strategy Bond Fund (Canada) Statements of Financial Position 82 Statements of Comprehensive Income 83 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 84 Statements of Cash Flows 86 Schedule of Investment Portfolio 87 Fund Specific Notes to Financial Statements 102 PIMCO Unconstrained Bond Fund (Canada) Statements of Financial Position 112 Statements of Comprehensive Income 113 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 114 Statements of Cash Flows 116 Schedule of Investment Portfolio 117 Fund Specific Notes to Financial Statements 126 PIMCO Investment Grade Credit Fund (Canada) Statements of Financial Position 134 Statements of Comprehensive Income 135 Statements of Changes in Net Assets Attributable Holders of Redeemable Units 136 Statements of Cash Flows 138 Schedule of Investment Portfolio 139 Fund Specific Notes to Financial Statements 153 PIMCO Balanced Income Fund (Canada) Statements of Financial Position 162 Statements of Comprehensive Income 163 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units 164 Statements of Cash Flows 166 Schedule of Investment Portfolio 167 Fund Specific Notes to Financial Statements 182 Notes to Financial Statements 191 Glossary 204 General Information 205

3 Management s Responsibility for Financial Reporting March 16, 2018 The accompanying financial statements of the Funds (as defined in Note 1 to the financial statements) have been prepared by PIMCO Canada Corp (the Manager ). The Manager of the Funds is responsible for the information and representations contained in these financial statements. The Manager maintains appropriate processes to ensure that relevant and reliable financial information is produced. The financial statements have been prepared in accordance with International Financial Reporting Standards and include certain amounts that are based on estimates and judgments made by the Manager. The significant accounting policies which management believes are appropriate for the Funds are described in Note 3 to the financial statements. PricewaterhouseCoopers LLP are the external auditors of the Funds and their report follows. They have audited the financial statements in accordance with International Financial Reporting Standards to enable them to express to the unitholders their opinion on the financial statements. Stuart Graham President, acting in the capacity of Chief Executive Officer PIMCO Canada Corp. ANNUAL REPORT DECEMBER 31,

4 Independent Auditor s Report To the Unitholders and Trustee of PIMCO Canadian Short Term Bond Fund PIMCO Canadian Total Return Bond Fund PIMCO Monthly Income Fund (Canada) PIMCO Global Advantage Strategy Bond Fund (Canada) PIMCO Unconstrained Bond Fund (Canada) PIMCO Investment Grade Credit Fund (Canada) PIMCO Balanced Income Fund (Canada) (collectively the Funds) We have audited the accompanying December 31, 2017 annual financial statements of each of the Funds, which comprise the statements of financial position, comprehensive income, changes in net assets attributable to holders of redeemable units, and cash flows as at and for the periods indicated in Note 1, and the related notes, which comprise a summary of significant accounting policies and other explanatory information. Management s responsibility for the financial statements Management is responsible for the preparation and fair presentation of the financial statements of each of the Funds in accordance with International Financial Reporting Standards, and for such internal control as management determines is necessary to enable the preparation of financial statements that are free from material misstatement, whether due to fraud or error. Auditor s responsibility Our responsibility is to express an opinion on the financial statements of each of the Funds based on our audits. We conducted our audits in accordance with Canadian generally accepted auditing standards. Those standards require that we comply with ethical requirements and 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 the auditor s 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, the auditor considers internal control relevant to the entity 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 entity s internal control. An audit also includes evaluating the appropriateness of accounting policies used and the reasonableness of 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 in each of our audits is sufficient and appropriate to provide a basis for our audit opinion. Opinion In our opinion, the financial statements of each of the Funds present fairly, in all material respects, the financial position, financial performance and cash flows of each of the Funds as at and for the periods indicated in Note 1 in accordance with International Financial Reporting Standards. Chartered Professional Accountants, Licensed Public Accountants Toronto, Ontario March 16, PIMCO CANADA CORP.

5 Statements of Financial Position PIMCO Canadian Short Term Bond Fund (Amounts in thousands*, except per unit amounts) 12/31/ /31/2016 Assets: Current Assets: Investments, at fair value Investments in securities $ 26,669 $ 37,060 Financial Derivative Instruments Exchange-traded or centrally cleared Over the counter Cash Deposits with counterparties Foreign currency Receivable for investments sold 9,004 2,632 Receivable for units sold Interest and/or dividends receivable ,865 40,717 Liabilities: Current Liabilities: Financial Derivative Instruments Exchange-traded or centrally cleared 5 39 Over the counter Payable for investments purchased 12,258 4,011 Payable for units redeemed 26 8 Accrued management fees ,352 4,164 Net Assets Attributable to Holders of Redeemable Units $ 24,513 $ 36,553 Net Assets Attributable to Holders of Redeemable Units - Series A $ 6,940 $ 9,234 Number of Redeemable Units - Series A Net Assets Attributable to Holders of Redeemable Units per Unit - Series A $ $ Net Assets Attributable to Holders of Redeemable Units - Series F $ 3,765 $ 7,138 Number of Redeemable Units - Series F Net Assets Attributable to Holders of Redeemable Units per Unit - Series F $ $ Net Assets Attributable to Holders of Redeemable Units - Series I $ 1 $ 1 Number of Redeemable Units - Series I N/A N/A Net Assets Attributable to Holders of Redeemable Units per Unit - Series I $ 8.66 $ 8.88 Net Assets Attributable to Holders of Redeemable Units - Series M $ 7,167 $ 12,019 Number of Redeemable Units - Series M 704 1,160 Net Assets Attributable to Holders of Redeemable Units per Unit - Series M $ $ Net Assets Attributable to Holders of Redeemable Units - Series O $ 6,640 $ 8,161 Number of Redeemable Units - Series O Net Assets Attributable to Holders of Redeemable Units per Unit - Series O $ $ Includes reverse repurchase agreements of: $ 1,200 $ 1,900 * A zero balance may reflect actual amounts rounding to less than one thousand. The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

6 Statements of Comprehensive Income PIMCO Canadian Short Term Bond Fund (Amounts in thousands*, except per unit amounts) Year Ended 12/31/2017 Year Ended 12/31/2016 Income: Net Gain (Loss) on Investments and Derivatives Interest for distribution purposes $ 847 $ 1,126 Derivative income (loss) (46) (131) Net realized gain (loss) on sale of investments Net realized gain (loss) on exchange-traded or centrally cleared financial derivative instruments 342 (715) Net realized gain (loss) on over the counter financial derivative instruments Net change in unrealized appreciation (depreciation) on investments (753) (741) Net change in unrealized appreciation (depreciation) on exchange-traded or centrally cleared financial derivative instruments (389) 830 Net change in unrealized appreciation (depreciation) on over the counter financial derivative instruments (37) 235 Net Gain (Loss) on Investments and Financial Derivative Instruments Other Income (Loss) Net realized gain (loss) on foreign currency transactions Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 81 (36) Other Income (Loss) Total Income (Loss) Expenses: Management fees IRC fees 1 0 Interest expense 0 1 Total Expenses Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 39 $ 507 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Series Series A $ (11) $ 117 Series F Series I 0 51 Series M Series O (5) 109 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Unit Series A $ (0.01) $ 0.11 Series F Series I Series M Series O (0.01) 0.12 * A zero balance may reflect actual amounts rounding to less than one thousand. 4 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

7 Statements of Changes in Net Assets Attributable to Holders of Redeemable Units PIMCO Canadian Short Term Bond Fund (Amounts in thousands*) Year Ended 12/31/2017 Series A Series F Series I Series M Series O Total Net Assets Attributable to Holders of Redeemable Units at the Beginning of the Period $ 9,234 $ 7,138 $ 1 $ 12,019 $ 8,161 $ 36,553 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units (11) 22 (0) 33 (5) 39 Distributions to Holders of Redeemable Units: From net investment income (122) (127) (0) (205) (111) (565) Total Distributions to Holders of Redeemable Units (122) (127) (0) (205) (111) (565) Redeemable Unit Transactions: Proceeds from sale of redeemable units 3,402 4, ,917 1,765 16,739 Issued as reinvestment of distributions to holders of redeemable units Cost of redeemable units redeemed (5,673) (8,039) 0 (11,795) (3,278) (28,785) Net Increase (Decrease) from Redeemable Unit Transactions (2,161) (3,268) 0 (4,680) (1,405) (11,514) Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units for the Period (2,294) (3,373) 0 (4,852) (1,521) (12,040) Net Assets Attributable to Holders of Redeemable Units at the End of the Period $ 6,940 $ 3,765 $ 1 $ 7,167 $ 6,640 $ 24,513 Redeemable Unit Transactions Redeemable units sold N/A Issued as reinvestment of distributions N/A Redeemable units redeemed (552) (776) 0 (1,143) (320) N/A Net Increase (Decrease) Resulting from Redeemable Unit Transactions (211) (317) 0 (456) (137) N/A Redeemable Units - Beginning of Period , N/A Redeemable Units - End of Period N/A Year Ended 12/31/2016 Series A Series F Series I Series M Series O Total Net Assets Attributable to Holders of Redeemable Units at the Beginning of the Period $ 12,926 $ 9,072 $ 8,376 $ 4,802 $ 12,032 $ 47,208 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Distributions to Holders of Redeemable Units: From net investment income (159) (127) (56) (177) (150) (669) Total Distributions to Holders of Redeemable Units (159) (127) (56) (177) (150) (669) Redeemable Unit Transactions: Proceeds from sale of redeemable units 3,332 8, ,523 2,789 26,855 Issued as reinvestment of distributions to holders of redeemable units Cost of redeemable units redeemed (7,125) (10,214) (8,426) (5,441) (6,762) (37,968) Net Increase (Decrease) From Redeemable Unit Transactions (3,650) (1,892) (8,370) 7,249 (3,830) (10,493) Net Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units for the Period (3,692) (1,934) (8,375) 7,217 (3,871) (10,655) Net Assets Attributable to Holders of Redeemable Units at the End of the Period $ 9,234 $ 7,138 $ 1 $ 12,019 $ 8,161 $ 36,553 Redeemable Unit Transactions Redeemable units sold , N/A Issued as reinvestment of distributions N/A Redeemable units redeemed (686) (981) (931) (521) (657) N/A Net Increase (Decrease) Resulting from Unitholder Transactions (351) (182) (925) 698 (372) N/A Redeemable Units - Beginning of Period 1, ,166 N/A Redeemable Units - End of Period , N/A * A zero balance may reflect actual amounts rounding to less than one thousand. The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

8 Statements of Cash Flows PIMCO Canadian Short Term Bond Fund (Amounts in thousands*) Cash Flows from (Used for) Operating Activities: Year Ended 12/31/2017 Year Ended 12/31/2016 Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 39 $ 507 Adjustments to Reconcile Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units to Net Cash from (Used for) Operating Activities: Purchases of securities (276,514) (213,342) Proceeds from sales of securities 288, ,971 Deposits with counterparties Interest and/or dividends receivable Proceeds from (Payments on) exchange-traded or centrally cleared financial derivative instruments (73) 129 Proceeds from (Payments on) over the counter financial derivative instruments Accrued management fees (12) (10) Proceeds from (Payments on) foreign currency transactions Net realized (gain) loss on sale of investments (74) (134) Net realized (gain) loss on exchange-traded or centrally cleared financial derivative instruments (342) 715 Net realized (gain) loss on over the counter financial derivative instruments (126) (49) Net realized (gain) loss on foreign currency transactions (37) (94) Net change in unrealized (appreciation) depreciation on investments Net change in unrealized (appreciation) depreciation on exchange-traded or centrally cleared financial derivative instruments 389 (830) Net change in unrealized (appreciation) depreciation on over the counter financial derivative instruments 37 (235) Net change in unrealized (appreciation) depreciation on translation of assets and liabilities denominated in foreign currencies (81) 36 Net amortization (accretion) on investments (8) (5) Net Cash from (Used for) Operating Activities 12,574 10,979 Cash Flows from (Used for) Financing Activities: Proceeds from sale of redeemable units 16,244 26,851 Payments on redeemable units redeemed (28,767) (37,967) Cash distributions paid to Holders of Redeemable Units (33) (50) Proceeds from sale-buyback transactions 0 2,591 Payments on sale-buyback transactions 0 (2,591) Net Cash from (Used for) Financing Activities (12,556) (11,166) Net Increase (Decrease) in Cash and Foreign Currency 18 (187) Cash and Foreign Currency: Beginning of year Foreign exchange gain (loss) on cash (1) 2 End of year $ 313 $ 296 Supplemental Disclosure of Cash Flow Information: Interest expense paid from financing activities $ 0 $ 1 Interest received, net of foreign withholding taxes from operating activities $ 949 $ 1,187 Dividends received, net of foreign withholding taxes from operating activities $ 0 $ 0 * A zero balance may reflect actual amounts rounding to less than one thousand. 6 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

9 Schedule of Investment Portfolio PIMCO Canadian Short Term Bond Fund December 31, 2017 INVESTMENTS IN SECURITIES 108.8% CANADA 71.7% FEDERAL GOVERNMENT SECURITIES 14.7% Canada Housing Trust 1.150% due 12/15/2021 $ 200 $ 194 $ % due 12/15/ % due 06/15/ % due 06/15/ Canadian Government Real Return Bond 4.250% due 12/01/2026 (c) 1,490 2,111 1,999 CPPIB Capital, Inc % due 01/15/ PSP Capital, Inc % due 06/21/ % due 10/22/ ,721 3,599 PROVINCIAL SECURITIES 17.0% Province of Alberta 1.250% due 06/01/ Province of Ontario 2.850% due 06/02/2023 1,350 1,434 1, % due 06/02/ Province of Quebec 3.500% due 12/01/ % due 09/01/ % due 12/01/ % due 12/01/ ,305 4,169 CORPORATE BONDS & NOTES 37.1% Bank of Montreal 1.610% due 10/28/ % due 07/11/ % due 06/01/2026 (d) Bank of Nova Scotia 2.242% due 03/22/ % due 01/13/ Canadian Imperial Bank of Commerce 2.300% due 07/11/ % due 12/05/ Canadian Natural Resources Ltd % due 06/01/ Caterpillar Financial Services Ltd % due 06/01/ Choice Properties LP 3.600% due 09/20/ Daimler Canada Finance, Inc % due 12/16/ Enbridge, Inc % due 12/05/ Encana Corp % due 05/15/2019 USD Federation des Caisses Desjardins du Quebec 2.091% due 01/17/2022 $ % due 08/25/ Ford Credit Canada Co % due 09/16/ HCN Canadian Holdings LP 3.350% due 11/25/ Honda Canada Finance, Inc % due 06/07/2019 $ 100 $ 100 $ 101 HSBC Bank Canada 2.170% due 06/29/ % due 05/13/ John Deere Canada Funding, Inc % due 09/21/ Manufacturers Life Insurance Co % due 01/15/ % due 11/22/ Master Credit Card Trust 2.723% due 11/21/ Nissan Canada Financial Services, Inc % due 04/09/ Royal Bank of Canada 1.920% due 07/17/ % due 03/15/ % due 07/17/2024 (d) Sobeys, Inc % due 08/08/ Sun Life Financial, Inc % due 09/19/ TELUS Corp % due 03/27/ Toronto-Dominion Bank 1.994% due 03/23/ Toyota Credit Canada, Inc % due 07/18/ ,146 9,100 NON-AGENCY MORTGAGE-BACKED SECURITIES 2.9% Canadian Mortgage Pools 1.420% due 06/01/ % due 07/01/ % due 08/01/ CMLS Issuer Corp % due 12/12/ Total Canada 17,871 17,571 FRANCE 1.1% CORPORATE BONDS & NOTES 1.1% Credit Agricole S.A % due 09/19/2033 (d) USD Total France GERMANY 2.9% CORPORATE BONDS & NOTES 2.9% Deutsche Bank AG 4.250% due 10/14/2021 USD Kreditanstalt fuer Wiederaufbau 5.050% due 02/04/2025 $ Total Germany ITALY 0.0% NON-AGENCY MORTGAGE-BACKED SECURITIES 0.0% Marche Mutui SRL 1.919% due 01/27/2064 EUR Total Italy 2 2 The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

10 Schedule of Investment Portfolio PIMCO Canadian Short Term Bond Fund (Cont.) SOUTH KOREA 1.6% SOVEREIGN ISSUES 1.6% Export-Import Bank of Korea 1.927% due 02/24/2020 $ 200 $ 200 $ % due 12/05/ Total South Korea UNITED KINGDOM 4.2% CORPORATE BONDS & NOTES 3.6% Aviva PLC 4.500% due 05/10/2021 $ Barclays Bank PLC 7.750% due 04/10/2023 (d) USD Lloyds Bank PLC 4.875% due 03/30/2027 GBP Tesco Property Finance PLC 5.744% due 04/13/ NON-AGENCY MORTGAGE-BACKED SECURITIES 0.6% Newgate Funding PLC 0.680% due 12/01/ Total United Kingdom 971 1,044 UNITED STATES 17.5% ASSET-BACKED SECURITIES 0.9% CIT Mortgage Loan Trust 2.902% due 10/25/2037 USD Structured Asset Investment Loan Trust 2.252% due 11/25/ CORPORATE BONDS & NOTES 3.9% AT&T, Inc % due 05/25/2024 $ Goldman Sachs Group, Inc % due 04/26/ % due 10/31/ International Lease Finance Corp % due 09/01/2018 USD Morgan Stanley 3.000% due 02/07/2024 $ 100 $ 100 $ 99 Wells Fargo & Co % due 10/27/ NON-AGENCY MORTGAGE-BACKED SECURITIES 0.4% Citigroup Mortgage Loan Trust 2.821% due 08/25/2035 USD U.S. GOVERNMENT AGENCIES 12.3% Fannie Mae 3.000% due 04/01/ Fannie Mae, TBA 3.500% due 03/01/2048 1,100 1,447 1,416 Freddie Mac, TBA 4.000% due 02/01/2048 1,100 1,467 1,445 3,043 3,023 Total United States 4,272 4,287 SHORT-TERM INSTRUMENTS 9.8% REVERSE REPURCHASE AGREEMENTS (e) 4.9% 1,200 1,200 CANADA TREASURY BILLS 4.9% 0.847% due 02/08/2018 (a)(b) $ % due 02/08/2018 (a)(b) % due 02/08/2018 (a)(b) % due 02/08/2018 (a)(b) % due 02/08/2018 (a)(b) % due 02/08/2018 (a)(b) % due 03/08/2018 (a)(b) ,199 1,198 Total Short-Term Instruments 2,399 2,398 Total Investments in Securities 26,900 26,669 Total Investments 108.8% $ 26,900 $ 26,669 Financial Derivative Instruments (f)(g) (0.0)% 3 6 Liabilities Less Other Assets (8.8)% (2,162) Total Net Assets Attributable to Holders of Redeemable Units 100.0% $ 24,513 (Amounts in thousands*, except number of contracts): * A zero balance may reflect actual amounts rounding to less than one thousand. (a) Zero coupon security. (b) Coupon represents a yield to maturity. (c) Principal amount of security is adjusted for inflation. (d) Contingent convertible security. 8 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

11 December 31, 2017 BORROWINGS AND OTHER FINANCING TRANSACTIONS (e) REVERSE REPURCHASE AGREEMENTS: Reverse Repurchase Agreements, at Value Reverse Repurchase Agreement Proceeds to be Received (1) Counterparty Lending Rate Settlement Date Maturity Date Principal Amount Collateralized By Collateral (Received) RBC 1.000% 12/29/ /02/2018 $ 1,200 Province of Alberta Canada 2.200% due 06/01/2026 $ (1,224) $ 1,200 $ 1,200 Total Reverse Repurchase Agreements $ (1,224) $ 1,200 $ 1,200 (1) Includes accrued interest. See Fund Specific Notes to Financial Statements for the summary by counterparty of the fair value of Borrowings and Other Financing Transactions and collateral pledged/(received). (f) FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED FUTURES CONTRACTS: Description Type Expiration Month #of Contracts Unrealized Appreciation/ (Depreciation) Variation Margin Asset Liability Canada Government 10-Year Bond March Futures Short 03/ $ 2 $ 1 $ 0 Euro-Bund 10-Year Bond March Futures Short 03/ United Kingdom Long Gilt March Futures Short 03/ (2) 0 0 Total Futures Contracts $ 3 $ 2 $ 0 SWAP AGREEMENTS: INTEREST RATE SWAPS Pay/Receive Floating Rate Fixed Rate Maturity Date Notional Amount Fair Value Unrealized Appreciation/ (Depreciation) Variation Margin Asset Liability Floating Rate Index Pay 3-Month CAD-Bank Bill 1.450% 12/13/2019 $ 13,800 $ (155) $ (58) $ 0 $ (3) Pay 3-Month CAD-Bank Bill /14/ (23) (7) 0 (2) Receive 3-Month CAD-Bank Bill /16/2026 1, Receive 3-Month CAD-Bank Bill /16/2026 2, Receive 3-Month USD-LIBOR /21/2020 USD Receive 3-Month USD-LIBOR /21/ Receive 3-Month USD-LIBOR /20/ (4) Receive 6-Month EUR-EURIBOR /21/2048 EUR (2) 1 0 Receive 6-Month GBP-LIBOR /21/2028 GBP 400 (13) (8) 1 0 $ (57) $ (41) $ 15 $ (5) Total Swap Agreements $ (57) $ (41) $ 15 $ (5) See Fund Specific Notes to Financial Statements for the summary by counterparty of the fair value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments. (g) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER FORWARD FOREIGN CURRENCY CONTRACTS: Settlement Month Currency to be Delivered Currency to be Received Unrealized Appreciation/ (Depreciation) Asset Liability Counterparty BOA 01/2018 BRL 160 USD 48 $ 0 $ 0 01/2018 USD 49 BRL (1) 03/ CNY BPS 03/2018 IDR 206,445 USD /2018 USD 52 PEN CBK 02/2018 $ 49 USD 38 0 (1) 02/2018 ILS /2018 USD 1,280 $ 1, /2018 USD 65 INR 4, The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

12 Schedule of Investment Portfolio PIMCO Canadian Short Term Bond Fund (Cont.) December 31, 2017 Counterparty Settlement Month Currency to be Delivered Currency to be Received Unrealized Appreciation/ (Depreciation) Asset Liability GLM 01/2018 BRL 160 USD 48 $ 0 $ 0 01/2018 TRY (1) 01/2018 USD 48 BRL /2018 ARS 400 USD /2018 $ 120 GBP 69 0 (3) 02/ USD 58 0 (2) 02/2018 EUR 37 $ /2018 USD 22 ARS (1) 02/ BRL / $ /2018 CNH 47 USD /2018 IDR 368, /2018 INR (1) 03/2018 USD 66 MYR HUS 02/2018 GBP 7 $ /2018 USD JPM 01/ TRY /2018 EUR 10 $ /2018 USD / INR MSB 01/ MXN 1,621 0 (5) 03/2018 KRW 18,399 USD NAB 02/2018 AUD 62 $ 60 0 (1) 02/2018 $ 131 SEK (1) 02/2018 EUR 40 $ /2018 JPY 3, RBC 02/2018 $ 80 EUR / SEK / USD (8) 02/2018 EUR 142 $ /2018 USD SCX 01/ IDR 875, /2018 GBP 289 $ (8) 03/2018 SGD 124 USD 92 0 (1) UAG 02/2018 $ (8) 03/2018 MYR (3) Total Forward Foreign Currency Contracts $ 38 $ (45) SWAP AGREEMENTS: CROSS-CURRENCY SWAPS Notional Amount of Currency Received Notional Amount of Currency Delivered Unrealized Appreciation/ (Depreciation) Maturity Premiums Swap Agreements, at Value Counterparty Receive Pay Date (1) Paid/(Received) Asset Liability RBC Floating rate equal to Floating rate equal to 3-Month CAD-LIBOR 3-Month USD-LIBOR less 0.039% based on the based on the notional amount of notional amount of currency received currency delivered 05/15/2018 $ 39 USD 31 $ 3 $ (2) $ 1 $ 0 Total Swap Agreements $ 3 $ (2) $ 1 $ 0 (1) At the maturity date, the notional amount of the currency received will be exchanged back for the notional amount of the currency delivered. See Fund Specific Notes to Financial Statements for the summary by counterparty of the fair value and variation margin of OTC financial derivative instruments and collateral pledged/(received). 10 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

13 Fund Specific Notes to Financial Statements PIMCO Canadian Short Term Bond Fund December 31, 2017 (Amounts in thousands*) * A zero balance may reflect actual amounts rounding to less than one thousand. BORROWINGS AND OTHER FINANCING TRANSACTIONS SUMMARY The following is a summary by counterparty of the fair value of Borrowings and Other Financing Transactions and collateral pledged/(received) as at December 31, 2017: Counterparty Reverse Repurchase Agreement Proceeds to be Received (1) Payable for Repurchase Agreements Payable for Sale-Buyback Transactions Total Borrowings and Other Financing Transactions Collateral Pledged/ (Received) Net Exposure (2) Global/Master Repurchase Agreement RBC $ 1,200 $ 0 $ 0 $ 1,200 $ (1,224) $ (24) Total Borrowings and Other Financing Transactions (3) $ 1,200 $ 0 $ 0 The following is a summary by counterparty of the fair value of Borrowings and Other Financing Transactions and collateral pledged/(received) as at December 31, 2016: Counterparty Reverse Repurchase Agreement Proceeds to be Received (1) Payable for Repurchase Agreements Payable for Sale-Buyback Transactions Total Borrowings and Other Financing Transactions Collateral Pledged/ (Received) Net Exposure (2) Global/Master Repurchase Agreement RBC $ 1,900 $ 0 $ 0 $ 1,900 $ (1,954) $ (54) Total Borrowings and Other Financing Transactions (3) $ 1,900 $ 0 $ 0 (1) Includes accrued interest. (2) 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 9, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. (3) The amount of borrowings ranged between $0 and $0 for the period ended December 31, 2017 (December 31, $0 and $867). FINANCIAL DERIVATIVE INSTRUMENTS: EXCHANGE-TRADED OR CENTRALLY CLEARED SUMMARY The following is a summary of the fair value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as at December 31, 2017: Financial Derivative Assets Variation Margin Fair Value Asset Financial Derivative Liabilities Variation Margin Fair Value Liability Purchased Options Futures Swap Agreements Total Written Options Futures Swap Agreements Total Total Exchange-Traded or Centrally Cleared $ 0 $ 2 $ 15 $ 17 $ 0 $ 0 $ (5) $ (5) The following is a summary of the fair value and variation margin of Exchange-Traded or Centrally Cleared Financial Derivative Instruments as at December 31, 2016: Financial Derivative Assets Variation Margin Fair Value Asset Financial Derivative Liabilities Variation Margin Fair Value Liability Purchased Swap Written Swap Options Futures Agreements Total Options Futures Agreements Total Total Exchange-Traded or Centrally Cleared $ 0 $ 3 $ 22 $ 25 $ 0 $ (8) $ (31) $ (39) The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

14 Fund Specific Notes to Financial Statements PIMCO Canadian Short Term Bond Fund (Cont.) FINANCIAL DERIVATIVE INSTRUMENTS: OVER THE COUNTER SUMMARY The following is a summary by counterparty of the fair value of OTC financial derivative instruments and collateral pledged/(received) as at December 31, 2017: Counterparty Forward Foreign Currency Contracts Financial Derivative Assets Purchased Options Swap Agreements Total Over the Counter Forward Foreign Currency Contracts Financial Derivative Liabilities Written Options Swap Agreements Total Over the Counter Net Fair Value of OTC Derivatives Collateral Pledged/ (Received) Net Exposure (1) BOA $ 2 $ 0 $ 0 $ 2 $ (1) $ 0 $ 0 $ (1) $ 1 $ 0 $ 1 BPS CBK (1) 0 0 (1) GLM (8) 0 0 (8) (3) 0 (3) HUS JPM MSB (5) 0 0 (5) (5) 0 (5) NAB (2) 0 0 (2) (1) 0 (1) RBC (8) 0 0 (8) SCX (9) 0 0 (9) (9) 0 (9) UAG (11) 0 0 (11) (11) 0 (11) Total Over the Counter $ 38 $ 0 $ 1 $ 39 $ (45) $ 0 $ 0 $ (45) The following is a summary by counterparty of the fair value of OTC financial derivative instruments and collateral pledged/(received) as at December 31, 2016: Counterparty Forward Foreign Currency Contracts Financial Derivative Assets Purchased Options Swap Agreements Total Over the Counter Forward Foreign Currency Contracts Financial Derivative Liabilities Written Options Swap Agreements Total Over the Counter Net Fair Value of OTC Derivatives Collateral Pledged/ (Received) Net Exposure (1) BOA $ 6 $ 0 $ 0 $ 6 $ (1) $ (4) $ 0 $ (5) $ 1 $ 0 $ 1 CBK (22) 0 0 (22) (22) 0 (22) FBF (2) 0 0 (2) (2) 0 (2) GLM (7) 0 (7) (2) 0 (2) JPM (8) 0 0 (8) RBC (1) 0 0 (1) SCX (4) 0 0 (4) SOG (19) 0 0 (19) (19) 0 (19) TOR (8) 0 0 (8) Total Over the Counter $ 95 $ 0 $ 0 $ 95 $ (65) $ (11) $ 0 $ (76) (1) 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 9, Master Netting Arrangements, in the Notes to Financial Statements for more information regarding master netting arrangements. MEASUREMENTS The following is a summary of the fair valuations according to the inputs used as at December 31, 2017 in valuing the Fund s assets and liabilities: Category and Subcategory Level 1 Level 2 Level 3 Fair Value at 12/31/2017 Investments in Securities, at Value Canada Federal Government Securities $ 0 $ 3,599 $ 0 $ 3,599 Provincial Securities 0 4, ,169 Corporate Bonds & Notes 0 9, ,100 Non-Agency Mortgage-Backed Securities France Corporate Bonds & Notes Germany Corporate Bonds & Notes Italy Non-Agency Mortgage-Backed Securities South Korea Sovereign Issues United Kingdom Corporate Bonds & Notes Non-Agency Mortgage-Backed Securities United States Asset-Backed Securities Corporate Bonds & Notes Non-Agency Mortgage-Backed Securities U.S. Government Agencies 0 3, , PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

15 December 31, 2017 Category and Subcategory Level 1 Level 2 Level 3 Fair Value at 12/31/2017 Short-Term Instruments Reverse Repurchase Agreements $ 0 $ 1,200 $ 0 $ 1,200 Canada Treasury Bills 0 1, ,198 Total Investments $ 0 $ 26,669 $ 0 $ 26,669 Financial Derivative Instruments - Assets Exchange-traded or centrally cleared Over the counter $ 2 $ 54 $ 0 $ 56 Financial Derivative Instruments - Liabilities Exchange-traded or centrally cleared 0 (5) 0 (5) Over the counter 0 (45) 0 (45) $ 0 $ (50) $ 0 $ (50) Total Financial Derivative Instruments $ 2 $ 4 $ 0 $ 6 Totals $ 2 $ 26,673 $ 0 $ 26,675 The following is a summary of the fair valuations according to the inputs used as at December 31, 2016 in valuing the Fund s assets and liabilities: Category and Subcategory Level 1 Level 2 Level 3 Fair Value at 12/31/2016 Investments in Securities, at Value Brazil Corporate Bonds & Notes $ 0 $ 136 $ 0 $ 136 Canada Federal Government Securities 0 6, ,055 Provincial Securities 0 8, ,529 Asset-Backed Securities 0 1, ,163 Corporate Bonds & Notes 0 11, ,044 Non-Agency Mortgage-Backed Securities France Corporate Bonds & Notes Germany Corporate Bonds & Notes Italy Non-Agency Mortgage-Backed Securities Japan Corporate Bonds & Notes Switzerland Corporate Bonds & Notes United Kingdom Corporate Bonds & Notes 0 1, ,875 Non-Agency Mortgage-Backed Securities United States Corporate Bonds & Notes 0 2, ,333 Non-Agency Mortgage-Backed Securities U.S. Government Agencies 0 1, ,525 Short-Term Instruments Reverse Repurchase Agreements 0 1, ,900 Canada Treasury Bills Total Investments $ 0 $ 37,060 $ 0 $ 37,060 Financial Derivative Instruments - Assets Exchange-traded or centrally cleared Over the counter $ 3 $ 117 $ 0 $ 120 Financial Derivative Instruments - Liabilities Exchange-traded or centrally cleared (8) (31) 0 (39) Over the counter 0 (76) 0 (76) $ (8) $ (107) $ 0 $ (115) Total Financial Derivative Instruments $ (5) $ 10 $ 0 $ 5 Totals $ (5) $ 37,070 $ 0 $ 37,065 There were no significant transfers between Levels 1, 2 or 3 during the periods ended December 31, 2017 and December 31, The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

16 Fund Specific Notes to Financial Statements PIMCO Canadian Short Term Bond Fund (Cont.) PORTFOLIO CONCENTRATION The Fund s investment portfolio is concentrated in the following segments as at: Investments, at fair value 12/31/ /31/2016 Brazil 0.0% 0.4% Canada 71.7% 73.8% France 1.1% 0.8% Germany 2.9% 1.6% Italy 0.0% 0.1% Japan 0.0% 0.8% South Korea 1.6% 0.0% Switzerland 0.0% 0.7% United Kingdom 4.2% 5.5% United States 17.5% 10.9% Short-Term Instruments 9.8% 6.8% Financial Derivative Instruments 0.0% 0.0% Liabilities Less Other Assets (8.8)% (1.4)% Total (% of Net Assets) 100.0% 100.0% FINANCIAL INSTRUMENT RISK FOREIGN CURRENCY RISK The following tables summarize the total exposure to foreign currency risk other than the functional currency held by the Fund. As at December 31, 2017 Foreign Currency and Investments, at value Forward Foreign Currency Contracts Net Exposure Australian Dollar $ 0 $ (61) $ (61) Brazilian Real British Pound 511 (386) 125 Chinese Yuan Renminbi (Mainland) Chinese Yuan Renminbi (Offshore) 0 (9) (9) Danish Krone Euro (52) (266) (318) Indian Rupee Indonesian Rupiah Israeli Shekel 0 (60) (60) Japanese Yen 1 (41) (40) Korean Won 0 (22) (22) Malaysian Ringgit Mexican Peso Peruvian New Sol Singapore Dollar 1 (117) (116) Swedish Krona Swiss Franc Turkish New Lira United States Dollar 1,286 (1,196) 90 $ 1,749 $ (1,482) $ 267 As at December 31, 2016 Foreign Currency and Investments, at value Forward Foreign Currency Contracts Net Exposure Australian Dollar $ 0 $ (2) $ (2) Brazilian Real British Pound 1,006 (1,000) 6 Chinese Yuan Renminbi (Mainland) Chinese Yuan Renminbi (Offshore) 0 (296) (296) Danish Krone Euro 189 (193) (4) Indian Rupee Indonesian Rupiah Israeli Shekel Japanese Yen Korean Won Malaysian Ringgit Mexican Peso Peruvian New Sol Singapore Dollar Swedish Krona Swiss Franc Turkish New Lira United States Dollar 3,079 (2,777) 302 $ 4,278 $ (4,268) $ 10 As at December 31, 2017 and December 31, 2016, if the Canadian dollar had strengthened or weakened by 5% in relation to all foreign currencies, with all other factors remaining constant, net assets attributable to holders of redeemable units could have decreased or increased by approximately $13 (December 31, $1). In practice, actual results may differ from this sensitivity analysis and the difference could be material. 14 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

17 December 31, 2017 INTEREST RATE RISK The following tables summarize the Fund s exposure to interest rate risk. They include the Fund s financial instruments at fair value, categorized by the earlier of contractual re-pricing or maturity dates. Certain assets and liabilities, as presented in the Statements of Financial Position, have been aggregated for purposes of the presentation below. As at December 31, 2017 Assets Less than 3 months 3 months - 1 year 1-5 years Greater than 5 years Non-interest bearing Total Investments, at fair value $ 3,800 $ 839 $ 11,628 $ 10,402 $ 0 $ 26,669 Financial Derivative Instruments Cash and Foreign currency Deposits with counterparties Receivables ,622 9,622 Total Assets $ 3,838 $ 839 $ 11,628 $ 10,417 $ 10,143 $ 36,865 As at December 31, 2017 Liabilities Less than 3 months 3 months - 1 year 1-5 years Greater than 5 years Non-interest bearing Total Financial Derivative Instruments $ (45) $ 0 $ (5) $ 0 $ 0 $ (50) Payables (12,302) (12,302) Total Liabilities $ (45) $ 0 $ (5) $ 0 $ (12,302) $ (12,352) As at December 31, 2016 Assets Less than 3 months 3 months - 1 year 1-5 years Greater than 5 years Non-interest bearing Total Investments, at fair value $ 2,901 $ 2,928 $ 21,161 $ 10,070 $ 0 $ 37,060 Financial Derivative Instruments Cash and Foreign currency Deposits with counterparties Receivables ,858 2,858 Total Assets $ 2,989 $ 2,934 $ 21,182 $ 10,072 $ 3,540 $ 40,717 As at December 31, 2016 Liabilities Less than 3 months 3 months - 1 year 1-5 years Greater than 5 years Non-interest bearing Total Financial Derivative Instruments $ (65) $ 0 $ (10) $ (21) $ (19) $ (115) Payables (4,049) (4,049) Total Liabilities $ (65) $ 0 $ (10) $ (21) $ (4,068) $ (4,164) As at December 31, 2017 and December 31, 2016, had prevailing interest rates increased or decreased by 1%, assuming a parallel shift in the yield curve, with all other variables held constant, net assets attributable to holders of redeemable units would have decreased or increased, by approximately $683 or 2.8% (December 31, $1,096 or 3.0%) of total net assets attributable to holders of redeemable units. The Fund s sensitivity to interest rate changes was estimated using the weighted average duration of the debt instruments. In practice, actual trading results may differ and the difference could be material. OTHER PRICE RISK As at December 31, 2017 and December 31, 2016, the Fund is not exposed to significant other price risk as the Fund primarily holds debt securities. LIQUIDITY RISK The following tables summarize the liabilities of the Fund by contractual payment dates of those liabilities: less than three months, three months to one year, and greater than one year, if applicable. As at December 31, 2017 Current Liabilities Less than 3 months 3 months - 1 year Greater than 1 year Total Financial Derivative Instruments $ 50 $ 0 $ 0 $ 50 Payable for investments purchased 12, ,258 Payable for units redeemed Accrued management fees Total Liabilities $ 12,352 $ 0 $ 0 $ 12,352 The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

18 Fund Specific Notes to Financial Statements PIMCO Canadian Short Term Bond Fund (Cont.) As at December 31, 2016 Current Liabilities Less than 3 months 3 months - 1 year Greater than 1 year Total Financial Derivative Instruments $ 115 $ 0 $ 0 $ 115 Payable for investments purchased 4, ,011 Payable for units redeemed Accrued management fees Total Liabilities $ 4,164 $ 0 $ 0 $ 4,164 CREDIT RISK The following tables summarize the credit rating composition for the Fund s financial instruments. As at December 31, 2017 As at December 31, 2016 Investment Grade 99% 99% Below Investment Grade 1% 1% Not Rated 0% 0% Total (% of Investments and Financial Derivative Instruments) 100% 100% Credit ratings are obtained from Standard & Poor s Ratings Services ( S&P ), Moody s Investors Services, Inc. ( Moody s ), Fitch Ratings, Inc. ( Fitch ), and/or, DBRS Limited ( DBRS ). Where more than one rating is obtained for a security, the highest rating has been used. If an instrument is unrated by all agencies, an internal credit rating is assigned. Below Investment Grade are those rated lower than Baa3 by Moody s, BAA- by internal rating, BBB- by S&P, Fitch, and BBBL by DBRS. FINANCIAL INSTRUMENTS BY CATEGORY The following tables present the carrying amounts of the Fund s financial instruments by category. Certain assets and liabilities, as presented in the Statements of Financial Position, have been aggregated for purposes of the presentation below. Fair Value Through Profit or Loss As at December 31, 2017 Financial Assets Held for Trading Designated at Inception Amortized Cost Total Investments, at fair value $ 1,200 $ 25,469 $ 0 $ 26,669 Financial Derivative Instruments Cash and Foreign currency Deposits with counterparties Receivable for investments sold 0 0 9,004 9,004 Receivables Total Assets $ 1,256 $ 25,469 $ 10,140 $ 36,865 Fair Value Through Profit or Loss As at December 31, 2017 Financial Liabilities Held for Trading Designated at Inception Amortized Cost Total Financial Derivative Instruments $ 50 $ 0 $ 0 $ 50 Payable for investments purchased ,258 12,258 Payables Total Liabilities $ 50 $ 0 $ 12,302 $ 12,352 Fair Value Through Profit or Loss As at December 31, 2016 Financial Assets Held for Trading Designated at Inception Amortized Cost Total Investments, at fair value $ 1,900 $ 35,160 $ 0 $ 37,060 Financial Derivative Instruments Cash and Foreign currency Deposits with counterparties Receivable for investments sold 0 0 2,632 2,632 Receivables Total Assets $ 2,020 $ 35,160 $ 3,537 $ 40, PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

19 December 31, 2017 Fair Value Through Profit or Loss As at December 31, 2016 Financial Liabilities Held for Trading Designated at Inception Amortized Cost Total Financial Derivative Instruments $ 115 $ 0 $ 0 $ 115 Payable for investments purchased 0 0 4,011 4,011 Payables Total Liabilities $ 115 $ 0 $ 4,049 $ 4,164 The net gains (losses) on investments and financial derivative instruments at FVTPL by category for the periods ended are presented in the following table. Category Net gains (losses) Year Ended 12/31/2017 Year Ended 12/31/2016 Financial instruments at FVTPL: Held for trading $ (4) $ 268 Designated at inception Total $ 164 $ 787 The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,

20 Statements of Financial Position PIMCO Canadian Total Return Bond Fund (Amounts in thousands*, except per unit amounts) 12/31/ /31/2016 Assets: Current Assets: Investments, at fair value Investments in securities $ 540,031 $ 564,024 Financial Derivative Instruments Exchange-traded or centrally cleared Over the counter Cash Deposits with counterparties 3,640 7,457 Foreign currency 787 1,396 Receivable for investments sold 142,536 10,553 Receivable for units sold Interest and/or dividends receivable 2,506 3, , ,128 Liabilities: Current Liabilities: Financial Derivative Instruments Exchange-traded or centrally cleared Over the counter Payable for investments purchased 229,379 85,848 Payable for units redeemed Accrued management fees ,955 86,744 Net Assets Attributable to Holders of Redeemable Units $ 460,261 $ 501,384 Net Assets Attributable to Holders of Redeemable Units - Series A $ 12,765 $ 14,848 Number of Redeemable Units - Series A 1,171 1,352 Net Assets Attributable to Holders of Redeemable Units per Unit - Series A $ $ Net Assets Attributable to Holders of Redeemable Units - Series F $ 24,882 $ 20,137 Number of Redeemable Units - Series F 2,266 1,820 Net Assets Attributable to Holders of Redeemable Units per Unit - Series F $ $ Net Assets Attributable to Holders of Redeemable Units - Series I $ 400,501 $ 445,610 Number of Redeemable Units - Series I 37,222 41,064 Net Assets Attributable to Holders of Redeemable Units per Unit - Series I $ $ Net Assets Attributable to Holders of Redeemable Units - Series M $ 16,590 $ 12,578 Number of Redeemable Units - Series M 1,508 1,135 Net Assets Attributable to Holders of Redeemable Units per Unit - Series M $ $ Net Assets Attributable to Holders of Redeemable Units - Series O $ 5,523 $ 8,211 Number of Redeemable Units - Series O Net Assets Attributable to Holders of Redeemable Units per Unit - Series O $ $ Includes reverse repurchase agreements of: $ 28,500 $ 8,300 * A zero balance may reflect actual amounts rounding to less than one thousand. 18 PIMCO CANADA CORP. The accompanying notes are an integral part of these financial statements.

21 Statements of Comprehensive Income PIMCO Canadian Total Return Bond Fund (Amounts in thousands*, except per unit amounts) Year Ended 12/31/2017 Year Ended 12/31/2016 Income: Net Gain (Loss) on Investments and Derivatives Interest for distribution purposes $ 14,614 $ 3,393 Derivative income (loss) (258) (20) Net realized gain (loss) on sale of investments (4,532) (80) Net realized gain (loss) on exchange-traded or centrally cleared financial derivative instruments 1,085 (361) Net realized gain (loss) on over the counter financial derivative instruments 3, Net change in unrealized appreciation (depreciation) on investments (2,325) (6,684) Net change in unrealized appreciation (depreciation) on exchange-traded or centrally cleared financial derivative instruments (2,537) 1,943 Net change in unrealized appreciation (depreciation) on over the counter financial derivative instruments (412) 671 Net Gain (Loss) on Investments and Financial Derivative Instruments 8,863 (951) Other Income (Loss) Net realized gain (loss) on foreign currency transactions 1, Net change in unrealized appreciation (depreciation) on translation of assets and liabilities denominated in foreign currencies 1,399 (32) Other Income (Loss) 3, Total Income (Loss) 12,192 (788) Expenses: Management fees IRC fees 1 0 Interest expense 21 2 Withholding taxes 2 0 Transaction costs 18 5 Total Expenses Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units $ 11,717 $ (1,378) Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Series Series A $ 203 $ 213 Series F Series I 10,716 (2,415) Series M Series O Increase (Decrease) in Net Assets Attributable to Holders of Redeemable Units Per Unit Series A $ 0.16 $ 0.15 Series F Series I 0.28 (0.68) Series M Series O * A zero balance may reflect actual amounts rounding to less than one thousand. The accompanying notes are an integral part of these financial statements. ANNUAL REPORT DECEMBER 31,