Deutsche Asset Management

Deutsche Asset Management S.A.

Deutsche European Real Estate Securities Master Fund Semiannual Report 2016 Investment Fund Organized under Luxembourg Law

Deutsche European Real Estate Securities Master Fund

Contents

Semiannual report 2016 for the period from January 1, 2016, through June 30, 2016 General information

2

Information for investors in Switzerland

3

Semiannual report

2016

Deutsche European Real Estate Securities Master Fund

Investment portfolio for the reporting period

6

8

1

General information The fund described in this report is

of charge within the scope of invest­

Issue and redemption prices

an investment fund (fonds commun

ment accounts at Deutsche Asset

The current issue and redemption

de placement) in accordance with

Management S.A. are used as the basis

prices and all other information for

Part II of the Luxembourg Law of

for calculating the value. Past perfor­

unitholders may be requested at any

December 17, 2010, on undertakings

mance is not a guide to future results.

time at the registered office of the

for collective investment, as

The corresponding benchmark – if

Management Company and from the

amended, and is considered to be

available – is also presented in the

paying agents. In addition, the issue

an alternative investment fund

report. All financial data in this publica­

and redemption prices are published in

(“AIF”) in accordance with the Law

tion is as of June 30, 2016 (unless

every country of distribution through

of July 12, 2013, on alternative

otherwise stated).

appropriate media (such as the Internet,

investment fund managers.

electronic information systems,

Sales prospectuses Performance

Fund units are purchased on the basis

The investment return, or performance,

of the current sales prospectus and

of a mutual fund investment is mea­

management regulations, as well as

sured by the change in value of the

the key investor information document

fund’s units. The net asset values per

in combination with the latest audited

unit (= redemption prices) with the

annual report and any semiannual

addition of intervening distributions,

report that is more recent than the

which are, for example, reinvested free

latest annual report.

newspapers, etc.).

The following companies were renamed on March 17, 2016: Deutsche Asset & Wealth Management Investment GmbH became Deutsche Asset Management Investment GmbH Deutsche Asset & Wealth Management International GmbH became Deutsche Asset Management International GmbH Deutsche Asset & Wealth Management Investment S.A. became Deutsche Asset Management S.A.

2

Information for investors in Switzerland

The distribution of units of this collective investment scheme (the “Units”) in Switzerland will be exclusively made to, and directed at, qualified investors, as defined in the Swiss Collective Investment Schemes Act of 23 June 2006 („CISA”), as amended, and its implementing ordinance („CISO“). Accordingly, this collective investment scheme has not been and will not be registered with the Swiss Financial Market Supervisory Authority FINMA. This fund document and/or any other offering materials relating to the Units may be made available in Switzerland solely to qualified investors. 1. Representative and Paying Agents in Switzerland Deutsche Bank (Suisse) SA Place des Bergues 3 CH-1201 Geneva and its branches in Zurich and Lugano. 2. Location where the relevant documents may be obtained The sales prospectus, key investor information document, investment conditions as well as the annual and semi-annual reports may be obtained free of charge from the representative as well as from the paying agent in Switzerland. 3. Place of performance and jurisdiction In respect of the Units distributed in or from Switzerland, the place of performance and jurisdiction is the registered office of the Representative.

3

Semiannual report

Deutsche European Real Estate Securities Master Fund Deutsche European Real Estate Securities Master Fund Performance of unit classes (in JPY) Unit class

ISIN

Class JPY ID

6 months

LU1111843998  

Class JPY IDH (P)



LU1111846314

-21.0%

  -3.9%

“BVI method” performance, i.e., excluding the initial sales charge. Past performance is no guide to future results.  As of: June 30, 2016

6

0

s te date omple c str e fo v sed he in rmat u ns in t ”. io r t a ip e r The fo esc th/y rities d y/mon in secu rtfolio is “da o ment p

0

Investment portfolio for the reporting period

Deutsche European Real Estate Securities Master Fund Investment portfolio – June 30, 2016 Description

Count/ units/ currency

Quantity/ principal amount

Purchases/ Sales/ additions disposals Currency Market price in the reporting period

Total market value in EUR

% of net assets

Securities traded on an exchange 3 227 273.00 Equities Ado Properties SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 150 748 EUR 34.64 74 476.00 Alstria Office REIT-AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 6 000 891 EUR 12.05 72 300.00 BUWOG AG . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 4 800 4 800 EUR 20.68 99 264.00 Citycon Oyj . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 70 500 24 456 9 500 EUR 2.048 144 384.00 Deutsche Annington Immobilien SE . . . . . . . . . . . . . . . . . . . . Count 4 000 2 816 9 200 EUR 32.765 131 060.00 Fonciere Des Regions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600 600 EUR 79.42 47 652.00 Gecina SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 200 800 1 146 EUR 122.4 146 880.00 Green Reit Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 66 000 70 000 4 000 EUR 1.387 91 542.00 Hibernia REIT Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 86 000 24 881 6 500 EUR 1.33 114 380.00 ICADE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 600 1 800 1 200 EUR 63.64 38 184.00 Klepierre . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 7 500 1 131 1 600 EUR 39.92 299 400.00 Nieuwe Steen Investments NV . . . . . . . . . . . . . . . . . . . . . . . . Count 35 000 35 000 EUR 3.625 126 875.00 Unibail-Rodamco SE . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 1 000 53 550 EUR 233.9 233 900.00 Wereldhave NV . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 3 600 2 013 200 EUR 40.755 146 718.00 Assura Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 157 000 98 221 18 500 GBP 0.544 103 297.16 British Land Co., Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 500 3 463 4 800 GBP 5.975 126 384.68 Great Portland Estates Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 16 250 4 442 750 GBP 6.17 121 187.27 Intu Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 17 576 63 327 83 424 GBP 2.841 60 354.52 Londonmetric Property Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 62 000 80 000 101 074 GBP 1.486 111 359.94 NewRiver Retail Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 20 000 GBP 2.979 72 019.17 Primary Health Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . Count 82 512 82 512 GBP 1.06 105 716.18 Regional Reit Ltd . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 188 693 85 693 6 000 GBP 1.04 237 196.13 Segro Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 500 20 895 30 000 GBP 4.108 151 442.84 St Modwen Properties Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 22 000 22 000 GBP 2.632 69 988.56 Unite Group Plc . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 20 000 8 828 5 250 GBP 6.17 149 153.56 Akelius Residential Property AB -Pref- . . . . . . . . . . . . . . . . . . . Count 2 400 300 SEK 297 75 564.84 Klovern AB -Pref- . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 2 500 300 SEK 289 76 593.15

96.24

Total securities portfolio

96.24

3 227 273.00

2.22 2.16 2.96 4.31 3.91 1.42 4.38 2.73 3.41 1.14 8.93 3.78 6.97 4.38 3.08 3.77 3.61 1.80 3.32 2.15 3.15 7.07 4.52 2.09 4.45 2.25 2.28

Derivatives (Minus signs denote short positions) Currency derivatives Receivables/payables

68 706.99

2.05

Forward currency contracts Forward currency contracts (short) Open positions JPY/SEK 0.4 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 2 864.38

0.09

Closed positions EUR/JPY 10.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . GBP/JPY 6.6 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/SEK 0.1 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

1 611.77 5 521.34 7.22

0.05 0.16 0.00

Open positions JPY/EUR 58.9 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY/GBP 47.5 million . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

23 259.13 35 443.15

0.69 1.06

Cash at bank

51 087.87

1.53

38 234.45

1.14

Forward currency contracts (long)

Demand deposits at Custodian EUR deposits . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . EUR



Deposits in other EU/EEA currencies



British pound . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Swedish krona . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

GBP SEK



8 224 27 480

9 940.19 2 913.23

0.30 0.09

Other assets Dividends receivable . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Other receivables . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .

17 863.82 9 041.86 8 821.96

0.53 0.27 0.26

Receivables from share certificate transactions

8 844.68

0.26

Total assets

3 373 776.36

100.61

-18 227.96 -14 652.86 -3 575.10

- 0.55 - 0.44 - 0.11

-2 137.93

- 0.06

Other liabilities Liabilities from cost items . . . . . . . . . . . . . . . . . . . . . . . . . . . . Additional other liabilities . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Liabilities from share certificate transactions Total liabilities Net assets

-20 365.89

- 0.61

3 353 410.47

100.00

Negligible rounding errors may have arisen due to the rounding of calculated percentages.

8

Deutsche European Real Estate Securities Master Fund Net asset value per unit and number of units outstanding

Count/ currency

Net asset value per unit in the respective currency

Net asset value per unit Class JPY ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 8 779.00 Class JPY IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . JPY 10 928.00 Number of units outstanding Class JPY ID . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 30 571 Class JPY IDH (P) . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Count 10 502

Market abbreviations

Contracting party for currency futures State Street Bank and Trust Company Exchange rates (indirect quotes) As of June 30, 2016 British pound . . . . . . . . . . . . . . . . . . . GBP 0.827335 = EUR 1 Swedish krona . . . . . . . . . . . . . . . . . . SEK 9.432959 = EUR 1 Notes on valuation The Management Company determines the net asset values per unit and performs the valuation of the assets of the fund. The basic provision of price data and price validation are performed in accordance with the method introduced by the Management Company on the basis of the legal and regulatory requirements or the principles for valuation methods defined in the fund prospectus. If no trading prices are available, prices are determined with the aid of valuation models (derived market values) which are agreed between State Street Bank Luxembourg as external price service provider and the Management Company and which are based as far as possible on market parameters. This procedure is subject to an ongoing monitoring process. The plausibility of price information from third parties is checked through other pricing sources, model calculations or other suitable procedure. Assets reported in this report are not valued at derived market values.

Transactions completed during the reporting period that no longer appear in the investment portfolio: Purchases and sales of securities, investment fund units and promissory note loans (Schuldscheindarlehen); market classifications are as of the reporting date Count/ Derivatives (option premiums realized in opening transactions, or total Purchases/ Sales/ Description units/ transactions; in the case of warrants, purchases and sales are shown) additions disposals currency

Value (’000)

Securities traded on an exchange Equities Befimmo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . . . Beni Stabili SpA . . . . . . . . . . . . . . . . . . . . . . . . . . CA Immobilien Anlagen AG . . . . . . . . . . . . . . . . . Cofinimmo SA . . . . . . . . . . . . . . . . . . . . . . . . . . . Hansteen Holdings Plc . . . . . . . . . . . . . . . . . . . . . Land Securities Group Plc . . . . . . . . . . . . . . . . . . LEG Immobilien AG . . . . . . . . . . . . . . . . . . . . . . . LXB Retail Properties Plc . . . . . . . . . . . . . . . . . . . Workspace Group Plc . . . . . . . . . . . . . . . . . . . . . .

options



Count Count 69 427 Count 5 500 Count 1 094 Count 2 772 Count 20 000 Count Count Count 6 500

2 195 5 1 90 20 1 43 6

001 000 500 500 000 000 932 469 500

Futures contracts Forward currency contracts (short) Forward contracts to sell currencies EUR/JPY EUR GBP/JPY EUR JPY/SEK EUR Forward currency contracts (long) Forward contracts to purchase currencies GBP/JPY EUR JPY/EUR EUR JPY/SEK EUR

4 222 2 312 313

2 719 3 490 264

9

Management Board of the AIFM

Auditor

Administration, Registrar and Transfer Agent,

Dirk Bruckmann (since January 14, 2016)

KPMG Luxembourg

and Main Distributor

Chairman

Société coopérative

Deutsche Asset Management

39, Avenue John F. Kennedy

Deutsche Asset Management S.A.

Investment GmbH,

1855 Luxembourg, Luxembourg

2, Boulevard Konrad Adenauer

Frankfurt am Main

Management Company, Alternative Investment Fund Manager (AIFM),

1115 Luxembourg, Luxembourg

Depositary

Equity capital as of December 31, 2015:

Ralf Rauch

EUR 251.7 million before profit appropriation

Deutsche Asset Management S.A.,

State Street Bank Luxembourg S.C.A.

Luxembourg

49, Avenue John F. Kennedy 1855 Luxembourg, Luxembourg

Supervisory Board of the AIFM Martin Schönefeld Holger Naumann

Deutsche Asset Management S.A.,

Chairman

Luxembourg

Sub-Transfer Agent State Street Bank International GmbH

Deutsche Asset Management Investment GmbH,

Barbara Schots

Brienner Straße 59

Frankfurt/Main

Deutsche Asset Management S.A.,

Sub-Transferstelle

Luxembourg

80333 München, Germany

Nathalie Bausch Deutsche Bank Luxembourg S.A.,

Portfolio Manager

Luxembourg Deutsche Asset Management Reinhard Bellet

Investment GmbH

Deutsche Bank AG,

Mainzer Landstraße 11-17

Frankfurt/Main

60329 Frankfurt/Main, Germany

Marzio Hug

Sub-Portfolio Mmanager

Deutsche Bank AG, London

Deutsche Asset Management (UK) Limited 1 Appold Street Broadgate

Stefan Kreuzkamp (since February 1, 2016)

London, UK EC2A 2 UU

Deutsche Asset Management

United Kingdom

Investment GmbH, Frankfurt/Main

Sales, Information and Paying Agent

Frank Krings (since May 10, 2016)

LUXEMBOURG

Deutsche Bank Luxembourg S.A.,

Deutsche Bank Luxembourg S.A.

Luxembourg

2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg

Dr. Matthias Liermann Deutsche Asset Management Investment GmbH, Frankfurt/Main

As of: July 31, 2016

Deutsche Asset Management S.A. 2, Boulevard Konrad Adenauer 1115 Luxembourg, Luxembourg Tel.: +352 4 21 01-1 Fax: +352 4 21 01-9 00